<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported)
November 14, 1996
ContiSecurities Asset Funding Corp.
------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 33-99340 13-2937238
- ----------------------------- -------------- -------------------
(State or Other Jurisdiction) (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
277 Park Avenue
New York, New York 10172
- -------------------------------------------- --------------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 207-2800
--------------
No Change
-------------------------------------------------------------
(Former name or former address, if changed since last report)
<PAGE>
Item 5. Other Events.
In connection with the offering of ContiMortgage Home Equity Loan
Pass-Through Certificates, Series 1996-4, certain "Computational Materials"
within the meaning of the May 20, 1994 Kidder, Peabody No-Action Letter and the
February 17, 1995 Public Securities Association No-Action Letter were furnished
to certain prospective investors (the "Related Computational Materials").
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable
(b) Not applicable
(c) Exhibits:
99.1 Related Computational Materials provided by CS First Boston
Corporation in connection with sales efforts.
99.2 Related Computational Materials provided by Merrill Lynch &
Co. in connection with sales efforts
99.3 Related Computational Materials provided by Morgan Stanley
& Co. in connection with sales efforts.
99.4 Related Computational Materials provided by Lehman Brothers
Inc. in connection with sales efforts.
99.5 Related Computational Materials provided by Greenwich
Capital Markets in connection with sales efforts.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
CONTISECURITIES ASSET FUNDING CORP.,
as Depositor
By: /s/ James E. Moore
-------------------------------------
Name: James E. Moore
Title: President
By: /s/ Jerome M. Perelson
-------------------------------------
Name: Jerome M. Perelson
Title: Vice President
Dated: November 18, 1996
<PAGE>
EXHIBIT INDEX
Exhibit No. Description Page No.
99.1 Related Computational Materials provided by CS First Boston
Corporation in connection with sales efforts.
99.2 Related Computational Materials provided by Merrill Lynch &
Co. in connection with sales efforts
99.3 Related Computational Materials provided by Morgan Stanley
& Co. in connection with sales efforts.
99.4 Related Computational Materials provided by Lehman Brothers
Inc. in connection with sales efforts.
99.5 Related Computational Materials provided by Greenwich
Capital Markets in connection with sales efforts.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Modeling Assumptions
Loan Group I: $675,000,000 Fixed Rate Collateral
Loan Group II: $225,000,000 Adjustable Rate Collateral
Loan Group I Prepayment Assumption: 120% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes that the prepayments start at 4% CPR in month 1,
rise by 1.455% per month to 20% CPR in month 12 and remain at 20% CPR thereafter
on a seasoning adjusted basis.
Loan Group II Prepayment Assumption: Prepayments remain constant at 21% CPR
throughout the life of the collateral.
<TABLE>
<CAPTION>
Delay Day Dated Settlement
Class Loan Group Balance WAL Coupon Days Count Date Date Notes
- ----- ---------- ------- --- ------ ---- ----- ---- ---- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 I $96,500,000 0.50 1 m. LIB + 7 None Actual/360 12/12/96 12/12/96 (1)
A-2 I $113,900,000 1.14 6.21% 14 30/360 11/23/96 12/12/96 (2)
A-3 I $139,800,000 2.08 6.29% 14 30/360 11/23/96 12/12/96 (2)
A-4 I $62,900,000 3.08 6.48% 14 30/360 11/23/96 12/12/96 (2)
A-5 I $71,700,000 4.08 6.69% 14 30/360 11/23/96 12/12/96 (2)
A-6 I $37,800,000 5.20 6.80% 14 30/360 11/23/96 12/12/96 (2)
A-7 I $59,100,000 7.00 7.07% 14 30/360 11/23/96 12/12/96 (2)
A-8 I $43,300,000 11.45 7.30% 14 30/360 11/23/96 12/12/96 (2)
A-9 I $50,000,000 7.01 6.95% 14 30/360 11/23/96 12/12/96 (2)
A-10 II $225,000,000 3.96 1 m. LIB + 26 None Actual/360 12/12/96 12/12/96 (3)
A-11IO I (4) 0.99% 14 30/360 11/23/96 12/12/96 (4)
A-12IO II (5) 0.95% 14 30/360 11/23/96 12/12/96 (5)
</TABLE>
Notes
- --------------------------------------------------------------------------------
(1) Class A-1 Floater is uncapped and settles flat; Actual/360 day count;
assumes 1 month LIBOR as 5.375%.
(2) Classes A-2 through A-9 and Class A-11IO and Class A-12IO settle with
accrued interest; 30/360 day count.
(3) Class A-10 Floater settles flat; Actual/360 day count; assumes 1 month LIBOR
as 5.375% and 6 month LIBOR as 5.540%.
(4) Class A-11IO Notional Balance is the outstanding Loan Group I bond balance
each month.
(5) Class A-12IO Notional Balance is the outstanding Loan Group II bond balance
each month.
Page 1
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Modeling Assumptions
OC uses excess from both Loan Group I and Loan Group II
<TABLE>
<CAPTION>
Loan Group I Loan Group II
------------ -------------
<S> <C> <C>
OC Target Months 1-4: $500,000 $500,000
OC Ramp thereafter: 2.60% as % of initial principal balance 2.50% as % of initial principal balance
OC Step (rule applies for each Loan Group) 5.20% as % of current principal balance 5.00% as % of current principal balance
</TABLE>
The OC Step occurs when the period is 31 and the current principal balance is
less than 50% of the initial principal balance.
<TABLE>
<S> <C> <C>
OC Floor: 0.50% as % of initial principal balance 0.50% as % of initial principal balance
OC Carveout: n/a 0.50% - after month 12 on Loan Group II
Servicing: 0.50% 0.50%
Trustee: 0.01% 0.01%
MBIA Fees: 0.10% 0.10%
Class A-11IO Carveout 0.99% n/a
Class A-12IO Carveout n/a 0.95%
Losses: 0.00% 0.00%
</TABLE>
Class A-1 Floater is uncapped and is backed by fixed rate collateral from Loan
Group I.
Class A-9 Lock Bond is allocated principal pari passu with the class of bonds
that is currently receiving principal payments in a ratio equal to the product
a) the outstanding principal balance of the Lock Bond divided by the outstanding
principal balance of all fixed rate classes and b) a specified percentage.
The specified percentage is as follows:
Distribution Periods Applicable Percentages
-------------------- ----------------------
Month 1 - Month 36 0%
Month 37 - Month 60 45%
Month 61- Month 72 80%
Month 73 - Month 84 100%
Month 85 - End 140%
Class A-10 Floater assumes 1 month LIBOR of 5.375% and 6 month LIBOR of 5.540%
Page 2
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
Summary of Bonds
<TABLE>
<CAPTION>
To Avg 1st pay- Last pay-
Maturity Life CBE ment Date ment Date Modified Legal
Class Amount Coupon (yrs.) Yield Price (mm/yy) (mm/yy) Duration Final
- -------- ------------ ------ ------ ----- ---------- --------- --------- -------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $ 96,500,000 5.45% 0.50 5.59% 100.00000% 15-Jan-97 15-Oct-97 0.48 TBD
A-2 $113,900,000 6.21% 1.14 6.07% 100.00000% 15-Oct-97 15-Jun-98 1.07 TBD
A-3 $139,800,000 6.29% 2.08 6.24% 100.00000% 15-Jun-98 15-Aug-99 1.89 TBD
A-4 $ 62,900,000 6.48% 3.08 6.48% 100.00000% 15-Aug-99 15-Jun-00 2.71 TBD
A-5 $ 71,700,000 6.69% 4.08 6.71% 100.00000% 15-Jun-00 15-Sep-01 3.46 TBD
A-6 $ 37,800,000 6.80% 5.20 6.84% 100.00000% 15-Sep-01 15-Sep-02 4.25 TBD
A-7 $ 59,100,000 7.07% 7.00 7.12% 100.00000% 15-Sep-02 15-Sep-05 5.33 TBD
A-8 $ 43,300,000 7.30% 11.45 7.37% 100.00000% 15-Sep-05 15-Oct-11 7.46 TBD
A-9 $ 50,000,000 6.95% 7.01 7.00% 100.00000% 15-Jan-00 15-Oct-11 5.25 TBD
A-10 $225,000,000 5.64% 3.96 5.80% 100.00000% 15-Jan-97 15-Oct-17 3.16 TBD
<CAPTION>
Avg 1st pay- Last pay-
To Call Life CBE ment Date ment Date Modified
Class Amount Coupon (yrs.) Yield Price (mm/yy) (mm/yy) Duration
------- ------------ ------ ------ ----- ---------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-7 $ 59,100,000 7.07% 7.00 7.12% 100.00000% 15-Sep-02 15-Jul-05 5.33
A-8 $ 43,300,000 7.30% 8.59 7.37% 100.00000% 15-Jul-05 15-Jul-05 6.18
A-9 $ 50,000,000 6.95% 6.55 7.00% 100.00000% 15-Jan-00 15-Jul-05 5.03
A-10 $225,000,000 5.64% 3.54 5.79% 100.00000% 15-Jan-97 15-Jul-05 2.95
</TABLE>
Notes:
- ---------------------
1 Fixed Rate Certificates (Class A-1 to A-9) Pricing Prepayment = 120% of the
Prepayment Assumption. A 100% Prepayment Assumprion assumes prepayments start
at 4% CPR in month 1, rise by 1.455% per month to 20% CPR in month 12
thereafter on a seasoning adjusted basis.
2 Adjustable Rate Certificates (Class A-10) Pricing Prepayment = 21% CPR
throughout the life of the collateral.
3 Coupons and prices are assumed for computational materials.
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Page 3
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Collateral
Fixed Rate Home Equity Loans
Characteristics of the Mortgage Pool as of the
Preliminary Cut-Off Date October 31, 1996:
<TABLE>
<S> <C> <C>
Total Number of Loans: 9,887
Total Outstanding Loan Balance: $582,035,109
Balloon (% of Total): 55.24%
Level Pay (% of Total): 44.76%
Average Loan Principal Balance: $58,869 ($3,785 to $449,768)
Weighted Average LTV: 71.71% (4.00% to 93.00%)
Weighted Average CLTV : 74.92% (8.00% to 95.00%)
Weighted Average Home Equity Ratio (2nd Liens): 95.74% (6.50% to 100.00%)
Weighted Average Coupon: 11.90% (8.15% to 19.29%)
Weighted Average Remaining Term to Maturity (months): 211.0 (46 to 360)
Weighted Average Seasoning (months): 1.0
Weighted Average Original Term (months): 211.9 (48 to 360 )
</TABLE>
Range of Original Terms: Level Pay Balloons
----------------- -------------------
Up to 60: 0.15% Up to 60: 0.01%
61 - 120: 1.86% 61 - 120: 0.01%
121 - 180: 13.27% 121 - 180: 55.24%
181 - 240: 16.34%
241 - 300: 0.19%
301 - 360: 12.95%
Lien Position: 1st Lien: 93.03%
2nd Lien: 6.97%
Property Type:
Single Family Detached: 85.68% 2-4 Family: 7.97%
Single Family Attached: 2.95% Other: 3.40%
Occupancy Status:
Owner Occupied: 95.16%
Non-Owner Occupied: 4.84%
Geographic Distribution: OH: 9.93% NJ: 6.19%
(states not listed individually account for NY: 9.00% FL: 6.08%
less than 5.00% of the Outstanding Mortgage Pool IL: 6.52% NC: 5.79%
principal balance) PA: 6.26%
Credit Quality: A: 52.41%
(per ContiMortgage's guidelines) B: 26.47%
C: 16.04%
D: 5.08%
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Page 4
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information relating to the Collateral
Adjustable Rate Home Equity Loans
Characteristics of the Mortgage Pool as of the
Preliminary Cut-Off Date October 31, 1996:
Total Number of Loans: 2,455
Total Outstanding Loan Balance: $196,656,403
Balloon (% of Total): 0.29%
Level Pay (% of Total): 99.71%
Adjustable (% of Total): 100.00%
ARM Adjustment Type: "3 / 27" "2 / 28" "6 Month"
-------- -------- ---------
15.50% 4.43% 80.06%
<TABLE>
<S> <C> <C>
Average Loan Principal Balance: $80,104 ($10,000 to $444,459)
Weighted Average LTV: 74.51% (13.00% to 90.00%)
Weighted Average Coupon: 10.44% (6.99% to 16.10%)
Weighted Average Gross Margin: 6.77% (0.60% to 16.00%)
Weighted Average Gross Life Cap: 16.72% (11.40% to 22.10%)
Weighted Average Periodic Cap: 1.06% (1.00% to 6.00%)
Weighted Average Remaining Term to Maturity (months): 356.4 (120 to 360)
Weighted Average Seasoning (months): 0.7
Weighted Average Original Term (months): 357.1 (120 to 360)
</TABLE>
Range of Original Terms: Adjustable Balloons
-------------------- -------------------
61 - 120: 0.04% 121 - 180: 0.29%
121 - 180: 1.12%
181 - 240: 0.21%
241 - 300: 0.03%
301 - 360: 98.29%
Lien Position: 1st Lien: 100.00%
2nd Lien: 0.00%
Property Type:
Single Family Detached: 91.21% 2-4 Family: 3.58%
Single Family Attached: 1.38% Other: 3.83%
Occupancy Status:
Owner Occupied: 96.79%
Non-Owner Occupied: 3.21%
Geographic Distribution: MI: 34.22%
(states not listed individually account for CA: 10.15%
less than 5.00% of the Outstanding Mortgage Pool IL: 6.66%
principal balance)
Credit Quality: A: 45.31%
(per ContiMortgage's guidelines) B: 27.89%
C: 22.42%
D: 4.37%
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Page 5
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Distribution by Geographic Location
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Geographic Location Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Alabama 5 $233,322.24 0.04%
Arkansas 36 1,815,826.60 0.31%
Arizona 85 5,725,686.30 0.98%
California 151 14,083,184.69 2.42%
Colorado 114 7,237,254.20 1.24%
Connecticut 90 7,962,917.58 1.37%
DC 44 3,362,084.00 0.58%
Delaware 58 3,752,747.50 0.64%
Florida 625 35,376,249.06 6.08%
Georgia 263 13,928,407.76 2.39%
Hawaii 2 368,750.00 0.06%
Iowa 12 376,653.35 0.06%
Idaho 31 2,050,008.02 0.35%
Illinois 681 37,935,732.01 6.52%
Indiana 476 21,233,098.46 3.65%
Kansas 48 2,923,013.91 0.50%
Kentucky 178 9,777,067.36 1.68%
Louisiana 5 317,187.51 0.05%
Massachusetts 242 18,605,721.53 3.20%
Maryland 367 26,630,018.26 4.58%
Maine 14 598,893.01 0.10%
Michigan 1,260 57,897,716.94 9.95%
Minnesota 66 3,585,970.16 0.62%
Missouri 215 10,216,520.98 1.76%
Mississippi 14 587,919.76 0.10%
Montana 3 278,276.65 0.05%
North Carolina 652 33,705,348.97 5.79%
Nebraska 6 243,561.09 0.04%
New Hampshire 18 886,598.89 0.15%
New Jersey 461 36,041,592.92 6.19%
New Mexico 79 5,561,649.75 0.96%
Nevada 23 1,277,635.18 0.22%
New York 618 52,362,438.17 9.00%
Ohio 1,057 57,805,183.95 9.93%
Oklahoma 42 1,985,794.97 0.34%
Oregon 36 2,721,742.41 0.47%
Pennsylvania 649 36,434,983.95 6.26%
Rhode Island 64 4,288,315.36 0.74%
South Carolina 294 14,649,705.79 2.52%
South Dakota 1 44,807.63 0.01%
Tennessee 206 10,482,083.13 1.80%
Texas 78 5,409,967.17 0.93%
Utah 125 9,367,510.90 1.61%
Virginia 224 10,926,492.11 1.88%
Vermont 2 146,993.57 0.03%
Washington 58 5,387,014.44 0.93%
Wisconsin 98 5,119,957.61 0.88%
West Virginia 8 226,853.37 0.04%
Wyoming 3 98,650.23 0.02%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Page 6
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Distribution by Original Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Original LTV's(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0.00% to 5.00% 5 $51,897.89 0.01%
5.01% to 10.00% 48 778,062.44 0.13%
10.01% to 15.00% 259 5,574,471.00 0.96%
15.01% to 20.00% 328 8,719,865.18 1.50%
20.01% to 25.00% 313 9,485,048.44 1.63%
25.01% to 30.00% 242 8,054,787.86 1.38%
30.01% to 35.00% 205 6,738,662.05 1.16%
35.01% to 40.00% 238 8,699,846.46 1.49%
40.01% to 45.00% 216 8,433,481.57 1.45%
45.01% to 50.00% 347 12,658,457.00 2.17%
50.01% to 55.00% 272 12,869,560.02 2.21%
55.01% to 60.00% 502 24,848,959.21 4.27%
60.01% to 65.00% 663 36,022,312.05 6.19%
65.01% to 70.00% 951 55,296,927.14 9.50%
70.01% to 75.00% 1,192 78,455,985.52 13.48%
75.01% to 80.00% 2,309 153,399,499.42 26.36%
80.01% to 85.00% 1,107 89,289,444.05 15.34%
85.01% to 90.00% 688 62,538,264.23 10.74%
90.01% to 95.00% 2 119,577.87 0.02%
--------------------------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Combined Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Combined LTV's (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
5.01% to 10.00% 4 $66,965.78 0.01%
10.01% to 15.00% 22 308,230.39 0.05%
15.01% to 20.00% 35 679,677.64 0.12%
20.01% to 25.00% 83 1,922,478.18 0.33%
25.01% to 30.00% 97 2,622,488.95 0.45%
30.01% to 35.00% 123 3,268,940.72 0.56%
35.01% to 40.00% 188 6,338,708.65 1.09%
40.01% to 45.00% 186 6,991,479.90 1.20%
45.01% to 50.00% 351 12,281,602.70 2.11%
50.01% to 55.00% 276 12,335,901.01 2.12%
55.01% to 60.00% 540 25,734,173.17 4.42%
60.01% to 65.00% 723 37,719,697.61 6.48%
65.01% to 70.00% 1,059 59,645,835.66 10.25%
70.01% to 75.00% 1,358 83,724,376.68 14.38%
75.01% to 80.00% 2,700 165,952,975.70 28.51%
80.01% to 85.00% 1,447 99,715,023.09 17.13%
85.01% to 90.00% 691 62,588,728.87 10.75%
90.01% to 95.00% 4 137,824.70 0.02%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Page 7
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Distribution by Coupon Rates
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Coupon (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
8.01% to 9.00% 84 $7,795,830.35 1.34%
9.01% to 10.00% 704 55,209,593.92 9.49%
10.01% to 11.00% 1,924 134,512,328.08 23.11%
11.01% to 12.00% 2,440 154,915,661.42 26.62%
12.01% to 13.00% 2,087 116,279,337.09 19.98%
13.01% to 14.00% 1,307 63,117,203.01 10.84%
14.01% to 15.00% 707 29,184,631.79 5.01%
15.01% to 16.00% 403 14,262,163.26 2.45%
16.01% to 17.00% 113 3,698,042.69 0.64%
17.01% to 18.00% 99 2,516,113.57 0.43%
18.01% to 19.00% 17 508,225.69 0.09%
19.01% to 20.00% 2 35,978.53 0.01%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Current Loan Balances
<TABLE>
<CAPTION>
Number of Percentage of
Current Home Equity Aggregate Aggregate
Loan Balance(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
$0 to $25,000.00 1,549 $29,110,158.05 5.00%
25,000.01 to 50,000.00 3,612 135,953,596.39 23.36%
50,000.01 to 75,000.00 2,372 144,935,442.09 24.90%
75,000.01 to 100,000.00 1,134 97,850,081.58 16.81%
100,000.01 to 125,000.00 577 64,365,212.31 11.06%
125,000.01 to 150,000.00 278 37,865,288.58 6.51%
150,000.01 to 175,000.00 151 24,372,551.25 4.19%
175,000.01 to 200,000.00 88 16,395,669.51 2.82%
200,000.01 to 225,000.00 51 10,895,435.93 1.87%
225,000.01 to 250,000.00 28 6,656,679.17 1.14%
250,000.01 to 275,000.00 20 5,164,757.43 0.89%
275,000.01 to 300,000.00 13 3,733,341.24 0.64%
300,000.01 to 325,000.00 9 2,830,244.63 0.49%
325,000.01 to 350,000.00 2 677,246.03 0.12%
350,000.01 to 375,000.00 1 372,000.00 0.06%
400,000.01 to 425,000.00 1 407,636.73 0.07%
425,000.01 to 450,000.00 1 449,768.48 0.08%
----------------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
======================================================================
</TABLE>
(a) decimals have been truncated.
Page 8
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Distribution by Types of Mortgaged Property
<TABLE>
<CAPTION>
Number of Percentage of
Property Home Equity Aggregate Aggregate
Types Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Condominium 84 $4,614,392.42 0.79%
Manufactured Housing 157 $8,093,862.67 1.39%
Mixed Use 33 $3,233,716.33 0.56%
Planned Unit Development 46 $3,846,764.76 0.66%
Single Family Attached 367 17,145,342.70 2.95%
Single Family Detached 8,538 498,661,306.06 85.68%
Two-to-Four Family 662 46,439,724.46 7.98%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Months since Origination
<TABLE>
<CAPTION>
Months Elapsed Number of Percentage of
Since Origination Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 1 months 6,250 $369,009,126.67 63.40%
2 to 12 months 3,631 212,706,139.82 36.55%
13 to 24 months 6 319,842.91 0.05%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Remaining Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Remaining Term (a) Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 470 $11,726,014.22 2.01%
121 to 180 months 6,575 398,729,485.73 68.51%
181 to 240 months 1,802 95,089,620.00 16.34%
241 to 360 months 1,040 76,489,989.45 13.14%
---------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
===============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Original Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Original Term (a) Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 470 $11,726,014.22 2.01%
121 to 180 months 6,575 398,729,485.73 68.51%
181 to 240 months 1,802 95,089,620.00 16.34%
241 to 360 months 1,040 76,489,989.45 13.14%
---------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
===============================================================
(a) decimals have been truncated.
</TABLE>
Page 9
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Distribution by Home Equity Ratio
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Home Equity Aggregate Aggregate
Ratio (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
0.00% to 5.00% 5 $51,897.89 0.01%
5.01% to 10.00% 44 711,096.66 0.12%
10.01% to 15.00% 237 5,266,240.61 0.90%
15.01% to 20.00% 293 8,040,187.54 1.38%
20.01% to 25.00% 236 7,688,558.18 1.32%
25.01% to 30.00% 149 5,538,115.81 0.95%
30.01% to 35.00% 88 3,636,272.04 0.62%
35.01% to 40.00% 60 2,843,512.00 0.49%
40.01% to 45.00% 41 1,839,192.73 0.32%
45.01% to 50.00% 23 1,210,605.69 0.21%
50.01% to 55.00% 29 1,555,262.68 0.27%
55.01% to 60.00% 16 969,346.53 0.17%
60.01% to 65.00% 5 361,733.88 0.06%
65.01% to 70.00% 5 284,854.42 0.05%
70.01% to 75.00% 5 506,719.28 0.09%
75.01% to 80.00% 2 79,865.35 0.01%
----------------------------------------------------------------
Total 1,238 $40,583,461.29 6.97%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Occupancy Status
<TABLE>
<CAPTION>
Number of Percentage of
Occupancy Home Equity Aggregate Aggregate
Status Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
Investor Occupied 570 $28,167,641.70 4.84%
Owner Occupied 9,317 553,867,467.70 95.16%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Lien Position
<TABLE>
<CAPTION>
Number of Percentage of
Lien Home Equity Aggregate Aggregate
Position Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
1st lien 8,649 $541,451,648.11 93.03%
2nd lien 1,238 40,583,461.29 6.97%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Page 10
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Distribution by Loan Purpose
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
DC & HI Combo 379 $22,621,189.94 3.89%
Debt Consolidation 8,544 502,936,200.74 86.41%
Home Improvement 457 23,220,071.78 3.99%
Other 507 33,257,646.94 5.71%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Loan Type
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Balloon 4,627 $321,542,623.06 55.24%
Non Balloon 5,260 260,492,486.34 44.76%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Days Delinquent
<TABLE>
<CAPTION>
Percentage of
Number Outstanding Outstanding
Days Delinquent of Loans Balance Balance
<S> <C> <C> <C>
0 to 29 days 9,825 $578,930,860.83 99.47%
30 to 59 days 54 2,678,295.34 0.46%
60 to 89 days 7 371,576.88 0.06%
90 to 119 days 1 54,376.35 0.01%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Debt to Income Ratio
<TABLE>
Percentage of
Debt to Number Outstanding Outstanding
Income Ratio of Loans Balance Balance
<S> <C> <C> <C>
0.00% to 5.00% 9 $451,372.70 0.08%
5.01% to 10.00% 61 2,261,182.65 0.39%
10.01% to 20.00% 761 32,229,687.92 5.54%
20.01% to 30.00% 1,958 96,402,217.97 16.56%
30.01% to 40.00% 2,883 168,525,469.15 28.95%
40.01% to 50.00% 3,999 265,528,910.42 45.62%
50.01% to 60.00% 216 16,636,268.59 2.86%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Page 11
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Distribution by Geographic Location
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Geographic Location Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Arizona 61 $5,684,184.04 2.89%
California 146 19,969,677.32 10.15%
Colorado 79 7,511,012.91 3.82%
Connecticut 18 2,822,251.21 1.44%
DC 5 569,874.44 0.29%
Delaware 3 347,484.99 0.18%
Florida 11 1,122,216.13 0.57%
Georgia 14 981,839.29 0.50%
Hawaii 1 245,000.00 0.12%
Iowa 30 1,231,721.58 0.63%
Idaho 26 1,727,649.68 0.88%
Illinois 166 13,090,771.67 6.66%
Indiana 69 4,202,519.92 2.14%
Kansas 22 1,273,203.23 0.65%
Kentucky 21 1,683,933.92 0.86%
Massachusetts 25 2,775,663.50 1.41%
Maryland 38 4,195,610.17 2.13%
Maine 1 50,000.00 0.03%
Michigan 1,020 67,292,579.25 34.22%
Minnesota 41 2,692,478.15 1.37%
Missouri 27 1,927,484.88 0.98%
Mississippi 1 22,950.00 0.01%
Montana 1 37,758.46 0.02%
North Carolina 16 1,518,987.32 0.77%
North Dakota 1 42,250.00 0.02%
Nebraska 9 587,339.70 0.30%
New Hampshire 1 88,081.01 0.04%
New Jersey 34 3,857,325.02 1.96%
New Mexico 35 3,539,870.79 1.80%
Nevada 2 118,532.92 0.06%
New York 41 4,279,510.59 2.18%
Ohio 91 7,552,730.99 3.84%
Oklahoma 1 52,500.00 0.03%
Oregon 30 2,320,359.56 1.18%
Pennsylvania 71 5,075,681.85 2.58%
Rhode Island 7 720,952.18 0.37%
South Carolina 6 353,010.64 0.18%
Tennessee 12 1,436,614.51 0.73%
Texas 49 3,743,535.30 1.90%
Utah 68 6,781,651.52 3.45%
Virginia 16 1,159,919.40 0.59%
Vermont 1 44,984.81 0.02%
Washington 51 6,104,517.66 3.10%
Wisconsin 64 4,616,000.17 2.35%
West Virginia 18 805,625.27 0.41%
Wyoming 5 398,557.20 0.20%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 12
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Distribution by Original Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Original LTV's (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
10.01% to 15.00% 1 15,000.00 0.01%
15.01% to 20.00% 3 67,000.00 0.03%
20.01% to 25.00% 10 413,645.75 0.21%
25.01% to 30.00% 16 687,181.96 0.35%
30.01% to 35.00% 18 695,372.27 0.35%
35.01% to 40.00% 36 1,952,813.88 0.99%
40.01% to 45.00% 31 1,380,734.12 0.70%
45.01% to 50.00% 74 4,242,807.08 2.16%
50.01% to 55.00% 48 2,380,961.19 1.21%
55.01% to 60.00% 128 7,466,317.49 3.80%
60.01% to 65.00% 201 13,013,244.39 6.62%
65.01% to 70.00% 273 22,479,953.27 11.43%
70.01% to 75.00% 460 38,119,601.24 19.38%
75.01% to 80.00% 784 67,571,808.77 34.36%
80.01% to 85.00% 339 32,547,267.77 16.55%
85.01% to 90.00% 33 3,622,693.97 1.84%
--------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
========================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Coupon Rates
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Coupon (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
6.01% to 7.00% 1 $277,771.68 0.14%
7.01% to 8.00% 34 3,652,300.62 1.86%
8.01% to 9.00% 197 19,309,782.98 9.82%
9.01% to 10.00% 647 59,573,547.23 30.29%
10.01% to 11.00% 773 62,750,392.81 31.91%
11.01% to 12.00% 502 34,180,971.27 17.38%
12.01% to 13.00% 187 10,825,276.44 5.50%
13.01% to 14.00% 63 3,720,084.44 1.89%
14.01% to 15.00% 42 1,961,753.68 1.00%
15.01% to 16.00% 8 364,522.00 0.19%
16.01% to 17.00% 1 40,000.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 13
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Distribution by Current Loan Balances
<TABLE>
<CAPTION>
Number of Percentage of
Current Home Equity Aggregate Aggregate
Loan Balance (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
$0 to $25,000.00 121 $2,514,364.61 1.28%
25,000.01 to 50,000.00 650 24,899,311.61 12.66%
50,000.01 to 75,000.00 682 42,529,798.80 21.63%
75,000.01 to 100,000.00 414 36,140,013.69 18.38%
100,000.01 to 125,000.00 220 24,629,950.72 12.52%
125,000.01 to 150,000.00 145 19,666,395.51 10.00%
150,000.01 to 175,000.00 87 14,102,354.47 7.17%
175,000.01 to 200,000.00 49 9,034,693.31 4.59%
200,000.01 to 225,000.00 27 5,678,412.70 2.89%
225,000.01 to 250,000.00 19 4,557,278.72 2.32%
250,000.01 to 275,000.00 80 2,094,409.28 1.07%
275,000.01 to 300,000.00 13 3,759,012.17 1.91%
300,000.01 to 325,000.00 8 2,491,733.35 1.27%
325,000.01 to 350,000.00 3 1,013,535.23 0.52%
350,000.01 to 375,000.00 4 1,442,110.05 0.73%
375,000.01 to 400,000.00 1 394,111.23 0.20%
400,000.01 to 425,000.00 3 1,264,458.67 0.64%
425,000.01 to 450,000.00 1 444,459.03 0.23%
--------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
========================================================
</TABLE>
(a) decimals have been truncated
Distribution by Types of Mortgaged Property
<TABLE>
<CAPTION>
Number of Percentage of
Property Home Equity Aggregate Aggregate
Types Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Condominium 32 $2,249,921.47 1.14%
Manufactured Housing 53 $3,333,572.03 1.70%
Mixed Use 1 $169,000.00 0.09%
Planned Unit Development 13 $1,793,065.33 0.91%
Single Family Attached 37 2,711,755.06 1.38%
Single Family Detached 2,240 179,368,877.89 91.21%
Two-to-Four Family 79 7,030,211.37 3.57%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Months since Origination
<TABLE>
<CAPTION>
Number of Percentage of
Months Elapsed Home Equity Aggregate Aggregate
Since Origination Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 1 month 1,729 $133,869,387.03 68.07%
2 to 12 months 726 62,787,016.12 31.93%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 14
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Distribution by Remaining Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Remaining Home Equity Aggregate Aggregate
Term (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 2 $83,000.00 0.04%
121 to 180 months 52 2,790,805.24 1.42%
181 to 240 months 10 414,135.96 0.21%
241 to 360 months 2,391 193,368,461.95 98.33%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Original Term to Maturit
<TABLE>
<CAPTION>
Number of Percentage of
Original Home Equity Aggregate Aggregate
Term (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 2 $83,000.00 0.04%
121 to 180 months 52 2,790,805.24 1.42%
181 to 240 months 10 414,135.96 0.21%
241 to 360 months 2,391 193,368,461.95 98.33%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Occupancy Status
<TABLE>
<CAPTION>
Number of Percentage of
Occupancy Home Equity Aggregate Aggregate
Status Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Investor Occupied 106 $6,311,797.65 3.21%
Owner Occupied 2,349 $190,344,605.50 96.79%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Lien Position
<TABLE>
<CAPTION>
Number of Percentage of
Lien Home Equity Aggregate Aggregate
Position Loans Loan Balance Loan Balance
<S> <C> <C> <C>
1st lien 2,455 $196,656,403.15 100.00%
2nd lien 0 0.00 0.00%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 15
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Distribution by Loan Purpose
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
DC & HI Combo 144 $11,126,483.57 5.66%
Debt Consolidation 2,048 163,119,057.27 82.95%
Home Improvement 112 7,620,603.16 3.88%
Other 151 14,790,259.15 7.52%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Loan Type
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Balloon 8 $579,195.06 0.29%
Non Balloon 2,477 196,077,208.09 99.71%
-------------------------------------------------------------
Total 2,485 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Days Delinquent
<TABLE>
<CAPTION>
Percentage of
Number Outstanding Outstanding
Days Delinquent of Loans Balance Balance
<S> <C> <C> <C>
0 to 29 days 2,448 $196,294,907.09 99.82%
30 to 59 days 6 313,996.06 0.16%
60 to 89 days 1 47,500.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Debt to Income Ratio
<TABLE>
<CAPTION>
Percentage of
Debt to Number Outstanding Outstanding
Income Ratio of Loans Balance Balance
<S> <C> <C> <C>
0.00% to 5.00% 1 $102,744.43 0.05%
5.01% to 10.00% 16 999,190.51 0.51%
10.01% to 15.00% 67 3,263,302.69 1.66%
15.01% to 20.00% 130 7,568,290.18 3.85%
20.01% to 30.00% 506 34,314,765.38 17.45%
30.01% to 40.00% 688 55,426,334.71 28.18%
40.01% to 50.00% 971 87,265,646.74 44.37%
50.01% to 60.00% 76 7,716,128.51 3.92%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 16
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Distribution by Gross Coupon Margin
<TABLE>
<CAPTION>
Number of Percentage of
Gross Coupon Home Equity Aggregate Aggregate
Margin (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
0.00% to 0.99% 1 $45,777.23 0.02%
1.00% to 1.99% 1 25,000.00 0.01%
3.00% to 3.99% 7 852,192.08 0.43%
4.00% to 4.99% 57 6,188,359.12 3.15%
5.00% to 5.99% 437 46,451,794.18 23.62%
6.00% to 6.99% 781 62,401,005.89 31.73%
7.00% to 7.99% 690 52,864,116.27 26.88%
8.00% to 8.99% 331 20,111,294.73 10.23%
9.00% to 9.99% 131 6,554,614.50 3.33%
10.00% to 10.99% 18 1,106,749.15 0.56%
16.00% to 16.99% 1 55,500.00 0.03%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Gross Coupon Lifetime Cap
<TABLE>
<CAPTION>
Number of Percentage of
Gross Lifetime Home Equity Aggregate Aggregate
Cap (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
11.00% to 11.99% 1 $98,600.00 0.05%
13.00% to 13.99% 19 1,928,710.00 0.98%
14.00% to 14.99% 113 11,331,812.73 5.76%
15.00% to 15.99% 497 45,187,874.60 22.98%
16.00% to 16.99% 807 65,815,086.02 33.47%
17.00% to 17.99% 625 47,603,837.84 24.21%
18.00% to 18.99% 251 16,492,070.30 8.39%
19.00% to 19.99% 82 5,094,935.84 2.59%
20.00% to 20.99% 49 2,597,753.82 1.32%
21.00% to 21.99% 10 465,722.00 0.24%
22.00% to 22.99% 1 40,000.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by ARM Adjustment Type
<TABLE>
<CAPTION>
Number of Percentage of
ARM Adjustment Home Equity Aggregate Aggregate
Type Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
"2 / 28" 305 $30,489,479.26 15.50%
"3 / 27" 79 8,712,948.86 4.43%
"6 months" 2,071 157,453,975.03 80.07%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 17
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Distribution by Periodic Cap
<TABLE>
<CAPTION>
Number of Percentage of
Periodic Home Equity Aggregate Aggregate
Cap(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
1.00% to 1.9 2,445 $195,843,703.79 99.59%
2.00% to 2.99% 3 350,907.61 0.18%
3.00% to 3.99% 6 403,733.46 0.21%
6.00% to 6.99% 1 58,058.29 0.03%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by First Adjust Cap
<TABLE>
<CAPTION>
Number of Percentage of
Periodic Home Equity Aggregate Aggregate
Cap (a) Loans Loan Balance Loan Balance
Loans With First Adjust Cap (different than subsequent cap):
<S> <C> <C> <C> <C>
0.00% to 0.99% 1 $59,500.00 0.03%
1.00% to 1.99% 7 883,464.40 0.45%
2.00% to 2.99% 5 481,881.59 0.25%
3.00% to 3.99% 325 33,154,208.18 16.86%
6.00% to 6.99% 8 815,774.10 0.41%
<CAPTION>
Loans With Periodic Cap (always same cap):
<S> <C> <C> <C> <C>
1.00% to 1.9 2,102 $160,664,967.27 81.70%
2.00% to 2.99% 2 230,632.61 0.12%
3.00% to 3.99% 5 365,975.00 0.19%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 18
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Distribution by Coupon Rate Change
<TABLE>
<CAPTION>
Next Coupon Number of Percentage of
Rate Change Home Equity Aggregate Aggregate
Date Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
December 1996 4 $272,468.28 0.14%
January 1997 37 2,882,327.28 1.47%
February 1997 226 17,826,018.79 9.06%
March 1997 709 57,347,623.80 29.16%
April 1997 808 60,954,242.49 31.00%
May 1997 287 18,171,294.39 9.24%
July 1997 1 70,923.35 0.04%
July 1998 13 1,220,927.78 0.62%
August 1998 73 7,528,177.09 3.83%
September 1998 67 6,217,309.93 3.16%
October 1998 136 13,817,364.46 7.03%
November 1998 16 1,705,700.00 0.87%
April 1999 1 113,815.17 0.06%
June 1999 1 120,629.78 0.06%
July 1999 10 1,232,499.95 0.63%
August 1999 17 1,579,376.32 0.80%
September 1999 13 1,314,514.90 0.67%
October 1999 23 2,710,889.39 1.38%
November 1999 13 1,570,300.00 0.80%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 19
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Rep Lines (October 31, 1996 Preliminary Cut-Off Date)
Fixed Rate Collateral Group I
<TABLE>
<CAPTION>
Original Remaining Original
Gross Net Term to Term to Amortization
Pool Principal Coupon Coupon Maturity Maturity Term Amortization
Number Balance Rate Rate (months) (months) (months) Method
- --------- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 $988,478.17 11.556% 11.056% 60 58 60 Level Pay
2 $12,546,697.69 12.304% 11.804% 118 116 118 Level Pay
3 $89,579,208.36 11.924% 11.424% 179 177 179 Level Pay
4 $110,277,700.54 11.816% 11.316% 240 238 240 Level Pay
5 $1,314,843.69 11.902% 11.402% 300 298 300 Level Pay
6 $87,392,421.63 11.398% 10.898% 360 358 360 Level Pay
7 $372,900,649.91 12.023% 11.523% 180 178 360 Balloon
Totals $675,000,000.00
</TABLE>
Adjustable Rate Collateral Group II
<TABLE>
<CAPTION>
Original
Gross Net Months Term to
Pool Principal Coupon Coupon to Rate Periodic Life Maturity
Number Balance Rate Rate Change Margin Cap Cap (months)
- --------- ----------------- ------------ ------------ ------------ ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 $311,738.45 10.738% 10.238% 1 6.663% 1.0 17.115% 360
2 $3,297,749.92 10.536% 10.036% 2 6.718% 1.0 16.671% 349
3 $20,395,238.41 10.552% 10.052% 3 6.943% 1.0 16.766% 356
4 $65,612,993.77 10.350% 9.850% 4 6.835% 1.0 16.643% 357
5 $69,739,425.42 10.322% 9.822% 5 6.896% 1.0 16.547% 357
6 $20,790,277.72 10.347% 9.847% 6 7.168% 1.0 16.399% 356
7 $81,145.36 11.000% 10.500% 8 6.700% 1.0 17.000% 360
8 $1,396,897.06 11.122% 10.622% 20 6.655% 2.8 17.627% 360
9 $8,613,194.48 10.680% 10.180% 21 6.072% 3.0 17.309% 360
10 $7,113,395.30 10.678% 10.178% 22 6.268% 2.9 17.218% 355
11 $15,808,826.73 10.586% 10.086% 23 6.194% 2.7 17.279% 360
12 $1,951,538.29 10.904% 10.404% 24 6.585% 2.6 16.904% 360
13 $130,219.07 10.250% 9.750% 29 5.950% 3.0 16.250% 360
14 $138,015.85 10.750% 10.250% 31 6.250% 3.0 16.750% 360
15 $1,410,137.09 10.783% 10.283% 32 5.822% 3.0 16.953% 360
16 $1,807,007.89 10.879% 10.379% 33 6.157% 2.9 16.944% 360
17 $1,503,972.65 10.975% 10.475% 34 6.156% 3.2 17.540% 360
18 $3,101,603.12 10.957% 10.457% 35 6.378% 2.8 17.215% 360
19 $1,796,623.42 10.743% 10.243% 36 6.642% 3.1 16.917% 360
Totals $225,000,000.00
</TABLE>
Remaining Original
Term to Amortization
Pool Maturity Term Amortization
Number (months) (months) Method
- --------- ------------- ------------ ------------
1 355 360 Level Pay
2 345 349 Level Pay
3 353 356 Level Pay
4 355 357 Level Pay
5 356 357 Level Pay
6 356 356 Level Pay
7 355 360 Level Pay
8 356 360 Level Pay
9 357 360 Level Pay
10 353 355 Level Pay
11 359 360 Level Pay
12 360 360 Level Pay
13 353 360 Level Pay
14 355 360 Level Pay
15 356 360 Level Pay
16 357 360 Level Pay
17 358 360 Level Pay
18 359 360 Level Pay
19 360 360 Level Pay
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Page 20
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-1: $96,500,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 75% 25% 0% 0% 0% 0%
12/15/98 68% 0% 0% 0% 0% 0%
12/15/99 59% 0% 0% 0% 0% 0%
12/15/00 50% 0% 0% 0% 0% 0%
12/15/01 39% 0% 0% 0% 0% 0%
12/15/02 28% 0% 0% 0% 0% 0%
12/15/03 16% 0% 0% 0% 0% 0%
12/15/04 3% 0% 0% 0% 0% 0%
12/15/05 0% 0% 0% 0% 0% 0%
12/15/06 0% 0% 0% 0% 0% 0%
12/15/07 0% 0% 0% 0% 0% 0%
12/15/08 0% 0% 0% 0% 0% 0%
12/15/09 0% 0% 0% 0% 0% 0%
12/15/10 0% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life:
Years (3) to Maturity 3.95 0.78 0.55 0.50 0.44 0.37
Years (3) to Call 3.95 0.78 0.55 0.50 0.44 0.37
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 21
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-2: $113,900,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 78% 61% 35% 0%
12/15/98 100% 61% 0% 0% 0% 0%
12/15/99 100% 7% 0% 0% 0% 0%
12/15/00 100% 0% 0% 0% 0% 0%
12/15/01 100% 0% 0% 0% 0% 0%
12/15/02 100% 0% 0% 0% 0% 0%
12/15/03 100% 0% 0% 0% 0% 0%
12/15/04 100% 0% 0% 0% 0% 0%
12/15/05 89% 0% 0% 0% 0% 0%
12/15/06 76% 0% 0% 0% 0% 0%
12/15/07 61% 0% 0% 0% 0% 0%
12/15/08 45% 0% 0% 0% 0% 0%
12/15/09 27% 0% 0% 0% 0% 0%
12/15/10 6% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) to Maturity 11.59 2.26 1.30 1.14 0.98 0.81
Years (3) to Call 11.59 2.26 1.30 1.14 0.98 0.81
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 22
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-3: $139,800,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 93%
12/15/98 100% 100% 78% 51% 13% 0%
12/15/99 100% 100% 10% 0% 0% 0%
12/15/00 100% 68% 0% 0% 0% 0%
12/15/01 100% 34% 0% 0% 0% 0%
12/15/02 100% 6% 0% 0% 0% 0%
12/15/03 100% 0% 0% 0% 0% 0%
12/15/04 100% 0% 0% 0% 0% 0%
12/15/05 100% 0% 0% 0% 0% 0%
12/15/06 100% 0% 0% 0% 0% 0%
12/15/07 100% 0% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) to Maturity 14.82 4.63 2.46 2.08 1.70 1.31
Years (3) to Call 14.82 4.63 2.46 2.08 1.70 1.31
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 23
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-4: $62,900,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 0%
12/15/99 100% 100% 100% 52% 0% 0%
12/15/00 100% 100% 16% 0% 0% 0%
12/15/01 100% 100% 0% 0% 0% 0%
12/15/02 100% 100% 0% 0% 0% 0%
12/15/03 100% 59% 0% 0% 0% 0%
12/15/04 100% 13% 0% 0% 0% 0%
12/15/05 100% 0% 0% 0% 0% 0%
12/15/06 100% 0% 0% 0% 0% 0%
12/15/07 100% 0% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 14.84 7.27 3.71 3.08 2.46 1.84
Years (3) to Call 14.84 7.27 3.71 3.08 2.46 1.84
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 24
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-5: $71,700,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 99%
12/15/99 100% 100% 100% 100% 64% 0%
12/15/00 100% 100% 100% 51% 0% 0%
12/15/01 100% 100% 41% 0% 0% 0%
12/15/02 100% 100% 0% 0% 0% 0%
12/15/03 100% 100% 0% 0% 0% 0%
12/15/04 100% 100% 0% 0% 0% 0%
12/15/05 100% 75% 0% 0% 0% 0%
12/15/06 100% 42% 0% 0% 0% 0%
12/15/07 100% 13% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 14.84 9.85 4.95 4.08 3.20 2.32
Years (3) to Call 14.84 9.85 4.95 4.08 3.20 2.32
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 25
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-6: $37,800,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 11%
12/15/00 100% 100% 100% 100% 48% 0%
12/15/01 100% 100% 100% 63% 0% 0%
12/15/02 100% 100% 77% 0% 0% 0%
12/15/03 100% 100% 2% 0% 0% 0%
12/15/04 100% 100% 0% 0% 0% 0%
12/15/05 100% 100% 0% 0% 0% 0%
12/15/06 100% 100% 0% 0% 0% 0%
12/15/07 100% 100% 0% 0% 0% 0%
12/15/08 100% 74% 0% 0% 0% 0%
12/15/09 100% 27% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 25% 0% 0% 0% 0% 0%
12/15/12 22% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 15.22 12.56 6.40 5.20 4.05 2.88
Years (3) to Call 15.22 12.56 6.40 5.20 4.05 2.88
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 26
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-7: $59,100,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 100% 100% 100% 100% 100% 17%
12/15/01 100% 100% 100% 100% 56% 0%
12/15/02 100% 100% 100% 83% 12% 0%
12/15/03 100% 100% 100% 43% 0% 0%
12/15/04 100% 100% 66% 16% 0% 0%
12/15/05 100% 100% 38% 0% 0% 0%
12/15/06 100% 100% 14% 0% 0% 0%
12/15/07 100% 100% 0% 0% 0% 0%
12/15/08 100% 100% 0% 0% 0% 0%
12/15/09 100% 100% 0% 0% 0% 0%
12/15/10 100% 90% 0% 0% 0% 0%
12/15/11 100% 0% 0% 0% 0% 0%
12/15/12 100% 0% 0% 0% 0% 0%
12/15/13 95% 0% 0% 0% 0% 0%
12/15/14 73% 0% 0% 0% 0% 0%
12/15/15 49% 0% 0% 0% 0% 0%
12/15/16 25% 0% 0% 0% 0% 0%
12/15/17 19% 0% 0% 0% 0% 0%
12/15/18 12% 0% 0% 0% 0% 0%
12/15/19 4% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 19.32 14.67 8.70 7.00 5.26 3.65
Years (3) to Call 19.32 14.67 8.69 7.00 5.26 3.65
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 27
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-8: $43,300,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 100% 100% 100% 100% 100% 100%
12/15/01 100% 100% 100% 100% 100% 53%
12/15/02 100% 100% 100% 100% 100% 25%
12/15/03 100% 100% 100% 100% 79% 14%
12/15/04 100% 100% 100% 100% 57% 10%
12/15/05 100% 100% 100% 92% 39% 5%
12/15/06 100% 100% 100% 68% 26% 1%
12/15/07 100% 100% 93% 50% 17% 0%
12/15/08 100% 100% 71% 36% 9% 0%
12/15/09 100% 100% 53% 24% 4% 0%
12/15/10 100% 100% 39% 16% 0% 0%
12/15/11 100% 55% 3% 0% 0% 0%
12/15/12 100% 44% 0% 0% 0% 0%
12/15/13 100% 34% 0% 0% 0% 0%
12/15/14 100% 25% 0% 0% 0% 0%
12/15/15 100% 17% 0% 0% 0% 0%
12/15/16 100% 10% 0% 0% 0% 0%
12/15/17 100% 7% 0% 0% 0% 0%
12/15/18 100% 5% 0% 0% 0% 0%
12/15/19 100% 3% 0% 0% 0% 0%
12/15/20 94% 1% 0% 0% 0% 0%
12/15/21 80% 0% 0% 0% 0% 0%
12/15/22 66% 0% 0% 0% 0% 0%
12/15/23 50% 0% 0% 0% 0% 0%
12/15/24 31% 0% 0% 0% 0% 0%
12/15/25 11% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 26.87 16.66 13.23 11.45 8.90 5.66
Years (3) to Call 26.20 14.84 10.51 8.59 6.95 4.85
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 28
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-9: $50,000,000 "LOCK BOND"
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 99% 95% 90% 88% 85% 79%
12/15/01 99% 89% 81% 77% 72% 62%
12/15/02 97% 81% 67% 61% 53% 40%
12/15/03 95% 71% 52% 45% 36% 21%
12/15/04 92% 59% 37% 30% 20% 8%
12/15/05 88% 49% 26% 19% 11% 2%
12/15/06 84% 41% 18% 12% 6% 0%
12/15/07 80% 33% 12% 7% 3% 0%
12/15/08 76% 27% 8% 4% 1% 0%
12/15/09 71% 22% 5% 3% 0% 0%
12/15/10 66% 18% 3% 1% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 13.20 9.42 7.53 7.01 6.39 5.64
Years (3) to Call 13.20 9.42 7.22 6.55 5.80 4.62
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 29
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-10: $225,000,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 97% 89% 81% 76% 73% 65%
12/15/98 97% 81% 67% 59% 55% 43%
12/15/99 96% 74% 56% 46% 41% 29%
12/15/00 96% 68% 46% 36% 31% 20%
12/15/01 95% 62% 39% 29% 23% 13%
12/15/02 94% 56% 32% 22% 18% 9%
12/15/03 94% 51% 27% 18% 13% 6%
12/15/04 93% 46% 22% 14% 10% 4%
12/15/05 92% 42% 19% 11% 7% 2%
12/15/06 91% 39% 16% 8% 5% 1%
12/15/07 90% 35% 13% 6% 4% 1%
12/15/08 88% 32% 11% 5% 3% 0%
12/15/09 87% 29% 9% 4% 2% 0%
12/15/10 85% 26% 7% 3% 1% 0%
12/15/11 83% 23% 6% 2% 1% 0%
12/15/12 81% 21% 5% 1% 1% 0%
12/15/13 78% 19% 4% 1% 0% 0%
12/15/14 75% 16% 3% 1% 0% 0%
12/15/15 72% 15% 2% 0% 0% 0%
12/15/16 69% 13% 2% 0% 0% 0%
12/15/17 64% 11% 1% 0% 0% 0%
12/15/18 60% 9% 1% 0% 0% 0%
12/15/19 55% 8% 1% 0% 0% 0%
12/15/20 49% 6% 0% 0% 0% 0%
12/15/21 42% 5% 0% 0% 0% 0%
12/15/22 35% 4% 0% 0% 0% 0%
12/15/23 27% 2% 0% 0% 0% 0%
12/15/24 18% 1% 0% 0% 0% 0%
12/15/25 7% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 21.62 9.39 5.22 3.96 3.43 2.48
Years (3) to Call 21.24 7.92 4.59 3.54 3.01 2.17
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 30
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
TRANSACTION SUMMARY @ Pricing Prepayment Speed
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Estimated to Maturity Expected
---------------------------------------------------------- Ratings
Modified Principal Principal (Moody's /
Approximate Size Certificate WAL Duration Lockout Window S&P / FITCH)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$96,500,000 Class A-1 0.50 0.48 0 10 Aaa/AAA/AAA
$113,900,000 Class A-2 1.14 1.07 9 9 Aaa/AAA/AAA
$139,800,000 Class A-3 2.08 1.89 17 15 Aaa/AAA/AAA
$62,900,000 Class A-4 3.08 2.71 31 11 Aaa/AAA/AAA
$71,700,000 Class A-5 4.08 3.46 41 16 Aaa/AAA/AAA
$37,800,000 Class A-6 5.20 4.25 56 13 Aaa/AAA/AAA
$59,100,000 Class A-7 7.00 5.33 68 37 Aaa/AAA/AAA
$43,300,000 Class A-8 11.45 7.46 104 74 Aaa/AAA/AAA
$50,000,000 Class A-9 7.01 5.25 36 142 Aaa/AAA/AAA
$225,000,000 Class A-10 3.96 3.16 0 250 Aaa/AAA/AAA
</TABLE>
<TABLE>
<CAPTION>
Class A-1 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 3.95 0.78 0.55 0.50 0.44 0.37
Duration 3.31 0.75 0.53 0.48 0.42 0.36
First Principal Payment 01/15/97 01/15/97 01/15/97 01/15/97 01/15/97 01/15/97
Last Principal Payment 03/15/05 05/15/98 11/15/97 10/15/97 08/15/97 07/15/97
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 99 17 11 10 8 7
Yield @ Par 5.59% 5.59% 5.59% 5.59% 5.59% 5.60%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-2 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 11.59 2.26 1.3 1.14 0.98 0.81
Duration 7.99 2.04 1.22 1.07 0.92 0.77
First Principal Payment 03/15/05 05/15/98 11/15/97 10/15/97 08/15/97 07/15/97
Last Principal Payment 04/15/11 02/15/00 09/15/98 06/15/98 03/15/98 12/15/97
Principal Lockout (months) 98 16 10 9 7 6
Principal Window (months) 74 22 11 9 8 6
Yield @ Par 6.26% 6.17% 6.09% 6.07% 6.03% 5.98%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Page 31
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-3 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.82 4.63 2.46 2.08 1.7 1.31
Duration 9.37 3.88 2.21 1.89 1.56 1.22
First Principal Payment 04/15/11 02/15/00 09/15/98 06/15/98 03/15/98 12/15/97
Last Principal Payment 10/15/11 03/15/03 03/15/00 08/15/99 02/15/99 08/15/98
Principal Lockout (months) 171 37 20 17 14 11
Principal Window (months) 7 38 19 15 12 9
Yield @ Par 6.35% 6.31% 6.26% 6.24% 6.22% 6.17%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-4 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.84 7.27 3.71 3.08 2.46 1.84
Duration 9.27 5.62 3.20 2.71 2.21 1.69
First Principal Payment 10/15/11 03/15/03 03/15/00 08/15/99 02/15/99 08/15/98
Last Principal Payment 10/15/11 04/15/05 03/15/01 06/15/00 09/15/99 12/15/98
Principal Lockout (months) 177 74 38 31 25 19
Principal Window (months) 1 26 13 11 8 5
Yield @ Par 6.54% 6.52% 6.49% 6.48% 6.45% 6.42%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-5 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.84 9.85 4.95 4.08 3.20 2.32
Duration 9.14 6.99 4.08 3.46 2.79 2.09
First Principal Payment 10/15/11 04/15/05 03/15/01 06/15/00 09/15/99 12/15/98
Last Principal Payment 10/15/11 06/15/08 10/15/02 09/15/01 08/15/00 08/15/99
Principal Lockout (months) 177 99 50 41 32 23
Principal Window (months) 1 39 20 16 12 9
Yield @ Par 6.76% 6.75% 6.72% 6.71% 6.69% 6.66%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-6 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 15.22 12.56 6.40 5.20 4.05 2.88
Duration 9.20 8.19 5.03 4.25 3.43 2.54
First Principal Payment 10/15/11 6/15/08 10/15/02 9/15/01 8/15/00 8/15/99
Last Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Principal Lockout (months) 177 137 69 56 43 31
Principal Window (months) 24 27 16 13 10 6
Yield @ Par 6.87% 6.87% 6.84% 6.84% 6.82% 6.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Page 32
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-7 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.32 14.67 8.70 7.00 5.26 3.65
Duration 10.19 8.85 6.28 5.33 4.24 3.11
First Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Last Principal Payment 6/15/20 10/15/11 9/15/07 9/15/05 5/15/03 4/15/01
Principal Lockout (months) 200 163 84 68 52 36
Principal Window (months) 82 15 45 37 25 16
Yield @ Par 7.15% 7.14% 7.13% 7.12% 7.11% 7.09%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-8 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 26.87 16.66 13.23 11.45 8.90 5.66
Duration 11.40 9.28 8.19 7.46 6.26 4.44
First Principal Payment 6/15/20 10/15/11 9/15/07 9/15/05 5/15/03 4/15/01
Last Principal Payment 6/15/26 4/15/21 2/15/13 10/15/11 2/15/11 4/15/07
Principal Lockout (months) 281 177 128 104 76 51
Principal Window (months) 73 115 66 74 94 73
Yield @ Par 7.39% 7.38% 7.38% 7.37% 7.37% 7.35%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-9 "LOCK BOND"(to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 13.20 9.42 7.53 7.01 6.39 5.64
Duration 8.27 6.49 5.53 5.25 4.91 4.47
First Principal Payment 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00
Last Principal Payment 10/15/11 10/15/11 10/15/11 10/15/11 2/15/11 4/15/07
Principal Lockout (months) 36 36 36 36 36 36
Principal Window (months) 142 142 142 142 134 88
Yield @ Par 7.02% 7.01% 7.00% 7.00% 7.00% 6.99%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 10.50% 15.75% 21.00% 26.25% 31.50%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.62 9.39 5.22 3.96 3.43 2.48
Duration 11.57 6.20 3.96 3.16 2.81 2.12
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 8/15/26 3/15/26 5/15/22 10/15/17 5/15/15 6/15/10
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 356 351 305 250 221 162
Yield @ Par 5.79% 5.81% 5.81% 5.80% 5.81% 5.81%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Page 33
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-7 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.32 14.67 8.69 7.00 5.26 3.65
Duration 10.19 8.85 6.27 5.33 4.24 3.11
First Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Last Principal Payment 6/15/20 10/15/11 6/15/07 7/15/05 5/15/03 4/15/01
Principal Lockout (months) 200 163 84 68 52 36
Principal Window (months) 82 15 42 35 25 16
Yield @ Par 7.15% 7.14% 7.13% 7.12% 7.11% 7.09%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-8 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 26.20 14.84 10.51 8.59 6.95 4.85
Duration 11.32 8.78 7.10 6.18 5.28 3.95
First Principal Payment 6/15/20 10/15/11 6/15/07 7/15/05 5/15/03 4/15/01
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 281 177 125 102 76 51
Principal Window (months) 43 1 1 1 8 9
Yield @ Par 7.39% 7.38% 7.37% 7.37% 7.36% 7.34%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-9 "LOCK BOND" (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 13.20 9.42 7.22 6.55 5.80 4.62
Duration 8.27 6.49 5.40 5.03 4.59 3.82
First Principal Payment 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00
Last Principal Payment 10/15/11 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 36 36 36 36 36 36
Principal Window (months) 142 142 90 67 48 24
Yield @ Par 7.02% 7.01% 7.00% 7.00% 6.99% 6.98%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 10.50% 15.75% 21.00% 26.25% 31.50%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.24 7.92 4.59 3.54 3.01 2.17
Duration 11.49 5.71 3.67 2.95 2.57 1.92
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 324 178 126 103 84 60
Yield @ Par 5.79% 5.79% 5.79% 5.79% 5.79% 5.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Page 34
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date) Update
- --------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
- --------------------------------------------------------------------------------
Fixed Rate Home Equity Loans
Weighted Average Home Equity Ratio (2nd Liens): 38.95% (6.50% to 97.58%)
Adjustable Rate Home Equity Loans
ARM Adjustment Type: "3 / 27" " 2 / 28" "6 Month"
-------- --------- ---------
4.43% 15.50% 80.06%
Distribution by Loan Type
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Type Loans Loan Balance Loan Balance
Balloon 8 $579,195.06 0.29%
Non Balloon 2,447 196,077,208.09 99.71%
-------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=================================================
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Class A-10 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment Scenario Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
CPR% 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.62 9.39 5.22 3.96 3.43 2.48
Duration 11.57 6.20 3.96 3.16 2.81 2.12
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 8/15/26 3/15/26 5/15/22 10/15/17 5/15/15 6/15/10
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 356 351 305 250 221 162
Yield @ Par 5.79% 5.81% 5.81% 5.80% 5.81% 5.81%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment Scenario Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
CPR% 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.24 7.92 4.59 3.54 3.01 2.17
Duration 11.49 5.71 3.67 2.95 2.57 1.92
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 324 178 126 103 84 60
Yield @ Par 5.79% 5.79% 5.79% 5.79% 5.79% 5.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 35
<PAGE>
The following tables and other statistical analyses (the "Computational
Materials") are privileged and confidential and are intended for use by the
addressee only. These Computational Materials are furnished to you solely by
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("Merrill Lynch") and not by
the issuer of the securities or any of its affiliates. The issuer of these
securities has not prepared or taken part in the preparation of these materials.
Neither Merrill Lynch, the issuer of the securities nor any of its affiliates
makes any representation as to the accuracy or completeness of the information
herein. The information herein is preliminary, and will be subsequently filed
with the Securities and Exchange Commission. 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 Material
which may or may not be stated therein. As such, no assurance can be given as to
the accuracy, appropriateness or completeness of the Computational Materials in
any particular context; or 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 yields or weighted average lives shown in the Computational Materials
are based on prepayment assumptions and actual prepayment experience may
dramatically affect such yields or weighted average lives. In addition, it is
possible that prepayments on the underlying assets will occur at rates slower or
faster than the rates assumed in the attached Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. 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 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.
Although a registration statement (including the prospectus) relating to
the securities discussed in this communication has been filed with the
Securities and Exchange Commission and is effective, the final prospectus
supplement relating to the securities discussed in this communication has not
been filed with the Securities and Exchange Commission. This communication shall
not constitute an offer to sell or the solicitation of an offer to buy nor shall
there be any sale of the securities discussed in this communication in any state
in which such offer, solicitations or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication for
definitive Computational Materials on any matter discussed in this
communication. A final prospectus and prospectus supplement may be obtained by
contacting the Merrill Lynch Trading Desk at (212) 449-3659.
Please be advised that asset-backed securities may not be appropriate for
all investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayments, yield curve and interest rate
risk. Investors should fully consider the risk of an investment in these
securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Modeling Assumptions
Loan Group I: $675,000,000 Fixed Rate Collateral
Loan Group II: $225,000,000 Adjustable Rate Collateral
Loan Group I Prepayment Assumption: 120% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes that the prepayments start at 4% CPR in month 1,
rise by 1.455% per month to 20% CPR in month 12 and remain at 20% CPR thereafter
on a seasoning adjusted basis.
Loan Group II Prepayment Assumption: Prepayments remain constant at 21% CPR
throughout the life of the collateral.
<TABLE>
<CAPTION>
Delay Day Dated Settlement
Class Loan Group Balance WAL Coupon Days Count Date Date Notes
- ----- ---------- ------- --- ------ ---- ----- ---- ---- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 I $96,500,000 0.50 1 m. LIB + 7 None Actual/360 12/12/96 12/12/96 (1)
A-2 I $113,900,000 1.14 6.21% 14 30/360 11/23/96 12/12/96 (2)
A-3 I $139,800,000 2.08 6.29% 14 30/360 11/23/96 12/12/96 (2)
A-4 I $62,900,000 3.08 6.48% 14 30/360 11/23/96 12/12/96 (2)
A-5 I $71,700,000 4.08 6.69% 14 30/360 11/23/96 12/12/96 (2)
A-6 I $37,800,000 5.20 6.80% 14 30/360 11/23/96 12/12/96 (2)
A-7 I $59,100,000 7.00 7.07% 14 30/360 11/23/96 12/12/96 (2)
A-8 I $43,300,000 11.45 7.30% 14 30/360 11/23/96 12/12/96 (2)
A-9 I $50,000,000 7.01 6.95% 14 30/360 11/23/96 12/12/96 (2)
A-10 II $225,000,000 3.96 1 m. LIB + 26 None Actual/360 12/12/96 12/12/96 (3)
A-11IO I (4) 0.99% 14 30/360 11/23/96 12/12/96 (4)
A-12IO II (5) 0.95% 14 30/360 11/23/96 12/12/96 (5)
</TABLE>
Notes
- --------------------------------------------------------------------------------
(1) Class A-1 Floater is uncapped and settles flat; Actual/360 day count;
assumes 1 month LIBOR as 5.375%.
(2) Classes A-2 through A-9 and Class A-11IO and Class A-12IO settle with
accrued interest; 30/360 day count.
(3) Class A-10 Floater settles flat; Actual/360 day count; assumes 1 month LIBOR
as 5.375% and 6 month LIBOR as 5.540%.
(4) Class A-11IO Notional Balance is the outstanding Loan Group I bond balance
each month.
(5) Class A-12IO Notional Balance is the outstanding Loan Group II bond balance
each month.
Page 1
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Modeling Assumptions
OC uses excess from both Loan Group I and Loan Group II
<TABLE>
<CAPTION>
Loan Group I Loan Group II
------------ -------------
<S> <C> <C>
OC Target Months 1-4: $500,000 $500,000
OC Ramp thereafter: 2.60% as % of initial principal balance 2.50% as % of initial principal balance
OC Step (rule applies for each Loan Group) 5.20% as % of current principal balance 5.00% as % of current principal balance
</TABLE>
The OC Step occurs when the period is 31 and the current principal balance is
less than 50% of the initial principal balance.
<TABLE>
<S> <C> <C>
OC Floor: 0.50% as % of initial principal balance 0.50% as % of initial principal balance
OC Carveout: n/a 0.50% - after month 12 on Loan Group II
Servicing: 0.50% 0.50%
Trustee: 0.01% 0.01%
MBIA Fees: 0.10% 0.10%
Class A-11IO Carveout 0.99% n/a
Class A-12IO Carveout n/a 0.95%
Losses: 0.00% 0.00%
</TABLE>
Class A-1 Floater is uncapped and is backed by fixed rate collateral from Loan
Group I.
Class A-9 Lock Bond is allocated principal pari passu with the class of bonds
that is currently receiving principal payments in a ratio equal to the product
a) the outstanding principal balance of the Lock Bond divided by the outstanding
principal balance of all fixed rate classes and b) a specified percentage.
The specified percentage is as follows:
Distribution Periods Applicable Percentages
-------------------- ----------------------
Month 1 - Month 36 0%
Month 37 - Month 60 45%
Month 61- Month 72 80%
Month 73 - Month 84 100%
Month 85 - End 140%
Class A-10 Floater assumes 1 month LIBOR of 5.375% and 6 month LIBOR of 5.540%
Page 2
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
Summary of Bonds
<TABLE>
<CAPTION>
To Avg 1st pay- Last pay-
Maturity Life CBE ment Date ment Date Modified Legal
Class Amount Coupon (yrs.) Yield Price (mm/yy) (mm/yy) Duration Final
- -------- ------------ ------ ------ ----- ---------- --------- --------- -------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $ 96,500,000 5.45% 0.50 5.59% 100.00000% 15-Jan-97 15-Oct-97 0.48 TBD
A-2 $113,900,000 6.21% 1.14 6.07% 100.00000% 15-Oct-97 15-Jun-98 1.07 TBD
A-3 $139,800,000 6.29% 2.08 6.24% 100.00000% 15-Jun-98 15-Aug-99 1.89 TBD
A-4 $ 62,900,000 6.48% 3.08 6.48% 100.00000% 15-Aug-99 15-Jun-00 2.71 TBD
A-5 $ 71,700,000 6.69% 4.08 6.71% 100.00000% 15-Jun-00 15-Sep-01 3.46 TBD
A-6 $ 37,800,000 6.80% 5.20 6.84% 100.00000% 15-Sep-01 15-Sep-02 4.25 TBD
A-7 $ 59,100,000 7.07% 7.00 7.12% 100.00000% 15-Sep-02 15-Sep-05 5.33 TBD
A-8 $ 43,300,000 7.30% 11.45 7.37% 100.00000% 15-Sep-05 15-Oct-11 7.46 TBD
A-9 $ 50,000,000 6.95% 7.01 7.00% 100.00000% 15-Jan-00 15-Oct-11 5.25 TBD
A-10 $225,000,000 5.64% 3.96 5.80% 100.00000% 15-Jan-97 15-Oct-17 3.16 TBD
<CAPTION>
Avg 1st pay- Last pay-
To Call Life CBE ment Date ment Date Modified
Class Amount Coupon (yrs.) Yield Price (mm/yy) (mm/yy) Duration
------- ------------ ------ ------ ----- ---------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-7 $ 59,100,000 7.07% 7.00 7.12% 100.00000% 15-Sep-02 15-Jul-05 5.33
A-8 $ 43,300,000 7.30% 8.59 7.37% 100.00000% 15-Jul-05 15-Jul-05 6.18
A-9 $ 50,000,000 6.95% 6.55 7.00% 100.00000% 15-Jan-00 15-Jul-05 5.03
A-10 $225,000,000 5.64% 3.54 5.79% 100.00000% 15-Jan-97 15-Jul-05 2.95
</TABLE>
Notes:
- ---------------------
1 Fixed Rate Certificates (Class A-1 to A-9) Pricing Prepayment = 120% of the
Prepayment Assumption. A 100% Prepayment Assumprion assumes prepayments start
at 4% CPR in month 1, rise by 1.455% per month to 20% CPR in month 12
thereafter on a seasoning adjusted basis.
2 Adjustable Rate Certificates (Class A-10) Pricing Prepayment = 21% CPR
throughout the life of the collateral.
3 Coupons and prices are assumed for computational materials.
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Page 3
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Collateral
Fixed Rate Home Equity Loans
Characteristics of the Mortgage Pool as of the
Preliminary Cut-Off Date October 31, 1996:
<TABLE>
<S> <C> <C>
Total Number of Loans: 9,887
Total Outstanding Loan Balance: $582,035,109
Balloon (% of Total): 55.24%
Level Pay (% of Total): 44.76%
Average Loan Principal Balance: $58,869 ($3,785 to $449,768)
Weighted Average LTV: 71.71% (4.00% to 93.00%)
Weighted Average CLTV : 74.92% (8.00% to 95.00%)
Weighted Average Home Equity Ratio (2nd Liens): 95.74% (6.50% to 100.00%)
Weighted Average Coupon: 11.90% (8.15% to 19.29%)
Weighted Average Remaining Term to Maturity (months): 211.0 (46 to 360)
Weighted Average Seasoning (months): 1.0
Weighted Average Original Term (months): 211.9 (48 to 360 )
</TABLE>
Range of Original Terms: Level Pay Balloons
----------------- -------------------
Up to 60: 0.15% Up to 60: 0.01%
61 - 120: 1.86% 61 - 120: 0.01%
121 - 180: 13.27% 121 - 180: 55.24%
181 - 240: 16.34%
241 - 300: 0.19%
301 - 360: 12.95%
Lien Position: 1st Lien: 93.03%
2nd Lien: 6.97%
Property Type:
Single Family Detached: 85.68% 2-4 Family: 7.97%
Single Family Attached: 2.95% Other: 3.40%
Occupancy Status:
Owner Occupied: 95.16%
Non-Owner Occupied: 4.84%
Geographic Distribution: OH: 9.93% NJ: 6.19%
(states not listed individually account for NY: 9.00% FL: 6.08%
less than 5.00% of the Outstanding Mortgage Pool IL: 6.52% NC: 5.79%
principal balance) PA: 6.26%
Credit Quality: A: 52.41%
(per ContiMortgage's guidelines) B: 26.47%
C: 16.04%
D: 5.08%
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Page 4
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information relating to the Collateral
Adjustable Rate Home Equity Loans
Characteristics of the Mortgage Pool as of the
Preliminary Cut-Off Date October 31, 1996:
Total Number of Loans: 2,455
Total Outstanding Loan Balance: $196,656,403
Balloon (% of Total): 0.29%
Level Pay (% of Total): 99.71%
Adjustable (% of Total): 100.00%
ARM Adjustment Type: "3 / 27" "2 / 28" "6 Month"
-------- -------- ---------
15.50% 4.43% 80.06%
<TABLE>
<S> <C> <C>
Average Loan Principal Balance: $80,104 ($10,000 to $444,459)
Weighted Average LTV: 74.51% (13.00% to 90.00%)
Weighted Average Coupon: 10.44% (6.99% to 16.10%)
Weighted Average Gross Margin: 6.77% (0.60% to 16.00%)
Weighted Average Gross Life Cap: 16.72% (11.40% to 22.10%)
Weighted Average Periodic Cap: 1.06% (1.00% to 6.00%)
Weighted Average Remaining Term to Maturity (months): 356.4 (120 to 360)
Weighted Average Seasoning (months): 0.7
Weighted Average Original Term (months): 357.1 (120 to 360)
</TABLE>
Range of Original Terms: Adjustable Balloons
-------------------- -------------------
61 - 120: 0.04% 121 - 180: 0.29%
121 - 180: 1.12%
181 - 240: 0.21%
241 - 300: 0.03%
301 - 360: 98.29%
Lien Position: 1st Lien: 100.00%
2nd Lien: 0.00%
Property Type:
Single Family Detached: 91.21% 2-4 Family: 3.58%
Single Family Attached: 1.38% Other: 3.83%
Occupancy Status:
Owner Occupied: 96.79%
Non-Owner Occupied: 3.21%
Geographic Distribution: MI: 34.22%
(states not listed individually account for CA: 10.15%
less than 5.00% of the Outstanding Mortgage Pool IL: 6.66%
principal balance)
Credit Quality: A: 45.31%
(per ContiMortgage's guidelines) B: 27.89%
C: 22.42%
D: 4.37%
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Page 5
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Distribution by Geographic Location
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Geographic Location Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Alabama 5 $233,322.24 0.04%
Arkansas 36 1,815,826.60 0.31%
Arizona 85 5,725,686.30 0.98%
California 151 14,083,184.69 2.42%
Colorado 114 7,237,254.20 1.24%
Connecticut 90 7,962,917.58 1.37%
DC 44 3,362,084.00 0.58%
Delaware 58 3,752,747.50 0.64%
Florida 625 35,376,249.06 6.08%
Georgia 263 13,928,407.76 2.39%
Hawaii 2 368,750.00 0.06%
Iowa 12 376,653.35 0.06%
Idaho 31 2,050,008.02 0.35%
Illinois 681 37,935,732.01 6.52%
Indiana 476 21,233,098.46 3.65%
Kansas 48 2,923,013.91 0.50%
Kentucky 178 9,777,067.36 1.68%
Louisiana 5 317,187.51 0.05%
Massachusetts 242 18,605,721.53 3.20%
Maryland 367 26,630,018.26 4.58%
Maine 14 598,893.01 0.10%
Michigan 1,260 57,897,716.94 9.95%
Minnesota 66 3,585,970.16 0.62%
Missouri 215 10,216,520.98 1.76%
Mississippi 14 587,919.76 0.10%
Montana 3 278,276.65 0.05%
North Carolina 652 33,705,348.97 5.79%
Nebraska 6 243,561.09 0.04%
New Hampshire 18 886,598.89 0.15%
New Jersey 461 36,041,592.92 6.19%
New Mexico 79 5,561,649.75 0.96%
Nevada 23 1,277,635.18 0.22%
New York 618 52,362,438.17 9.00%
Ohio 1,057 57,805,183.95 9.93%
Oklahoma 42 1,985,794.97 0.34%
Oregon 36 2,721,742.41 0.47%
Pennsylvania 649 36,434,983.95 6.26%
Rhode Island 64 4,288,315.36 0.74%
South Carolina 294 14,649,705.79 2.52%
South Dakota 1 44,807.63 0.01%
Tennessee 206 10,482,083.13 1.80%
Texas 78 5,409,967.17 0.93%
Utah 125 9,367,510.90 1.61%
Virginia 224 10,926,492.11 1.88%
Vermont 2 146,993.57 0.03%
Washington 58 5,387,014.44 0.93%
Wisconsin 98 5,119,957.61 0.88%
West Virginia 8 226,853.37 0.04%
Wyoming 3 98,650.23 0.02%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Page 6
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Distribution by Original Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Original LTV's(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0.00% to 5.00% 5 $51,897.89 0.01%
5.01% to 10.00% 48 778,062.44 0.13%
10.01% to 15.00% 259 5,574,471.00 0.96%
15.01% to 20.00% 328 8,719,865.18 1.50%
20.01% to 25.00% 313 9,485,048.44 1.63%
25.01% to 30.00% 242 8,054,787.86 1.38%
30.01% to 35.00% 205 6,738,662.05 1.16%
35.01% to 40.00% 238 8,699,846.46 1.49%
40.01% to 45.00% 216 8,433,481.57 1.45%
45.01% to 50.00% 347 12,658,457.00 2.17%
50.01% to 55.00% 272 12,869,560.02 2.21%
55.01% to 60.00% 502 24,848,959.21 4.27%
60.01% to 65.00% 663 36,022,312.05 6.19%
65.01% to 70.00% 951 55,296,927.14 9.50%
70.01% to 75.00% 1,192 78,455,985.52 13.48%
75.01% to 80.00% 2,309 153,399,499.42 26.36%
80.01% to 85.00% 1,107 89,289,444.05 15.34%
85.01% to 90.00% 688 62,538,264.23 10.74%
90.01% to 95.00% 2 119,577.87 0.02%
--------------------------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Combined Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Combined LTV's (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
5.01% to 10.00% 4 $66,965.78 0.01%
10.01% to 15.00% 22 308,230.39 0.05%
15.01% to 20.00% 35 679,677.64 0.12%
20.01% to 25.00% 83 1,922,478.18 0.33%
25.01% to 30.00% 97 2,622,488.95 0.45%
30.01% to 35.00% 123 3,268,940.72 0.56%
35.01% to 40.00% 188 6,338,708.65 1.09%
40.01% to 45.00% 186 6,991,479.90 1.20%
45.01% to 50.00% 351 12,281,602.70 2.11%
50.01% to 55.00% 276 12,335,901.01 2.12%
55.01% to 60.00% 540 25,734,173.17 4.42%
60.01% to 65.00% 723 37,719,697.61 6.48%
65.01% to 70.00% 1,059 59,645,835.66 10.25%
70.01% to 75.00% 1,358 83,724,376.68 14.38%
75.01% to 80.00% 2,700 165,952,975.70 28.51%
80.01% to 85.00% 1,447 99,715,023.09 17.13%
85.01% to 90.00% 691 62,588,728.87 10.75%
90.01% to 95.00% 4 137,824.70 0.02%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Page 7
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Distribution by Coupon Rates
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Coupon (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
8.01% to 9.00% 84 $7,795,830.35 1.34%
9.01% to 10.00% 704 55,209,593.92 9.49%
10.01% to 11.00% 1,924 134,512,328.08 23.11%
11.01% to 12.00% 2,440 154,915,661.42 26.62%
12.01% to 13.00% 2,087 116,279,337.09 19.98%
13.01% to 14.00% 1,307 63,117,203.01 10.84%
14.01% to 15.00% 707 29,184,631.79 5.01%
15.01% to 16.00% 403 14,262,163.26 2.45%
16.01% to 17.00% 113 3,698,042.69 0.64%
17.01% to 18.00% 99 2,516,113.57 0.43%
18.01% to 19.00% 17 508,225.69 0.09%
19.01% to 20.00% 2 35,978.53 0.01%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Current Loan Balances
<TABLE>
<CAPTION>
Number of Percentage of
Current Home Equity Aggregate Aggregate
Loan Balance(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
$0 to $25,000.00 1,549 $29,110,158.05 5.00%
25,000.01 to 50,000.00 3,612 135,953,596.39 23.36%
50,000.01 to 75,000.00 2,372 144,935,442.09 24.90%
75,000.01 to 100,000.00 1,134 97,850,081.58 16.81%
100,000.01 to 125,000.00 577 64,365,212.31 11.06%
125,000.01 to 150,000.00 278 37,865,288.58 6.51%
150,000.01 to 175,000.00 151 24,372,551.25 4.19%
175,000.01 to 200,000.00 88 16,395,669.51 2.82%
200,000.01 to 225,000.00 51 10,895,435.93 1.87%
225,000.01 to 250,000.00 28 6,656,679.17 1.14%
250,000.01 to 275,000.00 20 5,164,757.43 0.89%
275,000.01 to 300,000.00 13 3,733,341.24 0.64%
300,000.01 to 325,000.00 9 2,830,244.63 0.49%
325,000.01 to 350,000.00 2 677,246.03 0.12%
350,000.01 to 375,000.00 1 372,000.00 0.06%
400,000.01 to 425,000.00 1 407,636.73 0.07%
425,000.01 to 450,000.00 1 449,768.48 0.08%
----------------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
======================================================================
</TABLE>
(a) decimals have been truncated.
Page 8
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Distribution by Types of Mortgaged Property
<TABLE>
<CAPTION>
Number of Percentage of
Property Home Equity Aggregate Aggregate
Types Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Condominium 84 $4,614,392.42 0.79%
Manufactured Housing 157 $8,093,862.67 1.39%
Mixed Use 33 $3,233,716.33 0.56%
Planned Unit Development 46 $3,846,764.76 0.66%
Single Family Attached 367 17,145,342.70 2.95%
Single Family Detached 8,538 498,661,306.06 85.68%
Two-to-Four Family 662 46,439,724.46 7.98%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Months since Origination
<TABLE>
<CAPTION>
Months Elapsed Number of Percentage of
Since Origination Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 1 months 6,250 $369,009,126.67 63.40%
2 to 12 months 3,631 212,706,139.82 36.55%
13 to 24 months 6 319,842.91 0.05%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Remaining Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Remaining Term (a) Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 470 $11,726,014.22 2.01%
121 to 180 months 6,575 398,729,485.73 68.51%
181 to 240 months 1,802 95,089,620.00 16.34%
241 to 360 months 1,040 76,489,989.45 13.14%
---------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
===============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Original Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Original Term (a) Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 470 $11,726,014.22 2.01%
121 to 180 months 6,575 398,729,485.73 68.51%
181 to 240 months 1,802 95,089,620.00 16.34%
241 to 360 months 1,040 76,489,989.45 13.14%
---------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
===============================================================
(a) decimals have been truncated.
</TABLE>
Page 9
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Distribution by Home Equity Ratio
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Home Equity Aggregate Aggregate
Ratio (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
0.00% to 5.00% 5 $51,897.89 0.01%
5.01% to 10.00% 44 711,096.66 0.12%
10.01% to 15.00% 237 5,266,240.61 0.90%
15.01% to 20.00% 293 8,040,187.54 1.38%
20.01% to 25.00% 236 7,688,558.18 1.32%
25.01% to 30.00% 149 5,538,115.81 0.95%
30.01% to 35.00% 88 3,636,272.04 0.62%
35.01% to 40.00% 60 2,843,512.00 0.49%
40.01% to 45.00% 41 1,839,192.73 0.32%
45.01% to 50.00% 23 1,210,605.69 0.21%
50.01% to 55.00% 29 1,555,262.68 0.27%
55.01% to 60.00% 16 969,346.53 0.17%
60.01% to 65.00% 5 361,733.88 0.06%
65.01% to 70.00% 5 284,854.42 0.05%
70.01% to 75.00% 5 506,719.28 0.09%
75.01% to 80.00% 2 79,865.35 0.01%
----------------------------------------------------------------
Total 1,238 $40,583,461.29 6.97%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Occupancy Status
<TABLE>
<CAPTION>
Number of Percentage of
Occupancy Home Equity Aggregate Aggregate
Status Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
Investor Occupied 570 $28,167,641.70 4.84%
Owner Occupied 9,317 553,867,467.70 95.16%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Lien Position
<TABLE>
<CAPTION>
Number of Percentage of
Lien Home Equity Aggregate Aggregate
Position Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
1st lien 8,649 $541,451,648.11 93.03%
2nd lien 1,238 40,583,461.29 6.97%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Page 10
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Distribution by Loan Purpose
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
DC & HI Combo 379 $22,621,189.94 3.89%
Debt Consolidation 8,544 502,936,200.74 86.41%
Home Improvement 457 23,220,071.78 3.99%
Other 507 33,257,646.94 5.71%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Loan Type
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Balloon 4,627 $321,542,623.06 55.24%
Non Balloon 5,260 260,492,486.34 44.76%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Days Delinquent
<TABLE>
<CAPTION>
Percentage of
Number Outstanding Outstanding
Days Delinquent of Loans Balance Balance
<S> <C> <C> <C>
0 to 29 days 9,825 $578,930,860.83 99.47%
30 to 59 days 54 2,678,295.34 0.46%
60 to 89 days 7 371,576.88 0.06%
90 to 119 days 1 54,376.35 0.01%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Debt to Income Ratio
<TABLE>
Percentage of
Debt to Number Outstanding Outstanding
Income Ratio of Loans Balance Balance
<S> <C> <C> <C>
0.00% to 5.00% 9 $451,372.70 0.08%
5.01% to 10.00% 61 2,261,182.65 0.39%
10.01% to 20.00% 761 32,229,687.92 5.54%
20.01% to 30.00% 1,958 96,402,217.97 16.56%
30.01% to 40.00% 2,883 168,525,469.15 28.95%
40.01% to 50.00% 3,999 265,528,910.42 45.62%
50.01% to 60.00% 216 16,636,268.59 2.86%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Page 11
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Distribution by Geographic Location
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Geographic Location Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Arizona 61 $5,684,184.04 2.89%
California 146 19,969,677.32 10.15%
Colorado 79 7,511,012.91 3.82%
Connecticut 18 2,822,251.21 1.44%
DC 5 569,874.44 0.29%
Delaware 3 347,484.99 0.18%
Florida 11 1,122,216.13 0.57%
Georgia 14 981,839.29 0.50%
Hawaii 1 245,000.00 0.12%
Iowa 30 1,231,721.58 0.63%
Idaho 26 1,727,649.68 0.88%
Illinois 166 13,090,771.67 6.66%
Indiana 69 4,202,519.92 2.14%
Kansas 22 1,273,203.23 0.65%
Kentucky 21 1,683,933.92 0.86%
Massachusetts 25 2,775,663.50 1.41%
Maryland 38 4,195,610.17 2.13%
Maine 1 50,000.00 0.03%
Michigan 1,020 67,292,579.25 34.22%
Minnesota 41 2,692,478.15 1.37%
Missouri 27 1,927,484.88 0.98%
Mississippi 1 22,950.00 0.01%
Montana 1 37,758.46 0.02%
North Carolina 16 1,518,987.32 0.77%
North Dakota 1 42,250.00 0.02%
Nebraska 9 587,339.70 0.30%
New Hampshire 1 88,081.01 0.04%
New Jersey 34 3,857,325.02 1.96%
New Mexico 35 3,539,870.79 1.80%
Nevada 2 118,532.92 0.06%
New York 41 4,279,510.59 2.18%
Ohio 91 7,552,730.99 3.84%
Oklahoma 1 52,500.00 0.03%
Oregon 30 2,320,359.56 1.18%
Pennsylvania 71 5,075,681.85 2.58%
Rhode Island 7 720,952.18 0.37%
South Carolina 6 353,010.64 0.18%
Tennessee 12 1,436,614.51 0.73%
Texas 49 3,743,535.30 1.90%
Utah 68 6,781,651.52 3.45%
Virginia 16 1,159,919.40 0.59%
Vermont 1 44,984.81 0.02%
Washington 51 6,104,517.66 3.10%
Wisconsin 64 4,616,000.17 2.35%
West Virginia 18 805,625.27 0.41%
Wyoming 5 398,557.20 0.20%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 12
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Distribution by Original Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Original LTV's (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
10.01% to 15.00% 1 15,000.00 0.01%
15.01% to 20.00% 3 67,000.00 0.03%
20.01% to 25.00% 10 413,645.75 0.21%
25.01% to 30.00% 16 687,181.96 0.35%
30.01% to 35.00% 18 695,372.27 0.35%
35.01% to 40.00% 36 1,952,813.88 0.99%
40.01% to 45.00% 31 1,380,734.12 0.70%
45.01% to 50.00% 74 4,242,807.08 2.16%
50.01% to 55.00% 48 2,380,961.19 1.21%
55.01% to 60.00% 128 7,466,317.49 3.80%
60.01% to 65.00% 201 13,013,244.39 6.62%
65.01% to 70.00% 273 22,479,953.27 11.43%
70.01% to 75.00% 460 38,119,601.24 19.38%
75.01% to 80.00% 784 67,571,808.77 34.36%
80.01% to 85.00% 339 32,547,267.77 16.55%
85.01% to 90.00% 33 3,622,693.97 1.84%
--------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
========================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Coupon Rates
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Coupon (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
6.01% to 7.00% 1 $277,771.68 0.14%
7.01% to 8.00% 34 3,652,300.62 1.86%
8.01% to 9.00% 197 19,309,782.98 9.82%
9.01% to 10.00% 647 59,573,547.23 30.29%
10.01% to 11.00% 773 62,750,392.81 31.91%
11.01% to 12.00% 502 34,180,971.27 17.38%
12.01% to 13.00% 187 10,825,276.44 5.50%
13.01% to 14.00% 63 3,720,084.44 1.89%
14.01% to 15.00% 42 1,961,753.68 1.00%
15.01% to 16.00% 8 364,522.00 0.19%
16.01% to 17.00% 1 40,000.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 13
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Distribution by Current Loan Balances
<TABLE>
<CAPTION>
Number of Percentage of
Current Home Equity Aggregate Aggregate
Loan Balance (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
$0 to $25,000.00 121 $2,514,364.61 1.28%
25,000.01 to 50,000.00 650 24,899,311.61 12.66%
50,000.01 to 75,000.00 682 42,529,798.80 21.63%
75,000.01 to 100,000.00 414 36,140,013.69 18.38%
100,000.01 to 125,000.00 220 24,629,950.72 12.52%
125,000.01 to 150,000.00 145 19,666,395.51 10.00%
150,000.01 to 175,000.00 87 14,102,354.47 7.17%
175,000.01 to 200,000.00 49 9,034,693.31 4.59%
200,000.01 to 225,000.00 27 5,678,412.70 2.89%
225,000.01 to 250,000.00 19 4,557,278.72 2.32%
250,000.01 to 275,000.00 80 2,094,409.28 1.07%
275,000.01 to 300,000.00 13 3,759,012.17 1.91%
300,000.01 to 325,000.00 8 2,491,733.35 1.27%
325,000.01 to 350,000.00 3 1,013,535.23 0.52%
350,000.01 to 375,000.00 4 1,442,110.05 0.73%
375,000.01 to 400,000.00 1 394,111.23 0.20%
400,000.01 to 425,000.00 3 1,264,458.67 0.64%
425,000.01 to 450,000.00 1 444,459.03 0.23%
--------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
========================================================
</TABLE>
(a) decimals have been truncated
Distribution by Types of Mortgaged Property
<TABLE>
<CAPTION>
Number of Percentage of
Property Home Equity Aggregate Aggregate
Types Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Condominium 32 $2,249,921.47 1.14%
Manufactured Housing 53 $3,333,572.03 1.70%
Mixed Use 1 $169,000.00 0.09%
Planned Unit Development 13 $1,793,065.33 0.91%
Single Family Attached 37 2,711,755.06 1.38%
Single Family Detached 2,240 179,368,877.89 91.21%
Two-to-Four Family 79 7,030,211.37 3.57%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Months since Origination
<TABLE>
<CAPTION>
Number of Percentage of
Months Elapsed Home Equity Aggregate Aggregate
Since Origination Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 1 month 1,729 $133,869,387.03 68.07%
2 to 12 months 726 62,787,016.12 31.93%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 14
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Distribution by Remaining Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Remaining Home Equity Aggregate Aggregate
Term (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 2 $83,000.00 0.04%
121 to 180 months 52 2,790,805.24 1.42%
181 to 240 months 10 414,135.96 0.21%
241 to 360 months 2,391 193,368,461.95 98.33%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Original Term to Maturit
<TABLE>
<CAPTION>
Number of Percentage of
Original Home Equity Aggregate Aggregate
Term (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 2 $83,000.00 0.04%
121 to 180 months 52 2,790,805.24 1.42%
181 to 240 months 10 414,135.96 0.21%
241 to 360 months 2,391 193,368,461.95 98.33%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Occupancy Status
<TABLE>
<CAPTION>
Number of Percentage of
Occupancy Home Equity Aggregate Aggregate
Status Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Investor Occupied 106 $6,311,797.65 3.21%
Owner Occupied 2,349 $190,344,605.50 96.79%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Lien Position
<TABLE>
<CAPTION>
Number of Percentage of
Lien Home Equity Aggregate Aggregate
Position Loans Loan Balance Loan Balance
<S> <C> <C> <C>
1st lien 2,455 $196,656,403.15 100.00%
2nd lien 0 0.00 0.00%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 15
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Distribution by Loan Purpose
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
DC & HI Combo 144 $11,126,483.57 5.66%
Debt Consolidation 2,048 163,119,057.27 82.95%
Home Improvement 112 7,620,603.16 3.88%
Other 151 14,790,259.15 7.52%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Loan Type
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Balloon 8 $579,195.06 0.29%
Non Balloon 2,477 196,077,208.09 99.71%
-------------------------------------------------------------
Total 2,485 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Days Delinquent
<TABLE>
<CAPTION>
Percentage of
Number Outstanding Outstanding
Days Delinquent of Loans Balance Balance
<S> <C> <C> <C>
0 to 29 days 2,448 $196,294,907.09 99.82%
30 to 59 days 6 313,996.06 0.16%
60 to 89 days 1 47,500.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Debt to Income Ratio
<TABLE>
<CAPTION>
Percentage of
Debt to Number Outstanding Outstanding
Income Ratio of Loans Balance Balance
<S> <C> <C> <C>
0.00% to 5.00% 1 $102,744.43 0.05%
5.01% to 10.00% 16 999,190.51 0.51%
10.01% to 15.00% 67 3,263,302.69 1.66%
15.01% to 20.00% 130 7,568,290.18 3.85%
20.01% to 30.00% 506 34,314,765.38 17.45%
30.01% to 40.00% 688 55,426,334.71 28.18%
40.01% to 50.00% 971 87,265,646.74 44.37%
50.01% to 60.00% 76 7,716,128.51 3.92%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 16
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Distribution by Gross Coupon Margin
<TABLE>
<CAPTION>
Number of Percentage of
Gross Coupon Home Equity Aggregate Aggregate
Margin (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
0.00% to 0.99% 1 $45,777.23 0.02%
1.00% to 1.99% 1 25,000.00 0.01%
3.00% to 3.99% 7 852,192.08 0.43%
4.00% to 4.99% 57 6,188,359.12 3.15%
5.00% to 5.99% 437 46,451,794.18 23.62%
6.00% to 6.99% 781 62,401,005.89 31.73%
7.00% to 7.99% 690 52,864,116.27 26.88%
8.00% to 8.99% 331 20,111,294.73 10.23%
9.00% to 9.99% 131 6,554,614.50 3.33%
10.00% to 10.99% 18 1,106,749.15 0.56%
16.00% to 16.99% 1 55,500.00 0.03%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Gross Coupon Lifetime Cap
<TABLE>
<CAPTION>
Number of Percentage of
Gross Lifetime Home Equity Aggregate Aggregate
Cap (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
11.00% to 11.99% 1 $98,600.00 0.05%
13.00% to 13.99% 19 1,928,710.00 0.98%
14.00% to 14.99% 113 11,331,812.73 5.76%
15.00% to 15.99% 497 45,187,874.60 22.98%
16.00% to 16.99% 807 65,815,086.02 33.47%
17.00% to 17.99% 625 47,603,837.84 24.21%
18.00% to 18.99% 251 16,492,070.30 8.39%
19.00% to 19.99% 82 5,094,935.84 2.59%
20.00% to 20.99% 49 2,597,753.82 1.32%
21.00% to 21.99% 10 465,722.00 0.24%
22.00% to 22.99% 1 40,000.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by ARM Adjustment Type
<TABLE>
<CAPTION>
Number of Percentage of
ARM Adjustment Home Equity Aggregate Aggregate
Type Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
"2 / 28" 305 $30,489,479.26 15.50%
"3 / 27" 79 8,712,948.86 4.43%
"6 months" 2,071 157,453,975.03 80.07%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 17
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Distribution by Periodic Cap
<TABLE>
<CAPTION>
Number of Percentage of
Periodic Home Equity Aggregate Aggregate
Cap(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
1.00% to 1.9 2,445 $195,843,703.79 99.59%
2.00% to 2.99% 3 350,907.61 0.18%
3.00% to 3.99% 6 403,733.46 0.21%
6.00% to 6.99% 1 58,058.29 0.03%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by First Adjust Cap
<TABLE>
<CAPTION>
Number of Percentage of
Periodic Home Equity Aggregate Aggregate
Cap (a) Loans Loan Balance Loan Balance
Loans With First Adjust Cap (different than subsequent cap):
<S> <C> <C> <C> <C>
0.00% to 0.99% 1 $59,500.00 0.03%
1.00% to 1.99% 7 883,464.40 0.45%
2.00% to 2.99% 5 481,881.59 0.25%
3.00% to 3.99% 325 33,154,208.18 16.86%
6.00% to 6.99% 8 815,774.10 0.41%
<CAPTION>
Loans With Periodic Cap (always same cap):
<S> <C> <C> <C> <C>
1.00% to 1.9 2,102 $160,664,967.27 81.70%
2.00% to 2.99% 2 230,632.61 0.12%
3.00% to 3.99% 5 365,975.00 0.19%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 18
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Distribution by Coupon Rate Change
<TABLE>
<CAPTION>
Next Coupon Number of Percentage of
Rate Change Home Equity Aggregate Aggregate
Date Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
December 1996 4 $272,468.28 0.14%
January 1997 37 2,882,327.28 1.47%
February 1997 226 17,826,018.79 9.06%
March 1997 709 57,347,623.80 29.16%
April 1997 808 60,954,242.49 31.00%
May 1997 287 18,171,294.39 9.24%
July 1997 1 70,923.35 0.04%
July 1998 13 1,220,927.78 0.62%
August 1998 73 7,528,177.09 3.83%
September 1998 67 6,217,309.93 3.16%
October 1998 136 13,817,364.46 7.03%
November 1998 16 1,705,700.00 0.87%
April 1999 1 113,815.17 0.06%
June 1999 1 120,629.78 0.06%
July 1999 10 1,232,499.95 0.63%
August 1999 17 1,579,376.32 0.80%
September 1999 13 1,314,514.90 0.67%
October 1999 23 2,710,889.39 1.38%
November 1999 13 1,570,300.00 0.80%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 19
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Rep Lines (October 31, 1996 Preliminary Cut-Off Date)
Fixed Rate Collateral Group I
<TABLE>
<CAPTION>
Original Remaining Original
Gross Net Term to Term to Amortization
Pool Principal Coupon Coupon Maturity Maturity Term Amortization
Number Balance Rate Rate (months) (months) (months) Method
- --------- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 $988,478.17 11.556% 11.056% 60 58 60 Level Pay
2 $12,546,697.69 12.304% 11.804% 118 116 118 Level Pay
3 $89,579,208.36 11.924% 11.424% 179 177 179 Level Pay
4 $110,277,700.54 11.816% 11.316% 240 238 240 Level Pay
5 $1,314,843.69 11.902% 11.402% 300 298 300 Level Pay
6 $87,392,421.63 11.398% 10.898% 360 358 360 Level Pay
7 $372,900,649.91 12.023% 11.523% 180 178 360 Balloon
Totals $675,000,000.00
</TABLE>
Adjustable Rate Collateral Group II
<TABLE>
<CAPTION>
Original
Gross Net Months Term to
Pool Principal Coupon Coupon to Rate Periodic Life Maturity
Number Balance Rate Rate Change Margin Cap Cap (months)
- --------- ----------------- ------------ ------------ ------------ ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 $311,738.45 10.738% 10.238% 1 6.663% 1.0 17.115% 360
2 $3,297,749.92 10.536% 10.036% 2 6.718% 1.0 16.671% 349
3 $20,395,238.41 10.552% 10.052% 3 6.943% 1.0 16.766% 356
4 $65,612,993.77 10.350% 9.850% 4 6.835% 1.0 16.643% 357
5 $69,739,425.42 10.322% 9.822% 5 6.896% 1.0 16.547% 357
6 $20,790,277.72 10.347% 9.847% 6 7.168% 1.0 16.399% 356
7 $81,145.36 11.000% 10.500% 8 6.700% 1.0 17.000% 360
8 $1,396,897.06 11.122% 10.622% 20 6.655% 2.8 17.627% 360
9 $8,613,194.48 10.680% 10.180% 21 6.072% 3.0 17.309% 360
10 $7,113,395.30 10.678% 10.178% 22 6.268% 2.9 17.218% 355
11 $15,808,826.73 10.586% 10.086% 23 6.194% 2.7 17.279% 360
12 $1,951,538.29 10.904% 10.404% 24 6.585% 2.6 16.904% 360
13 $130,219.07 10.250% 9.750% 29 5.950% 3.0 16.250% 360
14 $138,015.85 10.750% 10.250% 31 6.250% 3.0 16.750% 360
15 $1,410,137.09 10.783% 10.283% 32 5.822% 3.0 16.953% 360
16 $1,807,007.89 10.879% 10.379% 33 6.157% 2.9 16.944% 360
17 $1,503,972.65 10.975% 10.475% 34 6.156% 3.2 17.540% 360
18 $3,101,603.12 10.957% 10.457% 35 6.378% 2.8 17.215% 360
19 $1,796,623.42 10.743% 10.243% 36 6.642% 3.1 16.917% 360
Totals $225,000,000.00
</TABLE>
Remaining Original
Term to Amortization
Pool Maturity Term Amortization
Number (months) (months) Method
- --------- ------------- ------------ ------------
1 355 360 Level Pay
2 345 349 Level Pay
3 353 356 Level Pay
4 355 357 Level Pay
5 356 357 Level Pay
6 356 356 Level Pay
7 355 360 Level Pay
8 356 360 Level Pay
9 357 360 Level Pay
10 353 355 Level Pay
11 359 360 Level Pay
12 360 360 Level Pay
13 353 360 Level Pay
14 355 360 Level Pay
15 356 360 Level Pay
16 357 360 Level Pay
17 358 360 Level Pay
18 359 360 Level Pay
19 360 360 Level Pay
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Page 20
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-1: $96,500,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 75% 25% 0% 0% 0% 0%
12/15/98 68% 0% 0% 0% 0% 0%
12/15/99 59% 0% 0% 0% 0% 0%
12/15/00 50% 0% 0% 0% 0% 0%
12/15/01 39% 0% 0% 0% 0% 0%
12/15/02 28% 0% 0% 0% 0% 0%
12/15/03 16% 0% 0% 0% 0% 0%
12/15/04 3% 0% 0% 0% 0% 0%
12/15/05 0% 0% 0% 0% 0% 0%
12/15/06 0% 0% 0% 0% 0% 0%
12/15/07 0% 0% 0% 0% 0% 0%
12/15/08 0% 0% 0% 0% 0% 0%
12/15/09 0% 0% 0% 0% 0% 0%
12/15/10 0% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life:
Years (3) to Maturity 3.95 0.78 0.55 0.50 0.44 0.37
Years (3) to Call 3.95 0.78 0.55 0.50 0.44 0.37
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 21
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-2: $113,900,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 78% 61% 35% 0%
12/15/98 100% 61% 0% 0% 0% 0%
12/15/99 100% 7% 0% 0% 0% 0%
12/15/00 100% 0% 0% 0% 0% 0%
12/15/01 100% 0% 0% 0% 0% 0%
12/15/02 100% 0% 0% 0% 0% 0%
12/15/03 100% 0% 0% 0% 0% 0%
12/15/04 100% 0% 0% 0% 0% 0%
12/15/05 89% 0% 0% 0% 0% 0%
12/15/06 76% 0% 0% 0% 0% 0%
12/15/07 61% 0% 0% 0% 0% 0%
12/15/08 45% 0% 0% 0% 0% 0%
12/15/09 27% 0% 0% 0% 0% 0%
12/15/10 6% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) to Maturity 11.59 2.26 1.30 1.14 0.98 0.81
Years (3) to Call 11.59 2.26 1.30 1.14 0.98 0.81
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 22
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-3: $139,800,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 93%
12/15/98 100% 100% 78% 51% 13% 0%
12/15/99 100% 100% 10% 0% 0% 0%
12/15/00 100% 68% 0% 0% 0% 0%
12/15/01 100% 34% 0% 0% 0% 0%
12/15/02 100% 6% 0% 0% 0% 0%
12/15/03 100% 0% 0% 0% 0% 0%
12/15/04 100% 0% 0% 0% 0% 0%
12/15/05 100% 0% 0% 0% 0% 0%
12/15/06 100% 0% 0% 0% 0% 0%
12/15/07 100% 0% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) to Maturity 14.82 4.63 2.46 2.08 1.70 1.31
Years (3) to Call 14.82 4.63 2.46 2.08 1.70 1.31
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 23
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-4: $62,900,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 0%
12/15/99 100% 100% 100% 52% 0% 0%
12/15/00 100% 100% 16% 0% 0% 0%
12/15/01 100% 100% 0% 0% 0% 0%
12/15/02 100% 100% 0% 0% 0% 0%
12/15/03 100% 59% 0% 0% 0% 0%
12/15/04 100% 13% 0% 0% 0% 0%
12/15/05 100% 0% 0% 0% 0% 0%
12/15/06 100% 0% 0% 0% 0% 0%
12/15/07 100% 0% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 14.84 7.27 3.71 3.08 2.46 1.84
Years (3) to Call 14.84 7.27 3.71 3.08 2.46 1.84
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 24
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-5: $71,700,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 99%
12/15/99 100% 100% 100% 100% 64% 0%
12/15/00 100% 100% 100% 51% 0% 0%
12/15/01 100% 100% 41% 0% 0% 0%
12/15/02 100% 100% 0% 0% 0% 0%
12/15/03 100% 100% 0% 0% 0% 0%
12/15/04 100% 100% 0% 0% 0% 0%
12/15/05 100% 75% 0% 0% 0% 0%
12/15/06 100% 42% 0% 0% 0% 0%
12/15/07 100% 13% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 14.84 9.85 4.95 4.08 3.20 2.32
Years (3) to Call 14.84 9.85 4.95 4.08 3.20 2.32
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 25
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-6: $37,800,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 11%
12/15/00 100% 100% 100% 100% 48% 0%
12/15/01 100% 100% 100% 63% 0% 0%
12/15/02 100% 100% 77% 0% 0% 0%
12/15/03 100% 100% 2% 0% 0% 0%
12/15/04 100% 100% 0% 0% 0% 0%
12/15/05 100% 100% 0% 0% 0% 0%
12/15/06 100% 100% 0% 0% 0% 0%
12/15/07 100% 100% 0% 0% 0% 0%
12/15/08 100% 74% 0% 0% 0% 0%
12/15/09 100% 27% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 25% 0% 0% 0% 0% 0%
12/15/12 22% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 15.22 12.56 6.40 5.20 4.05 2.88
Years (3) to Call 15.22 12.56 6.40 5.20 4.05 2.88
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 26
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-7: $59,100,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 100% 100% 100% 100% 100% 17%
12/15/01 100% 100% 100% 100% 56% 0%
12/15/02 100% 100% 100% 83% 12% 0%
12/15/03 100% 100% 100% 43% 0% 0%
12/15/04 100% 100% 66% 16% 0% 0%
12/15/05 100% 100% 38% 0% 0% 0%
12/15/06 100% 100% 14% 0% 0% 0%
12/15/07 100% 100% 0% 0% 0% 0%
12/15/08 100% 100% 0% 0% 0% 0%
12/15/09 100% 100% 0% 0% 0% 0%
12/15/10 100% 90% 0% 0% 0% 0%
12/15/11 100% 0% 0% 0% 0% 0%
12/15/12 100% 0% 0% 0% 0% 0%
12/15/13 95% 0% 0% 0% 0% 0%
12/15/14 73% 0% 0% 0% 0% 0%
12/15/15 49% 0% 0% 0% 0% 0%
12/15/16 25% 0% 0% 0% 0% 0%
12/15/17 19% 0% 0% 0% 0% 0%
12/15/18 12% 0% 0% 0% 0% 0%
12/15/19 4% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 19.32 14.67 8.70 7.00 5.26 3.65
Years (3) to Call 19.32 14.67 8.69 7.00 5.26 3.65
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 27
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-8: $43,300,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 100% 100% 100% 100% 100% 100%
12/15/01 100% 100% 100% 100% 100% 53%
12/15/02 100% 100% 100% 100% 100% 25%
12/15/03 100% 100% 100% 100% 79% 14%
12/15/04 100% 100% 100% 100% 57% 10%
12/15/05 100% 100% 100% 92% 39% 5%
12/15/06 100% 100% 100% 68% 26% 1%
12/15/07 100% 100% 93% 50% 17% 0%
12/15/08 100% 100% 71% 36% 9% 0%
12/15/09 100% 100% 53% 24% 4% 0%
12/15/10 100% 100% 39% 16% 0% 0%
12/15/11 100% 55% 3% 0% 0% 0%
12/15/12 100% 44% 0% 0% 0% 0%
12/15/13 100% 34% 0% 0% 0% 0%
12/15/14 100% 25% 0% 0% 0% 0%
12/15/15 100% 17% 0% 0% 0% 0%
12/15/16 100% 10% 0% 0% 0% 0%
12/15/17 100% 7% 0% 0% 0% 0%
12/15/18 100% 5% 0% 0% 0% 0%
12/15/19 100% 3% 0% 0% 0% 0%
12/15/20 94% 1% 0% 0% 0% 0%
12/15/21 80% 0% 0% 0% 0% 0%
12/15/22 66% 0% 0% 0% 0% 0%
12/15/23 50% 0% 0% 0% 0% 0%
12/15/24 31% 0% 0% 0% 0% 0%
12/15/25 11% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 26.87 16.66 13.23 11.45 8.90 5.66
Years (3) to Call 26.20 14.84 10.51 8.59 6.95 4.85
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 28
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-9: $50,000,000 "LOCK BOND"
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 99% 95% 90% 88% 85% 79%
12/15/01 99% 89% 81% 77% 72% 62%
12/15/02 97% 81% 67% 61% 53% 40%
12/15/03 95% 71% 52% 45% 36% 21%
12/15/04 92% 59% 37% 30% 20% 8%
12/15/05 88% 49% 26% 19% 11% 2%
12/15/06 84% 41% 18% 12% 6% 0%
12/15/07 80% 33% 12% 7% 3% 0%
12/15/08 76% 27% 8% 4% 1% 0%
12/15/09 71% 22% 5% 3% 0% 0%
12/15/10 66% 18% 3% 1% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 13.20 9.42 7.53 7.01 6.39 5.64
Years (3) to Call 13.20 9.42 7.22 6.55 5.80 4.62
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 29
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-10: $225,000,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 97% 89% 81% 76% 73% 65%
12/15/98 97% 81% 67% 59% 55% 43%
12/15/99 96% 74% 56% 46% 41% 29%
12/15/00 96% 68% 46% 36% 31% 20%
12/15/01 95% 62% 39% 29% 23% 13%
12/15/02 94% 56% 32% 22% 18% 9%
12/15/03 94% 51% 27% 18% 13% 6%
12/15/04 93% 46% 22% 14% 10% 4%
12/15/05 92% 42% 19% 11% 7% 2%
12/15/06 91% 39% 16% 8% 5% 1%
12/15/07 90% 35% 13% 6% 4% 1%
12/15/08 88% 32% 11% 5% 3% 0%
12/15/09 87% 29% 9% 4% 2% 0%
12/15/10 85% 26% 7% 3% 1% 0%
12/15/11 83% 23% 6% 2% 1% 0%
12/15/12 81% 21% 5% 1% 1% 0%
12/15/13 78% 19% 4% 1% 0% 0%
12/15/14 75% 16% 3% 1% 0% 0%
12/15/15 72% 15% 2% 0% 0% 0%
12/15/16 69% 13% 2% 0% 0% 0%
12/15/17 64% 11% 1% 0% 0% 0%
12/15/18 60% 9% 1% 0% 0% 0%
12/15/19 55% 8% 1% 0% 0% 0%
12/15/20 49% 6% 0% 0% 0% 0%
12/15/21 42% 5% 0% 0% 0% 0%
12/15/22 35% 4% 0% 0% 0% 0%
12/15/23 27% 2% 0% 0% 0% 0%
12/15/24 18% 1% 0% 0% 0% 0%
12/15/25 7% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 21.62 9.39 5.22 3.96 3.43 2.48
Years (3) to Call 21.24 7.92 4.59 3.54 3.01 2.17
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 30
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
TRANSACTION SUMMARY @ Pricing Prepayment Speed
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Estimated to Maturity Expected
---------------------------------------------------------- Ratings
Modified Principal Principal (Moody's /
Approximate Size Certificate WAL Duration Lockout Window S&P / FITCH)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$96,500,000 Class A-1 0.50 0.48 0 10 Aaa/AAA/AAA
$113,900,000 Class A-2 1.14 1.07 9 9 Aaa/AAA/AAA
$139,800,000 Class A-3 2.08 1.89 17 15 Aaa/AAA/AAA
$62,900,000 Class A-4 3.08 2.71 31 11 Aaa/AAA/AAA
$71,700,000 Class A-5 4.08 3.46 41 16 Aaa/AAA/AAA
$37,800,000 Class A-6 5.20 4.25 56 13 Aaa/AAA/AAA
$59,100,000 Class A-7 7.00 5.33 68 37 Aaa/AAA/AAA
$43,300,000 Class A-8 11.45 7.46 104 74 Aaa/AAA/AAA
$50,000,000 Class A-9 7.01 5.25 36 142 Aaa/AAA/AAA
$225,000,000 Class A-10 3.96 3.16 0 250 Aaa/AAA/AAA
</TABLE>
<TABLE>
<CAPTION>
Class A-1 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 3.95 0.78 0.55 0.50 0.44 0.37
Duration 3.31 0.75 0.53 0.48 0.42 0.36
First Principal Payment 01/15/97 01/15/97 01/15/97 01/15/97 01/15/97 01/15/97
Last Principal Payment 03/15/05 05/15/98 11/15/97 10/15/97 08/15/97 07/15/97
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 99 17 11 10 8 7
Yield @ Par 5.59% 5.59% 5.59% 5.59% 5.59% 5.60%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-2 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 11.59 2.26 1.3 1.14 0.98 0.81
Duration 7.99 2.04 1.22 1.07 0.92 0.77
First Principal Payment 03/15/05 05/15/98 11/15/97 10/15/97 08/15/97 07/15/97
Last Principal Payment 04/15/11 02/15/00 09/15/98 06/15/98 03/15/98 12/15/97
Principal Lockout (months) 98 16 10 9 7 6
Principal Window (months) 74 22 11 9 8 6
Yield @ Par 6.26% 6.17% 6.09% 6.07% 6.03% 5.98%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Page 31
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-3 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.82 4.63 2.46 2.08 1.7 1.31
Duration 9.37 3.88 2.21 1.89 1.56 1.22
First Principal Payment 04/15/11 02/15/00 09/15/98 06/15/98 03/15/98 12/15/97
Last Principal Payment 10/15/11 03/15/03 03/15/00 08/15/99 02/15/99 08/15/98
Principal Lockout (months) 171 37 20 17 14 11
Principal Window (months) 7 38 19 15 12 9
Yield @ Par 6.35% 6.31% 6.26% 6.24% 6.22% 6.17%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-4 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.84 7.27 3.71 3.08 2.46 1.84
Duration 9.27 5.62 3.20 2.71 2.21 1.69
First Principal Payment 10/15/11 03/15/03 03/15/00 08/15/99 02/15/99 08/15/98
Last Principal Payment 10/15/11 04/15/05 03/15/01 06/15/00 09/15/99 12/15/98
Principal Lockout (months) 177 74 38 31 25 19
Principal Window (months) 1 26 13 11 8 5
Yield @ Par 6.54% 6.52% 6.49% 6.48% 6.45% 6.42%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-5 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.84 9.85 4.95 4.08 3.20 2.32
Duration 9.14 6.99 4.08 3.46 2.79 2.09
First Principal Payment 10/15/11 04/15/05 03/15/01 06/15/00 09/15/99 12/15/98
Last Principal Payment 10/15/11 06/15/08 10/15/02 09/15/01 08/15/00 08/15/99
Principal Lockout (months) 177 99 50 41 32 23
Principal Window (months) 1 39 20 16 12 9
Yield @ Par 6.76% 6.75% 6.72% 6.71% 6.69% 6.66%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-6 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 15.22 12.56 6.40 5.20 4.05 2.88
Duration 9.20 8.19 5.03 4.25 3.43 2.54
First Principal Payment 10/15/11 6/15/08 10/15/02 9/15/01 8/15/00 8/15/99
Last Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Principal Lockout (months) 177 137 69 56 43 31
Principal Window (months) 24 27 16 13 10 6
Yield @ Par 6.87% 6.87% 6.84% 6.84% 6.82% 6.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Page 32
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-7 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.32 14.67 8.70 7.00 5.26 3.65
Duration 10.19 8.85 6.28 5.33 4.24 3.11
First Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Last Principal Payment 6/15/20 10/15/11 9/15/07 9/15/05 5/15/03 4/15/01
Principal Lockout (months) 200 163 84 68 52 36
Principal Window (months) 82 15 45 37 25 16
Yield @ Par 7.15% 7.14% 7.13% 7.12% 7.11% 7.09%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-8 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 26.87 16.66 13.23 11.45 8.90 5.66
Duration 11.40 9.28 8.19 7.46 6.26 4.44
First Principal Payment 6/15/20 10/15/11 9/15/07 9/15/05 5/15/03 4/15/01
Last Principal Payment 6/15/26 4/15/21 2/15/13 10/15/11 2/15/11 4/15/07
Principal Lockout (months) 281 177 128 104 76 51
Principal Window (months) 73 115 66 74 94 73
Yield @ Par 7.39% 7.38% 7.38% 7.37% 7.37% 7.35%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-9 "LOCK BOND"(to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 13.20 9.42 7.53 7.01 6.39 5.64
Duration 8.27 6.49 5.53 5.25 4.91 4.47
First Principal Payment 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00
Last Principal Payment 10/15/11 10/15/11 10/15/11 10/15/11 2/15/11 4/15/07
Principal Lockout (months) 36 36 36 36 36 36
Principal Window (months) 142 142 142 142 134 88
Yield @ Par 7.02% 7.01% 7.00% 7.00% 7.00% 6.99%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 10.50% 15.75% 21.00% 26.25% 31.50%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.62 9.39 5.22 3.96 3.43 2.48
Duration 11.57 6.20 3.96 3.16 2.81 2.12
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 8/15/26 3/15/26 5/15/22 10/15/17 5/15/15 6/15/10
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 356 351 305 250 221 162
Yield @ Par 5.79% 5.81% 5.81% 5.80% 5.81% 5.81%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Page 33
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-7 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.32 14.67 8.69 7.00 5.26 3.65
Duration 10.19 8.85 6.27 5.33 4.24 3.11
First Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Last Principal Payment 6/15/20 10/15/11 6/15/07 7/15/05 5/15/03 4/15/01
Principal Lockout (months) 200 163 84 68 52 36
Principal Window (months) 82 15 42 35 25 16
Yield @ Par 7.15% 7.14% 7.13% 7.12% 7.11% 7.09%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-8 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 26.20 14.84 10.51 8.59 6.95 4.85
Duration 11.32 8.78 7.10 6.18 5.28 3.95
First Principal Payment 6/15/20 10/15/11 6/15/07 7/15/05 5/15/03 4/15/01
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 281 177 125 102 76 51
Principal Window (months) 43 1 1 1 8 9
Yield @ Par 7.39% 7.38% 7.37% 7.37% 7.36% 7.34%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-9 "LOCK BOND" (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 13.20 9.42 7.22 6.55 5.80 4.62
Duration 8.27 6.49 5.40 5.03 4.59 3.82
First Principal Payment 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00
Last Principal Payment 10/15/11 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 36 36 36 36 36 36
Principal Window (months) 142 142 90 67 48 24
Yield @ Par 7.02% 7.01% 7.00% 7.00% 6.99% 6.98%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 10.50% 15.75% 21.00% 26.25% 31.50%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.24 7.92 4.59 3.54 3.01 2.17
Duration 11.49 5.71 3.67 2.95 2.57 1.92
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 324 178 126 103 84 60
Yield @ Par 5.79% 5.79% 5.79% 5.79% 5.79% 5.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Page 34
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date) Update
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Merrill Lynch & Co.
MERRILL LYNCH
- --------------------------------------------------------------------------------
Fixed Rate Home Equity Loans
Weighted Average Home Equity Ratio (2nd Liens): 38.95% (6.50% to 97.58%)
Adjustable Rate Home Equity Loans
ARM Adjustment Type: "3 / 27" " 2 / 28" "6 Month"
-------- --------- ---------
4.43% 15.50% 80.06%
Distribution by Loan Type
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Type Loans Loan Balance Loan Balance
Balloon 8 $579,195.06 0.29%
Non Balloon 2,447 196,077,208.09 99.71%
-------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=================================================
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Class A-10 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment Scenario Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
CPR% 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.62 9.39 5.22 3.96 3.43 2.48
Duration 11.57 6.20 3.96 3.16 2.81 2.12
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 8/15/26 3/15/26 5/15/22 10/15/17 5/15/15 6/15/10
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 356 351 305 250 221 162
Yield @ Par 5.79% 5.81% 5.81% 5.80% 5.81% 5.81%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment Scenario Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
CPR% 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.24 7.92 4.59 3.54 3.01 2.17
Duration 11.49 5.71 3.67 2.95 2.57 1.92
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 324 178 126 103 84 60
Yield @ Par 5.79% 5.79% 5.79% 5.79% 5.79% 5.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 35
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Modeling Assumptions
Loan Group I: $675,000,000 Fixed Rate Collateral
Loan Group II: $225,000,000 Adjustable Rate Collateral
Loan Group I Prepayment Assumption: 120% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes that the prepayments start at 4% CPR in month 1,
rise by 1.455% per month to 20% CPR in month 12 and remain at 20% CPR thereafter
on a seasoning adjusted basis.
Loan Group II Prepayment Assumption: Prepayments remain constant at 21% CPR
throughout the life of the collateral.
<TABLE>
<CAPTION>
Delay Day Dated Settlement
Class Loan Group Balance WAL Coupon Days Count Date Date Notes
- ----- ---------- ------- --- ------ ---- ----- ---- ---- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 I $96,500,000 0.50 1 m. LIB + 7 None Actual/360 12/12/96 12/12/96 (1)
A-2 I $113,900,000 1.14 6.21% 14 30/360 11/23/96 12/12/96 (2)
A-3 I $139,800,000 2.08 6.29% 14 30/360 11/23/96 12/12/96 (2)
A-4 I $62,900,000 3.08 6.48% 14 30/360 11/23/96 12/12/96 (2)
A-5 I $71,700,000 4.08 6.69% 14 30/360 11/23/96 12/12/96 (2)
A-6 I $37,800,000 5.20 6.80% 14 30/360 11/23/96 12/12/96 (2)
A-7 I $59,100,000 7.00 7.07% 14 30/360 11/23/96 12/12/96 (2)
A-8 I $43,300,000 11.45 7.30% 14 30/360 11/23/96 12/12/96 (2)
A-9 I $50,000,000 7.01 6.95% 14 30/360 11/23/96 12/12/96 (2)
A-10 II $225,000,000 3.96 1 m. LIB + 26 None Actual/360 12/12/96 12/12/96 (3)
A-11IO I (4) 0.99% 14 30/360 11/23/96 12/12/96 (4)
A-12IO II (5) 0.95% 14 30/360 11/23/96 12/12/96 (5)
</TABLE>
Notes
- --------------------------------------------------------------------------------
(1) Class A-1 Floater is uncapped and settles flat; Actual/360 day count;
assumes 1 month LIBOR as 5.375%.
(2) Classes A-2 through A-9 and Class A-11IO and Class A-12IO settle with
accrued interest; 30/360 day count.
(3) Class A-10 Floater settles flat; Actual/360 day count; assumes 1 month LIBOR
as 5.375% and 6 month LIBOR as 5.540%.
(4) Class A-11IO Notional Balance is the outstanding Loan Group I bond balance
each month.
(5) Class A-12IO Notional Balance is the outstanding Loan Group II bond balance
each month.
Page 1
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Modeling Assumptions
OC uses excess from both Loan Group I and Loan Group II
<TABLE>
<CAPTION>
Loan Group I Loan Group II
------------ -------------
<S> <C> <C>
OC Target Months 1-4: $500,000 $500,000
OC Ramp thereafter: 2.60% as % of initial principal balance 2.50% as % of initial principal balance
OC Step (rule applies for each Loan Group) 5.20% as % of current principal balance 5.00% as % of current principal balance
</TABLE>
The OC Step occurs when the period is 31 and the current principal balance is
less than 50% of the initial principal balance.
<TABLE>
<S> <C> <C>
OC Floor: 0.50% as % of initial principal balance 0.50% as % of initial principal balance
OC Carveout: n/a 0.50% - after month 12 on Loan Group II
Servicing: 0.50% 0.50%
Trustee: 0.01% 0.01%
MBIA Fees: 0.10% 0.10%
Class A-11IO Carveout 0.99% n/a
Class A-12IO Carveout n/a 0.95%
Losses: 0.00% 0.00%
</TABLE>
Class A-1 Floater is uncapped and is backed by fixed rate collateral from Loan
Group I.
Class A-9 Lock Bond is allocated principal pari passu with the class of bonds
that is currently receiving principal payments in a ratio equal to the product
a) the outstanding principal balance of the Lock Bond divided by the outstanding
principal balance of all fixed rate classes and b) a specified percentage.
The specified percentage is as follows:
Distribution Periods Applicable Percentages
-------------------- ----------------------
Month 1 - Month 36 0%
Month 37 - Month 60 45%
Month 61- Month 72 80%
Month 73 - Month 84 100%
Month 85 - End 140%
Class A-10 Floater assumes 1 month LIBOR of 5.375% and 6 month LIBOR of 5.540%
Page 2
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
Summary of Bonds
<TABLE>
<CAPTION>
To Avg 1st pay- Last pay-
Maturity Life CBE ment Date ment Date Modified Legal
Class Amount Coupon (yrs.) Yield Price (mm/yy) (mm/yy) Duration Final
- -------- ------------ ------ ------ ----- ---------- --------- --------- -------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $ 96,500,000 5.45% 0.50 5.59% 100.00000% 15-Jan-97 15-Oct-97 0.48 TBD
A-2 $113,900,000 6.21% 1.14 6.07% 100.00000% 15-Oct-97 15-Jun-98 1.07 TBD
A-3 $139,800,000 6.29% 2.08 6.24% 100.00000% 15-Jun-98 15-Aug-99 1.89 TBD
A-4 $ 62,900,000 6.48% 3.08 6.48% 100.00000% 15-Aug-99 15-Jun-00 2.71 TBD
A-5 $ 71,700,000 6.69% 4.08 6.71% 100.00000% 15-Jun-00 15-Sep-01 3.46 TBD
A-6 $ 37,800,000 6.80% 5.20 6.84% 100.00000% 15-Sep-01 15-Sep-02 4.25 TBD
A-7 $ 59,100,000 7.07% 7.00 7.12% 100.00000% 15-Sep-02 15-Sep-05 5.33 TBD
A-8 $ 43,300,000 7.30% 11.45 7.37% 100.00000% 15-Sep-05 15-Oct-11 7.46 TBD
A-9 $ 50,000,000 6.95% 7.01 7.00% 100.00000% 15-Jan-00 15-Oct-11 5.25 TBD
A-10 $225,000,000 5.64% 3.96 5.80% 100.00000% 15-Jan-97 15-Oct-17 3.16 TBD
<CAPTION>
Avg 1st pay- Last pay-
To Call Life CBE ment Date ment Date Modified
Class Amount Coupon (yrs.) Yield Price (mm/yy) (mm/yy) Duration
------- ------------ ------ ------ ----- ---------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-7 $ 59,100,000 7.07% 7.00 7.12% 100.00000% 15-Sep-02 15-Jul-05 5.33
A-8 $ 43,300,000 7.30% 8.59 7.37% 100.00000% 15-Jul-05 15-Jul-05 6.18
A-9 $ 50,000,000 6.95% 6.55 7.00% 100.00000% 15-Jan-00 15-Jul-05 5.03
A-10 $225,000,000 5.64% 3.54 5.79% 100.00000% 15-Jan-97 15-Jul-05 2.95
</TABLE>
Notes:
- ---------------------
1 Fixed Rate Certificates (Class A-1 to A-9) Pricing Prepayment = 120% of the
Prepayment Assumption. A 100% Prepayment Assumprion assumes prepayments start
at 4% CPR in month 1, rise by 1.455% per month to 20% CPR in month 12
thereafter on a seasoning adjusted basis.
2 Adjustable Rate Certificates (Class A-10) Pricing Prepayment = 21% CPR
throughout the life of the collateral.
3 Coupons and prices are assumed for computational materials.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Page 3
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Collateral
Fixed Rate Home Equity Loans
Characteristics of the Mortgage Pool as of the
Preliminary Cut-Off Date October 31, 1996:
<TABLE>
<S> <C> <C>
Total Number of Loans: 9,887
Total Outstanding Loan Balance: $582,035,109
Balloon (% of Total): 55.24%
Level Pay (% of Total): 44.76%
Average Loan Principal Balance: $58,869 ($3,785 to $449,768)
Weighted Average LTV: 71.71% (4.00% to 93.00%)
Weighted Average CLTV : 74.92% (8.00% to 95.00%)
Weighted Average Home Equity Ratio (2nd Liens): 95.74% (6.50% to 100.00%)
Weighted Average Coupon: 11.90% (8.15% to 19.29%)
Weighted Average Remaining Term to Maturity (months): 211.0 (46 to 360)
Weighted Average Seasoning (months): 1.0
Weighted Average Original Term (months): 211.9 (48 to 360 )
</TABLE>
Range of Original Terms: Level Pay Balloons
----------------- -------------------
Up to 60: 0.15% Up to 60: 0.01%
61 - 120: 1.86% 61 - 120: 0.01%
121 - 180: 13.27% 121 - 180: 55.24%
181 - 240: 16.34%
241 - 300: 0.19%
301 - 360: 12.95%
Lien Position: 1st Lien: 93.03%
2nd Lien: 6.97%
Property Type:
Single Family Detached: 85.68% 2-4 Family: 7.97%
Single Family Attached: 2.95% Other: 3.40%
Occupancy Status:
Owner Occupied: 95.16%
Non-Owner Occupied: 4.84%
Geographic Distribution: OH: 9.93% NJ: 6.19%
(states not listed individually account for NY: 9.00% FL: 6.08%
less than 5.00% of the Outstanding Mortgage Pool IL: 6.52% NC: 5.79%
principal balance) PA: 6.26%
Credit Quality: A: 52.41%
(per ContiMortgage's guidelines) B: 26.47%
C: 16.04%
D: 5.08%
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Page 4
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information relating to the Collateral
Adjustable Rate Home Equity Loans
Characteristics of the Mortgage Pool as of the
Preliminary Cut-Off Date October 31, 1996:
Total Number of Loans: 2,455
Total Outstanding Loan Balance: $196,656,403
Balloon (% of Total): 0.29%
Level Pay (% of Total): 99.71%
Adjustable (% of Total): 100.00%
ARM Adjustment Type: "3 / 27" "2 / 28" "6 Month"
-------- -------- ---------
15.50% 4.43% 80.06%
<TABLE>
<S> <C> <C>
Average Loan Principal Balance: $80,104 ($10,000 to $444,459)
Weighted Average LTV: 74.51% (13.00% to 90.00%)
Weighted Average Coupon: 10.44% (6.99% to 16.10%)
Weighted Average Gross Margin: 6.77% (0.60% to 16.00%)
Weighted Average Gross Life Cap: 16.72% (11.40% to 22.10%)
Weighted Average Periodic Cap: 1.06% (1.00% to 6.00%)
Weighted Average Remaining Term to Maturity (months): 356.4 (120 to 360)
Weighted Average Seasoning (months): 0.7
Weighted Average Original Term (months): 357.1 (120 to 360)
</TABLE>
Range of Original Terms: Adjustable Balloons
-------------------- -------------------
61 - 120: 0.04% 121 - 180: 0.29%
121 - 180: 1.12%
181 - 240: 0.21%
241 - 300: 0.03%
301 - 360: 98.29%
Lien Position: 1st Lien: 100.00%
2nd Lien: 0.00%
Property Type:
Single Family Detached: 91.21% 2-4 Family: 3.58%
Single Family Attached: 1.38% Other: 3.83%
Occupancy Status:
Owner Occupied: 96.79%
Non-Owner Occupied: 3.21%
Geographic Distribution: MI: 34.22%
(states not listed individually account for CA: 10.15%
less than 5.00% of the Outstanding Mortgage Pool IL: 6.66%
principal balance)
Credit Quality: A: 45.31%
(per ContiMortgage's guidelines) B: 27.89%
C: 22.42%
D: 4.37%
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Page 5
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Distribution by Geographic Location
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Geographic Location Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Alabama 5 $233,322.24 0.04%
Arkansas 36 1,815,826.60 0.31%
Arizona 85 5,725,686.30 0.98%
California 151 14,083,184.69 2.42%
Colorado 114 7,237,254.20 1.24%
Connecticut 90 7,962,917.58 1.37%
DC 44 3,362,084.00 0.58%
Delaware 58 3,752,747.50 0.64%
Florida 625 35,376,249.06 6.08%
Georgia 263 13,928,407.76 2.39%
Hawaii 2 368,750.00 0.06%
Iowa 12 376,653.35 0.06%
Idaho 31 2,050,008.02 0.35%
Illinois 681 37,935,732.01 6.52%
Indiana 476 21,233,098.46 3.65%
Kansas 48 2,923,013.91 0.50%
Kentucky 178 9,777,067.36 1.68%
Louisiana 5 317,187.51 0.05%
Massachusetts 242 18,605,721.53 3.20%
Maryland 367 26,630,018.26 4.58%
Maine 14 598,893.01 0.10%
Michigan 1,260 57,897,716.94 9.95%
Minnesota 66 3,585,970.16 0.62%
Missouri 215 10,216,520.98 1.76%
Mississippi 14 587,919.76 0.10%
Montana 3 278,276.65 0.05%
North Carolina 652 33,705,348.97 5.79%
Nebraska 6 243,561.09 0.04%
New Hampshire 18 886,598.89 0.15%
New Jersey 461 36,041,592.92 6.19%
New Mexico 79 5,561,649.75 0.96%
Nevada 23 1,277,635.18 0.22%
New York 618 52,362,438.17 9.00%
Ohio 1,057 57,805,183.95 9.93%
Oklahoma 42 1,985,794.97 0.34%
Oregon 36 2,721,742.41 0.47%
Pennsylvania 649 36,434,983.95 6.26%
Rhode Island 64 4,288,315.36 0.74%
South Carolina 294 14,649,705.79 2.52%
South Dakota 1 44,807.63 0.01%
Tennessee 206 10,482,083.13 1.80%
Texas 78 5,409,967.17 0.93%
Utah 125 9,367,510.90 1.61%
Virginia 224 10,926,492.11 1.88%
Vermont 2 146,993.57 0.03%
Washington 58 5,387,014.44 0.93%
Wisconsin 98 5,119,957.61 0.88%
West Virginia 8 226,853.37 0.04%
Wyoming 3 98,650.23 0.02%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Page 6
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Distribution by Original Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Original LTV's(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0.00% to 5.00% 5 $51,897.89 0.01%
5.01% to 10.00% 48 778,062.44 0.13%
10.01% to 15.00% 259 5,574,471.00 0.96%
15.01% to 20.00% 328 8,719,865.18 1.50%
20.01% to 25.00% 313 9,485,048.44 1.63%
25.01% to 30.00% 242 8,054,787.86 1.38%
30.01% to 35.00% 205 6,738,662.05 1.16%
35.01% to 40.00% 238 8,699,846.46 1.49%
40.01% to 45.00% 216 8,433,481.57 1.45%
45.01% to 50.00% 347 12,658,457.00 2.17%
50.01% to 55.00% 272 12,869,560.02 2.21%
55.01% to 60.00% 502 24,848,959.21 4.27%
60.01% to 65.00% 663 36,022,312.05 6.19%
65.01% to 70.00% 951 55,296,927.14 9.50%
70.01% to 75.00% 1,192 78,455,985.52 13.48%
75.01% to 80.00% 2,309 153,399,499.42 26.36%
80.01% to 85.00% 1,107 89,289,444.05 15.34%
85.01% to 90.00% 688 62,538,264.23 10.74%
90.01% to 95.00% 2 119,577.87 0.02%
--------------------------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Combined Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Combined LTV's (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
5.01% to 10.00% 4 $66,965.78 0.01%
10.01% to 15.00% 22 308,230.39 0.05%
15.01% to 20.00% 35 679,677.64 0.12%
20.01% to 25.00% 83 1,922,478.18 0.33%
25.01% to 30.00% 97 2,622,488.95 0.45%
30.01% to 35.00% 123 3,268,940.72 0.56%
35.01% to 40.00% 188 6,338,708.65 1.09%
40.01% to 45.00% 186 6,991,479.90 1.20%
45.01% to 50.00% 351 12,281,602.70 2.11%
50.01% to 55.00% 276 12,335,901.01 2.12%
55.01% to 60.00% 540 25,734,173.17 4.42%
60.01% to 65.00% 723 37,719,697.61 6.48%
65.01% to 70.00% 1,059 59,645,835.66 10.25%
70.01% to 75.00% 1,358 83,724,376.68 14.38%
75.01% to 80.00% 2,700 165,952,975.70 28.51%
80.01% to 85.00% 1,447 99,715,023.09 17.13%
85.01% to 90.00% 691 62,588,728.87 10.75%
90.01% to 95.00% 4 137,824.70 0.02%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Page 7
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Distribution by Coupon Rates
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Coupon (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
8.01% to 9.00% 84 $7,795,830.35 1.34%
9.01% to 10.00% 704 55,209,593.92 9.49%
10.01% to 11.00% 1,924 134,512,328.08 23.11%
11.01% to 12.00% 2,440 154,915,661.42 26.62%
12.01% to 13.00% 2,087 116,279,337.09 19.98%
13.01% to 14.00% 1,307 63,117,203.01 10.84%
14.01% to 15.00% 707 29,184,631.79 5.01%
15.01% to 16.00% 403 14,262,163.26 2.45%
16.01% to 17.00% 113 3,698,042.69 0.64%
17.01% to 18.00% 99 2,516,113.57 0.43%
18.01% to 19.00% 17 508,225.69 0.09%
19.01% to 20.00% 2 35,978.53 0.01%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Current Loan Balances
<TABLE>
<CAPTION>
Number of Percentage of
Current Home Equity Aggregate Aggregate
Loan Balance(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
$0 to $25,000.00 1,549 $29,110,158.05 5.00%
25,000.01 to 50,000.00 3,612 135,953,596.39 23.36%
50,000.01 to 75,000.00 2,372 144,935,442.09 24.90%
75,000.01 to 100,000.00 1,134 97,850,081.58 16.81%
100,000.01 to 125,000.00 577 64,365,212.31 11.06%
125,000.01 to 150,000.00 278 37,865,288.58 6.51%
150,000.01 to 175,000.00 151 24,372,551.25 4.19%
175,000.01 to 200,000.00 88 16,395,669.51 2.82%
200,000.01 to 225,000.00 51 10,895,435.93 1.87%
225,000.01 to 250,000.00 28 6,656,679.17 1.14%
250,000.01 to 275,000.00 20 5,164,757.43 0.89%
275,000.01 to 300,000.00 13 3,733,341.24 0.64%
300,000.01 to 325,000.00 9 2,830,244.63 0.49%
325,000.01 to 350,000.00 2 677,246.03 0.12%
350,000.01 to 375,000.00 1 372,000.00 0.06%
400,000.01 to 425,000.00 1 407,636.73 0.07%
425,000.01 to 450,000.00 1 449,768.48 0.08%
----------------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
======================================================================
</TABLE>
(a) decimals have been truncated.
Page 8
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Distribution by Types of Mortgaged Property
<TABLE>
<CAPTION>
Number of Percentage of
Property Home Equity Aggregate Aggregate
Types Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Condominium 84 $4,614,392.42 0.79%
Manufactured Housing 157 $8,093,862.67 1.39%
Mixed Use 33 $3,233,716.33 0.56%
Planned Unit Development 46 $3,846,764.76 0.66%
Single Family Attached 367 17,145,342.70 2.95%
Single Family Detached 8,538 498,661,306.06 85.68%
Two-to-Four Family 662 46,439,724.46 7.98%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Months since Origination
<TABLE>
<CAPTION>
Months Elapsed Number of Percentage of
Since Origination Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 1 months 6,250 $369,009,126.67 63.40%
2 to 12 months 3,631 212,706,139.82 36.55%
13 to 24 months 6 319,842.91 0.05%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Remaining Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Remaining Term (a) Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 470 $11,726,014.22 2.01%
121 to 180 months 6,575 398,729,485.73 68.51%
181 to 240 months 1,802 95,089,620.00 16.34%
241 to 360 months 1,040 76,489,989.45 13.14%
---------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
===============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Original Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Original Term (a) Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 470 $11,726,014.22 2.01%
121 to 180 months 6,575 398,729,485.73 68.51%
181 to 240 months 1,802 95,089,620.00 16.34%
241 to 360 months 1,040 76,489,989.45 13.14%
---------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
===============================================================
(a) decimals have been truncated.
</TABLE>
Page 9
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Distribution by Home Equity Ratio
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Home Equity Aggregate Aggregate
Ratio (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
0.00% to 5.00% 5 $51,897.89 0.01%
5.01% to 10.00% 44 711,096.66 0.12%
10.01% to 15.00% 237 5,266,240.61 0.90%
15.01% to 20.00% 293 8,040,187.54 1.38%
20.01% to 25.00% 236 7,688,558.18 1.32%
25.01% to 30.00% 149 5,538,115.81 0.95%
30.01% to 35.00% 88 3,636,272.04 0.62%
35.01% to 40.00% 60 2,843,512.00 0.49%
40.01% to 45.00% 41 1,839,192.73 0.32%
45.01% to 50.00% 23 1,210,605.69 0.21%
50.01% to 55.00% 29 1,555,262.68 0.27%
55.01% to 60.00% 16 969,346.53 0.17%
60.01% to 65.00% 5 361,733.88 0.06%
65.01% to 70.00% 5 284,854.42 0.05%
70.01% to 75.00% 5 506,719.28 0.09%
75.01% to 80.00% 2 79,865.35 0.01%
----------------------------------------------------------------
Total 1,238 $40,583,461.29 6.97%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Occupancy Status
<TABLE>
<CAPTION>
Number of Percentage of
Occupancy Home Equity Aggregate Aggregate
Status Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
Investor Occupied 570 $28,167,641.70 4.84%
Owner Occupied 9,317 553,867,467.70 95.16%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Lien Position
<TABLE>
<CAPTION>
Number of Percentage of
Lien Home Equity Aggregate Aggregate
Position Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
1st lien 8,649 $541,451,648.11 93.03%
2nd lien 1,238 40,583,461.29 6.97%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Page 10
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Distribution by Loan Purpose
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
DC & HI Combo 379 $22,621,189.94 3.89%
Debt Consolidation 8,544 502,936,200.74 86.41%
Home Improvement 457 23,220,071.78 3.99%
Other 507 33,257,646.94 5.71%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Loan Type
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Balloon 4,627 $321,542,623.06 55.24%
Non Balloon 5,260 260,492,486.34 44.76%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Days Delinquent
<TABLE>
<CAPTION>
Percentage of
Number Outstanding Outstanding
Days Delinquent of Loans Balance Balance
<S> <C> <C> <C>
0 to 29 days 9,825 $578,930,860.83 99.47%
30 to 59 days 54 2,678,295.34 0.46%
60 to 89 days 7 371,576.88 0.06%
90 to 119 days 1 54,376.35 0.01%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Debt to Income Ratio
<TABLE>
Percentage of
Debt to Number Outstanding Outstanding
Income Ratio of Loans Balance Balance
<S> <C> <C> <C>
0.00% to 5.00% 9 $451,372.70 0.08%
5.01% to 10.00% 61 2,261,182.65 0.39%
10.01% to 20.00% 761 32,229,687.92 5.54%
20.01% to 30.00% 1,958 96,402,217.97 16.56%
30.01% to 40.00% 2,883 168,525,469.15 28.95%
40.01% to 50.00% 3,999 265,528,910.42 45.62%
50.01% to 60.00% 216 16,636,268.59 2.86%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Page 11
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Distribution by Geographic Location
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Geographic Location Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Arizona 61 $5,684,184.04 2.89%
California 146 19,969,677.32 10.15%
Colorado 79 7,511,012.91 3.82%
Connecticut 18 2,822,251.21 1.44%
DC 5 569,874.44 0.29%
Delaware 3 347,484.99 0.18%
Florida 11 1,122,216.13 0.57%
Georgia 14 981,839.29 0.50%
Hawaii 1 245,000.00 0.12%
Iowa 30 1,231,721.58 0.63%
Idaho 26 1,727,649.68 0.88%
Illinois 166 13,090,771.67 6.66%
Indiana 69 4,202,519.92 2.14%
Kansas 22 1,273,203.23 0.65%
Kentucky 21 1,683,933.92 0.86%
Massachusetts 25 2,775,663.50 1.41%
Maryland 38 4,195,610.17 2.13%
Maine 1 50,000.00 0.03%
Michigan 1,020 67,292,579.25 34.22%
Minnesota 41 2,692,478.15 1.37%
Missouri 27 1,927,484.88 0.98%
Mississippi 1 22,950.00 0.01%
Montana 1 37,758.46 0.02%
North Carolina 16 1,518,987.32 0.77%
North Dakota 1 42,250.00 0.02%
Nebraska 9 587,339.70 0.30%
New Hampshire 1 88,081.01 0.04%
New Jersey 34 3,857,325.02 1.96%
New Mexico 35 3,539,870.79 1.80%
Nevada 2 118,532.92 0.06%
New York 41 4,279,510.59 2.18%
Ohio 91 7,552,730.99 3.84%
Oklahoma 1 52,500.00 0.03%
Oregon 30 2,320,359.56 1.18%
Pennsylvania 71 5,075,681.85 2.58%
Rhode Island 7 720,952.18 0.37%
South Carolina 6 353,010.64 0.18%
Tennessee 12 1,436,614.51 0.73%
Texas 49 3,743,535.30 1.90%
Utah 68 6,781,651.52 3.45%
Virginia 16 1,159,919.40 0.59%
Vermont 1 44,984.81 0.02%
Washington 51 6,104,517.66 3.10%
Wisconsin 64 4,616,000.17 2.35%
West Virginia 18 805,625.27 0.41%
Wyoming 5 398,557.20 0.20%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 12
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Distribution by Original Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Original LTV's (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
10.01% to 15.00% 1 15,000.00 0.01%
15.01% to 20.00% 3 67,000.00 0.03%
20.01% to 25.00% 10 413,645.75 0.21%
25.01% to 30.00% 16 687,181.96 0.35%
30.01% to 35.00% 18 695,372.27 0.35%
35.01% to 40.00% 36 1,952,813.88 0.99%
40.01% to 45.00% 31 1,380,734.12 0.70%
45.01% to 50.00% 74 4,242,807.08 2.16%
50.01% to 55.00% 48 2,380,961.19 1.21%
55.01% to 60.00% 128 7,466,317.49 3.80%
60.01% to 65.00% 201 13,013,244.39 6.62%
65.01% to 70.00% 273 22,479,953.27 11.43%
70.01% to 75.00% 460 38,119,601.24 19.38%
75.01% to 80.00% 784 67,571,808.77 34.36%
80.01% to 85.00% 339 32,547,267.77 16.55%
85.01% to 90.00% 33 3,622,693.97 1.84%
--------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
========================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Coupon Rates
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Coupon (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
6.01% to 7.00% 1 $277,771.68 0.14%
7.01% to 8.00% 34 3,652,300.62 1.86%
8.01% to 9.00% 197 19,309,782.98 9.82%
9.01% to 10.00% 647 59,573,547.23 30.29%
10.01% to 11.00% 773 62,750,392.81 31.91%
11.01% to 12.00% 502 34,180,971.27 17.38%
12.01% to 13.00% 187 10,825,276.44 5.50%
13.01% to 14.00% 63 3,720,084.44 1.89%
14.01% to 15.00% 42 1,961,753.68 1.00%
15.01% to 16.00% 8 364,522.00 0.19%
16.01% to 17.00% 1 40,000.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 13
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Distribution by Current Loan Balances
<TABLE>
<CAPTION>
Number of Percentage of
Current Home Equity Aggregate Aggregate
Loan Balance (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
$0 to $25,000.00 121 $2,514,364.61 1.28%
25,000.01 to 50,000.00 650 24,899,311.61 12.66%
50,000.01 to 75,000.00 682 42,529,798.80 21.63%
75,000.01 to 100,000.00 414 36,140,013.69 18.38%
100,000.01 to 125,000.00 220 24,629,950.72 12.52%
125,000.01 to 150,000.00 145 19,666,395.51 10.00%
150,000.01 to 175,000.00 87 14,102,354.47 7.17%
175,000.01 to 200,000.00 49 9,034,693.31 4.59%
200,000.01 to 225,000.00 27 5,678,412.70 2.89%
225,000.01 to 250,000.00 19 4,557,278.72 2.32%
250,000.01 to 275,000.00 80 2,094,409.28 1.07%
275,000.01 to 300,000.00 13 3,759,012.17 1.91%
300,000.01 to 325,000.00 8 2,491,733.35 1.27%
325,000.01 to 350,000.00 3 1,013,535.23 0.52%
350,000.01 to 375,000.00 4 1,442,110.05 0.73%
375,000.01 to 400,000.00 1 394,111.23 0.20%
400,000.01 to 425,000.00 3 1,264,458.67 0.64%
425,000.01 to 450,000.00 1 444,459.03 0.23%
--------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
========================================================
</TABLE>
(a) decimals have been truncated
Distribution by Types of Mortgaged Property
<TABLE>
<CAPTION>
Number of Percentage of
Property Home Equity Aggregate Aggregate
Types Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Condominium 32 $2,249,921.47 1.14%
Manufactured Housing 53 $3,333,572.03 1.70%
Mixed Use 1 $169,000.00 0.09%
Planned Unit Development 13 $1,793,065.33 0.91%
Single Family Attached 37 2,711,755.06 1.38%
Single Family Detached 2,240 179,368,877.89 91.21%
Two-to-Four Family 79 7,030,211.37 3.57%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Months since Origination
<TABLE>
<CAPTION>
Number of Percentage of
Months Elapsed Home Equity Aggregate Aggregate
Since Origination Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 1 month 1,729 $133,869,387.03 68.07%
2 to 12 months 726 62,787,016.12 31.93%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 14
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Distribution by Remaining Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Remaining Home Equity Aggregate Aggregate
Term (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 2 $83,000.00 0.04%
121 to 180 months 52 2,790,805.24 1.42%
181 to 240 months 10 414,135.96 0.21%
241 to 360 months 2,391 193,368,461.95 98.33%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Original Term to Maturit
<TABLE>
<CAPTION>
Number of Percentage of
Original Home Equity Aggregate Aggregate
Term (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 2 $83,000.00 0.04%
121 to 180 months 52 2,790,805.24 1.42%
181 to 240 months 10 414,135.96 0.21%
241 to 360 months 2,391 193,368,461.95 98.33%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Occupancy Status
<TABLE>
<CAPTION>
Number of Percentage of
Occupancy Home Equity Aggregate Aggregate
Status Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Investor Occupied 106 $6,311,797.65 3.21%
Owner Occupied 2,349 $190,344,605.50 96.79%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Lien Position
<TABLE>
<CAPTION>
Number of Percentage of
Lien Home Equity Aggregate Aggregate
Position Loans Loan Balance Loan Balance
<S> <C> <C> <C>
1st lien 2,455 $196,656,403.15 100.00%
2nd lien 0 0.00 0.00%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 15
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Distribution by Loan Purpose
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
DC & HI Combo 144 $11,126,483.57 5.66%
Debt Consolidation 2,048 163,119,057.27 82.95%
Home Improvement 112 7,620,603.16 3.88%
Other 151 14,790,259.15 7.52%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Loan Type
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Balloon 8 $579,195.06 0.29%
Non Balloon 2,477 196,077,208.09 99.71%
-------------------------------------------------------------
Total 2,485 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Days Delinquent
<TABLE>
<CAPTION>
Percentage of
Number Outstanding Outstanding
Days Delinquent of Loans Balance Balance
<S> <C> <C> <C>
0 to 29 days 2,448 $196,294,907.09 99.82%
30 to 59 days 6 313,996.06 0.16%
60 to 89 days 1 47,500.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Debt to Income Ratio
<TABLE>
<CAPTION>
Percentage of
Debt to Number Outstanding Outstanding
Income Ratio of Loans Balance Balance
<S> <C> <C> <C>
0.00% to 5.00% 1 $102,744.43 0.05%
5.01% to 10.00% 16 999,190.51 0.51%
10.01% to 15.00% 67 3,263,302.69 1.66%
15.01% to 20.00% 130 7,568,290.18 3.85%
20.01% to 30.00% 506 34,314,765.38 17.45%
30.01% to 40.00% 688 55,426,334.71 28.18%
40.01% to 50.00% 971 87,265,646.74 44.37%
50.01% to 60.00% 76 7,716,128.51 3.92%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 16
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Distribution by Gross Coupon Margin
<TABLE>
<CAPTION>
Number of Percentage of
Gross Coupon Home Equity Aggregate Aggregate
Margin (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
0.00% to 0.99% 1 $45,777.23 0.02%
1.00% to 1.99% 1 25,000.00 0.01%
3.00% to 3.99% 7 852,192.08 0.43%
4.00% to 4.99% 57 6,188,359.12 3.15%
5.00% to 5.99% 437 46,451,794.18 23.62%
6.00% to 6.99% 781 62,401,005.89 31.73%
7.00% to 7.99% 690 52,864,116.27 26.88%
8.00% to 8.99% 331 20,111,294.73 10.23%
9.00% to 9.99% 131 6,554,614.50 3.33%
10.00% to 10.99% 18 1,106,749.15 0.56%
16.00% to 16.99% 1 55,500.00 0.03%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Gross Coupon Lifetime Cap
<TABLE>
<CAPTION>
Number of Percentage of
Gross Lifetime Home Equity Aggregate Aggregate
Cap (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
11.00% to 11.99% 1 $98,600.00 0.05%
13.00% to 13.99% 19 1,928,710.00 0.98%
14.00% to 14.99% 113 11,331,812.73 5.76%
15.00% to 15.99% 497 45,187,874.60 22.98%
16.00% to 16.99% 807 65,815,086.02 33.47%
17.00% to 17.99% 625 47,603,837.84 24.21%
18.00% to 18.99% 251 16,492,070.30 8.39%
19.00% to 19.99% 82 5,094,935.84 2.59%
20.00% to 20.99% 49 2,597,753.82 1.32%
21.00% to 21.99% 10 465,722.00 0.24%
22.00% to 22.99% 1 40,000.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by ARM Adjustment Type
<TABLE>
<CAPTION>
Number of Percentage of
ARM Adjustment Home Equity Aggregate Aggregate
Type Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
"2 / 28" 305 $30,489,479.26 15.50%
"3 / 27" 79 8,712,948.86 4.43%
"6 months" 2,071 157,453,975.03 80.07%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 17
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Distribution by Periodic Cap
<TABLE>
<CAPTION>
Number of Percentage of
Periodic Home Equity Aggregate Aggregate
Cap(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
1.00% to 1.9 2,445 $195,843,703.79 99.59%
2.00% to 2.99% 3 350,907.61 0.18%
3.00% to 3.99% 6 403,733.46 0.21%
6.00% to 6.99% 1 58,058.29 0.03%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by First Adjust Cap
<TABLE>
<CAPTION>
Number of Percentage of
Periodic Home Equity Aggregate Aggregate
Cap (a) Loans Loan Balance Loan Balance
Loans With First Adjust Cap (different than subsequent cap):
<S> <C> <C> <C> <C>
0.00% to 0.99% 1 $59,500.00 0.03%
1.00% to 1.99% 7 883,464.40 0.45%
2.00% to 2.99% 5 481,881.59 0.25%
3.00% to 3.99% 325 33,154,208.18 16.86%
6.00% to 6.99% 8 815,774.10 0.41%
<CAPTION>
Loans With Periodic Cap (always same cap):
<S> <C> <C> <C> <C>
1.00% to 1.9 2,102 $160,664,967.27 81.70%
2.00% to 2.99% 2 230,632.61 0.12%
3.00% to 3.99% 5 365,975.00 0.19%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 18
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Distribution by Coupon Rate Change
<TABLE>
<CAPTION>
Next Coupon Number of Percentage of
Rate Change Home Equity Aggregate Aggregate
Date Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
December 1996 4 $272,468.28 0.14%
January 1997 37 2,882,327.28 1.47%
February 1997 226 17,826,018.79 9.06%
March 1997 709 57,347,623.80 29.16%
April 1997 808 60,954,242.49 31.00%
May 1997 287 18,171,294.39 9.24%
July 1997 1 70,923.35 0.04%
July 1998 13 1,220,927.78 0.62%
August 1998 73 7,528,177.09 3.83%
September 1998 67 6,217,309.93 3.16%
October 1998 136 13,817,364.46 7.03%
November 1998 16 1,705,700.00 0.87%
April 1999 1 113,815.17 0.06%
June 1999 1 120,629.78 0.06%
July 1999 10 1,232,499.95 0.63%
August 1999 17 1,579,376.32 0.80%
September 1999 13 1,314,514.90 0.67%
October 1999 23 2,710,889.39 1.38%
November 1999 13 1,570,300.00 0.80%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 19
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Rep Lines (October 31, 1996 Preliminary Cut-Off Date)
Fixed Rate Collateral Group I
<TABLE>
<CAPTION>
Original Remaining Original
Gross Net Term to Term to Amortization
Pool Principal Coupon Coupon Maturity Maturity Term Amortization
Number Balance Rate Rate (months) (months) (months) Method
- --------- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 $988,478.17 11.556% 11.056% 60 58 60 Level Pay
2 $12,546,697.69 12.304% 11.804% 118 116 118 Level Pay
3 $89,579,208.36 11.924% 11.424% 179 177 179 Level Pay
4 $110,277,700.54 11.816% 11.316% 240 238 240 Level Pay
5 $1,314,843.69 11.902% 11.402% 300 298 300 Level Pay
6 $87,392,421.63 11.398% 10.898% 360 358 360 Level Pay
7 $372,900,649.91 12.023% 11.523% 180 178 360 Balloon
Totals $675,000,000.00
</TABLE>
Adjustable Rate Collateral Group II
<TABLE>
<CAPTION>
Original
Gross Net Months Term to
Pool Principal Coupon Coupon to Rate Periodic Life Maturity
Number Balance Rate Rate Change Margin Cap Cap (months)
- --------- ----------------- ------------ ------------ ------------ ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 $311,738.45 10.738% 10.238% 1 6.663% 1.0 17.115% 360
2 $3,297,749.92 10.536% 10.036% 2 6.718% 1.0 16.671% 349
3 $20,395,238.41 10.552% 10.052% 3 6.943% 1.0 16.766% 356
4 $65,612,993.77 10.350% 9.850% 4 6.835% 1.0 16.643% 357
5 $69,739,425.42 10.322% 9.822% 5 6.896% 1.0 16.547% 357
6 $20,790,277.72 10.347% 9.847% 6 7.168% 1.0 16.399% 356
7 $81,145.36 11.000% 10.500% 8 6.700% 1.0 17.000% 360
8 $1,396,897.06 11.122% 10.622% 20 6.655% 2.8 17.627% 360
9 $8,613,194.48 10.680% 10.180% 21 6.072% 3.0 17.309% 360
10 $7,113,395.30 10.678% 10.178% 22 6.268% 2.9 17.218% 355
11 $15,808,826.73 10.586% 10.086% 23 6.194% 2.7 17.279% 360
12 $1,951,538.29 10.904% 10.404% 24 6.585% 2.6 16.904% 360
13 $130,219.07 10.250% 9.750% 29 5.950% 3.0 16.250% 360
14 $138,015.85 10.750% 10.250% 31 6.250% 3.0 16.750% 360
15 $1,410,137.09 10.783% 10.283% 32 5.822% 3.0 16.953% 360
16 $1,807,007.89 10.879% 10.379% 33 6.157% 2.9 16.944% 360
17 $1,503,972.65 10.975% 10.475% 34 6.156% 3.2 17.540% 360
18 $3,101,603.12 10.957% 10.457% 35 6.378% 2.8 17.215% 360
19 $1,796,623.42 10.743% 10.243% 36 6.642% 3.1 16.917% 360
Totals $225,000,000.00
</TABLE>
Remaining Original
Term to Amortization
Pool Maturity Term Amortization
Number (months) (months) Method
- --------- ------------- ------------ ------------
1 355 360 Level Pay
2 345 349 Level Pay
3 353 356 Level Pay
4 355 357 Level Pay
5 356 357 Level Pay
6 356 356 Level Pay
7 355 360 Level Pay
8 356 360 Level Pay
9 357 360 Level Pay
10 353 355 Level Pay
11 359 360 Level Pay
12 360 360 Level Pay
13 353 360 Level Pay
14 355 360 Level Pay
15 356 360 Level Pay
16 357 360 Level Pay
17 358 360 Level Pay
18 359 360 Level Pay
19 360 360 Level Pay
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Page 20
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-1: $96,500,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 75% 25% 0% 0% 0% 0%
12/15/98 68% 0% 0% 0% 0% 0%
12/15/99 59% 0% 0% 0% 0% 0%
12/15/00 50% 0% 0% 0% 0% 0%
12/15/01 39% 0% 0% 0% 0% 0%
12/15/02 28% 0% 0% 0% 0% 0%
12/15/03 16% 0% 0% 0% 0% 0%
12/15/04 3% 0% 0% 0% 0% 0%
12/15/05 0% 0% 0% 0% 0% 0%
12/15/06 0% 0% 0% 0% 0% 0%
12/15/07 0% 0% 0% 0% 0% 0%
12/15/08 0% 0% 0% 0% 0% 0%
12/15/09 0% 0% 0% 0% 0% 0%
12/15/10 0% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life:
Years (3) to Maturity 3.95 0.78 0.55 0.50 0.44 0.37
Years (3) to Call 3.95 0.78 0.55 0.50 0.44 0.37
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 21
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-2: $113,900,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 78% 61% 35% 0%
12/15/98 100% 61% 0% 0% 0% 0%
12/15/99 100% 7% 0% 0% 0% 0%
12/15/00 100% 0% 0% 0% 0% 0%
12/15/01 100% 0% 0% 0% 0% 0%
12/15/02 100% 0% 0% 0% 0% 0%
12/15/03 100% 0% 0% 0% 0% 0%
12/15/04 100% 0% 0% 0% 0% 0%
12/15/05 89% 0% 0% 0% 0% 0%
12/15/06 76% 0% 0% 0% 0% 0%
12/15/07 61% 0% 0% 0% 0% 0%
12/15/08 45% 0% 0% 0% 0% 0%
12/15/09 27% 0% 0% 0% 0% 0%
12/15/10 6% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) to Maturity 11.59 2.26 1.30 1.14 0.98 0.81
Years (3) to Call 11.59 2.26 1.30 1.14 0.98 0.81
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 22
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-3: $139,800,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 93%
12/15/98 100% 100% 78% 51% 13% 0%
12/15/99 100% 100% 10% 0% 0% 0%
12/15/00 100% 68% 0% 0% 0% 0%
12/15/01 100% 34% 0% 0% 0% 0%
12/15/02 100% 6% 0% 0% 0% 0%
12/15/03 100% 0% 0% 0% 0% 0%
12/15/04 100% 0% 0% 0% 0% 0%
12/15/05 100% 0% 0% 0% 0% 0%
12/15/06 100% 0% 0% 0% 0% 0%
12/15/07 100% 0% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) to Maturity 14.82 4.63 2.46 2.08 1.70 1.31
Years (3) to Call 14.82 4.63 2.46 2.08 1.70 1.31
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 23
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-4: $62,900,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 0%
12/15/99 100% 100% 100% 52% 0% 0%
12/15/00 100% 100% 16% 0% 0% 0%
12/15/01 100% 100% 0% 0% 0% 0%
12/15/02 100% 100% 0% 0% 0% 0%
12/15/03 100% 59% 0% 0% 0% 0%
12/15/04 100% 13% 0% 0% 0% 0%
12/15/05 100% 0% 0% 0% 0% 0%
12/15/06 100% 0% 0% 0% 0% 0%
12/15/07 100% 0% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 14.84 7.27 3.71 3.08 2.46 1.84
Years (3) to Call 14.84 7.27 3.71 3.08 2.46 1.84
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 24
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-5: $71,700,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 99%
12/15/99 100% 100% 100% 100% 64% 0%
12/15/00 100% 100% 100% 51% 0% 0%
12/15/01 100% 100% 41% 0% 0% 0%
12/15/02 100% 100% 0% 0% 0% 0%
12/15/03 100% 100% 0% 0% 0% 0%
12/15/04 100% 100% 0% 0% 0% 0%
12/15/05 100% 75% 0% 0% 0% 0%
12/15/06 100% 42% 0% 0% 0% 0%
12/15/07 100% 13% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 14.84 9.85 4.95 4.08 3.20 2.32
Years (3) to Call 14.84 9.85 4.95 4.08 3.20 2.32
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 25
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-6: $37,800,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 11%
12/15/00 100% 100% 100% 100% 48% 0%
12/15/01 100% 100% 100% 63% 0% 0%
12/15/02 100% 100% 77% 0% 0% 0%
12/15/03 100% 100% 2% 0% 0% 0%
12/15/04 100% 100% 0% 0% 0% 0%
12/15/05 100% 100% 0% 0% 0% 0%
12/15/06 100% 100% 0% 0% 0% 0%
12/15/07 100% 100% 0% 0% 0% 0%
12/15/08 100% 74% 0% 0% 0% 0%
12/15/09 100% 27% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 25% 0% 0% 0% 0% 0%
12/15/12 22% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 15.22 12.56 6.40 5.20 4.05 2.88
Years (3) to Call 15.22 12.56 6.40 5.20 4.05 2.88
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 26
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-7: $59,100,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 100% 100% 100% 100% 100% 17%
12/15/01 100% 100% 100% 100% 56% 0%
12/15/02 100% 100% 100% 83% 12% 0%
12/15/03 100% 100% 100% 43% 0% 0%
12/15/04 100% 100% 66% 16% 0% 0%
12/15/05 100% 100% 38% 0% 0% 0%
12/15/06 100% 100% 14% 0% 0% 0%
12/15/07 100% 100% 0% 0% 0% 0%
12/15/08 100% 100% 0% 0% 0% 0%
12/15/09 100% 100% 0% 0% 0% 0%
12/15/10 100% 90% 0% 0% 0% 0%
12/15/11 100% 0% 0% 0% 0% 0%
12/15/12 100% 0% 0% 0% 0% 0%
12/15/13 95% 0% 0% 0% 0% 0%
12/15/14 73% 0% 0% 0% 0% 0%
12/15/15 49% 0% 0% 0% 0% 0%
12/15/16 25% 0% 0% 0% 0% 0%
12/15/17 19% 0% 0% 0% 0% 0%
12/15/18 12% 0% 0% 0% 0% 0%
12/15/19 4% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 19.32 14.67 8.70 7.00 5.26 3.65
Years (3) to Call 19.32 14.67 8.69 7.00 5.26 3.65
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 27
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-8: $43,300,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 100% 100% 100% 100% 100% 100%
12/15/01 100% 100% 100% 100% 100% 53%
12/15/02 100% 100% 100% 100% 100% 25%
12/15/03 100% 100% 100% 100% 79% 14%
12/15/04 100% 100% 100% 100% 57% 10%
12/15/05 100% 100% 100% 92% 39% 5%
12/15/06 100% 100% 100% 68% 26% 1%
12/15/07 100% 100% 93% 50% 17% 0%
12/15/08 100% 100% 71% 36% 9% 0%
12/15/09 100% 100% 53% 24% 4% 0%
12/15/10 100% 100% 39% 16% 0% 0%
12/15/11 100% 55% 3% 0% 0% 0%
12/15/12 100% 44% 0% 0% 0% 0%
12/15/13 100% 34% 0% 0% 0% 0%
12/15/14 100% 25% 0% 0% 0% 0%
12/15/15 100% 17% 0% 0% 0% 0%
12/15/16 100% 10% 0% 0% 0% 0%
12/15/17 100% 7% 0% 0% 0% 0%
12/15/18 100% 5% 0% 0% 0% 0%
12/15/19 100% 3% 0% 0% 0% 0%
12/15/20 94% 1% 0% 0% 0% 0%
12/15/21 80% 0% 0% 0% 0% 0%
12/15/22 66% 0% 0% 0% 0% 0%
12/15/23 50% 0% 0% 0% 0% 0%
12/15/24 31% 0% 0% 0% 0% 0%
12/15/25 11% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 26.87 16.66 13.23 11.45 8.90 5.66
Years (3) to Call 26.20 14.84 10.51 8.59 6.95 4.85
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 28
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-9: $50,000,000 "LOCK BOND"
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 99% 95% 90% 88% 85% 79%
12/15/01 99% 89% 81% 77% 72% 62%
12/15/02 97% 81% 67% 61% 53% 40%
12/15/03 95% 71% 52% 45% 36% 21%
12/15/04 92% 59% 37% 30% 20% 8%
12/15/05 88% 49% 26% 19% 11% 2%
12/15/06 84% 41% 18% 12% 6% 0%
12/15/07 80% 33% 12% 7% 3% 0%
12/15/08 76% 27% 8% 4% 1% 0%
12/15/09 71% 22% 5% 3% 0% 0%
12/15/10 66% 18% 3% 1% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 13.20 9.42 7.53 7.01 6.39 5.64
Years (3) to Call 13.20 9.42 7.22 6.55 5.80 4.62
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 29
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-10: $225,000,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 97% 89% 81% 76% 73% 65%
12/15/98 97% 81% 67% 59% 55% 43%
12/15/99 96% 74% 56% 46% 41% 29%
12/15/00 96% 68% 46% 36% 31% 20%
12/15/01 95% 62% 39% 29% 23% 13%
12/15/02 94% 56% 32% 22% 18% 9%
12/15/03 94% 51% 27% 18% 13% 6%
12/15/04 93% 46% 22% 14% 10% 4%
12/15/05 92% 42% 19% 11% 7% 2%
12/15/06 91% 39% 16% 8% 5% 1%
12/15/07 90% 35% 13% 6% 4% 1%
12/15/08 88% 32% 11% 5% 3% 0%
12/15/09 87% 29% 9% 4% 2% 0%
12/15/10 85% 26% 7% 3% 1% 0%
12/15/11 83% 23% 6% 2% 1% 0%
12/15/12 81% 21% 5% 1% 1% 0%
12/15/13 78% 19% 4% 1% 0% 0%
12/15/14 75% 16% 3% 1% 0% 0%
12/15/15 72% 15% 2% 0% 0% 0%
12/15/16 69% 13% 2% 0% 0% 0%
12/15/17 64% 11% 1% 0% 0% 0%
12/15/18 60% 9% 1% 0% 0% 0%
12/15/19 55% 8% 1% 0% 0% 0%
12/15/20 49% 6% 0% 0% 0% 0%
12/15/21 42% 5% 0% 0% 0% 0%
12/15/22 35% 4% 0% 0% 0% 0%
12/15/23 27% 2% 0% 0% 0% 0%
12/15/24 18% 1% 0% 0% 0% 0%
12/15/25 7% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 21.62 9.39 5.22 3.96 3.43 2.48
Years (3) to Call 21.24 7.92 4.59 3.54 3.01 2.17
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 30
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
TRANSACTION SUMMARY @ Pricing Prepayment Speed
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Estimated to Maturity Expected
---------------------------------------------------------- Ratings
Modified Principal Principal (Moody's /
Approximate Size Certificate WAL Duration Lockout Window S&P / FITCH)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$96,500,000 Class A-1 0.50 0.48 0 10 Aaa/AAA/AAA
$113,900,000 Class A-2 1.14 1.07 9 9 Aaa/AAA/AAA
$139,800,000 Class A-3 2.08 1.89 17 15 Aaa/AAA/AAA
$62,900,000 Class A-4 3.08 2.71 31 11 Aaa/AAA/AAA
$71,700,000 Class A-5 4.08 3.46 41 16 Aaa/AAA/AAA
$37,800,000 Class A-6 5.20 4.25 56 13 Aaa/AAA/AAA
$59,100,000 Class A-7 7.00 5.33 68 37 Aaa/AAA/AAA
$43,300,000 Class A-8 11.45 7.46 104 74 Aaa/AAA/AAA
$50,000,000 Class A-9 7.01 5.25 36 142 Aaa/AAA/AAA
$225,000,000 Class A-10 3.96 3.16 0 250 Aaa/AAA/AAA
</TABLE>
<TABLE>
<CAPTION>
Class A-1 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 3.95 0.78 0.55 0.50 0.44 0.37
Duration 3.31 0.75 0.53 0.48 0.42 0.36
First Principal Payment 01/15/97 01/15/97 01/15/97 01/15/97 01/15/97 01/15/97
Last Principal Payment 03/15/05 05/15/98 11/15/97 10/15/97 08/15/97 07/15/97
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 99 17 11 10 8 7
Yield @ Par 5.59% 5.59% 5.59% 5.59% 5.59% 5.60%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-2 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 11.59 2.26 1.3 1.14 0.98 0.81
Duration 7.99 2.04 1.22 1.07 0.92 0.77
First Principal Payment 03/15/05 05/15/98 11/15/97 10/15/97 08/15/97 07/15/97
Last Principal Payment 04/15/11 02/15/00 09/15/98 06/15/98 03/15/98 12/15/97
Principal Lockout (months) 98 16 10 9 7 6
Principal Window (months) 74 22 11 9 8 6
Yield @ Par 6.26% 6.17% 6.09% 6.07% 6.03% 5.98%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Page 31
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-3 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.82 4.63 2.46 2.08 1.7 1.31
Duration 9.37 3.88 2.21 1.89 1.56 1.22
First Principal Payment 04/15/11 02/15/00 09/15/98 06/15/98 03/15/98 12/15/97
Last Principal Payment 10/15/11 03/15/03 03/15/00 08/15/99 02/15/99 08/15/98
Principal Lockout (months) 171 37 20 17 14 11
Principal Window (months) 7 38 19 15 12 9
Yield @ Par 6.35% 6.31% 6.26% 6.24% 6.22% 6.17%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-4 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.84 7.27 3.71 3.08 2.46 1.84
Duration 9.27 5.62 3.20 2.71 2.21 1.69
First Principal Payment 10/15/11 03/15/03 03/15/00 08/15/99 02/15/99 08/15/98
Last Principal Payment 10/15/11 04/15/05 03/15/01 06/15/00 09/15/99 12/15/98
Principal Lockout (months) 177 74 38 31 25 19
Principal Window (months) 1 26 13 11 8 5
Yield @ Par 6.54% 6.52% 6.49% 6.48% 6.45% 6.42%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-5 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.84 9.85 4.95 4.08 3.20 2.32
Duration 9.14 6.99 4.08 3.46 2.79 2.09
First Principal Payment 10/15/11 04/15/05 03/15/01 06/15/00 09/15/99 12/15/98
Last Principal Payment 10/15/11 06/15/08 10/15/02 09/15/01 08/15/00 08/15/99
Principal Lockout (months) 177 99 50 41 32 23
Principal Window (months) 1 39 20 16 12 9
Yield @ Par 6.76% 6.75% 6.72% 6.71% 6.69% 6.66%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-6 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 15.22 12.56 6.40 5.20 4.05 2.88
Duration 9.20 8.19 5.03 4.25 3.43 2.54
First Principal Payment 10/15/11 6/15/08 10/15/02 9/15/01 8/15/00 8/15/99
Last Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Principal Lockout (months) 177 137 69 56 43 31
Principal Window (months) 24 27 16 13 10 6
Yield @ Par 6.87% 6.87% 6.84% 6.84% 6.82% 6.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Page 32
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-7 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.32 14.67 8.70 7.00 5.26 3.65
Duration 10.19 8.85 6.28 5.33 4.24 3.11
First Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Last Principal Payment 6/15/20 10/15/11 9/15/07 9/15/05 5/15/03 4/15/01
Principal Lockout (months) 200 163 84 68 52 36
Principal Window (months) 82 15 45 37 25 16
Yield @ Par 7.15% 7.14% 7.13% 7.12% 7.11% 7.09%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-8 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 26.87 16.66 13.23 11.45 8.90 5.66
Duration 11.40 9.28 8.19 7.46 6.26 4.44
First Principal Payment 6/15/20 10/15/11 9/15/07 9/15/05 5/15/03 4/15/01
Last Principal Payment 6/15/26 4/15/21 2/15/13 10/15/11 2/15/11 4/15/07
Principal Lockout (months) 281 177 128 104 76 51
Principal Window (months) 73 115 66 74 94 73
Yield @ Par 7.39% 7.38% 7.38% 7.37% 7.37% 7.35%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-9 "LOCK BOND"(to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 13.20 9.42 7.53 7.01 6.39 5.64
Duration 8.27 6.49 5.53 5.25 4.91 4.47
First Principal Payment 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00
Last Principal Payment 10/15/11 10/15/11 10/15/11 10/15/11 2/15/11 4/15/07
Principal Lockout (months) 36 36 36 36 36 36
Principal Window (months) 142 142 142 142 134 88
Yield @ Par 7.02% 7.01% 7.00% 7.00% 7.00% 6.99%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 10.50% 15.75% 21.00% 26.25% 31.50%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.62 9.39 5.22 3.96 3.43 2.48
Duration 11.57 6.20 3.96 3.16 2.81 2.12
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 8/15/26 3/15/26 5/15/22 10/15/17 5/15/15 6/15/10
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 356 351 305 250 221 162
Yield @ Par 5.79% 5.81% 5.81% 5.80% 5.81% 5.81%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Page 33
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-7 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.32 14.67 8.69 7.00 5.26 3.65
Duration 10.19 8.85 6.27 5.33 4.24 3.11
First Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Last Principal Payment 6/15/20 10/15/11 6/15/07 7/15/05 5/15/03 4/15/01
Principal Lockout (months) 200 163 84 68 52 36
Principal Window (months) 82 15 42 35 25 16
Yield @ Par 7.15% 7.14% 7.13% 7.12% 7.11% 7.09%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-8 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 26.20 14.84 10.51 8.59 6.95 4.85
Duration 11.32 8.78 7.10 6.18 5.28 3.95
First Principal Payment 6/15/20 10/15/11 6/15/07 7/15/05 5/15/03 4/15/01
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 281 177 125 102 76 51
Principal Window (months) 43 1 1 1 8 9
Yield @ Par 7.39% 7.38% 7.37% 7.37% 7.36% 7.34%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-9 "LOCK BOND" (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 13.20 9.42 7.22 6.55 5.80 4.62
Duration 8.27 6.49 5.40 5.03 4.59 3.82
First Principal Payment 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00
Last Principal Payment 10/15/11 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 36 36 36 36 36 36
Principal Window (months) 142 142 90 67 48 24
Yield @ Par 7.02% 7.01% 7.00% 7.00% 6.99% 6.98%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 10.50% 15.75% 21.00% 26.25% 31.50%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.24 7.92 4.59 3.54 3.01 2.17
Duration 11.49 5.71 3.67 2.95 2.57 1.92
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 324 178 126 103 84 60
Yield @ Par 5.79% 5.79% 5.79% 5.79% 5.79% 5.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Page 34
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date) Update
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
Fixed Rate Home Equity Loans
Weighted Average Home Equity Ratio (2nd Liens): 38.95% (6.50% to 97.58%)
Adjustable Rate Home Equity Loans
ARM Adjustment Type: "3 / 27" " 2 / 28" "6 Month"
-------- --------- ---------
4.43% 15.50% 80.06%
Distribution by Loan Type
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Type Loans Loan Balance Loan Balance
Balloon 8 $579,195.06 0.29%
Non Balloon 2,447 196,077,208.09 99.71%
-------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=================================================
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Class A-10 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment Scenario Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
CPR% 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.62 9.39 5.22 3.96 3.43 2.48
Duration 11.57 6.20 3.96 3.16 2.81 2.12
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 8/15/26 3/15/26 5/15/22 10/15/17 5/15/15 6/15/10
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 356 351 305 250 221 162
Yield @ Par 5.79% 5.81% 5.81% 5.80% 5.81% 5.81%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment Scenario Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
CPR% 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.24 7.92 4.59 3.54 3.01 2.17
Duration 11.49 5.71 3.67 2.95 2.57 1.92
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 324 178 126 103 84 60
Yield @ Par 5.79% 5.79% 5.79% 5.79% 5.79% 5.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 35
<PAGE>
LEHMAN BROTHERS
DERIVED INFORMATION
$900,000,000 Certificates
ContiMortgage Home Equity Loan Trust 1996-4
ContiMortgage Corporation (Seller and Servicer)
ContiSecurities Asset Funding Corp.(Depositor)
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
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 supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
LEHMAN BROTHERS
Securities Offered:
Fixed Rate to Maturity:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
Approx. Estimated Estimated Expected Expected
Approx. Group Expected WAL/MDUR Principal Final Ratings
Securities Size No. Benchmark Price (yrs) Pmt. Window Maturity (Moody's/S&P/Fitch)
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1 (1) $96.5 MM I 1 mo. LIBOR 100.00% 0.50/.48 10 months 10/15/97 Aaa/AAA/AAA
Class A-2 (1) $113.9 MM I 1 Yr Tsy 100.00% 1.14/1.07 9 months 6/15/98 Aaa/AAA/AAA
Class A-3 (1) $139.8 MM I 2 Yr Tsy 100.00% 2.08/1.89 15 months 8/15/99 Aaa/AAA/AAA
Class A-4 (1) $62.9 MM I 3 Yr Tsy 100.00% 3.08/2.71 11 months 6/15/00 Aaa/AAA/AAA
Class A-5 (1) $71.7 MM I 4 Yr Tsy 100.00% 4.08/3.46 16 months 9/15/01 Aaa/AAA/AAA
Class A-6 (1) $37.8 MM I 5 Yr Tsy 100.00% 5.20/4.25 13 months 9/15/02 Aaa/AAA/AAA
Class A-7 (1) $59.1 MM I 7 Yr Tsy 100.00% 7.00/5.33 37 months 9/15/05 Aaa/AAA/AAA
Class A-8 (1) $43.3 MM I 10 Yr Tsy 100.00% 11.45/7.46 74 months 10/15/11 Aaa/AAA/AAA
Class A-9 (1) $50.0 MM I 7 Yr Tsy 100.00% 7.01/5.25 142 months 10/15/11 Aaa/AAA/AAA
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
Adjustable Rate SMMEA to Maturity:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
Approx. Estimated Estimated Expected Expected
Approx. Group Expected WAL/MDUR Principal Final Ratings
Securities Size No. Benchmark Price (yrs) Pmt. Window Maturity (Moody's/S&P)
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-10 (2) $225.0 MM II 1 mo. LIBOR 100.000% 3.96/3.16 250 months 10/15/17 Aaa/AAA/AAA
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
Fixed Rate to 10% Clean-up Call:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
Approx. Estimated Estimated Expected Expected
Approx. Group Expected WAL/MDUR Principal Final Ratings
Securities Size No. Benchmark Price (yrs) Pmt. Window Maturity (Moody's/S&P/Fitch)
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1 (1) $96.5 MM I 1 mo. LIBOR 100.00% 0.50/.48 10 months 10/15/97 Aaa/AAA/AAA
Class A-2 (1) $113.9 MM I 1 Yr Tsy 100.00% 1.14/1.07 9 months 6/15/98 Aaa/AAA/AAA
Class A-3 (1) $139.8 MM I 2 Yr Tsy 100.00% 2.08/1.89 15 months 8/15/99 Aaa/AAA/AAA
Class A-4 (1) $62.9 MM I 3 Yr Tsy 100.00% 3.08/2.71 11 months 6/15/00 Aaa/AAA/AAA
Class A-5 (1) $71.7 MM I 4 Yr Tsy 100.00% 4.08/3.46 16 months 9/15/01 Aaa/AAA/AAA
Class A-6 (1) $37.8 MM I 5 Yr Tsy 100.00% 5.20/4.25 13 months 9/15/02 Aaa/AAA/AAA
Class A-7 (1) $59.1 MM I 7 Yr Tsy 100.00% 7.00/5.33 35 months 7/15/05 Aaa/AAA/AAA
Class A-8 (1) $43.3 MM I 10 Yr Tsy 100.00% 8.59/6.18 1 months 7/15/05 Aaa/AAA/AAA
Class A-9 (1) $50.0 MM I 7 Yr Tsy 100.00% 6.55/5.03 67 months 7/15/05 Aaa/AAA/AAA
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
Adjustable Rate SMMEA to 10% Clean-up Call:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
Approx. Estimated Estimated Expected Expected
Approx. Group Expected WAL/MDUR Principal Final Ratings
Securities Size No. Benchmark Price (yrs) Pmt. Window Maturity (Moody's/S&P/Fitch)
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-10 (2) $225.0 MM II 1 mo. LIBOR 100.000% 3.54/2.95 103 months 7/15/05 Aaa/AAA/AAA
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Prepayments are sized at 120% of the Prepayment Assumption. A 100%
Prepayment Assumption start at 4.0% CPR in month one, increase by 1.455%
each month to 20% CPR by month 12, and remain at 20% CPR thereafter.
(2) Prepayments are sized at 21% CPR.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
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 supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
LEHMAN BROTHERS
Projected Performance
Under Varying Prepayment Assumptions
Group I Loans (1)
Class A-1 (to maturity)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 3.95 0.78 0.55 0.50 0.44 0.37
Duration 3.31 0.75 0.53 0.48 0.42 0.36
First Principal Payment 01/15/97 01/15/97 01/15/97 01/15/97 01/15/97 01/15/97
Last Principal Payment 03/15/05 05/15/98 11/15/97 10/15/97 08/15/97 07/15/97
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 99 17 11 10 8 7
Yield @ Par 5.59% 5.59% 5.59% 5.59% 5.59% 5.60%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Class A-2 (to maturity)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 11.59 2.26 1.3 1.14 0.98 0.81
Duration 7.99 2.04 1.22 1.07 0.92 0.77
First Principal Payment 03/15/05 05/15/98 11/15/97 10/15/97 08/15/97 07/15/97
Last Principal Payment 04/15/11 02/15/00 09/15/98 06/15/98 03/15/98 12/15/97
Principal Lockout (months) 98 16 10 9 7 6
Principal Window (months) 74 22 11 9 8 6
Yield @ Par 6.26% 6.17% 6.09% 6.07% 6.03% 5.98%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Class A-3 (to maturity)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.82 4.63 2.46 2.08 1.7 1.31
Duration 9.37 3.88 2.21 1.89 1.56 1.22
First Principal Payment 04/15/11 02/15/00 09/15/98 06/15/98 03/15/98 12/15/97
Last Principal Payment 10/15/11 03/15/03 03/15/00 08/15/99 02/15/99 08/15/98
Principal Lockout (months) 171 37 20 17 14 11
Principal Window (months) 7 38 19 15 12 9
Yield @ Par 6.35% 6.31% 6.26% 6.24% 6.22% 6.17%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Prepayments are sized at 120% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes prepayments start at 4.0% CPR in month one,
increase by 1.455% each month to 20% CPR by month 12, and remain at 20% CPR
thereafter.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
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 supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
LEHMAN BROTHERS
Projected Performance
Under Varying Prepayment Assumptions
Group I Loans (1)
Class A-4 (to maturity)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.84 7.27 3.71 3.08 2.46 1.84
Duration 9.27 5.62 3.20 2.71 2.21 1.69
First Principal Payment 10/15/11 03/15/03 03/15/00 08/15/99 02/15/99 08/15/98
Last Principal Payment 10/15/11 04/15/05 03/15/01 06/15/00 09/15/99 12/15/98
Principal Lockout (months) 177 74 38 31 25 19
Principal Window (months) 1 26 13 11 8 5
Yield @ Par 6.54% 6.52% 6.49% 6.48% 6.45% 6.42%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Class A-5 (to maturity)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.84 9.85 4.95 4.08 3.20 2.32
Duration 9.14 6.99 4.08 3.46 2.79 2.09
First Principal Payment 10/15/11 04/15/05 03/15/01 06/15/00 09/15/99 12/15/98
Last Principal Payment 10/15/11 06/15/08 10/15/02 09/15/01 08/15/00 08/15/99
Principal Lockout (months) 177 99 50 41 32 23
Principal Window (months) 1 39 20 16 12 9
Yield @ Par 6.76% 6.75% 6.72% 6.71% 6.69% 6.66%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Class A-6 (to maturity)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 15.22 12.56 6.40 5.20 4.05 2.88
Duration 9.20 8.19 5.03 4.25 3.43 2.54
First Principal Payment 10/15/11 6/15/08 10/15/02 9/15/01 8/15/00 8/15/99
Last Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Principal Lockout (months) 177 137 69 56 43 31
Principal Window (months) 24 27 16 13 10 6
Yield @ Par 6.87% 6.87% 6.84% 6.84% 6.82% 6.79%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Prepayments are sized at 120% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes prepayments start at 4.0% CPR in month one,
increase by 1.455% each month to 20% CPR by month 12, and remain at 20% CPR
thereafter.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
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 supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
LEHMAN BROTHERS
III. Sensitivity Analysis (continued)
Projected Performance
Under Varying Prepayment Assumptions
Group I Loans (1)
Class A-7 (to maturity)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.32 14.67 8.70 7.00 5.26 3.65
Duration 10.19 8.85 6.28 5.33 4.24 3.11
First Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Last Principal Payment 6/15/20 10/15/11 9/15/07 9/15/05 5/15/03 4/15/01
Principal Lockout (months) 200 163 84 68 52 36
Principal Window (months) 82 15 45 37 25 16
Yield @ Par 7.15% 7.14% 7.13% 7.12% 7.11% 7.09%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Class A-8 (to maturity)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 26.87 16.66 13.23 11.45 8.90 5.66
Duration 11.40 9.28 8.19 7.46 6.26 4.44
First Principal Payment 6/15/20 10/15/11 9/15/07 9/15/05 5/15/03 4/15/01
Last Principal Payment 6/15/26 4/15/21 2/15/13 10/15/11 2/15/11 4/15/07
Principal Lockout (months) 281 177 128 104 76 51
Principal Window (months) 73 115 66 74 94 73
Yield @ Par 7.39% 7.38% 7.38% 7.37% 7.37% 7.35%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Class A-9 "LOCK BOND"(to maturity)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 13.20 9.42 7.53 7.01 6.39 5.64
Duration 8.27 6.49 5.53 5.25 4.91 4.47
First Principal Payment 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00
Last Principal Payment 10/15/11 10/15/11 10/15/11 10/15/11 2/15/11 4/15/07
Principal Lockout (months) 36 36 36 36 36 36
Principal Window (months) 142 142 142 142 134 88
Yield @ Par 7.02% 7.01% 7.00% 7.00% 7.00% 6.99%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Prepayments are sized at 120% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes prepayments start at 4.0% CPR in month one,
increase by 1.455% each month to 20% CPR by month 12, and remain at 20% CPR
thereafter.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
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 supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
LEHMAN BROTHERS
III. Sensitivity Analysis (continued)
Projected Performance
Under Varying Prepayment Assumptions
Group I Loans (1)
Class A-7 (to call)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.32 14.67 8.69 7.00 5.26 3.65
Duration 10.19 8.85 6.27 5.33 4.24 3.11
First Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Last Principal Payment 6/15/20 10/15/11 6/15/07 7/15/05 5/15/03 4/15/01
Principal Lockout (months) 200 163 84 68 52 36
Principal Window (months) 82 15 42 35 25 16
Yield @ Par 7.15% 7.14% 7.13% 7.12% 7.11% 7.09%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Class A-8 (to call)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 26.20 14.84 10.51 8.59 6.95 4.85
Duration 11.32 8.78 7.10 6.18 5.28 3.95
First Principal Payment 6/15/20 10/15/11 6/15/07 7/15/05 5/15/03 4/15/01
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 281 177 125 102 76 51
Principal Window (months) 43 1 1 1 8 9
Yield @ Par 7.39% 7.38% 7.37% 7.37% 7.36% 7.34%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Class A-9 "LOCK BOND" (to call)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 13.20 9.42 7.22 6.55 5.80 4.62
Duration 8.27 6.49 5.40 5.03 4.59 3.82
First Principal Payment 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00
Last Principal Payment 10/15/11 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 36 36 36 36 36 36
Principal Window (months) 142 142 90 67 48 24
Yield @ Par 7.02% 7.01% 7.00% 7.00% 6.99% 6.98%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Prepayments are sized at 120% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes prepayments start at 4.0% CPR in month one,
increase by 1.455% each month to 20% CPR by month 12, and remain at 20% CPR
thereafter.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
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 supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
III. Sensitivity Analysis (continued)
Projected Performance
Under Varying Prepayment Assumptions
Group II Loans (2)
Class A-10 (to maturity)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
Ramp to 0% 8% 16% 21% 24% 32%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.62 9.39 5.22 3.96 3.43 2.48
Duration 11.57 6.20 3.96 3.16 2.81 2.12
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 8/15/26 3/15/26 5/15/22 10/15/17 5/15/15 6/15/10
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 356 351 305 250 221 162
Yield @ Par 5.79% 5.81% 5.81% 5.80% 5.81% 5.81%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Class A-10 (to call)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
Ramp to 0% 8% 16% 21% 24% 32%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.24 7.92 4.59 3.54 3.01 2.17
Duration 11.49 5.71 3.67 2.95 2.57 1.92
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 324 178 126 103 84 60
Yield @ Par 5.79% 5.79% 5.79% 5.79% 5.79% 5.79%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(2) Prepayments are sized at 100% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes prepayments remain constant at 21% CPR.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
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 supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
Modeling Assumptions
Loan Group I: $675,000,000 Fixed Rate Collateral
Loan Group II: $225,000,000 Adjustable Rate Collateral
Loan Group I Prepayment Assumption: 120% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes that the prepayments start at 4% CPR in month 1,
rise by 1.455% per month to 20% CPR in month 12 and remain at 20% CPR thereafter
on a seasoning adjusted basis.
Loan Group II Prepayment Assumption: Prepayments remain constant at 21% CPR
throughout the life of the collateral.
<TABLE>
<CAPTION>
Delay Day Dated Settlement
Class Loan Group Balance WAL Coupon Days Count Date Date Notes
- ----- ---------- ------- --- ------ ---- ----- ---- ---- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 I $96,500,000 0.50 1 m. LIB + 7 None Actual/360 12/12/96 12/12/96 (1)
A-2 I $113,900,000 1.14 6.21% 14 30/360 11/23/96 12/12/96 (2)
A-3 I $139,800,000 2.08 6.29% 14 30/360 11/23/96 12/12/96 (2)
A-4 I $62,900,000 3.08 6.48% 14 30/360 11/23/96 12/12/96 (2)
A-5 I $71,700,000 4.08 6.69% 14 30/360 11/23/96 12/12/96 (2)
A-6 I $37,800,000 5.20 6.80% 14 30/360 11/23/96 12/12/96 (2)
A-7 I $59,100,000 7.00 7.07% 14 30/360 11/23/96 12/12/96 (2)
A-8 I $43,300,000 11.45 7.30% 14 30/360 11/23/96 12/12/96 (2)
A-9 I $50,000,000 7.01 6.95% 14 30/360 11/23/96 12/12/96 (2)
A-10 II $225,000,000 3.96 1 m. LIB + 26 None Actual/360 12/12/96 12/12/96 (3)
A-11IO I (4) 0.99% 14 30/360 11/23/96 12/12/96 (4)
A-12IO II (5) 0.95% 14 30/360 11/23/96 12/12/96 (5)
</TABLE>
Notes
- --------------------------------------------------------------------------------
(1) Class A-1 Floater is uncapped and settles flat; Actual/360 day count;
assumes 1 month LIBOR as 5.375%.
(2) Classes A-2 through A-9 and Class A-11IO and Class A-12IO settle with
accrued interest; 30/360 day count.
(3) Class A-10 Floater settles flat; Actual/360 day count; assumes 1 month LIBOR
as 5.375% and 6 month LIBOR as 5.540%.
(4) Class A-11IO Notional Balance is the outstanding Loan Group I bond balance
each month.
(5) Class A-12IO Notional Balance is the outstanding Loan Group II bond balance
each month.
Page 1
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
Modeling Assumptions
OC uses excess from both Loan Group I and Loan Group II
<TABLE>
<CAPTION>
Loan Group I Loan Group II
------------ -------------
<S> <C> <C>
OC Target Months 1-4: $500,000 $500,000
OC Ramp thereafter: 2.60% as % of initial principal balance 2.50% as % of initial principal balance
OC Step (rule applies for each Loan Group) 5.20% as % of current principal balance 5.00% as % of current principal balance
</TABLE>
The OC Step occurs when the period is 31 and the current principal balance is
less than 50% of the initial principal balance.
<TABLE>
<S> <C> <C>
OC Floor: 0.50% as % of initial principal balance 0.50% as % of initial principal balance
OC Carveout: n/a 0.50% - after month 12 on Loan Group II
Servicing: 0.50% 0.50%
Trustee: 0.01% 0.01%
MBIA Fees: 0.10% 0.10%
Class A-11IO Carveout 0.99% n/a
Class A-12IO Carveout n/a 0.95%
Losses: 0.00% 0.00%
</TABLE>
Class A-1 Floater is uncapped and is backed by fixed rate collateral from Loan
Group I.
Class A-9 Lock Bond is allocated principal pari passu with the class of bonds
that is currently receiving principal payments in a ratio equal to the product
a) the outstanding principal balance of the Lock Bond divided by the outstanding
principal balance of all fixed rate classes and b) a specified percentage.
The specified percentage is as follows:
Distribution Periods Applicable Percentages
-------------------- ----------------------
Month 1 - Month 36 0%
Month 37 - Month 60 45%
Month 61- Month 72 80%
Month 73 - Month 84 100%
Month 85 - End 140%
Class A-10 Floater assumes 1 month LIBOR of 5.375% and 6 month LIBOR of 5.540%
Page 2
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
Summary of Bonds
<TABLE>
<CAPTION>
To Avg 1st pay- Last pay-
Maturity Life CBE ment Date ment Date Modified Legal
Class Amount Coupon (yrs.) Yield Price (mm/yy) (mm/yy) Duration Final
- -------- ------------ ------ ------ ----- ---------- --------- --------- -------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $ 96,500,000 5.45% 0.50 5.59% 100.00000% 15-Jan-97 15-Oct-97 0.48 TBD
A-2 $113,900,000 6.21% 1.14 6.07% 100.00000% 15-Oct-97 15-Jun-98 1.07 TBD
A-3 $139,800,000 6.29% 2.08 6.24% 100.00000% 15-Jun-98 15-Aug-99 1.89 TBD
A-4 $ 62,900,000 6.48% 3.08 6.48% 100.00000% 15-Aug-99 15-Jun-00 2.71 TBD
A-5 $ 71,700,000 6.69% 4.08 6.71% 100.00000% 15-Jun-00 15-Sep-01 3.46 TBD
A-6 $ 37,800,000 6.80% 5.20 6.84% 100.00000% 15-Sep-01 15-Sep-02 4.25 TBD
A-7 $ 59,100,000 7.07% 7.00 7.12% 100.00000% 15-Sep-02 15-Sep-05 5.33 TBD
A-8 $ 43,300,000 7.30% 11.45 7.37% 100.00000% 15-Sep-05 15-Oct-11 7.46 TBD
A-9 $ 50,000,000 6.95% 7.01 7.00% 100.00000% 15-Jan-00 15-Oct-11 5.25 TBD
A-10 $225,000,000 5.64% 3.96 5.80% 100.00000% 15-Jan-97 15-Oct-17 3.16 TBD
<CAPTION>
Avg 1st pay- Last pay-
To Call Life CBE ment Date ment Date Modified
Class Amount Coupon (yrs.) Yield Price (mm/yy) (mm/yy) Duration
------- ------------ ------ ------ ----- ---------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-7 $ 59,100,000 7.07% 7.00 7.12% 100.00000% 15-Sep-02 15-Jul-05 5.33
A-8 $ 43,300,000 7.30% 8.59 7.37% 100.00000% 15-Jul-05 15-Jul-05 6.18
A-9 $ 50,000,000 6.95% 6.55 7.00% 100.00000% 15-Jan-00 15-Jul-05 5.03
A-10 $225,000,000 5.64% 3.54 5.79% 100.00000% 15-Jan-97 15-Jul-05 2.95
</TABLE>
Notes:
- ---------------------
1 Fixed Rate Certificates (Class A-1 to A-9) Pricing Prepayment = 120% of the
Prepayment Assumption. A 100% Prepayment Assumprion assumes prepayments start
at 4% CPR in month 1, rise by 1.455% per month to 20% CPR in month 12
thereafter on a seasoning adjusted basis.
2 Adjustable Rate Certificates (Class A-10) Pricing Prepayment = 21% CPR
throughout the life of the collateral.
3 Coupons and prices are assumed for computational materials.
Page 3
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Collateral
Fixed Rate Home Equity Loans
Characteristics of the Mortgage Pool as of the
Preliminary Cut-Off Date October 31, 1996:
<TABLE>
<S> <C> <C>
Total Number of Loans: 9,887
Total Outstanding Loan Balance: $582,035,109
Balloon (% of Total): 55.24%
Level Pay (% of Total): 44.76%
Average Loan Principal Balance: $58,869 ($3,785 to $449,768)
Weighted Average LTV: 71.71% (4.00% to 93.00%)
Weighted Average CLTV : 74.92% (8.00% to 95.00%)
Weighted Average Home Equity Ratio (2nd Liens): 95.74% (6.50% to 100.00%)
Weighted Average Coupon: 11.90% (8.15% to 19.29%)
Weighted Average Remaining Term to Maturity (months): 211.0 (46 to 360)
Weighted Average Seasoning (months): 1.0
Weighted Average Original Term (months): 211.9 (48 to 360 )
</TABLE>
Range of Original Terms: Level Pay Balloons
----------------- -------------------
Up to 60: 0.15% Up to 60: 0.01%
61 - 120: 1.86% 61 - 120: 0.01%
121 - 180: 13.27% 121 - 180: 55.24%
181 - 240: 16.34%
241 - 300: 0.19%
301 - 360: 12.95%
Lien Position: 1st Lien: 93.03%
2nd Lien: 6.97%
Property Type:
Single Family Detached: 85.68% 2-4 Family: 7.97%
Single Family Attached: 2.95% Other: 3.40%
Occupancy Status:
Owner Occupied: 95.16%
Non-Owner Occupied: 4.84%
Geographic Distribution: OH: 9.93% NJ: 6.19%
(states not listed individually account for NY: 9.00% FL: 6.08%
less than 5.00% of the Outstanding Mortgage Pool IL: 6.52% NC: 5.79%
principal balance) PA: 6.26%
Credit Quality: A: 52.41%
(per ContiMortgage's guidelines) B: 26.47%
C: 16.04%
D: 5.08%
Page 4
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information relating to the Collateral
Adjustable Rate Home Equity Loans
Characteristics of the Mortgage Pool as of the
Preliminary Cut-Off Date October 31, 1996:
Total Number of Loans: 2,455
Total Outstanding Loan Balance: $196,656,403
Balloon (% of Total): 0.29%
Level Pay (% of Total): 99.71%
Adjustable (% of Total): 100.00%
ARM Adjustment Type: "3 / 27" "2 / 28" "6 Month"
-------- -------- ---------
15.50% 4.43% 80.06%
<TABLE>
<S> <C> <C>
Average Loan Principal Balance: $80,104 ($10,000 to $444,459)
Weighted Average LTV: 74.51% (13.00% to 90.00%)
Weighted Average Coupon: 10.44% (6.99% to 16.10%)
Weighted Average Gross Margin: 6.77% (0.60% to 16.00%)
Weighted Average Gross Life Cap: 16.72% (11.40% to 22.10%)
Weighted Average Periodic Cap: 1.06% (1.00% to 6.00%)
Weighted Average Remaining Term to Maturity (months): 356.4 (120 to 360)
Weighted Average Seasoning (months): 0.7
Weighted Average Original Term (months): 357.1 (120 to 360)
</TABLE>
Range of Original Terms: Adjustable Balloons
-------------------- -------------------
61 - 120: 0.04% 121 - 180: 0.29%
121 - 180: 1.12%
181 - 240: 0.21%
241 - 300: 0.03%
301 - 360: 98.29%
Lien Position: 1st Lien: 100.00%
2nd Lien: 0.00%
Property Type:
Single Family Detached: 91.21% 2-4 Family: 3.58%
Single Family Attached: 1.38% Other: 3.83%
Occupancy Status:
Owner Occupied: 96.79%
Non-Owner Occupied: 3.21%
Geographic Distribution: MI: 34.22%
(states not listed individually account for CA: 10.15%
less than 5.00% of the Outstanding Mortgage Pool IL: 6.66%
principal balance)
Credit Quality: A: 45.31%
(per ContiMortgage's guidelines) B: 27.89%
C: 22.42%
D: 4.37%
Page 5
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
Distribution by Geographic Location
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Geographic Location Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Alabama 5 $233,322.24 0.04%
Arkansas 36 1,815,826.60 0.31%
Arizona 85 5,725,686.30 0.98%
California 151 14,083,184.69 2.42%
Colorado 114 7,237,254.20 1.24%
Connecticut 90 7,962,917.58 1.37%
DC 44 3,362,084.00 0.58%
Delaware 58 3,752,747.50 0.64%
Florida 625 35,376,249.06 6.08%
Georgia 263 13,928,407.76 2.39%
Hawaii 2 368,750.00 0.06%
Iowa 12 376,653.35 0.06%
Idaho 31 2,050,008.02 0.35%
Illinois 681 37,935,732.01 6.52%
Indiana 476 21,233,098.46 3.65%
Kansas 48 2,923,013.91 0.50%
Kentucky 178 9,777,067.36 1.68%
Louisiana 5 317,187.51 0.05%
Massachusetts 242 18,605,721.53 3.20%
Maryland 367 26,630,018.26 4.58%
Maine 14 598,893.01 0.10%
Michigan 1,260 57,897,716.94 9.95%
Minnesota 66 3,585,970.16 0.62%
Missouri 215 10,216,520.98 1.76%
Mississippi 14 587,919.76 0.10%
Montana 3 278,276.65 0.05%
North Carolina 652 33,705,348.97 5.79%
Nebraska 6 243,561.09 0.04%
New Hampshire 18 886,598.89 0.15%
New Jersey 461 36,041,592.92 6.19%
New Mexico 79 5,561,649.75 0.96%
Nevada 23 1,277,635.18 0.22%
New York 618 52,362,438.17 9.00%
Ohio 1,057 57,805,183.95 9.93%
Oklahoma 42 1,985,794.97 0.34%
Oregon 36 2,721,742.41 0.47%
Pennsylvania 649 36,434,983.95 6.26%
Rhode Island 64 4,288,315.36 0.74%
South Carolina 294 14,649,705.79 2.52%
South Dakota 1 44,807.63 0.01%
Tennessee 206 10,482,083.13 1.80%
Texas 78 5,409,967.17 0.93%
Utah 125 9,367,510.90 1.61%
Virginia 224 10,926,492.11 1.88%
Vermont 2 146,993.57 0.03%
Washington 58 5,387,014.44 0.93%
Wisconsin 98 5,119,957.61 0.88%
West Virginia 8 226,853.37 0.04%
Wyoming 3 98,650.23 0.02%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Page 6
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
Distribution by Original Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Original LTV's(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0.00% to 5.00% 5 $51,897.89 0.01%
5.01% to 10.00% 48 778,062.44 0.13%
10.01% to 15.00% 259 5,574,471.00 0.96%
15.01% to 20.00% 328 8,719,865.18 1.50%
20.01% to 25.00% 313 9,485,048.44 1.63%
25.01% to 30.00% 242 8,054,787.86 1.38%
30.01% to 35.00% 205 6,738,662.05 1.16%
35.01% to 40.00% 238 8,699,846.46 1.49%
40.01% to 45.00% 216 8,433,481.57 1.45%
45.01% to 50.00% 347 12,658,457.00 2.17%
50.01% to 55.00% 272 12,869,560.02 2.21%
55.01% to 60.00% 502 24,848,959.21 4.27%
60.01% to 65.00% 663 36,022,312.05 6.19%
65.01% to 70.00% 951 55,296,927.14 9.50%
70.01% to 75.00% 1,192 78,455,985.52 13.48%
75.01% to 80.00% 2,309 153,399,499.42 26.36%
80.01% to 85.00% 1,107 89,289,444.05 15.34%
85.01% to 90.00% 688 62,538,264.23 10.74%
90.01% to 95.00% 2 119,577.87 0.02%
--------------------------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Combined Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Combined LTV's (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
5.01% to 10.00% 4 $66,965.78 0.01%
10.01% to 15.00% 22 308,230.39 0.05%
15.01% to 20.00% 35 679,677.64 0.12%
20.01% to 25.00% 83 1,922,478.18 0.33%
25.01% to 30.00% 97 2,622,488.95 0.45%
30.01% to 35.00% 123 3,268,940.72 0.56%
35.01% to 40.00% 188 6,338,708.65 1.09%
40.01% to 45.00% 186 6,991,479.90 1.20%
45.01% to 50.00% 351 12,281,602.70 2.11%
50.01% to 55.00% 276 12,335,901.01 2.12%
55.01% to 60.00% 540 25,734,173.17 4.42%
60.01% to 65.00% 723 37,719,697.61 6.48%
65.01% to 70.00% 1,059 59,645,835.66 10.25%
70.01% to 75.00% 1,358 83,724,376.68 14.38%
75.01% to 80.00% 2,700 165,952,975.70 28.51%
80.01% to 85.00% 1,447 99,715,023.09 17.13%
85.01% to 90.00% 691 62,588,728.87 10.75%
90.01% to 95.00% 4 137,824.70 0.02%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Page 7
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
Distribution by Coupon Rates
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Coupon (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
8.01% to 9.00% 84 $7,795,830.35 1.34%
9.01% to 10.00% 704 55,209,593.92 9.49%
10.01% to 11.00% 1,924 134,512,328.08 23.11%
11.01% to 12.00% 2,440 154,915,661.42 26.62%
12.01% to 13.00% 2,087 116,279,337.09 19.98%
13.01% to 14.00% 1,307 63,117,203.01 10.84%
14.01% to 15.00% 707 29,184,631.79 5.01%
15.01% to 16.00% 403 14,262,163.26 2.45%
16.01% to 17.00% 113 3,698,042.69 0.64%
17.01% to 18.00% 99 2,516,113.57 0.43%
18.01% to 19.00% 17 508,225.69 0.09%
19.01% to 20.00% 2 35,978.53 0.01%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Current Loan Balances
<TABLE>
<CAPTION>
Number of Percentage of
Current Home Equity Aggregate Aggregate
Loan Balance(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
$0 to $25,000.00 1,549 $29,110,158.05 5.00%
25,000.01 to 50,000.00 3,612 135,953,596.39 23.36%
50,000.01 to 75,000.00 2,372 144,935,442.09 24.90%
75,000.01 to 100,000.00 1,134 97,850,081.58 16.81%
100,000.01 to 125,000.00 577 64,365,212.31 11.06%
125,000.01 to 150,000.00 278 37,865,288.58 6.51%
150,000.01 to 175,000.00 151 24,372,551.25 4.19%
175,000.01 to 200,000.00 88 16,395,669.51 2.82%
200,000.01 to 225,000.00 51 10,895,435.93 1.87%
225,000.01 to 250,000.00 28 6,656,679.17 1.14%
250,000.01 to 275,000.00 20 5,164,757.43 0.89%
275,000.01 to 300,000.00 13 3,733,341.24 0.64%
300,000.01 to 325,000.00 9 2,830,244.63 0.49%
325,000.01 to 350,000.00 2 677,246.03 0.12%
350,000.01 to 375,000.00 1 372,000.00 0.06%
400,000.01 to 425,000.00 1 407,636.73 0.07%
425,000.01 to 450,000.00 1 449,768.48 0.08%
----------------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
======================================================================
</TABLE>
(a) decimals have been truncated.
Page 8
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
Distribution by Types of Mortgaged Property
<TABLE>
<CAPTION>
Number of Percentage of
Property Home Equity Aggregate Aggregate
Types Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Condominium 84 $4,614,392.42 0.79%
Manufactured Housing 157 $8,093,862.67 1.39%
Mixed Use 33 $3,233,716.33 0.56%
Planned Unit Development 46 $3,846,764.76 0.66%
Single Family Attached 367 17,145,342.70 2.95%
Single Family Detached 8,538 498,661,306.06 85.68%
Two-to-Four Family 662 46,439,724.46 7.98%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Months since Origination
<TABLE>
<CAPTION>
Months Elapsed Number of Percentage of
Since Origination Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 1 months 6,250 $369,009,126.67 63.40%
2 to 12 months 3,631 212,706,139.82 36.55%
13 to 24 months 6 319,842.91 0.05%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Remaining Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Remaining Term (a) Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 470 $11,726,014.22 2.01%
121 to 180 months 6,575 398,729,485.73 68.51%
181 to 240 months 1,802 95,089,620.00 16.34%
241 to 360 months 1,040 76,489,989.45 13.14%
---------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
===============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Original Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Original Term (a) Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 470 $11,726,014.22 2.01%
121 to 180 months 6,575 398,729,485.73 68.51%
181 to 240 months 1,802 95,089,620.00 16.34%
241 to 360 months 1,040 76,489,989.45 13.14%
---------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
===============================================================
(a) decimals have been truncated.
</TABLE>
Page 9
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
Distribution by Home Equity Ratio
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Home Equity Aggregate Aggregate
Ratio (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
0.00% to 5.00% 5 $51,897.89 0.01%
5.01% to 10.00% 44 711,096.66 0.12%
10.01% to 15.00% 237 5,266,240.61 0.90%
15.01% to 20.00% 293 8,040,187.54 1.38%
20.01% to 25.00% 236 7,688,558.18 1.32%
25.01% to 30.00% 149 5,538,115.81 0.95%
30.01% to 35.00% 88 3,636,272.04 0.62%
35.01% to 40.00% 60 2,843,512.00 0.49%
40.01% to 45.00% 41 1,839,192.73 0.32%
45.01% to 50.00% 23 1,210,605.69 0.21%
50.01% to 55.00% 29 1,555,262.68 0.27%
55.01% to 60.00% 16 969,346.53 0.17%
60.01% to 65.00% 5 361,733.88 0.06%
65.01% to 70.00% 5 284,854.42 0.05%
70.01% to 75.00% 5 506,719.28 0.09%
75.01% to 80.00% 2 79,865.35 0.01%
----------------------------------------------------------------
Total 1,238 $40,583,461.29 6.97%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Occupancy Status
<TABLE>
<CAPTION>
Number of Percentage of
Occupancy Home Equity Aggregate Aggregate
Status Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
Investor Occupied 570 $28,167,641.70 4.84%
Owner Occupied 9,317 553,867,467.70 95.16%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Lien Position
<TABLE>
<CAPTION>
Number of Percentage of
Lien Home Equity Aggregate Aggregate
Position Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
1st lien 8,649 $541,451,648.11 93.03%
2nd lien 1,238 40,583,461.29 6.97%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Page 10
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
Distribution by Loan Purpose
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
DC & HI Combo 379 $22,621,189.94 3.89%
Debt Consolidation 8,544 502,936,200.74 86.41%
Home Improvement 457 23,220,071.78 3.99%
Other 507 33,257,646.94 5.71%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Loan Type
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Balloon 4,627 $321,542,623.06 55.24%
Non Balloon 5,260 260,492,486.34 44.76%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Days Delinquent
<TABLE>
<CAPTION>
Percentage of
Number Outstanding Outstanding
Days Delinquent of Loans Balance Balance
<S> <C> <C> <C>
0 to 29 days 9,825 $578,930,860.83 99.47%
30 to 59 days 54 2,678,295.34 0.46%
60 to 89 days 7 371,576.88 0.06%
90 to 119 days 1 54,376.35 0.01%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Debt to Income Ratio
<TABLE>
Percentage of
Debt to Number Outstanding Outstanding
Income Ratio of Loans Balance Balance
<S> <C> <C> <C>
0.00% to 5.00% 9 $451,372.70 0.08%
5.01% to 10.00% 61 2,261,182.65 0.39%
10.01% to 20.00% 761 32,229,687.92 5.54%
20.01% to 30.00% 1,958 96,402,217.97 16.56%
30.01% to 40.00% 2,883 168,525,469.15 28.95%
40.01% to 50.00% 3,999 265,528,910.42 45.62%
50.01% to 60.00% 216 16,636,268.59 2.86%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Page 11
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
Distribution by Geographic Location
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Geographic Location Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Arizona 61 $5,684,184.04 2.89%
California 146 19,969,677.32 10.15%
Colorado 79 7,511,012.91 3.82%
Connecticut 18 2,822,251.21 1.44%
DC 5 569,874.44 0.29%
Delaware 3 347,484.99 0.18%
Florida 11 1,122,216.13 0.57%
Georgia 14 981,839.29 0.50%
Hawaii 1 245,000.00 0.12%
Iowa 30 1,231,721.58 0.63%
Idaho 26 1,727,649.68 0.88%
Illinois 166 13,090,771.67 6.66%
Indiana 69 4,202,519.92 2.14%
Kansas 22 1,273,203.23 0.65%
Kentucky 21 1,683,933.92 0.86%
Massachusetts 25 2,775,663.50 1.41%
Maryland 38 4,195,610.17 2.13%
Maine 1 50,000.00 0.03%
Michigan 1,020 67,292,579.25 34.22%
Minnesota 41 2,692,478.15 1.37%
Missouri 27 1,927,484.88 0.98%
Mississippi 1 22,950.00 0.01%
Montana 1 37,758.46 0.02%
North Carolina 16 1,518,987.32 0.77%
North Dakota 1 42,250.00 0.02%
Nebraska 9 587,339.70 0.30%
New Hampshire 1 88,081.01 0.04%
New Jersey 34 3,857,325.02 1.96%
New Mexico 35 3,539,870.79 1.80%
Nevada 2 118,532.92 0.06%
New York 41 4,279,510.59 2.18%
Ohio 91 7,552,730.99 3.84%
Oklahoma 1 52,500.00 0.03%
Oregon 30 2,320,359.56 1.18%
Pennsylvania 71 5,075,681.85 2.58%
Rhode Island 7 720,952.18 0.37%
South Carolina 6 353,010.64 0.18%
Tennessee 12 1,436,614.51 0.73%
Texas 49 3,743,535.30 1.90%
Utah 68 6,781,651.52 3.45%
Virginia 16 1,159,919.40 0.59%
Vermont 1 44,984.81 0.02%
Washington 51 6,104,517.66 3.10%
Wisconsin 64 4,616,000.17 2.35%
West Virginia 18 805,625.27 0.41%
Wyoming 5 398,557.20 0.20%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 12
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
Distribution by Original Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Original LTV's (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
10.01% to 15.00% 1 15,000.00 0.01%
15.01% to 20.00% 3 67,000.00 0.03%
20.01% to 25.00% 10 413,645.75 0.21%
25.01% to 30.00% 16 687,181.96 0.35%
30.01% to 35.00% 18 695,372.27 0.35%
35.01% to 40.00% 36 1,952,813.88 0.99%
40.01% to 45.00% 31 1,380,734.12 0.70%
45.01% to 50.00% 74 4,242,807.08 2.16%
50.01% to 55.00% 48 2,380,961.19 1.21%
55.01% to 60.00% 128 7,466,317.49 3.80%
60.01% to 65.00% 201 13,013,244.39 6.62%
65.01% to 70.00% 273 22,479,953.27 11.43%
70.01% to 75.00% 460 38,119,601.24 19.38%
75.01% to 80.00% 784 67,571,808.77 34.36%
80.01% to 85.00% 339 32,547,267.77 16.55%
85.01% to 90.00% 33 3,622,693.97 1.84%
--------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
========================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Coupon Rates
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Coupon (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
6.01% to 7.00% 1 $277,771.68 0.14%
7.01% to 8.00% 34 3,652,300.62 1.86%
8.01% to 9.00% 197 19,309,782.98 9.82%
9.01% to 10.00% 647 59,573,547.23 30.29%
10.01% to 11.00% 773 62,750,392.81 31.91%
11.01% to 12.00% 502 34,180,971.27 17.38%
12.01% to 13.00% 187 10,825,276.44 5.50%
13.01% to 14.00% 63 3,720,084.44 1.89%
14.01% to 15.00% 42 1,961,753.68 1.00%
15.01% to 16.00% 8 364,522.00 0.19%
16.01% to 17.00% 1 40,000.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 13
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
Distribution by Current Loan Balances
<TABLE>
<CAPTION>
Number of Percentage of
Current Home Equity Aggregate Aggregate
Loan Balance (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
$0 to $25,000.00 121 $2,514,364.61 1.28%
25,000.01 to 50,000.00 650 24,899,311.61 12.66%
50,000.01 to 75,000.00 682 42,529,798.80 21.63%
75,000.01 to 100,000.00 414 36,140,013.69 18.38%
100,000.01 to 125,000.00 220 24,629,950.72 12.52%
125,000.01 to 150,000.00 145 19,666,395.51 10.00%
150,000.01 to 175,000.00 87 14,102,354.47 7.17%
175,000.01 to 200,000.00 49 9,034,693.31 4.59%
200,000.01 to 225,000.00 27 5,678,412.70 2.89%
225,000.01 to 250,000.00 19 4,557,278.72 2.32%
250,000.01 to 275,000.00 80 2,094,409.28 1.07%
275,000.01 to 300,000.00 13 3,759,012.17 1.91%
300,000.01 to 325,000.00 8 2,491,733.35 1.27%
325,000.01 to 350,000.00 3 1,013,535.23 0.52%
350,000.01 to 375,000.00 4 1,442,110.05 0.73%
375,000.01 to 400,000.00 1 394,111.23 0.20%
400,000.01 to 425,000.00 3 1,264,458.67 0.64%
425,000.01 to 450,000.00 1 444,459.03 0.23%
--------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
========================================================
</TABLE>
(a) decimals have been truncated
Distribution by Types of Mortgaged Property
<TABLE>
<CAPTION>
Number of Percentage of
Property Home Equity Aggregate Aggregate
Types Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Condominium 32 $2,249,921.47 1.14%
Manufactured Housing 53 $3,333,572.03 1.70%
Mixed Use 1 $169,000.00 0.09%
Planned Unit Development 13 $1,793,065.33 0.91%
Single Family Attached 37 2,711,755.06 1.38%
Single Family Detached 2,240 179,368,877.89 91.21%
Two-to-Four Family 79 7,030,211.37 3.57%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Months since Origination
<TABLE>
<CAPTION>
Number of Percentage of
Months Elapsed Home Equity Aggregate Aggregate
Since Origination Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 1 month 1,729 $133,869,387.03 68.07%
2 to 12 months 726 62,787,016.12 31.93%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 14
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
Distribution by Remaining Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Remaining Home Equity Aggregate Aggregate
Term (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 2 $83,000.00 0.04%
121 to 180 months 52 2,790,805.24 1.42%
181 to 240 months 10 414,135.96 0.21%
241 to 360 months 2,391 193,368,461.95 98.33%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Original Term to Maturit
<TABLE>
<CAPTION>
Number of Percentage of
Original Home Equity Aggregate Aggregate
Term (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 2 $83,000.00 0.04%
121 to 180 months 52 2,790,805.24 1.42%
181 to 240 months 10 414,135.96 0.21%
241 to 360 months 2,391 193,368,461.95 98.33%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Occupancy Status
<TABLE>
<CAPTION>
Number of Percentage of
Occupancy Home Equity Aggregate Aggregate
Status Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Investor Occupied 106 $6,311,797.65 3.21%
Owner Occupied 2,349 $190,344,605.50 96.79%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Lien Position
<TABLE>
<CAPTION>
Number of Percentage of
Lien Home Equity Aggregate Aggregate
Position Loans Loan Balance Loan Balance
<S> <C> <C> <C>
1st lien 2,455 $196,656,403.15 100.00%
2nd lien 0 0.00 0.00%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 15
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
Distribution by Loan Purpose
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
DC & HI Combo 144 $11,126,483.57 5.66%
Debt Consolidation 2,048 163,119,057.27 82.95%
Home Improvement 112 7,620,603.16 3.88%
Other 151 14,790,259.15 7.52%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Loan Type
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Balloon 8 $579,195.06 0.29%
Non Balloon 2,477 196,077,208.09 99.71%
-------------------------------------------------------------
Total 2,485 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Days Delinquent
<TABLE>
<CAPTION>
Percentage of
Number Outstanding Outstanding
Days Delinquent of Loans Balance Balance
<S> <C> <C> <C>
0 to 29 days 2,448 $196,294,907.09 99.82%
30 to 59 days 6 313,996.06 0.16%
60 to 89 days 1 47,500.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Debt to Income Ratio
<TABLE>
<CAPTION>
Percentage of
Debt to Number Outstanding Outstanding
Income Ratio of Loans Balance Balance
<S> <C> <C> <C>
0.00% to 5.00% 1 $102,744.43 0.05%
5.01% to 10.00% 16 999,190.51 0.51%
10.01% to 15.00% 67 3,263,302.69 1.66%
15.01% to 20.00% 130 7,568,290.18 3.85%
20.01% to 30.00% 506 34,314,765.38 17.45%
30.01% to 40.00% 688 55,426,334.71 28.18%
40.01% to 50.00% 971 87,265,646.74 44.37%
50.01% to 60.00% 76 7,716,128.51 3.92%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 16
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
Distribution by Gross Coupon Margin
<TABLE>
<CAPTION>
Number of Percentage of
Gross Coupon Home Equity Aggregate Aggregate
Margin (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
0.00% to 0.99% 1 $45,777.23 0.02%
1.00% to 1.99% 1 25,000.00 0.01%
3.00% to 3.99% 7 852,192.08 0.43%
4.00% to 4.99% 57 6,188,359.12 3.15%
5.00% to 5.99% 437 46,451,794.18 23.62%
6.00% to 6.99% 781 62,401,005.89 31.73%
7.00% to 7.99% 690 52,864,116.27 26.88%
8.00% to 8.99% 331 20,111,294.73 10.23%
9.00% to 9.99% 131 6,554,614.50 3.33%
10.00% to 10.99% 18 1,106,749.15 0.56%
16.00% to 16.99% 1 55,500.00 0.03%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Gross Coupon Lifetime Cap
<TABLE>
<CAPTION>
Number of Percentage of
Gross Lifetime Home Equity Aggregate Aggregate
Cap (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
11.00% to 11.99% 1 $98,600.00 0.05%
13.00% to 13.99% 19 1,928,710.00 0.98%
14.00% to 14.99% 113 11,331,812.73 5.76%
15.00% to 15.99% 497 45,187,874.60 22.98%
16.00% to 16.99% 807 65,815,086.02 33.47%
17.00% to 17.99% 625 47,603,837.84 24.21%
18.00% to 18.99% 251 16,492,070.30 8.39%
19.00% to 19.99% 82 5,094,935.84 2.59%
20.00% to 20.99% 49 2,597,753.82 1.32%
21.00% to 21.99% 10 465,722.00 0.24%
22.00% to 22.99% 1 40,000.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by ARM Adjustment Type
<TABLE>
<CAPTION>
Number of Percentage of
ARM Adjustment Home Equity Aggregate Aggregate
Type Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
"2 / 28" 305 $30,489,479.26 15.50%
"3 / 27" 79 8,712,948.86 4.43%
"6 months" 2,071 157,453,975.03 80.07%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 17
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
Distribution by Periodic Cap
<TABLE>
<CAPTION>
Number of Percentage of
Periodic Home Equity Aggregate Aggregate
Cap(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
1.00% to 1.9 2,445 $195,843,703.79 99.59%
2.00% to 2.99% 3 350,907.61 0.18%
3.00% to 3.99% 6 403,733.46 0.21%
6.00% to 6.99% 1 58,058.29 0.03%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by First Adjust Cap
<TABLE>
<CAPTION>
Number of Percentage of
Periodic Home Equity Aggregate Aggregate
Cap (a) Loans Loan Balance Loan Balance
Loans With First Adjust Cap (different than subsequent cap):
<S> <C> <C> <C> <C>
0.00% to 0.99% 1 $59,500.00 0.03%
1.00% to 1.99% 7 883,464.40 0.45%
2.00% to 2.99% 5 481,881.59 0.25%
3.00% to 3.99% 325 33,154,208.18 16.86%
6.00% to 6.99% 8 815,774.10 0.41%
<CAPTION>
Loans With Periodic Cap (always same cap):
<S> <C> <C> <C> <C>
1.00% to 1.9 2,102 $160,664,967.27 81.70%
2.00% to 2.99% 2 230,632.61 0.12%
3.00% to 3.99% 5 365,975.00 0.19%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 18
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
Distribution by Coupon Rate Change
<TABLE>
<CAPTION>
Next Coupon Number of Percentage of
Rate Change Home Equity Aggregate Aggregate
Date Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
December 1996 4 $272,468.28 0.14%
January 1997 37 2,882,327.28 1.47%
February 1997 226 17,826,018.79 9.06%
March 1997 709 57,347,623.80 29.16%
April 1997 808 60,954,242.49 31.00%
May 1997 287 18,171,294.39 9.24%
July 1997 1 70,923.35 0.04%
July 1998 13 1,220,927.78 0.62%
August 1998 73 7,528,177.09 3.83%
September 1998 67 6,217,309.93 3.16%
October 1998 136 13,817,364.46 7.03%
November 1998 16 1,705,700.00 0.87%
April 1999 1 113,815.17 0.06%
June 1999 1 120,629.78 0.06%
July 1999 10 1,232,499.95 0.63%
August 1999 17 1,579,376.32 0.80%
September 1999 13 1,314,514.90 0.67%
October 1999 23 2,710,889.39 1.38%
November 1999 13 1,570,300.00 0.80%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 19
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Rep Lines (October 31, 1996 Preliminary Cut-Off Date)
Fixed Rate Collateral Group I
<TABLE>
<CAPTION>
Original Remaining Original
Gross Net Term to Term to Amortization
Pool Principal Coupon Coupon Maturity Maturity Term Amortization
Number Balance Rate Rate (months) (months) (months) Method
- --------- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 $988,478.17 11.556% 11.056% 60 58 60 Level Pay
2 $12,546,697.69 12.304% 11.804% 118 116 118 Level Pay
3 $89,579,208.36 11.924% 11.424% 179 177 179 Level Pay
4 $110,277,700.54 11.816% 11.316% 240 238 240 Level Pay
5 $1,314,843.69 11.902% 11.402% 300 298 300 Level Pay
6 $87,392,421.63 11.398% 10.898% 360 358 360 Level Pay
7 $372,900,649.91 12.023% 11.523% 180 178 360 Balloon
Totals $675,000,000.00
</TABLE>
Adjustable Rate Collateral Group II
<TABLE>
<CAPTION>
Original
Gross Net Months Term to
Pool Principal Coupon Coupon to Rate Periodic Life Maturity
Number Balance Rate Rate Change Margin Cap Cap (months)
- --------- ----------------- ------------ ------------ ------------ ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 $311,738.45 10.738% 10.238% 1 6.663% 1.0 17.115% 360
2 $3,297,749.92 10.536% 10.036% 2 6.718% 1.0 16.671% 349
3 $20,395,238.41 10.552% 10.052% 3 6.943% 1.0 16.766% 356
4 $65,612,993.77 10.350% 9.850% 4 6.835% 1.0 16.643% 357
5 $69,739,425.42 10.322% 9.822% 5 6.896% 1.0 16.547% 357
6 $20,790,277.72 10.347% 9.847% 6 7.168% 1.0 16.399% 356
7 $81,145.36 11.000% 10.500% 8 6.700% 1.0 17.000% 360
8 $1,396,897.06 11.122% 10.622% 20 6.655% 2.8 17.627% 360
9 $8,613,194.48 10.680% 10.180% 21 6.072% 3.0 17.309% 360
10 $7,113,395.30 10.678% 10.178% 22 6.268% 2.9 17.218% 355
11 $15,808,826.73 10.586% 10.086% 23 6.194% 2.7 17.279% 360
12 $1,951,538.29 10.904% 10.404% 24 6.585% 2.6 16.904% 360
13 $130,219.07 10.250% 9.750% 29 5.950% 3.0 16.250% 360
14 $138,015.85 10.750% 10.250% 31 6.250% 3.0 16.750% 360
15 $1,410,137.09 10.783% 10.283% 32 5.822% 3.0 16.953% 360
16 $1,807,007.89 10.879% 10.379% 33 6.157% 2.9 16.944% 360
17 $1,503,972.65 10.975% 10.475% 34 6.156% 3.2 17.540% 360
18 $3,101,603.12 10.957% 10.457% 35 6.378% 2.8 17.215% 360
19 $1,796,623.42 10.743% 10.243% 36 6.642% 3.1 16.917% 360
Totals $225,000,000.00
</TABLE>
Remaining Original
Term to Amortization
Pool Maturity Term Amortization
Number (months) (months) Method
- --------- ------------- ------------ ------------
1 355 360 Level Pay
2 345 349 Level Pay
3 353 356 Level Pay
4 355 357 Level Pay
5 356 357 Level Pay
6 356 356 Level Pay
7 355 360 Level Pay
8 356 360 Level Pay
9 357 360 Level Pay
10 353 355 Level Pay
11 359 360 Level Pay
12 360 360 Level Pay
13 353 360 Level Pay
14 355 360 Level Pay
15 356 360 Level Pay
16 357 360 Level Pay
17 358 360 Level Pay
18 359 360 Level Pay
19 360 360 Level Pay
Page 20
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-1: $96,500,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 75% 25% 0% 0% 0% 0%
12/15/98 68% 0% 0% 0% 0% 0%
12/15/99 59% 0% 0% 0% 0% 0%
12/15/00 50% 0% 0% 0% 0% 0%
12/15/01 39% 0% 0% 0% 0% 0%
12/15/02 28% 0% 0% 0% 0% 0%
12/15/03 16% 0% 0% 0% 0% 0%
12/15/04 3% 0% 0% 0% 0% 0%
12/15/05 0% 0% 0% 0% 0% 0%
12/15/06 0% 0% 0% 0% 0% 0%
12/15/07 0% 0% 0% 0% 0% 0%
12/15/08 0% 0% 0% 0% 0% 0%
12/15/09 0% 0% 0% 0% 0% 0%
12/15/10 0% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life:
Years (3) to Maturity 3.95 0.78 0.55 0.50 0.44 0.37
Years (3) to Call 3.95 0.78 0.55 0.50 0.44 0.37
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 21
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-2: $113,900,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 78% 61% 35% 0%
12/15/98 100% 61% 0% 0% 0% 0%
12/15/99 100% 7% 0% 0% 0% 0%
12/15/00 100% 0% 0% 0% 0% 0%
12/15/01 100% 0% 0% 0% 0% 0%
12/15/02 100% 0% 0% 0% 0% 0%
12/15/03 100% 0% 0% 0% 0% 0%
12/15/04 100% 0% 0% 0% 0% 0%
12/15/05 89% 0% 0% 0% 0% 0%
12/15/06 76% 0% 0% 0% 0% 0%
12/15/07 61% 0% 0% 0% 0% 0%
12/15/08 45% 0% 0% 0% 0% 0%
12/15/09 27% 0% 0% 0% 0% 0%
12/15/10 6% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) to Maturity 11.59 2.26 1.30 1.14 0.98 0.81
Years (3) to Call 11.59 2.26 1.30 1.14 0.98 0.81
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 22
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-3: $139,800,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 93%
12/15/98 100% 100% 78% 51% 13% 0%
12/15/99 100% 100% 10% 0% 0% 0%
12/15/00 100% 68% 0% 0% 0% 0%
12/15/01 100% 34% 0% 0% 0% 0%
12/15/02 100% 6% 0% 0% 0% 0%
12/15/03 100% 0% 0% 0% 0% 0%
12/15/04 100% 0% 0% 0% 0% 0%
12/15/05 100% 0% 0% 0% 0% 0%
12/15/06 100% 0% 0% 0% 0% 0%
12/15/07 100% 0% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) to Maturity 14.82 4.63 2.46 2.08 1.70 1.31
Years (3) to Call 14.82 4.63 2.46 2.08 1.70 1.31
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 23
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-4: $62,900,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 0%
12/15/99 100% 100% 100% 52% 0% 0%
12/15/00 100% 100% 16% 0% 0% 0%
12/15/01 100% 100% 0% 0% 0% 0%
12/15/02 100% 100% 0% 0% 0% 0%
12/15/03 100% 59% 0% 0% 0% 0%
12/15/04 100% 13% 0% 0% 0% 0%
12/15/05 100% 0% 0% 0% 0% 0%
12/15/06 100% 0% 0% 0% 0% 0%
12/15/07 100% 0% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 14.84 7.27 3.71 3.08 2.46 1.84
Years (3) to Call 14.84 7.27 3.71 3.08 2.46 1.84
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 24
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-5: $71,700,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 99%
12/15/99 100% 100% 100% 100% 64% 0%
12/15/00 100% 100% 100% 51% 0% 0%
12/15/01 100% 100% 41% 0% 0% 0%
12/15/02 100% 100% 0% 0% 0% 0%
12/15/03 100% 100% 0% 0% 0% 0%
12/15/04 100% 100% 0% 0% 0% 0%
12/15/05 100% 75% 0% 0% 0% 0%
12/15/06 100% 42% 0% 0% 0% 0%
12/15/07 100% 13% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 14.84 9.85 4.95 4.08 3.20 2.32
Years (3) to Call 14.84 9.85 4.95 4.08 3.20 2.32
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 25
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-6: $37,800,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 11%
12/15/00 100% 100% 100% 100% 48% 0%
12/15/01 100% 100% 100% 63% 0% 0%
12/15/02 100% 100% 77% 0% 0% 0%
12/15/03 100% 100% 2% 0% 0% 0%
12/15/04 100% 100% 0% 0% 0% 0%
12/15/05 100% 100% 0% 0% 0% 0%
12/15/06 100% 100% 0% 0% 0% 0%
12/15/07 100% 100% 0% 0% 0% 0%
12/15/08 100% 74% 0% 0% 0% 0%
12/15/09 100% 27% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 25% 0% 0% 0% 0% 0%
12/15/12 22% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 15.22 12.56 6.40 5.20 4.05 2.88
Years (3) to Call 15.22 12.56 6.40 5.20 4.05 2.88
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 26
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-7: $59,100,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 100% 100% 100% 100% 100% 17%
12/15/01 100% 100% 100% 100% 56% 0%
12/15/02 100% 100% 100% 83% 12% 0%
12/15/03 100% 100% 100% 43% 0% 0%
12/15/04 100% 100% 66% 16% 0% 0%
12/15/05 100% 100% 38% 0% 0% 0%
12/15/06 100% 100% 14% 0% 0% 0%
12/15/07 100% 100% 0% 0% 0% 0%
12/15/08 100% 100% 0% 0% 0% 0%
12/15/09 100% 100% 0% 0% 0% 0%
12/15/10 100% 90% 0% 0% 0% 0%
12/15/11 100% 0% 0% 0% 0% 0%
12/15/12 100% 0% 0% 0% 0% 0%
12/15/13 95% 0% 0% 0% 0% 0%
12/15/14 73% 0% 0% 0% 0% 0%
12/15/15 49% 0% 0% 0% 0% 0%
12/15/16 25% 0% 0% 0% 0% 0%
12/15/17 19% 0% 0% 0% 0% 0%
12/15/18 12% 0% 0% 0% 0% 0%
12/15/19 4% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 19.32 14.67 8.70 7.00 5.26 3.65
Years (3) to Call 19.32 14.67 8.69 7.00 5.26 3.65
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 27
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-8: $43,300,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 100% 100% 100% 100% 100% 100%
12/15/01 100% 100% 100% 100% 100% 53%
12/15/02 100% 100% 100% 100% 100% 25%
12/15/03 100% 100% 100% 100% 79% 14%
12/15/04 100% 100% 100% 100% 57% 10%
12/15/05 100% 100% 100% 92% 39% 5%
12/15/06 100% 100% 100% 68% 26% 1%
12/15/07 100% 100% 93% 50% 17% 0%
12/15/08 100% 100% 71% 36% 9% 0%
12/15/09 100% 100% 53% 24% 4% 0%
12/15/10 100% 100% 39% 16% 0% 0%
12/15/11 100% 55% 3% 0% 0% 0%
12/15/12 100% 44% 0% 0% 0% 0%
12/15/13 100% 34% 0% 0% 0% 0%
12/15/14 100% 25% 0% 0% 0% 0%
12/15/15 100% 17% 0% 0% 0% 0%
12/15/16 100% 10% 0% 0% 0% 0%
12/15/17 100% 7% 0% 0% 0% 0%
12/15/18 100% 5% 0% 0% 0% 0%
12/15/19 100% 3% 0% 0% 0% 0%
12/15/20 94% 1% 0% 0% 0% 0%
12/15/21 80% 0% 0% 0% 0% 0%
12/15/22 66% 0% 0% 0% 0% 0%
12/15/23 50% 0% 0% 0% 0% 0%
12/15/24 31% 0% 0% 0% 0% 0%
12/15/25 11% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 26.87 16.66 13.23 11.45 8.90 5.66
Years (3) to Call 26.20 14.84 10.51 8.59 6.95 4.85
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 28
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-9: $50,000,000 "LOCK BOND"
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 99% 95% 90% 88% 85% 79%
12/15/01 99% 89% 81% 77% 72% 62%
12/15/02 97% 81% 67% 61% 53% 40%
12/15/03 95% 71% 52% 45% 36% 21%
12/15/04 92% 59% 37% 30% 20% 8%
12/15/05 88% 49% 26% 19% 11% 2%
12/15/06 84% 41% 18% 12% 6% 0%
12/15/07 80% 33% 12% 7% 3% 0%
12/15/08 76% 27% 8% 4% 1% 0%
12/15/09 71% 22% 5% 3% 0% 0%
12/15/10 66% 18% 3% 1% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 13.20 9.42 7.53 7.01 6.39 5.64
Years (3) to Call 13.20 9.42 7.22 6.55 5.80 4.62
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 29
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-10: $225,000,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 97% 89% 81% 76% 73% 65%
12/15/98 97% 81% 67% 59% 55% 43%
12/15/99 96% 74% 56% 46% 41% 29%
12/15/00 96% 68% 46% 36% 31% 20%
12/15/01 95% 62% 39% 29% 23% 13%
12/15/02 94% 56% 32% 22% 18% 9%
12/15/03 94% 51% 27% 18% 13% 6%
12/15/04 93% 46% 22% 14% 10% 4%
12/15/05 92% 42% 19% 11% 7% 2%
12/15/06 91% 39% 16% 8% 5% 1%
12/15/07 90% 35% 13% 6% 4% 1%
12/15/08 88% 32% 11% 5% 3% 0%
12/15/09 87% 29% 9% 4% 2% 0%
12/15/10 85% 26% 7% 3% 1% 0%
12/15/11 83% 23% 6% 2% 1% 0%
12/15/12 81% 21% 5% 1% 1% 0%
12/15/13 78% 19% 4% 1% 0% 0%
12/15/14 75% 16% 3% 1% 0% 0%
12/15/15 72% 15% 2% 0% 0% 0%
12/15/16 69% 13% 2% 0% 0% 0%
12/15/17 64% 11% 1% 0% 0% 0%
12/15/18 60% 9% 1% 0% 0% 0%
12/15/19 55% 8% 1% 0% 0% 0%
12/15/20 49% 6% 0% 0% 0% 0%
12/15/21 42% 5% 0% 0% 0% 0%
12/15/22 35% 4% 0% 0% 0% 0%
12/15/23 27% 2% 0% 0% 0% 0%
12/15/24 18% 1% 0% 0% 0% 0%
12/15/25 7% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 21.62 9.39 5.22 3.96 3.43 2.48
Years (3) to Call 21.24 7.92 4.59 3.54 3.01 2.17
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 30
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
TRANSACTION SUMMARY @ Pricing Prepayment Speed
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Estimated to Maturity Expected
---------------------------------------------------------- Ratings
Modified Principal Principal (Moody's /
Approximate Size Certificate WAL Duration Lockout Window S&P / FITCH)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$96,500,000 Class A-1 0.50 0.48 0 10 Aaa/AAA/AAA
$113,900,000 Class A-2 1.14 1.07 9 9 Aaa/AAA/AAA
$139,800,000 Class A-3 2.08 1.89 17 15 Aaa/AAA/AAA
$62,900,000 Class A-4 3.08 2.71 31 11 Aaa/AAA/AAA
$71,700,000 Class A-5 4.08 3.46 41 16 Aaa/AAA/AAA
$37,800,000 Class A-6 5.20 4.25 56 13 Aaa/AAA/AAA
$59,100,000 Class A-7 7.00 5.33 68 37 Aaa/AAA/AAA
$43,300,000 Class A-8 11.45 7.46 104 74 Aaa/AAA/AAA
$50,000,000 Class A-9 7.01 5.25 36 142 Aaa/AAA/AAA
$225,000,000 Class A-10 3.96 3.16 0 250 Aaa/AAA/AAA
</TABLE>
<TABLE>
<CAPTION>
Class A-1 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 3.95 0.78 0.55 0.50 0.44 0.37
Duration 3.31 0.75 0.53 0.48 0.42 0.36
First Principal Payment 01/15/97 01/15/97 01/15/97 01/15/97 01/15/97 01/15/97
Last Principal Payment 03/15/05 05/15/98 11/15/97 10/15/97 08/15/97 07/15/97
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 99 17 11 10 8 7
Yield @ Par 5.59% 5.59% 5.59% 5.59% 5.59% 5.60%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-2 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 11.59 2.26 1.3 1.14 0.98 0.81
Duration 7.99 2.04 1.22 1.07 0.92 0.77
First Principal Payment 03/15/05 05/15/98 11/15/97 10/15/97 08/15/97 07/15/97
Last Principal Payment 04/15/11 02/15/00 09/15/98 06/15/98 03/15/98 12/15/97
Principal Lockout (months) 98 16 10 9 7 6
Principal Window (months) 74 22 11 9 8 6
Yield @ Par 6.26% 6.17% 6.09% 6.07% 6.03% 5.98%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 31
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-3 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.82 4.63 2.46 2.08 1.7 1.31
Duration 9.37 3.88 2.21 1.89 1.56 1.22
First Principal Payment 04/15/11 02/15/00 09/15/98 06/15/98 03/15/98 12/15/97
Last Principal Payment 10/15/11 03/15/03 03/15/00 08/15/99 02/15/99 08/15/98
Principal Lockout (months) 171 37 20 17 14 11
Principal Window (months) 7 38 19 15 12 9
Yield @ Par 6.35% 6.31% 6.26% 6.24% 6.22% 6.17%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-4 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.84 7.27 3.71 3.08 2.46 1.84
Duration 9.27 5.62 3.20 2.71 2.21 1.69
First Principal Payment 10/15/11 03/15/03 03/15/00 08/15/99 02/15/99 08/15/98
Last Principal Payment 10/15/11 04/15/05 03/15/01 06/15/00 09/15/99 12/15/98
Principal Lockout (months) 177 74 38 31 25 19
Principal Window (months) 1 26 13 11 8 5
Yield @ Par 6.54% 6.52% 6.49% 6.48% 6.45% 6.42%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-5 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.84 9.85 4.95 4.08 3.20 2.32
Duration 9.14 6.99 4.08 3.46 2.79 2.09
First Principal Payment 10/15/11 04/15/05 03/15/01 06/15/00 09/15/99 12/15/98
Last Principal Payment 10/15/11 06/15/08 10/15/02 09/15/01 08/15/00 08/15/99
Principal Lockout (months) 177 99 50 41 32 23
Principal Window (months) 1 39 20 16 12 9
Yield @ Par 6.76% 6.75% 6.72% 6.71% 6.69% 6.66%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-6 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 15.22 12.56 6.40 5.20 4.05 2.88
Duration 9.20 8.19 5.03 4.25 3.43 2.54
First Principal Payment 10/15/11 6/15/08 10/15/02 9/15/01 8/15/00 8/15/99
Last Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Principal Lockout (months) 177 137 69 56 43 31
Principal Window (months) 24 27 16 13 10 6
Yield @ Par 6.87% 6.87% 6.84% 6.84% 6.82% 6.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 32
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-7 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.32 14.67 8.70 7.00 5.26 3.65
Duration 10.19 8.85 6.28 5.33 4.24 3.11
First Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Last Principal Payment 6/15/20 10/15/11 9/15/07 9/15/05 5/15/03 4/15/01
Principal Lockout (months) 200 163 84 68 52 36
Principal Window (months) 82 15 45 37 25 16
Yield @ Par 7.15% 7.14% 7.13% 7.12% 7.11% 7.09%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-8 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 26.87 16.66 13.23 11.45 8.90 5.66
Duration 11.40 9.28 8.19 7.46 6.26 4.44
First Principal Payment 6/15/20 10/15/11 9/15/07 9/15/05 5/15/03 4/15/01
Last Principal Payment 6/15/26 4/15/21 2/15/13 10/15/11 2/15/11 4/15/07
Principal Lockout (months) 281 177 128 104 76 51
Principal Window (months) 73 115 66 74 94 73
Yield @ Par 7.39% 7.38% 7.38% 7.37% 7.37% 7.35%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-9 "LOCK BOND"(to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 13.20 9.42 7.53 7.01 6.39 5.64
Duration 8.27 6.49 5.53 5.25 4.91 4.47
First Principal Payment 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00
Last Principal Payment 10/15/11 10/15/11 10/15/11 10/15/11 2/15/11 4/15/07
Principal Lockout (months) 36 36 36 36 36 36
Principal Window (months) 142 142 142 142 134 88
Yield @ Par 7.02% 7.01% 7.00% 7.00% 7.00% 6.99%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 10.50% 15.75% 21.00% 26.25% 31.50%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.62 9.39 5.22 3.96 3.43 2.48
Duration 11.57 6.20 3.96 3.16 2.81 2.12
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 8/15/26 3/15/26 5/15/22 10/15/17 5/15/15 6/15/10
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 356 351 305 250 221 162
Yield @ Par 5.79% 5.81% 5.81% 5.80% 5.81% 5.81%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 33
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-7 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.32 14.67 8.69 7.00 5.26 3.65
Duration 10.19 8.85 6.27 5.33 4.24 3.11
First Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Last Principal Payment 6/15/20 10/15/11 6/15/07 7/15/05 5/15/03 4/15/01
Principal Lockout (months) 200 163 84 68 52 36
Principal Window (months) 82 15 42 35 25 16
Yield @ Par 7.15% 7.14% 7.13% 7.12% 7.11% 7.09%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-8 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 26.20 14.84 10.51 8.59 6.95 4.85
Duration 11.32 8.78 7.10 6.18 5.28 3.95
First Principal Payment 6/15/20 10/15/11 6/15/07 7/15/05 5/15/03 4/15/01
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 281 177 125 102 76 51
Principal Window (months) 43 1 1 1 8 9
Yield @ Par 7.39% 7.38% 7.37% 7.37% 7.36% 7.34%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-9 "LOCK BOND" (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 13.20 9.42 7.22 6.55 5.80 4.62
Duration 8.27 6.49 5.40 5.03 4.59 3.82
First Principal Payment 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00
Last Principal Payment 10/15/11 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 36 36 36 36 36 36
Principal Window (months) 142 142 90 67 48 24
Yield @ Par 7.02% 7.01% 7.00% 7.00% 6.99% 6.98%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 10.50% 15.75% 21.00% 26.25% 31.50%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.24 7.92 4.59 3.54 3.01 2.17
Duration 11.49 5.71 3.67 2.95 2.57 1.92
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 324 178 126 103 84 60
Yield @ Par 5.79% 5.79% 5.79% 5.79% 5.79% 5.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 34
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date) Update
- --------------------------------------------------------------------------------
Fixed Rate Home Equity Loans
Weighted Average Home Equity Ratio (2nd Liens): 38.95% (6.50% to 97.58%)
Adjustable Rate Home Equity Loans
ARM Adjustment Type: "3 / 27" " 2 / 28" "6 Month"
-------- --------- ---------
4.43% 15.50% 80.06%
Distribution by Loan Type
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Type Loans Loan Balance Loan Balance
Balloon 8 $579,195.06 0.29%
Non Balloon 2,447 196,077,208.09 99.71%
-------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=================================================
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Class A-10 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment Scenario Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
CPR% 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.62 9.39 5.22 3.96 3.43 2.48
Duration 11.57 6.20 3.96 3.16 2.81 2.12
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 8/15/26 3/15/26 5/15/22 10/15/17 5/15/15 6/15/10
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 356 351 305 250 221 162
Yield @ Par 5.79% 5.81% 5.81% 5.80% 5.81% 5.81%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment Scenario Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
CPR% 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.24 7.92 4.59 3.54 3.01 2.17
Duration 11.49 5.71 3.67 2.95 2.57 1.92
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 324 178 126 103 84 60
Yield @ Par 5.79% 5.79% 5.79% 5.79% 5.79% 5.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 35
