<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
_____
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (date of earliest event reported) September 24, 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
Computational Materials (as defined below) prepared by Merrill Lynch, Pierce,
Fenner & Smith Incorporated, Bear, Stearns & Co. Inc. and Lehman Brothers Inc.,
as underwriters, in connection with the issuance by ContiMortgage Home Equity
Loan Trust 1997-4 of Home Equity Loan Pass-Through Certificates, Series 1997-4.
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 - Merrill Lynch, Pierce,
Fenner & Smith Incorporated
99.2. Computational Materials - Bear, Stearns & Co. Inc.
99.3 Computational Materials - Lehman Brothers Inc.
2
<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/ James E. Moore
----------------------------------
Name: James E. Moore
Title: President
By: /s/ Jerome M. Perelson
----------------------------------
Name: Jerome M. Perelson
Title: Vice President
Dated: September 24, 1997
3
<PAGE>
EXHIBIT INDEX
-------------
Exhibit Page
- ------- ----
99.1 Computational Materials provided by Merrill Lynch, Pierce,
Fenner & Smith Incorporated in connection with sales efforts.
99.2 Computational Materials provided by Bear, Stearns & Co. Inc.
in connection with sales efforts.
99.3 Computational Materials provided by Lehman Brothers Inc. in
connection with sales efforts.
<PAGE>
--------------------------------------------------------------
$1,525,000,000
ContiMortgage
Home Equity Loan Trust 1997-4
Home Equity ABS
--------------------------------------------------------------
Computational Materials
[LOGO] Merrill Lynch 1
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
The attached tables and other statistical analyses (the "Computational
Materials") are privileged and confidential and are intended for use by the
addressee only. These Computational Materials are furnished to you solely by
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("Merrill Lynch") and not by
the issuer of the securities or any of its affiliates. The issuer of these
securities has not prepared or taken part in the preparation of these materials.
Neither Merrill Lynch, the issuer of the securities nor any of its affiliates
makes any representation as to the accuracy or completeness of the information
herein. The information herein is preliminary, and will be superseded by the
applicable Prospectus Supplement and by any other information subsequently filed
with the Securities and Exchange Commission. The information herein may not be
provided by the addressees 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 stated therein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials and/or the
assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials should not be construed
as either projections or predictions or as legal, tax, financial or accounting
advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment assumptions and actual prepayment experience may
dramatically affect such yields or weighted average lives. In addition, it is
possible that prepayments on the underlying assets will occur at rates slower or
faster than the rates assumed in the attached Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the securities may differ from those shown in the
Computational Materials due to differences between the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the Computational
Materials are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with the Securities and Exchange Commission. This communication shall not
constitute an offer to sell or the solicitation of any 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 under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication for
definitive Computational Materials on any matter discussed in this
communication. A final prospectus and prospectus supplement may be obtained by
contacting the Merrill Lynch Trading Desk at (212) 449-3659.
[LOGO] Merrill Lynch 2
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Expected Final
Class Size Ratings Scheduled Spread
Class(2) ($ (Moody's/ Average Payment Payment Day to
millions) Tranche Type Fitch/ Life (3,4) Date Window (3,4) Count Bench
S&P)
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 235 Fixed Sequential PAC Aaa/AAA/AAA 0.50 years/MAT 03/15/08 10/97-8/98 / 11 mo. 30/360
A-2 166 Fixed Sequential PAC Aaa/AAA/AAA 1.15 years/MAT 02/15/12 08/98-02/99 / 7 mo. 30/360
A-3 307 Fixed Sequential PAC Aaa/AAA/AAA 2.04 years/MAT 07/15/12 02/99-06/00 / 17 mo. 30/360
A-4 100 Fixed Sequential PAC Aaa/AAA/AAA 3.04 years/MAT 07/15/12 06/00-03/01 / 10 mo. 30/360
A-5 132 Fixed Sequential PAC Aaa/AAA/AAA 4.05 years/MAT 12/15/12 03/01-07/02 / 17 mo. 30/360
A-6 39 Fixed Sequential PAC Aaa/AAA/AAA 5.09 years/MAT 10/15/13 07/02-03/03 / 9 mo. 30/360
A-7 95.25 Fixed Sequential PAC Aaa/AAA/AAA 6.95 years/MAT 09/15/16 03/03-12/07 / 58 mo. 30/360
A-8 137.50 Floater Companion Aaa/AAA/AAA 1.25 years/CALL 02/15/22 10/97-10/00 / 37 mo. Actual/360
A-9 267.50 Auction Rate Companion(5) Aaa/AAA/AAA 7.37 years/MAT 10/15/28 10/00-07/12 / 142 mo. Actual/360
B-1F 45.75 Fixed Subordinate Baa3/BBB/BBB- 5.14 years/MAT 10/15/28 10/00-12/06 / 75 mo. 30/360
A-7IO --- Interest Only (6) Aaa/AAA/AAAr 30/360
- ------------------------------------------------------------------------------------------------------------------------------------
Total $1,525 -- -- -- -- --Home Equity Loans-- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The information presented is based on a representative cut-off pool as of
the 9/1/97 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-8 Certificates are
priced to call. The spread to LIBOR of the Floating Rate Class A-8
Certificates doubles after the clean-up call date. The WAL of Class A-8
Certificates does not change when run to maturity.
(5) The pass-through rate on the Class A-9 Certificates will be determined
pursuant to Auction Procedures. The Auction Rate Companion will be managed
by Merrill Lynch and Lehman Brothers only.
(6) Merrill Lynch sole managed.
<TABLE>
<S> <C>
Seller and Servicer: ContiMortgage Corporation
Trustee: Manufacturers and Traders Trust Company
Managers: Merrill Lynch (lead manager), ContiFinancial
Services Corporation, Bear Stearns, Credit
Suisse First Boston, Greenwich Capital Markets,
Lehman Brothers, Morgan Stanley Dean Witter
(co-managers)
Fixed Rate Certificates: All the triple-A Fixed Rate
Certificates 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 two Floating Rate Certificates will be
triple-AAA rated and will be companions to the
PAC classes in terms of principal repayment
Pricing Prepayment Speed: 125% of the prepayment assumption ("PPC") will
be applied to the Fixed Rate Group for pricing
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.
Expected Pricing Date: September 18, 1997.
Cut-Off Date Close of Business September 12, 1997
Expected Settlement: September 25, 1997 through DTC, Euroclear or
CEDEL.
Beginning Accrual Period Fixed Rate Certificates, Class A-7IO:
September 13, 1997
First Period # Days Interest Fixed Rate Certificates, Class A-7IO: 18 days
Distribution
Distribution Dates: The 15th of each month, beginning October, 1997.
</TABLE>
[LOGO] Merrill Lynch 3
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Optional Call: 10% Clean-up call (10% of original aggregate
loan balances).
Net Available Funds Cap: The Floating Rate Certificates will be subject
to an available funds cap equal to the weighted
average coupon rate of the aggregate Fixed and
Adjustable Rate Home Equity Loans less the sum
of: (a) an amount, expressed as a annual
percentage rate across the aggregate pool
balance, equal to the sum of the Servicing Fee,
the Trustee Fee, the Certificate Insurer Fee and
the Broker Dealer Fee (for the Class A-9 only),
in each case due with respect to the related
period, (b) a 0.50% credit enhancement carve out
and (c) for the first 30 Payment Dates only the
product of (i) 8.50% per annum and (ii) the
Class A-7IO Notional Principal Amount divided by
the aggregate pool balance.
Tax Status: REMIC
ERISA Eligibility: The Class A certificates are ERISA eligible.
SMMEA Eligibility: None of the offered certificates are
SMMEA eligible.
[LOGO] Merrill Lynch 4
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Transaction Structure Overview
o 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-1F Certificates.
o MBIA will wrap the Class A Certificates only (Class A1- A-9, A7IO).
o The Class A-1 through Class A-7 Certificates will be Planned Amortization
Class ("PAC") Certificates
1. The PAC certificates will pay principal sequentially according to the
amortization schedule below
2. The PAC prepayment bands are:
FRMs - 100% PPC to 190% PPC
ARMs - 24% CPR to 45.6% CPR
o The Class A-8 and Class A-9 Certificates will be sequential companion
bonds.
o The Pass-Through Rate on the Class A-9 Certificates will be determined
pursuant to monthly Auction Rate Procedures.
[LOGO] Merrill Lynch 5
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
- --------------------------------------------------------------------------------
Computational Materials
<TABLE>
<CAPTION>
PAC Schedule
Principal Payment
-----------------------------------------------------------------------------------------------------------------------------
Period Class A-1 Class A-2 Class A-3 Class A-4 Class A-5 Class A-6 Class A-7
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
0 235,000,000.00 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
1 225,141,521.87 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
2 207,411,725.10 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
3 188,491,295.50 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
4 168,392,051.29 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
5 147,130,720.45 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
6 120,210,051.55 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
7 92,421,344.83 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
8 63,541,328.69 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
9 35,718,840.58 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
10 9,074,642.17 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
11 0.00 148,513,798.46 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
12 0.00 122,484,516.05 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
13 0.00 96,975,414.70 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
14 0.00 71,975,626.67 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
15 0.00 47,475,001.35 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
16 0.00 23,463,810.22 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
17 0.00 0.00 306,932,437.33 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
18 0.00 0.00 283,871,037.11 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
19 0.00 0.00 261,670,182.65 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
20 0.00 0.00 239,120,606.77 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
21 0.00 0.00 217,413,311.85 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
22 0.00 0.00 196,139,480.47 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
23 0.00 0.00 175,312,962.75 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
24 0.00 0.00 154,901,897.40 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
25 0.00 0.00 134,898,013.09 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
26 0.00 0.00 115,293,203.86 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
27 0.00 0.00 96,079,525.82 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
28 0.00 0.00 77,249,193.88 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
29 0.00 0.00 58,794,578.54 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
30 0.00 0.00 40,708,202.77 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
31 0.00 0.00 22,982,738.93 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
32 0.00 0.00 5,611,005.78 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
33 0.00 0.00 0.00 88,585,965.52 132,000,000.00 39,000,000.00 95,250,000.00
34 0.00 0.00 0.00 71,900,720.89 132,000,000.00 39,000,000.00 95,250,000.00
35 0.00 0.00 0.00 55,551,704.95 132,000,000.00 39,000,000.00 95,250,000.00
36 0.00 0.00 0.00 39,528,972.15 132,000,000.00 39,000,000.00 95,250,000.00
37 0.00 0.00 0.00 39,528,972.15 132,000,000.00 39,000,000.00 95,250,000.00
38 0.00 0.00 0.00 39,528,972.15 132,000,000.00 39,000,000.00 95,250,000.00
39 0.00 0.00 0.00 28,232,735.99 132,000,000.00 39,000,000.00 95,250,000.00
40 0.00 0.00 0.00 15,821,374.21 132,000,000.00 39,000,000.00 95,250,000.00
41 0.00 0.00 0.00 3,930,708.27 132,000,000.00 39,000,000.00 95,250,000.00
42 0.00 0.00 0.00 0.00 124,538,786.57 39,000,000.00 95,250,000.00
43 0.00 0.00 0.00 0.00 113,624,589.88 39,000,000.00 95,250,000.00
44 0.00 0.00 0.00 0.00 103,167,991.32 39,000,000.00 95,250,000.00
45 0.00 0.00 0.00 0.00 93,149,718.15 39,000,000.00 95,250,000.00
46 0.00 0.00 0.00 0.00 83,551,315.17 39,000,000.00 95,250,000.00
47 0.00 0.00 0.00 0.00 74,355,109.71 39,000,000.00 95,250,000.00
48 0.00 0.00 0.00 0.00 65,544,178.15 39,000,000.00 95,250,000.00
49 0.00 0.00 0.00 0.00 57,102,313.89 39,000,000.00 95,250,000.00
50 0.00 0.00 0.00 0.00 49,013,996.67 39,000,000.00 95,250,000.00
51 0.00 0.00 0.00 0.00 41,264,363.27 39,000,000.00 95,250,000.00
52 0.00 0.00 0.00 0.00 33,839,179.44 39,000,000.00 95,250,000.00
53 0.00 0.00 0.00 0.00 26,724,813.03 39,000,000.00 95,250,000.00
54 0.00 0.00 0.00 0.00 19,908,208.33 39,000,000.00 95,250,000.00
55 0.00 0.00 0.00 0.00 13,376,861.45 39,000,000.00 95,250,000.00
56 0.00 0.00 0.00 0.00 7,118,796.82 39,000,000.00 95,250,000.00
57 0.00 0.00 0.00 0.00 1,122,544.68 39,000,000.00 95,250,000.00
58 0.00 0.00 0.00 0.00 0.00 34,377,119.51 95,250,000.00
59 0.00 0.00 0.00 0.00 0.00 28,871,999.45 95,250,000.00
60 0.00 0.00 0.00 0.00 0.00 23,597,106.55 95,250,000.00
</TABLE>
[LOGO] Merrill Lynch 6
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
====================================================================================================================================
Computational Materials
<CAPTION>
PAC Schedule
Principal Payment
-------------------------------------------------------------------------------------------------------------------------
Period Class A-1 Class A-2 Class A-3 Class A-4 Class A-5 Class A-6 Class A-7
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
61 0.00 0.00 0.00 0.00 0.00 18,542,787.88 95,250,000.00
62 0.00 0.00 0.00 0.00 0.00 13,699,797.48 95,250,000.00
63 0.00 0.00 0.00 0.00 0.00 9,059,279.07 95,250,000.00
64 0.00 0.00 0.00 0.00 0.00 4,612,749.47 95,250,000.00
65 0.00 0.00 0.00 0.00 0.00 352,082.79 95,250,000.00
66 0.00 0.00 0.00 0.00 0.00 0.00 91,519,495.24
67 0.00 0.00 0.00 0.00 0.00 0.00 87,607,530.63
68 0.00 0.00 0.00 0.00 0.00 0.00 83,859,046.49
69 0.00 0.00 0.00 0.00 0.00 0.00 80,267,200.75
70 0.00 0.00 0.00 0.00 0.00 0.00 76,604,793.40
71 0.00 0.00 0.00 0.00 0.00 0.00 72,996,525.82
72 0.00 0.00 0.00 0.00 0.00 0.00 69,539,013.28
73 0.00 0.00 0.00 0.00 0.00 0.00 66,225,951.21
74 0.00 0.00 0.00 0.00 0.00 0.00 63,051,299.82
75 0.00 0.00 0.00 0.00 0.00 0.00 60,009,272.86
76 0.00 0.00 0.00 0.00 0.00 0.00 57,094,326.93
77 0.00 0.00 0.00 0.00 0.00 0.00 54,301,151.22
78 0.00 0.00 0.00 0.00 0.00 0.00 51,624,657.68
79 0.00 0.00 0.00 0.00 0.00 0.00 49,059,971.61
80 0.00 0.00 0.00 0.00 0.00 0.00 46,602,422.68
81 0.00 0.00 0.00 0.00 0.00 0.00 44,247,536.30
82 0.00 0.00 0.00 0.00 0.00 0.00 41,991,025.34
83 0.00 0.00 0.00 0.00 0.00 0.00 39,828,782.26
84 0.00 0.00 0.00 0.00 0.00 0.00 37,756,871.54
85 0.00 0.00 0.00 0.00 0.00 0.00 35,771,522.41
86 0.00 0.00 0.00 0.00 0.00 0.00 33,869,121.95
87 0.00 0.00 0.00 0.00 0.00 0.00 32,046,208.42
88 0.00 0.00 0.00 0.00 0.00 0.00 30,299,464.89
89 0.00 0.00 0.00 0.00 0.00 0.00 28,625,713.18
90 0.00 0.00 0.00 0.00 0.00 0.00 27,021,908.01
91 0.00 0.00 0.00 0.00 0.00 0.00 25,485,131.41
92 0.00 0.00 0.00 0.00 0.00 0.00 24,012,587.37
93 0.00 0.00 0.00 0.00 0.00 0.00 22,601,596.74
94 0.00 0.00 0.00 0.00 0.00 0.00 21,249,592.28
95 0.00 0.00 0.00 0.00 0.00 0.00 19,954,114.01
96 0.00 0.00 0.00 0.00 0.00 0.00 18,712,804.68
97 0.00 0.00 0.00 0.00 0.00 0.00 17,523,405.45
98 0.00 0.00 0.00 0.00 0.00 0.00 16,383,751.81
99 0.00 0.00 0.00 0.00 0.00 0.00 15,291,769.57
100 0.00 0.00 0.00 0.00 0.00 0.00 14,245,471.11
101 0.00 0.00 0.00 0.00 0.00 0.00 13,242,951.73
102 0.00 0.00 0.00 0.00 0.00 0.00 12,282,386.21
103 0.00 0.00 0.00 0.00 0.00 0.00 11,362,025.45
104 0.00 0.00 0.00 0.00 0.00 0.00 10,480,193.29
105 0.00 0.00 0.00 0.00 0.00 0.00 9,635,283.46
106 0.00 0.00 0.00 0.00 0.00 0.00 8,825,756.67
107 0.00 0.00 0.00 0.00 0.00 0.00 8,050,137.78
108 0.00 0.00 0.00 0.00 0.00 0.00 7,307,013.14
109 0.00 0.00 0.00 0.00 0.00 0.00 6,595,028.01
110 0.00 0.00 0.00 0.00 0.00 0.00 5,912,884.10
111 0.00 0.00 0.00 0.00 0.00 0.00 5,912,884.10
112 0.00 0.00 0.00 0.00 0.00 0.00 5,286,741.87
113 0.00 0.00 0.00 0.00 0.00 0.00 4,686,861.59
114 0.00 0.00 0.00 0.00 0.00 0.00 4,117,265.89
115 0.00 0.00 0.00 0.00 0.00 0.00 3,571,434.54
116 0.00 0.00 0.00 0.00 0.00 0.00 3,048,380.11
117 0.00 0.00 0.00 0.00 0.00 0.00 2,547,156.19
118 0.00 0.00 0.00 0.00 0.00 0.00 2,066,855.68
119 0.00 0.00 0.00 0.00 0.00 0.00 1,606,609.16
120 0.00 0.00 0.00 0.00 0.00 0.00 1,165,583.32
121 0.00 0.00 0.00 0.00 0.00 0.00 742,979.44
122 0.00 0.00 0.00 0.00 0.00 0.00 338,031.98
</TABLE>
[LOGO] Merrill Lynch 7
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
123 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
[LOGO] Merrill Lynch 8
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Credit Enhancement for Fixed and Floating Rate Certificates
o Class A1-A9 Credit Enhancement:
1. Excess cash;
2. Overcollateralization building up to a requirement of 1.0% of the
aggregate original loan balance;
3. Subordination of Class B-1F certificates, totaling 3.0% of the
aggregate original loan balance;
4. MBIA surety.
o Class B-1F Credit Enhancement:
1. Excess cash
2. Overcollateralization building up to a requirement of 1.0% 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, Auction
Agent Fee and Certificate Interest.
Overcollateralization
1. Before the Stepdown Date, overcollateralization initially builds to
1.0% 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 2.15% 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 5
months of the transaction (until March 15, 1998).
[LOGO] Merrill Lynch 9
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
- --------------------------------------------------------------------------------
Computational Materials
Interest Cashflow Priority
o Interest Collections (net of Servicing and Trustee Fees) 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
o Principal Collections (including accelerated cash to build
overcollateralization) will be allocated in the following priority prior to
the Stepdown Date(October 2000) if no trigger event is in effect:
1. First sequentially to the Class A PAC bonds to their scheduled
balance;
2. Remaining principal to Class A-8 floater companion until retired;
3. Remaining principal to Class A-9 Auction Rate Floater companion until
retired;
4. Remaining principal sequentially to the Class A PAC bonds until
retired;
5. Remaining principal to Class B1-F Certificate.
o Principal Collections (including accelerated cash to build
overcollateralization) will be allocated in the following priority on and
after the Stepdown Date(October 2000) if no trigger event is in effect:
1. Determine the Triple A Principal Distribution Amount per the
Subordination Test (as described below);
2. First sequentially to the Class A PAC bonds to their scheduled balance
to the extent that triple A principal is available;
3. Remaining Triple A principal to the Class A-8 floater companion until
retired;
4. Remaining Triple A principal to the Class A-9 Auction Rate Floater
companion until retired;
5. Sequentially to the Class A PAC bonds until retired.
6. Non Triple A principal amounts to the Class B1-F Certificates on or
after the Step Down Date until retired.
7. Monthly Excess Cashflow amounts.
o Collections of Principal (including accelerated cash) on and after the
stepdown date (October 2000), and if no trigger event is in effect will be
allocated in the following priority:
Pay Class A bonds and Class B-1F 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 91.40% 8.60%
Class B-1F 6.45 2.15
Overcollateralization 2.15
------
100%
[LOGO] Merrill Lynch 10
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
[LOGO] Merrill Lynch 11
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Principal Cashflow Priority (Class BF-1 Subordinated Certificates):
o 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):
o 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 1.00% (based on the aggregate original balance). After the Stepdown
Date, the Class A Certificates receive collateral principal to maintain
8.60% credit enhancement.
Step Down Date:
o The earlier of: (i) the later of (a) the October 2000 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 8.60%, and
(ii) the Payment Date on which the aggregate Class A Balance has been
reduced to zero.
Senior Enhancement Percentage:
o 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:
o 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
7. Class R Certificates
Note: Interest will not accrue or be payable on any written down amounts with
- ---- respect to the Class B1-F Certificates.
[LOGO] Merrill Lynch 12
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Delinquency Trigger:
o 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 (8.60% = 2.15 X 4.0%).
o 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:
o 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
October 1997-September 1999 1.05%
October 1999-September 2000 1.80%
October 2000-September 2001 2.40%
October 2001-September 2002 2.85%
October 2002 and thereafter 3.00%
o Upon the occurrence and during the continuance of a Cumulative Realized
Loss Trigger Event, the overcollateralization amount shall increase to
2.50% of the aggregate original balance of the Fixed and Adjustable Rate
Loan Groups
[LOGO] Merrill Lynch 13
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Collateral Description
o Collateral statistics are based on a representative pool as of close of
business August 31, 1997 (the "statistical calculation date"). The actual
statistics may vary.
<TABLE>
<CAPTION>
ARM Portfolio Fixed Rate Portfolio
------------- --------------------
<S> <C> <C>
Total Outstanding Balance: $375,719,436 $1,035,913,374
Number of Loans: 4,023 17,279
Average Remaining Balance: $93,392.85 (range: $11,000.00 - $449,846.40) $59,952.16 (range: $4,511.00 - $450,000.00)
Interest Rate Index: o 18.69% 6-month LIBOR o 100.00% fixed rate loans
o 68.19% 2/28 adjustment
o 13.12% 3/27 adjustment
Amortization Method: 99.94% fully amortizing / 0.06% balloons 47.64% fully amortizing / 52.36% balloons
WA Gross Coupon: 10.362% (range: 6.250% - 15.900%) 11.382% (range: 5.875% - 19.990%)
WA Gross Margin /
WA Life Cap: 6.242% Margin / 16.640% Cap N/A
WA Periodic Interest Rate Caps: 1.067% N/A
WA Months to Roll: 20.41 months N/A
Original Weighted Average Term: 359.51 months (range: 120-360 months) 217.78 months (range: 60-360 months)
Remaining Weighted Average Term: 358.42 months (range: 119 - 360 months) 216.28 months (range: 54 - 360 months)
Seasoning: 1.09 months (range: 0 - 16) 1.50 months (range: 0 - 61 months)
Lien Position: 100% first 93.70% first / 6.30% second
Original LTV Ratio: 77.46% (range: 10.58% - 100.00%) 73.56% (range: 3.25% - 100.00%)
Original CLTV Ratio: N/A 76.56% (range: 9.17% - 113.90%)
WA Debt to Income Ratio: 40.12% (range: 2.00% - 74.00%) 38.13% (range: 1.00% -83.00%)
Credit Grade: 55.49% A, 27.36% B, 14.49% C, 2.62% D, 0.04% M 56.67% A, 24.12% B, 15.30% C, 3.66% D,
0.25 M
Documentation: 81.14% full doc, 9.62% no income verification, 89.50% full doc, 6.41% no income
9.20% no doc, 0.04% mixed use verification, 3.84% no doc, 0.25% mixed use
Property Type: 87.74% single family, 3.45% 2-4 family, 89.49% single family, 5.82% 2-4 family,
5.06% PUD, 3.75% other 1.05% PUD, 3.64% other
Owner Occupancy: 95.37% owner occupied, 4.63% investor owned 96.12% owner occupied, 3.88% investor
owned
Loan Purpose: 54.35% debt consolidation and home improvement, 81.00% debt consolidation and home
32.59% purchase, 13.06% other improvement, 11.25% purchase, 7.75.% other
Geographic Distribution: CA (17.20%), MI (12.19%), UT (5.88%), OH (5.77%), MI (9.99%), OH (9.44%), NC (7.18%),
WA (5.69%), CO (5.46%) with all remaining IL (6.77%), FL (6.72%), PA (6.30%),
states with all remaining states NY (5.75%), IN (5.07%)
</TABLE>
[LOGO] Merrill Lynch 14
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
ARM Portfolio Fixed Rate Portfolio
------------- --------------------
<S> <C> <C>
under 5.0% with all remaining states under 5.0%
</TABLE>
[LOGO] Merrill Lynch 15
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Range of Outstanding Pct.
Outstanding Principal of
Principal Balance Count Balance Total
- ---------------------------- -------- ------------- -------
0.01 - 25,000.00 2,508 47,879,659 4.62
25,000.01 - 50,000.00 6,102 230,736,131 22.27
50,000.01 - 75,000.00 4,490 274,484,651 26.50
75,000.01 - 100,000.00 2,026 175,277,137 16.92
100,000.01 - 125,000.00 1,052 117,055,480 11.30
125,000.01 - 150,000.00 502 68,199,769 6.58
150,000.01 - 175,000.00 239 38,702,123 3.74
175,000.01 - 200,000.00 142 26,736,676 2.58
200,000.01 - 225,000.00 72 15,202,838 1.47
225,000.01 - 250,000.00 46 10,932,460 1.06
250,000.01 - 275,000.00 32 8,312,643 0.80
275,000.01 - 300,000.00 23 6,634,832 0.64
300,000.01 - 325,000.00 15 4,672,701 0.45
325,000.01 - 350,000.00 14 4,740,790 0.46
350,000.01 - 400,000.00 11 4,155,294 0.40
400,000.01 - 450,000.00 5 2,190,187 0.21
- ---------------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- ---------------------------- -------- ------------- -------
Min: 4511.19
Max: 450,000.00
Average: 59,952.16:
- ---------------------------- -------- ------------- -------
[LOGO] Merrill Lynch 16
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
Range of Coupons Count Balance Total
- ------------------ ------ ------------- -----
5.01 - 6.00 1 86,162 0.01
6.01 - 7.00 1 277,532 0.03
7.01 - 8.00 37 2,824,927 0.27
8.01 - 9.00 588 48,280,967 4.66
9.01 - 10.00 2,316 171,316,191 16.54
10.01 - 11.00 4,035 273,205,488 26.37
11.01 - 12.00 3,983 243,452,989 23.50
12.01 - 13.00 3,114 163,546,431 15.79
13.01 - 14.00 1,660 74,631,497 7.20
14.01 - 15.00 916 35,636,155 3.44
15.01 - 16.00 337 13,372,085 1.29
16.01 - 17.00 185 5,694,999 0.55
17.01 - 18.00 89 2,939,927 0.28
18.01 - 19.00 15 561,458 0.05
19.01 - 20.00 2 86,565 0.01
- ------------------ ------ ------------- -----
Total: 17,279 1,035,913,374 100
- ------------------ ------ ------------- -----
Min: 5.88
Max: 19.99
WAC: 11.38
- ------------------ ------ ------------- ---
Range of Outstanding Pct.
Remaining Principal of
Terms to Maturity Count Balance Total
- ------------------ ------ ------------- ---
0 - 120 884 25,635,295 2.47
121 - 180 11,384 683,811,604 66.01
181 - 240 2,613 146,954,931 14.19
241 - 300 65 4,030,859 0.39
301 - 360 2,333 175,480,684 16.94
- ------------------ ------ ------------- ---
Total: 17,279 1,035,913,374 100
- ------------------ ------ ------------- ---
Min: 54
Max: 360
Weighted Average: 216.28
- ------------------ ------ ------------- ---
[LOGO] Merrill Lynch 17
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Range of Outstanding Pct.
Original Principal of
Terms to Maturity Count Balance Total
- ------------------------- ------ ------------- -----
0 - 120 884 25,635,295 2.47
121 - 180 11,384 683,811,604 66.01
181 - 240 2,613 146,954,931 14.19
24 - 300 64 3,863,914 0.37
301 - 360 2334 175,647,630 16.96
- ------------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
- ------------------------- ------ ------------- -----
Min: 60
Max: 360
Weighted Average: 217.78
- ------------------------- ------ ------------- -----
Outstanding Pct.
Range of Principal of
Seasoning Count Balance Total
- ------------------------- ------ ------------- -----
0 - 1 9,226 561,959,509 54.25
2 - 12 8,047 473,384,716 45.70
13>= 6 569,149 0.05
- ------------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
- ------------------------- ------ ------------- -----
Min: 0
Max: 61
Weighted Average: 1.50
- ------------------------- ------ ------------- -----
[LOGO] Merrill Lynch 18
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Range of Principal of
Original LTV Count Balance Total
---------------------------- ------ ------------- -----
0.01 - 5.00 3 34,167 0.00
5.01 - 10.00 72 1,360,826 0.13
10.01 - 15.00 408 8,706,658 0.84
15.01 - 20.00 507 12,831,796 1.24
20.01 - 25.00 459 13,737,087 1.33
25.01 - 30.00 374 12,163,326 1.17
30.01 - 35.00 359 12,431,577 1.20
35.01 - 40.00 326 11,731,297 1.13
40.01 - 45.00 364 14,305,774 1.38
45.01 - 50.00 597 22,784,747 2.20
50.01 - 55.00 427 18,131,638 1.75
55.01 - 60.00 705 32,613,591 3.15
60.01 - 65.00 971 51,212,053 4.94
65.01 - 70.00 1,494 84,091,381 8.12
70.01 - 75.00 1,967 120,793,803 11.66
75.01 - 80.00 4,004 271,836,904 26.24
80.01 >= 4,242 347,146,749 33.51
---------------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
---------------------------- ------ ------------- -----
Min: 3.25
Max: 100.00
Weighted Average: 73.56
---------------------------- ------ ------------- -----
[LOGO] Merrill Lynch 19
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
Original CLTV Count Balance Total
- ---------------------------- ------ ------------- -----
5.01 - 10.00 3 40,460 0.00
10.01 - 15.00 25 479,737 0.05
15.01 - 20.00 58 1,212,376 0.12
20.01 - 25.00 81 1,969,343 0.19
25.01 - 30.00 121 3,488,218 0.34
30.01 - 35.00 186 5,542,873 0.54
35.01 - 40.00 226 7,391,090 0.71
40.01 - 45.00 304 10,702,258 1.03
45.01 - 50.00 585 21,630,565 2.09
50.01 - 55.00 432 17,756,637 1.71
55.01 - 60.00 749 33,600,897 3.24
60.01 - 65.00 1,039 53,328,642 5.15
65.01 - 70.00 1,643 88,947,692 8.59
70.01 - 75.00 2,239 129,387,001 12.49
75.01 - 80.00 4,581 289,602,152 27.96
80.01 >= 5,007 370,833,434 35.80
- ---------------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
- ---------------------------- ------ ------------- -----
Min: 9.17
Max: 113.90
Weighted Average: 76.56
- ---------------------------- ------ ------------- -----
[LOGO] Merrill Lynch 20
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
Junior Lien Ratio Count Balance Total
- ---------------------------- ------ ------------- ------
0.00 - 4.99 15,220 970,660,002 93.70
5.00 - 9.99 15 211,742 0.02
10.00 - 14.99 121 2,344,981 0.23
15.00 - 19.99 315 7,091,752 0.68
20.00 - 24.99 351 8,797,598 0.85
25.00 - 29.99 304 9,460,206 0.91
30.00 - 34.99 242 7,521,870 0.73
35.00 - 39.99 186 6,460,175 0.62
40.00 - 44.99 138 4,948,711 0.48
45.00 - 49.99 91 3,867,787 0.37
50.00 - 54.99 70 3,255,247 0.31
55.00 - 59.99 50 2,239,992 0.22
60.00 - 64.99 42 1,892,485 0.18
65.00 - 69.99 38 1,779,148 0.17
70.00 - 74.99 24 1,408,364 0.14
75.00 - 79.99 22 1,126,480 0.11
80.00 - 84.99 20 957,570 0.09
85.00 - 89.99 17 958,437 0.09
90.00 - 94.99 12 877,189 0.08
95.00 - 99.99 1 53,638 0.01
- ---------------------------- ------ ------------- ------
Total: 17,279 1,035,913,374 100
- ---------------------------- ------ ------------- ------
Min: 0.00
Max: 95.63
Weighted Average: 37.87*
- ---------------------------- ------ ------------- ------
* For Second Liens Only
[LOGO] Merrill Lynch 21
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Range of Outstanding Pct.
Debt to Income Principal of
Ratio Count Balance Total
- ---------------------------- ------ ------------- -----
0.01 - 5.00 19 745,985 0.07
5.01 - 10.00 115 5,171,289 0.50
10.01 - 15.00 415 15,802,042 1.53
15.01 - 20.00 900 38,101,906 3.68
20.01 - 25.00 1,507 73,971,818 7.14
25.01 - 30.00 1,961 105,239,503 10.16
30.01 - 35.00 2,389 133,965,705 12.93
35.01 - 40.00 2,702 163,429,645 15.78
40.01 - 45.00 3,054 205,207,305 19.81
45.01 - 50.00 3,649 251,858,255 24.31
50.01 - 55.00 541 40,195,366 3.88
55.01 - 60.00 24 1,953,069 0.19
60.01 - 65.00 1 84,674 0.01
75.01 - 80.00 1 55,112 0.01
80.01- 85.00 1 131,700 0.01
- ---------------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
- ---------------------------- ------ ------------- -----
Min: 1.00
Max: 83.00
Weighted Average: 38.13
- ---------------------------- ------ ------------- -----
Outstanding Pct.
Principal of
Days Delinquent Count Balance Total
- ---------------------------- ------ ------------- -----
0-29 17,080 1,025,146,171 98.96
30-59 159 8,494,321 0.82
60-89 40 2,272,883 0.22
- ---------------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
- ---------------------------- ------ ------------- -----
[LOGO] Merrill Lynch 22
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
Product Type Count Balance Total
- ---------------------------- ------ ------------- -----
Balloon - 20/15 13 609,825 0.06
Balloon -30/5 3 111,439 0.01
Balloon - 30/15 7,912 541,668,348 52.29
Fixed 9,351 493,523,762 47.64
- ---------------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
- ---------------------------- ------ ------------- -----
Outstanding Pct.
Principal of
Lien Position Count Balance Total
- ---------------------------- ------ ------------- -----
1st Lien 15,220 970,660,002 93.70
2nd Lien 2,059 65,253,372 6.30
- ---------------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
- ---------------------------- ------ ------------- -----
Outstanding Pct.
Principal of
Balloon Count Balance Total
- ---------------------------- ------ ------------- -----
Balloon 7,928 542,389,612 52.36
Non-Balloon 9,351 493,523,762 47.64
- ---------------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
- ---------------------------- ------ ------------- -----
[LOGO] Merrill Lynch 23
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Property Principal of
Type Count Balance Total
- ---------------------------- ------ ------------- -----
2 Family Residence 684 42,089,795 4.06
3-4 Family Residence 211 18,208,441 1.76
High Rise Condo 10 411,726 0.04
Low Rise Condo 108 5,737,910 0.55
Manufactured 527 26,541,636 2.56
Mixed Use-Comrcl 14 1,537,127 0.15
Mixed Use-Consum 31 3,353,321 0.32
Pud 135 10,910,115 1.05
SFR Attached 627 31,121,513 3.00
SFR Detached 14,932 896,001,791 86.49
- ---------------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
- ---------------------------- ------ ------------- -----
Outstanding Pct.
Principal of
Loan Purpose Count Balance Total
- ---------------------------- ------ ------------- -----
Debt Consol 13,282 786,083,955 75.88
Purchase 1,603 116,586,101 11.25
DC & HI Combo 453 24,525,513 2.37
Other 1,360 80,286,653 7.75
Home Improve. 581 28,431,152 2.74
- ---------------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
- ---------------------------- ------ ------------- -----
Outstanding Pct.
Occupancy Principal of
Status Count Balance Total
- ---------------------------- ------ ------------- -----
Investor Owned 902 40,159,605 3.88
Owner Occupied 16,377 995,753,769 96.12
- ---------------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
- ---------------------------- ------ ------------- -----
[LOGO] Merrill Lynch 24
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
States Count Balance Total
-------------------- ----- ----------- -----
Michigan 2,091 103,503,187 9.99
Ohio 1,704 97,750,804 9.44
North Carolina 1,309 74,426,381 7.18
Illinois 1,188 70,099,176 6.77
Florida 1,219 69,566,853 6.72
Pennsylvania 1,121 65,220,462 6.30
New York 763 59,582,515 5.75
Indiana 1,097 52,557,999 5.07
New Jersey 604 50,049,094 4.83
Georgia 566 36,779,837 3.55
Maryland 494 34,672,008 3.35
California 257 26,022,022 2.51
South Carolina 468 24,221,806 2.34
Massachusetts 298 23,576,584 2.28
Missouri 441 19,751,567 1.91
Virginia 320 19,619,675 1.89
Kentucky 322 17,868,370 1.72
Tennessee 272 15,358,085 1.48
Colorado 194 15,190,957 1.47
Texas 204 13,101,038 1.26
Minnesota 209 12,646,218 1.22
Wisconsin 229 12,173,499 1.18
Utah 176 11,591,070 1.12
Connecticut 133 11,264,665 1.09
New Mexico 159 10,922,321 1.05
Arizona 155 10,765,993 1.04
Louisiana 166 9,559,508 0.92
Washington 102 8,350,526 0.81
Oregon 85 6,716,132 0.65
Mississippi 125 5,825,373 0.56
Rhode Island 84 5,701,508 0.55
Iowa 120 5,685,865 0.55
District of Columbia 63 5,344,891 0.52
Kansas 89 4,071,998 0.39
Delaware 54 3,487,507 0.34
[LOGO] Merrill Lynch 25
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
New Hampshire 41 3,483,921 0.34
[LOGO] Merrill Lynch 26
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
States Count Balance Total
-------------------- ----- ----------- -----
Oklahoma 69 3,254,015 0.31
Nevada 40 3,113,708 0.30
Nebraska 66 2,890,175 0.28
Arkansas 49 2,290,760 0.22
Idaho 32 1,754,967 0.17
Hawaii 12 1,668,220 0.16
West Virginia 33 1,366,899 0.13
Maine 26 1,263,901 0.12
Montana 18 1,152,512 0.11
Wyoming 7 366,308 0.04
South Dakota 4 262,896 0.03
North Dakota 1 19,600 0.00
-------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
-------------------- ------ ------------- -----
[LOGO] Merrill Lynch 27
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
Documentation Level Count Balance Total
- ---------------------------- ------ ------------- -----
Full Doc -Asset and Income 15,658 927,111,426 89.50
No Income Verifier 956 66,445,655 6.41
No Documentation 643 39,775,055 3.84
Other 22 2,581,238 0.25
- ---------------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
- ---------------------------- ------ ------------- -----
Outstanding Pct.
Principal of
Credit Rating Count Balance Total
- ---------------------------- ------ ------------- -----
A 8,783 587,060,452 56.67
B 4,308 249,853,726 24.12
C 3,180 158,503,754 15.30
D 986 37,914,203 3.66
M 22 2,581,238 0.25
- ---------------------------- ------ ------------- -----
Total: 17,279 1,035,913,374 100
- ---------------------------- ------ ------------- -----
[LOGO] Merrill Lynch 28
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Range of Outstanding Pct.
Outstanding Principal of
Principal Balance Count Balance Total
- ---------------------------- ----- ----------- -----
0.01 - 25,000.00 89 1,882,534 0.50
25,000.01 - 50,000.00 756 29,771,363 7.92
50,000.01 - 75,000.00 1,038 64,977,609 17.29
75,000.01 - 100,000.00 802 70,092,420 18.66
100,000.01 - 125,000.00 540 60,439,051 16.09
125,000.01 - 150,000.00 271 37,095,614 9.87
150,000.01 - 175,000.00 176 28,462,242 7.58
175,000.01 - 200,000.00 130 24,295,390 6.47
200,000.01 - 225,000.00 68 14,451,145 3.85
225,000.01 - 250,000.00 34 8,114,722 2.16
250,000.01 - 275,000.00 34 8,938,935 2.38
275,000.01 - 300,000.00 37 10,678,949 2.84
300,000.01 - 325,000.00 19 6,017,006 1.60
325,000.01 - 350,000.00 16 5,406,055 1.44
350,000.01 - 400,000.00 10 3,759,229 1.00
400,000.01 - 450,000.00 3 1,337,174 0.36
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Min: 11,000.00
Max: 449,846.40
Average: 93,392.85
- ---------------------------- ----- ----------- -----
[LOGO] Merrill Lynch 29
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
- --------------------------------------------------------------------------------
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Range of Principal of
Current Coupons Count Balance Total
- ---------------------------- ----- ----------- -----
6.01 - 7.00 3 476,886 0.13
7.01 - 8.00 44 5,286,570 1.41
8.01 - 9.00 316 35,342,976 9.41
9.01 - 10.00 1,016 110,762,435 29.48
10.01 - 11.00 1,464 136,489,769 36.33
11.01 - 12.00 868 67,016,617 17.84
12.01 - 13.00 228 15,673,814 4.17
13.01 - 14.00 54 3,146,910 0.84
14.01 - 15.00 24 1,253,482 0.33
15.01 - 16.00 6 269,979 0.07
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Min: 6.25
Max: 15.90
WAC: 10.36
- ---------------------------- ----- ----------- -----
Range of Outstanding Pct.
Original Principal of
Terms to Maturity Count Balance Total
- ---------------------------- ----- ----------- -----
0- 120 1 26,873 0.01
121- 180 10 917,376 0.24
181- 240 1 91,800 0.02
301- 360 4,011 374,683,388 99.72
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Min: 120
Max: 360
Weighted Average: 359.51
- ---------------------------- ----- ----------- -----
[LOGO] Merrill Lynch 30
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Range of Outstanding Pct.
Remaining Principal of
Terms to Maturity Count Balance Total
- -------------------- ----- ----------- ------
0 - 120 1 26,873 0.01
121 - 180 10 917,376 0.24
181 - 240 1 91,800 0.02
301 - 360 4011 374,683,388 99.72
- -------------------- ----- ----------- ------
Total: 4,023 375,719,437 100.00
- -------------------- ----- ----------- ------
Min: 119
Max: 360
Weighted Average: 358.42
- -------------------- ----- ----------- ------
Outstanding Pct.
Range of Principal of
Seasoning Count Balance Total
- ---------------------------- ----- ----------- -----
0 - 1 2,812 266,161,203 70.84
2 - 12 1,209 109,222,843 29.07
13 >= 2 335,391 0.09
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Min: 0
Max: 16
Weighted Average: 1.09
- ---------------------------- ----- ----------- -----
[LOGO] Merrill Lynch 31
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Range of Principal of
Original LTV Count Balance Total
- ---------------------------- ----- ----------- -----
10.01 - 15.00 1 19,994 0.01
15.01 - 20.00 4 157,348 0.04
20.01 - 25.00 10 248,781 0.07
25.01 - 30.00 11 567,054 0.15
30.01 - 35.00 11 847,612 0.23
35.01 - 40.00 36 1,673,507 0.45
40.01 - 45.00 43 2,633,958 0.70
45.01 - 50.00 84 5,123,009 1.36
50.01 - 55.00 73 4,713,935 1.25
55.01 - 60.00 146 10,949,272 2.91
60.01 - 65.00 258 20,357,868 5.42
65.01 - 70.00 407 34,895,791 9.29
70.01 - 75.00 678 60,792,554 16.18
75.01 - 80.00 1,061 101,262,305 26.95
80.01 >= 1,200 131,476,450 34.99
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Min: 10.58
Max: 100.00
Weighted Average: 77.46
- ---------------------------- ----- ----------- -----
[LOGO] Merrill Lynch 32
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Range of Outstanding Pct.
Debt to Income Principal of
Ratio Count Balance Total
- ---------------------------- ----- ----------- -----
0.01 - 5.00 1 200,000 0.05
5.01 - 10.00 25 1,462,797 0.39
10.01 - 15.00 64 4,198,486 1.12
15.01 - 20.00 162 1,0361477 2.76
20.01 - 25.00 259 19,774,899 5.26
25.01 - 30.00 366 27,386,133 7.29
30.01 - 35.00 514 45,686,207 12.16
35.01 - 40.00 615 55,284,786 14.71
40.01 - 45.00 742 75,479,857 20.09
45.01 - 50.00 948 97,521,497 25.96
50.01 - 55.00 282 32,414,604 8.63
55.01 - 60.00 42 5,698,297 1.52
60.01 - 65.00 2 153,438 0.04
65.01 - 70.00 1 96,958 0.03
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Min: 2.00
Max: 74.00
Weighted Average: 40.12
- ---------------------------- ----- ----------- -----
Outstanding Pct.
Principal of
Days Delinquent Count Balance Total
- ---------------------------- ----- ----------- -----
0-29 4,005 374,318,170 99.63
30-59 11 721,040 0.19
60-89 7 680,227 0.18
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Outstanding Pct.
Principal of
Index Type Count Balance Total
- ---------------------------- ----- ----------- -----
Libor - 6 Month 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
[LOGO] Merrill Lynch 33
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
[LOGO] Merrill Lynch 34
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
Product Type Count Balance Total
- ---------------------------- ----- ----------- -----
ARM - 6 Month 720 70,212,865 18.68
ARM - 2 Year/6Month 2,802 256,186,748 68.19
ARM - 3 Year/6 Month 501 49,319,823 13.13
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Outstanding Pct.
Principal of
Lien Position Count Balance Total
- ---------------------------- ----- ----------- -----
1st Lien 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Outstanding Pct.
Principal of
Balloon Count Balance Total
- ---------------------------- ----- ----------- -----
Balloon 2 243,784 0.06
Non-Balloon 4,021 375,475,653 99.94
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Outstanding Pct.
Property Principal of
Type Count Balance Total
- ---------------------------- ----- ----------- -----
Single Family Detached 3,544 329,668,444 87.74
2-4 Family 151 12,939,639 3.45
PUD 141 18,994,442 5.06
Manufactured Housing 90 6,507,713 1.73
Condo 66 5,487,240 1.46
Single Family Attached 31 2,121,958 0.56
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
[LOGO] Merrill Lynch 35
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
Loan Purpose Count Balance Total
- ---------------------------- ----- ----------- -----
Debt Consolidation 2,181 192,082,399 51.12
Purchase 1,187 122,438,887 32.59
Debt Cons. & Home Improv. 92 8,116,583 2.16
Other 500 49,054,610 13.06
Home Improvement 63 4,026,958 1.07
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Outstanding Pct.
Occupancy Principal of
Status Count Balance Total
- ---------------------------- ----- ----------- -----
Owner Occupied 3,786 358,320,871 95.37
Investor Owned 237 17,398,565 4.63
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Outstanding Pct.
Principal of
Documentation Level Count Balance Total
- ---------------------------- ----- ----------- -----
Full Doc -Asset and Income 3,337 304,853,955 81.14
No Income Verifier 328 36,142,514 9.62
No Documentation 357 34,571,746 9.20
Mixed Use 1 151,222 0.04
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
[LOGO] Merrill Lynch 36
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
States Count Balance Total
- -------------------- ----- ----------- -----
Arkansas 5 376,797 0.10
Arizona 180 16,289,949 4.34
California 491 64,638,308 17.20
Colorado 191 20,500,899 5.46
Connecticut 43 4,011,143 1.07
District of Columbia 4 347,764 0.09
Delaware 5 465,596 0.12
Florida 163 15,656,583 4.17
Georgia 62 6,282,146 1.67
Hawaii 40 6,556,259 1.74
Iowa 18 955,863 0.25
Idaho 29 2,322,035 0.62
Illinois 122 10,076,618 2.68
Indiana 87 5,224,992 1.39
Kansas 27 2,171,551 0.58
Kentucky 37 2,321,915 0.62
Louisiana 16 1,218,380 0.32
Massachusetts 70 8,405,300 2.24
Maryland 39 4,453,965 1.19
Maine 7 984,598 0.26
Michigan 669 45,802,339 12.19
Minnesota 83 6,427,927 1.71
Missouri 92 5,844,797 1.56
Mississippi 8 691,177 0.18
Montana 8 885,658 0.24
North Carolina 63 4,209,587 1.12
North Dakota 2 78,100 0.02
Nebraska 15 833,921 0.22
New Hampshire 1 58,207 0.02
New Jersey 17 2,342,272 0.62
New Mexico 88 8,036,684 2.14
Nevada 69 8,678,151 2.31
New York 23 2,401,998 0.64
Ohio 284 21,696,145 5.77
Oklahoma 19 1,259,832 0.34
Oregon 125 13,144,396 3.50
Pennsylvania 72 5,492,237 1.46
Rhode Island 20 1,658,997 0.44
South Carolina 25 1,650,275 0.44
South Dakota 4 260,698 0.07
Tennessee 29 2,291,993 0.61
Texas 169 18,011,346 4.79
Utah 196 22,075,501 5.88
[LOGO] Merrill Lynch 37
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
States Count Balance Total
- ---------------------------- ----- ----------- ----
Virginia 22 2,317,303 0.62
Vermont 1 205,000 0.05
Washington 213 21,395,266 5.69
Wisconsin 63 4,292,132 1.14
West Virginia 3 225,506 0.06
Wyoming 4 191,331 0.05
----- ----------- ----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- ----
[LOGO] Merrill Lynch 38
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
Credit Rating Count Balance Total
- ---------------------------- ----- ----------- -----
A 1,986 208,488,805 55.49
B 1,131 102,809,835 27.36
C 743 54,444,704 14.49
D 162 9,824,870 2.62
M 1 151,222 0.04
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Outstanding Pct.
Range of Principal of
Margins Count Balance Total
- ---------------------------- ----- ----------- -----
0.00 - 0.99 2 119,126 0.03
3.00 - 3.99 18 1,776,135 0.47
4.00 - 4.99 189 20,649,549 5.50
5.00 - 5.99 1272 136,046,210 36.21
6.00 - 6.99 1558 142,379,427 37.90
7.00 - 7.99 761 59,006,261 15.70
8.00 - 8.99 178 12,619,495 3.36
9.00 - 9.99 39 2,660,280 0.71
10.00 - 10.99 5 411,017 0.11
11.00 - 11.99 1 51,935 0.01
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Min: 0.45
Max: 11.85
Weighted Average: 6.24
- ---------------------------- ----- ----------- -----
[LOGO] Merrill Lynch 39
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Initial Outstanding Pct.
Periodic Principal of
Cap Count Balance Total
- ---------------------------- ----- ----------- -----
1.000 712 69,049,885 18.38
1.500 15 1,749,631 0.47
2.000 60 6,425,826 1.71
3.000 3194 294,345,073 78.34
5.000 1 57,000 0.02
6.000 26 2,642,783 0.70
7.000 15 1,449,238 0.39
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Min: 1.00
Max: 7.00
Weighted Average: 2.645
- ---------------------------- ----- ----------- -----
Outstanding Pct.
Periodic Principal of
Rate Cap Count Balance Total
- ---------------------------- ----- ----------- -----
1.00 3539 327,320,939 87.12
1.50 475 47,595,473 12.67
2.00 2 321,540 0.09
3.00 6 421,574 0.11
6.00 1 59,909 0.02
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Min: 1.000
Max: 6.000
Weighted Average: 1.067
- ---------------------------- ----- ----------- -----
[LOGO] Merrill Lynch 40
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
Maximum Rate Count Balance Total
- ---------------------------- ----- ----------- -----
11.01 - 12.00 1 277,184 0.07
12.01 - 13.00 0 0 0.0
13.01 - 14.00 27 3,060,306 0.81
14.01 - 15.00 200 21,935,347 5.84
15.01 - 16.00 845 93,039,075 24.76
16.01 - 17.00 1460 139,962,331 37.25
17.01 - 18.00 991 80,793,212 21.50
18.01 - 19.00 360 26,768,923 7.12
19.01 - 20.00 99 7,712,029 2.05
20.01 - 21.00 29 1,632,013 0.43
21.01 - 22.00 8 350,575 0.09
22.01 - 23.00 3 188,441 0.05
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Min: 11.88
Max: 22.90
Weighted Average: 16.64
- ---------------------------- ----- ----------- -----
[LOGO] Merrill Lynch 41
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
Minimum Rate Count Balance Total
- ---------------------------- ----- ----------- -----
< 0.01 2 106,383 0.03
2.01 - 3.00 1 277,184 0.07
3.01 - 4.00 2 228,650 0.06
4.01 - 5.00 2 211,606 0.06
5.01 - 6.00 7 594,400 0.16
6.01 - 7.00 9 1,105,080 0.29
7.01 - 8.00 50 5,530,357 1.47
8.01 - 9.00 320 35,650,193 9.49
9.01 - 10.00 1015 110,651,102 29.45
10.01 - 11.00 1448 134,929,945 35.91
11.01 - 12.00 863 66,776,228 17.77
12.01 - 13.00 223 15,289,268 4.07
13.01 - 14.00 51 2,845,579 0.76
14.01 - 15.00 24 1,253,482 0.33
15.01 - 16.00 6 269,979 0.07
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Min.0.00
Max: 15.90
Weighted Average: 10.32
- ---------------------------- ----- ----------- -----
[LOGO] Merrill Lynch 42
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Next Rate Outstanding Pct.
Adjustment Principal of
Date Count Balance Total
- ---------------------------- ----- ----------- -----
1997-10 28 2,100,765 0.56
1997-11 71 6,220,519 1.66
1997-12 176 18,250,036 4.86
1998-01 223 20,112,864 5.35
1998-02 159 17,326,311 4.61
1998-03 63 6,202,370 1.65
1999-01 3 280,340 0.07
1999-02 4 367,548 1.10
1999-03 12 1,823,627 0.49
1999-04 28 2,411,679 0.64
1999-05 141 11,090,567 2.95
1999-06 579 52,022,798 13.85
1999-07 1,060 92,959,052 24.74
1999-08 779 75,784,729 20.17
1999-09 197 19,723,591 5.25
2000-03 1 59,816 0.02
2000-04 3 230,617 0.06
2000-05 18 1,064,810 0.28
2000-06 101 9,531,083 2.54
2000-07 164 15,832,351 4.21
2000-08 152 14,960,262 3.98
2000-09 61 7,363,700 1.96
- ---------------------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ---------------------------- ----- ----------- -----
Min (in months): 1
Max: 36
Weighted Average: 20.41
- ---------------------------- ----- ----------- -----
[LOGO] Merrill Lynch 43
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
TO MATURITY
- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed Prepay PPC 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200%
ARM Prepay CPR 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50%
Class A-1
Avg. Life 5.53 0.76 0.59 0.50 0.50 0.50 0.50 0.50
Start Prin 10/97 10/97 10/97 10/97 10/97 10/97 10/97 10/97
End Prin 10/07 02/99 10/98 08/98 08/98 08/98 08/98 08/98
Window (mos.) 121 17 13 11 11 11 11 11
Class A-2
Avg. Life 12.22 1.94 1.42 1.15 1.15 1.15 1.15 1.15
Start Prin 10/07 02/99 10/98 08/98 08/98 08/98 08/98 08/98
End Prin 11/11 03/00 07/99 02/99 02/99 02/99 02/99 02/99
Window (mos.) 50 14 10 7 7 7 7 7
Class A-3
Avg. Life 14.76 3.61 2.58 2.04 2.04 2.04 2.04 1.98
Start Prin 11/11 03/00 07/99 02/99 02/99 02/99 02/99 02/99
End Prin 07/12 08/02 03/01 06/00 06/00 06/00 06/00 04/00
Window (mos.) 9 30 21 17 17 17 17 15
Class A-4
Avg. Life 14.81 5.34 3.79 3.04 3.04 3.04 3.04 2.77
Start Prin 07/12 08/02 03/01 06/00 06/00 06/00 06/00 04/00
End Prin 07/12 07/03 11/01 03/01 03/01 03/01 03/01 12/00
Window (mos.) 1 12 9 10 10 10 10 9
</TABLE>
[LOGO] Merrill Lynch 44
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
TO MATURITY
- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed Prepay PPC 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200%
ARM Prepay CPR 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50%
Class A-5
Avg. Life 14.82 6.58 4.68 4.05 4.05 4.05 4.05 3.79
Start Prin 07/12 07/03 11/01 03/01 03/01 03/01 03/01 12/00
End Prin 10/12 02/05 01/03 07/02 07/02 07/02 07/02 03/02
Window (mos.) 4 20 15 17 17 17 17 16
Class A-6
Avg. Life 15.56 7.68 5.47 5.09 5.09 5.09 5.09 4.77
Start Prin 10/12 02/05 01/03 07/02 07/02 07/02 07/02 03/02
End Prin 09/13 09/05 05/03 03/03 03/03 03/03 03/03 11/02
Window (mos.) 12 8 5 9 9 9 9 9
Class A-7
Avg. Life 17.16 8.70 6.97 6.95 6.95 6.95 6.95 6.57
Start Prin 09/13 09/05 05/03 03/03 03/03 03/03 03/03 11/02
End Prin 09/16 12/07 12/07 12/07 12/07 12/07 12/07 08/07
Window (mos.) 37 28 56 58 58 58 58 58
Class A-8
Avg. Life 21.95 10.77 7.26 4.13 1.25 0.74 0.52 0.31
Start Prin 09/16 02/07 08/03 10/97 10/97 10/97 10/97 10/97
End Prin 02/22 01/10 05/06 07/03 10/00 03/99 09/98 04/98
Window (mos.) 66 36 34 70 37 18 12 7
Class B-1F
Avg. Life 21.50 10.93 8.24 6.35 5.14 4.69 4.25 3.51
Start Prin 07/12 10/03 `01/02 01/01 10/00 10/00 10/00 10/00
End Prin 04/26 07/12 04/12 02/09 12/06 02/06 02/05 02/03
Window (mos.) 166 106 124 98 75 65 53 29
</TABLE>
[LOGO] Merrill Lynch 45
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
TO CALL
- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed Prepay PPC 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200%
ARM Prepay CPR 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50%
Class A-5
Avg. Life 14.82 6.58 4.68 4.05 4.05 4.05 4.05 3.79
Start Prin 07/12 07/03 11/01 03/01 03/01 03/01 03/01 12/00
End Prin 10/12 02/05 01/03 07/02 07/02 07/02 07/02 02/02
Window (mos.) 4 20 15 17 17 17 17 15
Class A-6
Avg. Life 15.56 7.68 5.47 5.09 5.09 5.09 5.09 4.39
Start Prin 10/12 02/05 01/03 07/02 07/02 07/02 07/02 02/02
End Prin 09/13 09/05 05/03 03/03 03/03 03/03 03/03 02/02
Window (mos.) 12 8 5 9 9 9 9 1
Class A-7
Avg. Life 17.16 8.70 6.97 6.93 6.66 6.40 5.96 4.39
Start Prin 09/13 09/05 05/03 03/03 03/03 03/03 03/03 02/02
End Prin 09/16 12/07 12/07 02/07 04/05 07/04 10/03 02/02
Window (mos.) 37 28 56 48 26 17 8 1
Class A-8
Avg. Life 21.95 10.77 7.26 4.13 1.25 0.74 0.52 0.31
Start Prin 09/16 02/07 08/03 10/97 10/97 10/97 10/97 10/97
End Prin 02/22 01/10 05/06 07/03 10/00 03/99 09/98 04/98
Window (mos.) 66 36 34 70 37 18 12 7
Class B-1F
Avg. Life 21.43 10.93 8.10 6.24 5.05 4.60 4.18 3.45
Start Prin 07/12 10/03 `01/02 01/01 10/00 10/00 10/00 10/00
End Prin 03/25 07/12 10/09 02/07 04/05 07/04 10/03 02/02
Window (mos.) 153 106 94 74 55 46 37 17
</TABLE>
[LOGO] Merrill Lynch 46
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
[LOGO] Merrill Lynch 47
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-1
To Maturity
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
9/97 100 100 100 100 100 100 100 100
9/98 88 30 5 0 0 0 0 0
9/99 82 0 0 0 0 0 0 0
9/00 75 0 0 0 0 0 0 0
9/01 68 0 0 0 0 0 0 0
9/02 59 0 0 0 0 0 0 0
9/03 50 0 0 0 0 0 0 0
9/04 39 0 0 0 0 0 0 0
9/05 27 0 0 0 0 0 0 0
9/06 14 0 0 0 0 0 0 0
9/07 0 0 0 0 0 0 0 0
9/08 0 0 0 0 0 0 0 0
9/09 0 0 0 0 0 0 0 0
9/10 0 0 0 0 0 0 0 0
9/11 0 0 0 0 0 0 0 0
9/12 0 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 5.53 0.76 0.59 0.50 0.50 0.50 0.50 0.50
</TABLE>
[LOGO] Merrill Lynch 48
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-2
To Maturity
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 74 74 74 74 74
9/99 100 42 0 0 0 0 0 0
9/00 100 0 0 0 0 0 0 0
9/01 100 0 0 0 0 0 0 0
9/02 100 0 0 0 0 0 0 0
9/03 100 0 0 0 0 0 0 0
9/04 100 0 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 80 0 0 0 0 0 0 0
9/09 57 0 0 0 0 0 0 0
9/10 31 0 0 0 0 0 0 0
9/11 3 0 0 0 0 0 0 0
9/12 0 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 12.22 1.94 1.42 1.15 1.15 1.15 1.15 1.15
</TABLE>
[LOGO] Merrill Lynch 49
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-3
To Maturity
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 85 50 50 50 50 47
9/00 100 75 24 0 0 0 0 0
9/01 100 32 0 0 0 0 0 0
9/02 100 0 0 0 0 0 0 0
9/03 100 0 0 0 0 0 0 0
9/04 100 0 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 0 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 14.76 3.61 2.58 2.04 2.04 2.04 2.04 1.98
</TABLE>
[LOGO] Merrill Lynch 50
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-4
To Maturity
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 40 40 40 40 2
9/01 100 100 18 0 0 0 0 0
9/02 100 84 0 0 0 0 0 0
9/03 100 0 0 0 0 0 0 0
9/04 100 0 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 0 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 14.81 5.34 3.79 3.04 3.04 3.04 3.04 2.77
</TABLE>
[LOGO] Merrill Lynch 51
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-5
To Maturity
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 100 100 100 100 100
9/01 100 100 100 50 50 50 50 30
9/02 100 100 21 0 0 0 0 0
9/03 100 86 0 0 0 0 0 0
9/04 100 23 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 2 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 14.82 6.58 4.68 4.05 4.05 4.05 4.05 3.79
</TABLE>
[LOGO] Merrill Lynch 52
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-6
To Maturity
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 100 100 100 100 100
9/01 100 100 100 100 100 100 100 100
9/02 100 100 100 61 61 61 61 13
9/03 100 100 0 0 0 0 0 0
9/04 100 100 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 100 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 15.56 7.68 5.47 5.09 5.09 5.09 5.09 4.77
</TABLE>
[LOGO] Merrill Lynch 53
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-7
To Maturity
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 100 100 100 100 100
9/01 100 100 100 100 100 100 100 100
9/02 100 100 100 100 100 100 100 100
9/03 100 100 73 73 73 73 73 59
9/04 100 100 40 40 40 40 40 30
9/05 100 96 20 20 20 20 20 14
9/06 100 27 8 8 8 8 8 5
9/07 100 1 1 1 1 1 1 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 100 0 0 0 0 0 0 0
9/13 100 0 0 0 0 0 0 0
9/14 50 0 0 0 0 0 0 0
9/15 18 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 17.16 8.70 6.97 6.95 6.95 6.95 6.95 6.57
</TABLE>
[LOGO] Merrill Lynch 54
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-8
To Maturity
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 97 54 28 0 0
9/99 100 100 100 96 19 0 0 0
9/00 100 100 100 95 4 0 0 0
9/01 100 100 100 56 0 0 0 0
9/02 100 100 100 27 0 0 0 0
9/03 100 100 95 0 0 0 0 0
9/04 100 100 59 0 0 0 0 0
9/05 100 100 22 0 0 0 0 0
9/06 100 100 0 0 0 0 0 0
9/07 100 76 0 0 0 0 0 0
9/08 100 41 0 0 0 0 0 0
9/09 100 8 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 100 0 0 0 0 0 0 0
9/13 100 0 0 0 0 0 0 0
9/14 100 0 0 0 0 0 0 0
9/15 100 0 0 0 0 0 0 0
9/16 100 0 0 0 0 0 0 0
9/17 86 0 0 0 0 0 0 0
9/18 69 0 0 0 0 0 0 0
9/19 51 0 0 0 0 0 0 0
9/20 31 0 0 0 0 0 0 0
9/21 8 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 21.95 10.77 7.26 4.13 1.25 0.74 0.52 0.31
</TABLE>
[LOGO] Merrill Lynch 55
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class B1-F
To Maturity
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 100 100 100 100 100
9/01 100 100 100 84 66 57 47 19
9/02 100 100 87 65 47 37 26 4
9/03 100 100 72 51 30 21 12 0
9/04 100 88 59 36 17 10 3 0
9/05 100 77 49 24 8 2 0 0
9/06 100 66 37 15 1 0 0 0
9/07 100 58 27 7 0 0 0 0
9/08 100 50 19 2 0 0 0 0
9/09 100 41 12 0 0 0 0 0
9/10 100 33 7 0 0 0 0 0
9/11 100 25 2 0 0 0 0 0
9/12 84 0 0 0 0 0 0 0
9/13 77 0 0 0 0 0 0 0
9/14 70 0 0 0 0 0 0 0
9/15 65 0 0 0 0 0 0 0
9/16 62 0 0 0 0 0 0 0
9/17 59 0 0 0 0 0 0 0
9/18 56 0 0 0 0 0 0 0
9/19 52 0 0 0 0 0 0 0
9/20 47 0 0 0 0 0 0 0
9/21 41 0 0 0 0 0 0 0
9/22 33 0 0 0 0 0 0 0
9/23 25 0 0 0 0 0 0 0
9/24 16 0 0 0 0 0 0 0
9/25 6 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 21.50 10.93 8.24 6.35 5.14 4.69 4.25 3.51
</TABLE>
[LOGO] Merrill Lynch 56
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Available Funds Cap
- -------------------
Period Date Coupon Excess
------ ---- ------ ------
1 10/15/97 10.006 3.139
2 11/15/97 10.009 3.137
3 12/15/97 10.016 3.134
4 1/15/98 10.030 3.139
5 2/15/98 10.048 3.146
6 3/15/98 10.063 3.149
7 4/15/98 10.069 3.140
8 5/15/98 10.070 3.126
9 6/15/98 10.073 3.112
10 7/15/98 10.084 3.104
11 8/15/98 10.098 3.099
12 9/15/98 10.109 3.092
13 10/15/98 10.113 3.078
14 11/15/98 10.113 3.058
15 12/15/98 10.112 3.038
16 1/15/99 10.114 3.020
17 2/15/99 10.118 3.003
18 3/15/99 10.119 2.983
19 4/15/99 10.119 2.962
20 5/15/99 10.118 2.939
21 6/15/99 10.117 2.916
22 7/15/99 10.115 2.893
23 8/15/99 10.366 3.120
24 9/15/99 10.364 3.095
25 10/15/99 10.361 3.068
26 11/15/99 10.359 3.041
27 12/15/99 10.357 3.013
28 1/15/00 10.354 2.985
29 2/15/00 10.352 2.956
30 3/15/00 10.349 2.926
[LOGO] Merrill Lynch 57
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Available Funds Cap
- -------------------
Period Date Coupon Excess
------ ---- ------ ------
31 4/15/00 10.437 4.000
32 5/15/00 10.436 3.998
33 6/15/00 10.436 3.997
34 7/15/00 10.436 3.997
35 8/15/00 10.478 4.040
36 9/15/00 10.478 4.041
37 10/15/00 10.477 4.042
38 11/15/00 10.476 4.044
39 12/15/00 10.476 4.033
40 1/15/01 10.475 4.033
41 2/15/01 10.475 4.035
42 3/15/01 10.474 4.036
43 4/15/01 10.474 4.040
44 5/15/01 10.473 4.044
45 6/15/01 10.473 4.049
46 7/15/01 10.472 4.053
47 8/15/01 10.471 4.057
48 9/15/01 10.471 4.061
49 10/15/01 10.470 4.065
50 11/15/01 10.470 4.069
51 12/15/01 10.469 4.072
52 1/15/02 10.469 4.076
[LOGO] Merrill Lynch 58
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Available Funds Cap
- -------------------
Period Date Coupon Excess
------ ---- ------ ------
53 2/15/02 10.468 4.079
54 3/15/02 10.468 4.082
55 4/15/02 10.467 4.086
56 5/15/02 10.467 4.089
57 6/15/02 10.466 4.091
58 7/15/02 10.466 4.094
59 8/15/02 10.465 4.098
60 9/15/02 10.465 4.101
61 10/15/02 10.464 4.105
62 11/15/02 10.464 4.109
63 12/15/02 10.463 4.113
64 1/15/03 10.463 4.117
65 2/15/03 10.462 4.120
66 3/15/03 10.462 4.124
67 4/15/03 10.461 4.130
68 5/15/03 10.461 4.135
69 6/15/03 10.460 4.141
70 7/15/03 10.460 4.147
71 8/15/03 10.459 4.154
72 9/15/03 10.459 4.161
73 10/15/03 10.458 4.167
74 11/15/03 10.458 4.174
75 12/15/03 10.457 4.181
76 1/15/04 10.456 4.188
77 2/15/04 10.456 4.195
78 3/15/04 10.455 4.202
79 4/15/04 10.455 4.209
80 5/15/04 10.454 4.216
81 6/15/04 10.454 4.223
82 7/15/04 10.453 4.230
[LOGO] Merrill Lynch 59
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Available Funds Cap
- -------------------
Period Date Coupon Excess
------ ---- ------ ------
83 8/15/04 10.453 4.236
84 9/15/04 10.452 4.243
85 10/15/04 10.452 4.250
86 11/15/04 10.451 4.257
87 12/15/04 10.451 4.264
88 1/15/05 10.450 4.272
89 2/15/05 10.449 4.279
90 3/15/05 10.449 4.286
91 4/15/05 10.448 4.293
92 5/15/05 10.448 4.300
93 6/15/05 10.447 4.308
94 7/15/05 10.447 4.315
95 8/15/05 10.446 4.323
96 9/15/05 10.446 4.330
97 10/15/05 10.445 4.338
98 11/15/05 10.444 4.345
99 12/15/05 10.444 4.353
100 1/15/06 10.443 4.361
101 2/15/06 10.443 4.369
102 3/15/06 10.442 4.377
103 4/15/06 10.441 4.386
104 5/15/06 10.441 4.394
105 6/15/06 10.440 4.403
106 7/15/06 10.439 4.411
107 8/15/06 10.439 4.420
108 9/15/06 10.438 4.429
109 10/15/06 10.437 4.438
110 11/15/06 10.437 4.448
111 12/15/06 10.436 4.457
112 1/15/07 10.435 4.456
[LOGO] Merrill Lynch 60
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Available Funds Cap
- -------------------
Period Date Coupon Excess
------ ---- ------ ------
113 2/15/07 10.435 4.461
114 3/15/07 10.434 4.466
115 4/15/07 10.434 4.471
116 5/15/07 10.433 4.477
117 6/15/07 10.432 4.482
118 7/15/07 10.432 4.488
119 8/15/07 10.431 4.493
120 9/15/07 10.430 4.499
121 10/15/07 10.430 4.504
122 11/15/07 10.429 4.510
123 12/15/07 10.428 4.516
124 1/15/08 10.428 4.521
125 2/15/08 10.427 4.520
126 3/15/08 10.426 4.520
127 4/15/08 10.425 4.519
128 5/15/08 10.424 4.518
129 6/15/08 10.424 4.517
130 7/15/08 10.423 4.516
131 8/15/08 10.422 4.516
132 9/15/08 10.421 4.515
133 10/15/08 10.420 4.514
134 11/15/08 10.419 4.513
135 12/15/08 10.418 4.512
136 1/15/09 10.417 4.511
137 2/15/09 10.416 4.510
138 3/15/09 10.415 4.509
139 4/15/09 10.414 4.508
140 5/15/09 10.413 4.506
141 6/15/09 10.412 4.505
142 7/15/09 10.410 4.504
[LOGO] Merrill Lynch 61
================================================================================
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Available Funds Cap
- -------------------
Period Date Coupon Excess
------ ---- ------ ------
143 8/15/09 10.409 4.503
144 9/15/09 10.408 4.501
145 10/15/09 10.406 4.500
146 11/15/09 10.405 4.498
147 12/15/09 10.403 4.497
148 1/15/10 10.402 4.495
149 2/15/10 10.400 4.494
150 3/15/10 10.398 4.492
151 4/15/10 10.396 4.490
152 5/15/10 10.394 4.488
153 6/15/10 10.392 4.486
154 7/15/10 10.390 4.484
155 8/15/10 10.388 4.482
156 9/15/10 10.386 4.479
157 10/15/10 10.383 4.477
158 11/15/10 10.381 4.474
159 12/15/10 10.378 4.471
160 1/15/11 10.375 4.469
161 2/15/11 10.372 4.465
162 3/15/11 10.368 4.462
163 4/15/11 10.365 4.458
164 5/15/11 10.361 4.455
165 6/15/11 10.357 4.451
166 7/15/11 10.353 4.446
167 8/15/11 10.348 4.442
168 9/15/11 10.343 4.437
169 10/15/11 10.338 4.431
170 11/15/11 10.332 4.425
171 12/15/11 10.325 4.419
172 1/15/12 10.319 4.412
173 2/15/12 10.311 4.405
174 3/15/12 10.303 4.397
175 4/15/12 10.294 4.388
176 5/15/12 10.284 4.378
177 6/15/12 10.273 4.367
178 7/15/12 10.261 4.355
[LOGO] Merrill Lynch 62
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statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
[LOGO] Merrill Lynch 63
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Recipients must read the information contained in the attached statement. Do not
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statement. If you have not received the statement, call your Merrill Lynch
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<PAGE>
[LOGO] Merrill Lynch 64
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use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
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<PAGE>
<TABLE>
<S> <C>
[LOGO]BEAR STEARNS BEAR, STEARNS & CO. INC.
ATLANTA o BEIJING o BOSTON o BUENOS AIRES o CHICAGO o DALLAS ASSET-BACKED SECURITIES GROUP
DUBLIN o GENEVA o HONG KONG o LONDON o LOS ANGELES 245 Park Avenue
LUGANO o NEW YORK o PARIS o SAN FRANCISCO o SAO PAOLO New York, New York 10167
SHANGAI o SINGAPORE o TOKYO o WASHINGTON, DC (212) 272-2000; (212) 272-7294 fax
ContiMortgage Home Equity Loan Trust, Series 1997-4: Updated Computational Materials
- ------------------------------------------------------------------------------------------------------------------------------------
Fax to: Date: 9/17/97
Company: # Pages (incl. cover): 2
Fax No: Phone No:
- ------------------------------------------------------------------------------------------------------------------------------------
From: Phone No:
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES,
PRICING ESTIMATES, AND OTHER INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by Bear Stearns, not as agent for any issuer, and
although it may be based on data supplied to it by an issuer, the issuer has not
participated in its preparation and makes no representations regarding its
accuracy or completeness. Should you receive Information that refers to the
"Statement Regarding Assumptions and Other Information," please refer to this
statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to significant
factors that may prove not to be as assumed. You should understand the
assumptions and evaluate whether they are appropriate for your purposes.
Performance results are based on mathematical models that use inputs to
calculate results. As with all models, results may vary significantly depending
upon the value of the inputs given. Inputs to these models include but are not
limited to: prepayment expectations (economic prepayment models, single expected
lifetime prepayments or a vector of periodic prepayments), interest rate
assumptions (parallel and nonparallel changes for different maturity
instruments), collateral assumptions (actual pool level data, aggregated pool
level data, reported factors or imputed factors), volatility assumptions
(historically observed or implied current) and reported information (paydown
factors, rate resets, and trustee statements). Models used in any analysis may
be proprietary making the results difficult for any third party to reproduce.
Contact your registered representative for detailed explanations of any modeling
techniques employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of these
securities should be tested as assumptions different from those included in the
Information. The assumptions underlying the Information, including structure and
collateral, may be modified from time to time to reflect changed circumstances.
Any investment decision should be based only on the data in the prospectus and
the prospectus supplement or private placement memorandum (Offering Documents)
and the then current version of the Information. Offering Documents contain data
that is current as of their publication dates and after publication may no
longer be complete or current.. Contact your registered representative for
Offering Documents, current Information or additional materials, including other
models for performance analysis, which are likely to produce different results,
and any further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a) represent
our view, at the time determined, of the investment value of the securities
between the estimated bid and offer levels, the spread between which may be
significant due to market volatility or illiquidity, (b) do not constitute a bid
by any person for any security, (c) may not constitute prices at which the
securities could have been purchased or sold in any market, (d) have not been
confirmed by actual trades, may vary from the value Bear Stearns assigns any
such security while in its inventory, and may not take into account the size of
a position you have in the security, and (e) may have been derived from matrix
pricing that uses data relating to other securities whose prices are more
readily ascertainable to produce a hypothetical price based on the estimated
yield spread relationship between the securities.
General Information: The data underlying the Information has been obtained from
sources that we believe are reliable, but we do not guarantee the accuracy of
the underlying data or computations based thereon. Bear, Stearns. and/or
individuals thereof may have positions in these securities while the Information
is circulating or during such period may engage in transactions with the issuer
or its affiliates. We act as principal in transactions with you, and
accordingly, you must determine the appropriateness for you of such transactions
and address any legal, tax, or accounting considerations applicable to you. Bear
Stearns shall not be a fiduciary or advisor unless we have agreed in writing to
receive compensation specifically to act in such capacities. If you are subject
to ERISA, the Information is being furnished on the condition that it will not
form a primary basis for any investment decision. The Information is not a
solicitation of any transaction in securities which may be made only by
prospectus when required by law, in which event you may obtain such prospectus
from Bear Stearns.
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Updated Computational Materials as of 9/17/97
---------------------------------------------
(updated and/or additional information in italics below)
Updated Computational Materials
Delinquency and Loss Triggers
Delinquency Trigger:
o After the Stepdown Date, a Delinquency Trigger Event has occurred if on any
Payment Date 50% of the Three Month Rolling Average of 60+ Day Delinquent
Loans equals or exceeds the Senior Specified Enhancement Percentage
(8.60% = 2.15 X 4.0%).
o 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) until the Senior Enhancement Percentage
equals 50% of the Three Month Rolling Average of 60+ Day Delinquent Loans.
o Once achieved, principal distribution will be made available to the
subordinated classes in the original manner outlined except that the Class
A Certificates must maintain their new target (1-(50% of the Three Month
Rolling Average 60+ Day Delinquent Loans)).
o No additional overcollateralization will be built so long as the
overcollateralization target of 2.15% of the outstanding pool balance is
met, but no further step-downs of overcollateralization are allowed.
o If the Delinquency Trigger becomes cured, the Senior Enhancement Percentage
will decrease accordingly until the Senior Specified Enhancement Percentage
reached.
Cumulative Realized Loss Trigger Event:
o 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
October 1997-September 1999 1.05%
October 1999-September 2000 1.80%
October 2000-September 2001 2.40%
October 2001-September 2002 2.85%
October 2002 and thereafter 3.00%
o Upon the occurrence and during the continuance of a Cumulative Realized
Loss Trigger Event, the overcollateralization amount shall increase to
approximately [2.14%] of the original aggregate balance of the Fixed and
Adjustable Rate Loan Groups.
o The Class A Certificates will receive the product of (x) 93.55% minus the
percentage equivalent of a fraction, the numerator of which is 7,625,000
(the overcollateralization floor amount) and the denominator of which is
the outstanding aggregate Loan Balance of the Home Equity Loans and (y) the
current outstanding aggregate Loan Balance of the Home Equity Loans.
o Upon a cure, overcollateralization will step down to the original levels
prior the occurrence of a Cumulative Realized Loss Trigger Event (2.15% of
the aggregate pool balance).
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 2
BEAR STEARNS
<PAGE>
[LOGO] BEAR STEARNS BEAR, STEARNS & CO. INC.
ATLANTA o BEIJING o BOSTON o ASSET-BACKED SECURITIES GROUP
BUENOS AIRES o CHICAGO o DALLAS 245 Park Avenue
DUBLIN o GENEVA o HONG KONG o New York, New York 10167
LONDON o LOS ANGELES (212) 272-2000; (212) 272-7294 fax
LUGANO o NEW YORK o PARIS o
SAN FRANCISCO o SAO PAOLO
SHANGAI o SINGAPORE o TOKYO o
WASHINGTON, DC
ContiMortgage Home Equity Loan Trust 1997-4: Computational Materials
- --------------------------------------------------------------------------------
Fax to: Date: 9/15/97
Company: # Pages (incl. cover): 52
Fax No: Phone No:
- --------------------------------------------------------------------------------
From: Phone No:
- --------------------------------------------------------------------------------
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES,
PRICING ESTIMATES, AND OTHER INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by Bear Stearns, not as agent for any issuer, and
although it may be based on data supplied to it by an issuer, the issuer has not
participated in its preparation and makes no representations regarding its
accuracy or completeness. Should you receive Information that refers to the
"Statement Regarding Assumptions and Other Information," please refer to this
statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to significant
factors that may prove not to be as assumed. You should understand the
assumptions and evaluate whether they are appropriate for your purposes.
Performance results are based on mathematical models that use inputs to
calculate results. As with all models, results may vary significantly depending
upon the value of the inputs given. Inputs to these models include but are not
limited to: prepayment expectations (economic prepayment models, single expected
lifetime prepayments or a vector of periodic prepayments), interest rate
assumptions (parallel and nonparallel changes for different maturity
instruments), collateral assumptions (actual pool level data, aggregated pool
level data, reported factors or imputed factors), volatility assumptions
(historically observed or implied current) and reported information (paydown
factors, rate resets, and trustee statements). Models used in any analysis may
be proprietary making the results difficult for any third party to reproduce.
Contact your registered representative for detailed explanations of any modeling
techniques employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of these
securities should be tested as assumptions different from those included in the
Information. The assumptions underlying the Information, including structure and
collateral, may be modified from time to time to reflect changed circumstances.
Any investment decision should be based only on the data in the prospectus and
the prospectus supplement or private placement memorandum (Offering Documents)
and the then current version of the Information. Offering Documents contain data
that is current as of their publication dates and after publication may no
longer be complete or current.. Contact your registered representative for
Offering Documents, current Information or additional materials, including other
models for performance analysis, which are likely to produce different results,
and any further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a) represent
our view, at the time determined, of the investment value of the securities
between the estimated bid and offer levels, the spread between which may be
significant due to market volatility or illiquidity, (b) do not constitute a bid
by any person for any security, (c) may not constitute prices at which the
securities could have been purchased or sold in any market, (d) have not been
confirmed by actual trades, may vary from the value Bear Stearns assigns any
such security while in its inventory, and may not take into account the size of
a position you have in the security, and (e) may have been derived from matrix
pricing that uses data relating to other securities whose prices are more
readily ascertainable to produce a hypothetical price based on the estimated
yield spread relationship between the securities.
General Information: The data underlying the Information has been obtained from
sources that we believe are reliable, but we do not guarantee the accuracy of
the underlying data or computations based thereon. Bear, Stearns. and/or
individuals thereof may have positions in these securities while the Information
is circulating or during such period may engage in transactions with the issuer
or its affiliates. We act as principal in transactions with you, and
accordingly, you must determine the appropriateness for you of such transactions
and address any legal, tax, or accounting considerations applicable to you. Bear
Stearns shall not be a fiduciary or advisor unless we have agreed in writing to
receive compensation specifically to act in such capacities. If you are subject
to ERISA, the Information is being furnished on the condition that it will not
form a primary basis for any investment decision. The Information is not a
solicitation of any transaction in securities which may be made only by
prospectus when required by law, in which event you may obtain such prospectus
from Bear Stearns.
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Final
Scheduled
Class Size Expected Ratings Average Payment Date Payment Spread to
Class(2) ($ millions) Tranche Type (Moody's/Fitch/ Life (3,4) Window (3,4) Day Count Bench
S&P)
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 235 Fixed Sequential PAC Aaa/AAA/AAA 0.50 years/MAT 03/15/08 10/97-8/98 / 11 mo. 30/360
A-2 166 Fixed Sequential PAC Aaa/AAA/AAA 1.15 years/MAT 02/15/12 08/98-02/99 / 7 mo. 30/360
A-3 307 Fixed Sequential PAC Aaa/AAA/AAA 2.04 years/MAT 07/15/12 02/99-06/00 / 17 mo. 30/360
A-4 100 Fixed Sequential PAC Aaa/AAA/AAA 3.04 years/MAT 07/15/12 06/00-03/01 / 10 mo. 30/360
A-5 132 Fixed Sequential PAC Aaa/AAA/AAA 4.05 years/MAT 02/15/12 03/01-07/02 / 17 mo. 30/360
A-6 39 Fixed Sequential PAC Aaa/AAA/AAA 5.09 years/MAT 10/15/13 07/02-03/03 / 9 mo. 30/360
A-7 95.25 Fixed Sequential PAC Aaa/AAA/AAA 6.95 years/MAT 09/15/16 03/03-12/07 / 58 mo. 30/360
A-8 137.50 Floater Companion Aaa/AAA/AAA 1.25 years/CALL 02/15/22 10/97-10/00 / 37 mo. Actual/360
A-9 267.50 Auction Rate Companion(5) Aaa/AAA/AAA 7.37 years/MAT 10/15/28 10/00-07/12 / 142 mo. Actual/360
B-1F 45.75 Fixed Subordinate Baa3/BBB/BBB- 5.14 years/MAT 10/15/28 10/00-12/06 / 75 mo. 30/360
A-7IO --- Interest Only (6) Aaa/AAA/AAAr 30/360
- ------------------------------------------------------------------------------------------------------------------------------------
Total $1,525 -- -- -- -- --Home Equity Loans-- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The information presented is based on a representative cut-off pool as of
the 9/1/97 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-8 Certificates are
priced to call. The spread to LIBOR of the Floating Rate Class A-8
Certificates doubles after the clean-up call date. The WAL of Class A-8
Certificates does not change when run to maturity.
(5) The pass-through rate on the Class A-9 Certificates will be determined
pursuant to Auction Procedures. The Auction Rate Companion will be managed
by Merrill Lynch and Lehman Brothers only.
(6) Merrill Lynch sole managed.
Seller and Servicer: ContiMortgage Corporation
Trustee: Manufacturers and Traders Trust Company
Managers: Merrill Lynch (lead manager), ContiFinancial
Services Corporation, Bear Stearns, Credit Suisse
First Boston, Greenwich Capital Markets, Lehman
Brothers, Morgan Stanley Dean Witter (co-managers)
Fixed Rate Certificates: All the triple-A Fixed Rate Certificates 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 two Floating Rate Certificates will be triple-
AAA rated and will be companions to the PAC classes
in terms of principal repayment
Pricing Prepayment Speed: 125% of the prepayment assumption ("PPC") will be
applied to the Fixed Rate Group for pricing
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.
Expected Pricing Date: September 18, 1997.
Cut-Off Date Close of Business September 12, 1997
Expected Settlement: September 25, 1997 through DTC, Euroclear or CEDEL.
Beginning Accrual Period Fixed Rate Certificates, Class A-7IO:
September 13, 1997
First Period # Days Fixed Rate Certificates, Class A-7IO: 18 days
Interest Distribution
Distribution Dates: The 15th of each month, beginning October, 1997.
Optional Call: 10% Clean-up call (10% of original aggregate
loan balances).
Net Available Funds Cap: The Floating Rate Certificates will be subject to
an available funds cap equal to the weighted
average coupon rate of the aggregate Fixed and
Adjustable Rate Home Equity Loans less the sum of:
(a) an amount, expressed as a annual percentage
rate across the aggregate pool balance, equal to
the sum of the Servicing Fee, the Trustee Fee, the
Certificate Insurer Fee and the Broker Dealer Fee
(for the Class A-9 only), in each case due with
respect to the related period, (b) a 0.50% credit
enhancement carve out and (c) for the first 30
Payment Dates only the product of (i) 8.50% per
annum and (ii) the Class A-7IO Notional Principal
Amount divided by the aggregate pool balance. Tax
Status: REMIC
ERISA Eligibility: The Class A certificates are ERISA eligible.
SMMEA Eligibility: None of the offered certificates are SMMEA
eligible.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 2
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<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Transaction Structure Overview
- ------------------------------
o 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-1F Certificates.
o MBIA will wrap the Class A Certificates only (Class A1- A-9, A7IO).
o The Class A-1 through Class A-7 Certificates will be Planned Amortization
Class ("PAC") Certificates
1. The PAC certificates will pay principal sequentially according to the
amortization schedule below
2. The PAC prepayment bands are:
FRMs - 100% PPC to 190% PPC
ARMs - 24% CPR to 45.6% CPR
o The Class A-8 and Class A-9 Certificates will be sequential companion
bonds.
o The Pass-Through Rate on the Class A-9 Certificates will be determined
pursuant to monthly Auction Rate Procedures.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 3
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
PAC Schedule
- ------------
<TABLE>
Principal Payment
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
Period Class A-1 Class A-2 Class A-3 Class A-4 Class A-5 Class A-6 Class A-7
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
0 235,000,000.00 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
1 225,141,521.87 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
2 207,411,725.10 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
3 188,491,295.50 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
4 168,392,051.29 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
5 147,130,720.45 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
6 120,210,051.55 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
7 92,421,344.83 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
8 63,541,328.69 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
9 35,718,840.58 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
10 9,074,642.17 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
11 0.00 148,513,798.46 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
12 0.00 122,484,516.05 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
13 0.00 96,975,414.70 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
14 0.00 71,975,626.67 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
15 0.00 47,475,001.35 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
16 0.00 23,463,810.22 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
17 0.00 0.00 306,932,437.33 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
18 0.00 0.00 283,871,037.11 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
19 0.00 0.00 261,670,182.65 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
20 0.00 0.00 239,120,606.77 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
21 0.00 0.00 217,413,311.85 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
22 0.00 0.00 196,139,480.47 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
23 0.00 0.00 175,312,962.75 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
24 0.00 0.00 154,901,897.40 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
25 0.00 0.00 134,898,013.09 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
26 0.00 0.00 115,293,203.86 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
27 0.00 0.00 96,079,525.82 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
28 0.00 0.00 77,249,193.88 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
29 0.00 0.00 58,794,578.54 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
30 0.00 0.00 40,708,202.77 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
31 0.00 0.00 22,982,738.93 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
32 0.00 0.00 5,611,005.78 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
33 0.00 0.00 0.00 88,585,965.52 132,000,000.00 39,000,000.00 95,250,000.00
34 0.00 0.00 0.00 71,900,720.89 132,000,000.00 39,000,000.00 95,250,000.00
35 0.00 0.00 0.00 55,551,704.95 132,000,000.00 39,000,000.00 95,250,000.00
36 0.00 0.00 0.00 39,528,972.15 132,000,000.00 39,000,000.00 95,250,000.00
37 0.00 0.00 0.00 39,528,972.15 132,000,000.00 39,000,000.00 95,250,000.00
38 0.00 0.00 0.00 39,528,972.15 132,000,000.00 39,000,000.00 95,250,000.00
39 0.00 0.00 0.00 28,232,735.99 132,000,000.00 39,000,000.00 95,250,000.00
40 0.00 0.00 0.00 15,821,374.21 132,000,000.00 39,000,000.00 95,250,000.00
41 0.00 0.00 0.00 3,930,708.27 132,000,000.00 39,000,000.00 95,250,000.00
42 0.00 0.00 0.00 0.00 124,538,786.57 39,000,000.00 95,250,000.00
43 0.00 0.00 0.00 0.00 113,624,589.88 39,000,000.00 95,250,000.00
44 0.00 0.00 0.00 0.00 103,167,991.32 39,000,000.00 95,250,000.00
45 0.00 0.00 0.00 0.00 93,149,718.15 39,000,000.00 95,250,000.00
46 0.00 0.00 0.00 0.00 83,551,315.17 39,000,000.00 95,250,000.00
47 0.00 0.00 0.00 0.00 74,355,109.71 39,000,000.00 95,250,000.00
48 0.00 0.00 0.00 0.00 65,544,178.15 39,000,000.00 95,250,000.00
49 0.00 0.00 0.00 0.00 57,102,313.89 39,000,000.00 95,250,000.00
50 0.00 0.00 0.00 0.00 49,013,996.67 39,000,000.00 95,250,000.00
51 0.00 0.00 0.00 0.00 41,264,363.27 39,000,000.00 95,250,000.00
52 0.00 0.00 0.00 0.00 33,839,179.44 39,000,000.00 95,250,000.00
53 0.00 0.00 0.00 0.00 26,724,813.03 39,000,000.00 95,250,000.00
54 0.00 0.00 0.00 0.00 19,908,208.33 39,000,000.00 95,250,000.00
55 0.00 0.00 0.00 0.00 13,376,861.45 39,000,000.00 95,250,000.00
56 0.00 0.00 0.00 0.00 7,118,796.82 39,000,000.00 95,250,000.00
57 0.00 0.00 0.00 0.00 1,122,544.68 39,000,000.00 95,250,000.00
58 0.00 0.00 0.00 0.00 0.00 34,377,119.51 95,250,000.00
59 0.00 0.00 0.00 0.00 0.00 28,871,999.45 95,250,000.00
60 0.00 0.00 0.00 0.00 0.00 23,597,106.55 95,250,000.00
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 4
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
PAC Schedule
- ------------
<TABLE>
Principal Payment
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
Period Class A-1 Class A-2 Class A-3 Class A-4 Class A-5 Class A-6 Class A-7
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
61 0.00 0.00 0.00 0.00 0.00 18,542,787.88 95,250,000.00
62 0.00 0.00 0.00 0.00 0.00 13,699,797.48 95,250,000.00
63 0.00 0.00 0.00 0.00 0.00 9,059,279.07 95,250,000.00
64 0.00 0.00 0.00 0.00 0.00 4,612,749.47 95,250,000.00
65 0.00 0.00 0.00 0.00 0.00 352,082.79 95,250,000.00
66 0.00 0.00 0.00 0.00 0.00 0.00 91,519,495.24
67 0.00 0.00 0.00 0.00 0.00 0.00 87,607,530.63
68 0.00 0.00 0.00 0.00 0.00 0.00 83,859,046.49
69 0.00 0.00 0.00 0.00 0.00 0.00 80,267,200.75
70 0.00 0.00 0.00 0.00 0.00 0.00 76,604,793.40
71 0.00 0.00 0.00 0.00 0.00 0.00 72,996,525.82
72 0.00 0.00 0.00 0.00 0.00 0.00 69,539,013.28
73 0.00 0.00 0.00 0.00 0.00 0.00 66,225,951.21
74 0.00 0.00 0.00 0.00 0.00 0.00 63,051,299.82
75 0.00 0.00 0.00 0.00 0.00 0.00 60,009,272.86
76 0.00 0.00 0.00 0.00 0.00 0.00 57,094,326.93
77 0.00 0.00 0.00 0.00 0.00 0.00 54,301,151.22
78 0.00 0.00 0.00 0.00 0.00 0.00 51,624,657.68
79 0.00 0.00 0.00 0.00 0.00 0.00 49,059,971.61
80 0.00 0.00 0.00 0.00 0.00 0.00 46,602,422.68
81 0.00 0.00 0.00 0.00 0.00 0.00 44,247,536.30
82 0.00 0.00 0.00 0.00 0.00 0.00 41,991,025.34
83 0.00 0.00 0.00 0.00 0.00 0.00 39,828,782.26
84 0.00 0.00 0.00 0.00 0.00 0.00 37,756,871.54
85 0.00 0.00 0.00 0.00 0.00 0.00 35,771,522.41
86 0.00 0.00 0.00 0.00 0.00 0.00 33,869,121.95
87 0.00 0.00 0.00 0.00 0.00 0.00 32,046,208.42
88 0.00 0.00 0.00 0.00 0.00 0.00 30,299,464.89
89 0.00 0.00 0.00 0.00 0.00 0.00 28,625,713.18
90 0.00 0.00 0.00 0.00 0.00 0.00 27,021,908.01
91 0.00 0.00 0.00 0.00 0.00 0.00 25,485,131.41
92 0.00 0.00 0.00 0.00 0.00 0.00 24,012,587.37
93 0.00 0.00 0.00 0.00 0.00 0.00 22,601,596.74
94 0.00 0.00 0.00 0.00 0.00 0.00 21,249,592.28
95 0.00 0.00 0.00 0.00 0.00 0.00 19,954,114.01
96 0.00 0.00 0.00 0.00 0.00 0.00 18,712,804.68
97 0.00 0.00 0.00 0.00 0.00 0.00 17,523,405.45
98 0.00 0.00 0.00 0.00 0.00 0.00 16,383,751.81
99 0.00 0.00 0.00 0.00 0.00 0.00 15,291,769.57
100 0.00 0.00 0.00 0.00 0.00 0.00 14,245,471.11
101 0.00 0.00 0.00 0.00 0.00 0.00 13,242,951.73
102 0.00 0.00 0.00 0.00 0.00 0.00 12,282,386.21
103 0.00 0.00 0.00 0.00 0.00 0.00 11,362,025.45
104 0.00 0.00 0.00 0.00 0.00 0.00 10,480,193.29
105 0.00 0.00 0.00 0.00 0.00 0.00 9,635,283.46
106 0.00 0.00 0.00 0.00 0.00 0.00 8,825,756.67
107 0.00 0.00 0.00 0.00 0.00 0.00 8,050,137.78
108 0.00 0.00 0.00 0.00 0.00 0.00 7,307,013.14
109 0.00 0.00 0.00 0.00 0.00 0.00 6,595,028.01
110 0.00 0.00 0.00 0.00 0.00 0.00 5,912,884.10
111 0.00 0.00 0.00 0.00 0.00 0.00 5,912,884.10
112 0.00 0.00 0.00 0.00 0.00 0.00 5,286,741.87
113 0.00 0.00 0.00 0.00 0.00 0.00 4,686,861.59
114 0.00 0.00 0.00 0.00 0.00 0.00 4,117,265.89
115 0.00 0.00 0.00 0.00 0.00 0.00 3,571,434.54
116 0.00 0.00 0.00 0.00 0.00 0.00 3,048,380.11
117 0.00 0.00 0.00 0.00 0.00 0.00 2,547,156.19
118 0.00 0.00 0.00 0.00 0.00 0.00 2,066,855.68
119 0.00 0.00 0.00 0.00 0.00 0.00 1,606,609.16
120 0.00 0.00 0.00 0.00 0.00 0.00 1,165,583.32
121 0.00 0.00 0.00 0.00 0.00 0.00 742,979.44
122 0.00 0.00 0.00 0.00 0.00 0.00 338,031.98
123 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 5
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Credit Enhancement for Fixed and Floating Rate Certificates
- -----------------------------------------------------------
o Class A1-A9 Credit Enhancement:
1. Excess cash;
2. Overcollateralization building up to a requirement of 1.0% of the
aggregate original loan balance;
3. Subordination of Class B-1F certificates, totaling 3.0% of the
aggregate original loan balance;
4. MBIA surety.
o Class B-1F Credit Enhancement:
1. Excess cash
2. Overcollateralization building up to a requirement of 1.0% 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, Surety Bond Fee,
Trustee Fee, Auction Agent Fee and Certificate Interest.
Overcollateralization
- ---------------------
1. Before the Stepdown Date, overcollateralization initially builds to
1.0% 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 2.15% 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 5
months of the transaction (until March 15, 1998).
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 6
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Interest Cashflow Priority
- --------------------------
o Interest Collections (net of Servicing and Trustee Fees) 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
- ---------------------------
o Principal Collections (including accelerated cash to build
overcollateralization) will be allocated in the following priority prior to
the Stepdown Date(October 2000) if no trigger event is in effect:
1. First sequentially to the Class A PAC bonds to their scheduled
balance;
2. Remaining principal to Class A-8 floater companion until retired;
3. Remaining principal to Class A-9 Auction Rate Floater companion until
retired;
4. Remaining principal sequentially to the Class A PAC bonds until
retired;
5. Remaining principal to Class B1-F Certificate.
o Principal Collections (including accelerated cash to build
overcollateralization) will be allocated in the following priority on and
after the Stepdown Date(October 2000) if no trigger event is in effect:
1. Determine the Triple A Principal Distribution Amount per the
Subordination Test (as described below);
2. First sequentially to the Class A PAC bonds to their scheduled balance
to the extent that triple A principal is available;
3. Remaining Triple A principal to the Class A-8 floater companion until
retired;
4. Remaining Triple A principal to the Class A-9 Auction Rate Floater
companion until retired;
5. Sequentially to the Class A PAC bonds until retired.
6. Non Triple A principal amounts to the Class B1-F Certificates on or
after the Step Down Date until retired.
7. Monthly Excess Cashflow amounts.
o Collections of Principal (including accelerated cash) on and after the
stepdown date (October 2000), and if no trigger event is in effect will be
allocated in the following priority:
Pay Class A bonds and Class B-1F 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 91.40% 8.60%
Class B-1F 6.45 2.15
Overcollateralization 2.15
----
100%
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 7
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Principal Cashflow Priority (Class BF-1 Subordinated Certificates):
- -------------------------------------------------------------------
o 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):
- -------------------------------------------------------------------------
o 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 1.00% (based on the aggregate original balance). After the Stepdown
Date, the Class A Certificates receive collateral principal to maintain
8.60% credit enhancement.
Step Down Date:
- ---------------
o The earlier of: (i) the later of (a) the October 2000 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 8.60%, and
(ii) the Payment Date on which the aggregate Class A Balance has been
reduced to zero.
Senior Enhancement Percentage:
- ------------------------------
o 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:
- -----------------------------------------------
o 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
7. Class R Certificates
Note: Interest will not accrue or be payable on any written down amounts with
respect to the Class B1-F Certificates.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 8
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Delinquency Trigger:
- --------------------
o 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 (8.60% = 2.15 X 4.0%).
o 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:
- ---------------------------------------
o 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
October 1997-September 1999 1.05%
October 1999-September 2000 1.80%
October 2000-September 2001 2.40%
October 2001-September 2002 2.85%
October 2002 and thereafter 3.00%
o Upon the occurrence and during the continuance of a Cumulative Realized
Loss Trigger Event, the overcollateralization amount shall increase to
2.50% of the aggregate original balance of the Fixed and Adjustable Rate
Loan Groups
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 9
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Collateral Description
----------------------
o Collateral statistics are based on a representative pool as of close of
business August 31, 1997 (the "statistical calculation date"). The actual
statistics may vary.
<TABLE>
<CAPTION>
ARM Portfolio Fixed Rate Portfolio
------------- --------------------
<S> <C> <C>
Total Outstanding Balance: $375,719,436 $1,035,913,374
Number of Loans: 4,023 17,279
Average Remaining Balance: $93,392.85 (range: $11,000.00 - $449,846.40) $59,952.16 (range: $4,511.00 - $450,000.00)
Interest Rate Index: o 18.69% 6-month LIBOR o 100.00% fixed rate loans
o 68.19% 2/28 adjustment
o 13.12% 3/27 adjustment
Amortization Method: 99.94% fully amortizing / 0.06% balloons 47.64% fully amortizing / 52.36% balloons
WA Gross Coupon: 10.362% (range: 6.250% - 15.900%) 11.382% (range: 5.875% - 19.990%)
WA Gross Margin /
WA Life Cap: 6.242% Margin / 16.640% Cap N/A
WA Periodic Interest Rate Caps: 1.067% N/A
WA Months to Roll: 20.41 months N/A
Original Weighted Average Term: 359.51 months (range: 120-360 months) 217.78 months (range: 60-360 months)
Remaining Weighted Average
Term:
358.42 months (range: 119 - 360 months) 216.28 months (range: 54 - 360 months)
Seasoning: 1.09 months (range: 0 - 16) 1.50 months (range: 0 - 61 months)
Lien Position: 100% first 93.70% first / 6.30% second
Original LTV Ratio: 77.46% (range: 10.58% - 100.00%) 73.56% (range: 3.25% - 100.00%)
Original CLTV Ratio: N/A 76.56% (range: 9.17% - 113.90%)
WA Debt to Income Ratio: 40.12% (range: 2.00% - 74.00%) 38.13% (range: 1.00% -83.00%)
Credit Grade: 55.49% A, 27.36% B, 14.49% C, 2.62% D, 0.04% M 56.67% A, 24.12% B, 15.30% C, 3.66% D, 0.25 M
Documentation: 81.14% full doc, 9.62% no income verification, 89.50% full doc, 6.41% no income verification,
9.20% no doc, 0.04% mixed use 3.84% no doc, 0.25% mixed use
Property Type: 87.74% single family, 3.45% 2-4 family, 5.06% 89.49% single family, 5.82% 2-4 family, 1.05%
PUD, 3.75% other PUD, 3.64% other
Owner Occupancy: 95.37% owner occupied, 4.63% investor owned 96.12% owner occupied, 3.88% investor owned
Loan Purpose: 54.35% debt consolidation and home improvement, 81.00% debt consolidation and home improvement,
32.59% purchase, 13.06% other 11.25% purchase, 7.75.% other
Geographic Distribution: CA (17.20%), MI (12.19%), UT (5.88%), OH (5.77%), MI (9.99%), OH (9.44%), NC (7.18%), IL (6.77%),
WA (5.69%), CO (5.46%) FL (6.72%), PA (6.30%), NY (5.75%),IN (5.07%)
with all remaining states under 5.0% with all remaining states under 5.0%
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 10
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Fixed Rate Collateral
Range of Outstanding Pct.
Outstanding Principal of
Principal Balance Count Balance Total
- -------------------------- -------------- ---------------- ---------
0.01 - 25,000.00 2,508 47,879,659 4.62
25,000.01 - 50,000.00 6,102 230,736,131 22.27
50,000.01 - 75,000.00 4,490 274,484,651 26.50
75,000.01 - 100,000.00 2,026 175,277,137 16.92
100,000.01 - 125,000.00 1,052 117,055,480 11.30
125,000.01 - 150,000.00 502 68,199,769 6.58
150,000.01 - 175,000.00 239 38,702,123 3.74
175,000.01 - 200,000.00 142 26,736,676 2.58
200,000.01 - 225,000.00 72 15,202,838 1.47
225,000.01 - 250,000.00 46 10,932,460 1.06
250,000.01 - 275,000.00 32 8,312,643 0.80
275,000.01 - 300,000.00 23 6,634,832 0.64
300,000.01 - 325,000.00 15 4,672,701 0.45
325,000.01 - 350,000.00 14 4,740,790 0.46
350,000.01 - 400,000.00 11 4,155,294 0.40
400,000.01 - 450,000.00 5 2,190,187 0.21
- -------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- -------------------------- -------------- ---------------- ---------
Min: 4511.19
Max: 450,000.00
Average: 59,952.16:
- -------------------------- -------------- ---------------- ---------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 11
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Fixed Rate Collateral
Outstanding Pct.
Principal of
Range of Coupons Count Balance Total
- ------------------------- -------------- ---------------- ---------
5.01 - 6.00 1 86,162 0.01
6.01 - 7.00 1 277,532 0.03
7.01 - 8.00 37 2,824,927 0.27
8.01 - 9.00 588 48,280,967 4.66
9.01 - 10.00 2,316 171,316,191 16.54
10.01 - 11.00 4,035 273,205,488 26.37
11.01- 12.00 3,983 243,452,989 23.50
12.01 - 13.00 3,114 163,546,431 15.79
13.01 - 14.00 1,660 74,631,497 7.20
14.01 - 15.00 916 35,636,155 3.44
15.01 - 16.00 337 13,372,085 1.29
16.01 - 17.00 185 5,694,999 0.55
17.01 - 18.00 89 2,939,927 0.28
18.01 - 19.00 15 561,458 0.05
19.01 - 20.00 2 86,565 0.01
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Min: 5.88
Max: 19.99
WAC: 11.38
- ------------------------- -------------- ---------------- ---------
Range of Outstanding Pct.
Remaining Principal of
Terms to Maturity Count Balance Total
- ------------------------- -------------- ---------------- ---------
0 - 120 884 25,635,295 2.47
121 - 180 11,384 683,811,604 66.01
181 - 240 2,613 146,954,931 14.19
241 - 300 65 4,030,859 0.39
301 - 360 2,333 175,480,684 16.94
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Min: 54
Max: 360
Weighted Average: 216.28
- ------------------------- -------------- ---------------- ---------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 12
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Fixed Rate Collateral
Range of Outstanding Pct.
Remaining Principal of
Terms to Maturity Count Balance Total
- ------------------------- -------------- ---------------- ---------
0 - 120 884 25,635,295 2.47
121 -180 11,384 683,811,604 66.01
181- 240 2,613 146,954,931 14.19
241- 300 64 3,863,914 0.37
301- 360 2334 175,647,630 16.96
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Min: 60
Max: 360
Weighted Average: 217.78
- ------------------------- -------------- ---------------- ---------
Outstanding Pct.
Range of Principal of
Seasoning Count Balance Total
- ------------------------- -------------- ---------------- ---------
0 - 1 9,226 561,959,509 54.25
2 - 12 8,047 473,384,716 45.70
13>= 6 569,149 0.05
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Min: 0
Max: 61
Weighted Average: 1.50
- ------------------------- -------------- ---------------- ---------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 13
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Fixed Rate Collateral
Outstanding Pct.
Range of Principal of
Original LTV Count Balance Total
- ------------------------- -------------- ---------------- ---------
0.01 - 5.00 3 34,167 0.00
5.01 - 10.00 72 1,360,826 0.13
10.01 - 15.00 408 8,706,658 0.84
15.01 - 20.00 507 12,831,796 1.24
20.01 - 25.00 459 13,737,087 1.33
25.01 - 30.00 374 12,163,326 1.17
30.01 - 35.00 359 12,431,577 1.20
35.01 - 40.00 326 11,731,297 1.13
40.01 - 45.00 364 14,305,774 1.38
45.01 - 50.00 597 22,784,747 2.20
50.01 - 55.00 427 18,131,638 1.75
55.01 - 60.00 705 32,613,591 3.15
60.01 - 65.00 971 51,212,053 4.94
65.01 - 70.00 1,494 84,091,381 8.12
70.01 - 75.00 1,967 120,793,803 11.66
75.01 - 80.00 4,004 271,836,904 26.24
80.01 >= 4,242 347,146,749 33.51
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Min: 3.25
Max: 100.00
Weighted Average: 73.56
- ------------------------- -------------- ---------------- ---------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 14
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Fixed Rate Collateral
Outstanding Pct.
Principal of
Original CLTV Count Balance Total
- ------------------------- -------------- ---------------- ---------
5.01 - 10.00 3 40,460 0.00
10.01 - 15.00 25 479,737 0.05
15.01 - 20.00 58 1,212,376 0.12
20.01 - 25.00 81 1,969,343 0.19
25.01 - 30.00 121 3,488,218 0.34
30.01 - 35.00 186 5,542,873 0.54
35.01 - 40.00 226 7,391,090 0.71
40.01 - 45.00 304 10,702,258 1.03
45.01 - 50.00 585 21,630,565 2.09
50.01 - 55.00 432 17,756,637 1.71
55.01 - 60.00 749 33,600,897 3.24
60.01 - 65.00 1,039 53,328,642 5.15
65.01 - 70.00 1,643 88,947,692 8.59
70.01 - 75.00 2,239 129,387,001 12.49
75.01 - 80.00 4,581 289,602,152 27.96
80.01 >= 5,007 370,833,434 35.80
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Min: 9.17
Max: 113.90
Weighted Average: 76.56
- ------------------------- -------------- ---------------- ---------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 15
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Fixed Rate Collateral
Outstanding Pct.
Principal of
Junior Lien Ratio Count Balance Total
- ------------------------- -------------- ---------------- ---------
0.00 - 4.99 15,220 970,660,002 93.70
5.00 - 9.99 15 211,742 0.02
10.00 - 14.99 121 2,344,981 0.23
15.00 - 19.99 315 7,091,752 0.68
20.00 - 24.99 351 8,797,598 0.85
25.00 - 29.99 304 9,460,206 0.91
30.00 - 34.99 242 7,521,870 0.73
35.00 - 39.99 186 6,460,175 0.62
40.00 - 44.99 138 4,948,711 0.48
45.00 - 49.99 91 3,867,787 0.37
50.00 - 54.99 70 3,255,247 0.31
55.00 - 59.99 50 2,239,992 0.22
60.00 - 64.99 42 1,892,485 0.18
65.00 - 69.99 38 1,779,148 0.17
70.00 - 74.99 24 1,408,364 0.14
75.00 - 79.99 22 1,126,480 0.11
80.00 - 84.99 20 957,570 0.09
85.00 - 89.99 17 958,437 0.09
90.00 - 94.99 12 877,189 0.08
95.00 - 99.99 1 53,638 0.01
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Min: 0.00
Max: 95.63
Weighted Average: 37.87*
- ------------------------- -------------- ---------------- ---------
* For Second Liens Only
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 16
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Fixed Rate Collateral
Range of Outstanding Pct.
Debt to Income Principal of
Ratio Count Balance Total
- ------------------------- -------------- ---------------- ---------
0.01 - 5.00 19 745,985 0.07
5.01 - 10.00 115 5,171,289 0.50
10.01 - 15.00 415 15,802,042 1.53
15.01 - 20.00 900 38,101,906 3.68
20.01 - 25.00 1,507 73,971,818 7.14
25.01 - 30.00 1,961 105,239,503 10.16
30.01 - 35.00 2,389 133,965,705 12.93
35.01 - 40.00 2,702 163,429,645 15.78
40.01 - 45.00 3,054 205,207,305 19.81
45.01 - 50.00 3,649 251,858,255 24.31
50.01 - 55.00 541 40,195,366 3.88
55.01 - 60.00 24 1,953,069 0.19
60.01 - 65.00 1 84,674 0.01
75.01 - 80.00 1 55,112 0.01
80.01- 85.00 1 131,700 0.01
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Min: 1.00
Max: 83.00
Weighted Average: 38.13
- ------------------------- -------------- ---------------- ---------
Outstanding Pct.
Principal of
Days Delinquent Count Balance Total
- ------------------------- -------------- ---------------- ---------
0-29 17,080 1,025,146,171 98.96
30-59 159 8,494,321 0.82
60-89 40 2,272,883 0.22
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 17
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Fixed Rate Collateral
Outstanding Pct.
Principal of
Product Type Count Balance Total
- ------------------------- -------------- ---------------- ---------
Balloon - 20/15 13 609,825 0.06
Balloon -30/5 3 111,439 0.01
Balloon - 30/15 7,912 541,668,348 52.29
Fixed 9,351 493,523,762 47.64
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Outstanding Pct.
Principal of
Lien Position Count Balance Total
- ------------------------- -------------- ---------------- ---------
1st Lien 15,220 970,660,002 93.70
2nd Lien 2,059 65,253,372 6.30
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Outstanding Pct.
Principal of
Balloon Count Balance Total
- ------------------------- -------------- ---------------- ---------
Balloon 7,928 542,389,612 52.36
Non-Balloon 9,351 493,523,762 47.64
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 18
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Fixed Rate Collateral
Outstanding Pct.
Property Principal of
Type Count Balance Total
- ------------------------- -------------- ---------------- ---------
2 Family Residence 684 42,089,795 4.06
3-4 Family Residence 211 18,208,441 1.76
High Rise Condo 10 411,726 0.04
Low Rise Condo 108 5,737,910 0.55
Manufactured 527 26,541,636 2.56
Mixed Use-Comrcl 14 1,537,127 0.15
Mixed Use-Consum 31 3,353,321 0.32
Pud 135 10,910,115 1.05
SFR Attached 627 31,121,513 3.00
SFR Detached 14,932 896,001,791 86.49
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Outstanding Pct.
Principal of
Loan Purpose Count Balance Total
- ------------------------- -------------- ---------------- ---------
Debt Consol 13,282 786,083,955 75.88
Purchase 1,603 116,586,101 11.25
DC & HI Combo 453 24,525,513 2.37
Other 1,360 80,286,653 7.75
Home Improve. 581 28,431,152 2.74
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Outstanding Pct.
Occupancy Principal of
Status Count Balance Total
- ------------------------- -------------- ---------------- ---------
Investor Owned 902 40,159,605 3.88
Owner Occupied 16,377 995,753,769 96.12
- ------------------------- -------------- ---------------- ---------
Total: 17,279 1,035,913,374 100
- ------------------------- -------------- ---------------- ---------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 19
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Fixed Rate Collateral
Outstanding Pct.
Principal of
States Count Balance Total
- -------------------- -------------- ----------------- -----------
Michigan 2,091 103,503,187 9.99
Ohio 1,704 97,750,804 9.44
North Carolina 1,309 74,426,381 7.18
Illinois 1,188 70,099,176 6.77
Florida 1,219 69,566,853 6.72
Pennsylvania 1,121 65,220,462 6.30
New York 763 59,582,515 5.75
Indiana 1,097 52,557,999 5.07
New Jersey 604 50,049,094 4.83
Georgia 566 36,779,837 3.55
Maryland 494 34,672,008 3.35
California 257 26,022,022 2.51
South Carolina 468 24,221,806 2.34
Massachusetts 298 23,576,584 2.28
Missouri 441 19,751,567 1.91
Virginia 320 19,619,675 1.89
Kentucky 322 17,868,370 1.72
Tennessee 272 15,358,085 1.48
Colorado 194 15,190,957 1.47
Texas 204 13,101,038 1.26
Minnesota 209 12,646,218 1.22
Wisconsin 229 12,173,499 1.18
Utah 176 11,591,070 1.12
Connecticut 133 11,264,665 1.09
New Mexico 159 10,922,321 1.05
Arizona 155 10,765,993 1.04
Louisiana 166 9,559,508 0.92
Washington 102 8,350,526 0.81
Oregon 85 6,716,132 0.65
Mississippi 125 5,825,373 0.56
Rhode Island 84 5,701,508 0.55
Iowa 120 5,685,865 0.55
District of Columbia 63 5,344,891 0.52
Kansas 89 4,071,998 0.39
Delaware 54 3,487,507 0.34
New Hampshire 41 3,483,921 0.34
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 20
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Fixed Rate Collateral
Outstanding Pct.
Principal of
States Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Oklahoma 69 3,254,015 0.31
Nevada 40 3,113,708 0.30
Nebraska 66 2,890,175 0.28
Arkansas 49 2,290,760 0.22
Idaho 32 1,754,967 0.17
Hawaii 12 1,668,220 0.16
West Virginia 33 1,366,899 0.13
Maine 26 1,263,901 0.12
Montana 18 1,152,512 0.11
Wyoming 7 366,308 0.04
South Dakota 4 262,896 0.03
North Dakota 1 19,600 0.00
- ---------------------------- -------------- ----------------- -----------
Total: 17,279 1,035,913,374 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Principal of
Documentation Level Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Full Doc -Asset and Income 15,658 927,111,426 89.50
No Income Verifier 956 66,445,655 6.41
No Documentation 643 39,775,055 3.84
Other 22 2,581,238 0.25
- ---------------------------- -------------- ----------------- -----------
Total: 17,279 1,035,913,374 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Principal of
Credit Rating Count Balance Total
- ---------------------------- -------------- ----------------- -----------
A 8,783 587,060,452 56.67
B 4,308 249,853,726 24.12
C 3,180 158,503,754 15.30
D 986 37,914,203 3.66
M 22 2,581,238 0.25
- ---------------------------- -------------- ----------------- -----------
Total: 17,279 1,035,913,374 100
- ---------------------------- -------------- ----------------- -----------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 21
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Adjustable Rate Collateral
Range of Outstanding Pct.
Outstanding Principal of
Principal Balance Count Balance Total
- ---------------------------- -------------- ----------------- -----------
0.01 - 25,000.00 89 1,882,534 0.50
25,000.01 - 50,000.00 756 29,771,363 7.92
50,000.01 - 75,000.00 1,038 64,977,609 17.29
75,000.01 - 100,000.00 802 70,092,420 18.66
100,000.01 - 125,000.00 540 60,439,051 16.09
125,000.01 - 150,000.00 271 37,095,614 9.87
150,000.01 - 175,000.00 176 28,462,242 7.58
175,000.01 - 200,000.00 130 24,295,390 6.47
200,000.01 - 225,000.00 68 14,451,145 3.85
225,000.01 - 250,000.00 34 8,114,722 2.16
250,000.01 - 275,000.00 34 8,938,935 2.38
275,000.01 - 300,000.00 37 10,678,949 2.84
300,000.01 - 325,000.00 19 6,017,006 1.60
325,000.01 - 350,000.00 16 5,406,055 1.44
350,000.01 - 400,000.00 10 3,759,229 1.00
400,000.01 - 450,000.00 3 1,337,174 0.36
- ---------------------------- -------------- ----------------- -----------
Total: 4,023 375,719,436 100
- ---------------------------- -------------- ----------------- -----------
Min: 11,000.00
Max: 449,846.40
Average: 93,392.85
- ---------------------------- -------------- ----------------- -----------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 22
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Adjustable Rate Collateral
Outstanding Pct.
Range of Principal of
Current Coupons Count Balance Total
- ---------------------------- -------------- ----------------- -----------
6.01 - 7.00 3 476,886 0.13
7.01 - 8.00 44 5,286,570 1.41
8.01 - 9.00 316 35,342,976 9.41
9.01 - 10.00 1,016 110,762,435 29.48
10.01 - 11.00 1,464 136,489,769 36.33
11.01 - 12.00 868 67,016,617 17.84
12.01 - 13.00 228 15,673,814 4.17
13.01 - 14.00 54 3,146,910 0.84
14.01 - 15.00 24 1,253,482 0.33
15.01 - 16.00 6 269,979 0.07
- ---------------------------- -------------- ----------------- -----------
Total: 4,023 375,719,436 100
- ---------------------------- -------------- ----------------- -----------
Min: 6.25
Max: 15.90
WAC: 10.36
- ---------------------------- -------------- ----------------- -----------
Range of Outstanding Pct.
Original Principal of
Terms to Maturity Count Balance Total
- ---------------------------- -------------- ----------------- -----------
0- 120 1 26,873 0.01
121- 180 10 917,376 0.24
181- 240 1 91,800 0.02
301- 360 4,011 374,683,388 99.72
- ---------------------------- -------------- ----------------- -----------
Total: 4,023 375,719,436 100
- ---------------------------- -------------- ----------------- -----------
Min: 120
Max: 360
Weighted Average: 359.51
- ---------------------------- -------------- ----------------- -----------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 23
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Adjustable Rate Collateral
Range of Outstanding Pct.
Remaining Principal of
Terms to Maturity Count Balance Total
- ---------------------------- -------------- ----------------- -----------
0 - 120 1 26,873 0.01
121 - 180 10 917,376 0.24
181 - 240 1 91,800 0.02
301 - 360 4011 374,683,388 99.72
- ---------------------------- -------------- ----------------- -----------
Total: 4,023 375,719,437 100.00
- ---------------------------- -------------- ----------------- -----------
Min: 119
Max: 360
Weighted Average: 358.42
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Range of Principal of
Seasoning Count Balance Total
- ---------------------------- -------------- ----------------- -----------
0 - 1 2,812 266,161,203 70.84
2 - 12 1,209 109,222,843 29.07
13 >= 2 335,391 0.09
- ---------------------------- -------------- ----------------- -----------
Total: 4,023 375,719,436 100
- ---------------------------- -------------- ----------------- -----------
Min: 0
Max: 16
Weighted Average: 1.09
- ---------------------------- -------------- ----------------- -----------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 24
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Adjustable Rate Collateral
Outstanding Pct.
Range of Principal of
Original LTV Count Balance Total
- ---------------------------- -------------- ----------------- -----------
10.01 - 15.00 1 19,994 0.01
15.01 - 20.00 4 157,348 0.04
20.01 - 25.00 10 248,781 0.07
25.01 - 30.00 11 567,054 0.15
30.01 - 35.00 11 847,612 0.23
35.01 - 40.00 36 1,673,507 0.45
40.01 - 45.00 43 2,633,958 0.70
45.01 - 50.00 84 5,123,009 1.36
50.01 - 55.00 73 4,713,935 1.25
55.01 - 60.00 146 10,949,272 2.91
60.01 - 65.00 258 20,357,868 5.42
65.01 - 70.00 407 34,895,791 9.29
70.01 - 75.00 678 60,792,554 16.18
75.01 - 80.00 1,061 101,262,305 26.95
80.01 >= 1,200 131,476,450 34.99
- ---------------------------- -------------- ----------------- -----------
Total: 4,023 375,719,436 100
- ---------------------------- -------------- ----------------- -----------
Min: 10.58
Max: 100.00
Weighted Average: 77.46
- ---------------------------- -------------- ----------------- -----------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 25
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Adjustable Rate Collateral
Range of Outstanding Pct.
Debt to Income Principal of
Ratio Count Balance Total
- ---------------------------- -------------- ----------------- -----------
0.01 - 5.00 1 200,000 0.05
5.01 - 10.00 25 1,462,797 0.39
10.01 - 15.00 64 4,198,486 1.12
15.01 - 20.00 162 1,0361477 2.76
20.01 - 25.00 259 19,774,899 5.26
25.01 - 30.00 366 27,386,133 7.29
30.01 - 35.00 514 45,686,207 12.16
35.01 - 40.00 615 55,284,786 14.71
40.01 - 45.00 742 75,479,857 20.09
45.01 - 50.00 948 97,521,497 25.96
50.01 - 55.00 282 32,414,604 8.63
55.01 - 60.00 42 5,698,297 1.52
60.01 - 65.00 2 153,438 0.04
65.01 - 70.00 1 96,958 0.03
- ---------------------------- -------------- ----------------- -----------
Total: 4,023 375,719,436 100
- ---------------------------- -------------- ----------------- -----------
Min: 2.00
Max: 74.00
Weighted Average: 40.12
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Principal of
Days Delinquent Count Balance Total
- ---------------------------- -------------- ----------------- -----------
0-29 4,005 374,318,170 99.63
30-59 11 721,040 0.19
60-89 7 680,227 0.18
- ---------------------------- -------------- ----------------- -----------
Total: 4,023 375,719,436 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Principal of
Index Type Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Libor - 6 Month 4,023 375,719,436 100
- ---------------------------- -------------- ----------------- -----------
Total: 4,023 375,719,436 100
- ---------------------------- -------------- ----------------- -----------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 26
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Adjustable Rate Collateral
Outstanding Pct.
Principal of
Product Type Count Balance Total
- ---------------------------- -------------- ----------------- -----------
ARM - 6 Month 720 70,212,865 18.68
ARM - 2 Year/6Month 2,802 256,186,748 68.19
ARM - 3 Year/6 Month 501 49,319,823 13.13
- ---------------------------- -------------- ----------------- -----------
Total: 4,023 375,719,436 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Principal of
Lien Position Count Balance Total
- ---------------------------- -------------- ----------------- -----------
1st Lien 4,023 375,719,436 100
- ---------------------------- -------------- ----------------- -----------
Total: 4,023 375,719,436 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Principal of
Balloon Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Balloon 2 243,784 0.06
Non-Balloon 4,021 375,475,653 99.94
- ---------------------------- -------------- ----------------- -----------
Total: 4,023 375,719,436 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Property Principal of
Type Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Single Family Detached 3,544 329,668,444 87.74
2-4 Family 151 12,939,639 3.45
PUD 141 18,994,442 5.06
Manufactured Housing 90 6,507,713 1.73
Condo 66 5,487,240 1.46
Single Family Attached 31 2,121,958 0.56
- ---------------------------- -------------- ----------------- -----------
Total: 4,023 375,719,436 100
- ---------------------------- -------------- ----------------- -----------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 27
[LOGO] BEAR STEARNS
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Adjustable Rate Collateral
Outstanding Pct.
Principal of
Loan Purpose Count Balance Total
- ---------------------------- ----------- ----------- ----------
Debt Consolidation 2,181 192,082,399 51.12
Purchase 1,187 122,438,887 32.59
Debt Cons. & Home Improv 92 8,116,583 2.16
Other 500 49,054,610 13.06
Home Improvement 63 4,026,958 1.07
- ---------------------------- ----------- ----------- ----------
Total: 4,023 375,719,436 100
- ---------------------------- ----------- ----------- ----------
Outstanding Pct.
Occupancy Principal of
Status Count Balance Total
- ---------------------------- ----------- ----------- ----------
Owner Occupied 3,786 358,320,871 95.37
Investor Owned 237 17,398,565 4.63
- ---------------------------- ----------- ----------- ----------
Total: 4,023 375,719,436 100
- ---------------------------- ----------- ----------- ----------
Outstanding Pct.
Principal of
Documentation Level Count Balance Total
- ---------------------------- ----------- ----------- -----------
Full Doc -Asset and Income 3,337 304,853,955 81.14
No Income Verifier 328 36,142,514 9.62
No Documentation 357 34,571,746 9.20
Mixed Use 1 151,222 0.04
- ---------------------------- ----------- ----------- ----------
Total: 4,023 375,719,436 100
- ---------------------------- ----------- ----------- ----------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 28
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Adjustable Rate Collateral
Outstanding Pct.
Principal of
States Count Balance Total
- ------ ----- ------- -----
Arkansas 5 376,797 0.10
Arizona 180 16,289,949 4.34
California 491 64,638,308 17.20
Colorado 191 20,500,899 5.46
Connecticut 43 4,011,143 1.07
District of Columbia 4 347,764 0.09
Delaware 5 465,596 0.12
Florida 163 15,656,583 4.17
Georgia 62 6,282,146 1.67
Hawaii 40 6,556,259 1.74
Iowa 18 955,863 0.25
Idaho 29 2,322,035 0.62
Illinois 122 10,076,618 2.68
Indiana 87 5,224,992 1.39
Kansas 27 2,171,551 0.58
Kentucky 37 2,321,915 0.62
Louisiana 16 1,218,380 0.32
Massachusetts 70 8,405,300 2.24
Maryland 39 4,453,965 1.19
Maine 7 984,598 0.26
Michigan 669 45,802,339 12.19
Minnesota 83 6,427,927 1.71
Missouri 92 5,844,797 1.56
Mississippi 8 691,177 0.18
Montana 8 885,658 0.24
North Carolina 63 4,209,587 1.12
North Dakota 2 78,100 0.02
Nebraska 15 833,921 0.22
New Hampshire 1 58,207 0.02
New Jersey 17 2,342,272 0.62
New Mexico 88 8,036,684 2.14
Nevada 69 8,678,151 2.31
New York 23 2,401,998 0.64
Ohio 284 21,696,145 5.77
Oklahoma 19 1,259,832 0.34
Oregon 125 13,144,396 3.50
Pennsylvania 72 5,492,237 1.46
Rhode Island 20 1,658,997 0.44
South Carolina 25 1,650,275 0.44
South Dakota 4 260,698 0.07
Tennessee 29 2,291,993 0.61
Texas 169 18,011,346 4.79
Utah 196 22,075,501 5.88
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 29
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Adjustable Rate Collateral
Outstanding Pct.
Principal of
States Count Balance Total
- ------------- ----- ------- -----
Virginia 22 2,317,303 0.62
Vermont 1 205,000 0.05
Washington 213 21,395,266 5.69
Wisconsin 63 4,292,132 1.14
West Virginia 3 225,506 0.06
Wyoming 4 191,331 0.05
----- ----------- ------
Total: 4,023 375,719,436 100
- ------------- ----- ----------- ------
Outstanding Pct.
Principal of
Credit Rating Count Balance Total
- ------------- ----- ------- -----
A 1,986 208,488,805 55.49
B 1,131 102,809,835 27.36
C 743 54,444,704 14.49
D 162 9,824,870 2.62
M 1 151,222 0.04
- ------------- ----- ----------- ------
Total: 4,023 375,719,436 100
- ------------- ----- ----------- ------
Outstanding Pct.
Range of Principal of
Margins Count Balance Total
- ------------- ----- ------- -----
0.00 - 0.99 2 119,126 0.03
3.00 - 3.99 18 1,776,135 0.47
4.00 - 4.99 189 20,649,549 5.50
5.00 - 5.99 1272 136,046,210 36.21
6.00 - 6.99 1558 142,379,427 37.90
7.00 - 7.99 761 59,006,261 15.70
8.00 - 8.99 178 12,619,495 3.36
9.00 - 9.99 39 2,660,280 0.71
10.00 - 10.99 5 411,017 0.11
11.00 - 11.99 1 51,935 0.01
- ------------- ----- ----------- ------
Total: 4,023 375,719,436 100
- ------------- ----- ----------- ------
Min: 0.45
Max: 11.85
Weighted Average: 6.24
- ------------- ----- ----------- ------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 30
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Adjustable Rate Collateral
Initial Outstanding Pct.
Periodic Principal of
Cap Count Balance Total
- -------- ----- ------- -----
1.000 712 69,049,885 18.38
1.500 15 1,749,631 0.47
2.000 60 6,425,826 1.71
3.000 3194 294,345,073 78.34
5.000 1 57,000 0.02
6.000 26 2,642,783 0.70
7.000 15 1,449,238 0.39
- -------- ----- ----------- -----
Total: 4,023 375,719,436 100
- -------- ----- ----------- -----
Min: 1.00
Max: 7.00
Weighted Average: 2.645
- -------- ----- ----------- -----
Outstanding Pct.
Periodic Principal of
Rate Cap Count Balance Total
- -------- ----- ------- -----
1.00 3539 327,320,939 87.12
1.50 475 47,595,473 12.67
2.00 2 321,540 0.09
3.00 6 421,574 0.11
6.00 1 59,909 0.02
- -------- ----- ----------- -----
Total: 4,023 375,719,436 100
- -------- ----- ----------- -----
Min: 1.000
Max: 6.000
Weighted Average: 1.067
- -------- ----- ----------- -----
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 31
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Adjustable Rate Collateral
Outstanding Pct.
Principal of
Maximum Rate Count Balance Total
- --------------- ----- ------- -----
11.01 - 12.00 1 277,184 0.07
12.01 - 13.00 0 0 0.0
13.01 - 14.00 27 3,060,306 0.81
14.01 - 15.00 200 21,935,347 5.84
15.01 - 16.00 845 93,039,075 24.76
16.01 - 17.00 1460 139,962,331 37.25
17.01 - 18.00 991 80,793,212 21.50
18.01 - 19.00 360 26,768,923 7.12
19.01 - 20.00 99 7,712,029 2.05
20.01 - 21.00 29 1,632,013 0.43
21.01 - 22.00 8 350,575 0.09
22.01 - 23.00 3 188,441 0.05
- --------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- --------------- ----- ----------- -----
Min: 11.88
Max: 22.90
Weighted Average: 16.64
- --------------- ----- ----------- -----
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 32
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Adjustable Rate Collateral
Outstanding Pct.
Principal of
Minimum Rate Count Balance Total
- ------------- ----- ------- -----
< 0.01 2 106,383 0.03
2.01 - 3.00 1 277,184 0.07
3.01 - 4.00 2 228,650 0.06
4.01 - 5.00 2 211,606 0.06
5.01 - 6.00 7 594,400 0.16
6.01 - 7.00 9 1,105,080 0.29
7.01 - 8.00 50 5,530,357 1.47
8.01 - 9.00 320 35,650,193 9.49
9.01 - 10.00 1015 110,651,102 29.45
10.01 - 11.00 1448 134,929,945 35.91
11.01 - 12.00 863 66,776,228 17.77
12.01 - 13.00 223 15,289,268 4.07
13.01 - 14.00 51 2,845,579 0.76
14.01 - 15.00 24 1,253,482 0.33
15.01 - 16.00 6 269,979 0.07
- ------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ------------- ----- ----------- -----
Min.0.00
Max: 15.90
Weighted Average: 10.32
- ------------- ----- ----------- -----
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 33
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Adjustable Rate Collateral
Next Rate Outstanding Pct.
Adjustment Principal of
Date Count Balance Total
- ---------- ----- ------- -----
1997-10 28 2,100,765 0.56
1997-11 71 6,220,519 1.66
1997-12 176 18,250,036 4.86
1998-01 223 20,112,864 5.35
1998-02 159 17,326,311 4.61
1998-03 63 6,202,370 1.65
1999-01 3 280,340 0.07
1999-02 4 367,548 0.10
1999-03 12 1,823,627 0.49
1999-04 28 2,411,679 0.64
1999-05 141 11,090,567 2.95
1999-06 579 52,022,798 13.85
1999-07 1,060 92,959,052 24.74
1999-08 779 75,784,729 20.17
1999-09 197 19,723,591 5.25
2000-03 1 59,816 0.02
2000-04 3 230,617 0.06
2000-05 18 1,064,810 0.28
2000-06 101 9,531,083 2.54
2000-07 164 15,832,351 4.21
2000-08 152 14,960,262 3.98
2000-09 61 7,363,700 1.96
- ------------- ----- ----------- -----
Total: 4,023 375,719,436 100
- ------------- ----- ----------- -----
Min (in months): 1
Max: 36
Weighted Average: 20.41
- ------------- ----- ----------- -----
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 34
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
<TABLE>
<CAPTION>
TO MATURITY
- -----------
--------
Fixed Prepay PPC 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200%
ARM Prepay CPR 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50%
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1
Avg. Life 5.53 0.76 0.59 0.50 0.50 0.50 0.50 0.50
Start Prin 10/97 10/97 10/97 10/97 10/97 10/97 10/97 10/97
End Prin 10/07 02/99 10/98 08/98 08/98 08/98 08/98 08/98
Window (mos.) 121 17 13 11 11 11 11 11
Class A-2
Avg. Life 12.22 1.94 1.42 1.15 1.15 1.15 1.15 1.15
Start Prin 10/07 02/99 10/98 08/98 08/98 08/98 08/98 08/98
End Prin 11/11 03/00 07/99 02/99 02/99 02/99 02/99 02/99
Window (mos.) 50 14 10 7 7 7 7 7
Class A-3
Avg. Life 14.76 3.61 2.58 2.04 2.04 2.04 2.04 1.98
Start Prin 11/11 03/00 07/99 02/99 02/99 02/99 02/99 02/99
End Prin 07/12 08/02 03/01 06/00 06/00 06/00 06/00 04/00
Window (mos.) 9 30 21 17 17 17 17 15
Class A-4
Avg. Life 14.81 5.34 3.79 3.04 3.04 3.04 3.04 2.77
Start Prin 07/12 08/02 03/01 06/00 06/00 06/00 06/00 04/00
End Prin 07/12 07/03 11/01 03/01 03/01 03/01 03/01 12/00
Window (mos.) 1 12 9 10 10 10 10 9
--------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 35
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
<TABLE>
<CAPTION>
TO MATURITY
- -----------
--------
Fixed Prepay PPC 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200%
ARM Prepay CPR 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50%
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-5
Avg. Life 14.82 6.58 4.68 4.05 4.05 4.05 4.05 3.79
Start Prin 07/12 07/03 11/01 03/01 03/01 03/01 03/01 12/00
End Prin 10/12 02/05 01/03 07/02 07/02 07/02 07/02 03/02
Window (mos.) 4 20 15 17 17 17 17 16
Class A-6
Avg. Life 15.56 7.68 5.47 5.09 5.09 5.09 5.09 4.77
Start Prin 10/12 02/05 01/03 07/02 07/02 07/02 07/02 03/02
End Prin 09/13 09/05 05/03 03/03 03/03 03/03 03/03 11/02
Window (mos.) 12 8 5 9 9 9 9 9
Class A-7
Avg. Life 17.16 8.70 6.97 6.95 6.95 6.95 6.95 6.57
Start Prin 09/13 09/05 05/03 03/03 03/03 03/03 03/03 11/02
End Prin 09/16 12/07 12/07 12/07 12/07 12/07 12/07 08/07
Window (mos.) 37 28 56 58 58 58 58 58
Class A-8
Avg. Life 21.95 10.77 7.26 4.13 1.25 0.74 0.52 0.31
Start Prin 09/16 02/07 08/03 10/97 10/97 10/97 10/97 10/97
End Prin 02/22 01/10 05/06 07/03 10/00 03/99 09/98 04/98
Window (mos.) 66 36 34 70 37 18 12 7
Class B-1F
Avg. Life 21.50 10.93 8.24 6.35 5.14 4.69 4.25 3.51
Start Prin 07/12 10/03 01/02 01/01 10/00 10/00 10/00 10/00
End Prin 04/26 07/12 04/12 02/09 12/06 02/06 02/05 02/03
Window (mos.) 166 106 124 98 75 65 53 29
--------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 36
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
<TABLE>
<CAPTION>
TO CALL
- -------
--------
Fixed Prepay PPC 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200%
ARM Prepay CPR 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50%
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-5
Avg. Life 14.82 6.58 4.68 4.05 4.05 4.05 4.05 3.79
Start Prin 07/12 07/03 11/01 03/01 03/01 03/01 03/01 12/00
End Prin 10/12 02/05 01/03 07/02 07/02 07/02 07/02 02/02
Window (mos.) 4 20 15 17 17 17 17 15
Class A-6
Avg. Life 15.56 7.68 5.47 5.09 5.09 5.09 5.09 4.39
Start Prin 10/12 02/05 01/03 07/02 07/02 07/02 07/02 02/02
End Prin 09/13 09/05 05/03 03/03 03/03 03/03 03/03 02/02
Window (mos.) 12 8 5 9 9 9 9 1
Class A-7
Avg. Life 17.16 8.70 6.97 6.93 6.66 6.40 5.96 4.39
Start Prin 09/13 09/05 05/03 03/03 03/03 03/03 03/03 02/02
End Prin 09/16 12/07 12/07 02/07 04/05 07/04 10/03 02/02
Window (mos.) 37 28 56 48 26 17 8 1
Class A-8
Avg. Life 21.95 10.77 7.26 4.13 1.25 0.74 0.52 0.31
Start Prin 09/16 02/07 08/03 10/97 10/97 10/97 10/97 10/97
End Prin 02/22 01/10 05/06 07/03 10/00 03/99 09/98 04/98
Window (mos.) 66 36 34 70 37 18 12 7
Class B-1F
Avg. Life 21.43 10.93 8.10 6.24 5.05 4.60 4.18 3.45
Start Prin 07/12 10/03 `01/02 01/01 10/00 10/00 10/00 10/00
End Prin 03/25 07/12 10/09 02/07 04/05 07/04 10/03 02/02
Window (mos.) 153 106 94 74 55 46 37 17
--------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 37
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
<TABLE>
<CAPTION>
Decrement Tables: Class A-1
To Maturity
--------
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 88 30 5 0 0 0 0 0
9/99 82 0 0 0 0 0 0 0
9/00 75 0 0 0 0 0 0 0
9/01 68 0 0 0 0 0 0 0
9/02 59 0 0 0 0 0 0 0
9/03 50 0 0 0 0 0 0 0
9/04 39 0 0 0 0 0 0 0
9/05 27 0 0 0 0 0 0 0
9/06 14 0 0 0 0 0 0 0
9/07 0 0 0 0 0 0 0 0
9/08 0 0 0 0 0 0 0 0
9/09 0 0 0 0 0 0 0 0
9/10 0 0 0 0 0 0 0 0
9/11 0 0 0 0 0 0 0 0
9/12 0 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 5.53 0.76 0.59 0.50 0.50 0.50 0.50 0.50
--------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 38
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
<TABLE>
<CAPTION>
Decrement Tables: Class A-2
To Maturity
--------
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 74 74 74 74 74
9/99 100 42 0 0 0 0 0 0
9/00 100 0 0 0 0 0 0 0
9/01 100 0 0 0 0 0 0 0
9/02 100 0 0 0 0 0 0 0
9/03 100 0 0 0 0 0 0 0
9/04 100 0 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 80 0 0 0 0 0 0 0
9/09 57 0 0 0 0 0 0 0
9/10 31 0 0 0 0 0 0 0
9/11 3 0 0 0 0 0 0 0
9/12 0 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 12.22 1.94 1.42 1.15 1.15 1.15 1.15 1.15
--------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 39
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
<TABLE>
<CAPTION>
Decrement Tables: Class A-3
To Maturity
--------
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 85 50 50 50 50 47
9/00 100 75 24 0 0 0 0 0
9/01 100 32 0 0 0 0 0 0
9/02 100 0 0 0 0 0 0 0
9/03 100 0 0 0 0 0 0 0
9/04 100 0 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 0 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 14.76 3.61 2.58 2.04 2.04 2.04 2.04 1.98
--------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 40
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
<TABLE>
<CAPTION>
Decrement Tables: Class A-4
To Maturity
--------
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 40 40 40 40 2
9/01 100 100 18 0 0 0 0 0
9/02 100 84 0 0 0 0 0 0
9/03 100 0 0 0 0 0 0 0
9/04 100 0 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 0 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 14.81 5.34 3.79 3.04 3.04 3.04 3.04 2.77
--------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 41
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
<TABLE>
<CAPTION>
Decrement Tables: Class A-5
To Maturity
--------
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 100 100 100 100 100
9/01 100 100 100 50 50 50 50 30
9/02 100 100 21 0 0 0 0 0
9/03 100 86 0 0 0 0 0 0
9/04 100 23 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 2 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 14.82 6.58 4.68 4.05 4.05 4.05 4.05 3.79
--------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 42
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
<TABLE>
<CAPTION>
Decrement Tables: Class A-6
To Maturity
--------
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 100 100 100 100 100
9/01 100 100 100 100 100 100 100 100
9/02 100 100 100 61 61 61 61 13
9/03 100 100 0 0 0 0 0 0
9/04 100 100 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 100 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 15.56 7.68 5.47 5.09 5.09 5.09 5.09 4.77
--------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 43
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
<TABLE>
<CAPTION>
Decrement Tables: Class A-7
To Maturity
--------
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 100 100 100 100 100
9/01 100 100 100 100 100 100 100 100
9/02 100 100 100 100 100 100 100 100
9/03 100 100 73 73 73 73 73 59
9/04 100 100 40 40 40 40 40 30
9/05 100 96 20 20 20 20 20 14
9/06 100 27 8 8 8 8 8 5
9/07 100 1 1 1 1 1 1 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 100 0 0 0 0 0 0 0
9/13 100 0 0 0 0 0 0 0
9/14 50 0 0 0 0 0 0 0
9/15 18 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 17.16 8.70 6.97 6.95 6.95 6.95 6.95 6.57
--------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 44
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
<TABLE>
<CAPTION>
Decrement Tables: Class A-8
To Maturity
--------
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 97 54 28 0 0
9/99 100 100 100 96 19 0 0 0
9/00 100 100 100 95 4 0 0 0
9/01 100 100 100 56 0 0 0 0
9/02 100 100 100 27 0 0 0 0
9/03 100 100 95 0 0 0 0 0
9/04 100 100 59 0 0 0 0 0
9/05 100 100 22 0 0 0 0 0
9/06 100 100 0 0 0 0 0 0
9/07 100 76 0 0 0 0 0 0
9/08 100 41 0 0 0 0 0 0
9/09 100 8 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 100 0 0 0 0 0 0 0
9/13 100 0 0 0 0 0 0 0
9/14 100 0 0 0 0 0 0 0
9/15 100 0 0 0 0 0 0 0
9/16 100 0 0 0 0 0 0 0
9/17 86 0 0 0 0 0 0 0
9/18 69 0 0 0 0 0 0 0
9/19 51 0 0 0 0 0 0 0
9/20 31 0 0 0 0 0 0 0
9/21 8 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 21.95 10.77 7.26 4.13 1.25 0.74 0.52 0.31
--------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 45
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
<TABLE>
<CAPTION>
Decrement Tables: Class B1-F
To Maturity
--------
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 100 100 100 100 100
9/01 100 100 100 84 66 57 47 19
9/02 100 100 87 65 47 37 26 4
9/03 100 100 72 51 30 21 12 0
9/04 100 88 59 36 17 10 3 0
9/05 100 77 49 24 8 2 0 0
9/06 100 66 37 15 1 0 0 0
9/07 100 58 27 7 0 0 0 0
9/08 100 50 19 2 0 0 0 0
9/09 100 41 12 0 0 0 0 0
9/10 100 33 7 0 0 0 0 0
9/11 100 25 2 0 0 0 0 0
9/12 84 0 0 0 0 0 0 0
9/13 77 0 0 0 0 0 0 0
9/14 70 0 0 0 0 0 0 0
9/15 65 0 0 0 0 0 0 0
9/16 62 0 0 0 0 0 0 0
9/17 59 0 0 0 0 0 0 0
9/18 56 0 0 0 0 0 0 0
9/19 52 0 0 0 0 0 0 0
9/20 47 0 0 0 0 0 0 0
9/21 41 0 0 0 0 0 0 0
9/22 33 0 0 0 0 0 0 0
9/23 25 0 0 0 0 0 0 0
9/24 16 0 0 0 0 0 0 0
9/25 6 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 21.50 10.93 8.24 6.35 5.14 4.69 4.25 3.51
--------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 46
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Available Funds Cap
- -------------------
Period Date Coupon Excess
------ ---- ------ ------
1 10/15/97 10.006 3.139
2 11/15/97 10.009 3.137
3 12/15/97 10.016 3.134
4 1/15/98 10.030 3.139
5 2/15/98 10.048 3.146
6 3/15/98 10.063 3.149
7 4/15/98 10.069 3.140
8 5/15/98 10.070 3.126
9 6/15/98 10.073 3.112
10 7/15/98 10.084 3.104
11 8/15/98 10.098 3.099
12 9/15/98 10.109 3.092
13 10/15/98 10.113 3.078
14 11/15/98 10.113 3.058
15 12/15/98 10.112 3.038
16 1/15/99 10.114 3.020
17 2/15/99 10.118 3.003
18 3/15/99 10.119 2.983
19 4/15/99 10.119 2.962
20 5/15/99 10.118 2.939
21 6/15/99 10.117 2.916
22 7/15/99 10.115 2.893
23 8/15/99 10.366 3.120
24 9/15/99 10.364 3.095
25 10/15/99 10.361 3.068
26 11/15/99 10.359 3.041
27 12/15/99 10.357 3.013
28 1/15/00 10.354 2.985
29 2/15/00 10.352 2.956
30 3/15/00 10.349 2.926
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 47
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Available Funds Cap
- -------------------
Period Date Coupon Excess
------ ---- ------ ------
31 4/15/00 10.437 4.000
32 5/15/00 10.436 3.998
33 6/15/00 10.436 3.997
34 7/15/00 10.436 3.997
35 8/15/00 10.478 4.040
36 9/15/00 10.478 4.041
37 10/15/00 10.477 4.042
38 11/15/00 10.476 4.044
39 12/15/00 10.476 4.033
40 1/15/01 10.475 4.033
41 2/15/01 10.475 4.035
42 3/15/01 10.474 4.036
43 4/15/01 10.474 4.040
44 5/15/01 10.473 4.044
45 6/15/01 10.473 4.049
46 7/15/01 10.472 4.053
47 8/15/01 10.471 4.057
48 9/15/01 10.471 4.061
49 10/15/01 10.470 4.065
50 11/15/01 10.470 4.069
51 12/15/01 10.469 4.072
52 1/15/02 10.469 4.076
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 48
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Available Funds Cap
- -------------------
Period Date Coupon Excess
------ ---- ------ ------
53 2/15/02 10.468 4.079
54 3/15/02 10.468 4.082
55 4/15/02 10.467 4.086
56 5/15/02 10.467 4.089
57 6/15/02 10.466 4.091
58 7/15/02 10.466 4.094
59 8/15/02 10.465 4.098
60 9/15/02 10.465 4.101
61 10/15/02 10.464 4.105
62 11/15/02 10.464 4.109
63 12/15/02 10.463 4.113
64 1/15/03 10.463 4.117
65 2/15/03 10.462 4.120
66 3/15/03 10.462 4.124
67 4/15/03 10.461 4.130
68 5/15/03 10.461 4.135
69 6/15/03 10.460 4.141
70 7/15/03 10.460 4.147
71 8/15/03 10.459 4.154
72 9/15/03 10.459 4.161
73 10/15/03 10.458 4.167
74 11/15/03 10.458 4.174
75 12/15/03 10.457 4.181
76 1/15/04 10.456 4.188
77 2/15/04 10.456 4.195
78 3/15/04 10.455 4.202
79 4/15/04 10.455 4.209
80 5/15/04 10.454 4.216
81 6/15/04 10.454 4.223
82 7/15/04 10.453 4.230
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 49
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Available Funds Cap
- -------------------
Period Date Coupon Excess
------ ---- ------ ------
83 8/15/04 10.453 4.236
84 9/15/04 10.452 4.243
85 10/15/04 10.452 4.250
86 11/15/04 10.451 4.257
87 12/15/04 10.451 4.264
88 1/15/05 10.450 4.272
89 2/15/05 10.449 4.279
90 3/15/05 10.449 4.286
91 4/15/05 10.448 4.293
92 5/15/05 10.448 4.300
93 6/15/05 10.447 4.308
94 7/15/05 10.447 4.315
95 8/15/05 10.446 4.323
96 9/15/05 10.446 4.330
97 10/15/05 10.445 4.338
98 11/15/05 10.444 4.345
99 12/15/05 10.444 4.353
100 1/15/06 10.443 4.361
101 2/15/06 10.443 4.369
102 3/15/06 10.442 4.377
103 4/15/06 10.441 4.386
104 5/15/06 10.441 4.394
105 6/15/06 10.440 4.403
106 7/15/06 10.439 4.411
107 8/15/06 10.439 4.420
108 9/15/06 10.438 4.429
109 10/15/06 10.437 4.438
110 11/15/06 10.437 4.448
111 12/15/06 10.436 4.457
112 1/15/07 10.435 4.456
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 50
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Available Funds Cap
- -------------------
Period Date Coupon Excess
------ ---- ------ ------
113 2/15/07 10.435 4.461
114 3/15/07 10.434 4.466
115 4/15/07 10.434 4.471
116 5/15/07 10.433 4.477
117 6/15/07 10.432 4.482
118 7/15/07 10.432 4.488
119 8/15/07 10.431 4.493
120 9/15/07 10.430 4.499
121 10/15/07 10.430 4.504
122 11/15/07 10.429 4.510
123 12/15/07 10.428 4.516
124 1/15/08 10.428 4.521
125 2/15/08 10.427 4.520
126 3/15/08 10.426 4.520
127 4/15/08 10.425 4.519
128 5/15/08 10.424 4.518
129 6/15/08 10.424 4.517
130 7/15/08 10.423 4.516
131 8/15/08 10.422 4.516
132 9/15/08 10.421 4.515
133 10/15/08 10.420 4.514
134 11/15/08 10.419 4.513
135 12/15/08 10.418 4.512
136 1/15/09 10.417 4.511
137 2/15/09 10.416 4.510
138 3/15/09 10.415 4.509
139 4/15/09 10.414 4.508
140 5/15/09 10.413 4.506
141 6/15/09 10.412 4.505
142 7/15/09 10.410 4.504
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 51
<PAGE>
$1,525,000,000 ContiMortgage Home Equity Loan Trust 1997-4
Computational Materials
-----------------------
Available Funds Cap
- -------------------
Period Date Coupon Excess
------ ---- ------ ------
143 8/15/09 10.409 4.503
144 9/15/09 10.408 4.501
145 10/15/09 10.406 4.500
146 11/15/09 10.405 4.498
147 12/15/09 10.403 4.497
148 1/15/10 10.402 4.495
149 2/15/10 10.400 4.494
150 3/15/10 10.398 4.492
151 4/15/10 10.396 4.490
152 5/15/10 10.394 4.488
153 6/15/10 10.392 4.486
154 7/15/10 10.390 4.484
155 8/15/10 10.388 4.482
156 9/15/10 10.386 4.479
157 10/15/10 10.383 4.477
158 11/15/10 10.381 4.474
159 12/15/10 10.378 4.471
160 1/15/11 10.375 4.469
161 2/15/11 10.372 4.465
162 3/15/11 10.368 4.462
163 4/15/11 10.365 4.458
164 5/15/11 10.361 4.455
165 6/15/11 10.357 4.451
166 7/15/11 10.353 4.446
167 8/15/11 10.348 4.442
168 9/15/11 10.343 4.437
169 10/15/11 10.338 4.431
170 11/15/11 10.332 4.425
171 12/15/11 10.325 4.419
172 1/15/12 10.319 4.412
173 2/15/12 10.311 4.405
174 3/15/12 10.303 4.397
175 4/15/12 10.294 4.388
176 5/15/12 10.284 4.378
177 6/15/12 10.273 4.367
178 7/15/12 10.261 4.355
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
[LOGO] BEAR STEARNS
Page 52
<PAGE>
LEHMAN BROTHERS
COLLATERAL INFORMATION
----------------------
$1,525,000,000 Certificates
ContiMortgage Home Equity Loan Trust 1997-4
ContiMortgage Corporation (Seller and Servicer)
ContiWest Corporation (Seller)
ContiSecurities Asset Funding Corp. (Depositor)
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
====================================================================================================================================
Computational Materials
- -----------------------------------------------------------------------------------------------------------------------------------
Final
Scheduled
Class Size Expected Ratings Average Payment Payment
Class(2) ($ Tranche Type (Moody's/Fitch/ Life (3,4) Date Window (3,4) Day Count
millions) S&P)
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 235 Fixed Sequential PAC Aaa/AAA/AAA 0.50 years/MAT 03/15/08 10/97-8/98 / 11 mo. 30/360
A-2 166 Fixed Sequential PAC Aaa/AAA/AAA 1.15 years/MAT 02/15/12 08/98-02/99 / 7 mo. 30/360
A-3 307 Fixed Sequential PAC Aaa/AAA/AAA 2.04 years/MAT 07/15/12 02/99-06/00 / 17 mo. 30/360
A-4 100 Fixed Sequential PAC Aaa/AAA/AAA 3.04 years/MAT 07/15/12 06/00-03/01 / 10 mo. 30/360
A-5 132 Fixed Sequential PAC Aaa/AAA/AAA 4.05 years/MAT 12/15/12 03/01-07/02 / 17 mo. 30/360
A-6 39 Fixed Sequential PAC Aaa/AAA/AAA 5.09 years/MAT 10/15/13 07/02-03/03 / 9 mo. 30/360
A-7 95.25 Fixed Sequential PAC Aaa/AAA/AAA 6.95 years/MAT 09/15/16 03/03-12/07 / 58 mo. 30/360
A-8 137.50 Floater Companion Aaa/AAA/AAA 1.25 years/CALL 02/15/22 10/97-10/00 / 37 mo. Actual/360
A-9 267.50 Auction Rate Companion(5) Aaa/AAA/AAA 7.37 years/MAT 10/15/28 10/00-07/12 / 142 mo. Actual/360
B-1F 45.75 Fixed Subordinate Baa3/BBB/BBB- 5.14 years/MAT 10/15/28 10/00-12/06 / 75 mo. 30/360
A-7IO --- Interest Only (6) Aaa/AAA/AAAr 30/360
- -----------------------------------------------------------------------------------------------------------------------------------
Total $1,525 -- -- -- -- --Home Equity --
Loans--
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The information presented is based on a representative cut-off pool as of
the 9/1/97 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-8 Certificates are
priced to call. The spread to LIBOR of the Floating Rate Class A-8
Certificates doubles after the clean-up call date. The WAL of Class A-8
Certificates does not change when run to maturity.
(5) The pass-through rate on the Class A-9 Certificates will be determined
pursuant to Auction Procedures. The Auction Rate Companion will be managed
by Merrill Lynch and Lehman Brothers only.
(6) Merrill Lynch sole managed.
Seller and Servicer: ContiMortgage Corporation
Trustee: Manufacturers and Traders Trust Company
Managers: Merrill Lynch (lead manager), ContiFinancial
Services Corporation, Bear Stearns, Credit Suisse
First Boston, Greenwich Capital Markets, Lehman
Brothers, Morgan Stanley Dean Witter (co-managers)
Fixed Rate Certificates: All the triple-A Fixed Rate
Certificates 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 The two Floating Rate Certificates will be
Certificates: triple-AAA rated and will be companions to the PAC
classes in terms of principal repayment
Pricing Prepayment Speed: 125% of the prepayment assumption ("PPC") will be
applied to the Fixed Rate Group for pricing
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.
Expected Pricing Date: September 18, 1997.
Cut-Off Date Close of Business September 12, 1997
Expected Settlement: September 25, 1997 through DTC, Euroclear or CEDEL.
Beginning Accrual Period Fixed Rate Certificates, Class A-7IO: September 13,
1997
First Period # Days Fixed Rate Certificates, Class A-7IO: 18 days
Interest Distribution
Distribution Dates: The 15th of each month, beginning October, 1997.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Optional Call: 10% Clean-up call (10% of original aggregate loan
balances).
Net Available Funds Cap: The Floating Rate Certificates will be subject to an
available funds cap equal to the weighted average
coupon rate of the aggregate Fixed and Adjustable
Rate Home Equity Loans less the sum of: (a) an
amount, expressed as a annual percentage rate across
the aggregate pool balance, equal to the sum of the
Servicing Fee, the Trustee Fee, the Certificate
Insurer Fee and the Broker Dealer Fee (for the Class
A-9 only), in each case due with respect to the
related period, (b) a 0.50% credit enhancement carve
out and (c) for the first 30 Payment Dates only the
product of (i) 8.50% per annum and (ii) the Class
A-7IO Notional Principal Amount divided by the
aggregate pool balance.
Tax Status: REMIC
ERISA Eligibility: The Class A certificates are ERISA eligible.
SMMEA Eligibility: None of the offered certificates are SMMEA eligible.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Transaction Structure Overview
o 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-1F Certificates.
o MBIA will wrap the Class A Certificates only (Class A1- A-9, A7IO).
o The Class A-1 through Class A-7 Certificates will be Planned Amortization
Class ("PAC") Certificates
1. The PAC certificates will pay principal sequentially according to the
amortization schedule below
2. The PAC prepayment bands are:
FRMs - 100% PPC to 190% PPC
ARMs - 24% CPR to 45.6% CPR
o The Class A-8 and Class A-9 Certificates will be sequential companion
bonds.
o The Pass-Through Rate on the Class A-9 Certificates will be determined
pursuant to monthly Auction Rate Procedures.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
PAC Schedule
- ------------
<TABLE>
<CAPTION>
Principal Payment
-------------------------------------------------------------------------------------------------------------
Period Class A-1 Class A-2 Class A-3 Class A-4 Class A-5 Class A-6 Class A-7
--------------- -------------- --------------- --------------- --------------- --------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
0 235,000,000.00 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
1 225,141,521.87 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
2 207,411,725.10 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
3 188,491,295.50 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
4 168,392,051.29 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
5 147,130,720.45 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
6 120,210,051.55 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
7 92,421,344.83 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
8 63,541,328.69 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
9 35,718,840.58 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
10 9,074,642.17 166,000,000.00 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
11 0.00 148,513,798.46 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
12 0.00 122,484,516.05 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
13 0.00 96,975,414.70 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
14 0.00 71,975,626.67 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
15 0.00 47,475,001.35 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
16 0.00 23,463,810.22 307,000,000.00 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
17 0.00 0.00 306,932,437.33 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
18 0.00 0.00 283,871,037.11 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
19 0.00 0.00 261,670,182.65 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
20 0.00 0.00 239,120,606.77 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
21 0.00 0.00 217,413,311.85 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
22 0.00 0.00 196,139,480.47 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
23 0.00 0.00 175,312,962.75 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
24 0.00 0.00 154,901,897.40 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
25 0.00 0.00 134,898,013.09 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
26 0.00 0.00 115,293,203.86 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
27 0.00 0.00 96,079,525.82 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
28 0.00 0.00 77,249,193.88 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
29 0.00 0.00 58,794,578.54 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
30 0.00 0.00 40,708,202.77 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
31 0.00 0.00 22,982,738.93 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
32 0.00 0.00 5,611,005.78 100,000,000.00 132,000,000.00 39,000,000.00 95,250,000.00
33 0.00 0.00 0.00 88,585,965.52 132,000,000.00 39,000,000.00 95,250,000.00
34 0.00 0.00 0.00 71,900,720.89 132,000,000.00 39,000,000.00 95,250,000.00
35 0.00 0.00 0.00 55,551,704.95 132,000,000.00 39,000,000.00 95,250,000.00
36 0.00 0.00 0.00 39,528,972.15 132,000,000.00 39,000,000.00 95,250,000.00
37 0.00 0.00 0.00 39,528,972.15 132,000,000.00 39,000,000.00 95,250,000.00
38 0.00 0.00 0.00 39,528,972.15 132,000,000.00 39,000,000.00 95,250,000.00
39 0.00 0.00 0.00 28,232,735.99 132,000,000.00 39,000,000.00 95,250,000.00
40 0.00 0.00 0.00 15,821,374.21 132,000,000.00 39,000,000.00 95,250,000.00
41 0.00 0.00 0.00 3,930,708.27 132,000,000.00 39,000,000.00 95,250,000.00
42 0.00 0.00 0.00 0.00 124,538,786.57 39,000,000.00 95,250,000.00
43 0.00 0.00 0.00 0.00 113,624,589.88 39,000,000.00 95,250,000.00
44 0.00 0.00 0.00 0.00 103,167,991.32 39,000,000.00 95,250,000.00
45 0.00 0.00 0.00 0.00 93,149,718.15 39,000,000.00 95,250,000.00
46 0.00 0.00 0.00 0.00 83,551,315.17 39,000,000.00 95,250,000.00
47 0.00 0.00 0.00 0.00 74,355,109.71 39,000,000.00 95,250,000.00
48 0.00 0.00 0.00 0.00 65,544,178.15 39,000,000.00 95,250,000.00
49 0.00 0.00 0.00 0.00 57,102,313.89 39,000,000.00 95,250,000.00
50 0.00 0.00 0.00 0.00 49,013,996.67 39,000,000.00 95,250,000.00
51 0.00 0.00 0.00 0.00 41,264,363.27 39,000,000.00 95,250,000.00
52 0.00 0.00 0.00 0.00 33,839,179.44 39,000,000.00 95,250,000.00
53 0.00 0.00 0.00 0.00 26,724,813.03 39,000,000.00 95,250,000.00
54 0.00 0.00 0.00 0.00 19,908,208.33 39,000,000.00 95,250,000.00
55 0.00 0.00 0.00 0.00 13,376,861.45 39,000,000.00 95,250,000.00
56 0.00 0.00 0.00 0.00 7,118,796.82 39,000,000.00 95,250,000.00
57 0.00 0.00 0.00 0.00 1,122,544.68 39,000,000.00 95,250,000.00
58 0.00 0.00 0.00 0.00 0.00 34,377,119.51 95,250,000.00
59 0.00 0.00 0.00 0.00 0.00 28,871,999.45 95,250,000.00
60 0.00 0.00 0.00 0.00 0.00 23,597,106.55 95,250,000.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
PAC Schedule
- ------------
<TABLE>
<CAPTION>
Principal Payment
-------------------------------------------------------------------------------------------------------------
Period Class A-1 Class A-2 Class A-3 Class A-4 Class A-5 Class A-6 Class A-7
--------------- -------------- --------------- --------------- --------------- --------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
61 0.00 0.00 0.00 0.00 0.00 18,542,787.88 95,250,000.00
62 0.00 0.00 0.00 0.00 0.00 13,699,797.48 95,250,000.00
63 0.00 0.00 0.00 0.00 0.00 9,059,279.07 95,250,000.00
64 0.00 0.00 0.00 0.00 0.00 4,612,749.47 95,250,000.00
65 0.00 0.00 0.00 0.00 0.00 352,082.79 95,250,000.00
66 0.00 0.00 0.00 0.00 0.00 0.00 91,519,495.24
67 0.00 0.00 0.00 0.00 0.00 0.00 87,607,530.63
68 0.00 0.00 0.00 0.00 0.00 0.00 83,859,046.49
69 0.00 0.00 0.00 0.00 0.00 0.00 80,267,200.75
70 0.00 0.00 0.00 0.00 0.00 0.00 76,604,793.40
71 0.00 0.00 0.00 0.00 0.00 0.00 72,996,525.82
72 0.00 0.00 0.00 0.00 0.00 0.00 69,539,013.28
73 0.00 0.00 0.00 0.00 0.00 0.00 66,225,951.21
74 0.00 0.00 0.00 0.00 0.00 0.00 63,051,299.82
75 0.00 0.00 0.00 0.00 0.00 0.00 60,009,272.86
76 0.00 0.00 0.00 0.00 0.00 0.00 57,094,326.93
77 0.00 0.00 0.00 0.00 0.00 0.00 54,301,151.22
78 0.00 0.00 0.00 0.00 0.00 0.00 51,624,657.68
79 0.00 0.00 0.00 0.00 0.00 0.00 49,059,971.61
80 0.00 0.00 0.00 0.00 0.00 0.00 46,602,422.68
81 0.00 0.00 0.00 0.00 0.00 0.00 44,247,536.30
82 0.00 0.00 0.00 0.00 0.00 0.00 41,991,025.34
83 0.00 0.00 0.00 0.00 0.00 0.00 39,828,782.26
84 0.00 0.00 0.00 0.00 0.00 0.00 37,756,871.54
85 0.00 0.00 0.00 0.00 0.00 0.00 35,771,522.41
86 0.00 0.00 0.00 0.00 0.00 0.00 33,869,121.95
87 0.00 0.00 0.00 0.00 0.00 0.00 32,046,208.42
88 0.00 0.00 0.00 0.00 0.00 0.00 30,299,464.89
89 0.00 0.00 0.00 0.00 0.00 0.00 28,625,713.18
90 0.00 0.00 0.00 0.00 0.00 0.00 27,021,908.01
91 0.00 0.00 0.00 0.00 0.00 0.00 25,485,131.41
92 0.00 0.00 0.00 0.00 0.00 0.00 24,012,587.37
93 0.00 0.00 0.00 0.00 0.00 0.00 22,601,596.74
94 0.00 0.00 0.00 0.00 0.00 0.00 21,249,592.28
95 0.00 0.00 0.00 0.00 0.00 0.00 19,954,114.01
96 0.00 0.00 0.00 0.00 0.00 0.00 18,712,804.68
97 0.00 0.00 0.00 0.00 0.00 0.00 17,523,405.45
98 0.00 0.00 0.00 0.00 0.00 0.00 16,383,751.81
99 0.00 0.00 0.00 0.00 0.00 0.00 15,291,769.57
100 0.00 0.00 0.00 0.00 0.00 0.00 14,245,471.11
101 0.00 0.00 0.00 0.00 0.00 0.00 13,242,951.73
102 0.00 0.00 0.00 0.00 0.00 0.00 12,282,386.21
103 0.00 0.00 0.00 0.00 0.00 0.00 11,362,025.45
104 0.00 0.00 0.00 0.00 0.00 0.00 10,480,193.29
105 0.00 0.00 0.00 0.00 0.00 0.00 9,635,283.46
106 0.00 0.00 0.00 0.00 0.00 0.00 8,825,756.67
107 0.00 0.00 0.00 0.00 0.00 0.00 8,050,137.78
108 0.00 0.00 0.00 0.00 0.00 0.00 7,307,013.14
109 0.00 0.00 0.00 0.00 0.00 0.00 6,595,028.01
110 0.00 0.00 0.00 0.00 0.00 0.00 5,912,884.10
111 0.00 0.00 0.00 0.00 0.00 0.00 5,912,884.10
112 0.00 0.00 0.00 0.00 0.00 0.00 5,286,741.87
113 0.00 0.00 0.00 0.00 0.00 0.00 4,686,861.59
114 0.00 0.00 0.00 0.00 0.00 0.00 4,117,265.89
115 0.00 0.00 0.00 0.00 0.00 0.00 3,571,434.54
116 0.00 0.00 0.00 0.00 0.00 0.00 3,048,380.11
117 0.00 0.00 0.00 0.00 0.00 0.00 2,547,156.19
118 0.00 0.00 0.00 0.00 0.00 0.00 2,066,855.68
119 0.00 0.00 0.00 0.00 0.00 0.00 1,606,609.16
120 0.00 0.00 0.00 0.00 0.00 0.00 1,165,583.32
121 0.00 0.00 0.00 0.00 0.00 0.00 742,979.44
122 0.00 0.00 0.00 0.00 0.00 0.00 338,031.98
123 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Credit Enhancement for Fixed and Floating Rate Certificates
- -----------------------------------------------------------
o Class A1-A9 Credit Enhancement:
1. Excess cash;
2. Overcollateralization building up to a requirement of 1.0% of the
aggregate original loan balance;
3. Subordination of Class B-1F certificates, totaling 3.0% of the
aggregate original loan balance;
4. MBIA surety.
o Class B-1F Credit Enhancement:
1. Excess cash
2. Overcollateralization building up to a requirement of 1.0% 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, Auction
Agent Fee and Certificate Interest.
Overcollateralization
- ---------------------
1. Before the Stepdown Date, overcollateralization initially builds to
1.0% 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 2.15% 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 5
months of the transaction (until March 15, 1998).
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Interest Cashflow Priority
- --------------------------
o Interest Collections (net of Servicing and Trustee Fees) 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
- ---------------------------
o Principal Collections (including accelerated cash to build
overcollateralization) will be allocated in the following priority prior to
the Stepdown Date(October 2000) if no trigger event is in effect:
1. First sequentially to the Class A PAC bonds to their scheduled
balance;
2. Remaining principal to Class A-8 floater companion until retired;
3. Remaining principal to Class A-9 Auction Rate Floater companion until
retired;
4. Remaining principal sequentially to the Class A PAC bonds until
retired;
5. Remaining principal to Class B1-F Certificate.
o Principal Collections (including accelerated cash to build
overcollateralization) will be allocated in the following priority on and
after the Stepdown Date(October 2000) if no trigger event is in effect:
1. Determine the Triple A Principal Distribution Amount per the
Subordination Test (as described below);
2. First sequentially to the Class A PAC bonds to their scheduled balance
to the extent that triple A principal is available;
3. Remaining Triple A principal to the Class A-8 floater companion until
retired;
4. Remaining Triple A principal to the Class A-9 Auction Rate Floater
companion until retired;
5. Sequentially to the Class A PAC bonds until retired.
6. Non Triple A principal amounts to the Class B1-F Certificates on or
after the Step Down Date until retired.
7. Monthly Excess Cashflow amounts.
o Collections of Principal (including accelerated cash) on and after the
stepdown date (October 2000), and if no trigger event is in effect will be
allocated in the following priority:
Pay Class A bonds and Class B-1F 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 91.40% 8.60%
Class B-1F 6.45 2.15
Overcollateralization 2.15
------
100%
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Principal Cashflow Priority (Class BF-1 Subordinated Certificates):
- -------------------------------------------------------------------
o 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. See the
Class B Principal Distribution Amount definition below.
Subordination Test (To determine Triple A Principal Distribution Amount):
- -------------------------------------------------------------------------
o 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 1.00% (based on the aggregate original balance). After the Stepdown
Date, the Class A Certificates receive collateral principal to maintain
8.60% credit enhancement. (See Class A Principal Distribution Amount
definition below)
Step Down Date:
- ---------------
o The earlier of: (i) the later of (a) the October 2000 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 8.60%, and
(ii) the Payment Date on which the aggregate Class A Balance has been
reduced to zero.
Senior Enhancement Percentage:
- ------------------------------
o 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:
- -----------------------------------------------
o 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
7. Class R Certificates
Note: Interest will not accrue or be payable on any written down amounts with
respect to the Class B1-F Certificates.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Delinquency Trigger:
- --------------------
o 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 (8.60% = 2.15 X 4.0%).
o 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:
- ---------------------------------------
o 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
October 1997-September 1999 1.05%
October 1999-September 2000 1.80%
October 2000-September 2001 2.40%
October 2001-September 2002 2.85%
October 2002 and thereafter 3.00%
o Upon the occurrence and during the continuance of a Cumulative Realized
Loss Trigger Event, the overcollateralization amount shall increase to
2.50% of the aggregate original balance of the Fixed and Adjustable Rate
Loan Groups
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Collateral Description
----------------------
o Collateral statistics are based on a representative pool as of close of
business August 31, 1997 (the "statistical calculation date"). The actual
statistics may vary.
<TABLE>
<CAPTION>
ARM Portfolio Fixed Rate Portfolio
------------- --------------------
<S> <C> <C>
Total Outstanding Balance: $375,719,436 $1,035,913,374
Number of Loans: 4,023 17,279
Average Remaining Balance: $93,392.85 (range: $11,000.00 - $449,846.40) $59,952.16 (range: $4,511.00 - $450,000.00)
Interest Rate Index: o 18.69% 6-month LIBOR o 100.00% fixed rate loans
o 68.19% 2/28 adjustment
o 13.12% 3/27 adjustment
Amortization Method: 99.94% fully amortizing / 0.06% balloons 47.64% fully amortizing / 52.36% balloons
WA Gross Coupon: 10.362% (range: 6.250% - 15.900%) 11.382% (range: 5.875% - 19.990%)
WA Gross Margin /
WA Life Cap: 6.242% Margin / 16.640% Cap N/A
WA Periodic Interest Rate 1.067% N/A
Caps:
WA Months to Roll: 20.41 months N/A
Original Weighted Average 359.51 months (range: 120-360 months) 217.78 months (range: 60-360 months)
Term:
Remaining Weighted Average
Term: 358.42 months (range: 119 - 360 months) 216.28 months (range: 54 - 360 months)
Seasoning: 1.09 months (range: 0 - 16) 1.50 months (range: 0 - 61 months)
Lien Position: 100% first 93.70% first / 6.30% second
Original LTV Ratio: 77.46% (range: 10.58% - 100.00%) 73.56% (range: 3.25% - 100.00%)
Original CLTV Ratio: N/A 76.56% (range: 9.17% - 113.90%)
WA Debt to Income Ratio: 40.12% (range: 2.00% - 74.00%) 38.13% (range: 1.00% -83.00%)
Credit Grade: 55.49% A, 27.36% B, 14.49% C, 2.62% D, 0.04% M 56.67% A, 24.12% B, 15.30% C, 3.66% D, 0.25 M
Documentation: 81.14% full doc, 9.62% no income verification, 89.50% full doc, 6.41% no income verification,
9.20% no doc, 0.04% mixed use 3.84% no doc, 0.25% mixed use
Property Type: 87.74% single family, 3.45% 2-4 family, 5.06% 89.49% single family, 5.82% 2-4 family, 1.05%
PUD, 3.75% other PUD, 3.64% other
Owner Occupancy: 95.37% owner occupied, 4.63% investor owned 96.12% owner occupied, 3.88% investor owned
Loan Purpose: 54.35% debt consolidation and home improvement, 81.00% debt consolidation and home improvement,
32.59% purchase, 13.06% other 11.25% purchase, 7.75.% other
Geographic Distribution: CA (17.20%), MI (12.19%), UT (5.88%), OH (5.77%), MI (9.99%), OH (9.44%), NC (7.18%), IL (6.77%),
WA (5.69%), CO (5.46%) with all remaining states FL (6.72%), PA (6.30%), NY (5.75%),IN (5.07%)
under 5.0% with all remaining states under 5.0%
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Range of Outstanding Pct.
Outstanding Principal of
Principal Balance Count Balance Total
- ---------------------------- -------- ------------- -----
0.01 - 25,000.00 2,508 47,879,659 4.62
25,000.01 - 50,000.00 6,102 230,736,131 22.27
50,000.01 - 75,000.00 4,490 274,484,651 26.50
75,000.01 - 100,000.00 2,026 175,277,137 16.92
100,000.01 - 125,000.00 1,052 117,055,480 11.30
125,000.01 - 150,000.00 502 68,199,769 6.58
150,000.01 - 175,000.00 239 38,702,123 3.74
175,000.01 - 200,000.00 142 26,736,676 2.58
200,000.01 - 225,000.00 72 15,202,838 1.47
225,000.01 - 250,000.00 46 10,932,460 1.06
250,000.01 - 275,000.00 32 8,312,643 0.80
275,000.01 - 300,000.00 23 6,634,832 0.64
300,000.01 - 325,000.00 15 4,672,701 0.45
325,000.01 - 350,000.00 14 4,740,790 0.46
350,000.01 - 400,000.00 11 4,155,294 0.40
400,000.01 - 450,000.00 5 2,190,187 0.21
- ---------------------------- -------- ------------- -----
Total: 17,279 1,035,913,374 100
- ---------------------------- -------- ------------- -----
Min: 4511.19
Max: 450,000.00
Average: 59,952.16:
- ---------------------------- -------- ------------- -----
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
Range of Coupons Count Balance Total
- --------------------- -------- ------------- -------
5.01 - 6.00 1 86,162 0.01
6.01 - 7.00 1 277,532 0.03
7.01 - 8.00 37 2,824,927 0.27
8.01 - 9.00 588 48,280,967 4.66
9.01 - 10.00 2,316 171,316,191 16.54
10.01 - 11.00 4,035 273,205,488 26.37
11.01- 12.00 3,983 243,452,989 23.50
12.01 - 13.00 3,114 163,546,431 15.79
13.01 - 14.00 1,660 74,631,497 7.20
14.01 - 15.00 916 35,636,155 3.44
15.01 - 16.00 337 13,372,085 1.29
16.01 - 17.00 185 5,694,999 0.55
17.01 - 18.00 89 2,939,927 0.28
18.01 - 19.00 15 561,458 0.05
19.01 - 20.00 2 86,565 0.01
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
Min: 5.88
Max: 19.99
WAC: 11.38
- --------------------- -------- ------------- -------
Range of Outstanding Pct.
Remaining Principal of
Terms to Maturity Count Balance Total
- --------------------- -------- ------------- -------
0 - 120 884 25,635,295 2.47
121 - 180 11,384 683,811,604 66.01
181 - 240 2,613 146,954,931 14.19
241 - 300 65 4,030,859 0.39
301 - 360 2,333 175,480,684 16.94
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
Min: 54
Max: 360
Weighted Average: 216.28
- --------------------- -------- ------------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Range of Outstanding Pct.
Original Principal of
Terms to Maturity Count Balance Total
- --------------------- -------- ------------- -------
0 - 120 884 25,635,295 2.47
121 -180 11,384 683,811,604 66.01
181- 240 2,613 146,954,931 14.19
241- 300 64 3,863,914 0.37
301- 360 2334 175,647,630 16.96
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
Min: 60
Max: 360
Weighted Average: 217.78
- --------------------- -------- ------------- -------
Outstanding Pct.
Range of Principal of
Seasoning Count Balance Total
- --------------------- -------- ------------- -------
0 - 1 9,226 561,959,509 54.25
2 - 12 8,047 473,384,716 45.70
13>= 6 569,149 0.05
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
Min: 0
Max: 61
Weighted Average: 1.50
- --------------------- -------- ------------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Range of Principal of
Original LTV Count Balance Total
- --------------------- -------- ------------- -------
0.01 - 5.00 3 34,167 0.00
5.01 - 10.00 72 1,360,826 0.13
10.01 - 15.00 408 8,706,658 0.84
15.01 - 20.00 507 12,831,796 1.24
20.01 - 25.00 459 13,737,087 1.33
25.01 - 30.00 374 12,163,326 1.17
30.01 - 35.00 359 12,431,577 1.20
35.01 - 40.00 326 11,731,297 1.13
40.01 - 45.00 364 14,305,774 1.38
45.01 - 50.00 597 22,784,747 2.20
50.01 - 55.00 427 18,131,638 1.75
55.01 - 60.00 705 32,613,591 3.15
60.01 - 65.00 971 51,212,053 4.94
65.01 - 70.00 1,494 84,091,381 8.12
70.01 - 75.00 1,967 120,793,803 11.66
75.01 - 80.00 4,004 271,836,904 26.24
80.01 >= 4,242 347,146,749 33.51
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
Min: 3.25
Max: 100.00
Weighted Average: 73.56
- --------------------- -------- ------------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
Original CLTV Count Balance Total
- --------------------- -------- ------------- -------
5.01 - 10.00 3 40,460 0.00
10.01 - 15.00 25 479,737 0.05
15.01 - 20.00 58 1,212,376 0.12
20.01 - 25.00 81 1,969,343 0.19
25.01 - 30.00 121 3,488,218 0.34
30.01 - 35.00 186 5,542,873 0.54
35.01 - 40.00 226 7,391,090 0.71
40.01 - 45.00 304 10,702,258 1.03
45.01 - 50.00 585 21,630,565 2.09
50.01 - 55.00 432 17,756,637 1.71
55.01 - 60.00 749 33,600,897 3.24
60.01 - 65.00 1,039 53,328,642 5.15
65.01 - 70.00 1,643 88,947,692 8.59
70.01 - 75.00 2,239 129,387,001 12.49
75.01 - 80.00 4,581 289,602,152 27.96
80.01 >= 5,007 370,833,434 35.80
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
Min: 9.17
Max: 113.90
Weighted Average: 76.56
- --------------------- -------- ------------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
Junior Lien Ratio Count Balance Total
- --------------------- -------- ------------- -------
0.00 - 4.99 15,220 970,660,002 93.70
5.00 - 9.99 15 211,742 0.02
10.00 - 14.99 121 2,344,981 0.23
15.00 - 19.99 315 7,091,752 0.68
20.00 - 24.99 351 8,797,598 0.85
25.00 - 29.99 304 9,460,206 0.91
30.00 - 34.99 242 7,521,870 0.73
35.00 - 39.99 186 6,460,175 0.62
40.00 - 44.99 138 4,948,711 0.48
45.00 - 49.99 91 3,867,787 0.37
50.00 - 54.99 70 3,255,247 0.31
55.00 - 59.99 50 2,239,992 0.22
60.00 - 64.99 42 1,892,485 0.18
65.00 - 69.99 38 1,779,148 0.17
70.00 - 74.99 24 1,408,364 0.14
75.00 - 79.99 22 1,126,480 0.11
80.00 - 84.99 20 957,570 0.09
85.00 - 89.99 17 958,437 0.09
90.00 - 94.99 12 877,189 0.08
95.00 - 99.99 1 53,638 0.01
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
Min: 0.00
Max: 95.63
Weighted Average: 37.87*
- --------------------- -------- ------------- -------
* For Second Liens Only
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Range of Outstanding Pct.
Debt to Income Principal of
Ratio Count Balance Total
- --------------------- -------- ------------- -------
0.01 - 5.00 19 745,985 0.07
5.01 - 10.00 115 5,171,289 0.50
10.01 - 15.00 415 15,802,042 1.53
15.01 - 20.00 900 38,101,906 3.68
20.01 - 25.00 1,507 73,971,818 7.14
25.01 - 30.00 1,961 105,239,503 10.16
30.01 - 35.00 2,389 133,965,705 12.93
35.01 - 40.00 2,702 163,429,645 15.78
40.01 - 45.00 3,054 205,207,305 19.81
45.01 - 50.00 3,649 251,858,255 24.31
50.01 - 55.00 541 40,195,366 3.88
55.01 - 60.00 24 1,953,069 0.19
60.01 - 65.00 1 84,674 0.01
75.01 - 80.00 1 55,112 0.01
80.01- 85.00 1 131,700 0.01
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
Min: 1.00
Max: 83.00
Weighted Average: 38.13
- --------------------- -------- ------------- -------
Outstanding Pct.
Principal of
Days Delinquent Count Balance Total
- --------------------- -------- ------------- -------
0-29 17,080 1,025,146,171 98.96
30-59 159 8,494,321 0.82
60-89 40 2,272,883 0.22
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
Product Type Count Balance Total
- --------------------- -------- ------------- -------
Balloon - 20/15 13 609,825 0.06
Balloon -30/5 3 111,439 0.01
Balloon - 30/15 7,912 541,668,348 52.29
Fixed 9,351 493,523,762 47.64
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
Outstanding Pct.
Principal of
Lien Position Count Balance Total
- --------------------- -------- ------------- -------
1st Lien 15,220 970,660,002 93.70
2nd Lien 2,059 65,253,372 6.30
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
Outstanding Pct.
Principal of
Balloon Count Balance Total
- --------------------- -------- ------------- -------
Balloon 7,928 542,389,612 52.36
Non-Balloon 9,351 493,523,762 47.64
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Property Principal of
Type Count Balance Total
- --------------------- -------- ------------- -------
2 Family Residence 684 42,089,795 4.06
3-4 Family Residence 211 18,208,441 1.76
High Rise Condo 10 411,726 0.04
Low Rise Condo 108 5,737,910 0.55
Manufactured 527 26,541,636 2.56
Mixed Use-Comrcl 14 1,537,127 0.15
Mixed Use-Consum 31 3,353,321 0.32
Pud 135 10,910,115 1.05
SFR Attached 627 31,121,513 3.00
SFR Detached 14,932 896,001,791 86.49
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
Outstanding Pct.
Principal of
Loan Purpose Count Balance Total
- --------------------- -------- ------------- -------
Debt Consol 13,282 786,083,955 75.88
Purchase 1,603 116,586,101 11.25
DC & HI Combo 453 24,525,513 2.37
Other 1,360 80,286,653 7.75
Home Improve. 581 28,431,152 2.74
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
Outstanding Pct.
Occupancy Principal of
Status Count Balance Total
- --------------------- -------- ------------- -------
Investor Owned 902 40,159,605 3.88
Owner Occupied 16,377 995,753,769 96.12
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
States Count Balance Total
- --------------------- -------- ------------- -------
Michigan 2,091 103,503,187 9.99
Ohio 1,704 97,750,804 9.44
North Carolina 1,309 74,426,381 7.18
Illinois 1,188 70,099,176 6.77
Florida 1,219 69,566,853 6.72
Pennsylvania 1,121 65,220,462 6.30
New York 763 59,582,515 5.75
Indiana 1,097 52,557,999 5.07
New Jersey 604 50,049,094 4.83
Georgia 566 36,779,837 3.55
Maryland 494 34,672,008 3.35
California 257 26,022,022 2.51
South Carolina 468 24,221,806 2.34
Massachusetts 298 23,576,584 2.28
Missouri 441 19,751,567 1.91
Virginia 320 19,619,675 1.89
Kentucky 322 17,868,370 1.72
Tennessee 272 15,358,085 1.48
Colorado 194 15,190,957 1.47
Texas 204 13,101,038 1.26
Minnesota 209 12,646,218 1.22
Wisconsin 229 12,173,499 1.18
Utah 176 11,591,070 1.12
Connecticut 133 11,264,665 1.09
New Mexico 159 10,922,321 1.05
Arizona 155 10,765,993 1.04
Louisiana 166 9,559,508 0.92
Washington 102 8,350,526 0.81
Oregon 85 6,716,132 0.65
Mississippi 125 5,825,373 0.56
Rhode Island 84 5,701,508 0.55
Iowa 120 5,685,865 0.55
District of Columbia 63 5,344,891 0.52
Kansas 89 4,071,998 0.39
Delaware 54 3,487,507 0.34
New Hampshire 41 3,483,921 0.34
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
States Count Balance Total
- --------------------- -------- ------------- -------
Oklahoma 69 3,254,015 0.31
Nevada 40 3,113,708 0.30
Nebraska 66 2,890,175 0.28
Arkansas 49 2,290,760 0.22
Idaho 32 1,754,967 0.17
Hawaii 12 1,668,220 0.16
West Virginia 33 1,366,899 0.13
Maine 26 1,263,901 0.12
Montana 18 1,152,512 0.11
Wyoming 7 366,308 0.04
South Dakota 4 262,896 0.03
North Dakota 1 19,600 0.00
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
Documentation Level Count Balance Total
- --------------------- -------- ------------- -------
Full Doc -Asset and Income 15,658 927,111,426 89.50
No Income Verifier 956 66,445,655 6.41
No Documentation 643 39,775,055 3.84
Other 22 2,581,238 0.25
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
Outstanding Pct.
Principal of
Credit Rating Count Balance Total
- --------------------- -------- ------------- -------
A 8,783 587,060,452 56.67
B 4,308 249,853,726 24.12
C 3,180 158,503,754 15.30
D 986 37,914,203 3.66
M 22 2,581,238 0.25
- --------------------- -------- ------------- -------
Total: 17,279 1,035,913,374 100
- --------------------- -------- ------------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Range of Outstanding Pct.
Outstanding Principal of
Principal Balance Count Balance Total
- ------------------------- -------- ----------- -------
0.01 - 25,000.00 89 1,882,534 0.50
25,000.01 - 50,000.00 756 29,771,363 7.92
50,000.01 - 75,000.00 1,038 64,977,609 17.29
75,000.01 - 100,000.00 802 70,092,420 18.66
100,000.01 - 125,000.00 540 60,439,051 16.09
125,000.01 - 150,000.00 271 37,095,614 9.87
150,000.01 - 175,000.00 176 28,462,242 7.58
175,000.01 - 200,000.00 130 24,295,390 6.47
200,000.01 - 225,000.00 68 14,451,145 3.85
225,000.01 - 250,000.00 34 8,114,722 2.16
250,000.01 - 275,000.00 34 8,938,935 2.38
275,000.01 - 300,000.00 37 10,678,949 2.84
300,000.01 - 325,000.00 19 6,017,006 1.60
325,000.01 - 350,000.00 16 5,406,055 1.44
350,000.01 - 400,000.00 10 3,759,229 1.00
400,000.01 - 450,000.00 3 1,337,174 0.36
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Min: 11,000.00
Max: 449,846.40
Average: 93,392.85
- ------------------------- -------- ----------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Range of Principal of
Current Coupons Count Balance Total
- ------------------------- -------- ----------- -------
6.01 - 7.00 3 476,886 0.13
7.01 - 8.00 44 5,286,570 1.41
8.01 - 9.00 316 35,342,976 9.41
9.01 - 10.00 1,016 110,762,435 29.48
10.01 - 11.00 1,464 136,489,769 36.33
11.01 - 12.00 868 67,016,617 17.84
12.01 - 13.00 228 15,673,814 4.17
13.01 - 14.00 54 3,146,910 0.84
14.01 - 15.00 24 1,253,482 0.33
15.01 - 16.00 6 269,979 0.07
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Min: 6.25
Max: 15.90
WAC: 10.36
- ------------------------- -------- ----------- -------
Range of Outstanding Pct.
Original Principal of
Terms to Maturity Count Balance Total
- ------------------------- -------- ----------- -------
0- 120 1 26,873 0.01
121- 180 10 917,376 0.24
181- 240 1 91,800 0.02
301- 360 4,011 374,683,388 99.72
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Min: 120
Max: 360
Weighted Average: 359.51
- ------------------------- -------- ----------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Range of Outstanding Pct.
Remaining Principal of
Terms to Maturity Count Balance Total
- ------------------------- -------- ----------- -------
0 - 120 1 26,873 0.01
121 - 180 10 917,376 0.24
181 - 240 1 91,800 0.02
301 - 360 4011 374,683,388 99.72
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,437 100.00
- ------------------------- -------- ----------- -------
Min: 119
Max: 360
Weighted Average: 358.42
- ------------------------- -------- ----------- -------
Outstanding Pct.
Range of Principal of
Seasoning Count Balance Total
- ------------------------- -------- ----------- -------
0 - 1 2,812 266,161,203 70.84
2 - 12 1,209 109,222,843 29.07
13 >= 2 335,391 0.09
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Min: 0
Max: 16
Weighted Average: 1.09
- ------------------------- -------- ----------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Range of Principal of
Original LTV Count Balance Total
- ------------------------- -------- ----------- -------
10.01 - 15.00 1 19,994 0.01
15.01 - 20.00 4 157,348 0.04
20.01 - 25.00 10 248,781 0.07
25.01 - 30.00 11 567,054 0.15
30.01 - 35.00 11 847,612 0.23
35.01 - 40.00 36 1,673,507 0.45
40.01 - 45.00 43 2,633,958 0.70
45.01 - 50.00 84 5,123,009 1.36
50.01 - 55.00 73 4,713,935 1.25
55.01 - 60.00 146 10,949,272 2.91
60.01 - 65.00 258 20,357,868 5.42
65.01 - 70.00 407 34,895,791 9.29
70.01 - 75.00 678 60,792,554 16.18
75.01 - 80.00 1,061 101,262,305 26.95
80.01 >= 1,200 131,476,450 34.99
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Min: 10.58
Max: 100.00
Weighted Average: 77.46
- ------------------------- -------- ----------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Range of Outstanding Pct.
Debt to Income Principal of
Ratio Count Balance Total
- ------------------------- -------- ----------- -------
0.01 - 5.00 1 200,000 0.05
5.01 - 10.00 25 1,462,797 0.39
10.01 - 15.00 64 4,198,486 1.12
15.01 - 20.00 162 1,0361477 2.76
20.01 - 25.00 259 19,774,899 5.26
25.01 - 30.00 366 27,386,133 7.29
30.01 - 35.00 514 45,686,207 12.16
35.01 - 40.00 615 55,284,786 14.71
40.01 - 45.00 742 75,479,857 20.09
45.01 - 50.00 948 97,521,497 25.96
50.01 - 55.00 282 32,414,604 8.63
55.01 - 60.00 42 5,698,297 1.52
60.01 - 65.00 2 153,438 0.04
65.01 - 70.00 1 96,958 0.03
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Min: 2.00
Max: 74.00
Weighted Average: 40.12
- ------------------------- -------- ----------- -------
Outstanding Pct.
Principal of
Days Delinquent Count Balance Total
- ------------------------- -------- ----------- -------
0-29 4,005 374,318,170 99.63
30-59 11 721,040 0.19
60-89 7 680,227 0.18
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Outstanding Pct.
Principal of
Index Type Count Balance Total
- ------------------------- -------- ----------- -------
Libor - 6 Month 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
Product Type Count Balance Total
- ------------------------- -------- ----------- -------
ARM - 6 Month 720 70,212,865 18.68
ARM - 2 Year/6Month 2,802 256,186,748 68.19
ARM - 3 Year/6 Month 501 49,319,823 13.13
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Outstanding Pct.
Principal of
Lien Position Count Balance Total
- ------------------------- -------- ----------- -------
1st Lien 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Outstanding Pct.
Principal of
Balloon Count Balance Total
- ------------------------- -------- ----------- -------
Balloon 2 243,784 0.06
Non-Balloon 4,021 375,475,653 99.94
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Outstanding Pct.
Property Principal of
Type Count Balance Total
- ------------------------- -------- ----------- -------
Single Family Detached 3,544 329,668,444 87.74
2-4 Family 151 12,939,639 3.45
PUD 141 18,994,442 5.06
Manufactured Housing 90 6,507,713 1.73
Condo 66 5,487,240 1.46
Single Family Attached 31 2,121,958 0.56
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
Loan Purpose Count Balance Total
- ------------------------- -------- ----------- -------
Debt Consolidation 2,181 192,082,399 51.12
Purchase 1,187 122,438,887 32.59
Debt Cons. & Home Improv. 92 8,116,583 2.16
Other 500 49,054,610 13.06
Home Improvement 63 4,026,958 1.07
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Outstanding Pct.
Occupancy Principal of
Status Count Balance Total
- ------------------------- -------- ----------- -------
Owner Occupied 3,786 358,320,871 95.37
Investor Owned 237 17,398,565 4.63
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Outstanding Pct.
Principal of
Documentation Level Count Balance Total
- ------------------------- -------- ----------- -------
Full Doc -Asset and Income 3,337 304,853,955 81.14
No Income Verifier 328 36,142,514 9.62
No Documentation 357 34,571,746 9.20
Mixed Use 1 151,222 0.04
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
States Count Balance Total
- ------------------------- -------- ----------- -------
Arkansas 5 376,797 0.10
Arizona 180 16,289,949 4.34
California 491 64,638,308 17.20
Colorado 191 20,500,899 5.46
Connecticut 43 4,011,143 1.07
District of Columbia 4 347,764 0.09
Delaware 5 465,596 0.12
Florida 163 15,656,583 4.17
Georgia 62 6,282,146 1.67
Hawaii 40 6,556,259 1.74
Iowa 18 955,863 0.25
Idaho 29 2,322,035 0.62
Illinois 122 10,076,618 2.68
Indiana 87 5,224,992 1.39
Kansas 27 2,171,551 0.58
Kentucky 37 2,321,915 0.62
Louisiana 16 1,218,380 0.32
Massachusetts 70 8,405,300 2.24
Maryland 39 4,453,965 1.19
Maine 7 984,598 0.26
Michigan 669 45,802,339 12.19
Minnesota 83 6,427,927 1.71
Missouri 92 5,844,797 1.56
Mississippi 8 691,177 0.18
Montana 8 885,658 0.24
North Carolina 63 4,209,587 1.12
North Dakota 2 78,100 0.02
Nebraska 15 833,921 0.22
New Hampshire 1 58,207 0.02
New Jersey 17 2,342,272 0.62
New Mexico 88 8,036,684 2.14
Nevada 69 8,678,151 2.31
New York 23 2,401,998 0.64
Ohio 284 21,696,145 5.77
Oklahoma 19 1,259,832 0.34
Oregon 125 13,144,396 3.50
Pennsylvania 72 5,492,237 1.46
Rhode Island 20 1,658,997 0.44
South Carolina 25 1,650,275 0.44
South Dakota 4 260,698 0.07
Tennessee 29 2,291,993 0.61
Texas 169 18,011,346 4.79
Utah 196 22,075,501 5.88
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
States Count Balance Total
- ------------------------- -------- ----------- -------
Virginia 22 2,317,303 0.62
Vermont 1 205,000 0.05
Washington 213 21,395,266 5.69
Wisconsin 63 4,292,132 1.14
West Virginia 3 225,506 0.06
Wyoming 4 191,331 0.05
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
Credit Rating Count Balance Total
- ------------------------- -------- ----------- -------
A 1,986 208,488,805 55.49
B 1,131 102,809,835 27.36
C 743 54,444,704 14.49
D 162 9,824,870 2.62
M 1 151,222 0.04
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Outstanding Pct.
Range of Principal of
Margins Count Balance Total
- ------------------------- -------- ----------- -------
0.00 - 0.99 2 119,126 0.03
3.00 - 3.99 18 1,776,135 0.47
4.00 - 4.99 189 20,649,549 5.50
5.00 - 5.99 1272 136,046,210 36.21
6.00 - 6.99 1558 142,379,427 37.90
7.00 - 7.99 761 59,006,261 15.70
8.00 - 8.99 178 12,619,495 3.36
9.00 - 9.99 39 2,660,280 0.71
10.00 - 10.99 5 411,017 0.11
11.00 - 11.99 1 51,935 0.01
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Min: 0.45
Max: 11.85
Weighted Average: 6.24
- ------------------------- -------- ----------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Initial Outstanding Pct.
Periodic Principal of
Cap Count Balance Total
- ------------------------- -------- ----------- -------
1.000 712 69,049,885 18.38
1.500 15 1,749,631 0.47
2.000 60 6,425,826 1.71
3.000 3194 294,345,073 78.34
5.000 1 57,000 0.02
6.000 26 2,642,783 0.70
7.000 15 1,449,238 0.39
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Min: 1.00
Max: 7.00
Weighted Average: 2.645
- ------------------------- -------- ----------- -------
Outstanding Pct.
Periodic Principal of
Rate Cap Count Balance Total
- ------------------------- -------- ----------- -------
1.00 3539 327,320,939 87.12
1.50 475 47,595,473 12.67
2.00 2 321,540 0.09
3.00 6 421,574 0.11
6.00 1 59,909 0.02
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Min: 1.000
Max: 6.000
Weighted Average: 1.067
- ------------------------- -------- ----------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
Maximum Rate Count Balance Total
- ------------------------- -------- ----------- -------
11.01 - 12.00 1 277,184 0.07
12.01 - 13.00 0 0 0.0
13.01 - 14.00 27 3,060,306 0.81
14.01 - 15.00 200 21,935,347 5.84
15.01 - 16.00 845 93,039,075 24.76
16.01 - 17.00 1460 139,962,331 37.25
17.01 - 18.00 991 80,793,212 21.50
18.01 - 19.00 360 26,768,923 7.12
19.01 - 20.00 99 7,712,029 2.05
20.01 - 21.00 29 1,632,013 0.43
21.01 - 22.00 8 350,575 0.09
22.01 - 23.00 3 188,441 0.05
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Min: 11.88
Max: 22.90
Weighted Average: 16.64
- ------------------------- -------- ----------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
Minimum Rate Count Balance Total
- ------------------------- -------- ----------- -------
< 0.01 2 106,383 0.03
2.01 - 3.00 1 277,184 0.07
3.01 - 4.00 2 228,650 0.06
4.01 - 5.00 2 211,606 0.06
5.01 - 6.00 7 594,400 0.16
6.01 - 7.00 9 1,105,080 0.29
7.01 - 8.00 50 5,530,357 1.47
8.01 - 9.00 320 35,650,193 9.49
9.01 - 10.00 1015 110,651,102 29.45
10.01 - 11.00 1448 134,929,945 35.91
11.01 - 12.00 863 66,776,228 17.77
12.01 - 13.00 223 15,289,268 4.07
13.01 - 14.00 51 2,845,579 0.76
14.01 - 15.00 24 1,253,482 0.33
15.01 - 16.00 6 269,979 0.07
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Min.0.00
Max: 15.90
Weighted Average: 10.32
- ------------------------- -------- ----------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Adjustable Rate Collateral
Next Rate Outstanding Pct.
Adjustment Principal of
Date Count Balance Total
- ------------------------- -------- ----------- -------
1997-10 28 2,100,765 0.56
1997-11 71 6,220,519 1.66
1997-12 176 18,250,036 4.86
1998-01 223 20,112,864 5.35
1998-02 159 17,326,311 4.61
1998-03 63 6,202,370 1.65
1999-01 3 280,340 0.07
1999-02 4 367,548 0.10
1999-03 12 1,823,627 0.49
1999-04 28 2,411,679 0.64
1999-05 141 11,090,567 2.95
1999-06 579 52,022,798 13.85
1999-07 1,060 92,959,052 24.74
1999-08 779 75,784,729 20.17
1999-09 197 19,723,591 5.25
2000-03 1 59,816 0.02
2000-04 3 230,617 0.06
2000-05 18 1,064,810 0.28
2000-06 101 9,531,083 2.54
2000-07 164 15,832,351 4.21
2000-08 152 14,960,262 3.98
2000-09 61 7,363,700 1.96
- ------------------------- -------- ----------- -------
Total: 4,023 375,719,436 100
- ------------------------- -------- ----------- -------
Min (in months): 1
Max: 36
Weighted Average: 20.41
- ------------------------- -------- ----------- -------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
TO MATURITY
- -----------
Fixed Prepay PPC 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200%
ARM Prepay CPR 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50%
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1
Avg. Life 5.53 0.76 0.59 0.50 0.50 0.50 0.50 0.50
Start Prin 10/97 10/97 10/97 10/97 10/97 10/97 10/97 10/97
End Prin 10/07 02/99 10/98 08/98 08/98 08/98 08/98 08/98
Window (mos.) 121 17 13 11 11 11 11 11
Class A-2
Avg. Life 12.22 1.94 1.42 1.15 1.15 1.15 1.15 1.15
Start Prin 10/07 02/99 10/98 08/98 08/98 08/98 08/98 08/98
End Prin 11/11 03/00 07/99 02/99 02/99 02/99 02/99 02/99
Window (mos.) 50 14 10 7 7 7 7 7
Class A-3
Avg. Life 14.76 3.61 2.58 2.04 2.04 2.04 2.04 1.98
Start Prin 11/11 03/00 07/99 02/99 02/99 02/99 02/99 02/99
End Prin 07/12 08/02 03/01 06/00 06/00 06/00 06/00 04/00
Window (mos.) 9 30 21 17 17 17 17 15
Class A-4
Avg. Life 14.81 5.34 3.79 3.04 3.04 3.04 3.04 2.77
Start Prin 07/12 08/02 03/01 06/00 06/00 06/00 06/00 04/00
End Prin 07/12 07/03 11/01 03/01 03/01 03/01 03/01 12/00
Window (mos.) 1 12 9 10 10 10 10 9
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
===============================================================================
Computational Materials
<TABLE>
<CAPTION>
TO MATURITY
- -----------
Fixed Prepay PPC 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200%
ARM Prepay CPR 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50%
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-5
Avg. Life 14.82 6.58 4.68 4.05 4.05 4.05 4.05 3.79
Start Prin 07/12 07/03 11/01 03/01 03/01 03/01 03/01 12/00
End Prin 10/12 02/05 01/03 07/02 07/02 07/02 07/02 03/02
Window (mos.) 4 20 15 17 17 17 17 16
Class A-6
Avg. Life 15.56 7.68 5.47 5.09 5.09 5.09 5.09 4.77
Start Prin 10/12 02/05 01/03 07/02 07/02 07/02 07/02 03/02
End Prin 09/13 09/05 05/03 03/03 03/03 03/03 03/03 11/02
Window (mos.) 12 8 5 9 9 9 9 9
Class A-7
Avg. Life 17.16 8.70 6.97 6.95 6.95 6.95 6.95 6.57
Start Prin 09/13 09/05 05/03 03/03 03/03 03/03 03/03 11/02
End Prin 09/16 12/07 12/07 12/07 12/07 12/07 12/07 08/07
Window (mos.) 37 28 56 58 58 58 58 58
Class A-8
Avg. Life 21.95 10.77 7.26 4.13 1.25 0.74 0.52 0.31
Start Prin 09/16 02/07 08/03 10/97 10/97 10/97 10/97 10/97
End Prin 02/22 01/10 05/06 07/03 10/00 03/99 09/98 04/98
Window (mos.) 66 36 34 70 37 18 12 7
Class B-1F
Avg. Life 21.50 10.93 8.24 6.35 5.14 4.69 4.25 3.51
Start Prin 07/12 10/03 `01/02 01/01 10/00 10/00 10/00 10/00
End Prin 04/26 07/12 04/12 02/09 12/06 02/06 02/05 02/03
Window (mos.) 166 106 124 98 75 65 53 29
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
TO CALL
- -------
Fixed Prepay PPC 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200%
ARM Prepay CPR 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50%
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-5
Avg. Life 14.82 6.58 4.68 4.05 4.05 4.05 4.05 3.79
Start Prin 07/12 07/03 11/01 03/01 03/01 03/01 03/01 12/00
End Prin 10/12 02/05 01/03 07/02 07/02 07/02 07/02 02/02
Window (mos.) 4 20 15 17 17 17 17 15
Class A-6
Avg. Life 15.56 7.68 5.47 5.09 5.09 5.09 5.09 4.39
Start Prin 10/12 02/05 01/03 07/02 07/02 07/02 07/02 02/02
End Prin 09/13 09/05 05/03 03/03 03/03 03/03 03/03 02/02
Window (mos.) 12 8 5 9 9 9 9 1
Class A-7
Avg. Life 17.16 8.70 6.97 6.93 6.66 6.40 5.96 4.39
Start Prin 09/13 09/05 05/03 03/03 03/03 03/03 03/03 02/02
End Prin 09/16 12/07 12/07 02/07 04/05 07/04 10/03 02/02
Window (mos.) 37 28 56 48 26 17 8 1
Class A-8
Avg. Life 21.95 10.77 7.26 4.13 1.25 0.74 0.52 0.31
Start Prin 09/16 02/07 08/03 10/97 10/97 10/97 10/97 10/97
End Prin 02/22 01/10 05/06 07/03 10/00 03/99 09/98 04/98
Window (mos.) 66 36 34 70 37 18 12 7
Class B-1F
Avg. Life 21.43 10.93 8.10 6.24 5.05 4.60 4.18 3.45
Start Prin 07/12 10/03 `01/02 01/01 10/00 10/00 10/00 10/00
End Prin 03/25 07/12 10/09 02/07 04/05 07/04 10/03 02/02
Window (mos.) 153 106 94 74 55 46 37 17
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-1
To Maturity
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 88 30 5 0 0 0 0 0
9/99 82 0 0 0 0 0 0 0
9/00 75 0 0 0 0 0 0 0
9/01 68 0 0 0 0 0 0 0
9/02 59 0 0 0 0 0 0 0
9/03 50 0 0 0 0 0 0 0
9/04 39 0 0 0 0 0 0 0
9/05 27 0 0 0 0 0 0 0
9/06 14 0 0 0 0 0 0 0
9/07 0 0 0 0 0 0 0 0
9/08 0 0 0 0 0 0 0 0
9/09 0 0 0 0 0 0 0 0
9/10 0 0 0 0 0 0 0 0
9/11 0 0 0 0 0 0 0 0
9/12 0 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 5.53 0.76 0.59 0.50 0.50 0.50 0.50 0.50
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-2
To Maturity
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 74 74 74 74 74
9/99 100 42 0 0 0 0 0 0
9/00 100 0 0 0 0 0 0 0
9/01 100 0 0 0 0 0 0 0
9/02 100 0 0 0 0 0 0 0
9/03 100 0 0 0 0 0 0 0
9/04 100 0 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 80 0 0 0 0 0 0 0
9/09 57 0 0 0 0 0 0 0
9/10 31 0 0 0 0 0 0 0
9/11 3 0 0 0 0 0 0 0
9/12 0 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 12.22 1.94 1.42 1.15 1.15 1.15 1.15 1.15
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-3
To Maturity
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 85 50 50 50 50 47
9/00 100 75 24 0 0 0 0 0
9/01 100 32 0 0 0 0 0 0
9/02 100 0 0 0 0 0 0 0
9/03 100 0 0 0 0 0 0 0
9/04 100 0 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 0 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 14.76 3.61 2.58 2.04 2.04 2.04 2.04 1.98
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-4
To Maturity
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 40 40 40 40 2
9/01 100 100 18 0 0 0 0 0
9/02 100 84 0 0 0 0 0 0
9/03 100 0 0 0 0 0 0 0
9/04 100 0 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 0 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 14.81 5.34 3.79 3.04 3.04 3.04 3.04 2.77
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-5
To Maturity
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 100 100 100 100 100
9/01 100 100 100 50 50 50 50 30
9/02 100 100 21 0 0 0 0 0
9/03 100 86 0 0 0 0 0 0
9/04 100 23 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 2 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 14.82 6.58 4.68 4.05 4.05 4.05 4.05 3.79
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-6
To Maturity
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 100 100 100 100 100
9/01 100 100 100 100 100 100 100 100
9/02 100 100 100 61 61 61 61 13
9/03 100 100 0 0 0 0 0 0
9/04 100 100 0 0 0 0 0 0
9/05 100 0 0 0 0 0 0 0
9/06 100 0 0 0 0 0 0 0
9/07 100 0 0 0 0 0 0 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 100 0 0 0 0 0 0 0
9/13 0 0 0 0 0 0 0 0
9/14 0 0 0 0 0 0 0 0
9/15 0 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 15.56 7.68 5.47 5.09 5.09 5.09 5.09 4.77
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-7
To Maturity
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 100 100 100 100 100
9/01 100 100 100 100 100 100 100 100
9/02 100 100 100 100 100 100 100 100
9/03 100 100 73 73 73 73 73 59
9/04 100 100 40 40 40 40 40 30
9/05 100 96 20 20 20 20 20 14
9/06 100 27 8 8 8 8 8 5
9/07 100 1 1 1 1 1 1 0
9/08 100 0 0 0 0 0 0 0
9/09 100 0 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 100 0 0 0 0 0 0 0
9/13 100 0 0 0 0 0 0 0
9/14 50 0 0 0 0 0 0 0
9/15 18 0 0 0 0 0 0 0
9/16 0 0 0 0 0 0 0 0
9/17 0 0 0 0 0 0 0 0
9/18 0 0 0 0 0 0 0 0
9/19 0 0 0 0 0 0 0 0
9/20 0 0 0 0 0 0 0 0
9/21 0 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 17.16 8.70 6.97 6.95 6.95 6.95 6.95 6.57
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class A-8
To Maturity
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 97 54 28 0 0
9/99 100 100 100 96 19 0 0 0
9/00 100 100 100 95 4 0 0 0
9/01 100 100 100 56 0 0 0 0
9/02 100 100 100 27 0 0 0 0
9/03 100 100 95 0 0 0 0 0
9/04 100 100 59 0 0 0 0 0
9/05 100 100 22 0 0 0 0 0
9/06 100 100 0 0 0 0 0 0
9/07 100 76 0 0 0 0 0 0
9/08 100 41 0 0 0 0 0 0
9/09 100 8 0 0 0 0 0 0
9/10 100 0 0 0 0 0 0 0
9/11 100 0 0 0 0 0 0 0
9/12 100 0 0 0 0 0 0 0
9/13 100 0 0 0 0 0 0 0
9/14 100 0 0 0 0 0 0 0
9/15 100 0 0 0 0 0 0 0
9/16 100 0 0 0 0 0 0 0
9/17 86 0 0 0 0 0 0 0
9/18 69 0 0 0 0 0 0 0
9/19 51 0 0 0 0 0 0 0
9/20 31 0 0 0 0 0 0 0
9/21 8 0 0 0 0 0 0 0
9/22 0 0 0 0 0 0 0 0
9/23 0 0 0 0 0 0 0 0
9/24 0 0 0 0 0 0 0 0
9/25 0 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 21.95 10.77 7.26 4.13 1.25 0.74 0.52 0.31
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
<TABLE>
<CAPTION>
Decrement Tables: Class B1-F
To Maturity
FRM 0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 135% PPC 150% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/97 100 100 100 100 100 100 100 100
9/98 100 100 100 100 100 100 100 100
9/99 100 100 100 100 100 100 100 100
9/00 100 100 100 100 100 100 100 100
9/01 100 100 100 84 66 57 47 19
9/02 100 100 87 65 47 37 26 4
9/03 100 100 72 51 30 21 12 0
9/04 100 88 59 36 17 10 3 0
9/05 100 77 49 24 8 2 0 0
9/06 100 66 37 15 1 0 0 0
9/07 100 58 27 7 0 0 0 0
9/08 100 50 19 2 0 0 0 0
9/09 100 41 12 0 0 0 0 0
9/10 100 33 7 0 0 0 0 0
9/11 100 25 2 0 0 0 0 0
9/12 84 0 0 0 0 0 0 0
9/13 77 0 0 0 0 0 0 0
9/14 70 0 0 0 0 0 0 0
9/15 65 0 0 0 0 0 0 0
9/16 62 0 0 0 0 0 0 0
9/17 59 0 0 0 0 0 0 0
9/18 56 0 0 0 0 0 0 0
9/19 52 0 0 0 0 0 0 0
9/20 47 0 0 0 0 0 0 0
9/21 41 0 0 0 0 0 0 0
9/22 33 0 0 0 0 0 0 0
9/23 25 0 0 0 0 0 0 0
9/24 16 0 0 0 0 0 0 0
9/25 6 0 0 0 0 0 0 0
9/26 0 0 0 0 0 0 0 0
9/27 0 0 0 0 0 0 0 0
WAL 21.50 10.93 8.24 6.35 5.14 4.69 4.25 3.51
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Available Funds Cap
Period Date Coupon Excess
------ ---- ------ ------
1 10/15/97 10.006 3.139
2 11/15/97 10.009 3.137
3 12/15/97 10.016 3.134
4 1/15/98 10.030 3.139
5 2/15/98 10.048 3.146
6 3/15/98 10.063 3.149
7 4/15/98 10.069 3.140
8 5/15/98 10.070 3.126
9 6/15/98 10.073 3.112
10 7/15/98 10.084 3.104
11 8/15/98 10.098 3.099
12 9/15/98 10.109 3.092
13 10/15/98 10.113 3.078
14 11/15/98 10.113 3.058
15 12/15/98 10.112 3.038
16 1/15/99 10.114 3.020
17 2/15/99 10.118 3.003
18 3/15/99 10.119 2.983
19 4/15/99 10.119 2.962
20 5/15/99 10.118 2.939
21 6/15/99 10.117 2.916
22 7/15/99 10.115 2.893
23 8/15/99 10.366 3.120
24 9/15/99 10.364 3.095
25 10/15/99 10.361 3.068
26 11/15/99 10.359 3.041
27 12/15/99 10.357 3.013
28 1/15/00 10.354 2.985
29 2/15/00 10.352 2.956
30 3/15/00 10.349 2.926
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Available Funds Cap
Period Date Coupon Excess
------ ---- ------ ------
31 4/15/00 10.437 4.000
32 5/15/00 10.436 3.998
33 6/15/00 10.436 3.997
34 7/15/00 10.436 3.997
35 8/15/00 10.478 4.040
36 9/15/00 10.478 4.041
37 10/15/00 10.477 4.042
38 11/15/00 10.476 4.044
39 12/15/00 10.476 4.033
40 1/15/01 10.475 4.033
41 2/15/01 10.475 4.035
42 3/15/01 10.474 4.036
43 4/15/01 10.474 4.040
44 5/15/01 10.473 4.044
45 6/15/01 10.473 4.049
46 7/15/01 10.472 4.053
47 8/15/01 10.471 4.057
48 9/15/01 10.471 4.061
49 10/15/01 10.470 4.065
50 11/15/01 10.470 4.069
51 12/15/01 10.469 4.072
52 1/15/02 10.469 4.076
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Available Funds Cap
Period Date Coupon Excess
------ ---- ------ ------
53 2/15/02 10.468 4.079
54 3/15/02 10.468 4.082
55 4/15/02 10.467 4.086
56 5/15/02 10.467 4.089
57 6/15/02 10.466 4.091
58 7/15/02 10.466 4.094
59 8/15/02 10.465 4.098
60 9/15/02 10.465 4.101
61 10/15/02 10.464 4.105
62 11/15/02 10.464 4.109
63 12/15/02 10.463 4.113
64 1/15/03 10.463 4.117
65 2/15/03 10.462 4.120
66 3/15/03 10.462 4.124
67 4/15/03 10.461 4.130
68 5/15/03 10.461 4.135
69 6/15/03 10.460 4.141
70 7/15/03 10.460 4.147
71 8/15/03 10.459 4.154
72 9/15/03 10.459 4.161
73 10/15/03 10.458 4.167
74 11/15/03 10.458 4.174
75 12/15/03 10.457 4.181
76 1/15/04 10.456 4.188
77 2/15/04 10.456 4.195
78 3/15/04 10.455 4.202
79 4/15/04 10.455 4.209
80 5/15/04 10.454 4.216
81 6/15/04 10.454 4.223
82 7/15/04 10.453 4.230
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Available Funds Cap
Period Date Coupon Excess
------ ---- ------ ------
83 8/15/04 10.453 4.236
84 9/15/04 10.452 4.243
85 10/15/04 10.452 4.250
86 11/15/04 10.451 4.257
87 12/15/04 10.451 4.264
88 1/15/05 10.450 4.272
89 2/15/05 10.449 4.279
90 3/15/05 10.449 4.286
91 4/15/05 10.448 4.293
92 5/15/05 10.448 4.300
93 6/15/05 10.447 4.308
94 7/15/05 10.447 4.315
95 8/15/05 10.446 4.323
96 9/15/05 10.446 4.330
97 10/15/05 10.445 4.338
98 11/15/05 10.444 4.345
99 12/15/05 10.444 4.353
100 1/15/06 10.443 4.361
101 2/15/06 10.443 4.369
102 3/15/06 10.442 4.377
103 4/15/06 10.441 4.386
104 5/15/06 10.441 4.394
105 6/15/06 10.440 4.403
106 7/15/06 10.439 4.411
107 8/15/06 10.439 4.420
108 9/15/06 10.438 4.429
109 10/15/06 10.437 4.438
110 11/15/06 10.437 4.448
111 12/15/06 10.436 4.457
112 1/15/07 10.435 4.456
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Available Funds Cap
Period Date Coupon Excess
------ ---- ------ ------
113 2/15/07 10.435 4.461
114 3/15/07 10.434 4.466
115 4/15/07 10.434 4.471
116 5/15/07 10.433 4.477
117 6/15/07 10.432 4.482
118 7/15/07 10.432 4.488
119 8/15/07 10.431 4.493
120 9/15/07 10.430 4.499
121 10/15/07 10.430 4.504
122 11/15/07 10.429 4.510
123 12/15/07 10.428 4.516
124 1/15/08 10.428 4.521
125 2/15/08 10.427 4.520
126 3/15/08 10.426 4.520
127 4/15/08 10.425 4.519
128 5/15/08 10.424 4.518
129 6/15/08 10.424 4.517
130 7/15/08 10.423 4.516
131 8/15/08 10.422 4.516
132 9/15/08 10.421 4.515
133 10/15/08 10.420 4.514
134 11/15/08 10.419 4.513
135 12/15/08 10.418 4.512
136 1/15/09 10.417 4.511
137 2/15/09 10.416 4.510
138 3/15/09 10.415 4.509
139 4/15/09 10.414 4.508
140 5/15/09 10.413 4.506
141 6/15/09 10.412 4.505
142 7/15/09 10.410 4.504
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
================================================================================
Computational Materials
Available Funds Cap
Period Date Coupon Excess
------ ---- ------ ------
143 8/15/09 10.409 4.503
144 9/15/09 10.408 4.501
145 10/15/09 10.406 4.500
146 11/15/09 10.405 4.498
147 12/15/09 10.403 4.497
148 1/15/10 10.402 4.495
149 2/15/10 10.400 4.494
150 3/15/10 10.398 4.492
151 4/15/10 10.396 4.490
152 5/15/10 10.394 4.488
153 6/15/10 10.392 4.486
154 7/15/10 10.390 4.484
155 8/15/10 10.388 4.482
156 9/15/10 10.386 4.479
157 10/15/10 10.383 4.477
158 11/15/10 10.381 4.474
159 12/15/10 10.378 4.471
160 1/15/11 10.375 4.469
161 2/15/11 10.372 4.465
162 3/15/11 10.368 4.462
163 4/15/11 10.365 4.458
164 5/15/11 10.361 4.455
165 6/15/11 10.357 4.451
166 7/15/11 10.353 4.446
167 8/15/11 10.348 4.442
168 9/15/11 10.343 4.437
169 10/15/11 10.338 4.431
170 11/15/11 10.332 4.425
171 12/15/11 10.325 4.419
172 1/15/12 10.319 4.412
173 2/15/12 10.311 4.405
174 3/15/12 10.303 4.397
175 4/15/12 10.294 4.388
176 5/15/12 10.284 4.378
177 6/15/12 10.273 4.367
178 7/15/12 10.261 4.355
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
