CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3
$720,000,000 (APPROXIMATE)
Subject to Revision
September 18, 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superseded by the applicable final Prospectus and Prospectus Supplement and any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
SEPTEMBER 18, 2000
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES
SERIES 2000-3
$720,000,000 (APPROXIMATE)
SUBJECT TO REVISION
<TABLE>
<CAPTION>
RATINGS BOND EXP FINAL
CLASS AMOUNT ($) (S&P /FITCH) WAL 1 TYPE COUPON MATURITY 1
----- ----------- ----------- ----- ---- ------ ----------
<S> <C> <C> <C> <C> <C> <C>
IA-1 45,500,000 AAA/AAA 0.96 SEQ 1M Libor + [ ]2 6/02
IA-2 22,250,000 AAA/AAA 2.15 SEQ Fixed2 4/03
IA-3 20,500,000 AAA/AAA 3.15 SEQ Fixed2 7/04
IA-4 26,500,000 AAA/AAA 5.13 SEQ Fixed2 9/07
IA-5 20,250,000 AAA/AAA 9.45 SEQ Fixed2,3 8/10
IA-6 15,000,000 AAA/AAA 6.72 NAS Fixed2 3/10
IM-1 3,600,000 AA/AA 6.63 MEZ Fixed2 8/10
IM-2 3,200,000 A/A 6.63 MEZ Fixed2 8/10
IB 3,200,000 BBB/BBB 6.44 SUB Fixed2 8/10
IIA-1 481,600,000 AAA/AAA 2.47 PASS-THRU 1M Libor + [ ]3,4 12/07
IIM-1 30,800,000 AA/AA 4.92 MEZ 1M Libor + [ ]3,4 12/07
IIM-2 26,600,000 A/A 4.87 MEZ 1M Libor + [ ]3,4 12/07
IIB 21,000,000 BBB/BBB 4.82 SUB 1M Libor + [ ]3,4 12/07
</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]
2
<PAGE>
TITLE OF CERTIFICATES: Chase Funding Mortgage Loan Asset-Backed
Certificates, Series 2000-3, consisting of:
IA-1, IA-2, IA-3, IA-4, IA-5, IA-6
IM-1, IM-2 IB
Group I Certificates
and
IIA-1
IIM-1, IIM-2 IIB
Group II Certificates
UNDERWRITERS: Chase Securities Inc., and Bear, Stearns & Co.
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: September 1, 2000
PRICING DATE: [September 20, 2000]
CLOSING DATE: [September 28, 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 October 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]
3
<PAGE>
TAX STATUS: For federal income tax purposes, the Trust Fund
will include two segregated asset pools, with
respect to which elections will be made to
treat each as a "real estate mortgage
investment conduit" ("REMIC").
OPTIONAL TERMINATION: The Master Servicer has the option to exercise
a call on each loan group individually when the
aggregate stated principal balance for that
loan group is less than or equal to 10% of the
aggregate stated principal balance of the
related group as of the Cut-Off Date (i.e.
separate calls for each group). The call will
be exercised at a price equal to the sum of (i)
the stated principal balance of the Mortgage
Loans in the related loan group (other than in
respect of REO property) plus accrued interest,
(ii) the appraised value of any REO Property in
the related loan group (up to the stated
principal balance of the related Mortgage
Loan), and (iii) any unreimbursed out-of-pocket
costs, expenses and the principal portion of
Advances, in each case previously incurred by
the Subservicer in the performance of its
servicing obligations in connection with such
Mortgage Loans.
PRE-FUNDED AMOUNTS: Group I Certificates Pre-Funded Amount:
$40,000,000 (approximate)
Group II Certificates Pre-Funded Amount:
$140,000,000 (approximate)
On the Closing Date, a portion of the proceeds
from the sale of the Certificates (the "Group I
and Group II Pre-Funded Amounts") will be
deposited with the Trustee in a segregated
account (the "Pre-Funding Account") and used by
the trust to purchase Mortgage Loans after the
Closing Date. The Group I and Group II
Pre-Funded Amounts will be reduced during the
Pre-Funding Period by the amounts thereof used
to fund such purchases. Any amounts remaining
in the Pre-Funding Account following the
Pre-Funding Period will be (i) distributed as
principal to the Group I Certificates in the
case of amounts remaining which had been
allocated to fund the purchase of subsequent
Mortgage Loans which are fixed rate Mortgage
Loans, and (ii) distributed as principal to the
Group II Certificates in the case of amounts
remaining which had been allocated to fund the
purchase of subsequent Mortgage Loans which are
adjustable rate Mortgage Loans.
On the Closing Date, the Depositor will
establish a segregated account (the
"Capitalized Interest Account") which will be
applied to cover shortfalls in the amount of
interest generated by the Mortgage Loans
attributable to the pre-funding feature.
PRE-FUNDING PERIOD: 2 months
MORTGAGE LOANS: The mortgage pool will consist of mortgage
loans ("Mortgage Loans") that will be divided
into a fixed rate coupon group (Group I) and an
adjustable-rate coupon group (Group II). The
Mortgage Loans are secured by first liens on
real properties.
ADMINISTRATIVE FEES: The Master Servicer, Servicer and Trustee will
be paid fees aggregating approximately 51 bps
per annum (payable monthly) on the stated
principal balance of the Mortgage Loans.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
4
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3
CERTIFICATE STRUCTURE
CREDIT ENHANCEMENT: 1) Excess interest
2) Over-Collateralization
3) Cross-Collateralization
4) Subordination
EXCESS INTEREST: Excess interest cashflows from each group will
be available as credit enhancement for the
related group.
OVERCOLLATERALIZATION: The overcollateralization ("O/C") provisions
are intended to provide for the limited
acceleration of the senior Certificates
relative to the amortization of the related
loan group, generally until the required O/C
levels are reached. Accelerated amortization is
achieved by applying certain excess interest
collected on each loan group to the payment of
principal on the related senior Certificates,
resulting in the accumulation of O/C. By paying
down the principal balance of the certificates
faster than the principal amortization of the
related loan group, an overcollateralization
amount equal to the excess of the aggregate
unpaid principal balance of the related
mortgage group over the principal balance of
the related Certificates is created. Excess
interest will be directed to build each loan
group's O/C amount until the respective loan
group reaches its required O/C target. Upon
this event, the acceleration feature will cease
unless it is once again necessary to maintain
the required O/C level. For purposes of
applying excess interest to build each group's
O/C amount, excess interest will begin to be
applied for the Group I Certificates on the
seventh Distribution Date (April 2001) and for
the Group II Certificates on the fourth
Distribution Date (January 2001).
<TABLE>
<CAPTION>
GROUP I CERTIFICATES
<S> <C>
Initial: 0.00 Target: 1.25% of original balance
Stepdown: 2.50% 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
</TABLE>
(PRELIMINARY AND SUBJECT TO REVISION)
CROSS-
COLLATERALIZATION: Excess interest from each of the two loan
groups, if not needed to credit enhance its own
group, will be available to credit enhance the
other loan group.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
5
<PAGE>
<TABLE>
<CAPTION>
GROUP I - (FIXED) SUBORDINATION 1: (S&P/Fitch) GROUP I (Subordination)
----------------------
<S> <C> <C>
Class IA (AAA /AAA) 7.50%
Class IM-1 (AA/AA) 5.25%
Class IM-2 (A/A) 3.25%
Class IB (BBB/BBB) 1.25%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP I (FIXED) CLASS SIZES: (S&P/Fitch) GROUP I (Class Sizes)
--------------------
Class IA (AAA/AAA) 93.75%
Class IM-1 (AA/AA) 2.25%
Class IM-2 (A/A) 2.00%
Class IB (BBB/BBB) 2.00%
(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%
</TABLE>
(PRELIMINARY AND SUBJECT TO REVISION)
1 The subordination percentages assume that the target overcollateralization
levels of 1.25% 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]
6
<PAGE>
GROUP I
MORTGAGE LOANS: Fixed-rate, first lien, sub-prime Mortgage
Loans
TOTAL GROUP SIZE*: $160,000,000
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 $9,638,599
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.
Also, approximately $40,000,000 of the Pre-Funded Fixed Rate Mortgage Loans
are not included in the statistical information set forth in this document.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
7
<PAGE>
<TABLE>
<CAPTION>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3
GROUP I CERTIFICATES
CLASS CLASS CLASS CLASS CLASS CLASS CLASS CLASS CLASS
IA-1 IA-2 IA-3 IA-4 IA-5 IA-6 IM-1 IM-2 IB
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
OFFER SIZE 45.500 22.250 20.500 26.500 20.250 15.000 3.600 3.200 3.200
($MM)
EXPECTED RATINGS
S&P AAA AAA AAA AAA AAA AAA AA A BBB
FITCH AAA AAA AAA AAA AAA AAA AA A BBB
COUPON 1M Libor Fixed1 Fixed1 Fixed1 Fixed1,2 Fixed1 Fixed1 Fixed1 Fixed1
+[ ]1
WEIGHTED AVERAGE LIFE 0.96 2.15 3.15 5.13 9.45 6.72 6.63 6.63 6.44
TO CALL (YRS) 3
WEIGHTED AVERAGE LIFE 0.96 2.15 3.15 5.13 11.48 6.72 7.10 6.95 6.47
TO MATURITY (YRS) 3
PAYMENT WINDOW 1-21/21 21-31/11 31-46/16 46-84/39 84-119/36 37-114/78 40-119/80 40-119/80 40-119/80
TO CALL (MOS.) 3
PAYMENT WINDOW 1-21/21 21-31/11 31-46/16 46-84/39 84-225/142 37-114/78 40-170/131 40-154/115 40-132/93
TO MATURITY (MOS.) 3
EXPECTED MATURITY TO 6/02 4/03 7/04 9/07 8/10 3/10 8/10 8/10 8/10
CALL 3
EXPECTED MATURITY TO 6/02 4/03 7/04 9/07 6/19 3/10 11/14 7/13 9/11
MATURITY 3
LAST SCHEDULED 8/15 8/15 7/17 10/26 9/30 10/12 9/30 9/30 9/30
DISTRIBUTION DATE 4
</TABLE>
(1) Preliminary, subject to a cap based on the weighted average net loan rate
of the Group I Loans.
(2) If the 10% cleanup call for Group I is not exercised on the first
Distribution Date on which it is exercisable, the coupon on the Class IA-5
Certificates will increase by 50 bps per annum.
(3) The Group I Certificates will be priced at 20% HEP.
(4) Assumes 0% HEP, no losses, no excess interest will be applied to principal,
and the cleanup call is not exercised.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
8
<PAGE>
GROUP II
MORTGAGE LOANS: Adjustable-rate, first lien, sub-prime Mortgage
Loans
TOTAL GROUP SIZE*: $560,000,000
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
$47,003,321 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. Also, approximately $140,000,000 of the Pre-Funded
Adjustable Rate Mortgage Loans are not included in the statistical information
set forth in this document.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
9
<PAGE>
<TABLE>
<CAPTION>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3
GROUP II CERTIFICATES
CLASS CLASS CLASS CLASS
IIA-1 IIM-1 IIM-2 IIB
<S> <C> <C> <C> <C>
OFFER 481.600 30.800 26.600 21.000
SIZE ($MM)
EXPECTED RATINGS
S&P AAA AA A BBB
FITCH AAA AA A BBB
COUPON 1M Libor+[ ]1,2 1M Libor+[ ]1,3 1M Libor+[ ]1,3 1M Libor+[ ]1,3
WEIGHTED AVERAGE LIFE 2.47 4.92 4.87 4.82
TO CALL (YRS) 4
WEIGHTED AVERAGE LIFE 2.70 5.42 5.29 4.99
TO MATURITY (YRS) 4
PAYMENT WINDOW 1-87/87 39-87/49 38-87/50 37-87/51
TO CALL (MOS.) 4
PAYMENT WINDOW 1-196/196 39-155/117 38-139/102 37-116/80
TO MATURITY (MOS.) 4
EXPECTED MATURITY TO 12/07 12/07 12/07 12/07
CALL 4
EXPECTED MATURITY TO 1/17 8/13 4/12 5/10
MATURITY 4
LAST SCHEDULED 10/30 10/30 10/30 10/30
DISTRIBUTION DATE 5
</TABLE>
(1) Subject to an available funds cap and a cap based on the weighted average
of the net maximum lifetime rate on the Group II Loans.
(2) If the 10% cleanup call is not exercised on the first Distribution Date on
which it is exercisable, the margin of the Class IIA-1 Certificates will
increase to 2x the IIA-1 margin.
(3) If the 10% cleanup call is not exercised on the first Distribution Date on
which it is exercisable, the margin on the Class IIM-1, 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, no excess interest will be applied to principal,
and the cleanup call is not exercised.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
10
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3
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 and 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]
11
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3
PRINCIPAL PAYDOWN
CLASS IA-6 LOCKOUT DISTRIBUTION AMOUNT: FOR ANY
DISTRIBTUION DATE PRIOR TO THE DISTRIBUTION DATE IN
OCTOBER 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
OCTOBER 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
October 2000 -- September 2003: 0%
October 2003 -- September 2005: 45%
October 2005 -- September 2006: 80%
October 2006 -- September 2007: 100%
October 2007 -- September 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.
[CHASE LOGO]
12
<PAGE>
REQUIRED SUBORDINATION LEVELS*
Group I Group II
Class A 15.00% Class A 31.50%
Class M-1 10.50% Class M-1 20.50%
Class M-2 6.50% Class M-2 11.00%
Class B 2.50% 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 October
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 October 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:
------------------- -------------------
15.00% 31.50%
Or Or
(6.25% + 1.25%)*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]
13
<PAGE>
Prospectus: The Certificates will be offered pursuant to a
Prospectus which includes a Prospectus Supplement
(together, the "Prospectus"). Complete information with
respect to the Certificates and the Mortgage Loans is
contained in the Prospectus. The foregoing is qualified
in its entirety by the information appearing in the
Prospectus. To the extent that the foregoing is
inconsistent with the Prospectus, the Prospectus shall
govern in all respects. Sales of the Certificates may
not be consummated unless the purchaser has received the
Prospectus.
Further Information: Please call David Howard at (212) 834-5125,
Peggy Wallace at (212) 834-5519, Lou Violante at (212)
834-5034, Paul Park at (212) 834-5033, Paul Scialabba at
(212) 834-5173, Matt Whalen at (212) 834-5157, 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]
14
<PAGE>
CHASE SECURITIES INC.
ASSET BACKED SECURITIES PORTFOLIO ANALYSIS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 - FIXED
RATE MORTGAGE LOAN GROUP
SUMMARY REPORT
Aggregate Outstanding Principal Balance: $110,361,401
Aggregate Original Principal Balance: $110,506,075
Number of Mortgage Loans: 1,356
<TABLE>
<CAPTION>
MINIMUM MAXIMUM AVERAGE(1)
<S> <C> <C> <C>
Original Principal Balance: $11,000 $726,000 $81,494
Outstanding Principal Balance: $11,000 $725,670 $81,387
MINIMUM MAXIMUM WEIGHTED
AVERAGE(2)
Original Term (mos): 120 360 256
Stated Remaining Term (mos): 117 360 255
Expected Remaining Term (mos): 117 360 255
Loan Age (mos): 0 10 1
Current Interest Rate: 7.150% 14.375% 10.479%
Original Loan-to-Value: 8.57% 95.00% 71.30%
Credit Score (3): 489 806 618
EARLIEST LATEST
Origination Dates: 10/1999 08/2000
Maturity Dates: 06/2010 09/2030
</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]
15
<PAGE>
<TABLE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 - FIXED RATE
MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
7.000% to 7.499% 3 $ 183,835 0.2 %
7.500% to 7.999% 27 1,856,990 1.7
8.000% to 8.499% 30 2,765,732 2.5
8.500% to 8.999% 99 8,568,230 7.8
9.000% to 9.499% 75 7,163,425 6.5
9.500% to 9.999% 208 18,914,067 17.1
10.000% to 10.499% 168 12,915,708 11.7
10.500% to 10.999% 252 20,362,879 18.5
11.000% to 11.499% 160 13,410,505 12.2
11.500% to 11.999% 177 13,293,536 12.0
12.000% to 12.499% 73 5,263,476 4.8
12.500% to 12.999% 49 3,547,313 3.2
13.000% to 13.499% 19 1,076,293 1.0
13.500% to 13.999% 12 906,089 0.8
14.000% to 14.499% 4 133,324 0.1
----- ------------ ------
TOTAL: 1,356 $110,361,401 100.0%
===== ============ ======
</TABLE>
Mortgage Rates Range is from: 7.150% to 14.375%
Weighted Average is: 10.479%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
16
<PAGE>
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 - FIXED
RATE MORTGAGE LOAN GROUP
<TABLE>
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
REMAINING TERM (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
(MONTHS)
<S> <C> <C> <C>
109 to 120 29 $ 1,048,469 1.0%
169 to 180 755 60,054,771 54.4
229 to 240 54 3,182,421 2.9
349 to 360 518 46,075,740 41.7
----- ------------ -----
TOTAL: 1,356 $110,361,401 100.0%
===== ============ =====
</TABLE>
Remaining Term Range is from (Months): 117 to 360
Weighted Average is (Months): 255
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
17
<PAGE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
FIXED RATE MORTGAGE LOAN GROUP
RANGE OF ORIGINAL
MORTGAGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PRINCIPAL MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
BALANCES
$100,000 or Less 1,035 $ 56,103,705 50.8 %
$100,001 to $150,000 174 21,054,407 19.1
$150,001 to $200,000 77 13,100,928 11.9
$200,001 to $250,000 35 7,871,315 7.1
$250,001 to $300,000 14 3,979,006 3.6
$300,001 to $350,000 10 3,259,660 3.0
$350,001 to $400,000 4 1,516,317 1.4
$400,001 to $450,000 4 1,660,969 1.5
$450,001 to $500,000 1 489,696 0.4
$550,001 to $600,000 1 599,727 0.5
$700,001 to $750,000 1 725,670 0.7
------- ------------- ------
TOTAL: 1,356 $110,361,401 100.0%
======= ============= ======
Original Mortgage Loan Principal Balance Range is from: $11,000 to $726,000
Average is: $81,494
PRODUCT TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PRODUCT TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
10 Year Fixed 29 $ 1,048,469 1.0%
15 Year Fixed 278 15,253,720 13.8
20 Year Fixed 54 3,182,421 2.9
30 Year Fixed 518 46,075,740 41.7
Balloon Loan 477 44,801,051 40.6
------------ ------------ ------
TOTAL: 1,356 $110,361,401 100.0%
============ ============ ======
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SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
18
<PAGE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Arizona 32 $ 2,768,873 2.5%
Arkansas 3 170,962 0.2
California 57 7,994,414 7.2
Colorado 11 1,199,613 1.1
Connecticut 10 1,163,868 1.1
Delaware 2 171,144 0.2
District of Columbia 5 462,445 0.4
Florida 261 18,306,889 16.6
Georgia 46 3,172,089 2.9
Idaho 1 78,742 0.1
Illinois 60 4,505,579 4.1
Indiana 73 3,819,293 3.5
Iowa 3 160,845 0.1
Kansas 2 48,114 0.0
Kentucky 14 974,224 0.9
Louisiana 51 3,041,682 2.8
Maine 1 44,500 0.0
Maryland 6 526,474 0.5
Massachusetts 10 1,044,647 0.9
Michigan 73 4,789,662 4.3
Minnesota 7 421,405 0.4
Mississippi 8 403,456 0.4
Missouri 41 1,926,766 1.7
Nebraska 3 299,195 0.3
Nevada 3 336,690 0.3
New Hampshire 1 44,756 0.0
New Jersey 37 3,908,069 3.5
New Mexico 4 394,945 0.4
New York 168 21,678,040 19.6
North Carolina 15 944,996 0.9
Ohio 68 3,710,493 3.4
Oklahoma 10 405,008 0.4
Oregon 10 1,164,837 1.1
Pennsylvania 38 2,501,873 2.3
Rhode Island 6 449,258 0.4
South Carolina 21 1,205,542 1.1
Tennessee 108 7,862,537 7.1
Texas 24 1,831,930 1.7
Utah 5 486,491 0.4
Vermont 2 113,279 0.1
Virginia 23 2,252,160 2.0
Washington 18 2,735,967 2.5
West Virginia 1 46,151 0.0
Wisconsin 12 689,426 0.6
Wyoming 2 104,071 0.1
-------- ------------ ---------
TOTAL: 1,356 $110,361,401 100.0%
======== ============ =========
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]
19
<PAGE>
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
LOAN-TO-VALUE RATIOS
50.00% or Less 184 $ 9,282,794 8.4%
50.01% to 55.00% 50 3,684,421 3.3
55.01% to 60.00% 107 9,271,151 8.4
60.01% to 65.00% 121 10,054,508 9.1
65.01% to 70.00% 174 14,428,618 13.1
70.01% to 75.00% 202 18,101,978 16.4
75.01% to 80.00% 270 24,091,649 21.8
80.01% to 85.00% 167 13,839,246 12.5
85.01% to 90.00% 75 7,096,200 6.4
90.01% to 95.00% 6 510,837 0.5
------- ------------ --------
TOTAL: 1,356 $110,361,401 100.0%
======= ============ ========
Loan-to-Value Ratios Range is from: 8.57% to 95.00%
Weighted Average is: 71.30%
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Purchase 319 $ 29,220,150 26.5%
Refinance - Rate/Term 92 7,352,611 6.7
Refinance - Cashout 945 73,788,641 66.9
----- ------------ -----
TOTAL: 1,356 $110,361,401 100.0%
===== ============ =====
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SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
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[CHASE LOGO]
20
<PAGE>
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Single Family Detached 1,002 $78,114,733 70.8%
Two- to Four-family 158 16,396,623 14.9
Dwelling Unit
Planned Unit 62 7,077,682 6.4
Development
Condominium 54 3,040,813 2.8
Manufactured Housing 66 3,427,962 3.1
Small Mixed Use 14 2,303,589 2.1
------ ------------- -----
TOTAL: 1,356 $110,361,401 100.0%
====== ============= =====
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]
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 - FIXED
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Full Documentation 1,007 $79,334,578 71.9%
24 Month Bank 106 11,313,797 10.3
Statement
Reduced Documentation 26 2,819,380 2.6
Stated Income 217 16,893,646 15.3
------ ------------ -----
TOTAL: 1,356 $110,361,401 100.0%
====== ============ =====
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SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
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[CHASE LOGO]
21
<PAGE>
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-3 - FIXED RATE
MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Owner-occupied 1,176 $ 98,985,446 89.7%
Second Home 11 881,714 0.8
Investment 169 10,494,241 9.5
----- ------------- ------
TOTAL: 1,356 $110,361,401 100.0%
===== ============= ======
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-3 - FIXED RATE
MORTGAGE LOAN GROUP
MORTGAGE LOAN AGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
(MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
0 302 $ 24,952,786 22.6%
1 424 35,310,921 32.0
2 481 38,541,779 34.9
3 59 4,136,794 3.7
4 51 4,373,322 4.0
5 22 1,886,854 1.7
6 15 1,041,641 0.9
9 1 69,465 0.1
10 1 47,838 0.0
------- ------------ -------
TOTAL: 1,356 $110,361,401 100.0%
======= ============ =======
Weighted Average Age (Months) is: 1
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[CHASE LOGO]
22
<PAGE>
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
AO 584 $ 50,462,568 45.7%
A- 424 35,066,790 31.8
B 212 15,689,990 14.2
B- 53 4,149,668 3.8
C 79 4,811,017 4.4
C- 4 181,368 0.2
------- ------------ -----
TOTAL: 1,356 $110,361,401 100.0%
======= ============ =====
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-3 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
1999 2 $ 117,303 0.1%
2000 1,354 110,244,098 99.9
----- ------------ -----
TOTAL: 1,356 $110,361,401 100.0%
===== ============= =====
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SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
23
<PAGE>
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-3 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PREPAYMENT PENALTIES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
None 266 $ 20,566,845 18.6%
12 Months 148 19,449,116 17.6
24 Months 23 1,709,147 1.5
36 Months 400 28,572,519 25.9
60 Months 519 40,063,775 36.3
----- ------------- -----
TOTAL: 1,356 $110,361,401 100.0%
===== ============= =====
CREDIT SCORE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-3 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT SCORES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Not Scored 19 $ 1,149,141 1.0%
489 to 500 7 585,563 0.5
501 to 550 176 14,527,794 13.2
551 to 600 396 30,480,829 27.6
601 to 650 396 33,166,242 30.1
651 to 700 223 18,775,443 17.0
701 to 750 99 7,819,303 7.1
751 to 800 39 3,812,087 3.5
801 to 806 1 45,000 0.0
------- ------------- -----
TOTAL: 1,356 $110,361,401 100.0%
======= ============= =====
Credit Score Range is from: 489 to 806
Weighted Average (scored loans only) is: 618
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SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
24
<PAGE>
CHASE SECURITIES INC.
ASSET BACKED SECURITIES PORTFOLIO ANALYSIS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3-
ADJUSTABLE RATE MORTGAGE LOAN GROUP
<TABLE>
<CAPTION>
SUMMARY REPORT
<S> <C>
Aggregate Outstanding Principal Balance: $372,996,679
Aggregate Original Principal Balance: $373,270,000
Number of Mortgage Loans: 2,981
MINIMUM MAXIMUM AVERAGE(1)
Original Principal Balance: $13,750 $1,000,000 $125,216
Outstanding Principal Balance: $13,750 $1,000,000 $125,125
MINIMUM MAXIMUM WEIGHTED
AVERAGE(2)
Original Term (mos): 360 360 360
Stated Remaining Term (mos): 353 360 359
Expected Remaining Term (mos): 262 360 358
Loan Age (mos): 0 7 1
Current Interest Rate: 6.450% 14.375% 10.324%
Initial Interest Rate Cap: 1.000% 3.000% 2.972%
Periodic Rate Cap: 1.000% 1.500% 1.486%
Gross Margin: 3.250% 8.750% 5.751%
Maximum Mortgage Rate: 13.450% 21.000% 17.314%
Minimum Mortgage Rate: 6.450% 14.375% 10.324%
Months to Roll: 4 60 28
Original Loan-to-Value: 13.74% 95.00% 76.87%
Credit Score (3): 464 798 614
EARLIEST LATEST
Origination Dates: 01/2000 08/2000
Maturity Dates: 02/2030 09/2030
</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]
25
<PAGE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-3 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
6.000% to 6.499% 2 $ 291,500 0.1%
6.500% to 6.999% 1 99,000 0.0
7.000% to 7.499% 5 839,420 0.2
7.500% to 7.999% 17 2,282,976 0.6
8.000% to 8.499% 36 4,909,977 1.3
8.500% to 8.999% 172 26,320,907 7.1
9.000% to 9.499% 242 36,970,320 9.9
9.500% to 9.999% 542 74,133,774 19.9
10.000% to 10.499% 455 58,777,058 15.8
10.500% to 10.999% 600 75,194,554 20.2
11.000% to 11.499% 413 43,207,079 11.6
11.500% to 11.999% 304 31,165,613 8.4
12.000% to 12.499% 123 11,959,097 3.2
12.500% to 12.999% 50 4,929,042 1.3
13.000% to 13.499% 15 1,561,168 0.4
13.500% to 13.999% 2 95,862 0.0
14.000% to 14.499% 2 259,333 0.1
-------- -------------- ------
TOTAL: 2,981 $372,996,679 100.0%
======== ============== ======
Mortgage Rates Range is from: 6.450% to 14.375%
Weighted Average is: 10.324%
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-3 - ADJUSTABLE
RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
REMAINING TERM MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
(MONTHS)
349 to 360 2,981 $372,996,679 100.0%
----- ------------ ------
TOTAL: 2,981 $372,996,679 100.0%
===== ============ ======
Remaining Term Range is from (Months): 353 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]
26
<PAGE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
RANGE OF ORIGINAL
MORTGAGE
LOAN PRINCIPAL NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
BALANCES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
$100,000 or Less 1,425 $ 93,830,623 25.2 %
$100,001 to $150,000 764 93,076,713 25.0
$150,001 to $200,000 371 64,412,081 17.3
$200,001 to $250,000 197 44,200,575 11.9
$250,001 to $300,000 98 26,883,311 7.2
$300,001 to $350,000 51 16,675,493 4.5
$350,001 to $400,000 34 12,687,807 3.4
$400,001 to $450,000 15 6,461,972 1.7
$450,001 to $500,000 20 9,756,687 2.6
$600,001 to $650,000 1 632,257 0.2
$700,001 to $750,000 2 1,463,707 0.4
$900,001 to $950,000 1 916,185 0.2
$950,001 to $1,000,000 2 1,999,268 0.5
------- ------------ -----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============= =====
Original Mortgage Loan Principal Balance Range is from: $13,750 to $1,000,000
Average is: $125,216
PRODUCT TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PRODUCT TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Six Month LIBOR Loan 11 $ 1,493,036 0.4 %
1/29 Loan 55 7,638,271 2.0
2/28 Loan 1,689 219,296,170 58.8
3/27 Loan 1,151 136,049,482 36.5
5/25 Loan 75 8,519,720 2.3
----- ------------ -----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============= =====
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]
27
<PAGE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Arizona 83 $ 9,541,882 2.6 %
Arkansas 5 369,079 0.1
California 435 81,457,376 21.8
Colorado 183 26,508,038 7.1
Connecticut 46 7,894,866 2.1
Delaware 4 519,150 0.1
Florida 321 37,731,324 10.1
Georgia 71 9,623,487 2.6
Idaho 5 696,538 0.2
Illinois 151 15,017,319 4.0
Indiana 64 4,328,235 1.2
Iowa 5 329,223 0.1
Kansas 4 684,090 0.2
Kentucky 25 2,278,687 0.6
Louisiana 32 3,428,019 0.9
Maine 1 66,000 0.0
Maryland 21 3,364,839 0.9
Massachusetts 39 6,877,334 1.8
Michigan 279 27,815,206 7.5
Minnesota 107 11,254,475 3.0
Mississippi 23 1,921,218 0.5
Missouri 128 10,170,762 2.7
Montana 6 843,396 0.2
Nebraska 2 111,619 0.0
Nevada 20 2,230,470 0.6
New Hampshire 7 1,124,140 0.3
New Jersey 79 10,941,413 2.9
New Mexico 11 1,091,076 0.3
New York 93 15,464,979 4.1
North Carolina 41 4,219,080 1.1
North Dakota 4 207,946 0.1
Ohio 103 9,784,491 2.6
Oklahoma 19 1,751,782 0.5
Oregon 36 4,898,770 1.3
Pennsylvania 42 3,725,340 1.0
Rhode Island 11 1,151,216 0.3
South Carolina 44 4,151,474 1.1
Tennessee 122 10,989,058 2.9
Texas 91 11,315,958 3.0
Utah 18 2,741,132 0.7
Vermont 8 1,068,424 0.3
Virginia 33 4,291,963 1.2
Washington 80 13,036,660 3.5
West Virginia 2 106,572 0.0
Wisconsin 74 5,584,193 1.5
Wyoming 3 288,381 0.1
----- ------------ -----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
28
<PAGE>
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
RANGE OF NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN-TO-VALUE RATIOS MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
50.00% or Less 117 $ 11,021,715 3.0 %
50.01% to 55.00% 39 4,521,645 1.2
55.01% to 60.00% 98 12,577,455 3.4
60.01% to 65.00% 106 12,355,888 3.3
65.01% to 70.00% 400 47,693,342 12.8
70.01% to 75.00% 430 49,996,891 13.4
75.01% to 80.00% 978 135,864,002 36.4
80.01% to 85.00% 489 58,219,422 15.6
85.01% to 90.00% 312 39,493,559 10.6
90.01% to 95.00% 12 1,252,759 0.3
----- ------------ -----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============ =====
Loan-to-Value Ratios Range is from: 13.74% to 95.00% Weighted Average is: 76.87%
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Purchase 1,533 $201,425,692 54.0 %
Refinance - Rate/Term 115 15,185,307 4.1
Refinance - Cashout 1,333 156,385,681 41.9
----- ------------ -----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============ =====
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]
29
<PAGE>
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Single Family Detached 2,335 $288,590,199 77.4 %
Two- to Four-family 213 24,826,020 6.7
Dwelling Unit
Planned Unit Development 260 43,427,153 11.6
Condominium 106 11,117,199 3.0
Manufactured Housing 67 5,036,108 1.4
----- ------------ -----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============ =====
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Full Documentation 1,979 $229,367,025 61.5 %
24 Month Bank Statement 252 41,492,326 11.1
Reduced Documentation 92 16,497,287 4.4
Stated Income 658 85,640,042 23.0
----- ------------ -----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============ =====
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]
30
<PAGE>
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Owner-occupied 2,694 $348,071,004 93.3 %
Second Home 42 3,589,130 1.0
Investment 245 21,336,546 5.7
------ ------------ -----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============ =====
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE LOAN AGE (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
0 733 $ 93,746,819 25.1 %
1 956 119,432,262 32.0
2 1,099 138,412,331 37.1
3 155 17,444,158 4.7
4 11 1,052,018 0.3
5 16 1,759,482 0.5
6 9 992,969 0.3
7 2 156,640 0.0
----- ------------ -----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============ =====
Weighted Average Age (Months) is: 1
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
31
<PAGE>
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
AO 1,131 $155,725,275 41.7 %
A- 970 125,947,500 33.8
B 497 55,137,249 14.8
B- 148 16,841,429 4.5
C 222 18,190,445 4.9
C- 13 1,154,781 0.3
----- ------------ -----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============ =====
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
2000 2,981 $372,996,679 100.0 %
----- ------------ -----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
32
<PAGE>
MAXIMUM MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF MAXIMUM MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
MORTGAGE RATES
13.000% to 13.499% 2 $ 291,500 0.1 %
13.500% to 13.999% 1 99,000 0.0
14.000% to 14.499% 7 1,144,346 0.3
14.500% to 14.999% 19 2,824,966 0.8
15.000% to 15.499% 37 4,954,559 1.3
15.500% to 15.999% 176 26,508,496 7.1
16.000% to 16.499% 244 37,088,828 9.9
16.500% to 16.999% 548 74,477,898 20.0
17.000% to 17.499% 453 58,498,824 15.7
17.500% to 17.999% 588 74,120,849 19.9
18.000% to 18.499% 410 43,017,298 11.5
18.500% to 18.999% 305 31,249,522 8.4
19.000% to 19.499% 123 11,959,097 3.2
19.500% to 19.999% 49 4,845,133 1.3
20.000% to 20.499% 16 1,611,151 0.4
20.500% to 20.999% 2 95,862 0.0
21.000% to 21.499% 1 209,350 0.1
----- ---------- -----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============ =====
Maximum Mortgage Rate Range is from: 13.450% to 21.000% Weighted Average is:
17.314%
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PREPAYMENT PENALTIES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
None 893 $112,853,948 30.3 %
12 Months 12 1,423,449 0.4
24 Months 856 120,234,036 32.2
36 Months 1,079 125,055,526 33.5
60 Months 141 13,429,720 3.6
----- ------------ ----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
33
<PAGE>
NEXT ADJUSTMENT DATE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
NEXT ADJUSTMENT DATE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Jan 2001 5 $ 429,622 0.1 %
Feb 2001 4 646,613 0.2
Mar 2001 2 416,800 0.1
Jun 2001 2 411,946 0.1
Jul 2001 16 1,832,631 0.5
Aug 2001 21 2,608,645 0.7
Sep 2001 16 2,785,050 0.7
Mar 2002 3 245,029 0.1
Apr 2002 7 955,780 0.3
May 2002 9 889,806 0.2
Jun 2002 69 7,787,870 2.1
Jul 2002 599 76,697,845 20.6
Aug 2002 560 73,567,311 19.7
Sep 2002 442 59,152,528 15.9
Feb 2003 2 156,640 0.0
Mar 2003 6 747,940 0.2
Apr 2003 9 803,702 0.2
May 2003 2 162,212 0.0
Jun 2003 80 9,044,917 2.4
Jul 2003 450 55,959,769 15.0
Aug 2003 344 39,392,335 10.6
Sep 2003 258 29,781,966 8.0
Jun 2005 4 199,425 0.1
Jul 2005 29 3,492,463 0.9
Aug 2005 27 3,217,356 0.9
Sep 2005 15 1,610,475 0.4
----- ------------ -----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============ =====
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]
34
<PAGE>
CREDIT SCORE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT SCORES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Not Scored 26 $ 2,330,285 0.6 %
464 to 500 7 617,097 0.2
501 to 550 563 62,065,093 16.6
551 to 600 835 105,720,064 28.3
601 to 650 763 97,673,669 26.2
651 to 700 544 71,005,981 19.0
701 to 750 178 24,351,238 6.5
751 to 798 65 9,233,254 2.5
----- ------------ -----
TOTAL: 2,981 $372,996,679 100.0 %
===== ============ =====
Credit Score Range is from: 464 to 798 Weighted Average (scored loans only) is:
614
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
35
<PAGE>
ASSUMED MORTGAGE LOAN CHARACTERISTICS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
FIXED RATE MORTGAGE LOAN GROUP
INITIAL MORTGAGE LOANS
----------------------
<TABLE>
<CAPTION>
ORIGINAL
AMORTIZATION
ORIGINAL TERM TERM REMAINING TERM
CURRENT BALANCE MORTGAGE NET MORTGAGE RATE (IN MONTHS) (IN MONTHS) (IN MONTHS)
--------------- -------- ----------------- ------------- ------------ --------------
<S> <C> <C> <C> <C> <C>
48,713,826.26 10.602 10.092 180 360 179
1,140,038.43 10.028 9.518 120 120 119
16,585,929.07 10.147 9.637 180 180 179
3,460,363.38 10.771 10.261 240 240 238
50,099,842.87 10.460 9.950 360 360 358
</TABLE>
SUBSEQUENT MORTGAGE LOANS
-------------------------
<TABLE>
<CAPTION>
ORIGINAL
AMORTIZATION
ORIGINAL TERM TERM REMAINING TERM
CURRENT BALANCE MORTGAGE NET MORTGAGE RATE (IN MONTHS) (IN MONTHS) (IN MONTHS)
--------------- -------- ----------------- ------------- ------------ --------------
<S> <C> <C> <C> <C> <C>
16,237,942.09 10.602 10.092 180 360 179
380,012.81 10.028 9.518 120 120 119
5,528,643.02 10.147 9.637 180 180 179
1,153,454.46 10.771 10.261 240 240 238
16,699,947.62 10.460 9.950 360 360 358
</TABLE>
ASSUMED MORTGAGE LOAN CHARACTERISTICS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-3 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
INITIAL MORTGAGE LOANS
----------------------
<TABLE>
<CAPTION>
NET ORIGINAL REMAINING RATE
CURRENT MORTGAGE MORTGAGE TERM TERM GROSS INITIAL RATE PERIODIC MAXIMUM MINIMUM CHANGE
BALANCE RATE RATE (IN MONTHS) (IN MONTHS) MARGIN CHANGE CAP CAP RATE RATE FREQUENCY
------- ---- ---- ----------- ----------- ------ ---------- --- ---- ---- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10,281,992.25 10.261 9.751 360 359 4.839 1.836 1.000 17.098 10.261 6
246,930,861.61 10.335 9.825 360 359 5.885 3.000 1.499 17.332 10.335 6
153,193,810.34 10.363 9.853 360 359 5.623 3.000 1.497 17.351 10.363 6
9,593,335.81 9.508 8.998 360 359 5.321 3.000 1.500 16.508 9.508 6
</TABLE>
INITIAL MORTGAGE LOANS (continued)
----------------------------------
<TABLE>
<CAPTION>
NUMBER OF
MONTHS UNTIL
NEXT RATE
CURRENT ADJUSTMENT
BALANCE DATE INDEX
------- ------------ -----
<S> <C> <C>
10,281,992.25 10 6 Mo. LIBOR
246,930,861.61 23 6 Mo. LIBOR
153,193,810.34 35 6 Mo. LIBOR
9,593,335.81 59 6 Mo. LIBOR
</TABLE>
SUBSEQUENT MORTGAGE LOANS
-------------------------
<TABLE>
<CAPTION>
NET ORIGINAL REMAINING RATE
CURRENT MORTGAGE MORTGAGE TERM TERM GROSS INITIAL RATE PERIODIC MAXIMUM MINIMUM CHANGE
BALANCE RATE RATE (IN MONTHS) (IN MONTHS) MARGIN CHANGE CAP CAP RATE RATE FREQUENCY
------- ---- ---- ----------- ----------- ------ ---------- --- ---- ---- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
3,427,330.75 10.261 9.751 360 359 4.839 1.836 1.000 17.098 10.261 6
82,310,287.20 10.335 9.825 360 359 5.885 3.000 1.499 17.332 10.335 6
51,064,603.45 10.363 9.853 360 359 5.623 3.000 1.497 17.351 10.363 6
3,197,778.60 9.508 8.998 360 359 5.321 3.000 1.500 16.508 9.508 6
</TABLE>
SUBSEQUENT MORTGAGE LOANS (continued)
-------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
MONTHS UNTIL
NEXT RATE
CURRENT ADJUSTMENT
BALANCE DATE INDEX
------- ------------ -----
<S> <C> <C>
3,427,330.75 12 6 Mo. LIBOR
82,310,287.20 25 6 Mo. LIBOR
51,064,603.45 37 6 Mo. LIBOR
3,197,778.60 61 6 Mo. LIBOR
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
36
<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>
10/25/00 9.111 (3) 6/25/04 12.386
11/25/00 9.097 (3) 7/25/04 12.386
12/25/00 9.815 8/25/04 12.386
1/25/01 9.815 9/25/04 12.386
2/25/01 9.836 10/25/04 12.386
3/25/01 9.859 11/25/04 12.386
4/25/01 9.888 12/25/04 12.386
5/25/01 9.912 1/25/05 12.386
6/25/01 9.939 2/25/05 12.386
7/25/01 9.966 3/25/05 12.386
8/25/01 10.020 4/25/05 12.386
9/25/01 10.049 5/25/05 12.386
10/25/01 10.087 6/25/05 12.386
11/25/01 10.094 7/25/05 12.386
12/25/01 10.101 8/25/05 12.386
1/25/02 10.108 9/25/05 12.431
2/25/02 10.115 10/25/05 12.431
3/25/02 10.123 11/25/05 12.447
4/25/02 10.130 12/25/05 12.447
5/25/02 10.138 1/25/06 12.447
6/25/02 10.146 2/25/06 12.447
7/25/02 10.155 3/25/06 12.447
8/25/02 10.163 4/25/06 12.447
9/25/02 11.214 5/25/06 12.447
10/25/02 11.224 6/25/06 12.447
11/25/02 11.602 7/25/06 12.447
12/25/02 11.613 8/25/06 12.447
1/25/03 11.624 9/25/06 12.447
2/25/03 11.636 10/25/06 12.447
3/25/03 11.648 11/25/06 12.447
4/25/03 11.660 12/25/06 12.454
5/25/03 11.673 1/25/07 12.466
6/25/03 11.686 2/25/07 12.479
7/25/03 11.700 3/25/07 12.492
8/25/03 11.714 4/25/07 12.506
9/25/03 12.300 5/25/07 12.520
10/25/03 12.315 6/25/07 12.534
11/25/03 12.386 7/25/07 12.549
12/25/03 12.386 8/25/07 12.565
1/25/04 12.386 9/25/07 12.580
2/25/04 12.386 10/25/07 12.597
3/25/04 12.386 11/25/07 12.613
4/25/04 12.386 12/25/07 12.631
5/25/04 12.386
</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.
(3) Assumes that funds on deposit in the Capitalized Interest Account accrue
interest at a rate of 7.00% per annum for the first two accrual periods.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
37
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
----------------------------------------------
CLASS IA-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-26.50 15.553 28.850 31.377 36.721 41.135
99-27 15.320 27.408 29.705 34.563 38.574
99-27.50 15.088 25.966 28.033 32.404 36.015
99-28 14.856 24.524 26.361 30.247 33.455
99-28.50 14.624 23.083 24.690 28.089 30.897
99-29 14.392 21.641 23.019 25.932 28.338
99-29.50 14.159 20.200 21.348 23.776 25.781
99-30 13.927 18.760 19.678 21.620 23.224
99-30.50 13.696 17.319 18.008 19.464 20.667
99-31 13.464 15.879 16.338 17.309 18.111
99-31.50 13.232 14.439 14.669 15.154 15.555
100- 0 13.000 13.000 13.000 13.000 13.000
100-00.50 12.768 11.561 11.331 10.846 10.445
100- 1 12.537 10.122 9.663 8.693 7.891
100-01.50 12.305 8.683 7.995 6.540 5.338
100- 2 12.073 7.245 6.328 4.387 2.785
100-02.50 11.842 5.807 4.660 2.235 0.232
100- 3 11.610 4.369 2.993 0.083 -2.320
100-03.50 11.379 2.932 1.327 -2.068 -4.871
100- 4 11.148 1.495 -0.339 -4.219 -7.422
100-04.50 10.916 0.058 -2.005 -6.369 -9.973
100- 5 10.685 -1.378 -3.671 -8.519 -12.523
100-05.50 10.454 -2.815 -5.336 -10.669 -15.072
AVG LIFE 9.84 1.13 0.96 0.74 0.62
FIRST PAY 10/00 10/00 10/00 10/00 10/00
LAST PAY 8/15 10/02 6/02 12/01 9/01
Original Balance: $45,500,000
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]
38
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
CLASS IA-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-21 7.438 7.391 7.378 7.348 7.321
99-22 7.434 7.377 7.362 7.326 7.293
99-23 7.430 7.364 7.346 7.303 7.264
99-24 7.427 7.350 7.330 7.281 7.236
99-25 7.423 7.336 7.313 7.258 7.207
99-26 7.420 7.323 7.297 7.235 7.179
99-27 7.416 7.309 7.281 7.213 7.150
99-28 7.413 7.296 7.265 7.190 7.122
99-29 7.409 7.282 7.248 7.168 7.093
99-30 7.406 7.269 7.232 7.145 7.065
99-31 7.402 7.255 7.216 7.123 7.037
*100- 0 7.399 7.242 7.200 7.100 7.008
100- 1 7.395 7.228 7.184 7.078 6.980
100- 2 7.392 7.215 7.167 7.055 6.951
100- 3 7.388 7.201 7.151 7.033 6.923
100- 4 7.384 7.188 7.135 7.010 6.895
100- 5 7.381 7.174 7.119 6.988 6.867
100- 6 7.377 7.161 7.103 6.965 6.838
100- 7 7.374 7.147 7.087 6.943 6.810
100- 8 7.370 7.134 7.071 6.920 6.782
100- 9 7.367 7.120 7.054 6.898 6.753
100-10 7.363 7.107 7.038 6.875 6.725
100-11 7.360 7.093 7.022 6.853 6.697
AVG LIFE 14.91 2.61 2.15 1.51 1.18
DURATION 8.79 2.30 1.92 1.38 1.10
FIRST PAY 8/15 10/02 6/02 12/01 9/01
LAST PAY 8/15 12/03 4/03 7/02 2/02
Original Balance: $22,250,000
Assumed Coupon: 7.341000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
39
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
CLASS IA-3
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-10 7.615 7.651 7.663 7.693 7.722
99-12 7.608 7.632 7.640 7.660 7.680
99-14 7.601 7.613 7.617 7.627 7.637
99-16 7.594 7.594 7.594 7.594 7.594
99-18 7.586 7.575 7.571 7.561 7.552
99-20 7.579 7.556 7.548 7.528 7.509
99-22 7.572 7.537 7.525 7.495 7.467
99-24 7.565 7.518 7.502 7.463 7.425
99-26 7.558 7.499 7.479 7.430 7.382
99-28 7.551 7.480 7.456 7.397 7.340
99-30 7.544 7.461 7.433 7.364 7.298
*100- 0 7.537 7.442 7.410 7.332 7.255
100- 2 7.530 7.423 7.387 7.299 7.213
100- 4 7.522 7.404 7.364 7.266 7.171
100- 6 7.515 7.385 7.341 7.233 7.129
100- 8 7.508 7.367 7.318 7.201 7.087
100-10 7.501 7.348 7.295 7.168 7.045
100-12 7.494 7.329 7.272 7.136 7.003
100-14 7.487 7.310 7.250 7.103 6.961
100-16 7.480 7.291 7.227 7.071 6.919
100-18 7.473 7.273 7.204 7.038 6.877
100-20 7.466 7.254 7.181 7.006 6.835
100-22 7.459 7.235 7.158 6.973 6.793
AVG LIFE 15.07 3.93 3.15 2.12 1.61
DURATION 8.76 3.29 2.71 1.90 1.47
FIRST PAY 8/15 12/03 4/03 7/02 2/02
LAST PAY 11/16 6/05 7/04 3/03 7/02
Original Balance: $20,500,000
Assumed Coupon: 7.476000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
40
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
CLASS IA-4
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-31 7.805 7.856 7.882 7.946 8.015
99- 2 7.796 7.838 7.859 7.911 7.968
99- 5 7.786 7.819 7.836 7.876 7.921
99- 8 7.777 7.801 7.812 7.842 7.874
99-11 7.768 7.782 7.789 7.807 7.827
99-14 7.759 7.764 7.766 7.773 7.780
99-17 7.749 7.745 7.744 7.739 7.733
99-20 7.740 7.727 7.721 7.704 7.686
99-23 7.731 7.709 7.698 7.670 7.640
99-26 7.722 7.690 7.675 7.636 7.593
99-29 7.713 7.672 7.652 7.601 7.546
*100- 0 7.704 7.654 7.629 7.567 7.500
100- 3 7.694 7.636 7.606 7.533 7.453
100- 6 7.685 7.617 7.584 7.499 7.407
100- 9 7.676 7.599 7.561 7.465 7.360
100-12 7.667 7.581 7.538 7.431 7.314
100-15 7.658 7.563 7.515 7.397 7.268
100-18 7.649 7.545 7.493 7.363 7.221
100-21 7.640 7.526 7.470 7.329 7.175
100-24 7.631 7.508 7.447 7.295 7.129
100-27 7.622 7.490 7.425 7.261 7.083
100-30 7.613 7.472 7.402 7.227 7.037
101- 1 7.604 7.454 7.380 7.194 6.991
AVG LIFE 21.63 6.84 5.13 3.19 2.26
DURATION 10.21 5.10 4.09 2.73 2.00
FIRST PAY 11/16 6/05 7/04 3/03 7/02
LAST PAY 8/26 12/10 9/07 12/04 6/03
Original Balance: $26,500,000
Assumed Coupon: 7.631000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
41
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
CLASS IA-5
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-20 8.252 8.287 8.305 8.367 8.448
98-24 8.240 8.270 8.285 8.338 8.407
98-28 8.228 8.253 8.265 8.309 8.366
99- 0 8.216 8.236 8.246 8.280 8.325
99- 4 8.205 8.219 8.226 8.251 8.284
99- 8 8.193 8.202 8.206 8.222 8.243
99-12 8.181 8.185 8.187 8.193 8.202
99-16 8.169 8.168 8.167 8.164 8.161
99-20 8.158 8.151 8.148 8.136 8.120
99-24 8.146 8.134 8.128 8.107 8.080
99-28 8.134 8.117 8.109 8.078 8.039
*100- 0 8.123 8.100 8.089 8.050 7.998
100- 4 8.111 8.084 8.070 8.021 7.958
100- 8 8.100 8.067 8.050 7.993 7.917
100-12 8.088 8.050 8.031 7.964 7.877
100-16 8.076 8.034 8.011 7.936 7.837
100-20 8.065 8.017 7.992 7.907 7.796
100-24 8.054 8.000 7.973 7.879 7.756
100-28 8.042 7.984 7.954 7.851 7.716
101- 0 8.031 7.967 7.934 7.822 7.676
101- 4 8.019 7.950 7.915 7.794 7.636
101- 8 8.008 7.934 7.896 7.766 7.596
101-12 7.996 7.917 7.877 7.738 7.556
AVG LIFE 27.17 11.89 9.45 5.62 3.69
DURATION 10.70 7.40 6.39 4.34 3.07
FIRST PAY 8/26 12/10 9/07 12/04 6/03
LAST PAY 2/28 12/12 8/10 4/07 6/05
Original Balance: $20,250,000
Assumed Coupon: 8.037000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
42
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
CLASS IA-6
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-10 7.626 7.635 7.636 7.641 7.649
99-12 7.617 7.623 7.624 7.627 7.632
99-14 7.608 7.611 7.611 7.613 7.616
99-16 7.599 7.599 7.599 7.599 7.599
99-18 7.590 7.587 7.586 7.585 7.582
99-20 7.580 7.575 7.574 7.571 7.565
99-22 7.571 7.563 7.562 7.557 7.549
99-24 7.562 7.551 7.549 7.543 7.532
99-26 7.553 7.539 7.537 7.529 7.515
99-28 7.544 7.527 7.525 7.515 7.498
99-30 7.534 7.515 7.512 7.501 7.482
*100- 0 7.525 7.503 7.500 7.487 7.465
100- 2 7.516 7.491 7.488 7.473 7.448
100- 4 7.507 7.479 7.475 7.459 7.432
100- 6 7.498 7.467 7.463 7.445 7.415
100- 8 7.489 7.455 7.451 7.431 7.399
100-10 7.480 7.444 7.438 7.417 7.382
100-12 7.471 7.432 7.426 7.403 7.365
100-14 7.461 7.420 7.414 7.389 7.349
100-16 7.452 7.408 7.402 7.376 7.332
100-18 7.443 7.396 7.389 7.362 7.316
100-20 7.434 7.384 7.377 7.348 7.299
100-22 7.425 7.372 7.365 7.334 7.283
AVG LIFE 10.04 7.01 6.72 5.69 4.55
DURATION 6.79 5.21 5.04 4.46 3.73
FIRST PAY 10/03 10/03 10/03 11/03 2/04
LAST PAY 10/12 4/10 3/10 4/07 6/05
Original Balance: $15,000,000
Assumed Coupon: 7.481000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
43
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
CLASS IM-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-20 8.146 8.209 8.233 8.292 8.330
98-24 8.133 8.186 8.207 8.258 8.290
98-28 8.120 8.164 8.181 8.223 8.249
99- 0 8.107 8.142 8.155 8.188 8.209
99- 4 8.094 8.119 8.130 8.154 8.169
99- 8 8.081 8.097 8.104 8.119 8.129
99-12 8.068 8.075 8.078 8.085 8.089
99-16 8.055 8.053 8.052 8.050 8.049
99-20 8.042 8.031 8.026 8.016 8.009
99-24 8.029 8.009 8.001 7.982 7.969
99-28 8.017 7.987 7.975 7.947 7.929
*100- 0 8.004 7.965 7.950 7.913 7.890
100- 4 7.991 7.943 7.924 7.879 7.850
100- 8 7.979 7.921 7.899 7.845 7.810
100-12 7.966 7.899 7.873 7.811 7.771
100-16 7.953 7.877 7.848 7.777 7.731
100-20 7.941 7.856 7.822 7.743 7.692
100-24 7.928 7.834 7.797 7.709 7.653
100-28 7.915 7.812 7.772 7.675 7.613
101- 0 7.903 7.790 7.747 7.642 7.574
101- 4 7.890 7.769 7.721 7.608 7.535
101- 8 7.878 7.747 7.696 7.574 7.496
101-12 7.865 7.726 7.671 7.541 7.457
AVG LIFE 21.23 8.18 6.63 4.54 3.76
DURATION 9.76 5.66 4.86 3.64 3.13
FIRST PAY 8/15 10/04 1/04 11/03 12/03
LAST PAY 2/28 12/12 8/10 4/07 6/05
Original Balance: $3,600,000
Assumed Coupon: 7.926000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
44
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
CLASS IM-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-20 8.451 8.512 8.536 8.594 8.635
98-24 8.437 8.489 8.510 8.559 8.594
98-28 8.424 8.467 8.484 8.524 8.552
99- 0 8.411 8.444 8.457 8.489 8.511
99- 4 8.398 8.422 8.431 8.454 8.470
99- 8 8.384 8.399 8.405 8.419 8.429
99-12 8.371 8.377 8.379 8.384 8.388
99-16 8.358 8.354 8.353 8.350 8.347
99-20 8.345 8.332 8.327 8.315 8.306
99-24 8.332 8.310 8.301 8.280 8.266
99-28 8.319 8.287 8.275 8.246 8.225
*100- 0 8.306 8.265 8.249 8.211 8.184
100- 4 8.293 8.243 8.224 8.177 8.144
100- 8 8.280 8.221 8.198 8.142 8.103
100-12 8.267 8.199 8.172 8.108 8.063
100-16 8.254 8.177 8.146 8.074 8.023
100-20 8.241 8.155 8.121 8.039 7.982
100-24 8.228 8.133 8.095 8.005 7.942
100-28 8.215 8.111 8.070 7.971 7.902
101- 0 8.202 8.089 8.044 7.937 7.862
101- 4 8.189 8.067 8.019 7.903 7.822
101- 8 8.177 8.045 7.993 7.869 7.782
101-12 8.164 8.023 7.968 7.835 7.742
AVG LIFE 21.23 8.18 6.63 4.53 3.69
DURATION 9.53 5.59 4.81 3.60 3.06
FIRST PAY 8/15 10/04 1/04 10/03 11/03
LAST PAY 2/28 12/12 8/10 4/07 6/05
Original Balance: $3,200,000
Assumed Coupon: 8.221000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
45
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
-----------------------------------
CLASS IB
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
97-28.50 9.342 9.458 9.503 9.613 9.694
98-02.50 9.320 9.422 9.461 9.558 9.628
98-08.50 9.299 9.386 9.420 9.503 9.563
98-14.50 9.277 9.350 9.378 9.447 9.497
98-20.50 9.256 9.314 9.337 9.392 9.432
98-26.50 9.235 9.278 9.296 9.337 9.367
99-00.50 9.214 9.243 9.254 9.282 9.303
99-06.50 9.193 9.208 9.213 9.228 9.238
99-12.50 9.171 9.172 9.172 9.173 9.174
99-18.50 9.150 9.137 9.132 9.119 9.109
99-24.50 9.130 9.102 9.091 9.064 9.045
*99-30.50 9.109 9.067 9.050 9.010 8.981
100-04.50 9.088 9.032 9.010 8.956 8.917
100-10.50 9.067 8.997 8.969 8.902 8.854
100-16.50 9.046 8.962 8.929 8.849 8.790
100-22.50 9.026 8.927 8.889 8.795 8.727
100-28.50 9.005 8.893 8.849 8.741 8.663
101-02.50 8.985 8.858 8.809 8.688 8.600
101-08.50 8.964 8.824 8.769 8.635 8.537
101-14.50 8.944 8.789 8.729 8.582 8.475
101-20.50 8.924 8.755 8.689 8.529 8.412
101-26.50 8.903 8.721 8.650 8.476 8.350
102-00.50 8.883 8.687 8.610 8.423 8.287
AVG LIFE 21.03 7.94 6.44 4.39 3.56
DURATION 8.94 5.32 4.59 3.45 2.92
FIRST PAY 8/15 10/04 1/04 10/03 10/03
LAST PAY 2/28 12/12 8/10 4/07 6/05
Original Balance: $3,200,000
Assumed Coupon: 9.000000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
46
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
----------------------------------------------
CLASS IIA-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-21 30.238 39.854 42.942 53.625 66.326
99-22 29.943 38.682 41.489 51.198 62.742
99-23 29.648 37.510 40.036 48.772 59.160
99-24 29.353 36.340 38.584 46.348 55.579
99-25 29.058 35.170 37.133 43.925 52.001
99-26 28.764 34.001 35.683 41.503 48.424
99-27 28.469 32.832 34.234 39.083 44.849
99-28 28.175 31.664 32.785 36.663 41.275
99-29 27.881 30.497 31.338 34.246 37.704
99-30 27.587 29.331 29.891 31.829 34.134
99-31 27.294 28.165 28.445 29.414 30.566
100- 0 27.000 27.000 27.000 27.000 27.000
100- 1 26.707 25.836 25.556 24.587 23.436
100- 2 26.413 24.672 24.112 22.176 19.873
100- 3 26.120 23.509 22.670 19.766 16.312
100- 4 25.827 22.347 21.228 17.358 12.753
100- 5 25.534 21.185 19.787 14.950 9.196
100- 6 25.242 20.024 18.347 12.544 5.640
100- 7 24.949 18.864 16.908 10.140 2.086
100- 8 24.657 17.704 15.470 7.736 -1.466
100- 9 24.364 16.545 14.033 5.334 -5.016
100-10 24.072 15.387 12.596 2.933 -8.564
100-11 23.780 14.230 11.160 0.534 -12.111
AVG LIFE 21.20 3.19 2.47 1.39 0.91
FIRST PAY 10/00 10/00 10/00 10/00 10/00
LAST PAY 11/29 1/10 12/07 3/05 2/03
Original Balance: $481,600,000
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]
47
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
----------------------------------------------
CLASS IIM-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-10 65.770 74.249 76.768 78.494 87.919
99-12 65.243 72.948 75.238 76.806 85.372
99-14 64.716 71.649 73.709 75.120 82.827
99-16 64.190 70.350 72.181 73.436 80.284
99-18 63.664 69.053 70.654 71.752 77.742
99-20 63.139 67.756 69.129 70.070 75.202
99-22 62.615 66.461 67.604 68.388 72.664
99-24 62.091 65.167 66.081 66.708 70.128
99-26 61.567 63.873 64.559 65.030 67.593
99-28 61.044 62.581 63.038 63.352 65.060
99-30 60.522 61.290 61.519 61.675 62.529
100- 0 60.000 60.000 60.000 60.000 60.000
100- 2 59.479 58.711 58.483 58.326 57.472
100- 4 58.958 57.423 56.966 56.653 54.946
100- 6 58.437 56.136 55.451 54.981 52.422
100- 8 57.918 54.850 53.938 53.310 49.900
100-10 57.398 53.565 52.425 51.641 47.379
100-12 56.879 52.281 50.913 49.973 44.860
100-14 56.361 50.998 49.403 48.306 42.343
100-16 55.843 49.716 47.894 46.640 39.827
100-18 55.326 48.436 46.386 44.975 37.314
100-20 54.809 47.156 44.879 43.311 34.801
100-22 54.293 45.877 43.373 41.649 32.291
AVG LIFE 27.50 6.08 4.92 4.30 2.70
FIRST PAY 4/25 10/03 12/03 7/04 2/03
LAST PAY 11/29 1/10 12/07 3/05 9/03
Original Balance: $30,800,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
48
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
----------------------------------------------
CLASS IIM-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-10 105.992 114.429 117.100 120.630 125.555
99-12 105.445 113.112 115.539 118.748 123.223
99-14 104.898 111.796 113.980 116.867 120.894
99-16 104.351 110.481 112.422 114.987 118.566
99-18 103.806 109.167 110.865 113.109 116.239
99-20 103.260 107.854 109.309 111.233 113.915
99-22 102.716 106.542 107.754 109.357 111.592
99-24 102.171 105.232 106.201 107.483 109.270
99-26 101.628 103.922 104.649 105.610 106.950
99-28 101.085 102.614 103.098 103.739 104.632
99-30 100.542 101.306 101.548 101.869 102.315
100- 0 100.000 100.000 100.000 100.000 100.000
100- 2 99.459 98.695 98.453 98.133 97.686
100- 4 98.918 97.390 96.907 96.266 95.375
100- 6 98.377 96.087 95.362 94.402 93.064
100- 8 97.837 94.785 93.818 92.538 90.755
100-10 97.298 93.484 92.276 90.676 88.448
100-12 96.759 92.184 90.734 88.815 86.143
100-14 96.221 90.885 89.194 86.955 83.839
100-16 95.684 89.587 87.656 85.097 81.536
100-18 95.147 88.290 86.118 83.240 79.236
100-20 94.610 86.995 84.581 81.384 76.936
100-22 94.074 85.700 83.046 79.530 74.639
AVG LIFE 27.50 6.08 4.87 3.83 2.99
FIRST PAY 4/25 10/03 11/03 2/04 9/03
LAST PAY 11/29 1/10 12/07 3/05 9/03
Original Balance: $26,600,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
49
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
----------------------------------------------
CLASS IIB
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-20 192.970 209.811 215.334 224.538 231.922
98-24 191.779 207.079 212.096 220.460 227.169
98-28 190.590 204.351 208.864 216.388 222.422
99- 0 189.403 201.627 205.636 212.321 217.682
99- 4 188.219 198.908 202.414 208.261 212.949
99- 8 187.037 196.193 199.197 204.206 208.222
99-12 185.858 193.483 195.985 200.157 203.502
99-16 184.682 190.778 192.778 196.114 198.788
99-20 183.508 188.077 189.576 192.077 194.082
99-24 182.336 185.380 186.379 188.046 189.381
99-28 181.167 182.688 183.187 184.020 184.687
100- 0 180.000 180.000 180.000 180.000 180.000
100- 4 178.836 177.317 176.818 175.986 175.319
100- 8 177.674 174.638 173.641 171.977 170.645
100-12 176.514 171.963 170.469 167.975 165.977
100-16 175.357 169.293 167.303 163.977 161.316
100-20 174.202 166.627 164.141 159.986 156.661
100-24 173.050 163.965 160.984 156.000 152.012
100-28 171.900 161.308 157.831 152.020 147.370
101- 0 170.752 158.655 154.684 148.046 142.735
101- 4 169.607 156.006 151.542 144.077 138.105
101- 8 168.464 153.362 148.404 140.114 133.482
101-12 167.323 150.722 145.272 136.156 128.866
AVG LIFE 27.49 6.05 4.82 3.58 2.99
FIRST PAY 4/25 10/03 10/03 11/03 9/03
LAST PAY 11/29 1/10 12/07 3/05 9/03
Original Balance: $21,000,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
50
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
-----------------------------------
CLASS IA-5
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-20 8.255 8.316 8.345 8.404 8.453
98-24 8.244 8.300 8.327 8.378 8.413
98-28 8.232 8.284 8.310 8.352 8.373
99- 0 8.220 8.268 8.292 8.327 8.332
99- 4 8.209 8.253 8.274 8.301 8.292
99- 8 8.197 8.237 8.257 8.276 8.252
99-12 8.185 8.221 8.239 8.250 8.212
99-16 8.174 8.206 8.222 8.225 8.172
99-20 8.162 8.190 8.204 8.199 8.132
99-24 8.150 8.174 8.187 8.174 8.092
99-28 8.139 8.159 8.169 8.148 8.053
*100- 0 8.127 8.143 8.152 8.123 8.013
100- 4 8.116 8.128 8.134 8.098 7.973
100- 8 8.104 8.112 8.117 8.073 7.934
100-12 8.093 8.097 8.100 8.048 7.894
100-16 8.081 8.081 8.082 8.022 7.855
100-20 8.070 8.066 8.065 7.997 7.815
100-24 8.059 8.050 8.048 7.972 7.776
100-28 8.047 8.035 8.031 7.947 7.737
101- 0 8.036 8.019 8.013 7.922 7.698
101- 4 8.025 8.004 7.996 7.897 7.659
101- 8 8.013 7.989 7.979 7.873 7.619
101-12 8.002 7.974 7.962 7.848 7.580
AVG LIFE 28.03 13.78 11.48 6.80 3.80
DURATION 10.79 7.98 7.14 4.92 3.13
FIRST PAY 8/26 12/10 9/07 12/04 6/03
LAST PAY 7/30 2/23 6/19 1/15 2/11
Original Balance: $20,250,000
Assumed Coupon: 8.037000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
51
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
-----------------------------------
CLASS IA-6
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-10 7.626 7.635 7.636 7.638 7.640
99-12 7.617 7.623 7.624 7.625 7.626
99-14 7.608 7.611 7.611 7.612 7.612
99-16 7.599 7.599 7.599 7.599 7.599
99-18 7.590 7.587 7.586 7.586 7.585
99-20 7.580 7.575 7.574 7.572 7.572
99-22 7.571 7.563 7.562 7.559 7.558
99-24 7.562 7.551 7.549 7.546 7.544
99-26 7.553 7.539 7.537 7.533 7.531
99-28 7.544 7.527 7.525 7.520 7.517
99-30 7.534 7.515 7.512 7.507 7.504
*100- 0 7.525 7.503 7.500 7.494 7.490
100- 2 7.516 7.491 7.488 7.481 7.477
100- 4 7.507 7.479 7.475 7.468 7.463
100- 6 7.498 7.467 7.463 7.455 7.450
100- 8 7.489 7.455 7.451 7.442 7.436
100-10 7.480 7.444 7.438 7.428 7.423
100-12 7.471 7.432 7.426 7.415 7.409
100-14 7.461 7.420 7.414 7.402 7.396
100-16 7.452 7.408 7.402 7.389 7.382
100-18 7.443 7.396 7.389 7.376 7.369
100-20 7.434 7.384 7.377 7.363 7.355
100-22 7.425 7.372 7.365 7.350 7.342
AVG LIFE 10.04 7.01 6.72 6.21 5.96
DURATION 6.79 5.21 5.04 4.75 4.59
FIRST PAY 10/03 10/03 10/03 11/03 2/04
LAST PAY 10/12 4/10 3/10 1/10 10/10
Original Balance: $15,000,000
Assumed Coupon: 7.481000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
52
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
-----------------------------------
CLASS IM-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-20 8.145 8.205 8.227 8.282 8.318
98-24 8.132 8.183 8.202 8.249 8.279
98-28 8.119 8.162 8.177 8.216 8.241
99- 0 8.107 8.140 8.152 8.182 8.202
99- 4 8.094 8.118 8.127 8.149 8.164
99- 8 8.081 8.096 8.102 8.116 8.126
99-12 8.068 8.075 8.077 8.083 8.087
99-16 8.055 8.053 8.052 8.051 8.049
99-20 8.042 8.032 8.028 8.018 8.011
99-24 8.030 8.010 8.003 7.985 7.973
99-28 8.017 7.988 7.978 7.952 7.935
*100- 0 8.004 7.967 7.954 7.920 7.897
100- 4 7.991 7.946 7.929 7.887 7.859
100- 8 7.979 7.924 7.904 7.854 7.822
100-12 7.966 7.903 7.880 7.822 7.784
100-16 7.954 7.882 7.856 7.790 7.746
100-20 7.941 7.860 7.831 7.757 7.709
100-24 7.928 7.839 7.807 7.725 7.671
100-28 7.916 7.818 7.782 7.693 7.634
101- 0 7.903 7.797 7.758 7.660 7.596
101- 4 7.891 7.776 7.734 7.628 7.559
101- 8 7.878 7.755 7.710 7.596 7.522
101-12 7.866 7.733 7.686 7.564 7.484
AVG LIFE 21.45 8.58 7.10 4.86 4.00
DURATION 9.79 5.80 5.05 3.81 3.28
FIRST PAY 8/15 10/04 1/04 11/03 12/03
LAST PAY 11/29 10/15 11/14 3/10 7/07
Original Balance: $3,600,000
Assumed Coupon: 7.926000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
53
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
-----------------------------------
CLASS IM-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-20 8.450 8.509 8.532 8.587 8.626
98-24 8.437 8.487 8.506 8.553 8.586
98-28 8.424 8.465 8.481 8.519 8.546
99- 0 8.411 8.443 8.455 8.485 8.507
99- 4 8.397 8.421 8.430 8.451 8.467
99- 8 8.384 8.399 8.404 8.418 8.427
99-12 8.371 8.377 8.379 8.384 8.387
99-16 8.358 8.355 8.353 8.350 8.348
99-20 8.345 8.333 8.328 8.316 8.308
99-24 8.332 8.311 8.303 8.283 8.269
99-28 8.319 8.289 8.278 8.249 8.229
*100- 0 8.306 8.267 8.252 8.216 8.190
100- 4 8.293 8.245 8.227 8.183 8.151
100- 8 8.280 8.224 8.202 8.149 8.112
100-12 8.267 8.202 8.177 8.116 8.072
100-16 8.254 8.180 8.152 8.083 8.033
100-20 8.241 8.159 8.127 8.049 7.994
100-24 8.228 8.137 8.102 8.016 7.955
100-28 8.215 8.116 8.077 7.983 7.917
101- 0 8.203 8.094 8.053 7.950 7.878
101- 4 8.190 8.073 8.028 7.917 7.839
101- 8 8.177 8.051 8.003 7.884 7.800
101-12 8.164 8.030 7.978 7.852 7.762
AVG LIFE 21.40 8.53 6.95 4.75 3.85
DURATION 9.55 5.70 4.94 3.72 3.16
FIRST PAY 8/15 10/04 1/04 10/03 11/03
LAST PAY 7/29 8/15 7/13 4/09 11/06
Original Balance: $3,200,000
Assumed Coupon: 8.221000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
54
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
-----------------------------------
CLASS IB
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
97-28.50 9.342 9.457 9.502 9.612 9.691
98-02.50 9.320 9.421 9.460 9.556 9.626
98-08.50 9.299 9.385 9.419 9.501 9.561
98-14.50 9.277 9.349 9.377 9.446 9.496
98-20.50 9.256 9.314 9.336 9.391 9.431
98-26.50 9.235 9.278 9.295 9.337 9.367
99-00.50 9.214 9.243 9.254 9.282 9.302
99-06.50 9.193 9.207 9.213 9.227 9.238
99-12.50 9.171 9.172 9.172 9.173 9.174
99-18.50 9.150 9.137 9.132 9.119 9.110
99-24.50 9.130 9.102 9.091 9.065 9.046
*99-30.50 9.109 9.067 9.051 9.011 8.982
100-04.50 9.088 9.032 9.010 8.957 8.918
100-10.50 9.067 8.997 8.970 8.903 8.855
100-16.50 9.047 8.963 8.930 8.850 8.792
100-22.50 9.026 8.928 8.890 8.796 8.729
100-28.50 9.005 8.893 8.850 8.743 8.666
101-02.50 8.985 8.859 8.810 8.690 8.603
101-08.50 8.964 8.825 8.770 8.637 8.540
101-14.50 8.944 8.790 8.731 8.584 8.478
101-20.50 8.924 8.756 8.691 8.531 8.415
101-26.50 8.904 8.722 8.652 8.479 8.353
102-00.50 8.883 8.688 8.612 8.426 8.291
AVG LIFE 21.05 7.98 6.47 4.42 3.58
DURATION 8.95 5.33 4.61 3.46 2.93
FIRST PAY 8/15 10/04 1/04 10/03 10/03
LAST PAY 10/28 2/14 9/11 12/07 12/05
Original Balance: $3,200,000
Assumed Coupon: 9.000000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
55
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO MATURITY)
----------------------------------------------
CLASS IIA-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-21 30.247 40.459 43.508 53.649 66.326
99-22 29.952 39.338 42.129 51.378 62.742
99-23 29.658 38.218 40.751 49.108 59.160
99-24 29.363 37.098 39.375 46.839 55.579
99-25 29.068 35.979 37.999 44.572 52.001
99-26 28.774 34.860 36.623 42.307 48.424
99-27 28.480 33.743 35.249 40.042 44.849
99-28 28.186 32.626 33.876 37.780 41.275
99-29 27.892 31.510 32.504 35.519 37.704
99-30 27.598 30.394 31.132 33.259 34.134
99-31 27.304 29.279 29.762 31.001 30.566
100- 0 27.011 28.165 28.392 28.744 27.000
100- 1 26.718 27.052 27.023 26.489 23.436
100- 2 26.425 25.940 25.656 24.235 19.873
100- 3 26.131 24.828 24.289 21.983 16.312
100- 4 25.839 23.717 22.923 19.732 12.753
100- 5 25.546 22.607 21.557 17.483 9.196
100- 6 25.253 21.497 20.193 15.235 5.640
100- 7 24.961 20.388 18.830 12.988 2.086
100- 8 24.669 19.280 17.468 10.743 -1.466
100- 9 24.376 18.173 16.106 8.500 -5.016
100-10 24.084 17.066 14.745 6.258 -8.564
100-11 23.793 15.960 13.386 4.017 -12.111
AVG LIFE 21.24 3.47 2.70 1.52 0.91
FIRST PAY 10/00 10/00 10/00 10/00 10/00
LAST PAY 9/30 2/21 1/17 11/10 2/03
Original Balance: $481,600,000
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]
56
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO MATURITY)
----------------------------------------------
CLASS IIM-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-10 65.789 75.070 77.552 79.178 87.919
99-12 65.262 73.838 76.113 77.591 85.372
99-14 64.736 72.606 74.675 76.006 82.827
99-16 64.210 71.376 73.238 74.422 80.284
99-18 63.685 70.147 71.803 72.838 77.742
99-20 63.161 68.919 70.368 71.256 75.202
99-22 62.637 67.692 68.935 69.675 72.664
99-24 62.113 66.466 67.503 68.096 70.128
99-26 61.590 65.242 66.072 66.517 67.593
99-28 61.067 64.018 64.643 64.940 65.060
99-30 60.545 62.795 63.215 63.363 62.529
100- 0 60.024 61.574 61.787 61.788 60.000
100- 2 59.503 60.353 60.361 60.214 57.472
100- 4 58.983 59.134 58.937 58.641 54.946
100- 6 58.463 57.916 57.513 57.070 52.422
100- 8 57.943 56.698 56.091 55.499 49.900
100-10 57.424 55.482 54.669 53.929 47.379
100-12 56.906 54.267 53.249 52.361 44.860
100-14 56.388 53.053 51.830 50.794 42.343
100-16 55.871 51.840 50.413 49.228 39.827
100-18 55.354 50.628 48.996 47.663 37.314
100-20 54.838 49.417 47.581 46.099 34.801
100-22 54.322 48.207 46.167 44.536 32.291
AVG LIFE 27.58 6.70 5.42 4.65 2.70
FIRST PAY 4/25 10/03 12/03 7/04 2/03
LAST PAY 7/30 1/17 8/13 9/08 9/03
Original Balance: $30,800,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
57
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO MATURITY)
----------------------------------------------
CLASS IIM-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-10 106.022 116.000 118.771 122.032 133.459
99-12 105.475 114.742 117.291 120.240 131.882
99-14 104.929 113.485 115.811 118.449 130.306
99-16 104.383 112.230 114.333 116.660 128.731
99-18 103.837 110.975 112.857 114.872 127.158
99-20 103.292 109.721 111.381 113.086 125.585
99-22 102.748 108.469 109.907 111.301 124.014
99-24 102.204 107.218 108.434 109.517 122.444
99-26 101.661 105.967 106.962 107.734 120.875
99-28 101.118 104.718 105.492 105.953 119.307
99-30 100.576 103.470 104.022 104.173 117.741
100- 0 100.034 102.223 102.554 102.394 116.175
100- 2 99.493 100.977 101.087 100.617 114.611
100- 4 98.953 99.732 99.621 98.840 113.047
100- 6 98.413 98.488 98.157 97.066 111.485
100- 8 97.873 97.246 96.694 95.292 109.924
100-10 97.335 96.004 95.232 93.520 108.365
100-12 96.796 94.763 93.771 91.749 106.806
100-14 96.258 93.524 92.311 89.979 105.249
100-16 95.721 92.285 90.853 88.211 103.692
100-18 95.184 91.048 89.396 86.444 102.137
100-20 94.648 89.812 87.940 84.678 100.583
100-22 94.113 88.576 86.485 82.914 99.030
AVG LIFE 27.58 6.60 5.29 4.08 4.74
FIRST PAY 4/25 10/03 11/03 2/04 9/03
LAST PAY 7/30 6/15 4/12 11/07 7/07
Original Balance: $26,600,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
58
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO MATURITY)
----------------------------------------------
CLASS IIB
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-20 192.992 210.921 216.527 225.490 237.039
98-24 191.801 208.240 213.361 221.497 232.925
98-28 190.612 205.563 210.200 217.511 228.816
99- 0 189.426 202.891 207.045 213.530 224.714
99- 4 188.243 200.224 203.894 209.556 220.617
99- 8 187.062 197.561 200.749 205.587 216.526
99-12 185.883 194.903 197.609 201.624 212.441
99-16 184.707 192.249 194.474 197.666 208.361
99-20 183.533 189.600 191.344 193.715 204.288
99-24 182.362 186.955 188.219 189.769 200.220
99-28 181.193 184.315 185.099 185.829 196.158
100- 0 180.026 181.679 181.984 181.895 192.101
100- 4 178.862 179.047 178.875 177.966 188.051
100- 8 177.701 176.420 175.770 174.043 184.006
100-12 176.542 173.797 172.670 170.126 179.966
100-16 175.385 171.179 169.575 166.215 175.933
100-20 174.230 168.565 166.486 162.309 171.905
100-24 173.078 165.956 163.401 158.408 167.882
100-28 171.929 163.350 160.321 154.514 163.866
101- 0 170.781 160.750 157.246 150.625 159.854
101- 4 169.637 158.153 154.176 146.741 155.849
101- 8 168.494 155.561 151.111 142.863 151.849
101-12 167.354 152.973 148.050 138.991 147.854
AVG LIFE 27.53 6.26 4.99 3.68 3.54
FIRST PAY 4/25 10/03 10/03 11/03 12/03
LAST PAY 5/30 2/13 5/10 9/06 9/04
Original Balance: $21,000,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
[CHASE LOGO]
59
