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) December 11, 1997
CONTISECURITIES ASSET FUNDING CORP.
(Exact name of registrant as specified in its charter)
DELAWARE 333-19427 13-2937238
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) ID Number)
277 PARK AVENUE, NEW YORK, NEW YORK 10172
(Address of principal executive offices) (Zip Code)
Registrant's Telephone Number, including area code: (212) 207-2840
N/A
(Former name or former address, if changed since last report)
<PAGE>
Item 5. OTHER EVENTS
FILING OF COMPUTATIONAL MATERIALS AND CONSENT OF INDEPENDENT ACCOUNTANTS.
This Current Report on Form 8-K is being filed to file a copy of the
Final Computational Materials (as defined below) prepared by Greenwich Capital
Markets, Inc.as an underwriter, in connection with the issuance by ContiMortgage
Home Equity Loan Trust 1997-5 of Home Equity Loan Pass-Through Certificates,
Series 1997-5. The term "Computational Materials" shall have the meaning given
in the No-Action Letter of May 20, 1994 issued by the Securities and Exchange
Commission (the "SEC") to Kidder, Peabody Acceptance Corporation I, Kidder,
Peabody & Co. Incorporated and Kidder Structured Asset Corporation, as made
applicable to other issuers and underwriters by the Commission in response to
the request of the Public Securities Association dated May 24, 1994, and as
supplemented in the No-Action Letter of February 17, 1995 issued by the SEC to
the Public Securities Association.
Item 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Computational Materials
<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 thereunto duly authorized.
CONTISECURITIES ASSET FUNDING CORP.,
as Depositor
By:/s/ Jerome M. Perelson
Name: Jerome M. Perelson
Title: Authorized Signatory
Dated: December 11, 1997
<PAGE>
EXHIBIT INDEX
EXHIBIT PAGE
99.1 Computational Materials
THIS FINAL TERM SHEET IS PROVIDED FOR INFORMATION PURPOSES ONLY, AND DOES NOT
CONSTITUTE AN OFFER TO SELL, NOR A SOLICITATION OF AN OFFER TO BUY, THE
REFERENCED SECURITIES. IT DOES NOT PURPORT TO BE ALL-INCLUSIVE OR TO CONTAIN ALL
OF THE INFORMATION THAT A PROSPECTIVE INVESTOR MAY REQUIRE TO MAKE A FULL
ANALYSIS OF THE TRANSACTION. ALL AMOUNTS ARE APPROXIMATE AND SUBJECT TO CHANGE.
THE INFORMATION CONTAINED HEREIN SUPERSEDES INFORMATION CONTAINED IN ANY PRIOR
INFORMATION TERM SHEET FOR THIS TRANSACTION. IN ADDITION, THE INFORMATION
CONTAINED HEREIN MAY BE SUPERSEDED BY INFORMATION CONTAINED IN TERM SHEETS
CIRCULATED AFTER THE DATE HEREOF AND IS QUALIFIED IN ITS ENTIRETY BY INFORMATION
CONTAINED IN THE PROSPECTUS AND PROSPECTUS SUPPLEMENT FOR THIS TRANSACTION. AN
OFFERING MAY BE MADE ONLY THROUGH THE DELIVERY OF THE PROSPECTUS AND PROSPECTUS
SUPPLEMENT.
- ---------------------------------------------------------------------------
$1,660,000,000 (APPROXIMATE)
ContiMortgage
Home Equity Loan Trust 1997-5
Home Equity ABS
- ---------------------------------------------------------------------------
Computational Materials
<PAGE>
The attached tables and other statistical analyses (the "Computational
Materials") are privileged and intended for use by the addressee only. These
Computational Materials have been prepared by Greenwich Capital Markets, Inc. in
reliance upon information furnished by the issuer of the securities and its
affiliates. These Computational Materials are furnished to you solely by
Greenwich Capital Markets, Inc. and not by the issuer of the securities. They
may not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating said
material.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be reflected therein. As such, no assurance can be given as to
the Computational Materials' accuracy, appropriateness or completeness in any
particular context; nor as to whether the Computational Materials and/or the
assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials should not be construed
as either projections or predictions or as legal, tax, financial or accounting
advice.
Any weighted average lives, yields and principal payment periods shown in the
Computational Materials are based on prepayments assumptions. Changes in such
prepayment assumptions may dramatically affect such weighted average lives,
yields and principal payment periods. In addition, it is possible that
prepayments on the underlying assets will occur at rates significantly slower or
faster than the rates shown in the attached Computational Materials.
Furthermore, unless other wise 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 underlying assets used in preparing the Computational
Materials. The principal amount and designation of any security described in the
Computational Materials are subject to change prior to issuance. Neither
Greenwich Capital Markets, Inc. nor any of its affiliates makes any
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities.
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 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, solicitation or sale would be unlawful prior to registration or
qualification of such securities under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus supplement relating
to the securities discussed in this communication for definitive Computational
Materials and any matter discussed in this communication. Once available, a
final prospectus and prospectus supplement may be obtained by contacting the
Greenwich Capital Markets Trading Desk at (203) 625-6160.
Please be advised that the securities described herein may not be appropriate
for all investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayment, yield curve and interest rate
risks. Investors should make every effort to consider the risks of these
securities.
If you have received this communication in error, please notify the sending
party immediately be telephone and return the original to such party by mail
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST
1997-5 Computational Materials
- ----------------------------------------------------------------------------------------------------------------------------------
Class Expected
Size Ratings Final
($ (Moody's/Fitch/ Average Scheduled Payment
CLASS(2) millions) Tranche Type S&P) Life (3,4) Payment Window (3,4) Day
Date Count
==================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 103.34 Fixed [Money Market (2a-7)] P-1/A-1+/F-1+ 0.22 years MAT 12/15/98 1/98-5/98/5 mo. Actual/360
A-2 675 Floater Seq. PAC Aaa/AAA/AAA 1.47 years/MAT 10/15/12 5/98-10/0/30mo. Actual/360
A-3 63 Fixed Seq. PAC Aaa/AAA/AAA 3.08 years/MAT 7/15/14 10/00-5/01/8 mo. 30/360
A-4 140 Fixed Seq. PAC Aaa/AAA/AAA 4.01 years/MAT 6/15/19 5/01-10/02/18mo. 30/360
A-5 40 Fixed Seq. PAC Aaa/AAA/AAA 5.10 years/MAT 12/15/20 10/02-6/03/9 mo. 30/360
A-6 115.54 Fixed Seq. PAC Aaa/AAA/AAA 7.31 years/MAT 3/15/24 6/03-9/09/ 76 mo. 30/360
A-7 130 Floater Seq. PAC Aaa/AAA/AAA 1.25 years/MAT/CALL 10/15/12 5/98- 4/00/24 mo. Actual/360
A-8 109.52 Floater Seq. PAC Aaa/AAA/AAA 4.43 years MAT 3/15/24 4/00-9/09/ 114 mo MAT Actual/360
4.27 years CALL 4/00-3/05/60 mo. CALL
A-9 35.605 Floater Seq. Companion Aaa/AAA/AAA 1.25 years/MAT/CALL 11/15/24 5/98-1/01/33 mo. Actual/360
A-10 194.875 Auction Rate Seq. Aaa/AAA/AAA 7.54 years/MAT 1/15/29 1/01-10/12/142 mo. Actual/360
B 53.120 Companion(5) Baa3/BBB/BBB- 5.05 years/MAT 1/15/29 1/01-2/07/ 74 mo. 30/360
A-11IO --- Fixed Subordinate Aaa/AAA/AAAr 30/360
Interest Only(6)
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL $1,660 -- -- -- -- --Home --
Equity
Loans--
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
CLASS(2) Price Coupon Benchmark / Spread Yield
Yield
===================================================================================================================
<S> <C> <C> <C> <C> <C>
A-1 100-00 5.90625% 3 M LIBOR / 5.90625% +0 5.90625%
A-2 100-00 1 M LIBOR + 17 1 M LIBOR / 5.96875% +17 6.13875%
A-3 100-00 6.40% 3 Year/ 5.795% +60 6.395%
A-4 99-31+ 6.58% 6 1/8% 12/01/5.900% +70 6.600%
A-5 99-30+ 6.63% 5 3/4% 10/02/ 5.871% +80 6.671%
A-6 100-00 6.87% 7 1/2% 2/05 / 5.941% +98 6.921%
A-7 100-00 1 M LIBOR + 20 1 M LIBOR / 5.96875% +20 6.16875%
A-8 100-00 1 M LIBOR + 30 1 M LIBOR / 5.96875% +30 6.26875%
A-9 100-00 1 M LIBOR + 25 1 M LIBOR / 5.96875% +25 6.21875%
A-10 100-00 TBD NA NA NA
B 99-31+ 7.62% 5 3/4% 10/02/5.871% +180 7.671%
A-11IO 16-27 1/4 25%/ 6.50% 6 M LIBOR / 5.90625% +64.375 6.550%
- -------------------------------------------------------------------------------------------------------------------
TOTAL -- -- -- --
- -------------------------------------------------------------------------------------------------------------------
(1) The information presented is based on a representative cut-off pool as
of the 11/18/97 statistical calculation date.
(2) All Classes are backed by the cashflows from the fixed and adjustable
rate collateral on a combined basis.
(3) See "Pricing Prepayment Speed" below.
(4) Fixed Rate tranches are priced to maturity; Class A-7, A-8 and A-9
Certificates are priced to call. The WAL of Class A-7 and A-9
Certificates does not change when run to maturity. The spread to LIBOR
of the Floating Rate Class A-7, A-8 and A-9 Certificates doubles after
the clean-up call date.
(5) The pass-through rate on the Class A-10 Certificates will be determined
pursuant to Auction Procedures. The Auction Rate Companions will be
Merrill Lynch sole managed.
(6) Greenwich sole managed.
</TABLE>
SELLER AND SERVICER: ContiMortgage Corporation.
TRUSTEE: Manufacturers and Traders Trust Company.
MANAGERS: GREENWICH CAPITAL MARKETS (lead manager), Bear
Stearns & Co. Inc., ContiFinancial Services
Corporation, Credit Suisse First Boston, Merrill
Lynch & Co., Morgan Stanley Dean Witter, Nomura
Securities Corp. (co-managers).
FIXED RATE CERTIFICATES: All the triple-A Fixed Rate Certificates with the
exception of the Class A-1 [Money Market (2a-7)]
will be Planned Amortization Class ("PAC")
Certificates. The PAC classes will pay principal
according to the amortization schedule specified
below. The triple-B Fixed Rate Certificates will
not be a PAC class and will provide credit support
to the triple-A Fixed and Floating Rate
Certificates.
FLOATING RATE CERTIFICATES: The Class A-2, A-7 and A-8 triple-A Floating Rate
Certificates will be Planned Amortization Class
("PAC") Certificates. The PAC classes will pay
principal according to the amortization schedule
specified below. The Class A-9 and A-10 Floating
Rate Certificates will be triple-AAA rated and
will be companions to the PAC classes in terms of
principal repayment.
GRANTOR TRUST CERTIFICATES: ContiMortgage Home Equity Loan Trust 1997-5 will
issue a $675m fixed rate sequential PAC regular
REMIC interest Certificates. The Class A-2 REMIC
Certificates will be deposited into ContiMortgage
Grantor Trust, Series 1997-A (the "Grantor
Trust"). Simultaneously to the deposit of the
Class A-2 REMIC Certificates NatWest Markets will
enter into a swap agreement with, and MBIA will
issue an insurance policy for, the Grantor Trust.
Under the NatWest Swap Agreement, NatWest Markets
will be entitled to receive the fixed rate coupon
of the Class A-2 REMIC Certificates and be
obligated to pay a floating rate of interest on
the outstanding principal balance of the Class A-2
REMIC Certificates. The Grantor Trust will issue
Class A Certificates with a principal balance
equal to the Class A-2 REMIC Certificate balance
with a floating rate coupon equal to One Month
LIBOR plus 1_ basis points. (See Grantor Trust
Term Sheet and diagram)
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
PRICING 130% of the prepayment assumption ("PPC") will be
PREPAYMENT applied to the Fixed Rate Group for pricing
SPEED: purposes. 100% PPC describes prepayments starting
at 4.0% CPR in month 1, increasing by 1.455% CPR
per month to 20% CPR in month 12, and remaining at
20% CPR thereafter. 30% CPR will be applied to the
Adjustable Rate Group for pricing purposes.
PRICING DATE: December 5, 1997.
CUT-OFF DATE: Close of Business December 15, 1997.
EXPECTED
SETTLEMENT: December 23, 1997 through DTC, Euroclear or CEDEL.
BEGINNING ACCRUAL PERIOD: Fixed Rate Certificates, Class A-11IO: December
16, 1997. Floating Rate Certificates: December 23,
1997.
FIRST PERIOD # DAYS
INTEREST DISTRIBUTION: Fixed Rate Certificates, Class A-11IO: 15 days.
Floating Rate Certificates: 23 days.
DISTRIBUTION DATES: The 15th of each month, beginning January, 1998.
OPTIONAL CALL: 10% Clean-up call (10% of original aggregate loan
balances).
NET AVAILABLE FUNDS CAP: The Pass-Through Rate with respect to the Floating
Rate Certificates [and the Class A-3 through A-6
and B Fixed Rate Certificates] may on any payment
date equal the lesser of (x) the Pass-Through Rate
for such Class and (y) the weighted average Coupon
Rate of the Home Equity Loans, less the sum of (i)
an amount, expressed as an annual percentage rate
of the outstanding aggregate Loan Balance of the
Home Equity Loans, equal to the sum of the
Servicing Fee, the Trustee Fee, the Certificate
Insurer Premium, the Auction Agent Fee and the
Broker-Dealer Fee (for the A-10 only), (ii) 0.50%
per annum and (iii) for the first 6 Payment Dates
the product of (a) 25% per annum and (b) the Class
A-11IO Notional Principal Amount divided by the
aggregate pool balance, for the 7th through 18th
Payment Dates the product of (a) 6.5% per annum
and (ii) the Class A-11IO Notional Principal
Amount divided by the aggregate pool balance.
TAX STATUS: REMIC (except for the Class A-2 Certificates which
will be Grantor Trust Certificates).
ERISA ELIGIBILITY: The Class A certificates are ERISA eligible.
SMMEA Eligibility: None of the offered certificates are SMMEA
eligible.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
TRANSACTION STRUCTURE OVERVIEW
* Principal and interest from the Fixed Rate Loan Group and Adjustable Rate
Loan Group will be combined to pay principal and interest on the Class A
and Class B Certificates.
* MBIA will wrap the Class A Certificates only (Class A-1 - A-10, A-11IO).
* Class A-1 will be a [Money Market (2a-7)] eligible security.
* The Class A-2 through Class A-8 Certificates will be Planned Amortization
Class ("PAC") Certificates.
1. The Class A-2 through A-6 PAC Certificates will pay principal
sequentially according to the amortization schedule below. The Class
A-7 and A-8 PAC Certificates will also pay principal sequentially
according to the amortization schedule below.
2. The PAC prepayment bands are:
FRMs - 125% PPC to 175% PPC
ARMs - 28% CPR to 38% CPR
* The Class A-9 and Class A-10 Certificates will be sequential companion
bonds.
* The Pass-Through Rate on the Class A-10 Certificates will be determined
pursuant to monthly Auction Rate Procedures.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
PAC SCHEDULE
<TABLE>
<CAPTION>
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Period Class A-2 Class A-3 Class A-4 Class A-5 Class A-6 Class A-7 Class A-8
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
0 675,000,000.00 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 130,000,000.00 109,520,000.00
1 675,000,000.00 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 130,000,000.00 109,520,000.00
2 675,000,000.00 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 130,000,000.00 109,520,000.00
3 675,000,000.00 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 130,000,000.00 109,520,000.00
4 675,000,000.00 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 130,000,000.00 109,520,000.00
5 661,423,538.01 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 126,853,692.96 109,520,000.00
6 636,416,485.47 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 121,058,378.58 109,520,000.00
7 606,881,566.43 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 114,213,743.82 109,520,000.00
8 576,395,467.75 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 107,148,675.85 109,520,000.00
9 544,949,856.92 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 99,861,243.62 109,520,000.00
10 512,793,288.24 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 92,409,048.90 109,520,000.00
11 481,493,920.66 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 85,155,508.13 109,520,000.00
12 453,926,299.70 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 78,766,789.19 109,520,000.00
13 427,093,984.54 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 72,548,475.32 109,520,000.00
14 400,935,215.95 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 66,486,253.97 109,520,000.00
15 375,433,080.83 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 60,576,205.58 109,520,000.00
16 350,571,665.84 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 54,814,642.30 109,520,000.00
17 326,334,803.02 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 49,197,817.23 109,520,000.00
18 302,706,665.36 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 43,722,062.51 109,520,000.00
19 279,671,891.42 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 38,383,818.17 109,520,000.00
20 257,215,629.06 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 33,179,642.27 109,520,000.00
21 235,323,415.04 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 28,106,182.99 109,520,000.00
22 213,981,157.64 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 23,160,174.62 109,520,000.00
23 193,195,749.06 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 18,343,214.40 109,520,000.00
24 172,932,119.06 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 13,647,174.91 109,520,000.00
25 153,177,232.83 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 9,069,035.36 109,520,000.00
26 133,918,380.77 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 4,605,850.34 109,520,000.00
27 115,143,170.38 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 254,747.92 109,520,000.00
28 96,839,518.34 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 0.00 105,532,927.83
29 78,995,642.76 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 0.00 101,397,659.65
30 61,600,055.71 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 0.00 97,366,281.08
31 44,641,555.84 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 0.00 93,436,196.23
32 28,109,221.22 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 0.00 89,604,873.99
33 11,992,402.40 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 0.00 85,869,846.37
34 0.00 59,280,715.58 140,000,000.00 40,000,000.00 115,540,000.00 0.00 82,228,706.96
35 0.00 43,966,796.11 140,000,000.00 40,000,000.00 115,540,000.00 0.00 78,679,749.02
36 0.00 29,161,631.39 140,000,000.00 40,000,000.00 115,540,000.00 0.00 75,248,693.57
37 0.00 29,161,631.39 140,000,000.00 40,000,000.00 115,540,000.00 0.00 75,248,693.57
38 0.00 26,790,109.62 140,000,000.00 40,000,000.00 115,540,000.00 0.00 74,699,100.04
39 0.00 14,815,923.64 140,000,000.00 40,000,000.00 115,540,000.00 0.00 71,924,115.98
40 0.00 3,283,897.99 140,000,000.00 40,000,000.00 115,540,000.00 0.00 69,251,601.34
41 0.00 0.00 132,177,764.51 40,000,000.00 115,540,000.00 0.00 66,677,786.01
42 0.00 0.00 121,481,852.45 40,000,000.00 115,540,000.00 0.00 64,199,038.35
43 0.00 0.00 111,181,066.50 40,000,000.00 115,540,000.00 0.00 61,811,860.06
44 0.00 0.00 101,260,865.69 40,000,000.00 115,540,000.00 0.00 59,512,881.31
45 0.00 0.00 91,707,243.06 40,000,000.00 115,540,000.00 0.00 57,298,856.03
46 0.00 0.00 82,506,706.07 40,000,000.00 115,540,000.00 0.00 55,166,657.35
47 0.00 0.00 73,646,257.69 40,000,000.00 115,540,000.00 0.00 53,113,273.26
48 0.00 0.00 65,113,378.25 40,000,000.00 115,540,000.00 0.00 51,135,802.35
49 0.00 0.00 56,896,007.92 40,000,000.00 115,540,000.00 0.00 49,231,449.79
50 0.00 0.00 48,982,529.83 40,000,000.00 115,540,000.00 0.00 47,397,523.41
51 0.00 0.00 41,361,753.82 40,000,000.00 115,540,000.00 0.00 45,631,429.91
52 0.00 0.00 34,022,900.77 40,000,000.00 115,540,000.00 0.00 43,930,671.28
53 0.00 0.00 26,955,587.54 40,000,000.00 115,540,000.00 0.00 42,292,841.23
54 0.00 0.00 20,149,812.44 40,000,000.00 115,540,000.00 0.00 40,715,621.92
55 0.00 0.00 13,595,941.20 40,000,000.00 115,540,000.00 0.00 39,196,780.61
56 0.00 0.00 7,284,693.53 40,000,000.00 115,540,000.00 0.00 37,734,166.64
57 0.00 0.00 1,207,130.09 40,000,000.00 115,540,000.00 0.00 36,325,708.34
58 0.00 0.00 0.00 35,358,013.66 115,540,000.00 0.00 34,970,191.99
59 0.00 0.00 0.00 29,725,468.72 115,540,000.00 0.00 33,664,865.48
60 0.00 0.00 0.00 24,301,515.24 115,540,000.00 0.00 32,407,879.45
61 0.00 0.00 0.00 19,078,466.41 115,540,000.00 0.00 31,197,452.52
62 0.00 0.00 0.00 14,048,917.86 115,540,000.00 0.00 30,031,868.73
63 0.00 0.00 0.00 9,205,737.33 115,540,000.00 0.00 28,909,475.21
64 0.00 0.00 0.00 4,542,054.63 115,540,000.00 0.00 27,828,679.81
65 0.00 0.00 0.00 51,252.10 115,540,000.00 0.00 26,787,948.90
66 0.00 0.00 0.00 0.00 111,266,955.27 0.00 25,785,805.22
67 0.00 0.00 0.00 0.00 107,103,023.97 0.00 24,820,825.80
68 0.00 0.00 0.00 0.00 103,093,543.75 0.00 23,891,639.99
69 0.00 0.00 0.00 0.00 99,232,817.56 0.00 22,996,927.51
70 0.00 0.00 0.00 0.00 95,515,357.79 0.00 22,135,416.62
</TABLE>
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
PAC SCHEDULE
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Period Class A-2 Class A-3 Class A-4 Class A-5 Class A-6 Class A-7 Class A-8
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
71 0.00 0.00 0.00 0.00 91,935,878.59 0.00 21,305,882.35
72 0.00 0.00 0.00 0.00 88,489,288.45 0.00 20,507,144.73
73 0.00 0.00 0.00 0.00 85,170,683.08 0.00 19,738,067.24
74 0.00 0.00 0.00 0.00 81,975,338.54 0.00 18,997,555.09
75 0.00 0.00 0.00 0.00 78,898,704.61 0.00 18,284,553.79
76 0.00 0.00 0.00 0.00 75,936,398.41 0.00 17,598,047.63
77 0.00 0.00 0.00 0.00 73,084,198.29 0.00 16,937,058.24
78 0.00 0.00 0.00 0.00 70,338,037.86 0.00 16,300,643.25
79 0.00 0.00 0.00 0.00 67,694,000.36 0.00 15,687,894.97
80 0.00 0.00 0.00 0.00 65,148,313.08 0.00 15,097,939.07
81 0.00 0.00 0.00 0.00 62,509,828.49 0.00 14,486,477.66
82 0.00 0.00 0.00 0.00 59,903,516.66 0.00 13,882,472.19
83 0.00 0.00 0.00 0.00 57,394,228.07 0.00 13,300,951.59
84 0.00 0.00 0.00 0.00 54,978,376.14 0.00 12,741,084.67
85 0.00 0.00 0.00 0.00 52,652,506.31 0.00 12,202,070.86
86 0.00 0.00 0.00 0.00 50,413,291.19 0.00 11,683,139.02
87 0.00 0.00 0.00 0.00 48,257,525.85 0.00 11,183,546.44
88 0.00 0.00 0.00 0.00 46,182,123.39 0.00 10,702,577.74
89 0.00 0.00 0.00 0.00 44,184,110.56 0.00 10,239,543.86
90 0.00 0.00 0.00 0.00 42,260,623.58 0.00 9,793,781.14
91 0.00 0.00 0.00 0.00 40,408,904.17 0.00 9,364,650.35
92 0.00 0.00 0.00 0.00 38,626,295.63 0.00 8,951,535.82
93 0.00 0.00 0.00 0.00 36,910,239.10 0.00 8,553,844.52
94 0.00 0.00 0.00 0.00 35,258,270.02 0.00 8,171,005.32
95 0.00 0.00 0.00 0.00 33,668,014.63 0.00 7,802,468.08
96 0.00 0.00 0.00 0.00 32,137,186.61 0.00 7,447,702.98
97 0.00 0.00 0.00 0.00 30,663,583.94 0.00 7,106,199.69
98 0.00 0.00 0.00 0.00 29,245,085.73 0.00 6,777,466.70
99 0.00 0.00 0.00 0.00 27,879,649.28 0.00 6,461,030.63
100 0.00 0.00 0.00 0.00 26,565,307.20 0.00 6,156,435.53
101 0.00 0.00 0.00 0.00 25,300,164.63 0.00 5,863,242.29
102 0.00 0.00 0.00 0.00 24,082,396.58 0.00 5,581,027.95
103 0.00 0.00 0.00 0.00 22,910,245.39 0.00 5,309,385.20
104 0.00 0.00 0.00 0.00 21,782,018.21 0.00 5,047,921.71
105 0.00 0.00 0.00 0.00 20,696,084.64 0.00 4,796,259.64
106 0.00 0.00 0.00 0.00 19,650,874.45 0.00 4,554,035.11
107 0.00 0.00 0.00 0.00 18,644,875.33 0.00 4,320,897.63
108 0.00 0.00 0.00 0.00 17,676,630.80 0.00 4,096,509.68
109 0.00 0.00 0.00 0.00 16,744,738.14 0.00 3,880,546.16
110 0.00 0.00 0.00 0.00 15,847,846.40 0.00 3,672,694.01
111 0.00 0.00 0.00 0.00 14,984,654.53 0.00 3,472,651.71
112 0.00 0.00 0.00 0.00 14,153,909.50 0.00 3,280,128.88
113 0.00 0.00 0.00 0.00 13,354,404.57 0.00 3,094,845.85
114 0.00 0.00 0.00 0.00 12,584,977.59 0.00 2,916,533.31
115 0.00 0.00 0.00 0.00 11,844,509.33 0.00 2,744,931.86
116 0.00 0.00 0.00 0.00 11,136,281.03 0.00 2,580,801.94
117 0.00 0.00 0.00 0.00 10,454,627.46 0.00 2,422,830.63
118 0.00 0.00 0.00 0.00 9,798,561.41 0.00 2,270,789.16
119 0.00 0.00 0.00 0.00 9,167,132.11 0.00 2,124,457.19
120 0.00 0.00 0.00 0.00 8,559,423.88 0.00 1,983,622.51
121 0.00 0.00 0.00 0.00 7,974,554.86 0.00 1,848,080.75
122 0.00 0.00 0.00 0.00 7,411,675.76 0.00 1,717,635.10
123 0.00 0.00 0.00 0.00 6,869,968.65 0.00 1,592,095.99
124 0.00 0.00 0.00 0.00 6,348,645.80 0.00 1,471,280.88
125 0.00 0.00 0.00 0.00 5,846,948.62 0.00 1,355,013.96
126 0.00 0.00 0.00 0.00 5,364,146.51 0.00 1,243,125.93
127 0.00 0.00 0.00 0.00 4,899,535.91 0.00 1,135,453.72
128 0.00 0.00 0.00 0.00 4,452,439.25 0.00 1,031,840.32
129 0.00 0.00 0.00 0.00 4,022,204.00 0.00 932,134.51
130 0.00 0.00 0.00 0.00 3,608,201.78 0.00 836,190.66
131 0.00 0.00 0.00 0.00 3,209,827.44 0.00 743,868.52
132 0.00 0.00 0.00 0.00 2,826,498.20 0.00 655,033.04
133 0.00 0.00 0.00 0.00 2,457,652.88 0.00 569,554.17
134 0.00 0.00 0.00 0.00 2,102,751.04 0.00 487,306.66
135 0.00 0.00 0.00 0.00 1,761,272.23 0.00 408,169.91
136 0.00 0.00 0.00 0.00 1,432,715.31 0.00 332,027.76
137 0.00 0.00 0.00 0.00 1,116,597.65 0.00 258,768.38
138 0.00 0.00 0.00 0.00 812,454.52 0.00 188,284.06
139 0.00 0.00 0.00 0.00 519,838.41 0.00 120,471.09
140 0.00 0.00 0.00 0.00 238,318.36 0.00 55,229.61
141 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
CREDIT ENHANCEMENT FOR FIXED AND FLOATING RATE CERTIFICATES
* CLASS A1-A10 AND A-11IO CREDIT ENHANCEMENT:
1. Excess cash;
2. Overcollateralization building up to a requirement of 1.20% of the
aggregate original loan balance;
3. Subordination of Class B certificates, totaling 3.2% of the aggregate
original loan balance;
4. MBIA surety.
* CLASS B CREDIT ENHANCEMENT:
1. Excess cash;
2. Overcollateralization building up to a requirement of 1.20% of the
aggregate original loan balance.
EXCESS CASH
Excess cash will equal the difference between the interest payments received on
the aggregate home equity loans net of the Servicing Fee, Trustee Fee,
Certificate Insurer Fee, Auction Agent Fee and Broker-Dealer Fee (for the Class
A-10 only), and Certificate Interest.
OVERCOLLATERALIZATION
1. Before the Stepdown Date, overcollateralization initially builds to
1.20% of the aggregate original loan balance of the Fixed and
Adjustable Rate Loan Groups (subject to the MBIA performance triggers);
2. On and after the Stepdown Date, and so long as no trigger event is in
effect, the overcollateralization will step down monthly to 2.58% of
the outstanding aggregate loan balance of the Fixed and Adjustable Rate
Loan Groups;
3. The overcollateralization step down will be subject to a floor of 0.50%
of the aggregate original loan balance of the Fixed and Adjustable Rate
Loan Groups (subject to MBIA trigger events).
4. There will be no funding of the overcollateralization for the first 6
months of the transaction (until July 15, 1998).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
INTEREST CASHFLOW PRIORITY
* INTEREST COLLECTIONS (NET OF SERVICING, CERTIFICATE INSURER FEE,
TRUSTEE FEE, Auction Agent Fee and Broker-Dealer Fee) WILL BE
ALLOCATED IN THE FOLLOWING PRIORITY:
1. Current Interest and Carry-over Interest to the Class A Certificates;
2. Current Interest to the Class B Certificates;
3. To the overcollateralization to build up to its target amount;
4. To Monthly Excess Cashflow Amounts.
PRINCIPAL CASHFLOW PRIORITY
* PRINCIPAL COLLECTIONS (INCLUDING ACCELERATED CASH TO BUILD
OVERCOLLATERALIZATION) WILL BE ALLOCATED IN THE FOLLOWING PRIORITY PRIOR TO
THE STEPDOWN DATE (JANUARY 2001) IF NO TRIGGER EVENT IS IN EFFECT:
1. First to the Class A [Money Market] until the balance is reduced to
zero and then sequentially to the PAC bonds, pro rata between Fixed and
Floating, to their scheduled balance;
2. Remaining principal to Class A-9 Floater companion and A-10 Auction
Rate Floater companion sequentially until retired;
3. Remaining principal sequentially to the Class A PAC bonds, pro rata
between Fixed and Floating, until retired;
4. Remaining principal to Class B Certificate.
* PRINCIPAL COLLECTIONS (INCLUDING ACCELERATED CASH TO BUILD
OVERCOLLATERALIZATION) WILL BE ALLOCATED IN THE FOLLOWING PRIORITY ON AND
AFTER THE STEPDOWN DATE(JANUARY 2001) IF NO TRIGGER EVENT IS IN EFFECT:
1. Determine the Triple A Principal Distribution Amount per the
Subordination Test (as described below);
2. First to the Class A [Money Market] until the balance is reduced to
zero and then sequentially to the PAC bonds to their scheduled balance
to the extent that triple A principal is available;
3. Remaining Triple A principal to the Class A-9 Floater companion and
A-10 Auction Rate Floater companion until retired;
4. Sequentially to the Class A PAC bonds until retired.
5. Non Triple A principal amounts to the Class B Certificates on or
after the Step Down Date until retired.
6. Monthly Excess Cashflow amounts.
* COLLECTIONS OF PRINCIPAL (INCLUDING ACCELERATED CASH) ON AND AFTER THE
STEPDOWN DATE (JANUARY 2001), AND IF NO TRIGGER EVENT IS IN EFFECT WILL BE
ALLOCATED IN THE FOLLOWING PRIORITY:
Pay Class A bonds and Class B pro-rata in accordance with enhancement
targets, equal to 2.15 times the initial enhancement for each class:
TARGETED % OF POOL TARGET CREDIT ENHANCEMENT
Class A 90.54% 9.46%
Class B 6.88 2.58
Overcollateralization 2.58
100.00%
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
PRINCIPAL CASHFLOW PRIORITY (CLASS B SUBORDINATED CERTIFICATES):
* The Class B Certificates will not receive payments of principal until
on and after the Stepdown Date, or if a trigger event is in effect.
SUBORDINATION TEST (TO DETERMINE TRIPLE A PRINCIPAL DISTRIBUTION AMOUNT):
* Before the Stepdown Date, the Class A Certificates receive 100% of the
collateral principal revenues and the excess cash to build to an OC target
of 1.20% (based on the aggregate original balance). After the Stepdown
Date, the Class A Certificates receive collateral principal to maintain
9.46% credit enhancement.
STEP DOWN DATE:
* The earlier of: (i) the later of (a) the January 2001 Payment Date and (b)
the first Payment Date on which the Senior Enhancement Percentage (i.e. the
sum of the Subordinated Certificates and OC amount divided by the aggregate
of the Fixed and Adjustable Rate Home Equity Loans) is at least 9.46%, and
(ii) the Payment Date on which the aggregate Class A Balance has been
reduced to zero.
SENIOR ENHANCEMENT PERCENTAGE:
* The percentage obtained by dividing (x) the sum of (i) the aggregate
Certificate Principal Balance of the Subordinated Certificates and (ii) the
Overcollateralization Amount by (y) the aggregate Loan Balance of the Home
Equity Loans as of the last day of the related Remittance
Period.
APPLICATION OF MONTHLY EXCESS CASHFLOW AMOUNTS:
* Monthly Excess Cashflow Amounts which equal the sum of Monthly Excess
Interest Amounts and Overcollateralization Release Amounts will be
allocated in the following priority:
1. Class A Interest Carry Forward Amount
2. Extra Principal Distribution Amount
3. Class B Interest Carry Forward Amount
4. Unpaid Class B Realized Loss Amortization Amounts
5. Servicer for any unreimbursed Delinquency Advances or Servicing Advances
6. Class C Certificates 1Class R Certificates
NOTE: Interest will not accrue or be payable on any written down amounts
with respect to the Class B Certificates.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
DELINQUENCY TRIGGER:
* After the Stepdown Date, a Delinquency Trigger Event has occurred if on any
Payment Date 50% of the 60+ Day Delinquencies (including Bankruptcies,
Foreclosures and REO properties) equals or exceeds the Senior Specified
Enhancement Percentage (9.46% = 2.15 X 4.40%).
* Upon the occurrence and continuance of a Delinquency Trigger Event, the
Class A Certificates will receive 100% of all principal distribution
amounts (excluding excess interest).
CUMULATIVE REALIZED LOSS TRIGGER EVENT:
* A Cumulative Realized Loss Trigger Event occurs on any date of
determination if the amount of Cumulative Realized Losses expressed as a
percentage of the original aggregate loan balance of the Fixed and
Adjustable Rate Loan Groups equals or exceeds the following amounts:
Date Percentages
January 1998-December 1999 [1.05%]
January 2000-December 2000 [1.80%]
January 2001-December 2001 [2.40%]
January 2002-December 2002 [2.85%]
January 2003 and thereafter [3.00%]
* Upon the occurrence and during the continuance of a Cumulative Realized
Loss Trigger Event, the overcollateralization amount shall increase to
2.14% of the aggregate original balance of the Fixed and Adjustable Rate
Loan Groups
<PAGE>
CONTIMORTGAGE GRANTOR TRUST 1997-A
TERM SHEET
SECURITIES OFFERED: Class A Certificates.
ORIGINAL PRINCIPAL AMT.: $675,000,000.
CLASS A CERTIFICATE RATE: One Month LIBOR plus 1_ bps subject to a cap of
10%.
INTEREST METHODOLOGY: Actual / 360.
DISTRIBUTION DATES: The 15th of each month, beginning January 1998.
ACCRUAL PERIOD: From the preceding Distribution Date (or, in the
case of the Initial Distribution Date, from the
Closing Date) to, but not including, the
subsequent Distribution Date.
CLOSING DATE: December 23, 1997.
TRUSTEE: Manufacturers and Traders Trust Company ("M&T").
TRUST ASSETS: Class A-2 Planned Amortization Class ("PAC") from
ContiMortgage Home Equity Loan Trust; Series
1997-5; NatWest Swap Agreement; MBIA Insurance
Policy.
CLASS A-2 PAC: $675,000,000, 6.__% fixed rate PAC with a range of
125% to 175% PPC on the fixed rate loans and 28 to
38% CPR on the ARMs.
NATWEST SWAP AGMT.: NatWest will make interest payments to the Class A
Certificateholders at a rate equal to one month
LIBOR plus 1_ bps based upon the actual balance of
the Class A-2 PAC. NatWest will be entitled to
receive the fixed rate coupon of the A-2 PAC based
upon the actual balance of the Class A-2 PAC.
MBIA INSURANCE POLICY: MBIA will issue an insurance policy guaranteeing
timely interest and ultimate principal payments to
the holders of the Class A Certificates (the
"Grantor Trust Policy").
CLASS A DISTRIBUTIONS: Class A Certificates are entitled to principal and
interest distributions on the Class A-2 PAC
Certificates (for details on the Class A-2 PAC
distributions see the ContiMortgage Home Equity
Loan Trust 1997-5 term sheet).
INTEREST
1) Swapped from a fixed rate to a floating rate.
PRINCIPAL
1) Distributions of principal on the Class A
Certificates will reflect all principal
distributions on the Class A-2 PAC Certificates.
<PAGE>
CONTIMORTGAGE GRANTOR TRUST 1997-A
SWAP STRUCTURE DIAGRAM
[GRAPHIC OMITTED]
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
COLLATERAL DESCRIPTION
* Collateral statistics are based on a representative pool as of close of
business November 17, 1997 (the "statistical calculation date"). The
actual statistics may vary.
ARM PORTFOLIO FIXED RATE PORTFOLIO
TOTAL OUTSTANDING $319,942,776.51 $818,133,381.71
BALANCE:
NUMBER OF LOANS: 3,351 13,219
AVERAGE REMAINING $95,476.81 (range: $61,890.72 (range: $624.83-
BALANCE: $10,000.00 - $435,000.00) $414,000.00)
INTEREST RATE INDEX: * 18.42% 6-month LIBOR * 100.00% fixed rate loans
* 69.12% 2/28 adjustment
* 12.47% 3/27 adjustment
AMORTIZATION 99.96% fully amortizing / 51.26% fully amortizing /
METHOD: 0.04% balloons 48.74% balloons
WA GROSS COUPON: 10.330% (range: 6.500% - 11.094% (range: 7.190% -
16.500%) 19.990%)
WA GROSS MARGIN /
WA LIFE CAP: 6.222% Margin / 16.558% N/A
Cap
WA PERIODIC 1.052% N/A
INTEREST RATE CAPS:
WA MONTHS TO ROLL: 20.78 months N/A
ORIGINAL WEIGHTED 359.76 months (range: 226.25 months (range:
AVERAGE TERM: 180-360 months) 60-360 months)
REMAINING WEIGHTED
AVERAGE TERM: 358.37 months (range: 224.90 months (range: 52 -
178 - 360 months) 360 months)
SEASONING: 1.40 months (range: 1.35 months (range: 0 - 25
0 - 16) months)
LIEN POSITION: 100% first 93.57% first / 6.43% second
ORIGINAL LTV RATIO: 79.15% (range: 9.00% - 73.56% (range: 5.00% -
100.00%) 100.00%)
ORIGINAL CLTV RATIO: N/A 76.70% (range: 7.30% -
103.66%)
WA DEBT TO INCOME 39.00% (range: 3.00% - 37.95% (range: 2.00% -
RATIO: 72.00%) 94.00%)
CREDIT GRADE: 60.79% A, 24.19% B, 57.90% A, 23.26% B, 15.52%
12.58% C, 2.42% D C, 3.28% D, 0.03 M
DOCUMENTATION: 79.08% full doc, 11.27% 82.31% full doc, 7.12%
no doc, 8.61% no income FNMA, 6.16% no income
verification, 1.04% FNMA verification, 4.38% no doc,
0.03% Mixed
PROPERTY TYPE: 88.76% single family, 89.11% single family, 6.58%
3.45% PUD, 5.44% 2-4 2-4 family, 1.24% PUD,
family, 2.35% other 3.07% other
OWNER OCCUPANCY: 96.10% owner occupied, 95.39% owner occupied,
3.90% investor owned 4.61% investor owned
LOAN PURPOSE: 47.40% debt consolidation 75.08% debt consolidation
and home improvement, and home improvement, 9.29%
30.66% purchase, 21.94% purchase, 15.62% other
other
GEOGRAPHIC CA (15.11%), MI (13.15%), MI (9.97%), OH (9.57%), IL
DISTRIBUTION: FL (6.56%), WA (6.18%), (8.90%), FL (7.16%), PA
OH (5.36%), with all (6.30%), NC (6.28%), NJ
remaining states under (5.77%), IN (5.52%), NY
5.00% (5.38%), with all remaining
states under 5.0%
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
RANGE OF OUTSTANDING PCT.
OUTSTANDING PRINCIPAL OF
PRINCIPAL BALANCE COUNT BALANCE TOTAL
----------------- ----- ------------ -----
$ 624.83 - 25,000.00 1,808 $34,948,665.57 4.27%
25,000.01 - 50,000.00 4,552 170,783,503.58 20.87
50,000.01 - 75,000.00 3,408 209,121,461.30 25.56
75,000.01 - 100,000.00 1,604 139,099,085.59 17
100,000.01 - 125,000.00 851 94,895,200.44 11.6
125,000.01 - 150,000.00 475 64,759,290.35 7.92
150,000.01 - 175,000.00 213 34,341,277.39 4.2
175,000.01 - 200,000.00 121 22,657,983.62 2.77
200,000.01 - 225,000.00 72 15,258,647.07 1.87
225,000.01 - 250,000.00 38 9,046,443.38 1.11
250,000.01 - 275,000.00 28 7,396,604.48 0.9
275,000.01 - 300,000.00 20 5,776,024.79 0.71
300,000.01 - 325,000.00 8 2,514,636.18 0.31
325,000.01 - 350,000.00 10 3,418,554.32 0.42
350,000.01 - 375,000.00 6 2,152,253.19 0.26
375,000.01 - 400,000.00 3 1,144,750.46 0.14
400,000.01 - 414,000.00 2 819,000.00 0.1
- ---------- ---------- - ---------- ---
Total: 13,219 818,133,381.71 100
------ ------ -------------- ---
Min: 625
Max: 414,000
Average: 61,891
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
OUTSTANDING PCT.
PRINCIPAL OF
RANGE OF COUPONS COUNT BALANCE TOTAL
- ---------------------------- --------------- -------------- -----------
7.19 - 8 65 $6,139,156.67 0.75%
8.01 - 9 654 51,314,601.31 6.27
9.01 - 10 2,305 171,654,391.07 20.98
10.01 - 11 3,402 228,875,601.35 27.98
11.01 -12 2,730 168,525,559.24 20.6
12.01 -13 1,992 105,949,992.78 12.95
13.01 - 14 1,125 50,364,354.97 6.16
14.01 - 15 592 23,804,703.61 2.91
15.01 - 16 179 6,447,275.27 0.79
16.01 - 17 134 3,752,100.51 0.46
17.01 - 18 37 1,127,181.49 0.14
18.01 - 19 3 111,966.35 0.01
19.01 - 19.99 1 66,497.09 0.01
- ---------------------------- -------------- --------------- -----------
Total: 13,219 $818,133,381.71 100
- ---------------------------- -------------- --------------- -----------
Min: 7.19
Max: 19.99
WAC: 11.09
RANGE OF OUTSTANDING PCT.
REMAINING PRINCIPAL OF
TERMS TO MATURITY COUNT BALANCE TOTAL
- ---------------------------- --------------- --------------- -----------
52 - 60 months 44 1,065,565.82 0.13%
61 - 120 512 14,870,601.49 1.82
121 - 180 8,409 510,947,025.94 62.45
181 - 240 1,897 109,365,128.87 13.37
241 - 300 95 6,098,018.34 0.75
301 - 360 2,262 175,787,041.25 21.49
- ---------------------------- --------------- --------------- -----------
Total: 13,219 $818,133,381.71 100
- ---------------------------- --------------- --------------- -----------
Min: 52
Max: 360
Weighted Average: 225
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
RANGE OF OUTSTANDING PCT.
ORIGINAL PRINCIPAL OF
TERMS TO MATURITY COUNT BALANCE TOTAL
- ---------------------------- ---------------- -------------- -----------
60 - 60 months 44 1,065,565.82 0.13%
61 - 120 512 14,870,601.49 1.82
121 - 180 8,409 510,947,025.94 62.45
181 - 240 1,897 109,365,128.87 13.37
241 - 300 95 6,098,018.34 0.75
301 - 360 2,262 175,787,041.25 21.49
- ---------------------------- ---------------- -------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- ---------------- -------------- -----------
Min: 60
Max: 360
Weighted Average: 226
OUTSTANDING PCT.
RANGE OF PRINCIPAL OF
SEASONING COUNT BALANCE TOTAL
- ---------------------------- --------------- --------------- -----------
*= 0 months 2,607 168,575,116.48 20.60%
1 - 12 10,603 648,857,294.56 79.31
13 - 24 8 620,398.95 0.08
25 - 25 1 80,571.72 0.01
- ---------------------------- --------------- ------------ -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- --------------- --------------- -----------
Min: 0
Max: 25
WEIGHTED AVERAGE: 1
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
OUTSTANDING PCT.
RANGE OF PRINCIPAL OF
ORIGINAL LTV COUNT BALANCE TOTAL
- --------------------- ------------------- ------------- -----------
5.00 - 5 1 $11,341.14 0.00%
5.01 - 10 86 1,574,671.19 0.19
10.01 - 15 317 7,435,222.31 0.91
15.01 - 20 395 11,122,143.45 1.36
20.01 - 25 367 11,906,168.08 1.46
25.01 - 30 323 10,824,614.11 1.32
30.01 - 35 266 9,430,062.98 1.15
35.01 - 40 238 8,846,231.67 1.08
40.01 - 45 270 11,794,978.64 1.44
45.01 - 50 406 14,898,623.57 1.82
50.01 - 55 313 13,995,290.31 1.71
55.01 - 60 546 25,903,511.57 3.17
60.01 - 65 761 40,701,178.05 4.97
65.01 - 70 1,082 62,418,419.06 7.63
70.01 - 75 1,464 94,897,082.11 11.6
75.01 - 80 3,127 219,989,239.25 26.89
80.01 - 85 1,948 153,202,473.75 18.73
85.01 - 90 1,305 118,761,790.04 14.52
90.01 - 95 2 186,897.08 0.02
95.01 - 100 2 233,443.35 0.03
- --------------------- ----------------- --------------- -----------
Total: 13,219 818,133,381.71 100
- --------------------- ----------------- --------------- -----------
Min: 5
Max: 100
Weighted Average: 73.56
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
OUTSTANDING PCT.
PRINCIPAL OF
ORIGINAL CLTV COUNT BALANCE TOTAL
- ------------------------ -------------- ----------------- -----------
7.30 - 10 5 $121,742.84 0.01%
10.01 - 15 22 514,805.22 0.06
15.01 - 20 44 1,315,511.78 0.16
20.01 - 25 57 1,484,210.57 0.18
25.01 - 30 99 2,528,731.84 0.31
30.01 - 35 130 4,027,640.90 0.49
35.01 - 40 177 6,060,558.77 0.74
40.01 - 45 229 9,478,045.09 1.16
45.01 - 50 420 15,046,743.30 1.84
50.01 - 55 300 12,633,052.22 1.54
55.01 - 60 574 26,605,436.84 3.25
60.01 - 65 808 42,276,216.06 5.17
65.01 - 70 1,190 65,230,537.96 7.97
70.01 - 75 1,656 100,289,102.10 12.26
75.01 - 80 3,592 236,291,391.09 28.88
80.01 - 85 2,449 168,149,400.63 20.55
85.01 - 90 1,429 123,612,015.40 15.11
90.01 - 95 26 1,928,247.54 0.24
95.01 - 100 11 448,242.86 0.05
100.01 - 103.66 1 91,748.70 0.01
- ------------------ ------ --------------- --------
Total: 13,219 818,133,381.71 100
- ------------------ ------ --------------- --------
Min: 7.3
Max: 103.66
Weighted Average: 76.7
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
OUTSTANDING PCT.
PRINCIPAL OF
JUNIOR LIEN RATIO COUNT BALANCE TOTAL
- ---------------------------- ------------- ---------------- -----------
*= 0 11,619 $765,511,223.11 93.57%
5.01 - 10 9 128,828.87 0.02
10.01 - 15 106 2,072,753.60 0.25
15.01 - 20 250 5,785,566.94 0.71
20.01 - 25 279 7,417,275.04 0.91
25.01 - 30 245 7,689,233.96 0.94
30.01 - 35 189 6,803,484.24 0.83
35.01 - 40 159 5,845,688.97 0.71
40.01 - 45 101 4,138,643.87 0.51
45.01 - 50 57 2,349,445.72 0.29
50.01 - 55 51 2,922,985.99 0.36
55.01 - 60 30 1,214,798.81 0.15
60.01 - 65 26 1,239,474.13 0.15
65.01 - 70 29 1,281,347.54 0.16
70.01 - 75 23 1,015,823.51 0.12
75.01 - 80 20 1,018,277.81 0.12
80.01 - 85 13 729,232.51 0.09
85.01 - 90 5 331,644.88 0.04
90.01 - 95 6 491,120.01 0.06
95.01 - 98.26 2 146,532.20 0.02
- ---------------------------- ---------------- ------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- ---------------- ------------- -----------
Min: 0.00
Max: 98.26
Weighted Average: 36.52*
* For Second Liens Only
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
RANGE OF OUTSTANDING PCT.
DEBT TO INCOME PRINCIPAL OF
RATIO COUNT BALANCE TOTAL
- ---------------------------- ------------------------------- -----------
2.00 - 5 18 $1,292,234.14 0.16%
5.01 - 10 93 3,137,720.75 0.38
10.01 - 15 357 15,027,606.23 1.84
15.01 - 20 744 34,381,841.90 4.2
20.01 - 25 1,191 61,430,836.30 7.51
25.01 - 30 1,431 77,359,440.63 9.46
30.01 - 35 1,786 104,559,469.78 12.78
35.01 - 40 2,066 131,954,030.28 16.13
40.01 - 45 2,314 155,959,656.85 19.06
45.01 - 50 2,783 198,363,224.19 24.25
50.01 - 55 404 32,036,925.68 3.92
55.01 - 60 25 2,118,288.91 0.26
60.01 - 65 3 268,675.68 0.03
65.01 - 70 1 144,493.71 0.02
70.01 - 75 2 62,936.68 0.01
90.01 - 94 1 36,000.00 0
- ---------------------------- ------------------------------- -----------
TOTAL: 13,219 818,133,381.71 100
- ---------------------------- ------------------------------- -----------
Min: 2.00
Max: 94.00
Weighted Average: 37.95
- ---------------------------- ------------------------------- -----------
OUTSTANDING PCT.
PRINCIPAL OF
DAYS DELINQUENT COUNT BALANCE TOTAL
- ---------------------------- ------------------------------- -----------
0 12,893 798,852,302.65 97.64
30 310 18,315,605.64 2.24
60 16 965,473.42 0.12
- ---------------------------- ------------------------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- ------------------------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
OUTSTANDING PCT.
PRINCIPAL OF
PRODUCT TYPE COUNT BALANCE TOTAL
- ---------------------------- ------------------------------ -----------
05/30 Balloon 1 77,329.98 0.01
12.5/30 Balloon 1 123,250.00 0.02
15/20 Balloon 6 277,227.86 0.03
15/25 Balloon 1 86,574.24 0.01
15/30 Balloon 5,775 398,128,529.71 48.66
20/30 Balloon 1 44,837.82 0.01
Fixed 7,434 419,395,632.10 51.26
- ---------------------------- ------------------------------ -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- ------------------------------ -----------
OUTSTANDING PCT.
PRINCIPAL OF
LIEN POSITION COUNT BALANCE TOTAL
- ---------------------------- ------------------------------- -----------
1st Lien 11,619 765,511,223.11 93.57
2nd Lien 1,600 52,622,158.60 6.43
- ---------------------------- ------------------------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- ------------------------------- -----------
OUTSTANDING PCT.
PRINCIPAL OF
BALLOON COUNT BALANCE TOTAL
- ---------------------------- ------------------------------- -----------
Non-Balloon 7,434 419,395,632.10 51.26
Balloon 5,785 398,737,749.61 48.74
- ---------------------------- ------------------------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- ------------------------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
OUTSTANDING PCT.
PROPERTY PRINCIPAL OF
TYPE COUNT BALANCE TOTAL
- ------------------------- ---------------------------------- -----------
2 Units 557 38,337,728.87 4.69%
3-4 Units 185 15,474,387.72 1.89
Condo High-Rise 11 405,811.26 0.05
Condo Low-Rise 88 4,688,993.56 0.57
Manufactured 316 16,433,428.88 2.01
Housing
Mixed Use 31 3,525,959.18 0.43
PUD 104 10,183,236.36 1.24
Single Family 350 17,295,375.60 2.11
Attached
Single Family 11,577 711,788,460.28 87
Detached
- ------------------------- ---------------------------------- -----------
Total: 13,219 818,133,381.71 100
- ------------------------- ---------------------------------- -----------
OUTSTANDING PCT.
PRINCIPAL OF
LOAN PURPOSE COUNT BALANCE TOTAL
- --------------------------- -------------------------------- -----------
Debt Consolidation 9,712 597,211,361.17 73
Other 2,148 127,824,695.21 15.62
Purchase 1,029 76,009,708.55 9.29
Home Improvement 273 13,866,544.58 1.69
Debt Con & HI Combo 57 3,221,072.20 0.39
- --------------------------- -------------------------------- -----------
Total: 13,219 818,133,381.71 100
- --------------------------- -------------------------------- -----------
OUTSTANDING PCT.
OCCUPANCY PRINCIPAL OF
STATUS COUNT BALANCE TOTAL
- ---------------------------- ------------------------------- -----------
Non-owner 775 37,732,980.51 4.61
Primary 12,444 780,400,401.20 95.39
- ---------------------------- ------------------------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- ------------------------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
OUTSTANDING PCT.
PRINCIIPAL OF
STATES COUNT BALANCE TOTAL
Alaska 1 $25,000.00 0.00%
Arizona 133 7,250,113.97 0.89
Arkansas 37 1,702,474.03 0.21
California 283 25,367,828.82 3.1
Colorado 140 10,068,614.54 1.23
Connecticut 110 9,490,071.77 1.16
Delaware 34 2,361,539.03 0.29
District of Columbia 26 1,932,873.75 0.24
Florida 986 58,544,260.46 7.16
Georgia 378 23,506,921.46 2.87
Hawaii 13 2,172,360.16 0.27
Idaho 23 1,526,598.66 0.19
Illinois 1,137 72,801,860.66 8.9
Indiana 936 45,138,085.10 5.52
Iowa 35 1,633,225.86 0.2
Kansas 49 2,366,827.17 0.29
Kentucky 276 15,281,055.66 1.87
Louisiana 134 6,802,352.89 0.83
Maine 16 1,213,564.95 0.15
Maryland 313 21,966,258.69 2.68
Massachusetts 255 21,907,573.88 2.68
Michigan 1,582 81,530,526.36 9.97
Minnesota 129 8,672,224.31 1.06
Mississippi 105 5,321,988.91 0.65
Missouri 305 15,027,270.91 1.84
Montana 5 329,233.70 0.04
Nebraska 43 1,957,903.47 0.24
Nevada 48 3,874,050.72 0.47
New Hampshire 37 3,299,259.12 0.4
New Jersey 485 47,227,800.78 5.77
New Mexico 98 5,156,922.38 0.63
New York 533 44,000,091.79 5.38
North Carolina 881 51,371,988.81 6.28
Ohio 1,325 78,284,504.23 9.57
Oklahoma 50 2,230,315.56 0.27
Oregon 75 5,784,732.53 0.71
Pennsylvania 888 51,507,967.68 6.3
Rhode Island 79 6,085,307.74 0.74
South Carolina 237 11,879,198.07 1.45
South Dakota 1 32,700.00 0
Tennessee 234 14,674,022.48 1.79
Texas 138 8,824,505.05 1.08
Utah 97 6,189,544.14 0.76
Vermont 1 25,580.76 0
Virginia 234 12,934,061.85 1.58
Washington 101 7,841,250.78 0.96
West Virginia 23 1,230,303.62 0.15
Wisconsin 164 9,489,111.79 1.16
Wyoming 6 291,552.66 0.04
- ---------------------------- ------ -------------- -----
Total: 13,219 818,133,381.71 100
- ---------------------------- ------ -------------- -----
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
OUTSTANDING PCT.
PRINCIPAL OF
DOCUMENTATION LEVEL COUNT BALANCE TOTAL
- ---------------------------- ------------------------------- -----------
Standard Documentation 11,156 673,441,337.54 82.31
FNMA Documentation 837 58,252,666.72 7.12
Limited Documentation 684 50,387,849.88 6.16
No Documentation 540 35,794,018.52 4.38
Mixed Use 2 257,509.05 0.03
- ---------------------------- ------------------------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- ------------------------------- -----------
OUTSTANDING PCT.
PRINCIPAL OF
CREDIT RATING COUNT BALANCE TOTAL
- ---------------------------- ------------------------------- -----------
A1 837 $58,252,666.72 7.12%
A2 5,326 360,744,240.45 44.09
A3 461 34,972,426.84 4.27
A4 253 19,818,829.32 2.42
B1 2,918 171,554,870.72 20.97
B3 131 10,002,770.36 1.22
B4 137 8,720,841.64 1.07
C1 2,285 116,362,134.08 14.22
C3 73 4,849,650.12 0.59
C4 116 5,788,355.18 0.71
D1 627 24,780,092.29 3.03
D3 19 563,002.56 0.07
D4 34 1,465,992.38 0.18
MU 2 257,509.05 0.03
- ---------------------------- ------------------------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- ------------------------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
RANGE OF OUTSTANDING PCT.
OUTSTANDING PRINCIPAL OF
PRINCIPAL BALANCE COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
$ 10,000.00 - 25,000.00 45 $980,351.00 0.31%
25,000.01 - 50,000.00 587 23,200,873.85 7.25
50,000.01 - 75,000.00 875 54,575,708.12 17.06
75,000.01 - 100,000.00 655 57,453,522.20 17.96
100,000.01 - 125,000.00 459 51,605,348.29 16.13
125,000.01 - 150,000.00 299 40,633,778.82 12.7
150,000.01 - 175,000.00 143 23,220,799.89 7.26
175,000.01 - 200,000.00 98 18,313,525.33 5.72
200,000.01 - 225,000.00 69 14,582,108.14 4.56
225,000.01 - 250,000.00 30 7,196,254.42 2.25
250,000.01 - 275,000.00 23 5,963,920.33 1.86
275,000.01 - 300,000.00 25 7,209,795.76 2.25
300,000.01 - 325,000.00 15 4,697,067.00 1.47
325,000.01 - 350,000.00 14 4,728,899.88 1.48
350,000.01 - 375,000.00 3 1,113,886.35 0.35
375,000.01 - 400,000.00 6 2,340,247.40 0.73
400,000.01 - 425,000.00 2 826,041.78 0.26
425,000.01 - 435,000.00 3 1,300,647.95 0.41
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min: 10,000
Max: 435,000
Average: 95,477
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
OUTSTANDING PCT.
RANGE OF PRINCIPAL OF
CURRENT COUPONS COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
6.50 - 7 6 573,487.32 0.18%
7.01 - 8 35 3,562,593.66 1.11
8.01 - 9 279 31,682,103.72 9.9
9.01 - 10 922 98,827,973.29 30.89
10.01 - 11 1,213 115,384,741.60 36.06
11.01 - 12 641 52,114,430.81 16.29
12.01 - 13 161 11,850,175.42 3.7
13.01 - 14 66 4,471,665.23 1.4
14.01 - 15 25 1,348,179.01 0.42
15.01 - 16.0 2 89,480.31 0.03
16.01 - 16.5 1 37,946.14 0.01
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min: 6.50
Max: 16.50
WAC: 10.33
- ---------------------------- -------------- ----------------- -----------
RANGE OF OUTSTANDING PCT.
ORIGINAL PRINCIPAL OF
TERMS TO MATURITY COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
180 months 6 316,116.43 0.10%
181 - 240 2 162,801.62 0.05
301 - 360 3,343 319,463,858.46 99.85
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min: 180
Max: 360
Weighted Average: 360
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
RANGE OF OUTSTANDING PCT.
REMAINING PRINCIPAL OF
TERMS TO MATURITY COUNT BALANCE TOTAL
- ---------------------------------------------------- -----------
178 - 180 months 6 316,116.43 0.10%
181 - 240 2 162,801.62 0.05
301 - 360 3,343 319,463,858.46 99.85
- ---------------------------------------------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------------------------------- -----------
Min: 178
Max: 360
Weighted Average: 358
- ---------------------------------------------------- -----------
OUTSTANDING PCT.
RANGE OF PRINCIPAL OF
SEASONING COUNT BALANCE TOTAL
- -------------------------------------------------------- -----------
0 months 643 60,899,592.75 19.03%
1 - 12 2,702 258,554,970.81 80.81
13 - 16 6 488,212.95 0.15
- -------------------------------------------------------- -----------
TOTAL: 3,351 319,942,776.51 100
- -------------------------------------------------------- -----------
Min: 0
Max: 16
Weighted Average: 1
- -------------------------------------------------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
OUTSTANDING PCT.
RANGE OF PRINCIPAL OF
ORIGINAL LTV COUNT BALANCE TOTAL
- -------------------------------------------------------------------
9.00 - 10 1 $10,000.00 0.00%
10.01 - 15 2 99,851.11 0.03
15.01 - 20 1 19,991.79 0.01
20.01 - 25 8 283,794.45 0.09
25.01 - 30 10 855,880.36 0.27
30.01 - 35 9 816,136.29 0.26
35.01 - 40 12 750,706.83 0.23
40.01 - 45 18 1,267,242.16 0.4
45.01 - 50 48 3,248,254.85 1.02
50.01 - 55 52 3,120,660.50 0.98
55.01 - 60 100 6,782,256.35 2.12
60.01 - 65 173 13,060,510.71 4.08
65.01 - 70 298 23,305,622.19 7.28
70.01 - 75 488 46,401,698.15 14.5
75.01 - 80 917 90,771,290.97 28.37
80.01 - 85 589 56,727,536.05 17.73
85.01 - 90 622 72,086,962.69 22.53
90.01 - 95 1 107,062.22 0.03
95.01 - 100 2 227,318.84 0.07
- -----------------------------------------------------------------------
Total: 3,351 319,942,776.51 100
- -----------------------------------------------------------------------
Min: 9.00
Max: 100.00
Weighted Average: 79.15
- -----------------------------------------------------------------------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
RANGE OF OUTSTANDING PCT.
DEBT TO INCOME PRINCIPAL OF
RATIO COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
3.00 - 5 9 $1,096,380.60 0.34%
5.01 - 10 14 1,092,482.99 0.34
10.01 - 15 74 4,537,670.78 1.42
15.01 - 20 160 11,138,364.82 3.48
20.01 - 25 226 17,930,010.25 5.6
25.01 - 30 352 28,810,685.96 9
30.01 - 35 419 37,122,336.85 11.6
35.01 - 40 535 52,641,987.54 16.45
40.01 - 45 665 68,962,494.89 21.55
45.01 - 50 678 71,555,716.49 22.37
50.01 - 55 194 22,073,074.76 6.9
55.01 - 60 21 2,706,073.02 0.85
60.01 - 65 2 140,436.58 0.04
65.01 - 70 1 65,100.00 0.02
70.01 - 72 1 69,960.98 0.02
- ---------------------------- -------------- -----------------------------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- -----------------------------
Min: 3.00
Max: 72.00
Weighted Average: 39
- ---------------------------- -------------- -----------------------------
OUTSTANDING PCT.
PRINCIPAL OF
DAYS DELINQUENT COUNT BALANCE TOTAL
- ---------------------------- -------------- -----------------------------
0 Days 3,236 309,064,981.60 96.6
30 Days 112 10,447,565.57 3.27
60 Days 3 430,229.34 0.13
- ---------------------------- -------------- -----------------------------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- -----------------------------
OUTSTANDING PCT.
PRINCIPAL OF
INDEX TYPE COUNT BALANCE TOTAL
- ---------------------------- -------------- -----------------------------
6 Month LIBOR 3,351 319,942,776.51 100
- ---------------------------- -------------- -----------------------------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- -----------------------------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
OUTSTANDING PCT.
PRINCIPAL OF
PRODUCT TYPE COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
ARM - 2 Year/6 Month 2,365 221,131,863.06 69.12
ARM - 3 Year/6 Month 378 39,893,939.97 12.47
ARM - 6 Month 606 58,803,067.24 18.38
ARM - Balloon 2 113,906.24 0.04
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
OUTSTANDING PCT.
PRINCIPAL OF
LIEN POSITION COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
1st Lien 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
OUTSTANDING PCT.
PRINCIPAL OF
BALLOON COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
Balloon 2 113,906.24 0.04
Fully Amortizing 3,349 319,828,870.27 99.96
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
OUTSTANDING PCT.
PROPERTY PRINCIPAL OF
TYPE COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
Single Family Detached 2,943 280,980,855.17 87.82%
PUD 92 11,049,730.87 3.45
2 Units 112 9,799,358.02 3.06
3-4 Units 69 7,607,114.11 2.38
Condo Low-Rise 49 3,990,345.40 1.25
Manufactured Housing 44 3,135,341.99 0.98
Single Family Attached 37 3,021,659.59 0.94
Condo High-Rise 4 275,121.36 0.09
Mixed Use 1 83,250.00 0.03
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
OUTSTANDING PCT.
PRINCIPAL OF
LOAN PURPOSE COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
Debt Consolidation 1,587 146,525,667.88 45.8
Purchase 996 98,093,118.23 30.66
Other 715 70,202,659.49 21.94
Debt Con & HI Combo 25 2,674,959.49 0.84
Home Improvement 28 2,446,371.42 0.76
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
OUTSTANDING PCT.
OCCUPANCY PRINCIPAL OF
STATUS COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
Primary 3,170 307,449,122.88 96.1
Non-owner 181 12,493,653.63 3.9
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
OUTSTANDING PCT.
PRINCIPAL OF
DOCUMENTATION LEVEL COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
Standard Documentation 2,756 253,004,244.95 79.08
No Documentation 341 36,053,706.85 11.27
Limited Documentation 224 27,545,636.09 8.61
FNMA Documentation 30 3,339,188.62 1.04
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
OUTSTANDING PCT.
PRINCIPAL OF
STATES COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
Arizona 140 $11,541,275.09 3.61%
Arkansas 4 462,436.31 0.14
California 363 48,336,081.77 15.11
Colorado 119 13,716,149.27 4.29
Connecticut 51 4,565,839.04 1.43
Delaware 6 582,715.88 0.18
District of Columbia 5 562,235.68 0.18
Florida 222 20,984,159.52 6.56
Georgia 61 6,111,451.26 1.91
Hawaii 12 2,487,715.47 0.78
Idaho 37 3,027,070.75 0.95
Illinois 162 14,855,823.96 4.64
Indiana 91 5,886,503.85 1.84
Iowa 15 863,464.49 0.27
Kansas 21 1,596,714.97 0.5
Kentucky 36 2,972,514.97 0.93
Louisiana 26 2,347,037.62 0.73
Maine 4 639,456.32 0.2
Maryland 37 3,130,359.27 0.98
Massachusetts 59 7,014,530.88 2.19
Michigan 493 42,066,800.04 13.15
Minnesota 63 4,237,061.90 1.32
Mississippi 4 220,371.33 0.07
Missouri 67 5,390,897.54 1.68
Montana 12 1,320,726.72 0.41
Nebraska 6 541,046.11 0.17
Nevada 42 4,913,236.58 1.54
New Hampshire 7 736,834.25 0.23
New Jersey 31 3,687,781.61 1.15
New Mexico 41 3,264,287.39 1.02
New York 21 2,231,761.36 0.7
North Carolina 62 4,966,750.63 1.55
Ohio 239 17,135,346.14 5.36
Oklahoma 21 1,587,048.48 0.5
Oregon 68 6,908,094.93 2.16
Pennsylvania 92 7,625,505.45 2.38
Rhode Island 29 2,728,685.63 0.85
South Carolina 20 1,911,096.67 0.6
South Dakota 3 298,236.58 0.09
Tennessee 23 1,893,041.86 0.59
Texas 154 15,091,334.57 4.72
Utah 127 14,022,913.18 4.38
Virginia 26 2,267,895.59 0.71
Washington 184 19,771,881.99 6.18
West Virginia 12 1,014,894.49 0.32
Wisconsin 29 2,132,136.07 0.67
Wyoming 4 293,573.05 0.09
- -------------------------- ----- -------------- ------
Total: 3,351 319,942,776.51 100
- -------------------------- ----- -------------- ------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
OUTSTANDING PCT.
PRINCIPAL OF
CREDIT RATING COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
A1 30 $3,339,188.62 1.04%
A2 1,428 147,091,675.15 45.97
A3 151 19,171,309.95 5.99
A4 215 24,930,129.82 7.79
B1 754 64,601,855.70 20.19
B3 48 6,251,640.21 1.95
B4 65 6,559,330.33 2.05
C1 475 35,745,777.01 11.17
C3 19 1,683,655.74 0.53
C4 37 2,827,648.63 0.88
D1 99 5,564,937.09 1.74
D3 6 439,030.19 0.14
D4 24 1,736,598.07 0.54
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
OUTSTANDING PCT.
RANGE OF PRINCIPAL OF
MARGINS COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
2.50 - 5 201 21,451,213.54 6.70%
5.01 - 10 3,143 297,907,717.28 93.11
10.01 - 11.1 7 583,845.69 0.18
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min: 2.50
Max: 11.10
Weighted Average: 6.22
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
INITIAL OUTSTANDING PCT.
PERIODIC PRINCIPAL OF
CAP COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
1.00% 595 $57,817,106.93 18.07%
1.5 163 15,923,355.00 4.98
2 55 4,811,028.06 1.5
2.88 1 111,951.76 0.03
3 2,509 238,515,345.53 74.55
6 18 1,664,779.32 0.52
7 10 1,099,209.91 0.34
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min: 1.00
Max: 7.00
Weighted Average: 2.58
- ---------------------------- -------------- ----------------- -----------
OUTSTANDING PCT.
PERIODIC PRINCIPAL OF
RATE CAP COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
1.00% 3,051 $290,542,945.24 90.81%
1.5 285 28,198,891.29 8.81
2 1 41,984.69 0.01
3 13 1,101,597.68 0.34
6 1 57,357.61 0.02
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min: 1.00
Max: 6.00
Weighted Average: 1.05
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
OUTSTANDING PCT.
PRINCIPAL OF
MAXIMUM RATE COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
12.5 - 13 4 307,388.66 0.10%
13.01 - 14 25 2,594,610.48 0.81
14.01 - 15 186 21,357,910.71 6.68
15.01 - 16 810 88,615,708.45 27.7
16.01 - 17 1,195 114,619,909.01 35.83
17.01 - 18 756 64,277,851.58 20.09
18.01 - 19 237 18,329,986.47 5.73
19.01 - 20 98 7,558,361.55 2.36
20.01 - 21 32 1,952,388.31 0.61
21.01 - 22 6 260,940.66 0.08
22.01 - 23 1 29,774.49 0.01
23.01 - 23.5 1 37,946.14 0.01
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min: 12.50
Max: 23.50
Weighted Average: 16.56
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
OUTSTANDING PCT.
PRINCIPAL OF
MINIMUM RATE COUNT BALANCE TOTAL
- ---------------------------- -------------- ----------------- -----------
6.5 - 7.00% 6 573,487.32 0.18%
7.01 - 8 35 3,562,593.66 1.11
8.01 - 9 284 32,273,677.11 10.09
9.01 - 10 913 97,545,927.10 30.49
10.01 - 11 1,206 114,529,744.33 35.8
11.01 - 12 639 51,921,075.18 16.23
12.01 - 13 164 12,060,976.60 3.77
13.01 - 14 63 4,333,645.42 1.35
14.01 - 15 34 2,679,793.05 0.84
15.01 - 16 5 381,910.60 0.12
16.01 - 17 2 79,946.14 0.02
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min.6.50
Max: 16.50
Weighted Average: 10.35
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
NEXT RATE OUTSTANDING PCT.
ADJUSTMENT PRINCIPAL OF
DATE COUNT BALANCE TOTAL
- ------------------------------------------ ----------------- -----------
1998-01 42 $4,125,112.99 1.29%
1998-02 75 6,944,568.95 2.17
1998-03 196 19,747,023.07 6.17
1998-04 200 19,228,304.80 6.01
1998-05 78 7,270,905.60 2.27
1998-06 10 799,569.54 0.25
1998-11 5 687,582.29 0.21
1999-01 1 161,060.72 0.05
1999-02 2 323,526.19 0.1
1999-03 1 171,339.45 0.05
1999-04 3 188,678.37 0.06
1999-05 3 324,289.52 0.1
1999-06 21 2,537,460.46 0.79
1999-07 60 4,908,442.32 1.53
1999-08 176 15,658,022.83 4.89
1999-09 711 64,542,378.79 20.17
1999-10 979 93,947,648.16 29.36
1999-11 407 38,181,252.49 11.93
1999-12 3 301,670.00 0.09
2000-03 1 249,541.11 0.08
2000-05 1 69,204.58 0.02
2000-06 1 60,297.09 0.02
2000-07 5 493,653.71 0.15
2000-08 19 1,630,339.53 0.51
2000-09 100 10,596,260.18 3.31
2000-10 165 16,975,604.77 5.31
2000-11 86 9,819,039.00 3.07
- --------------------------------------------------------------------------------
Total: 3,351 319,942,776.51 100
- --------------------------------------------------------------------------------
Min (in months): 2
Max: 36
Weighted Average: 20.78
- --------------------------------------------------------------------------------
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5 CLASS A-1
PRICE-MEY SENSIVITY REPORT
Settlement 12/23/97
Next Payment 01/15/98
Class Balance $103,340,000
Dated Date 12/23/97
Accrued Days 0
Cleanup Call 0%
Pricing Speed (FRMs/Arms) 130% Base PPC/30% CPR
100% Base PPC 4%-20% CPR over 12 Months
Flat/FRM 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
Price/ARM 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
============================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
99-24 6.549% 6.712% 6.874% 7.031% 7.099% 7.189% 7.464%
99-24+ 6.509% 6.662% 6.814% 6.960% 7.025% 7.108% 7.367%
99-25 6.469% 6.611% 6.753% 6.890% 6.950% 7.028% 7.269%
99-25+ 6.428% 6.561% 6.693% 6.820% 6.875% 6.948% 7.172%
99-26 6.388% 6.510% 6.632% 6.749% 6.801% 6.868% 7.074%
99-26+ 6.348% 6.460% 6.571% 6.679% 6.726% 6.787% 6.977%
99-27 6.308% 6.410% 6.511% 6.609% 6.651% 6.707% 6.879%
99-27+ 6.268% 6.359% 6.450% 6.538% 6.577% 6.627% 6.782%
99-28 6.227% 6.309% 6.390% 6.468% 6.502% 6.547% 6.684%
99-28+ 6.187% 6.259% 6.329% 6.398% 6.428% 6.467% 6.587%
99-29 6.147% 6.208% 6.269% 6.327% 6.353% 6.387% 6.490%
99-29+ 6.107% 6.158% 6.208% 6.257% 6.279% 6.307% 6.392%
99-30 6.067% 6.107% 6.148% 6.187% 6.204% 6.226% 6.295%
99-30+ 6.027% 6.057% 6.087% 6.117% 6.130% 6.146% 6.198%
99-31 5.986% 6.007% 6.027% 6.047% 6.055% 6.066% 6.101%
99-31+ 5.946% 5.957% 5.967% 5.976% 5.981% 5.986% 6.003%
100-00 5.906% 5.906% 5.906% 5.906% 5.906% 5.906% 5.906%
100-00+ 5.866% 5.856% 5.846% 5.836% 5.832% 5.826% 5.809%
100-01 5.826% 5.806% 5.785% 5.766% 5.757% 5.746% 5.712%
100-01+ 5.786% 5.755% 5.725% 5.696% 5.683% 5.666% 5.615%
100-02 5.746% 5.705% 5.665% 5.626% 5.609% 5.586% 5.518%
100-02+ 5.706% 5.655% 5.604% 5.556% 5.534% 5.506% 5.421%
100-03 5.666% 5.605% 5.544% 5.486% 5.460% 5.427% 5.324%
100-03+ 5.626% 5.555% 5.484% 5.416% 5.386% 5.347% 5.227%
100-04 5.586% 5.504% 5.424% 5.346% 5.311% 5.267% 5.130%
100-04+ 5.546% 5.454% 5.363% 5.276% 5.237% 5.187% 5.033%
100-05 5.506% 5.404% 5.303% 5.206% 5.163% 5.107% 4.936%
100-05+ 5.466% 5.354% 5.243% 5.136% 5.089% 5.027% 4.839%
100-06 5.426% 5.304% 5.183% 5.066% 5.014% 4.948% 4.742%
100-06+ 5.386% 5.254% 5.122% 4.996% 4.940% 4.868% 4.645%
100-07 5.346% 5.203% 5.062% 4.926% 4.866% 4.788% 4.548%
100-07+ 5.306% 5.153% 5.002% 4.856% 4.792% 4.708% 4.451%
100-08 5.266% 5.103% 4.942% 4.786% 4.718% 4.629% 4.355%
===========================================================================================================================
WAL (yr) 0.39 0.31 0.26 0.22 0.21 0.19 0.16
First Prin Pay 01/15/98 01/15/98 01/15/98 01/15/98 01/15/98 01/15/98 01/15/98
Last Prin Pay 08/15/98 07/15/98 06/15/98 05/15/98 05/15/98 04/15/98 03/15/98
MDUR (yr) 0.38 0.30 0.25 0.21 0.20 0.19 0.15
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price/yield.
Maturity and Last Principal Dates may be distorted by
the use of collateral pool WAMs.
These Computational Materials should be
accompanied by a one page disclaimer
which must be read in its entirety by
the addressee of this communication. If
such disclaimer is not attached hereto,
please contact Greenwich Capital
Markets, Inc.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5 CLASS A-2
PRICE-DM SENSIVITY REPORT
Settlement 12/23/97
Next Payment 01/15/98
Class Balance $675,000,000
Dated Date 12/23/97
Pass-Thru Margin 0.17%
Accrued Days 0
Cleanup Call 10%
Pricing Speed (FRMs/Arms) 130% Base PPC/30% CPR
100% Base PPC 4%-20% CPR over 12 Months
Flat/FRM 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
Price/ARM 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
==================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
99-24 0.260% 0.291% 0.321% 0.348% 0.348% 0.348% 0.367%
99-24+ 0.254% 0.283% 0.312% 0.336% 0.336% 0.336% 0.354%
99-25 0.249% 0.275% 0.302% 0.325% 0.325% 0.325% 0.342%
99-25+ 0.243% 0.268% 0.293% 0.314% 0.314% 0.314% 0.330%
99-26 0.237% 0.260% 0.283% 0.303% 0.303% 0.303% 0.318%
99-26+ 0.232% 0.253% 0.274% 0.292% 0.292% 0.292% 0.305%
99-27 0.226% 0.245% 0.264% 0.281% 0.281% 0.281% 0.293%
99-27+ 0.220% 0.238% 0.255% 0.270% 0.270% 0.270% 0.281%
99-28 0.215% 0.230% 0.245% 0.259% 0.259% 0.259% 0.268%
99-28+ 0.209% 0.223% 0.236% 0.248% 0.248% 0.248% 0.256%
99-29 0.204% 0.215% 0.227% 0.237% 0.237% 0.237% 0.244%
99-29+ 0.198% 0.208% 0.217% 0.225% 0.225% 0.225% 0.231%
99-30 0.192% 0.200% 0.208% 0.214% 0.214% 0.214% 0.219%
99-30+ 0.187% 0.193% 0.198% 0.203% 0.203% 0.203% 0.207%
99-31 0.181% 0.185% 0.189% 0.192% 0.192% 0.192% 0.195%
99-31+ 0.176% 0.178% 0.179% 0.181% 0.181% 0.181% 0.182%
100-00 0.170% 0.170% 0.170% 0.170% 0.170% 0.170% 0.170%
100-00+ 0.164% 0.162% 0.161% 0.159% 0.159% 0.159% 0.158%
100-01 0.159% 0.155% 0.151% 0.148% 0.148% 0.148% 0.145%
100-01+ 0.153% 0.147% 0.142% 0.137% 0.137% 0.137% 0.133%
100-02 0.148% 0.140% 0.132% 0.126% 0.126% 0.126% 0.121%
100-02+ 0.142% 0.132% 0.123% 0.115% 0.115% 0.115% 0.109%
100-03 0.136% 0.125% 0.114% 0.104% 0.104% 0.104% 0.096%
100-03+ 0.131% 0.117% 0.104% 0.092% 0.092% 0.092% 0.084%
100-04 0.125% 0.110% 0.095% 0.081% 0.081% 0.081% 0.072%
100-04+ 0.120% 0.102% 0.085% 0.070% 0.070% 0.070% 0.060%
100-05 0.114% 0.095% 0.076% 0.059% 0.059% 0.059% 0.047%
100-05+ 0.108% 0.087% 0.066% 0.048% 0.048% 0.048% 0.035%
100-06 0.103% 0.080% 0.057% 0.037% 0.037% 0.037% 0.023%
100-06+ 0.097% 0.072% 0.048% 0.026% 0.026% 0.026% 0.011%
100-07 0.092% 0.065% 0.038% 0.015% 0.015% 0.015% -0.002%
100-07+ 0.086% 0.057% 0.029% 0.004% 0.004% 0.004% -0.014%
100-08 0.081% 0.050% 0.019% -0.007% -0.007% -0.007% -0.026%
==================================================================================================================
WAL (yr) 3.10 2.24 1.75 1.47 1.47 1.47 1.32
First Prin Pay 08/15/98 07/15/98 06/15/98 05/15/98 05/15/98 05/15/98 05/15/98
Last Prin Pay 04/15/04 06/15/02 06/15/01 10/15/00 10/15/00 10/15/00 05/15/00
MDUR (yr) 2.68 2.00 1.59 1.35 1.35 1.35 1.22
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price/yield.
Maturity and Last Principal Dates may be distorted by
the use of collateral pool WAMs.
These Computational Materials should be
accompanied by a one page disclaimer
which must be read in its entirety by
the addressee of this communication. If
such disclaimer is not attached hereto,
please contact Greenwich Capital
Markets, Inc.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5 CLASS A-3
PRICE-YIELD SENSIVITY REPORT
Settlement 12/23/97
Class Balance $63,000,000
Cut-off Date 12/16/97
Bond Coupon 6.40%
Next Payment Date 01/15/98
Accrued Interest Days 7
Pricing Speed (Fixed/Arms) 130% Base PPC/30% CPR
100% Base PPC 4%-20% CPR over 12 Months
Flat/FRM 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
Price/ARM 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
=====================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
99-24 6.486 6.486 6.487 6.487 6.487 6.487 6.487
99-24+ 6.483 6.483 6.482 6.481 6.481 6.481 6.480
99-25 6.480 6.479 6.477 6.475 6.475 6.475 6.473
99-25+ 6.477 6.475 6.472 6.469 6.469 6.469 6.466
99-26 6.475 6.471 6.467 6.464 6.464 6.464 6.459
99-26+ 6.472 6.467 6.462 6.458 6.458 6.458 6.452
99-27 6.469 6.463 6.457 6.452 6.452 6.452 6.445
99-27+ 6.466 6.459 6.452 6.446 6.446 6.446 6.438
99-28 6.463 6.455 6.447 6.441 6.441 6.441 6.431
99-28+ 6.460 6.451 6.442 6.435 6.435 6.435 6.424
99-29 6.457 6.447 6.438 6.429 6.429 6.429 6.417
99-29+ 6.454 6.444 6.433 6.423 6.423 6.423 6.410
99-30 6.451 6.440 6.428 6.418 6.418 6.418 6.404
99-30+ 6.448 6.436 6.423 6.412 6.412 6.412 6.397
99-31 6.445 6.432 6.418 6.406 6.406 6.406 6.390
99-31+ 6.442 6.428 6.413 6.401 6.401 6.401 6.383
100-00 6.439 6.424 6.408 6.395 6.395 6.395 6.376
100-00+ 6.436 6.420 6.403 6.389 6.389 6.389 6.369
100-01 6.433 6.416 6.398 6.383 6.383 6.383 6.362
100-01+ 6.430 6.412 6.394 6.378 6.378 6.378 6.355
100-02 6.428 6.409 6.389 6.372 6.372 6.372 6.348
100-02+ 6.425 6.405 6.384 6.366 6.366 6.366 6.341
100-03 6.422 6.401 6.379 6.360 6.360 6.360 6.334
100-03+ 6.419 6.397 6.374 6.355 6.355 6.355 6.327
100-04 6.416 6.393 6.369 6.349 6.349 6.349 6.321
100-04+ 6.413 6.389 6.364 6.343 6.343 6.343 6.314
100-05 6.410 6.385 6.359 6.338 6.338 6.338 6.307
100-05+ 6.407 6.381 6.354 6.332 6.332 6.332 6.300
100-06 6.404 6.377 6.350 6.326 6.326 6.326 6.293
100-06+ 6.401 6.374 6.345 6.320 6.320 6.320 6.286
100-07 6.398 6.370 6.340 6.315 6.315 6.315 6.279
100-07+ 6.395 6.366 6.335 6.309 6.309 6.309 6.272
100-08 6.392 6.362 6.330 6.303 6.303 6.303 6.265
=====================================================================================================================
WAL (yr) 6.73 4.79 3.68 3.08 3.08 3.08 2.51
First Prin Pay 04/15/04 06/15/02 06/15/01 10/15/00 10/15/00 10/15/00 05/15/00
Last Prin Pay 02/15/05 02/15/03 11/15/01 05/15/01 05/15/01 05/15/01 08/15/00
MDUR (yr) 5.32 4.01 3.19 2.72 2.72 2.72 2.25
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price/yield.
Maturity and Last Principal Dates may be distorted by
the use of collateral pool WAMs.
These Computational Materials should be
accompanied by a one page disclaimer
which must be read in its entirety by
the addressee of this communication. If
such disclaimer is not attached hereto,
please contact Greenwich Capital
Markets, Inc.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5 CLASS A-4
PRICE-YIELD SENSIVITY REPORT
Settlement 12/23/97
Class Balance $140,000,000
Cut-off Date 12/16/97
Bond Coupon 6.58%
Next Payment Date 01/15/98
Accrued Interest Days 7
Pricing Speed (Fixed/Arms) 130% Base Ramp/30% CPR
100% Base PPC 4%-20% CPR over 12 Months
Flat/FRM 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
Price/ARM 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
=====================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
99-23+ 6.673 6.673 6.674 6.674 6.674 6.674 6.675
99-24 6.670 6.670 6.670 6.669 6.669 6.669 6.669
99-24+ 6.668 6.667 6.665 6.665 6.665 6.665 6.664
99-25 6.665 6.663 6.661 6.660 6.660 6.660 6.658
99-25+ 6.663 6.660 6.657 6.656 6.656 6.656 6.653
99-26 6.660 6.657 6.653 6.651 6.651 6.651 6.647
99-26+ 6.657 6.653 6.649 6.647 6.647 6.647 6.641
99-27 6.655 6.650 6.645 6.642 6.642 6.642 6.636
99-27+ 6.652 6.647 6.641 6.637 6.637 6.637 6.630
99-28 6.650 6.644 6.637 6.633 6.633 6.633 6.625
99-28+ 6.647 6.640 6.633 6.628 6.628 6.628 6.619
99-29 6.645 6.637 6.629 6.624 6.624 6.624 6.614
99-29+ 6.642 6.634 6.625 6.619 6.619 6.619 6.608
99-30 6.640 6.631 6.621 6.615 6.615 6.615 6.603
99-30+ 6.637 6.627 6.617 6.610 6.610 6.610 6.597
99-31 6.635 6.624 6.613 6.605 6.605 6.605 6.592
99-31+ 6.632 6.621 6.608 6.601 6.601 6.601 6.586
100-00 6.630 6.618 6.604 6.596 6.596 6.596 6.581
100-00+ 6.627 6.614 6.600 6.592 6.592 6.592 6.575
100-01 6.625 6.611 6.596 6.587 6.587 6.587 6.570
100-01+ 6.622 6.608 6.592 6.583 6.583 6.583 6.564
100-02 6.620 6.604 6.588 6.578 6.578 6.578 6.559
100-02+ 6.617 6.601 6.584 6.573 6.573 6.573 6.553
100-03 6.615 6.598 6.580 6.569 6.569 6.569 6.548
100-03+ 6.612 6.595 6.576 6.564 6.564 6.564 6.542
100-04 6.610 6.591 6.572 6.560 6.560 6.560 6.537
100-04+ 6.607 6.588 6.568 6.555 6.555 6.555 6.531
100-05 6.605 6.585 6.564 6.551 6.551 6.551 6.526
100-05+ 6.602 6.582 6.560 6.546 6.546 6.546 6.520
100-06 6.600 6.578 6.556 6.542 6.542 6.542 6.515
100-06+ 6.597 6.575 6.552 6.537 6.537 6.537 6.509
100-07 6.595 6.572 6.548 6.533 6.533 6.533 6.504
100-07+ 6.592 6.569 6.543 6.528 6.528 6.528 6.499
=====================================================================================================================
WAL (yr) 8.33 5.95 4.57 4.01 4.01 4.01 3.24
First Prin Pay 02/15/05 02/15/03 11/15/01 05/15/01 05/15/01 01/15/01 08/15/01
Last Prin Pay 07/15/07 11/15/04 04/15/03 10/15/02 10/15/02 10/15/02 12/15/01
MDUR (yr) 6.23 4.78 3.84 3.42 3.42 3.42 2.84
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price/yield.
Maturity and Last Principal Dates may be distorted by
the use of collateral pool WAMs.
These Computational Materials should be
accompanied by a one page disclaimer
which must be read in its entirety by
the addressee of this communication. If
such disclaimer is not attached hereto,
please contact Greenwich Capital
Markets, Inc.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5 CLASS A-5
PRICE-YIELD SENSIVITY REPORT
Settlement 12/23/97
Class Balance $40,000,000
Cut-off Date 12/16/97
Bond Coupon 6.63%
Next Payment Date 01/15/98
Accrued Interest Days 7
Pricing Speed (Fixed/Arms) 130% Base Ramp/30% CPR
100% Base PPC 4%-20% CPR over 12 Months
Flat/FRM 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
Price/ARM 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
=====================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
99-22+ 6.728 6.729 6.731 6.732 6.732 6.732 6.733
99-23 6.726 6.727 6.728 6.728 6.728 6.728 6.729
99-23+ 6.723 6.724 6.724 6.724 6.724 6.724 6.725
99-24 6.721 6.721 6.721 6.721 6.721 6.721 6.720
99-24+ 6.719 6.718 6.717 6.717 6.717 6.717 6.716
99-25 6.717 6.715 6.714 6.713 6.713 6.713 6.712
99-25+ 6.715 6.713 6.710 6.709 6.709 6.709 6.707
99-26 6.712 6.710 6.707 6.706 6.706 6.706 6.703
99-26+ 6.710 6.707 6.703 6.702 6.702 6.702 6.698
99-27 6.708 6.704 6.700 6.698 6.698 6.698 6.694
99-27+ 6.706 6.701 6.696 6.695 6.695 6.695 6.690
99-28 6.704 6.699 6.693 6.691 6.691 6.691 6.685
99-28+ 6.702 6.696 6.689 6.687 6.687 6.687 6.681
99-29 6.699 6.693 6.686 6.683 6.683 6.683 6.677
99-29+ 6.697 6.690 6.682 6.680 6.680 6.680 6.672
99-30 6.695 6.687 6.679 6.676 6.676 6.676 6.668
99-30+ 6.693 6.684 6.676 6.672 6.672 6.672 6.664
99-31 6.691 6.682 6.672 6.669 6.669 6.669 6.659
99-31+ 6.688 6.679 6.669 6.665 6.665 6.665 6.655
100-00 6.686 6.676 6.665 6.661 6.661 6.661 6.651
100-00+ 6.684 6.673 6.662 6.657 6.657 6.657 6.646
100-01 6.682 6.670 6.658 6.654 6.654 6.654 6.642
100-01+ 6.680 6.668 6.655 6.650 6.650 6.650 6.638
100-02 6.677 6.665 6.651 6.646 6.646 6.646 6.633
100-02+ 6.675 6.662 6.648 6.643 6.643 6.643 6.629
100-03 6.673 6.659 6.644 6.639 6.639 6.639 6.625
100-03+ 6.671 6.656 6.641 6.635 6.635 6.635 6.620
100-04 6.669 6.654 6.637 6.631 6.631 6.631 6.616
100-04+ 6.666 6.651 6.634 6.628 6.628 6.628 6.612
100-05 6.664 6.648 6.630 6.624 6.624 6.624 6.607
100-05+ 6.662 6.645 6.627 6.620 6.620 6.620 6.603
100-06 6.660 6.642 6.624 6.617 6.617 6.617 6.598
100-06+ 6.658 6.640 6.620 6.613 6.613 6.613 6.594
=====================================================================================================================
WAL (yr) 10.01 7.20 5.53 5.10 5.10 5.10 4.23
First Prin Pay 07/15/07 11/15/04 04/15/03 10/15/02 10/15/02 10/15/02 12/15/01
Last Prin Pay 06/15/08 07/15/05 10/15/03 06/15/03 06/15/03 06/15/03 07/15/02
MDUR (yr) 7.12 5.56 4.50 4.20 4.20 4.20 3.59
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price/yield.
Maturity and Last Principal Dates may be distorted by
the use of collateral pool WAMs.
These Computational Materials should be
accompanied by a one page disclaimer
which must be read in its entirety by
the addressee of this communication. If
such disclaimer is not attached hereto,
please contact Greenwich Capital
Markets, Inc.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5 CLASS A-6
PRICE-YIELD SENSIVITY REPORT
Settlement 12/23/97
Class Balance $115,540,000
Cut-off Date 12/16/97
Bond Coupon 6.97%
Next Payment Date 01/15/98
Accrued Interest Days 7
Pricing Speed (Fixed/Arms) 130% Base Ramp/30% CPR
100% Base PPC 4%-20% CPR over 12 Months
Flat/FRM 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
Price/ARM 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
=====================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
99-24 6.967 6.967 6.966 6.966 6.966 6.966 6.966
99-24+ 6.965 6.964 6.963 6.963 6.963 6.963 6.962
99-25 6.963 6.962 6.961 6.960 6.960 6.960 6.959
99-25+ 6.961 6.959 6.958 6.958 6.958 6.958 6.956
99-26 6.959 6.957 6.955 6.955 6.955 6.955 6.953
99-26+ 6.957 6.954 6.952 6.952 6.952 6.952 6.949
99-27 6.955 6.952 6.949 6.949 6.949 6.949 6.946
99-27+ 6.953 6.949 6.947 6.946 6.946 6.946 6.943
99-28 6.951 6.947 6.944 6.944 6.944 6.944 6.940
99-28+ 6.949 6.944 6.941 6.941 6.941 6.941 6.936
99-29 6.947 6.942 6.938 6.938 6.938 6.938 6.933
99-29+ 6.945 6.939 6.935 6.935 6.935 6.935 6.930
99-30 6.943 6.937 6.933 6.932 6.932 6.932 6.927
99-30+ 6.941 6.935 6.930 6.929 6.929 6.929 6.923
99-31 6.939 6.932 6.927 6.927 6.927 6.927 6.920
99-31+ 6.937 6.930 6.924 6.924 6.924 6.924 6.917
100-00 6.935 6.927 6.921 6.921 6.921 6.921 6.914
100-00+ 6.933 6.925 6.919 6.918 6.918 6.918 6.910
100-01 6.931 6.922 6.916 6.915 6.915 6.915 6.907
100-01+ 6.929 6.920 6.913 6.913 6.913 6.913 6.904
100-02 6.927 6.917 6.910 6.910 6.910 6.910 6.901
100-02+ 6.926 6.915 6.907 6.907 6.907 6.907 6.897
100-03 6.924 6.912 6.905 6.904 6.904 6.904 6.894
100-03+ 6.922 6.910 6.902 6.901 6.901 6.901 6.891
100-04 6.920 6.908 6.899 6.898 6.898 6.898 6.888
100-04+ 6.918 6.905 6.896 6.896 6.896 6.896 6.884
100-05 6.916 6.903 6.893 6.893 6.893 6.893 6.881
100-05+ 6.914 6.900 6.891 6.890 6.890 6.890 6.878
100-06 6.912 6.898 6.888 6.887 6.887 6.887 6.875
100-06+ 6.910 6.895 6.885 6.884 6.884 6.884 6.871
100-07 6.908 6.893 6.882 6.882 6.882 6.882 6.868
100-07+ 6.906 6.890 6.879 6.879 6.879 6.879 6.865
100-08 6.904 6.888 6.877 6.876 6.876 6.876 6.862
=====================================================================================================================
WAL (yr) 11.93 8.71 7.37 7.31 7.31 7.31 6.09
First Prin Pay 06/15/08 07/15/05 10/15/03 06/15/03 06/15/03 06/15/03 07/15/02
Last Prin Pay 07/15/11 09/15/09 09/15/09 09/15/09 09/15/09 09/15/09 11/15/07
MDUR (yr) 7.90 6.36 5.58 5.54 5.54 5.54 4.80
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price/yield.
Maturity and Last Principal Dates may be distorted by
the use of collateral pool WAMs.
These Computational Materials should be
accompanied by a one page disclaimer
which must be read in its entirety by
the addressee of this communication. If
such disclaimer is not attached hereto,
please contact Greenwich Capital
Markets, Inc.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5 CLASS A-7
PRICE-DM SENSIVITY REPORT
Settlement 12/23/97
Next Payment 01/15/98
Class Balance $130,000,000
Dated Date 12/23/97
Pass-Thru Margin 0.20%
Accrued Days 0
Cleanup Call 10%
Pricing Speed (FRMs/ARMs) 130% PPC/30% CPR
100% PPC 4%-20% CPR over 12 Months
Flat/FRM 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
Price/ARM 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
=====================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
99-24 0.305% 0.341% 0.376% 0.407% 0.407% 0.407% 0.424%
99-24+ 0.299% 0.332% 0.365% 0.394% 0.394% 0.394% 0.410%
99-25 0.292% 0.324% 0.354% 0.381% 0.381% 0.381% 0.396%
99-25+ 0.285% 0.315% 0.343% 0.368% 0.368% 0.368% 0.382%
99-26 0.279% 0.306% 0.332% 0.355% 0.355% 0.355% 0.368%
99-26+ 0.272% 0.297% 0.321% 0.342% 0.342% 0.342% 0.354%
99-27 0.266% 0.288% 0.310% 0.329% 0.329% 0.329% 0.340%
99-27+ 0.259% 0.279% 0.299% 0.316% 0.316% 0.316% 0.326%
99-28 0.253% 0.271% 0.288% 0.303% 0.303% 0.303% 0.312%
99-28+ 0.246% 0.262% 0.277% 0.290% 0.290% 0.290% 0.298%
99-29 0.239% 0.253% 0.266% 0.277% 0.277% 0.277% 0.284%
99-29+ 0.233% 0.244% 0.255% 0.264% 0.264% 0.264% 0.270%
99-30 0.226% 0.235% 0.244% 0.252% 0.252% 0.252% 0.256%
99-30+ 0.220% 0.226% 0.233% 0.239% 0.239% 0.239% 0.242%
99-31 0.213% 0.218% 0.222% 0.226% 0.226% 0.226% 0.228%
99-31+ 0.207% 0.209% 0.211% 0.213% 0.213% 0.213% 0.214%
100-00 0.200% 0.200% 0.200% 0.200% 0.200% 0.200% 0.200%
100-00+ 0.193% 0.191% 0.189% 0.187% 0.187% 0.187% 0.186%
100-01 0.187% 0.182% 0.178% 0.174% 0.174% 0.174% 0.172%
100-01+ 0.180% 0.174% 0.167% 0.161% 0.161% 0.161% 0.158%
100-02 0.174% 0.165% 0.156% 0.148% 0.148% 0.148% 0.144%
100-02+ 0.167% 0.156% 0.145% 0.136% 0.136% 0.136% 0.130%
100-03 0.161% 0.147% 0.134% 0.123% 0.123% 0.123% 0.116%
100-03+ 0.154% 0.138% 0.123% 0.110% 0.110% 0.110% 0.102%
100-04 0.148% 0.130% 0.112% 0.097% 0.097% 0.097% 0.088%
100-04+ 0.141% 0.121% 0.101% 0.084% 0.084% 0.084% 0.075%
100-05 0.134% 0.112% 0.090% 0.071% 0.071% 0.071% 0.061%
100-05+ 0.128% 0.103% 0.079% 0.058% 0.058% 0.058% 0.047%
100-06 0.121% 0.094% 0.068% 0.045% 0.045% 0.045% 0.033%
100-06+ 0.115% 0.086% 0.057% 0.033% 0.033% 0.033% 0.019%
100-07 0.108% 0.077% 0.046% 0.020% 0.020% 0.020% 0.005%
100-07+ 0.102% 0.068% 0.035% 0.007% 0.007% 0.007% 0.009%
100-08 0.095% 0.059% 0.024% 0.006% 0.006% 0.006% 0.023%
=====================================================================================================================
WAL (yr) 2.60 1.88 1.48 1.25 1.25 1.25 1.15
First Prin Pay 08/15/98 07/15/98 06/15/98 05/15/98 05/15/98 05/15/98 05/15/98
Last Prin Pay 12/15/02 07/15/01 09/15/00 04/15/00 04/15/00 04/15/00 11/15/99
MDUR (yr) 2.29 1.70 1.36 1.16 1.16 1.16 1.08
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price/yield.
Maturity and Last Principal Dates may be distorted by
the use of collateral pool WAMs.
These Computational Materials should be
accompanied by a one page disclaimer
which must be read in its entirety by
the addressee of this communication. If
such disclaimer is not attached hereto,
please contact Greenwich Capital
Markets, Inc.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5 CLASS A-8
PRICE-DM SENSIVITY REPORT
Settlement 12/23/97
Next Payment 01/15/98
Class Balance $109,520,000
Dated Date 12/23/97
Pass-Thru Margin 0.30%
Accrued Days 0
Cleanup Call 10%
Pricing Speed (FRMs/ARMs) 130% PPC/30% CPR
100% PPC 4%-20% CPR over 12 Months
Flat/FRM 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
Price/ARM 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
=====================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
99-24 0.338% 0.350% 0.360% 0.367% 0.368% 0.370% 0.385%
99-24+ 0.336% 0.346% 0.357% 0.363% 0.364% 0.366% 0.380%
99-25 0.334% 0.343% 0.353% 0.359% 0.359% 0.361% 0.374%
99-25+ 0.331% 0.340% 0.349% 0.355% 0.355% 0.357% 0.369%
99-26 0.329% 0.337% 0.345% 0.350% 0.351% 0.352% 0.364%
99-26+ 0.326% 0.334% 0.342% 0.346% 0.347% 0.348% 0.358%
99-27 0.324% 0.331% 0.338% 0.342% 0.342% 0.344% 0.353%
99-27+ 0.322% 0.328% 0.334% 0.338% 0.338% 0.339% 0.348%
99-28 0.319% 0.325% 0.330% 0.334% 0.334% 0.335% 0.343%
99-28+ 0.317% 0.322% 0.326% 0.329% 0.330% 0.331% 0.337%
99-29 0.314% 0.319% 0.323% 0.325% 0.325% 0.326% 0.332%
99-29+ 0.312% 0.315% 0.319% 0.321% 0.321% 0.322% 0.327%
99-30 0.310% 0.312% 0.315% 0.317% 0.317% 0.317% 0.321%
99-30+ 0.307% 0.309% 0.311% 0.313% 0.313% 0.313% 0.316%
99-31 0.305% 0.306% 0.308% 0.308% 0.308% 0.309% 0.311%
99-31+ 0.302% 0.303% 0.304% 0.304% 0.304% 0.304% 0.305%
100-00 0.300% 0.300% 0.300% 0.300% 0.300% 0.300% 0.300%
100-00+ 0.298% 0.297% 0.296% 0.296% 0.296% 0.296% 0.295%
100-01 0.295% 0.294% 0.292% 0.292% 0.292% 0.291% 0.289%
100-01+ 0.293% 0.291% 0.289% 0.287% 0.287% 0.287% 0.284%
100-02 0.290% 0.288% 0.285% 0.283% 0.283% 0.283% 0.279%
100-02+ 0.288% 0.285% 0.281% 0.279% 0.279% 0.278% 0.273%
100-03 0.286% 0.281% 0.277% 0.275% 0.275% 0.274% 0.268%
100-03+ 0.283% 0.278% 0.274% 0.271% 0.270% 0.269% 0.263%
100-04 0.281% 0.275% 0.270% 0.266% 0.266% 0.265% 0.258%
100-04+ 0.278% 0.272% 0.266% 0.262% 0.262% 0.261% 0.252%
100-05 0.276% 0.269% 0.262% 0.258% 0.258% 0.256% 0.247%
100-05+ 0.274% 0.266% 0.259% 0.254% 0.253% 0.252% 0.242%
100-06 0.271% 0.263% 0.255% 0.250% 0.249% 0.248% 0.236%
100-06+ 0.269% 0.260% 0.251% 0.246% 0.245% 0.243% 0.231%
100-07 0.267% 0.257% 0.247% 0.241% 0.241% 0.239% 0.226%
100-07+ 0.264% 0.254% 0.244% 0.237% 0.237% 0.235% 0.220%
100-08 0.262% 0.251% 0.240% 0.233% 0.232% 0.230% 0.215%
=====================================================================================================================
WAL (yr) 8.48 6.10 4.83 4.27 4.21 4.06 3.24
First Prin Pay 12/15/02 07/15/01 09/15/00 04/15/00 04/15/00 04/15/00 11/15/99
Last Prin Pay 07/15/11 09/15/09 04/15/07 03/15/05 09/15/04 10/15/03 05/15/02
MDUR (yr) 6.27 4.85 3.98 3.58 3.54 3.44 2.83
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price/yield.
Maturity and Last Principal Dates may be distorted by
the use of collateral pool WAMs.
These Computational Materials should be
accompanied by a one page disclaimer
which must be read in its entirety by
the addressee of this communication. If
such disclaimer is not attached hereto,
please contact Greenwich Capital
Markets, Inc.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5 CLASS A-9
PRICE-DM SENSIVITY REPORT
Settlement 12/23/97
Next Payment 01/15/98
Class Balance $35,605,000
Dated Date 12/23/97
Pass-Thru Margin 0.25%
Accrued Days 0
Cleanup Call 10%
Pricing Speed (FRMs/ARMs) 130% PPC/30% CPR
100% PPC 4%-20% CPR over 12 Months
Flat/FRM 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
Price/ARM 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
=====================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
99-24 0.277% 0.283% 0.295% 0.459% 0.730% 0.950% 1.102%
99-24+ 0.275% 0.281% 0.292% 0.446% 0.700% 0.906% 1.048%
99-25 0.273% 0.279% 0.289% 0.433% 0.670% 0.862% 0.995%
99-25+ 0.272% 0.277% 0.286% 0.420% 0.640% 0.818% 0.942%
99-26 0.270% 0.275% 0.284% 0.406% 0.610% 0.775% 0.889%
99-26+ 0.268% 0.273% 0.281% 0.393% 0.580% 0.731% 0.835%
99-27 0.267% 0.271% 0.278% 0.380% 0.550% 0.687% 0.782%
99-27+ 0.265% 0.269% 0.275% 0.367% 0.520% 0.643% 0.729%
99-28 0.263% 0.267% 0.272% 0.354% 0.490% 0.600% 0.676%
99-28+ 0.262% 0.264% 0.270% 0.341% 0.460% 0.556% 0.622%
99-29 0.260% 0.262% 0.267% 0.328% 0.430% 0.512% 0.569%
99-29+ 0.258% 0.260% 0.264% 0.315% 0.400% 0.468% 0.516%
99-30 0.257% 0.258% 0.261% 0.302% 0.370% 0.425% 0.463%
99-30+ 0.255% 0.256% 0.258% 0.289% 0.340% 0.381% 0.409%
99-31 0.253% 0.254% 0.256% 0.276% 0.310% 0.337% 0.356%
99-31+ 0.252% 0.252% 0.253% 0.263% 0.280% 0.294% 0.303%
100-00 0.250% 0.250% 0.250% 0.250% 0.250% 0.250% 0.250%
100-00+ 0.248% 0.248% 0.247% 0.237% 0.220% 0.206% 0.197%
100-01 0.247% 0.246% 0.244% 0.224% 0.190% 0.163% 0.144%
100-01+ 0.245% 0.244% 0.242% 0.211% 0.160% 0.119% 0.091%
100-02 0.243% 0.242% 0.239% 0.198% 0.130% 0.075% 0.037%
100-02+ 0.242% 0.240% 0.236% 0.185% 0.100% 0.032% 0.016%
100-03 0.240% 0.238% 0.233% 0.172% 0.071% 0.012% 0.069%
100-03+ 0.238% 0.236% 0.230% 0.159% 0.041% 0.056% 0.122%
100-04 0.237% 0.233% 0.228% 0.146% 0.011% 0.099% 0.175%
100-04+ 0.235% 0.231% 0.225% 0.133% 0.019% 0.143% 0.228%
100-05 0.233% 0.229% 0.222% 0.120% 0.049% 0.186% 0.281%
100-05+ 0.232% 0.227% 0.219% 0.107% 0.079% 0.230% 0.334%
100-06 0.230% 0.225% 0.216% 0.094% 0.109% 0.273% 0.387%
100-06+ 0.229% 0.223% 0.214% 0.081% 0.139% 0.317% 0.440%
100-07 0.227% 0.221% 0.211% 0.068% 0.168% 0.361% 0.493%
100-07+ 0.225% 0.219% 0.208% 0.055% 0.198% 0.404% 0.546%
100-08 0.224% 0.217% 0.205% 0.042% 0.228% 0.448% 0.599%
=====================================================================================================================
WAL (yr) 14.08 10.10 6.78 1.25 0.53 0.36 0.30
First Prin Pay 07/15/11 08/15/07 04/15/04 05/15/98 05/15/98 04/15/98 03/15/98
Last Prin Pay 07/15/12 07/15/08 04/15/05 01/15/01 10/15/98 05/15/98 04/15/98
MDUR (yr) 9.07 7.26 5.36 1.15 0.50 0.35 0.28
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price/yield.
Maturity and Last Principal Dates may be distorted by
the use of collateral pool WAMs.
These Computational Materials should be
accompanied by a one page disclaimer
which must be read in its entirety by
the addressee of this communication. If
such disclaimer is not attached hereto,
please contact Greenwich Capital
Markets, Inc.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5 CLASS B
PRICE YIELD SENSITIVITY REPORT
Settlement 12/23/97
Class Balance $53,120,000
Cut-off Date 12/16/97
Bond Coupon 7.62%
Next Payment Date 01/15/98
Accrued Interest Days 7
Pricing Speed (Fixed/Arms) 130% Base Ramp/30% CPR
100% Base PPC 4%-20% CPR over 12 Months
Flat/FRM 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
Price/ARM 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
=====================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
99-23+ 7.738 7.737 7.736 7.735 7.734 7.733 7.732
99-24 7.736 7.734 7.733 7.731 7.730 7.729 7.727
99-24+ 7.733 7.731 7.729 7.727 7.726 7.724 7.722
99-25 7.731 7.729 7.726 7.723 7.722 7.720 7.717
99-25+ 7.729 7.726 7.723 7.719 7.718 7.715 7.711
99-26 7.727 7.723 7.720 7.715 7.713 7.711 7.706
99-26+ 7.724 7.721 7.716 7.711 7.709 7.706 7.701
99-27 7.722 7.718 7.713 7.707 7.705 7.702 7.696
99-27+ 7.720 7.715 7.710 7.703 7.701 7.697 7.691
99-28 7.718 7.713 7.707 7.699 7.697 7.693 7.686
99-28+ 7.716 7.710 7.703 7.695 7.693 7.688 7.680
99-29 7.713 7.707 7.700 7.691 7.689 7.684 7.675
99-29+ 7.711 7.705 7.697 7.687 7.684 7.679 7.670
99-30 7.709 7.702 7.694 7.684 7.680 7.674 7.665
99-30+ 7.707 7.699 7.690 7.680 7.676 7.670 7.660
99-31 7.705 7.697 7.687 7.676 7.672 7.665 7.654
99-31+ 7.702 7.694 7.684 7.672 7.668 7.661 7.649
100-00 7.700 7.691 7.681 7.668 7.664 7.656 7.644
100-00+ 7.698 7.688 7.677 7.664 7.660 7.652 7.639
100-01 7.696 7.686 7.674 7.660 7.656 7.647 7.634
100-01+ 7.693 7.683 7.671 7.656 7.651 7.643 7.629
100-02 7.691 7.680 7.668 7.652 7.647 7.638 7.623
100-02+ 7.689 7.678 7.664 7.648 7.643 7.634 7.618
100-03 7.687 7.675 7.661 7.644 7.639 7.629 7.613
100-03+ 7.685 7.672 7.658 7.641 7.635 7.625 7.608
100-04 7.682 7.670 7.655 7.637 7.631 7.620 7.603
100-04+ 7.680 7.667 7.651 7.633 7.627 7.616 7.598
100-05 7.678 7.664 7.648 7.629 7.623 7.611 7.592
100-05+ 7.676 7.662 7.645 7.625 7.618 7.607 7.587
100-06 7.674 7.659 7.642 7.621 7.614 7.602 7.582
100-06+ 7.671 7.656 7.638 7.617 7.610 7.598 7.577
100-07 7.669 7.654 7.635 7.613 7.606 7.593 7.572
100-07+ 7.667 7.651 7.632 7.609 7.602 7.589 7.567
=====================================================================================================================
WAL (yr) 10.95 8.31 6.42 5.05 4.72 4.21 3.57
First Prin Pay 12/15/03 03/15/02 04/15/01 01/15/01 01/15/01 01/15/01 01/15/01
Last Prin Pay 07/15/13 10/15/12 09/15/09 02/15/07 06/15/06 05/15/05 07/15/03
MDUR (yr) 7.05 5.81 4.81 3.99 3.78 3.45 3.02
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price/yield.
Maturity and Last Principal Dates may be distorted by
the use of collateral pool WAMs.
These Computational Materials should be
accompanied by a one page disclaimer
which must be read in its entirety by
the addressee of this communication. If
such disclaimer is not attached hereto,
please contact Greenwich Capital
Markets, Inc.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5 CLASS A-11I0
PRICE YIELD SENSITIVITY REPORT
Settlement 12/23/97
Class Balance $155,540,000
Cut-off Date 12/16/97
Bond Coupon 25.00%
Next Payment Date 6.50%
Accrued Interest Days 7
Pricing Speed (Fixed/Arms) 130% Base Ramp/30% CPR
100% Base PPC 4%-20% CPR over 12 Months
Flat/FRM 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
Price/ARM 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
=====================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
16-19_1/4 9.320 9.320 9.320 9.320 9.320 9.320 9.320
16-19_3/4 9.142 9.142 9.142 9.142 9.142 9.142 9.142
16-20_1/4 8.965 8.965 8.965 8.965 8.965 8.965 8.965
16-20_3/4 8.788 8.788 8.788 8.788 8.788 8.788 8.788
16-21_1/4 8.612 8.612 8.612 8.612 8.612 8.612 8.612
16-21_3/4 8.436 8.436 8.436 8.436 8.436 8.436 8.436
16-22_1/4 8.260 8.260 8.260 8.260 8.260 8.260 8.260
16-22_3/4 8.085 8.085 8.085 8.085 8.085 8.085 8.085
16-23_1/4 7.910 7.910 7.910 7.910 7.910 7.910 7.910
16-23_3/4 7.736 7.736 7.736 7.736 7.736 7.736 7.736
16-24_1/4 7.562 7.562 7.562 7.562 7.562 7.562 7.562
16-24_3/4 7.388 7.388 7.388 7.388 7.388 7.388 7.388
16-25_1/4 7.215 7.215 7.215 7.215 7.215 7.215 7.215
16-25_3/4 7.042 7.042 7.042 7.042 7.042 7.042 7.042
16-26_1/4 6.869 6.869 6.869 6.869 6.869 6.869 6.869
16-26_3/4 6.697 6.697 6.697 6.697 6.697 6.697 6.697
16-27_1/4 6.526 6.526 6.526 6.526 6.526 6.526 6.526
16-27_3/4 6.354 6.354 6.354 6.354 6.354 6.354 6.354
16-28_1/4 6.183 6.183 6.183 6.183 6.183 6.183 6.183
16-28_3/4 6.013 6.013 6.013 6.013 6.013 6.013 6.013
16-29_1/4 5.842 5.842 5.842 5.842 5.842 5.842 5.842
16-29_3/4 5.673 5.673 5.673 5.673 5.673 5.673 5.673
16-30_1/4 5.503 5.503 5.503 5.503 5.503 5.503 5.503
16-30_3/4 5.334 5.334 5.334 5.334 5.334 5.334 5.334
16-31_1/4 5.165 5.165 5.165 5.165 5.165 5.165 5.165
16-31_3/4 4.997 4.997 4.997 4.997 4.997 4.997 4.997
17-00_1/4 4.829 4.829 4.829 4.829 4.829 4.829 4.829
17-00_3/4 4.662 4.662 4.662 4.662 4.662 4.662 4.662
17-01_1/4 4.494 4.494 4.494 4.494 4.494 4.494 4.494
17-01_3/4 4.327 4.327 4.327 4.327 4.327 4.327 4.327
17-02_1/4 4.161 4.161 4.161 4.161 4.161 4.161 4.161
17-02_3/4 3.995 3.995 3.995 3.995 3.995 3.995 3.995
17-03_1/4 3.829 3.829 3.829 3.829 3.829 3.829 3.829
=====================================================================================================================
MDUR (yr) 0.53 0.53 0.53 0.53 0.53 0.53 0.53
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price/yield.
Maturity and Last Principal Dates may be distorted by
the use of collateral pool WAMs.
These Computational Materials should be
accompanied by a one page disclaimer
which must be read in its entirety by
the addressee of this communication. If
such disclaimer is not attached hereto,
please contact Greenwich Capital
Markets, Inc.
</TABLE>
<PAGE>
