CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2
$460,000,000 (APPROXIMATE)
Subject to Revision
June 14, 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superseded by the applicable final Prospectus and Prospectus Supplement and any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
JUNE 14, 2000
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES
SERIES 2000-2
$460,000,000 (APPROXIMATE)
SUBJECT TO REVISION
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
RATINGS BOND EXP FINAL
CLASS AMOUNT ($) (S&P /FITCH) WAL(1) TYPE COUPON MATURITY(1)
----- ----------- ----------- ---- ---- ------ --------
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
IA-1 39,000,000 AAA/AAA 0.96 SEQ 1M Libor + [ ](2) 3/02
IA-2 18,500,000 AAA/AAA 2.15 SEQ Fixed(2) 1/03
IA-3 17,500,000 AAA/AAA 3.14 SEQ Fixed(2) 4/04
IA-4 20,500,000 AAA/AAA 5.11 SEQ Fixed(2) 5/07
IA-5 16,280,000 AAA/AAA 9.42 SEQ Fixed(2,3) 5/10
IA-6 12,420,000 AAA/AAA 6.72 NAS Fixed(2) 12/09
IM-1 4,050,000 AA/AA 6.61 MEZ Fixed(2) 5/10
IM-2 3,712,500 A/A 6.61 MEZ Fixed(2) 5/10
IB 3,037,500 BBB/BBB 6.51 SUB Fixed(2) 5/10
IIA-1 279,500,000 AAA/AAA 2.45 PASS-THRU 1M Libor + 9/07
[ ](3, 4)
IIM-1 17,875,000 AA/AA 4.92 MEZ 1M Libor + 9/07
[ ](3, 4)
IIM-2 15,437,500 A/A 4.86 MEZ 1M Libor + 9/07
[ ](3, 4)
IIB 12,187,500 BBB/BBB 4.81 SUB 1M Libor + 9/07
[ ](3, 4)
----------------------------------------------------------------------------------------------
</TABLE>
1 The Group I Certificates will be priced at 20% 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, Class IIM-2 and Class 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
<PAGE>
TITLE OF CERTIFICATES: Chase Funding Mortgage Loan Asset-Backed
Certificates, Series 2000-2, consisting of:
IA-1, IA-2, IA-3, IA-4, IA-5, IA-6
IM-1, IM-2
IB
Group I Certificates
and
IIA-1
IIM-1, IIM-2
IIB
Group II Certificates
UNDERWRITERS: Chase Securities Inc., Bear, Stearns & Co.
Inc., Deutsche Bank 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: June 1, 2000
PRICING DATE: [June 16, 2000]
CLOSING DATE: [June 23, 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 July 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 Class M-1 Certificates will
constitute "mortgage-related securities" for the
purposes of SMMEA. The Class M-2 and Class 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
<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
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2
---------------------------------------------------------------------
CERTIFICATE STRUCTURE
---------------------
CREDIT ENHANCEMENT: 1) Excess interest
2) Over-Collateralization
3) Cross-Collateralization
4) Subordination
EXCESS INTEREST: Excess interest cashflows from each group will
be available as credit enhancement for the
related group.
OVERCOLLATERALIZATION: The overcollateralization ("O/C") provisions are
intended to provide for the limited acceleration of the
senior Certificates relative to the amortization of the
related 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
both the Group I and Group II Certificates on the fourth
Distribution Date (October 2000).
GROUP I CERTIFICATES
Initial: 0.00%
Target: 1.50% of original balance
Stepdown: 3.00% of current balance
Floor: 0.50% of original balance
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II CERTIFICATES
Initial: 0.00%
Target: 1.75% of original balance
Stepdown: 3.50% of current balance
Floor: 0.50% of original balance
Stepup: 2.00% (4.00%) 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
<PAGE>
GROUP I - FIXED
---------------
GROUP I (FIXED) SUBORDINATION(1): (S&P/Fitch) GROUP I (Subordination)
-----------------------
Class IA (AAA /AAA) 9.50%
Class IM-1 (AA/AA) 6.50%
Class IM-2 (A/A) 3.75%
Class IB (BBB/BBB) 1.50%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP I (FIXED) CLASS SIZES: (S&P/Fitch) GROUP I (Class Sizes)
---------------------
Class IA (AAA/AAA) 92.00%
Class IM-1 (AA/AA) 3.00%
Class IM-2 (A/A) 2.75%
Class IB (BBB/BBB) 2.25%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II - ARM
--------------
GROUP II (ARM) SUBORDINATION(1): (S&P/Fitch) GROUP II (Subordination)
------------------------
Class IIA-1 (AAA/AAA) 15.75%
Class IIM-1 (AA/AA) 10.25%
Class IIM-2 (A/A) 5.50%
Class IIB (BBB/BBB) 1.75%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II (ARM) CLASS SIZES: (S&P/Fitch) GROUP II (Class Sizes)
----------------------
Class IIA-1 (AAA/AAA) 86.00%
Class IIM-1 (AA/AA) 5.50%
Class IIM-2 (A/A) 4.75%
Class IIB (BBB/BBB) 3.75%
(PRELIMINARY AND SUBJECT TO REVISION)
1 The subordination percentages assume that the target overcollateralization
levels of 1.50% for Group I and 1.75% 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
<PAGE>
GROUP I
-------
MORTGAGE LOANS: Fixed-rate, first lien, sub-prime Mortgage Loans
TOTAL GROUP SIZE*: $135,000,000
PREPAYMENT
ASSUMPTION: 20% HEP (2.0% - 20% 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 $433,393
of fixed rate Mortgage Loans that are not included in the statistical
information set forth in this document. Updated statistical information on the
Mortgage Pool (giving effect to the inclusion of such mortgage loans) will be
available to purchasers of the Certificates on, and will be filed with the
Securities and Exchange Commission within fifteen days of, the Closing Date.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2
---------------------------------------------------------------------
GROUP I CERTIFICATES
--------------------
<TABLE>
<CAPTION>
CLASS CLASS CLASS CLASS CLASS CLASS CLASS CLASS CLASS
IA-1 IA-2 IA-3 IA-4 IA-5 IA-6 IM-1 IM-2 IB
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
OFFER SIZE
($MM) 39.0000 18.5000 17.5000 20.5000 16.2800 12.4200 4.0500 3.7125 3.0375
EXPECTED RATINGS
S&P AAA AAA AAA AAA AAA AAA AA A BBB
FITCH AAA AAA AAA AAA AAA AAA AA A BBB
COUPON 1M Libor Fixed(1) Fixed(1) Fixed(1) Fixed(1,2) Fixed(1) Fixed(1) Fixed(1) Fixed(1)
+ [ ](1)
WEIGHTED AVERAGE LIFE
TO CALL (YRS)(3) 0.96 2.15 3.14 5.11 9.42 6.72 6.61 6.61 6.51
WEIGHTED AVERAGE LIFE
TO MATURITY (YRS)(3) 0.96 2.15 3.14 5.11 11.37 6.72 7.12 6.99 6.59
PAYMENT WINDOW
TO CALL (MOS.)(3) 1-21/21 21-31/11 31-46/16 46-83/38 83-119/37 37-114/78 40-119/80 40-119/80 40-119/80
PAYMENT WINDOW
TO MATURITY (MOS.)(3) 1-21/21 21-31/11 31-46/16 46-83/38 83-218/136 37-114/78 40-179/140 40-162/123 40-138/99
EXPECTED MATURITY
TO CALL(3) 3/02 1/03 4/04 5/07 5/10 12/09 5/10 5/10 5/10
EXPECTED MATURITY
TO MATURITY(3) 3/02 1/03 4/04 5/07 8/18 12/09 5/15 12/13 12/11
LAST SCHEDULED
DISTRIBUTION DATE(4) 5/15 5/15 5/15 9/25 5/30 4/12 5/30 5/30 5/30
</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 20% 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
<PAGE>
GROUP II
--------
MORTGAGE LOANS: Adjustable-rate, first lien, sub-prime Mortgage
Loans
TOTAL GROUP SIZE*: $325,000,000
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 IIM-2 and Class IIB Certificates will increase to
1.5x their related margins.
* The mortgage pool as of the Closing Date will include approximately $918,512
of adjustable rate mortgage loans that are not included in the statistical
information set forth in this document. Updated statistical information on the
mortgage pool (giving effect to the inclusion of such Mortgage Loans) will be
available to purchasers of the Certificates on, and will be filed with the
Securities and Exchange Commission within fifteen days of, the Closing Date.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2
---------------------------------------------------------------------
GROUP II CERTIFICATES
---------------------
CLASS CLASS CLASS CLASS
IIA-1 IIM-1 IIM-2 IIB
------------------------------------------------------------------------------
OFFER 279.5000 17.8750 15.4375 12.1875
SIZE ($MM)
EXPECTED RATINGS
S&P AAA AA A BBB
FITCH AAA AA A BBB
COUPON 1M Libor + 1M Libor + 1M Libor + 1M Libor +
[ ](1,2) [ ](1,3) [ ](1,3) [ ](1,3)
WEIGHTED AVERAGE LIFE 2.45 4.92 4.86 4.81
TO CALL (YRS)(4)
WEIGHTED AVERAGE LIFE 2.67 5.41 5.27 4.98
TO MATURITY (YRS)(4)
PAYMENT WINDOW 1-87/87 40-87/48 38-87/50 37-87/51
TO CALL (MOS.)(4)
PAYMENT WINDOW 1-196/196 40-154/115 38-139/102 37-116/80
TO MATURITY (MOS.)(4)
EXPECTED MATURITY TO 9/07 9/07 9/07 9/07
CALL(4)
EXPECTED MATURITY TO 10/16 4/13 1/12 2/10
MATURITY(4)
LAST SCHEDULED 5/30 5/30 5/30 5/30
DISTRIBUTION DATE(5)
(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, Class IIM-2 and
Class 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
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2
---------------------------------------------------------------------
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.
(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
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2
---------------------------------------------------------------------
PRINCIPAL PAYDOWN
-----------------
CLASS IA-6 LOCKOUT DISTRIBUTION AMOUNT: FOR ANY DISTRIBTUION DATE PRIOR TO THE
DISTRIBUTION DATE IN JULY 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 JULY 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
July 2000 -- June 2003: 0%
July 2003 -- June 2005: 45%
July 2005 -- June 2006: 80%
July 2006 -- June 2007: 100%
July 2007 -- June 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)
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SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
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<PAGE>
REQUIRED SUBORDINATION LEVELS*
Group I Group II
------- --------
Class A 19.00% Class A 31.50%
Class M-1 13.00% Class M-1 20.50%
Class M-2 7.50% Class M-2 11.00%
Class B 3.00% Class B 3.50%
*Includes overcollateralization
(PRELIMINARY AND SUBJECT TO REVISION)
THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION TEST IS MET IF:
(i) The Distribution Date is on or after the July 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 July 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, with respect to each group, two
times such group's initial AAA subordination percentage.
Group I Senior Group II Senior
Specified Enhancement Specified Enhancement
Percentage: Percentage:
------------------- -------------------
19.00% 31.50%
Or Or
(8.00% + 1.50%)*2 (14.00% + 1.75%)*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
<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 Seleena
Baijnauth at (212) 834-5219.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
CHASE SECURITIES INC.
ASSET BACKED SECURITIES PORTFOLIO ANALYSIS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
FIXED RATE MORTGAGE LOAN GROUP
SUMMARY REPORT
Aggregate Outstanding Principal Balance: $134,566,607
Aggregate Original Principal Balance: $134,741,349
Number of Mortgage Loans: 1,557
<TABLE>
<CAPTION>
MINIMUM MAXIMUM AVERAGE(1)
------- - ------- - -------
<S> <C> <C> <C>
Original Principal Balance: $10,000 $500,000 $86,539
Outstanding Principal Balance: $9,886 $499,990 $86,427
MINIMUM MAXIMUM WEIGHTED AVERAGE(2)
------- ------- ----------------
Original Term (mos): 120 360 246
Stated Remaining Term (mos): 115 360 245
Expected Remaining Term (mos): 115 360 245
Loan Age (mos): 0 20 1
Current Interest Rate: 6.075% 14.900% 10.132%
Original Loan-to-Value: 11.30% 95.00% 71.30%
Credit Score (3): 496 797 622
EARLIEST LATEST
-------- ------
Origination Dates: 09/1998 05/2000
Maturity Dates: 12/2009 06/2030
</TABLE>
Notes:
(1) Sum of Principal Balance divided by total number of loans.
(2) Weighted by Outstanding Principal Balance.
(3) Minimum and 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
<PAGE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
FIXED RATE MORTGAGE LOAN GROUP
NUMBER AGGREGATE PERCENT
OF PRINCIPAL OF
MORTGAGE BALANCE LOAN
MORTGAGE RATES LOANS OUTSTANDING GROUP
6.000% to 6.499% 1 $ 34,754 0.0%
6.500% to 6.999% 4 233,874 0.2
7.000% to 7.499% 6 442,743 0.3
7.500% to 7.999% 41 4,291,527 3.2
8.000% to 8.499% 61 5,805,552 4.3
8.500% to 8.999% 153 14,574,832 10.8
9.000% to 9.499% 149 13,325,605 9.9
9.500% to 9.999% 271 26,256,498 19.5
10.000% to 10.499% 194 17,172,636 12.8
10.500% to 10.999% 260 20,798,845 15.5
11.000% to 11.499% 148 10,745,439 8.0
11.500% to 11.999% 144 11,208,806 8.3
12.000% to 12.499% 63 4,176,817 3.1
12.500% to 12.999% 39 3,543,323 2.6
13.000% to 13.499% 14 1,271,947 0.9
13.500% to 13.999% 4 258,840 0.2
14.000% to 14.499% 1 184,968 0.1
14.500% to 14.999% 4 239,600 0.2
----- ------------ -----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
Mortgage Rates Range is from: 6.075% to 14.900%
Weighted Average is: 10.132%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER AGGREGATE PERCENT
OF PRINCIPAL OF
MORTGAGE BALANCE LOAN
REMAINING TERM (MONTHS) LOANS OUTSTANDING GROUP
109 to 120 22 $ 907,348 0.7%
169 to 180 939 81,162,452 60.3
229 to 240 61 4,348,248 3.2
337 to 348 1 62,404 0.0
349 to 360 534 48,086,155 35.7
----- ------------ -----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
Remaining Term Range is from (Months): 115 to 360
Weighted Average is (Months): 245
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
FIXED RATE MORTGAGE LOAN GROUP
RANGE OF ORIGINAL NUMBER AGGREGATE PERCENT
MORTGAGE OF PRINCIPAL OF
LOAN PRINCIPAL BALANCES MORTGAGE BALANCE LOAN
BALANCE LOANS OUTSTANDING GROUP
$100,000 or less 1,147 $ 65,776,841 48.9%
$100,001 to $150,000 232 28,375,603 21.1
$150,001 to $200,000 87 14,712,637 10.9
$200,001 to $250,000 46 10,237,894 7.6
$250,001 to $300,000 18 4,939,215 3.7
$300,001 to $350,000 11 3,605,633 2.7
$350,001 to $400,000 6 2,254,002 1.7
$400,001 to $450,000 2 853,726 0.6
$450,001 to $500,000 8 3,811,055 2.8
----- ------------ ----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
Original Mortgage Loan Principal Balance Range is from: $10,000 to $500,000
Average is: $86,539
PRODUCT TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER AGGREGATE PERCENT
OF PRINCIPAL OF
MORTGAGE BALANCE LOAN
PRODUCT TYPE LOANS OUTSTANDING GROUP
10 Year Fixed 22 $ 907,348 0.7%
15 Year Fixed 332 21,288,632 15.8
20 Year Fixed 61 4,348,248 3.2
30 Year Fixed 535 48,148,558 35.8
Balloon Loan 607 59,873,820 44.5
----- ------------ -----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
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
<PAGE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER AGGREGATE PERCENT
OF PRINCIPAL OF
MORTGAGE BALANCE LOAN
STATES LOANS OUTSTANDING GROUP
Arizona 27 $ 2,218,187 1.6%
Arkansas 4 381,039 0.3
California 77 13,342,979 9.9
Colorado 28 3,032,835 2.3
Connecticut 21 2,160,824 1.6
Delaware 2 166,123 0.1
District of Columbia 7 814,329 0.6
Florida 361 28,965,327 21.5
Georgia 47 3,721,656 2.8
Illinois 47 3,772,384 2.8
Indiana 74 4,109,124 3.1
Iowa 5 172,453 0.1
Kansas 3 134,815 0.1
Kentucky 13 919,011 0.7
Louisiana 50 3,618,352 2.7
Maine 1 53,952 0.0
Maryland 11 1,016,581 0.8
Massachusetts 8 890,158 0.7
Michigan 82 5,557,729 4.1
Minnesota 9 662,914 0.5
Mississippi 14 907,546 0.7
Missouri 40 2,224,437 1.7
Montana 1 45,750 0.0
Nevada 2 149,779 0.1
New Hampshire 2 244,661 0.2
New Jersey 44 4,016,348 3.0
New Mexico 6 338,688 0.3
New York 150 19,770,925 14.7
North Carolina 14 1,237,842 0.9
North Dakota 2 71,752 0.1
Ohio 79 5,644,550 4.2
Oklahoma 10 798,911 0.6
Oregon 13 1,350,532 1.0
Pennsylvania 27 1,815,448 1.3
Rhode Island 7 485,883 0.4
South Carolina 25 1,455,528 1.1
South Dakota 2 153,242 0.1
Tennessee 160 11,110,277 8.3
Texas 22 1,478,528 1.1
Utah 2 395,436 0.3
Vermont 3 189,352 0.1
Virginia 26 2,473,487 1.8
Washington 7 1,118,242 0.8
West Virginia 4 231,393 0.2
Wisconsin 14 674,907 0.5
Wyoming 4 472,392 0.4
----- ------------ ----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
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CHASE LOGO
<PAGE>
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 - FIXED
RATE MORTGAGE LOAN GROUP
RANGE OF NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN-TO-VALUE RATIOS MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
50.00% or less 173 $ 9,301,695 6.9%
50.01% to 55.00% 66 5,411,931 4.0
55.01% to 60.00% 136 11,573,544 8.6
60.01% to 65.00% 129 12,913,000 9.6
65.01% to 70.00% 251 21,257,434 15.8
70.01% to 75.00% 214 18,154,387 13.5
75.01% to 80.00% 343 32,332,257 24.0
80.01% to 85.00% 159 14,884,828 11.1
85.01% to 90.00% 81 8,172,666 6.1
90.01% to 95.00% 5 564,864 0.4
----- ------------ ----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
Loan-to-Value Ratios Range is from: 11.30% to 95.00%
Weighted Average is: 71.30%
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Purchase 395 $ 36,035,455 26.8%
Refinance - Rate/Term 110 9,719,577 7.2
Refinance - Cashout 1,052 88,811,574 66.0
----- ------------ ----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
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SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
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<PAGE>
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Single Family Detached 1,173 $ 96,394,122 71.6%
Two- to Four-family Dwelling
Unit 157 16,438,803 12.2
Planned Unit Development 99 11,670,737 8.7
Condominium 56 4,356,817 3.2
Manufactured Housing 53 2,797,437 2.1
Small Mixed Use 19 2,908,691 2.2
----- ------------ -----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Full Documentation 1,161 $ 95,539,063 71.0%
24 Month Bank Statement 128 16,585,169 12.3
Reduced Documentation 27 2,932,742 2.2
Stated Income 241 19,509,633 14.5
----- ------------ ----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
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<PAGE>
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Owner-occupied 1,350 $119,610,558 88.9%
Second Home 13 760,856 0.6
Investment 194 14,195,193 10.5
----- ------------ -----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE LOAN AGE (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
0 437 $ 36,136,195 26.9%
1 435 37,802,279 28.1
2 598 52,669,916 39.1
3 62 5,456,725 4.1
4 7 525,608 0.4
5 14 1,686,712 1.3
6 1 92,140 0.1
7 2 134,627 0.1
Greater than 9 1 62,404 0.0
----- ------------ -----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
Weighted Average Age (Months) is: 1
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<PAGE>
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
AO 726 $ 67,400,154 50.1%
A- 468 40,568,071 30.1
B 227 18,557,842 13.8
B- 54 2,987,695 2.2
C 78 4,905,678 3.6
C- 4 147,166 0.1
----- ------------ -----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
1998 1 $ 62,404 0.0%
1999 17 1,913,479 1.4
2000 1,539 132,590,724 98.5
----- ------------ -----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
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
<PAGE>
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PREPAYMENT PENALTIES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
None 265 $ 20,317,761 15.1%
12 Months 136 17,984,098 13.4
24 Months 27 3,134,247 2.3
36 Months 543 43,681,226 32.5
60 Months 586 49,449,275 36.7
----- ------------ -----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
CREDIT SCORE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF CREDIT SCORES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Not Scored 22 $ 1,593,180 1.2%
496 to 500 5 351,432 0.3
501 to 550 198 15,413,244 11.5
551 to 600 468 39,133,438 29.1
601 to 650 403 35,291,143 26.2
651 to 700 288 28,238,228 21.0
701 to 750 132 10,697,017 7.9
751 to 797 41 3,848,925 2.9
----- ------------ -----
GRAND TOTAL: 1,557 $134,566,607 100.0%
===== ============ =====
Credit Score Range is from: 496 to 797
Weighted Average (scored loans only) is: 622
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
CHASE SECURITIES INC.
ASSET BACKED SECURITIES PORTFOLIO ANALYSIS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
SUMMARY REPORT
Aggregate Outstanding Principal Balance: $324,081,488
Aggregate Original Principal Balance: $324,257,955
Number of Mortgage Loans: 2,647
<TABLE>
<CAPTION>
MINIMUM MAXIMUM AVERAGE(1)
------- ------- -------
<S> <C> <C> <C>
Original Principal Balance: $9,375 $845,000 $122,500
Outstanding Principal Balance: $9,363 $844,656 $122,434
MINIMUM MAXIMUM WEIGHTED AVERAGE(2)
------- ------- ----------------
Original Term (mos): 360 360 360
Stated Remaining Term (mos): 351 360 359
Expected Remaining Term (mos): 326 360 359
Loan Age (mos): 0 9 1
Current Interest Rate: 6.750% 14.650% 10.179%
Initial Interest Rate Cap: 1.000% 3.000% 2.961%
Periodic Rate Cap: 1.000% 1.500% 1.482%
Gross Margin: 3.250% 8.250% 5.638%
Maximum Mortgage Rate: 13.750% 21.650% 17.171%
Minimum Mortgage Rate: 6.750% 14.650% 10.179%
Months to Roll: 4 60 28
Original Loan-to-Value: 14.00% 95.00% 76.86%
Credit Score (3): 491 797 612
EARLIEST LATEST
Origination Dates: 08/1999 05/2000
Maturity Dates: 09/2029 06/2030
</TABLE>
Notes:
(1) Sum of Principal Balance divided by total number of loans.
(2) Weighted by Outstanding Principal Balance.
(3) Minimum and 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
<PAGE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
6.500% to 6.999% 1 $ 152,736 0.0%
7.000% to 7.499% 5 544,782 0.2
7.500% to 7.999% 25 3,820,071 1.2
8.000% to 8.499% 57 9,522,034 2.9
8.500% to 8.999% 217 32,616,505 10.1
9.000% to 9.499% 277 38,450,039 11.9
9.500% to 9.999% 467 59,140,302 18.2
10.000% to 10.499% 409 48,718,131 15.0
10.500% to 10.999% 491 58,698,991 18.1
11.000% to 11.499% 305 33,073,460 10.2
11.500% to 11.999% 250 26,322,941 8.1
12.000% to 12.499% 96 8,484,591 2.6
12.500% to 12.999% 36 3,114,344 1.0
13.000% to 13.499% 6 610,903 0.2
13.500% to 13.999% 2 217,754 0.1
14.000% to 14.499% 2 343,983 0.1
14.500% to 14.999% 1 249,921 0.1
----- ------------ -----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
Mortgage Rates Range is from: 6.750% to 14.650%
Weighted Average is: 10.179%
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
REMAINING TERM (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
349 to 360 2,647 $324,081,488 100.0%
----- ------------ -----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
Remaining Term Range is from (Months): 351 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
<PAGE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
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 1,337 $ 88,233,839 27.2%
$100,001 to $150,000 659 80,504,955 24.8
$150,001 to $200,000 311 53,743,097 16.6
$200,001 to $250,000 148 33,352,654 10.3
$250,001 to $300,000 68 18,607,694 5.7
$300,001 to $350,000 45 14,885,674 4.6
$350,001 to $400,000 24 8,983,306 2.8
$400,001 to $450,000 25 10,647,690 3.3
$450,001 to $500,000 25 11,942,378 3.7
$500,001 to $550,000 2 1,029,546 0.3
$550,001 to $600,000 1 556,000 0.2
$700,001 to $750,000 1 750,000 0.2
$800,001 to $850,000 1 844,656 0.3
----- ------------ -----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
Original Mortgage Loan Principal Balance Range is from: $9,375 to $845,000
Average is: $122,500
PRODUCT TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PRODUCT TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Six Month LIBOR Loan 15 $ 2,386,598 0.7%
1/29 Loan 54 7,847,054 2.4
2/28 Loan 1,444 179,825,279 55.5
3/27 Loan 1,044 123,678,572 38.2
5/25 Loan 90 10,343,984 3.2
----- ------------ ----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
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
<PAGE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Arizona 63 $ 6,235,329 1.9%
Arkansas 2 190,012 0.1
California 297 59,226,762 18.3
Colorado 173 22,830,272 7.0
Connecticut 33 5,281,787 1.6
Delaware 5 609,792 0.2
District of Columbia 3 738,285 0.2
Florida 319 35,223,675 10.9
Georgia 83 10,631,070 3.3
Hawaii 2 272,571 0.1
Idaho 6 405,626 0.1
Illinois 141 17,083,267 5.3
Indiana 46 3,980,185 1.2
Iowa 1 76,374 0.0
Kansas 6 678,978 0.2
Kentucky 14 1,523,992 0.5
Louisiana 19 1,547,428 0.5
Maine 1 49,600 0.0
Maryland 23 3,136,440 1.0
Massachusetts 45 6,971,142 2.2
Michigan 290 25,952,045 8.0
Minnesota 61 6,017,161 1.9
Mississippi 9 872,068 0.3
Missouri 78 6,381,971 2.0
Nebraska 2 60,845 0.0
Nevada 7 873,896 0.3
New Hampshire 2 180,601 0.1
New Jersey 99 13,658,851 4.2
New Mexico 12 1,849,656 0.6
New York 102 18,028,258 5.6
North Carolina 36 4,749,415 1.5
North Dakota 3 101,795 0.0
Ohio 113 10,472,343 3.2
Oklahoma 12 1,199,478 0.4
Oregon 30 4,235,113 1.3
Pennsylvania 35 3,323,270 1.0
Rhode Island 12 1,163,298 0.4
South Carolina 33 3,557,645 1.1
Tennessee 131 11,343,997 3.5
Texas 85 8,989,288 2.8
Utah 18 2,211,395 0.7
Vermont 10 1,087,430 0.3
Virginia 23 2,613,411 0.8
Washington 65 10,605,584 3.3
West Virginia 3 299,842 0.1
Wisconsin 93 7,492,241 2.3
Wyoming 1 68,000 0.0
----- ------------ -----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
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CHASE LOGO
<PAGE>
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
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 81 $ 7,652,385 2.4%
50.01% to 55.00% 35 3,608,819 1.1
55.01% to 60.00% 90 11,463,582 3.5
60.01% to 65.00% 94 12,322,409 3.8
65.01% to 70.00% 417 45,263,240 14.0
70.01% to 75.00% 393 47,894,921 14.8
75.01% to 80.00% 830 110,293,042 34.0
80.01% to 85.00% 421 51,059,787 15.8
85.01% to 90.00% 280 33,740,532 10.4
90.01% to 95.00% 6 782,770 0.2
----- ------------ -----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
Loan-to-Value Ratios Range is from: 14.00% to 95.00%
Weighted Average is: 76.86%
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Purchase 1,303 $ 159,565,494 49.2%
Refinance - Rate/Term 128 16,781,866 5.2
Refinance - Cashout 1,216 147,734,128 45.6
----- ------------ -----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
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CHASE LOGO
<PAGE>
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Single Family Detached 2,000 $ 239,033,058 73.8%
Two- to Four-family
Dwelling Unit 240 29,477,635 9.1
Planned Unit Development 261 40,015,751 12.3
Condominium 98 11,445,513 3.5
Manufactured Housing 48 4,109,532 1.3
----- ------------ -----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Full Documentation 1,775 $ 204,806,725 63.2%
24 Month Bank Statement 284 44,618,102 13.8
Reduced Documentation 66 11,651,327 3.6
Stated Income 522 63,005,335 19.4
----- ------------ -----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
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CHASE LOGO
<PAGE>
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Owner-occupied 2,342 $ 296,909,090 91.6%
Second Home 34 4,049,709 1.2
Investment 271 23,122,689 7.1
----- ------------ -----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE LOAN AGE (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
0 797 $ 99,084,804 30.6%
1 826 102,694,040 31.7
2 975 115,580,166 35.7
3 36 4,935,482 1.5
4 5 674,597 0.2
5 5 683,216 0.2
8 2 339,526 0.1
9 1 89,658 0.0
----- ------------ -----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
Weighted Average Age (Months) is: 1
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CHASE LOGO
<PAGE>
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
AO 1,049 $ 135,203,435 41.7%
A- 850 106,397,970 32.8
B 440 52,122,105 16.1
B- 112 12,405,222 3.8
C 177 15,938,191 4.9
C- 19 2,014,565 0.6
----- ------------ -----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
1999 8 $ 1,112,399 0.3%
2000 2,639 322,969,089 99.7
----- ------------ ----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
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CHASE LOGO
<PAGE>
MAXIMUM MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
<TABLE>
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF MAXIMUM MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
13.500% to 13.999% 1 $ 152,736 0.0 %
14.000% to 14.499% 5 544,782 0.2
14.500% to 14.999% 28 4,729,086 1.5
15.000% to 15.499% 58 9,677,385 3.0
15.500% to 15.999% 216 31,943,377 9.9
16.000% to 16.499% 281 38,817,691 12.0
16.500% to 16.999% 467 59,176,811 18.3
17.000% to 17.499% 405 48,363,072 14.9
17.500% to 17.999% 490 58,549,595 18.1
18.000% to 18.499% 304 32,905,515 10.2
18.500% to 18.999% 249 26,199,941 8.1
19.000% to 19.499% 96 8,484,591 2.6
19.500% to 19.999% 36 3,114,344 1.0
20.000% to 20.499% 6 610,903 0.2
20.500% to 20.999% 2 217,754 0.1
21.000% to 21.499% 2 343,983 0.1
21.500% to 21.999% 1 249,921 0.1
GRAND TOTAL: 2,647 $324,081,488 100.0 %
===== ============ =====
</TABLE>
Maximum Mortgage Rate Range is from: 13.750% to 21.650%
Weighted Average is: 17.171%
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PREPAYMENT PENALTIES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
None 903 $ 110,083,690 34.0%
12 Months 12 1,428,809 0.4
24 Months 731 99,109,989 30.6
36 Months 863 98,715,834 30.5
60 Months 138 14,743,166 4.5
----- ------------ -----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
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CHASE LOGO
<PAGE>
NEXT ADJUSTMENT DATE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
NEXT ADJUSTMENT DATE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Oct 2000 6 $ 1,304,454 0.4%
Nov 2000 5 708,144 0.2
Dec 2000 4 374,000 0.1
Apr 2001 24 2,871,717 0.9
May 2001 14 2,399,762 0.7
Jun 2001 16 2,575,575 0.8
Sep 2001 1 89,658 0.0
Oct 2001 1 207,180 0.1
Jan 2002 5 683,216 0.2
Feb 2002 3 555,721 0.2
Mar 2002 16 1,797,193 0.6
Apr 2002 532 62,408,052 19.3
May 2002 457 57,809,498 17.8
Jun 2002 429 56,274,762 17.4
Oct 2002 1 132,345 0.0
Feb 2003 1 33,517 0.0
Mar 2003 19 3,080,633 1.0
Apr 2003 379 44,744,651 13.8
May 2003 317 38,068,151 11.7
Jun 2003 327 37,619,275 11.6
Feb 2005 1 85,359 0.0
Mar 2005 1 57,657 0.0
Apr 2005 34 4,251,292 1.3
May 2005 33 3,708,485 1.1
Jun 2005 21 2,241,192 0.7
----- ------------ -----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
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CHASE LOGO
<PAGE>
CREDIT SCORE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF CREDIT SCORES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Not Scored 41 $ 3,208,768 1.0%
491 - 500 10 1,976,144 0.6
501 - 550 421 46,500,196 14.3
551 - 600 791 98,832,619 30.5
601 - 650 738 91,913,069 28.4
651 - 700 444 58,506,680 18.1
701 - 750 149 17,140,094 5.3
751 - 797 53 6,003,919 1.9
----- ------------ -----
GRAND TOTAL: 2,647 $324,081,488 100.0%
===== ============ =====
Credit Score Range is from: 491 to 797
Weighted Average (scored loans only) is: 612
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<PAGE>
ASSUMED MORTGAGE LOAN CHARACTERISTICS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
FIXED RATE MORTGAGE LOAN GROUP
<TABLE>
<CAPTION>
ORIGINAL
AMORTIZATION
NET MORTGAGE ORIGINAL TERM TERM REMAINING TERM
CURRENT BALANCE MORTGAGE RATE RATE IN MONTHS) (IN MONTHS) (IN MONTHS)
--------------- ------------- ------------- ----------- ------------ --------------
<S> <C> <C> <C> <C> <C>
60,066,652.78 10.211% 9.701% 180 360 179
910,270.72 9.129% 8.619% 120 120 119
21,357,195.60 9.699% 9.189% 180 180 179
4,362,252.52 9.815% 9.305% 240 240 239
48,303,628.38 10.272% 9.762% 360 360 359
</TABLE>
ASSUMED MORTGAGE LOAN CHARACTERISTICS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-2 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
<TABLE>
<CAPTION>
NET ORIGINAL REMAINING
CURRENT MORTGAGE MORTGAGE TERM TERM GROSS INITIAL RATE PERIODIC MAXIMUM
BALANCE RATE RATE (IN MONTHS) (IN MONTHS) MARGIN CHANGE CAP CAP RATE
------- ---- ---- ----------- ----------- ------ ---------- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
10,262,656.24 10.234% 9.724% 360 359 5.070% 1.767% 1.000% 17.001%
180,334,940.38 10.150% 9.640% 360 359 5.845% 3.000% 1.496% 17.150%
124,029,101.96 10.252% 9.742% 360 359 5.408% 3.000% 1.500% 17.252%
10,373,301.42 9.740% 9.230% 360 359 5.351% 3.000% 1.500% 16.740%
</TABLE>
TABLE (CONTINUED)
NUMBER OF
MONTHS UNTIL
RESET NEXT RATE
CURRENT MINIMUM CHANGE ADJUSTMENT
BALANCE RATE FREQUENCY DATE INDEX
------- ---- --------- ---- -----
10,262,656.24 10.234% 6 9 6 Mo. LIBOR
180,334,940.38 10.150% 6 23 6 Mo. LIBOR
124,029,101.96 10.252% 6 35 6 Mo. LIBOR
10,373,301.42 9.740% 6 59 6 Mo. LIBOR
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<PAGE>
GROUP II CERTIFICATES AVAILABLE FUNDS CAP HYPOTHETICAL TABLE
------------------------------------------------------------
<TABLE>
<CAPTION>
PAYMENT DATE AVAILABLE FUNDS CAP (1)(2) PAYMENT DATE AVAILABLE FUNDS CAP (1)(2)
------------ -------------------------- --------------------------------------
<S> <C> <C> <C>
7/25/00 9.668 3/25/04 12.462
8/25/00 9.668 4/25/04 12.462
9/25/00 9.668 5/25/04 12.462
10/25/00 9.668 6/25/04 12.462
11/25/00 9.691 7/25/04 12.462
12/25/00 9.711 8/25/04 12.462
1/25/01 9.735 9/25/04 12.462
2/25/01 9.758 10/25/04 12.462
3/25/01 9.781 11/25/04 12.462
4/25/01 9.868 12/25/04 12.462
5/25/01 9.894 1/25/05 12.463
6/25/01 9.923 2/25/05 12.463
7/25/01 9.951 3/25/05 12.463
8/25/01 9.971 4/25/05 12.463
9/25/01 9.978 5/25/05 12.463
10/25/01 9.987 6/25/05 12.548
11/25/01 9.994 7/25/05 12.548
12/25/01 10.001 8/25/05 12.548
1/25/02 10.009 9/25/05 12.548
2/25/02 10.017 10/25/05 12.548
3/25/02 10.025 11/25/05 12.548
4/25/02 10.034 12/25/05 12.548
5/25/02 10.042 1/25/06 12.548
6/25/02 11.585 2/25/06 12.548
7/25/02 11.595 3/25/06 12.548
8/25/02 11.606 4/25/06 12.548
9/25/02 11.617 5/25/06 12.548
10/25/02 11.629 6/25/06 12.548
11/25/02 11.641 7/25/06 12.548
12/25/02 11.653 8/25/06 12.548
1/25/03 11.666 9/25/06 12.561
2/25/03 11.679 10/25/06 12.574
3/25/03 11.692 11/25/06 12.587
4/25/03 11.706 12/25/06 12.600
5/25/03 11.720 1/25/07 12.614
6/25/03 12.586 2/25/07 12.629
7/25/03 12.602 3/25/07 12.643
8/25/03 12.462 4/25/07 12.659
9/25/03 12.462 5/25/07 12.674
10/25/03 12.462 6/25/07 12.690
11/25/03 12.462 7/25/07 12.707
12/25/03 12.462 8/25/07 12.724
1/25/04 12.462 9/25/07 12.742
2/25/04 12.462
</TABLE>
(1) Available Funds Cap = 12 * (Group II Net Interest) / (Group II Total
Certificate balance)
(2) Assumes no losses, 10% cleanup call, 27% CPR, and 1 month and 6 month
LIBOR remain constant.
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CHASE LOGO
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
----------------------------------------------
BOND IA-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
99-26.50 17.660 30.895 33.392 38.640 42.945
99-27 17.418 29.449 31.718 36.488 40.402
99-27.50 17.176 28.002 30.045 34.338 37.860
99-28 16.934 26.556 28.372 32.187 35.318
99-28.50 16.692 25.111 26.699 30.037 32.776
99-29 16.450 23.666 25.027 27.888 30.235
99-29.50 16.208 22.221 23.355 25.739 27.695
99-30 15.966 20.776 21.683 23.590 25.155
99-30.50 15.725 19.331 20.012 21.442 22.615
99-31 15.483 17.887 18.341 19.294 20.076
99-31.50 15.242 16.444 16.670 17.147 17.538
100- 0 15.000 15.000 15.000 15.000 15.000
100-00.50 14.759 13.557 13.330 12.854 12.463
100- 1 14.517 12.114 11.660 10.708 9.926
100-01.50 14.276 10.671 9.991 8.562 7.389
100- 2 14.034 9.229 8.322 6.417 4.854
100-02.50 13.793 7.787 6.654 4.272 2.318
100- 3 13.552 6.345 4.985 2.128 -0.217
100-03.50 13.311 4.904 3.317 -0.016 -2.751
100- 4 13.070 3.463 1.650 -2.159 -5.285
100-04.50 12.829 2.022 -0.017 -4.302 -7.818
100- 5 12.588 0.581 -1.684 -6.445 -10.351
100-05.50 12.347 -0.859 -3.351 -8.587 -12.883
AVG LIFE 9.35 1.12 0.96 0.74 0.62
FIRST PAY 7/00 7/00 7/00 7/00 7/00
LAST PAY 5/15 7/02 3/02 9/01 6/01
Original Balance: $39,000,000
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SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
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CHASE LOGO
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
BOND IA-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
99-21 7.932 7.875 7.859 7.823 7.790
99-22 7.928 7.861 7.843 7.800 7.762
99-23 7.924 7.847 7.827 7.778 7.733
99-24 7.921 7.833 7.810 7.755 7.705
99-25 7.917 7.820 7.794 7.732 7.676
99-26 7.913 7.806 7.778 7.710 7.648
99-27 7.910 7.792 7.761 7.687 7.619
99-28 7.906 7.779 7.745 7.664 7.591
99-29 7.903 7.765 7.729 7.642 7.562
99-30 7.899 7.751 7.712 7.619 7.534
99-31 7.895 7.738 7.696 7.596 7.505
*100- 0 7.892 7.724 7.680 7.574 7.477
100- 1 7.888 7.710 7.663 7.551 7.449
100- 2 7.884 7.697 7.647 7.528 7.420
100- 3 7.881 7.683 7.631 7.506 7.392
100- 4 7.877 7.670 7.615 7.483 7.364
100- 5 7.873 7.656 7.598 7.461 7.335
100- 6 7.870 7.642 7.582 7.438 7.307
100- 7 7.866 7.629 7.566 7.415 7.279
100- 8 7.862 7.615 7.550 7.393 7.250
100- 9 7.859 7.601 7.533 7.370 7.222
100-10 7.855 7.588 7.517 7.348 7.194
100-11 7.852 7.574 7.501 7.325 7.166
AVG LIFE 14.92 2.61 2.15 1.51 1.19
DURATION 8.53 2.28 1.91 1.37 1.10
FIRST PAY 5/15 7/02 3/02 9/01 6/01
LAST PAY 5/15 8/03 1/03 4/02 11/01
Original Balance: $18,500,000
Assumed Coupon: 7.824000%
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CHASE LOGO
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
BOND IA-3
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
99-10 8.095 8.125 8.136 8.161 8.185
99-12 8.088 8.106 8.112 8.127 8.142
99-14 8.081 8.087 8.089 8.094 8.099
99-16 8.073 8.068 8.066 8.061 8.057
99-18 8.066 8.048 8.042 8.028 8.014
99-20 8.058 8.029 8.019 7.995 7.971
99-22 8.051 8.010 7.996 7.962 7.929
99-24 8.044 7.991 7.973 7.929 7.886
99-26 8.036 7.972 7.949 7.896 7.844
99-28 8.029 7.952 7.926 7.863 7.801
99-30 8.022 7.933 7.903 7.830 7.759
*100- 0 8.014 7.914 7.880 7.797 7.716
100- 2 8.007 7.895 7.857 7.764 7.674
100- 4 7.999 7.876 7.833 7.731 7.631
100- 6 7.992 7.857 7.810 7.698 7.589
100- 8 7.985 7.838 7.787 7.665 7.547
100-10 7.978 7.819 7.764 7.632 7.505
100-12 7.970 7.800 7.741 7.600 7.462
100-14 7.963 7.781 7.718 7.567 7.420
100-16 7.956 7.762 7.695 7.534 7.378
100-18 7.948 7.743 7.672 7.501 7.336
100-20 7.941 7.724 7.649 7.469 7.294
100-22 7.934 7.705 7.626 7.436 7.252
AVG LIFE 14.92 3.92 3.14 2.12 1.62
DURATION 8.47 3.25 2.69 1.89 1.47
FIRST PAY 5/15 8/03 1/03 4/02 11/01
LAST PAY 5/15 4/05 4/04 12/02 4/02
Original Balance: $17,500,000
Assumed Coupon: 7.944000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
BOND IA-4
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
98-31 8.326 8.372 8.396 8.458 8.525
99- 2 8.316 8.353 8.373 8.423 8.477
99- 5 8.306 8.335 8.349 8.387 8.428
99- 8 8.296 8.316 8.326 8.352 8.380
99-11 8.286 8.297 8.303 8.317 8.332
99-14 8.276 8.278 8.279 8.282 8.285
99-17 8.266 8.259 8.256 8.247 8.237
99-20 8.256 8.241 8.233 8.212 8.189
99-23 8.246 8.222 8.209 8.176 8.141
99-26 8.236 8.203 8.186 8.141 8.093
99-29 8.227 8.185 8.163 8.107 8.046
*100- 0 8.217 8.166 8.140 8.072 7.998
100- 3 8.207 8.147 8.116 8.037 7.951
100- 6 8.197 8.129 8.093 8.002 7.903
100- 9 8.187 8.110 8.070 7.967 7.856
100-12 8.177 8.092 8.047 7.932 7.808
100-15 8.167 8.073 8.024 7.898 7.761
100-18 8.158 8.055 8.001 7.863 7.714
100-21 8.148 8.036 7.978 7.828 7.667
100-24 8.138 8.018 7.955 7.794 7.620
100-27 8.128 7.999 7.932 7.759 7.573
100-30 8.118 7.981 7.909 7.725 7.526
101- 1 8.109 7.962 7.886 7.690 7.479
AVG LIFE 19.73 6.82 5.11 3.15 2.22
DURATION 9.43 5.01 4.02 2.67 1.96
FIRST PAY 5/15 4/05 4/04 12/02 4/02
LAST PAY 6/25 8/10 5/07 8/04 2/03
Original Balance: $20,500,000
Assumed Coupon: 8.135000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
BOND IA-5
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
98-20 8.598 8.632 8.649 8.711 8.799
98-24 8.586 8.615 8.629 8.682 8.756
98-28 8.574 8.597 8.609 8.652 8.713
99- 0 8.561 8.580 8.589 8.622 8.670
99- 4 8.549 8.562 8.569 8.593 8.627
99- 8 8.537 8.545 8.549 8.564 8.584
99-12 8.525 8.528 8.529 8.534 8.541
99-16 8.513 8.510 8.509 8.505 8.499
99-20 8.501 8.493 8.489 8.475 8.456
99-24 8.488 8.476 8.469 8.446 8.413
99-28 8.476 8.458 8.449 8.417 8.371
*100- 0 8.464 8.441 8.430 8.388 8.328
100- 4 8.452 8.424 8.410 8.359 8.286
100- 8 8.440 8.407 8.390 8.330 8.243
100-12 8.428 8.390 8.370 8.301 8.201
100-16 8.416 8.373 8.351 8.272 8.159
100-20 8.404 8.356 8.331 8.243 8.117
100-24 8.393 8.339 8.311 8.214 8.075
100-28 8.381 8.322 8.292 8.185 8.033
101- 0 8.369 8.305 8.272 8.156 7.991
101- 4 8.357 8.288 8.253 8.127 7.949
101- 8 8.345 8.271 8.233 8.099 7.907
101-12 8.333 8.254 8.214 8.070 7.865
AVG LIFE 26.62 11.77 9.42 5.56 3.53
DURATION 10.33 7.23 6.28 4.27 2.93
FIRST PAY 6/25 8/10 5/07 8/04 2/03
LAST PAY 5/27 7/12 5/10 1/07 3/05
Original Balance: $16,280,000
Assumed Coupon: 8.371000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
BOND IA-6
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
99-10 8.070 8.077 8.078 8.082 8.089
99-12 8.060 8.065 8.065 8.068 8.072
99-14 8.051 8.052 8.053 8.054 8.055
99-16 8.041 8.040 8.040 8.039 8.038
99-18 8.032 8.028 8.028 8.025 8.021
99-20 8.022 8.016 8.015 8.011 8.005
99-22 8.013 8.004 8.002 7.997 7.988
99-24 8.004 7.992 7.990 7.983 7.971
99-26 7.994 7.979 7.977 7.969 7.954
99-28 7.985 7.967 7.965 7.955 7.938
99-30 7.975 7.955 7.952 7.941 7.921
*100- 0 7.966 7.943 7.940 7.927 7.904
100- 2 7.956 7.931 7.927 7.913 7.888
100- 4 7.947 7.919 7.915 7.898 7.871
100- 6 7.937 7.907 7.902 7.884 7.854
100- 8 7.928 7.894 7.890 7.870 7.838
100-10 7.919 7.882 7.877 7.856 7.821
100-12 7.909 7.870 7.865 7.842 7.805
100-14 7.900 7.858 7.852 7.828 7.788
100-16 7.890 7.846 7.840 7.814 7.771
100-18 7.881 7.834 7.827 7.801 7.755
100-20 7.872 7.822 7.815 7.787 7.738
100-22 7.862 7.810 7.803 7.773 7.722
AVG LIFE 9.88 7.01 6.72 5.73 4.61
DURATION 6.59 5.13 4.97 4.42 3.73
FIRST PAY 7/03 7/03 7/03 9/03 1/04
LAST PAY 4/12 1/10 12/09 1/07 3/05
Original Balance: $12,420,000
Assumed Coupon: 7.914000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
BOND IM-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
98-20 8.494 8.554 8.578 8.634 8.667
98-24 8.480 8.531 8.551 8.599 8.627
98-28 8.467 8.509 8.525 8.564 8.587
99- 0 8.453 8.486 8.499 8.529 8.547
99- 4 8.440 8.463 8.472 8.494 8.507
99- 8 8.426 8.441 8.446 8.460 8.468
99-12 8.413 8.418 8.420 8.425 8.428
99-16 8.399 8.395 8.394 8.391 8.388
99-20 8.386 8.373 8.368 8.356 8.349
99-24 8.372 8.350 8.342 8.322 8.310
99-28 8.359 8.328 8.316 8.287 8.270
*100- 0 8.345 8.306 8.290 8.253 8.231
100- 4 8.332 8.283 8.264 8.218 8.192
100- 8 8.319 8.261 8.238 8.184 8.152
100-12 8.306 8.239 8.212 8.150 8.113
100-16 8.292 8.216 8.187 8.116 8.074
100-20 8.279 8.194 8.161 8.082 8.035
100-24 8.266 8.172 8.135 8.048 7.996
100-28 8.253 8.150 8.110 8.014 7.957
101- 0 8.240 8.128 8.084 7.980 7.918
101- 4 8.226 8.106 8.058 7.946 7.880
101- 8 8.213 8.084 8.033 7.912 7.841
101-12 8.200 8.062 8.008 7.879 7.802
AVG LIFE 20.21 8.11 6.61 4.56 3.84
DURATION 9.32 5.56 4.80 3.62 3.17
FIRST PAY 5/15 7/04 10/03 8/03 10/03
LAST PAY 5/27 7/12 5/10 1/07 3/05
Original Balance: $4,050,000
Assumed Coupon: 8.261000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
BOND IM-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
98-20 8.850 8.908 8.931 8.987 9.024
98-24 8.836 8.885 8.905 8.951 8.983
98-28 8.822 8.862 8.878 8.916 8.942
99- 0 8.808 8.839 8.851 8.881 8.900
99- 4 8.794 8.816 8.825 8.845 8.859
99- 8 8.780 8.793 8.798 8.810 8.818
99-12 8.766 8.770 8.772 8.775 8.778
99-16 8.753 8.747 8.745 8.740 8.737
99-20 8.739 8.724 8.719 8.705 8.696
99-24 8.725 8.702 8.692 8.670 8.655
99-28 8.711 8.679 8.666 8.635 8.615
*100- 0 8.698 8.656 8.640 8.601 8.574
100- 4 8.684 8.633 8.614 8.566 8.534
100- 8 8.670 8.611 8.588 8.531 8.493
100-12 8.657 8.588 8.561 8.496 8.453
100-16 8.643 8.566 8.535 8.462 8.412
100-20 8.630 8.543 8.509 8.427 8.372
100-24 8.616 8.521 8.483 8.393 8.332
100-28 8.602 8.498 8.457 8.359 8.292
101- 0 8.589 8.476 8.431 8.324 8.252
101- 4 8.575 8.453 8.406 8.290 8.212
101- 8 8.562 8.431 8.380 8.256 8.172
101-12 8.549 8.409 8.354 8.221 8.132
AVG LIFE 20.21 8.11 6.61 4.54 3.73
DURATION 9.08 5.48 4.74 3.58 3.07
FIRST PAY 5/15 7/04 10/03 7/03 8/03
LAST PAY 5/27 7/12 5/10 1/07 3/05
Original Balance: $3,712,500
Assumed Coupon: 8.605000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
BOND IB
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
95-13.50 9.639 9.939 10.057 10.347 10.554
95-19.50 9.617 9.901 10.014 10.290 10.487
95-25.50 9.594 9.864 9.971 10.233 10.420
95-31.50 9.571 9.827 9.928 10.176 10.354
96-05.50 9.549 9.790 9.886 10.120 10.288
96-11.50 9.526 9.753 9.843 10.064 10.221
96-17.50 9.504 9.717 9.801 10.007 10.155
96-23.50 9.481 9.680 9.759 9.951 10.089
96-29.50 9.459 9.644 9.717 9.895 10.024
97-03.50 9.437 9.607 9.675 9.840 9.958
97-09.50 9.415 9.571 9.633 9.784 9.893
*97-15.50 9.392 9.535 9.591 9.729 9.828
97-21.50 9.370 9.499 9.549 9.673 9.763
97-27.50 9.348 9.463 9.508 9.618 9.698
98-01.50 9.327 9.427 9.466 9.563 9.633
98-07.50 9.305 9.391 9.425 9.508 9.568
98-13.50 9.283 9.355 9.384 9.454 9.504
98-19.50 9.261 9.320 9.343 9.399 9.440
98-25.50 9.240 9.284 9.302 9.345 9.376
98-31.50 9.218 9.249 9.261 9.290 9.312
99-05.50 9.197 9.213 9.220 9.236 9.248
99-11.50 9.175 9.178 9.179 9.182 9.184
99-17.50 9.154 9.143 9.139 9.128 9.121
AVG LIFE 20.10 8.00 6.51 4.45 3.61
DURATION 8.67 5.29 4.58 3.45 2.94
FIRST PAY 5/15 7/04 10/03 7/03 7/03
LAST PAY 5/27 7/12 5/10 1/07 3/05
Original Balance: $3,037,500
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
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
----------------------------------------------
BOND IIA-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
99-21 29.237 38.964 42.102 53.259 66.365
99-22 28.942 37.782 40.634 50.774 62.686
99-23 28.647 36.600 39.166 48.291 59.009
99-24 28.353 35.420 37.700 45.809 55.334
99-25 28.058 34.240 36.235 43.328 51.661
99-26 27.764 33.061 34.770 40.848 47.990
99-27 27.469 31.882 33.306 38.370 44.320
99-28 27.175 30.704 31.843 35.893 40.652
99-29 26.881 29.527 30.381 33.418 36.986
99-30 26.587 28.351 28.920 30.944 33.322
99-31 26.294 27.175 27.459 28.471 29.660
100- 0 26.000 26.000 26.000 26.000 26.000
100- 1 25.707 24.826 24.541 23.530 22.342
100- 2 25.413 23.652 23.084 21.061 18.685
100- 3 25.120 22.479 21.627 18.594 15.030
100- 4 24.827 21.307 20.171 16.128 11.377
100- 5 24.534 20.135 18.716 13.664 7.726
100- 6 24.242 18.965 17.261 11.200 4.077
100- 7 23.949 17.794 15.808 8.738 0.430
100- 8 23.657 16.625 14.355 6.278 -3.216
100- 9 23.365 15.456 12.904 3.819 -6.859
100-10 23.073 14.288 11.453 1.361 -10.501
100-11 22.781 13.121 10.003 -1.096 -14.141
AVG LIFE 21.21 3.16 2.45 1.35 0.88
FIRST PAY 7/00 7/00 7/00 7/00 7/00
LAST PAY 8/29 9/09 9/07 11/04 11/02
Original Balance: $279,500,000
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
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
----------------------------------------------
BOND IIM-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
99-10 60.748 69.286 71.746 73.463 83.177
99-12 60.223 67.982 70.218 71.778 80.606
99-14 59.698 66.679 68.691 70.095 78.038
99-16 59.174 65.377 67.165 68.413 75.471
99-18 58.651 64.076 65.640 66.732 72.906
99-20 58.127 62.776 64.116 65.053 70.343
99-22 57.605 61.478 62.594 63.374 67.781
99-24 57.083 60.180 61.073 61.697 65.221
99-26 56.561 58.884 59.553 60.021 62.663
99-28 56.040 57.588 58.034 58.346 60.107
99-30 55.520 56.293 56.516 56.673 57.553
100- 0 55.000 55.000 55.000 55.000 55.000
100- 2 54.481 53.708 53.485 53.329 52.449
100- 4 53.962 52.416 51.971 51.658 49.900
100- 6 53.443 51.126 50.458 49.989 47.352
100- 8 52.925 49.837 48.946 48.322 44.807
100-10 52.408 48.548 47.435 46.655 42.263
100-12 51.891 47.261 45.925 44.990 39.721
100-14 51.375 45.975 44.417 43.325 37.180
100-16 50.859 44.690 42.910 41.662 34.641
100-18 50.344 43.406 41.404 40.000 32.104
100-20 49.829 42.123 39.899 38.339 29.569
100-22 49.315 40.841 38.395 36.680 27.036
AVG LIFE 27.50 6.05 4.92 4.30 2.66
FIRST PAY 1/25 7/03 10/03 5/04 11/02
LAST PAY 8/29 9/09 9/07 11/04 5/03
Original Balance: $17,875,000
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
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
----------------------------------------------
BOND IIM-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
99-10 100.970 109.471 112.094 115.544 120.440
99-12 100.425 108.150 110.534 113.669 118.119
99-14 99.880 106.830 108.975 111.797 115.800
99-16 99.335 105.511 107.417 109.925 113.483
99-18 98.792 104.194 105.861 108.055 111.167
99-20 98.248 102.877 104.306 106.186 108.852
99-22 97.705 101.562 102.752 104.318 106.540
99-24 97.163 100.247 101.199 102.452 104.229
99-26 96.622 98.934 99.647 100.587 101.919
99-28 96.081 97.621 98.097 98.723 99.611
99-30 95.540 96.310 96.548 96.861 97.305
100- 0 95.000 95.000 95.000 95.000 95.000
100- 2 94.461 93.691 93.453 93.140 92.697
100- 4 93.922 92.383 91.908 91.282 90.395
100- 6 93.383 91.076 90.363 89.425 88.095
100- 8 92.845 89.770 88.820 87.569 85.797
100-10 92.308 88.465 87.278 85.715 83.500
100-12 91.771 87.161 85.738 83.861 81.205
100-14 91.235 85.858 84.198 82.009 78.911
100-16 90.700 84.557 82.660 80.159 76.619
100-18 90.164 83.256 81.123 78.310 74.329
100-20 89.630 81.957 79.587 76.462 72.040
100-22 89.096 80.658 78.052 74.615 69.752
AVG LIFE 27.50 6.05 4.86 3.84 3.01
FIRST PAY 1/25 7/03 8/03 11/03 5/03
LAST PAY 8/29 9/09 9/07 11/04 6/03
Original Balance: $15,437,500
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
----------------------------------------------
BOND IIB
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
98-20 208.157 225.074 230.528 239.661 246.839
98-24 206.948 222.317 227.273 235.572 242.094
98-28 205.742 219.565 224.022 231.488 237.354
99- 0 204.538 216.818 220.777 227.410 232.622
99- 4 203.337 214.075 217.537 223.339 227.896
99- 8 202.139 211.336 214.302 219.273 223.177
99-12 200.943 208.602 211.072 215.213 218.464
99-16 199.749 205.873 207.848 211.159 213.758
99-20 198.558 203.148 204.628 207.110 209.059
99-24 197.370 200.427 201.414 203.068 204.366
99-28 196.184 197.711 198.204 199.031 199.680
100- 0 195.000 195.000 195.000 195.000 195.000
100- 4 193.819 192.293 191.801 190.975 190.327
100- 8 192.640 189.590 188.606 186.955 185.660
100-12 191.464 186.892 185.417 182.941 181.000
100-16 190.290 184.198 182.233 178.933 176.346
100-20 189.119 181.509 179.054 174.931 171.699
100-24 187.950 178.824 175.880 170.934 167.058
100-28 186.784 176.144 172.710 166.943 162.423
101- 0 185.620 173.467 169.546 162.958 157.795
101- 4 184.458 170.795 166.386 158.978 153.173
101- 8 183.299 168.128 163.232 155.004 148.558
101-12 182.142 165.465 160.082 151.035 143.949
AVG LIFE 27.49 6.02 4.81 3.58 3.01
FIRST PAY 1/25 7/03 7/03 8/03 6/03
LAST PAY 8/29 9/09 9/07 11/04 6/03
Original Balance: $12,187,500
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
-----------------------------------
BOND IA-5
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
98-20 8.603 8.661 8.688 8.747 8.801
98-24 8.590 8.645 8.670 8.720 8.758
98-28 8.578 8.628 8.651 8.694 8.715
99- 0 8.566 8.612 8.633 8.668 8.673
99- 4 8.554 8.596 8.615 8.642 8.630
99- 8 8.542 8.580 8.597 8.615 8.587
99-12 8.530 8.564 8.579 8.589 8.545
99-16 8.518 8.548 8.561 8.563 8.502
99-20 8.506 8.532 8.543 8.537 8.460
99-24 8.494 8.516 8.525 8.511 8.418
99-28 8.482 8.500 8.508 8.485 8.375
*100- 0 8.470 8.484 8.490 8.459 8.333
100- 4 8.458 8.468 8.472 8.433 8.291
100- 8 8.446 8.452 8.454 8.408 8.249
100-12 8.434 8.436 8.436 8.382 8.207
100-16 8.422 8.420 8.419 8.356 8.165
100-20 8.411 8.404 8.401 8.330 8.123
100-24 8.399 8.388 8.383 8.305 8.081
100-28 8.387 8.373 8.366 8.279 8.040
101- 0 8.375 8.357 8.348 8.254 7.998
101- 4 8.364 8.341 8.331 8.228 7.956
101- 8 8.352 8.325 8.313 8.203 7.915
101-12 8.340 8.310 8.296 8.177 7.873
AVG LIFE 27.69 13.62 11.37 6.70 3.56
DURATION 10.43 7.79 6.98 4.81 2.95
FIRST PAY 6/25 8/10 5/07 8/04 2/03
LAST PAY 4/30 4/22 8/18 9/14 3/06
Original Balance: $16,280,000
Assumed Coupon: 8.371000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
-----------------------------------
BOND IA-6
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
99-10 8.070 8.077 8.078 8.080 8.081
99-12 8.060 8.065 8.065 8.066 8.067
99-14 8.051 8.052 8.053 8.053 8.053
99-16 8.041 8.040 8.040 8.040 8.040
99-18 8.032 8.028 8.028 8.027 8.026
99-20 8.022 8.016 8.015 8.013 8.012
99-22 8.013 8.004 8.002 8.000 7.999
99-24 8.004 7.992 7.990 7.987 7.985
99-26 7.994 7.979 7.977 7.974 7.972
99-28 7.985 7.967 7.965 7.960 7.958
99-30 7.975 7.955 7.952 7.947 7.945
*100- 0 7.966 7.943 7.940 7.934 7.931
100- 2 7.956 7.931 7.927 7.921 7.918
100- 4 7.947 7.919 7.915 7.908 7.904
100- 6 7.937 7.907 7.902 7.894 7.891
100- 8 7.928 7.894 7.890 7.881 7.877
100-10 7.919 7.882 7.877 7.868 7.864
100-12 7.909 7.870 7.865 7.855 7.850
100-14 7.900 7.858 7.852 7.842 7.837
100-16 7.890 7.846 7.840 7.829 7.823
100-18 7.881 7.834 7.827 7.816 7.810
100-20 7.872 7.822 7.815 7.803 7.796
100-22 7.862 7.810 7.803 7.790 7.783
AVG LIFE 9.88 7.01 6.72 6.27 6.06
DURATION 6.59 5.13 4.97 4.72 4.60
FIRST PAY 7/03 7/03 7/03 9/03 1/04
LAST PAY 4/12 1/10 12/09 11/09 10/10
Original Balance: $12,420,000
Assumed Coupon: 7.914000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
-----------------------------------
BOND IM-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
98-20 8.494 8.551 8.571 8.623 8.654
98-24 8.480 8.528 8.546 8.590 8.616
98-28 8.466 8.506 8.520 8.556 8.578
99- 0 8.453 8.484 8.495 8.523 8.540
99- 4 8.439 8.462 8.470 8.490 8.502
99- 8 8.426 8.440 8.445 8.457 8.465
99-12 8.412 8.418 8.419 8.424 8.427
99-16 8.399 8.396 8.394 8.391 8.389
99-20 8.386 8.374 8.369 8.358 8.352
99-24 8.372 8.352 8.344 8.325 8.314
99-28 8.359 8.330 8.319 8.293 8.277
*100- 0 8.346 8.308 8.294 8.260 8.239
100- 4 8.332 8.286 8.269 8.227 8.202
100- 8 8.319 8.264 8.245 8.195 8.164
100-12 8.306 8.243 8.220 8.162 8.127
100-16 8.293 8.221 8.195 8.130 8.090
100-20 8.279 8.199 8.170 8.097 8.053
100-24 8.266 8.178 8.146 8.065 8.016
100-28 8.253 8.156 8.121 8.033 7.979
101- 0 8.240 8.134 8.096 8.000 7.942
101- 4 8.227 8.113 8.072 7.968 7.905
101- 8 8.214 8.091 8.047 7.936 7.868
101-12 8.201 8.070 8.023 7.904 7.831
AVG LIFE 20.50 8.54 7.12 4.92 4.10
DURATION 9.35 5.70 4.99 3.80 3.32
FIRST PAY 5/15 7/04 10/03 8/03 10/03
LAST PAY 9/29 5/15 5/15 7/10 9/07
Original Balance: $4,050,000
Assumed Coupon: 8.261000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
-----------------------------------
BOND IM-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
98-20 8.850 8.905 8.926 8.979 9.014
98-24 8.836 8.882 8.900 8.945 8.975
98-28 8.822 8.860 8.874 8.910 8.935
99- 0 8.808 8.837 8.849 8.876 8.895
99- 4 8.794 8.815 8.823 8.842 8.856
99- 8 8.780 8.792 8.797 8.809 8.816
99-12 8.766 8.770 8.771 8.775 8.777
99-16 8.753 8.748 8.746 8.741 8.738
99-20 8.739 8.725 8.720 8.707 8.698
99-24 8.725 8.703 8.694 8.673 8.659
99-28 8.711 8.681 8.669 8.640 8.620
*100- 0 8.698 8.659 8.643 8.606 8.581
100- 4 8.684 8.636 8.618 8.573 8.542
100- 8 8.671 8.614 8.593 8.539 8.503
100-12 8.657 8.592 8.567 8.506 8.464
100-16 8.643 8.570 8.542 8.473 8.425
100-20 8.630 8.548 8.517 8.439 8.387
100-24 8.616 8.526 8.491 8.406 8.348
100-28 8.603 8.504 8.466 8.373 8.309
101- 0 8.589 8.482 8.441 8.340 8.271
101- 4 8.576 8.460 8.416 8.307 8.232
101- 8 8.563 8.439 8.391 8.274 8.194
101-12 8.549 8.417 8.366 8.241 8.155
AVG LIFE 20.46 8.52 6.99 4.80 3.93
DURATION 9.10 5.60 4.88 3.71 3.19
FIRST PAY 5/15 7/04 10/03 7/03 8/03
LAST PAY 5/29 5/15 12/13 7/09 1/07
Original Balance: $3,712,500
Assumed Coupon: 8.605000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
-----------------------------------
BOND IB
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
95-13.50 9.639 9.934 10.051 10.338 10.542
95-19.50 9.616 9.897 10.009 10.281 10.476
95-25.50 9.594 9.860 9.966 10.225 10.410
95-31.50 9.571 9.824 9.924 10.169 10.344
96-05.50 9.548 9.787 9.881 10.113 10.278
96-11.50 9.526 9.750 9.839 10.057 10.213
96-17.50 9.503 9.714 9.797 10.001 10.147
96-23.50 9.481 9.677 9.755 9.945 10.082
96-29.50 9.459 9.641 9.713 9.890 10.017
97-03.50 9.437 9.605 9.672 9.835 9.952
97-09.50 9.414 9.569 9.630 9.779 9.887
*97-15.50 9.392 9.533 9.588 9.724 9.822
97-21.50 9.370 9.497 9.547 9.670 9.758
97-27.50 9.348 9.461 9.506 9.615 9.693
98-01.50 9.326 9.425 9.464 9.560 9.629
98-07.50 9.305 9.390 9.423 9.506 9.565
98-13.50 9.283 9.354 9.382 9.452 9.501
98-19.50 9.261 9.319 9.342 9.397 9.437
98-25.50 9.240 9.283 9.301 9.343 9.374
98-31.50 9.218 9.248 9.260 9.289 9.310
99-05.50 9.197 9.213 9.220 9.236 9.247
99-11.50 9.175 9.178 9.179 9.182 9.184
99-17.50 9.154 9.143 9.139 9.129 9.121
AVG LIFE 20.16 8.10 6.59 4.51 3.66
DURATION 8.67 5.32 4.61 3.48 2.96
FIRST PAY 5/15 7/04 10/03 7/03 7/03
LAST PAY 7/28 5/14 12/11 2/08 12/05
Original Balance: $3,037,500
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
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO MATURITY)
----------------------------------------------
BOND IIA-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
99-21 29.246 39.536 42.606 53.177 66.365
99-22 28.951 38.406 41.212 50.854 62.686
99-23 28.656 37.277 39.820 48.533 59.009
99-24 28.361 36.149 38.429 46.213 55.334
99-25 28.067 35.021 37.039 43.895 51.661
99-26 27.773 33.895 35.650 41.579 47.990
99-27 27.478 32.769 34.261 39.264 44.320
99-28 27.184 31.644 32.874 36.950 40.652
99-29 26.890 30.519 31.487 34.638 36.986
99-30 26.597 29.395 30.102 32.328 33.322
99-31 26.303 28.272 28.717 30.019 29.660
100- 0 26.010 27.150 27.333 27.711 26.000
100- 1 25.716 26.029 25.950 25.405 22.342
100- 2 25.423 24.908 24.568 23.101 18.685
100- 3 25.130 23.788 23.187 20.798 15.030
100- 4 24.837 22.669 21.807 18.497 11.377
100- 5 24.545 21.550 20.428 16.197 7.726
100- 6 24.252 20.432 19.050 13.899 4.077
100- 7 23.960 19.315 17.673 11.602 0.430
100- 8 23.667 18.199 16.296 9.306 -3.216
100- 9 23.375 17.083 14.921 7.013 -6.859
100-10 23.083 15.969 13.546 4.720 -10.501
100-11 22.792 14.854 12.173 2.429 -14.141
AVG LIFE 21.24 3.44 2.67 1.48 0.88
FIRST PAY 7/00 7/00 7/00 7/00 7/00
LAST PAY 5/30 11/20 10/16 7/10 11/02
Original Balance: $279,500,000
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
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO MATURITY)
----------------------------------------------
BOND IIM-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
99-10 60.764 69.992 72.374 74.097 83.177
99-12 60.239 68.758 70.935 72.531 80.606
99-14 59.715 67.525 69.498 70.966 78.038
99-16 59.191 66.293 68.062 69.403 75.471
99-18 58.668 65.063 66.627 67.840 72.906
99-20 58.145 63.833 65.193 66.279 70.343
99-22 57.623 62.605 63.760 64.718 67.781
99-24 57.102 61.377 62.329 63.159 65.221
99-26 56.581 60.151 60.899 61.601 62.663
99-28 56.060 58.926 59.470 60.044 60.107
99-30 55.540 57.702 58.042 58.489 57.553
100- 0 55.020 56.478 56.615 56.934 55.000
100- 2 54.501 55.256 55.190 55.380 52.449
100- 4 53.983 54.036 53.766 53.828 49.900
100- 6 53.465 52.816 52.342 52.277 47.352
100- 8 52.947 51.597 50.921 50.727 44.807
100-10 52.430 50.379 49.500 49.178 42.263
100-12 51.914 49.162 48.080 47.630 39.721
100-14 51.398 47.947 46.662 46.083 37.180
100-16 50.883 46.732 45.245 44.537 34.641
100-18 50.368 45.519 43.829 42.993 32.104
100-20 49.853 44.306 42.414 41.449 29.569
100-22 49.339 43.095 41.000 39.907 27.036
AVG LIFE 27.57 6.67 5.41 4.72 2.66
FIRST PAY 1/25 7/03 10/03 5/04 11/02
LAST PAY 4/30 10/16 4/13 5/08 5/03
Original Balance: $17,875,000
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
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO MATURITY)
----------------------------------------------
BOND IIM-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
99-10 100.996 110.971 113.613 116.868 127.257
99-12 100.451 109.711 112.132 115.086 125.654
99-14 99.907 108.452 110.652 113.306 124.052
99-16 99.362 107.194 109.173 111.526 122.451
99-18 98.819 105.937 107.695 109.748 120.852
99-20 98.276 104.682 106.219 107.972 119.253
99-22 97.734 103.427 104.744 106.197 117.656
99-24 97.192 102.174 103.270 104.423 116.060
99-26 96.651 100.921 101.797 102.650 114.465
99-28 96.110 99.670 100.325 100.879 112.871
99-30 95.570 98.420 98.855 99.109 111.279
100- 0 95.030 97.171 97.386 97.340 109.687
100- 2 94.491 95.923 95.918 95.572 108.097
100- 4 93.952 94.676 94.452 93.806 106.508
100- 6 93.414 93.430 92.986 92.041 104.920
100- 8 92.877 92.185 91.522 90.277 103.334
100-10 92.340 90.941 90.059 88.515 101.748
100-12 91.804 89.699 88.598 86.754 100.164
100-14 91.268 88.457 87.137 84.994 98.580
100-16 90.732 87.216 85.678 83.236 96.998
100-18 90.198 85.977 84.220 81.479 95.417
100-20 89.663 84.739 82.763 79.723 93.838
100-22 89.130 83.501 81.307 77.968 92.259
AVG LIFE 27.57 6.57 5.27 4.10 4.65
FIRST PAY 1/25 7/03 8/03 11/03 5/03
LAST PAY 3/30 3/15 1/12 7/07 4/07
Original Balance: $15,437,500
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO MATURITY)
----------------------------------------------
BOND IIB
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING SPEED)
98-20 208.177 226.353 231.818 240.828 253.151
98-24 206.969 223.650 228.632 236.829 249.061
98-28 205.763 220.952 225.450 232.837 244.978
99- 0 204.560 218.258 222.274 228.850 240.900
99- 4 203.359 215.569 219.103 224.869 236.828
99- 8 202.161 212.885 215.938 220.894 232.762
99-12 200.965 210.205 212.777 216.925 228.701
99-16 199.772 207.529 209.622 212.962 224.647
99-20 198.581 204.858 206.471 209.004 220.598
99-24 197.393 202.192 203.326 205.052 216.555
99-28 196.207 199.530 200.186 201.106 212.517
100- 0 195.024 196.872 197.051 197.166 208.486
100- 4 193.843 194.219 193.921 193.231 204.460
100- 8 192.665 191.571 190.796 189.302 200.439
100-12 191.489 188.927 187.676 185.379 196.425
100-16 190.315 186.287 184.561 181.461 192.416
100-20 189.144 183.652 181.451 177.549 188.412
100-24 187.976 181.021 178.347 173.643 184.414
100-28 186.810 178.395 175.247 169.742 180.422
101- 0 185.646 175.773 172.152 165.847 176.436
101- 4 184.485 173.155 169.062 161.958 172.454
101- 8 183.326 170.542 165.977 158.074 168.479
101-12 182.169 167.933 162.897 154.195 164.509
AVG LIFE 27.52 6.23 4.98 3.69 3.57
FIRST PAY 1/25 7/03 7/03 8/03 9/03
LAST PAY 1/30 10/12 2/10 5/06 6/04
Original Balance: $12,187,500
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
