SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (date of earliest event reported) DECEMBER 10, 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 Greenwich Capital
Markets, Inc.as an underwriter, in connection with the issuance by ContiMortgage
Home Equity Loan Trust 1997-5 of Home Equity Loan Pass-Through Certificates,
Series 1997-5. The term "Computational Materials" shall have the meaning given
in the No-Action Letter of May 20, 1994 issued by the Securities and Exchange
Commission (the "SEC") to Kidder, Peabody Acceptance Corporation I, Kidder,
Peabody & Co. Incorporated and Kidder Structured Asset Corporation, as made
applicable to other issuers and underwriters by the Commission in response to
the request of the Public Securities Association dated May 24, 1994, and as
supplemented in the No-Action Letter of February 17, 1995 issued by the SEC to
the Public Securities Association.
Item 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Computational Materials
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
CONTISECURITIES ASSET FUNDING CORP.,
as Depositor
By: /S/ SUSAN O'DONOVAN
---------------------------
Name: Susan O'Donovan
Title: Vice President & Chief Financial Officer
Dated: December 9, 1997
<PAGE>
EXHIBIT INDEX
EXHIBIT PAGE
99.1 Computational Materials
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
- --------------------------------------------------------------------------------------------------------------------------------
Computational Materials
Class Expected Ratings Final Sch
Size ($ (Moody's/Fitch/ Average Payment Payment
CLASS(2) millions) Tranche Type S&P) Life (3,4) Date Window (3,4) Day Count
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 103.34 Fixed [Money Market (2a-7)] P-1/F-1+/A-1+ 0.22 years/MAT 1/15/99 1/98-5/98 / 5 mo. Actual/360
A-2 675 Floater Seq. PAC Aaa/AAA/AAA 1.47 years/MAT 10/15/12 5/98-10/00 / 30 mo. Actual/360
A-3 63 Fixed Seq. PAC Aaa/AAA/AAA 3.08 years/MAT 7/15/14 10/00-5/01 / 8 mo. 30/360
A-4 140 Fixed Seq. PAC Aaa/AAA/AAA 4.01 years/MAT 6/15/19 5/01-10/02 / 18 mo. 30/360
A-5 40 Fixed Seq. PAC Aaa/AAA/AAA 5.10 years/MAT 12/15/20 10/02-6/03 / 9 mo. 30/360
A-6 115.54 Fixed Seq. PAC Aaa/AAA/AAA 7.31 years/MAT 3/15/24 6/03-9/09 / 76 mo. 30/360
A-7 130 Floater Seq. PAC Aaa/AAA/AAA 1.25 years/MAT/CALL 10/15/12 5/98-4/00 / 24 mo. Actual/360
A-8 109.52 Floater Seq. PAC Aaa/AAA/AAA 4.43 years MAT 3/15/24 4/00-9/09 / 114 mo. Actual/360
4.27 years CALL MAT
A-9 35.605 Floater Seq. Companion Aaa/AAA/AAA 1.25 years/MAT/CALL 11/15/24 4/00-3/05 / 60 mo. Actual/360
A-10 194.875 Auction Rate Seq. Aaa/AAA/AAA 7.54 years/MAT 1/15/29 CALL Actual/360
B 53.120 Companion(5) Baa3/BBB/BBB- 5.05 years/MAT 1/15/29 5/98-1/01 / 33 mo. 30/360
A-11IO --- Fixed Subordinate Aaa/AAA/AAAr 1/01-10/12 / 142 mo. 30/360
Interest Only (6) 1/01-2/07 / 74 mo.
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL $1,660 -- -- -- -- -Home Equity Loans- --
- -----------------------------------------------------------------------------------------------------------------------------------
(1) The information presented is based on a representative cut-off pool as
of the 11/18/97 statistical calculation date.
(2) All Classes are backed by the cashflows from the fixed and adjustable rate
collateral on a combined basis.
(3) See "Pricing Prepayment Speed" below.
(4) Fixed Rate tranches are priced to maturity; Class A-7, A-8 and A-9
Certificates are priced to call. The WAL of Class A-7 and A-9 Certificates
does not change when run to maturity. The spread to LIBOR of the Floating
Rate Class A-7, A-8 and A-9 Certificates doubles after the clean-up call
date.
(5) The pass-through rate on the Class A-10 Certificates will be determined
pursuant to Auction Procedures. The Auction Rate Companions will be Merrill
Lynch sole managed.
(6) Greenwich sole managed.
</TABLE>
SELLER AND SERVICER: ContiMortgage Corporation.
TRUSTEE: Manufacturers and Traders Trust Company.
MANAGERS: GREENWICH CAPITAL MARKETS (lead manager),
Bear Stearns & Co. Inc., ContiFinancial
Services Corporation, Credit Suisse First
Boston, Merrill Lynch & Co., Morgan Stanley
Dean Witter, Nomura Securities Corp.
(co-managers).
FIXED RATE CERTIFICATES: All the triple-A Fixed
Rate Certificates with the exception of the
Class A-1 [Money Market (2a-7)] will be
Planned Amortization Class ("PAC")
Certificates. The PAC classes will pay
principal according to the amortization
schedule specified below. The triple-B Fixed
Rate Certificates will not be a PAC class and
will provide credit support to the triple-A
Fixed and Floating Rate Certificates.
FLOATING RATE CERTIFICATES: The Class A-2,
A-7 and A-8 triple-A Floating Rate
Certificates will be Planned Amortization
Class ("PAC") Certificates. The PAC classes
will pay principal according to the
amortization schedule specified below. The
Class A-9 and A-10 Floating Rate Certificates
will be triple-AAA rated and will be
companions to the PAC classes in terms of
principal repayment.
GRANTOR TRUST CERTIFICATES: ContiMortgage Home Equity Loan Trust 1997-5
will issue a $675m fixed rate sequential PAC
regular REMIC interest Certificates. The
Class A-2 REMIC Certificates will be
deposited into ContiMortgage Grantor Trust,
Series 1997-A (the "Grantor Trust").
Simultaneously to the deposit of the Class
A-2 REMIC Certificates NatWest Markets will
enter into a swap agreement with, and MBIA
will issue an insurance policy for, the
Grantor Trust. Under the NatWest Swap
Agreement, NatWest Markets will be entitled
to receive the fixed rate coupon of the Class
A-2 REMIC Certificates and be obligated to
pay a floating rate of interest on the
outstanding principal balance of the Class
A-2 REMIC Certificates. The Grantor Trust
will issue Class A Certificates with a
principal balance equal to the Class A-2
REMIC Certificate balance with a floating
rate coupon equal to One Month LIBOR plus 1_
basis points. (See Grantor Trust Term Sheet
and diagram)
PRICING PREPAYMENT SPEED: 130% 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: December 5, 1997.
CUT-OFF DATE: Close of Business December 15, 1997.
EXPECTED SETTLEMENT: December 23, 1997 through DTC, Euroclear or
CEDEL.
BEGINNING ACCRUAL PERIOD: Fixed Rate Certificates, Class A-11IO:
December 16, 1997. Floating Rate
Certificates: December 23, 1997.
FIRST PERIOD # DAYS INTEREST DIST: Fixed Rate Certificates, Class A-11IO: 15
days. Floating Rate Certificates: 23 days.
DISTRIBUTION DATES: The 15th of each month, beginning January,
1998.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
-----------------------------------------------------------------------
Computational Materials
OPTIONAL CALL: 10% Clean-up call (10% of original aggregate loan
balances).
NET AVAILABLE FUNDS CAP: The Pass-Through Rate with respect to the Floating
Rate Certificates [and the Class A-3 through A-6
and B Fixed Rate Certificates] may on any payment
date equal the lesser of (x) the Pass-Through Rate
for such Class and (y) the weighted average Coupon
Rate of the Home Equity Loans, less the sum of (i)
an amount, expressed as an annual percentage rate
of the outstanding aggregate Loan Balance of the
Home Equity Loans, equal to the sum of the
Servicing Fee, the Trustee Fee, the Certificate
Insurer Premium, the Auction Agent Fee and the
Broker-Dealer Fee (for the A-10 only), (ii) 0.50%
per annum and (iii) for the first 6 Payment Dates
the product of (a) 25% per annum and (b) the Class
A-11IO Notional Principal Amount divided by the
aggregate pool balance, for the 7th through 18th
Payment Dates the product of (a) 6.5% per annum
and (ii) the Class A-11IO Notional Principal
Amount divided by the aggregate pool balance.
TAX STATUS: REMIC (except for the Class A-2 Certificates which
will be Grantor Trust Certificates).
ERISA ELIGIBILITY: The Class A certificates are ERISA eligible.
SMMEA ELIGIBILITY: None of the offered certificates are SMMEA
eligible.
<PAGE>
THIS PRELIMINARY TERM SHEET IS PROVIDED FOR INFORMATION PURPOSES ONLY, AND DOES
NOT CONSTITUTE AN OFFER TO SELL, NOR A SOLICITATION OF AN OFFER TO BUY, THE
REFERENCED SECURITIES. IT DOES NOT PURPORT TO BE ALL-INCLUSIVE OR TO CONTAIN ALL
OF THE INFORMATION THAT A PROSPECTIVE INVESTOR MAY REQUIRE TO MAKE A FULL
ANALYSIS OF THE TRANSACTION. ALL AMOUNTS ARE APPROXIMATE AND SUBJECT TO CHANGE.
THE INFORMATION CONTAINED HEREIN SUPERSEDES INFORMATION CONTAINED IN ANY PRIOR
INFORMATION TERM SHEET FOR THIS TRANSACTION. IN ADDITION, THE INFORMATION
CONTAINED HEREIN MAY BE SUPERSEDED BY INFORMATION CONTAINED IN TERM SHEETS
CIRCULATED AFTER THE DATE HEREOF AND IS QUALIFIED IN ITS ENTIRETY BY INFORMATION
CONTAINED IN THE PROSPECTUS AND PROSPECTUS SUPPLEMENT FOR THIS TRANSACTION. AN
OFFERING MAY BE MADE ONLY THROUGH THE DELIVERY OF THE PROSPECTUS AND PROSPECTUS
SUPPLEMENT.
-----------------------------------------------------------------------
$1,660,000,000 (APPROXIMATE)
ContiMortgage
Home Equity Loan Trust 1997-5
Home Equity ABS
-----------------------------------------------------------------------
Computational Materials
<PAGE>
The attached tables and other statistical analyses (the "Computational
Materials") are privileged and intended for use by the addressee only. These
Computational Materials have been prepared by Greenwich Capital Markets, Inc. in
reliance upon information furnished by the issuer of the securities and its
affiliates. These Computational Materials are furnished to you solely by
Greenwich Capital Markets, Inc. and not by the issuer of the securities. They
may not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating said
material.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be reflected therein. As such, no assurance can be given as to
the Computational Materials' accuracy, appropriateness or completeness in any
particular context; nor as to whether the Computational Materials and/or the
assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials should not be construed
as either projections or predictions or as legal, tax, financial or accounting
advice.
Any weighted average lives, yields and principal payment periods shown in the
Computational Materials are based on prepayments assumptions. Changes in such
prepayment assumptions may dramatically affect such weighted average lives,
yields and principal payment periods. In addition, it is possible that
prepayments on the underlying assets will occur at rates significantly slower or
faster than the rates shown in the attached Computational Materials.
Furthermore, unless other wise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the securities may differ from those shown in the
Computational Materials due to differences between the actual underlying assets
and the hypothetical underlying assets used in preparing the Computational
Materials. The principal amount and designation of any security described in the
Computational Materials are subject to change prior to issuance. Neither
Greenwich Capital Markets, Inc. nor any of its affiliates makes any
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities.
Although a registration statement (including the Prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with Securities and Exchange Commission. This communication shall not constitute
an offer to sell or the solicitation of an offer to buy nor shall there be any
sale of the securities discussed in this communication in any state in which
such offer, solicitation or sale would be unlawful prior to registration or
qualification of such securities under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus supplement relating
to the securities discussed in this communication for definitive Computational
Materials and any matter discussed in this communication. Once available, a
final prospectus and prospectus supplement may be obtained by contacting the
Greenwich Capital Markets Trading Desk at (203) 625-6160.
Please be advised that the securities described herein may not be appropriate
for all investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayment, yield curve and interest rate
risks. Investors should make every effort to consider the risks of these
securities.
If you have received this communication in error, please notify the sending
party immediately be telephone and return the original to such party by mail
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
- ------------------------------------------------------------------------------------------------------------------------------
Computational Materials
Final
Class Expected Scheduled
Size 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-1 103.34 Fixed [Money Market (2a-7)] P-1/A-1+/F-1+ 0.22 years/MAT 1/15/99 1/98-5/98 / 5 mo. Actual/360
A-2 675 Floater Seq. PAC Aaa/AAA/AAA 1.47 years/MAT 10/15/12 5/98-10/00 / 30 mo. Actual/360
A-3 63 Fixed Seq. PAC Aaa/AAA/AAA 3.08 years/MAT 7/15/14 10/00-5/01 / 8 mo. 30/360
A-4 140 Fixed Seq. PAC Aaa/AAA/AAA 4.01 years/MAT 6/15/19 5/01-10/02 / 18 mo. 30/360
A-5 40 Fixed Seq. PAC Aaa/AAA/AAA 5.10 years/MAT 12/15/20 10/02-6/03 / 9 mo. 30/360
A-6 115.54 Fixed Seq. PAC Aaa/AAA/AAA 7.31 years/MAT 3/15/24 6/03-9/09 / 76 mo. 30/360
A-7 130 Floater Seq. PAC Aaa/AAA/AAA 1.25 years/MAT/CALL 10/15/12 5/98-4/00 / 24 mo. Actual/360
A-8 109.52 Floater Seq. PAC Aaa/AAA/AAA 4.43 years MAT 3/15/24 4/00-9/09 / 114 mo. MAT Actual/360
4.27 years CALL 4/00-3/05 / 60 mo. CALL
A-9 35.605 Floater Seq. Companion Aaa/AAA/AAA 1.25 years/MAT/CALL 11/15/24 5/98-1/01 / 33 mo. Actual/360
A-10 194.875 Auction Rate Seq.
B 53.120 Companion(5) Aaa/AAA/AAA 7.54 years/MAT 1/15/29 1/01-10/12 / 142 mo. Actual/360
A-11IO --- Fixed Subordinate Baa3/BBB/BBB 5.05 years/MAT 1/15/29 1/01-2/07 / 74 mo. 30/360
Interest Only (6) Aaa/AAA/AAAr 30/360
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL $1,660 -- -- -- -- --Home Equity Loans-- --
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The information presented is based on a representative cut-off pool as
of the 11/18/97 statistical calculation date.
(2) All Classes are backed by the cashflows from the fixed and adjustable rate
collateral on a combined basis.
(3) See "Pricing Prepayment Speed" below.
(4) Fixed Rate tranches are priced to maturity; Class A-7, A-8 and A-9
Certificates are priced to call. The WAL of Class A-7 and A-9 Certificates
does not change when run to maturity. The spread to LIBOR of the Floating
Rate Class A-7, A-8 and A-9 Certificates doubles after the clean-up call
date.
(5) The pass-through rate on the Class A-10 Certificates will be determined
pursuant to Auction Procedures. The Auction Rate Companions will be Merrill
Lynch sole managed.
(6) Greenwich sole managed.
SELLER AND SERVICER: ContiMortgage Corporation.
TRUSTEE: Manufacturers and Traders Trust Company.
MANAGERS: GREENWICH CAPITAL MARKETS (lead
manager), Bear Stearns & Co. Inc., ContiFinancial
Services Corporation, Credit Suisse First Boston,
Merrill Lynch & Co., Morgan Stanley Dean Witter,
Nomura Securities Corp. (co-managers).
FIXED RATE CERTIFICATES: All the triple-A Fixed Rate
Certificates with the exception of the Class A-1
[Money Market (2a-7)] will be Planned
Amortization Class ("PAC") Certificates. The PAC
classes will pay principal according to the
amortization schedule specified below. The
triple-B Fixed Rate Certificates will not be a
PAC class and will provide credit support to the
triple-A Fixed and Floating Rate Certificates.
FLOATING RATE CERTIFICATES: The Class A-2, A-7 and A-8
triple-A Floating Rate Certificates will be
Planned Amortization Class ("PAC") Certificates.
The PAC classes will pay principal according to
the amortization schedule specified below. The
Class A-9 and A-10 Floating Rate Certificates
will be triple-AAA rated and will be companions
to the PAC classes in terms of principal
repayment.
GRANTOR TRUST CERTIFICATES: ContiMortgage Home Equity Loan Trust
1997-5 will issue a $675m fixed rate sequential
PAC regular REMIC interest Certificates. The Class
A-2 REMIC Certificates will be deposited into
ContiMortgage Grantor Trust, Series 1997-A (the
"Grantor Trust"). Simultaneously to the deposit of
the Class A-2 REMIC Certificates NatWest Markets
will enter into a swap agreement with, and MBIA
will issue an insurance policy for, the Grantor
Trust. Under the NatWest Swap Agreement, NatWest
Markets will be entitled to receive the fixed rate
coupon of the Class A-2 REMIC Certificates and be
obligated to pay a floating rate of interest on
the outstanding principal balance of the Class A-2
REMIC Certificates. The Grantor Trust will issue
Class A Certificates with a principal balance
equal to the Class A-2 REMIC Certificate balance
with a floating rate coupon equal to One Month
LIBOR plus 1_ basis points. (See Grantor Trust
Term Sheet and diagram)
PRICING PREPAYMENT SPEED: 130% 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: December 5, 1997.
CUT-OFF DATE: Close of Business December 15, 1997.
EXPECTED SETTLEMENT: December 23, 1997 through DTC, Euroclear or CEDEL.
BEGINNING ACCRUAL PERIOD: Fixed Rate Certificates, Class A-11IO:
December 16, 1997. Floating Rate Certificates:
December 23, 1997.
FIRST PERIOD # DAYS INTEREST
DISTRIBUTION: Fixed Rate Certificates, Class A-11IO:
15 days. Floating Rate Certificates: 23 days.
DISTRIBUTION DATES: The 15th of each month, beginning
January, 1998.
OPTIONAL CALL: 10% Clean-up call (10% of original
aggregate loan balances).
NET AVAILABLE FUNDS CAP: The Pass-Through Rate with respect to
the Floating Rate Certificates [and the Class A-3
through A-6 and B Fixed Rate Certificates] may on
any payment date equal the lesser of (x) the
Pass-Through Rate for such Class and (y) the
weighted average Coupon Rate of the Home Equity
Loans, less the sum of (i) an amount, expressed as
an annual percentage rate of the outstanding
aggregate Loan Balance of the Home Equity Loans,
equal to the sum of the Servicing Fee, the Trustee
Fee, the Certificate Insurer Premium, the Auction
Agent Fee and the Broker-Dealer Fee (for the A-10
only), (ii) 0.50% per annum and (iii) for the
first 6 Payment Dates the product of (a) 25% per
annum and (b) the Class A-11IO Notional Principal
Amount divided by the aggregate pool balance, for
the 7th through 18th Payment Dates the product of
(a) 6.5% per annum and (ii) the Class A-11IO
Notional Principal Amount divided by the aggregate
pool balance.
TAX STATUS: REMIC (except for the Class A-2
Certificates which will be Grantor Trust
Certificates).
ERISA ELIGIBILITY: The Class A certificates are ERISA eligible.
SMMEA ELIGIBILITY: None of the offered certificates are
SMMEA eligible.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
TRANSACTION STRUCTURE OVERVIEW
* Principal and interest from the Fixed Rate Loan Group and Adjustable Rate
Loan Group will be combined to pay principal and interest on the Class A
and Class B Certificates.
* MBIA will wrap the Class A Certificates only (Class A-1 - A-10, A-11IO).
* Class A-1 will be a [Money Market (2a-7)] eligible security.
* The Class A-2 through Class A-8 Certificates will be Planned Amortization
Class ("PAC") Certificates.
1. The Class A-2 through A-6 PAC Certificates will pay principal
sequentially according to the amortization schedule below. The
Class A-7 and A-8 PAC Certificates will also pay principal
sequentially according to the amortization schedule below.
2. The PAC prepayment bands are:
FRMs - 125% PPC to 175% PPC
ARMs - 28% CPR to 38% CPR
* The Class A-9 and Class A-10 Certificates will be sequential companion
bonds.
* The Pass-Through Rate on the Class A-10 Certificates will be determined
pursuant to monthly Auction Rate Procedures.
<PAGE>
<TABLE>
<CAPTION>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
PAC SCHEDULE
----------------------------------------------------------------------------------------------------------------------
Period Class A-2 Class A-3 Class A-4 Class A-5 Class A-6 Class A-7 Class A-8
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
0 675,000,000.00 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 130,000,000.00 109,520,000.00
1 675,000,000.00 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 130,000,000.00 109,520,000.00
2 675,000,000.00 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 130,000,000.00 109,520,000.00
3 675,000,000.00 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 130,000,000.00 109,520,000.00
4 675,000,000.00 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 130,000,000.00 109,520,000.00
5 661,423,538.01 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 126,853,692.96 109,520,000.00
6 636,416,485.47 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 121,058,378.58 109,520,000.00
7 606,881,566.43 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 114,213,743.82 109,520,000.00
8 576,395,467.75 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 107,148,675.85 109,520,000.00
9 544,949,856.92 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 99,861,243.62 109,520,000.00
10 512,793,288.24 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 92,409,048.90 109,520,000.00
11 481,493,920.66 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 85,155,508.13 109,520,000.00
12 453,926,299.70 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 78,766,789.19 109,520,000.00
13 427,093,984.54 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 72,548,475.32 109,520,000.00
14 400,935,215.95 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 66,486,253.97 109,520,000.00
15 375,433,080.83 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 60,576,205.58 109,520,000.00
16 350,571,665.84 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 54,814,642.30 109,520,000.00
17 326,334,803.02 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 49,197,817.23 109,520,000.00
18 302,706,665.36 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 43,722,062.51 109,520,000.00
19 279,671,891.42 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 38,383,818.17 109,520,000.00
20 257,215,629.06 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 33,179,642.27 109,520,000.00
21 235,323,415.04 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 28,106,182.99 109,520,000.00
22 213,981,157.64 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 23,160,174.62 109,520,000.00
23 193,195,749.06 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 18,343,214.40 109,520,000.00
24 172,932,119.06 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 13,647,174.91 109,520,000.00
25 153,177,232.83 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 9,069,035.36 109,520,000.00
26 133,918,380.77 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 4,605,850.34 109,520,000.00
27 115,143,170.38 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 254,747.92 109,520,000.00
28 96,839,518.34 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 0.00 105,532,927.83
29 78,995,642.76 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 0.00 101,397,659.65
30 61,600,055.71 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 0.00 97,366,281.08
31 44,641,555.84 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 0.00 93,436,196.23
32 28,109,221.22 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 0.00 89,604,873.99
33 11,992,402.40 63,000,000.00 140,000,000.00 40,000,000.00 115,540,000.00 0.00 85,869,846.37
34 0.00 59,280,715.58 140,000,000.00 40,000,000.00 115,540,000.00 0.00 82,228,706.96
35 0.00 43,966,796.11 140,000,000.00 40,000,000.00 115,540,000.00 0.00 78,679,749.02
36 0.00 29,161,631.39 140,000,000.00 40,000,000.00 115,540,000.00 0.00 75,248,693.57
37 0.00 29,161,631.39 140,000,000.00 40,000,000.00 115,540,000.00 0.00 75,248,693.57
38 0.00 26,790,109.62 140,000,000.00 40,000,000.00 115,540,000.00 0.00 74,699,100.04
39 0.00 14,815,923.64 140,000,000.00 40,000,000.00 115,540,000.00 0.00 71,924,115.98
40 0.00 3,283,897.99 140,000,000.00 40,000,000.00 115,540,000.00 0.00 69,251,601.34
41 0.00 0.00 132,177,764.51 40,000,000.00 115,540,000.00 0.00 66,677,786.01
42 0.00 0.00 121,481,852.45 40,000,000.00 115,540,000.00 0.00 64,199,038.35
43 0.00 0.00 111,181,066.50 40,000,000.00 115,540,000.00 0.00 61,811,860.06
44 0.00 0.00 101,260,865.69 40,000,000.00 115,540,000.00 0.00 59,512,881.31
45 0.00 0.00 91,707,243.06 40,000,000.00 115,540,000.00 0.00 57,298,856.03
46 0.00 0.00 82,506,706.07 40,000,000.00 115,540,000.00 0.00 55,166,657.35
47 0.00 0.00 73,646,257.69 40,000,000.00 115,540,000.00 0.00 53,113,273.26
48 0.00 0.00 65,113,378.25 40,000,000.00 115,540,000.00 0.00 51,135,802.35
49 0.00 0.00 56,896,007.92 40,000,000.00 115,540,000.00 0.00 49,231,449.79
50 0.00 0.00 48,982,529.83 40,000,000.00 115,540,000.00 0.00 47,397,523.41
51 0.00 0.00 41,361,753.82 40,000,000.00 115,540,000.00 0.00 45,631,429.91
52 0.00 0.00 34,022,900.77 40,000,000.00 115,540,000.00 0.00 43,930,671.28
53 0.00 0.00 26,955,587.54 40,000,000.00 115,540,000.00 0.00 42,292,841.23
54 0.00 0.00 20,149,812.44 40,000,000.00 115,540,000.00 0.00 40,715,621.92
55 0.00 0.00 13,595,941.20 40,000,000.00 115,540,000.00 0.00 39,196,780.61
56 0.00 0.00 7,284,693.53 40,000,000.00 115,540,000.00 0.00 37,734,166.64
57 0.00 0.00 1,207,130.09 40,000,000.00 115,540,000.00 0.00 36,325,708.34
58 0.00 0.00 0.00 35,358,013.66 115,540,000.00 0.00 34,970,191.99
59 0.00 0.00 0.00 29,725,468.72 115,540,000.00 0.00 33,664,865.48
60 0.00 0.00 0.00 24,301,515.24 115,540,000.00 0.00 32,407,879.45
61 0.00 0.00 0.00 19,078,466.41 115,540,000.00 0.00 31,197,452.52
62 0.00 0.00 0.00 14,048,917.86 115,540,000.00 0.00 30,031,868.73
63 0.00 0.00 0.00 9,205,737.33 115,540,000.00 0.00 28,909,475.21
64 0.00 0.00 0.00 4,542,054.63 115,540,000.00 0.00 27,828,679.81
65 0.00 0.00 0.00 51,252.10 115,540,000.00 0.00 26,787,948.90
66 0.00 0.00 0.00 0.00 111,266,955.27 0.00 25,785,805.22
67 0.00 0.00 0.00 0.00 107,103,023.97 0.00 24,820,825.80
68 0.00 0.00 0.00 0.00 103,093,543.75 0.00 23,891,639.99
69 0.00 0.00 0.00 0.00 99,232,817.56 0.00 22,996,927.51
70 0.00 0.00 0.00 0.00 95,515,357.79 0.00 22,135,416.62
71 0.00 0.00 0.00 0.00 91,935,878.59 0.00 21,305,882.35
72 0.00 0.00 0.00 0.00 88,489,288.45 0.00 20,507,144.73
73 0.00 0.00 0.00 0.00 85,170,683.08 0.00 19,738,067.24
74 0.00 0.00 0.00 0.00 81,975,338.54 0.00 18,997,555.09
75 0.00 0.00 0.00 0.00 78,898,704.61 0.00 18,284,553.79
76 0.00 0.00 0.00 0.00 75,936,398.41 0.00 17,598,047.63
77 0.00 0.00 0.00 0.00 73,084,198.29 0.00 16,937,058.24
78 0.00 0.00 0.00 0.00 70,338,037.86 0.00 16,300,643.25
79 0.00 0.00 0.00 0.00 67,694,000.36 0.00 15,687,894.97
80 0.00 0.00 0.00 0.00 65,148,313.08 0.00 15,097,939.07
81 0.00 0.00 0.00 0.00 62,509,828.49 0.00 14,486,477.66
82 0.00 0.00 0.00 0.00 59,903,516.66 0.00 13,882,472.19
83 0.00 0.00 0.00 0.00 57,394,228.07 0.00 13,300,951.59
84 0.00 0.00 0.00 0.00 54,978,376.14 0.00 12,741,084.67
85 0.00 0.00 0.00 0.00 52,652,506.31 0.00 12,202,070.86
86 0.00 0.00 0.00 0.00 50,413,291.19 0.00 11,683,139.02
87 0.00 0.00 0.00 0.00 48,257,525.85 0.00 11,183,546.44
88 0.00 0.00 0.00 0.00 46,182,123.39 0.00 10,702,577.74
89 0.00 0.00 0.00 0.00 44,184,110.56 0.00 10,239,543.86
90 0.00 0.00 0.00 0.00 42,260,623.58 0.00 9,793,781.14
91 0.00 0.00 0.00 0.00 40,408,904.17 0.00 9,364,650.35
92 0.00 0.00 0.00 0.00 38,626,295.63 0.00 8,951,535.82
93 0.00 0.00 0.00 0.00 36,910,239.10 0.00 8,553,844.52
94 0.00 0.00 0.00 0.00 35,258,270.02 0.00 8,171,005.32
95 0.00 0.00 0.00 0.00 33,668,014.63 0.00 7,802,468.08
96 0.00 0.00 0.00 0.00 32,137,186.61 0.00 7,447,702.98
97 0.00 0.00 0.00 0.00 30,663,583.94 0.00 7,106,199.69
98 0.00 0.00 0.00 0.00 29,245,085.73 0.00 6,777,466.70
99 0.00 0.00 0.00 0.00 27,879,649.28 0.00 6,461,030.63
100 0.00 0.00 0.00 0.00 26,565,307.20 0.00 6,156,435.53
101 0.00 0.00 0.00 0.00 25,300,164.63 0.00 5,863,242.29
102 0.00 0.00 0.00 0.00 24,082,396.58 0.00 5,581,027.95
103 0.00 0.00 0.00 0.00 22,910,245.39 0.00 5,309,385.20
104 0.00 0.00 0.00 0.00 21,782,018.21 0.00 5,047,921.71
105 0.00 0.00 0.00 0.00 20,696,084.64 0.00 4,796,259.64
106 0.00 0.00 0.00 0.00 19,650,874.45 0.00 4,554,035.11
107 0.00 0.00 0.00 0.00 18,644,875.33 0.00 4,320,897.63
108 0.00 0.00 0.00 0.00 17,676,630.80 0.00 4,096,509.68
109 0.00 0.00 0.00 0.00 16,744,738.14 0.00 3,880,546.16
110 0.00 0.00 0.00 0.00 15,847,846.40 0.00 3,672,694.01
111 0.00 0.00 0.00 0.00 14,984,654.53 0.00 3,472,651.71
112 0.00 0.00 0.00 0.00 14,153,909.50 0.00 3,280,128.88
113 0.00 0.00 0.00 0.00 13,354,404.57 0.00 3,094,845.85
114 0.00 0.00 0.00 0.00 12,584,977.59 0.00 2,916,533.31
115 0.00 0.00 0.00 0.00 11,844,509.33 0.00 2,744,931.86
116 0.00 0.00 0.00 0.00 11,136,281.03 0.00 2,580,801.94
117 0.00 0.00 0.00 0.00 10,454,627.46 0.00 2,422,830.63
118 0.00 0.00 0.00 0.00 9,798,561.41 0.00 2,270,789.16
119 0.00 0.00 0.00 0.00 9,167,132.11 0.00 2,124,457.19
120 0.00 0.00 0.00 0.00 8,559,423.88 0.00 1,983,622.51
121 0.00 0.00 0.00 0.00 7,974,554.86 0.00 1,848,080.75
122 0.00 0.00 0.00 0.00 7,411,675.76 0.00 1,717,635.10
123 0.00 0.00 0.00 0.00 6,869,968.65 0.00 1,592,095.99
124 0.00 0.00 0.00 0.00 6,348,645.80 0.00 1,471,280.88
125 0.00 0.00 0.00 0.00 5,846,948.62 0.00 1,355,013.96
126 0.00 0.00 0.00 0.00 5,364,146.51 0.00 1,243,125.93
127 0.00 0.00 0.00 0.00 4,899,535.91 0.00 1,135,453.72
128 0.00 0.00 0.00 0.00 4,452,439.25 0.00 1,031,840.32
129 0.00 0.00 0.00 0.00 4,022,204.00 0.00 932,134.51
130 0.00 0.00 0.00 0.00 3,608,201.78 0.00 836,190.66
131 0.00 0.00 0.00 0.00 3,209,827.44 0.00 743,868.52
132 0.00 0.00 0.00 0.00 2,826,498.20 0.00 655,033.04
133 0.00 0.00 0.00 0.00 2,457,652.88 0.00 569,554.17
134 0.00 0.00 0.00 0.00 2,102,751.04 0.00 487,306.66
135 0.00 0.00 0.00 0.00 1,761,272.23 0.00 408,169.91
136 0.00 0.00 0.00 0.00 1,432,715.31 0.00 332,027.76
137 0.00 0.00 0.00 0.00 1,116,597.65 0.00 258,768.38
138 0.00 0.00 0.00 0.00 812,454.52 0.00 188,284.06
139 0.00 0.00 0.00 0.00 519,838.41 0.00 120,471.09
140 0.00 0.00 0.00 0.00 238,318.36 0.00 55,229.61
141 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
CREDIT ENHANCEMENT FOR FIXED AND FLOATING RATE CERTIFICATES
* CLASS A1-A10 AND A-11IO CREDIT ENHANCEMENT:
1. Excess cash;
2. Overcollateralization building up to a requirement of 1.20% of the
aggregate original loan balance;
3. Subordination of Class B certificates, totaling 3.2% of the aggregate
original loan balance;
4. MBIA surety.
* CLASS B CREDIT ENHANCEMENT:
1. Excess cash;
2. Overcollateralization building up to a requirement of 1.20% of the
aggregate original loan balance.
EXCESS CASH
Excess cash will equal the difference between the interest payments received on
the aggregate home equity loans net of the Servicing Fee, Trustee Fee,
Certificate Insurer Fee, Auction Agent Fee and Broker-Dealer Fee (for the Class
A-10 only), and Certificate Interest.
OVERCOLLATERALIZATION
1. Before the Stepdown Date, overcollateralization initially builds to
1.20% of the aggregate original loan balance of the Fixed and
Adjustable Rate Loan Groups (subject to the MBIA performance
triggers);
2. On and after the Stepdown Date, and so long as no trigger event is in
effect, the overcollateralization will step down monthly to 2.58% of
the outstanding aggregate loan balance of the Fixed and Adjustable
Rate Loan Groups;
3. The overcollateralization step down will be subject to a floor of
0.50% of the aggregate original loan balance of the Fixed and
Adjustable Rate Loan Groups (subject to MBIA trigger events).
4. There will be no funding of the overcollateralization for the first 6
months of the transaction (until July 15, 1998).
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
INTEREST CASHFLOW PRIORITY
* INTEREST COLLECTIONS (NET OF SERVICING, CERTIFICATE INSURER FEE, TRUSTEE
FEE, Auction Agent Fee and Broker-Dealer Fee) WILL BE ALLOCATED IN THE
FOLLOWING PRIORITY:
1. Current Interest and Carry-over Interest to the Class A Certificates;
2. Current Interest to the Class B Certificates;
3. To the overcollateralization to build up to its target amount;
4. To Monthly Excess Cashflow Amounts.
PRINCIPAL CASHFLOW PRIORITY
* PRINCIPAL COLLECTIONS (INCLUDING ACCELERATED CASH TO BUILD
OVERCOLLATERALIZATION) WILL BE ALLOCATED IN THE FOLLOWING PRIORITY PRIOR TO
THE STEPDOWN DATE (JANUARY 2001) IF NO TRIGGER EVENT IS IN EFFECT:
1. First to the Class A [Money Market] until the balance is reduced to
zero and then sequentially to the PAC bonds, pro rata between Fixed
and Floating, to their scheduled balance;
2. Remaining principal to Class A-9 Floater companion and A-10 Auction
Rate Floater companion sequentially until retired;
3. Remaining principal sequentially to the Class A PAC bonds, pro rata
between Fixed and Floating, until retired;
4. Remaining principal to Class B Certificate.
* PRINCIPAL COLLECTIONS (INCLUDING ACCELERATED CASH TO BUILD
OVERCOLLATERALIZATION) WILL BE ALLOCATED IN THE FOLLOWING PRIORITY ON AND
AFTER THE STEPDOWN DATE(JANUARY 2001) IF NO TRIGGER EVENT IS IN EFFECT:
1. Determine the Triple A Principal Distribution Amount per the
Subordination Test (as described below);
2. First to the Class A [Money Market] until the balance is reduced to
zero and then sequentially to the PAC bonds to their scheduled balance
to the extent that triple A principal is available;
3. Remaining Triple A principal to the Class A-9 Floater companion and
A-10 Auction Rate Floater companion until retired;
4. Sequentially to the Class A PAC bonds until retired.
5. Non Triple A principal amounts to the Class B Certificates on or after
the Step Down Date until retired.
6. Monthly Excess Cashflow amounts.
* COLLECTIONS OF PRINCIPAL (INCLUDING ACCELERATED CASH) ON AND AFTER THE
STEPDOWN DATE (JANUARY 2001), AND IF NO TRIGGER EVENT IS IN EFFECT WILL BE
ALLOCATED IN THE FOLLOWING PRIORITY:
Pay Class A bonds and Class B pro-rata in accordance with enhancement
targets, equal to 2.15 times the initial enhancement for each class:
TARGETED % OF POOL TARGET CREDIT ENHANCEMENT
Class A 90.54% 9.46%
Class B 6.88 2.58
Overcollateralization 2.58
100.00%
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
PRINCIPAL CASHFLOW PRIORITY (CLASS B SUBORDINATED CERTIFICATES):
* The Class B Certificates will not receive payments of principal until on
and after the Stepdown Date, or if a trigger event is in effect.
SUBORDINATION TEST (TO DETERMINE TRIPLE A PRINCIPAL DISTRIBUTION AMOUNT):
* Before the Stepdown Date, the Class A Certificates receive 100% of the
collateral principal revenues and the excess cash to build to an OC target
of 1.20% (based on the aggregate original balance). After the Stepdown
Date, the Class A Certificates receive collateral principal to maintain
9.46% credit enhancement.
STEP DOWN DATE:
* The earlier of: (i) the later of (a) the January 2001 Payment Date and (b)
the first Payment Date on which the Senior Enhancement Percentage (i.e. the
sum of the Subordinated Certificates and OC amount divided by the aggregate
of the Fixed and Adjustable Rate Home Equity Loans) is at least 9.46%, and
(ii) the Payment Date on which the aggregate Class A Balance has been
reduced to zero.
SENIOR ENHANCEMENT PERCENTAGE:
* The percentage obtained by dividing (x) the sum of (i) the aggregate
Certificate Principal Balance of the Subordinated Certificates and (ii) the
Overcollateralization Amount by (y) the aggregate Loan Balance of the Home
Equity Loans as of the last day of the related Remittance Period.
APPLICATION OF MONTHLY EXCESS CASHFLOW AMOUNTS:
* Monthly Excess Cashflow Amounts which equal the sum of Monthly Excess
Interest Amounts and Overcollateralization Release Amounts will be
allocated in the following priority:
1. Class A Interest Carry Forward Amount
2. Extra Principal Distribution Amount
3. Class B Interest Carry Forward Amount
4. Unpaid Class B Realized Loss Amortization Amounts
5. Servicer for any unreimbursed Delinquency Advances or Servicing
Advances
6. Class C Certificates
7. Class R Certificates
NOTE: Interest will not accrue or be payable on any written down amounts with
respect to the Class B Certificates.
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
DELINQUENCY TRIGGER:
* After the Stepdown Date, a Delinquency Trigger Event has occurred if on any
Payment Date 50% of the 60+ Day Delinquencies (including Bankruptcies,
Foreclosures and REO properties) equals or exceeds the Senior Specified
Enhancement Percentage (9.46% = 2.15 X 4.40%).
* Upon the occurrence and continuance of a Delinquency Trigger Event, the
Class A Certificates will receive 100% of all principal distribution
amounts (excluding excess interest).
CUMULATIVE REALIZED LOSS TRIGGER EVENT:
* A Cumulative Realized Loss Trigger Event occurs on any date of
determination if the amount of Cumulative Realized Losses expressed as a
percentage of the original aggregate loan balance of the Fixed and
Adjustable Rate Loan Groups equals or exceeds the following amounts:
Date Percentages
January 1998-December 1999 [1.05%]
January 2000-December 2000 [1.80%]
January 2001-December 2001 [2.40%]
January 2002-December 2002 [2.85%]
January 2003 and thereafter [3.00%]
* Upon the occurrence and during the continuance of a Cumulative Realized
Loss Trigger Event, the overcollateralization amount shall increase to
2.14% of the aggregate original balance of the Fixed and Adjustable Rate
Loan Groups
<PAGE>
CONTIMORTGAGE GRANTOR TRUST 1997-A
TERM SHEET
SECURITIES OFFERED: Class A Certificates.
ORIGINAL PRINCIPAL AMT.: $675,000,000.
CLASS A CERTIFICATE RATE: One Month LIBOR plus 1_ bps subject to a cap of
10%.
INTEREST METHODOLOGY: Actual / 360.
DISTRIBUTION DATES: The 15th of each month, beginning January 1998.
ACCRUAL PERIOD: From the preceding Distribution Date
(or, in the case of the Initial Distribution Date,
from the Closing Date) to, but not including, the
subsequent Distribution Date.
CLOSING DATE: December 23, 1997.
TRUSTEE: Manufacturers and Traders Trust Company ("M&T").
TRUST ASSETS: Class A-2 Planned Amortization Class
("PAC") from ContiMortgage Home Equity Loan Trust;
Series 1997-5; NatWest Swap Agreement; MBIA
Insurance Policy.
CLASS A-2 PAC: $675,000,000, 6.__% fixed rate PAC with
a range of 125% to 175% PPC on the fixed rate
loans and 28 to 38% CPR on the ARMs.
NATWEST SWAP AGMT.: NatWest will make interest
payments to the Class A Certificateholders at a
rate equal to one month LIBOR plus 1_ bps based
upon the actual balance of the Class A-2 PAC.
NatWest will be entitled to receive the fixed rate
coupon of the A-2 PAC based upon the actual
balance of the Class A-2 PAC.
MBIA INSURANCE POLICY: MBIA will issue an insurance policy
guaranteeing timely interest and ultimate
principal payments to the holders of the Class A
Certificates (the "Grantor Trust Policy").
CLASS A DISTRIBUTIONS: Class A Certificates are entitled to
principal and interest distributions on the Class
A-2 PAC Certificates (for details on the Class A-2
PAC distributions see the ContiMortgage Home
Equity Loan Trust 1997-5 term sheet).
INTEREST 1) Swapped from a fixed rate to a floating rate.
PRINCIPAL 1) Distributions of principal on the
Class A Certificates will reflect all principal
distributions on the Class A-2 PAC Certificates.
<PAGE>
[GRAPHIC OMITTED]
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
COLLATERAL DESCRIPTION
* Collateral statistics are based on a representative pool as of close
of business November 17, 1997 (the "statistical calculation date").
The actual statistics may vary.
<TABLE>
<CAPTION>
ARM PORTFOLIO FIXED RATE PORTFOLIO
<S> <C> <C>
TOTAL OUTSTANDING BALANCE: $319,942,776.51 $818,133,381.71
NUMBER OF LOANS: 3,351 13,219
AVERAGE REMAINING BALANCE: $95,476.81 (range: $10,000.00 - $435,000.00) $61,890.72 (range: $624.83 - $414,000.00)
INTEREST RATE INDEX: * 18.42% 6-month LIBOR * 100.00% fixed rate loans
* 69.12% 2/28 adjustment
* 12.47% 3/27 adjustment
AMORTIZATION METHOD: 99.96% fully amortizing / 0.04% balloons 51.26% fully amortizing / 48.74% balloons
WA GROSS COUPON: 10.330% (range: 6.500% - 16.500%) 11.094% (range: 7.190% - 19.990%)
WA GROSS MARGIN /
WA LIFE CAP: 6.222% Margin / 16.558% Cap N/A
WA PERIODIC INTEREST RATE CAPS: 1.052% N/A
WA MONTHS TO ROLL: 20.78 months N/A
ORIGINAL WEIGHTED AVERAGE TERM: 359.76 months (range: 180-360 months) 226.25 months (range: 60-360 months)
REMAINING WEIGHTED AVERAGE
TERM: 358.37 months (range: 178 - 360 months) 224.90 months (range: 52 - 360 months)
SEASONING: 1.40 months (range: 0 - 16) 1.35 months (range: 0 - 25 months)
LIEN POSITION: 100% first 93.57% first / 6.43% second
ORIGINAL LTV RATIO: 79.15% (range: 9.00% - 100.00%) 73.56% (range: 5.00% - 100.00%)
ORIGINAL CLTV RATIO: N/A 76.70% (range: 7.30% - 103.66%)
WA DEBT TO INCOME RATIO: 39.00% (range: 3.00% - 72.00%) 37.95% (range: 2.00% - 94.00%)
CREDIT GRADE: 60.79% A, 24.19% B, 12.58% C, 2.42% D 57.90% A, 23.26% B, 15.52% C, 3.28% D, 0.03 M
DOCUMENTATION: 79.08% full doc, 11.27% no doc, 8.61% 82.31% full doc, 7.12% FNMA, 6.16% no income
no income verification, 1.04% FNMA verification, 4.38% no doc, 0.03% Mixed
PROPERTY TYPE: 88.76% single family, 3.45% PUD, 5.44% 89.11% single family, 6.58% 2-4 family, 1.24%
2-4 family, 2.35% other PUD, 3.07% other
OWNER OCCUPANCY: 96.10% owner occupied, 3.90% investor owned 95.39% owner occupied, 4.61% investor owned
LOAN PURPOSE: 47.40% debt consolidation and home 75.08% debt consolidation and home
improvement, 30.66% purchase, 21.94% other improvement, 9.29% purchase, 15.62% other
GEOGRAPHIC DISTRIBUTION: CA (15.11%), MI (13.15%), FL (6.56%), MI (9.97%), OH (9.57%), IL (8.90%), FL
WA (6.18%), OH (5.36%), with all remaining (7.16%), PA (6.30%), NC (6.28%), NJ (5.77%),
states under 5.00% IN (5.52%), NY (5.38%), with all remaining
states under 5.0%
</TABLE>
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
RANGE OF Outstanding Pct.
OUTSTANDING Principal of
PRINCIPAL BALANCE Count Balance Total
- ---------------------------- --------------------------------------------
$ 624.83 - 25,000.00 1,808 $34,948,665.57 4.27%
25,000.01 - 50,000.00 4,552 170,783,503.58 20.87
50,000.01 - 75,000.00 3,408 209,121,461.30 25.56
75,000.01 - 100,000.00 1,604 139,099,085.59 17
100,000.01 - 125,000.00 851 94,895,200.44 11.6
125,000.01 - 150,000.00 475 64,759,290.35 7.92
150,000.01 - 175,000.00 213 34,341,277.39 4.2
175,000.01 - 200,000.00 121 22,657,983.62 2.77
200,000.01 - 225,000.00 72 15,258,647.07 1.87
225,000.01 - 250,000.00 38 9,046,443.38 1.11
250,000.01 - 275,000.00 28 7,396,604.48 0.9
275,000.01 - 300,000.00 20 5,776,024.79 0.71
300,000.01 - 325,000.00 8 2,514,636.18 0.31
325,000.01 - 350,000.00 10 3,418,554.32 0.42
350,000.01 - 375,000.00 6 2,152,253.19 0.26
375,000.01 - 400,000.00 3 1,144,750.46 0.14
400,000.01 - 414,000.00 2 819,000.00 0.1
- -------------------------------------------- ----------------------------
Total: 13,219 818,133,381.71 100
- -------------------------------------------- ----------------------------
Min: 625
Max: 414,000
Average: 61,891
- ---------------------------------------------------------------------------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
RANGE OF COUPONS Count Balance Total
- ---------------------------- -------------- ----------------- -----------
7.19 - 8 65 $6,139,156.67 0.75%
8.01 - 9 654 51,314,601.31 6.27
9.01 - 10 2,305 171,654,391.07 20.98
10.01 - 11 3,402 228,875,601.35 27.98
11.01 -12 2,730 168,525,559.24 20.6
12.01 -13 1,992 105,949,992.78 12.95
13.01 - 14 1,125 50,364,354.97 6.16
14.01 - 15 592 23,804,703.61 2.91
15.01 - 16 179 6,447,275.27 0.79
16.01 - 17 134 3,752,100.51 0.46
17.01 - 18 37 1,127,181.49 0.14
18.01 - 19 3 111,966.35 0.01
19.01 - 19.99 1 66,497.09 0.01
- ---------------------------- -------------- ----------------- -----------
Total: 13,219 $818,133,381.71 100
- ---------------------------- -------------- ----------------- -----------
Min: 7.19
Max: 19.99
WAC: 11.09
- ---------------------------- -------------- ----------------- -----------
RANGE OF Outstanding Pct.
REMAINING Principal of
TERMS TO MATURITY Count Balance Total
- ---------------------------- -------------- ----------------- -----------
52 - 60 months 44 1,065,565.82 0.13%
61 - 120 512 14,870,601.49 1.82
121 - 180 8,409 510,947,025.94 62.45
181 - 240 1,897 109,365,128.87 13.37
241 - 300 95 6,098,018.34 0.75
301 - 360 2,262 175,787,041.25 21.49
- ---------------------------- -------------- ----------------- -----------
Total: 13,219 $818,133,381.71 100
- ---------------------------- -------------- ----------------- -----------
Min: 52
Max: 360
Weighted Average: 225
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
RANGE OF Outstanding Pct.
ORIGINAL Principal of
TERMS TO MATURITY Count Balance Total
- ---------------------------- -------------- ----------------- -----------
60 - 60 months 44 1,065,565.82 0.13%
61 - 120 512 14,870,601.49 1.82
121 - 180 8,409 510,947,025.94 62.45
181 - 240 1,897 109,365,128.87 13.37
241 - 300 95 6,098,018.34 0.75
301 - 360 2,262 175,787,041.25 21.49
- ---------------------------- -------------- ----------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- -------------- ----------------- -----------
Min: 60
Max: 360
Weighted Average: 226
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
RANGE OF Principal of
SEASONING Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Less than = 0 months 2,607 168,575,116.48 20.60%
1 - 12 10,603 648,857,294.56 79.31
13 - 24 8 620,398.95 0.08
25 - 25 1 80,571.72 0.01
- ---------------------------- -------------- -------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- -------------- ----------------- -----------
Min: 0
Max: 25
WEIGHTED AVERAGE: 1
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
RANGE OF Principal of
ORIGINAL LTV Count Balance Total
- -------------------------------------------------------- -----------
5.00 - 5 1 $11,341.14 0.00%
5.01 - 10 86 1,574,671.19 0.19
10.01 - 15 317 7,435,222.31 0.91
15.01 - 20 395 11,122,143.45 1.36
20.01 - 25 367 11,906,168.08 1.46
25.01 - 30 323 10,824,614.11 1.32
30.01 - 35 266 9,430,062.98 1.15
35.01 - 40 238 8,846,231.67 1.08
40.01 - 45 270 11,794,978.64 1.44
45.01 - 50 406 14,898,623.57 1.82
50.01 - 55 313 13,995,290.31 1.71
55.01 - 60 546 25,903,511.57 3.17
60.01 - 65 761 40,701,178.05 4.97
65.01 - 70 1,082 62,418,419.06 7.63
70.01 - 75 1,464 94,897,082.11 11.6
75.01 - 80 3,127 219,989,239.25 26.89
80.01 - 85 1,948 153,202,473.75 18.73
85.01 - 90 1,305 118,761,790.04 14.52
90.01 - 95 2 186,897.08 0.02
95.01 - 100 2 233,443.35 0.03
- -------------------------------------------------------- -----------
Total: 13,219 818,133,381.71 100
- -------------------------------------------------------- -----------
Min: 5
Max: 100
Weighted Average: 73.56
- -------------------------------------------------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
ORIGINAL CLTV Count Balance Total
- ----------------------------------------- ----------------- -----------
7.30 - 10 5 $121,742.84 0.01%
10.01 - 15 22 514,805.22 0.06
15.01 - 20 44 1,315,511.78 0.16
20.01 - 25 57 1,484,210.57 0.18
25.01 - 30 99 2,528,731.84 0.31
30.01 - 35 130 4,027,640.90 0.49
35.01 - 40 177 6,060,558.77 0.74
40.01 - 45 229 9,478,045.09 1.16
45.01 - 50 420 15,046,743.30 1.84
50.01 - 55 300 12,633,052.22 1.54
55.01 - 60 574 26,605,436.84 3.25
60.01 - 65 808 42,276,216.06 5.17
65.01 - 70 1,190 65,230,537.96 7.97
70.01 - 75 1,656 100,289,102.10 12.26
75.01 - 80 3,592 236,291,391.09 28.88
80.01 - 85 2,449 168,149,400.63 20.55
85.01 - 90 1,429 123,612,015.40 15.11
90.01 - 95 26 1,928,247.54 0.24
95.01 - 100 11 448,242.86 0.05
100.01 - 103.66 1 91,748.70 0.01
- ----------------------------------------- ----------------------------
Total: 13,219 818,133,381.71 100
- ----------------------------------------- ----------------- -----------
Min: 7.3
Max: 103.66
Weighted Average: 76.7
- ----------------------------------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
JUNIOR LIEN RATIO Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Less than = 0 11,619 $765,511,223.11 93.57%
5.01 - 10 9 128,828.87 0.02
10.01 - 15 106 2,072,753.60 0.25
15.01 - 20 250 5,785,566.94 0.71
20.01 - 25 279 7,417,275.04 0.91
25.01 - 30 245 7,689,233.96 0.94
30.01 - 35 189 6,803,484.24 0.83
35.01 - 40 159 5,845,688.97 0.71
40.01 - 45 101 4,138,643.87 0.51
45.01 - 50 57 2,349,445.72 0.29
50.01 - 55 51 2,922,985.99 0.36
55.01 - 60 30 1,214,798.81 0.15
60.01 - 65 26 1,239,474.13 0.15
65.01 - 70 29 1,281,347.54 0.16
70.01 - 75 23 1,015,823.51 0.12
75.01 - 80 20 1,018,277.81 0.12
80.01 - 85 13 729,232.51 0.09
85.01 - 90 5 331,644.88 0.04
90.01 - 95 6 491,120.01 0.06
95.01 - 98.26 2 146,532.20 0.02
- ---------------------------- -------------- ----------------- -------------
Total: 13,219 818,133,381.71 100
- ---------------------------- -------------- ----------------- -----------
Min: 0.00
Max: 98.26
Weighted Average: 36.52*
- ---------------------------- -------------- ----------------- -----------
* For Second Liens Only
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
RANGE OF Outstanding Pct.
DEBT TO INCOME Principal of
RATIO Count Balance Total
- ---------------------------- -------------- ----------------- -----------
2.00 - 5 18 $1,292,234.14 0.16%
5.01 - 10 93 3,137,720.75 0.38
10.01 - 15 357 15,027,606.23 1.84
15.01 - 20 744 34,381,841.90 4.2
20.01 - 25 1,191 61,430,836.30 7.51
25.01 - 30 1,431 77,359,440.63 9.46
30.01 - 35 1,786 104,559,469.78 12.78
35.01 - 40 2,066 131,954,030.28 16.13
40.01 - 45 2,314 155,959,656.85 19.06
45.01 - 50 2,783 198,363,224.19 24.25
50.01 - 55 404 32,036,925.68 3.92
55.01 - 60 25 2,118,288.91 0.26
60.01 - 65 3 268,675.68 0.03
65.01 - 70 1 144,493.71 0.02
70.01 - 75 2 62,936.68 0.01
90.01 - 94 1 36,000.00 0
- ---------------------------- -------------- ----------------- -----------
TOTAL: 13,219 818,133,381.71 100
- ---------------------------- -------------- ----------------- -----------
Min: 2.00
Max: 94.00
Weighted Average: 37.95
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Principal of
DAYS DELINQUENT Count Balance Total
- ---------------------------- -------------- ----------------- -----------
0 12,893 798,852,302.65 97.64
30 310 18,315,605.64 2.24
60 16 965,473.42 0.12
- ---------------------------- -------------- ----------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
PRODUCT TYPE Count Balance Total
- ---------------------------- -------------- ----------------- -----------
05/30 Balloon 1 77,329.98 0.01
12.5/30 Balloon 1 123,250.00 0.02
15/20 Balloon 6 277,227.86 0.03
15/25 Balloon 1 86,574.24 0.01
15/30 Balloon 5,775 398,128,529.71 48.66
20/30 Balloon 1 44,837.82 0.01
Fixed 7,434 419,395,632.10 51.26
- ---------------------------- -------------- ----------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Principal of
LIEN POSITION Count Balance Total
- ---------------------------- -------------- ----------------- -----------
1st Lien 11,619 765,511,223.11 93.57
2nd Lien 1,600 52,622,158.60 6.43
- ---------------------------- -------------- ----------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Principal of
BALLOON Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Non-Balloon 7,434 419,395,632.10 51.26
Balloon 5,785 398,737,749.61 48.74
- ---------------------------- -------------- ----------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
PROPERTY Principal of
TYPE Count Balance Total
- ------------------------------------------ ----------------- -----------
2 Units 557 38,337,728.87 4.69%
3-4 Units 185 15,474,387.72 1.89
Condo High-Rise 11 405,811.26 0.05
Condo Low-Rise 88 4,688,993.56 0.57
Manufactured Housing 316 16,433,428.88 2.01
Mixed Use 31 3,525,959.18 0.43
PUD 104 10,183,236.36 1.24
Single Family Attached 350 17,295,375.60 2.11
Single Family Detached 11,577 711,788,460.28 87
- ------------------------------------------ ----------------- -----------
Total: 13,219 818,133,381.71 100
- ------------------------------------------ ----------------- -----------
Outstanding Pct.
Principal of
LOAN PURPOSE Count Balance Total
- ------------------------------------------ ----------------- -----------
Debt Consolidation 9,712 597,211,361.17 73
Other 2,148 127,824,695.21 15.62
Purchase 1,029 76,009,708.55 9.29
Home Improvement 273 13,866,544.58 1.69
Debt Con & HI Combo 57 3,221,072.20 0.39
- ------------------------------------------ ----------------- -----------
Total: 13,219 818,133,381.71 100
- ------------------------------------------ ----------------- -----------
Outstanding Pct.
OCCUPANCY Principal of
STATUS Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Non-owner 775 37,732,980.51 4.61
Primary 12,444 780,400,401.20 95.39
- ---------------------------- -------------- ----------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
STATES Count Balance Total
- -----------------------------------------------------------------
Alaska 1 $25,000.00 0.00%
Arizona 133 7,250,113.97 0.89
Arkansas 37 1,702,474.03 0.21
California 283 25,367,828.82 3.1
Colorado 140 10,068,614.54 1.23
Connecticut 110 9,490,071.77 1.16
Delaware 34 2,361,539.03 0.29
District of Columbia 26 1,932,873.75 0.24
Florida 986 58,544,260.46 7.16
Georgia 378 23,506,921.46 2.87
Hawaii 13 2,172,360.16 0.27
Idaho 23 1,526,598.66 0.19
Illinois 1,137 72,801,860.66 8.9
Indiana 936 45,138,085.10 5.52
Iowa 35 1,633,225.86 0.2
Kansas 49 2,366,827.17 0.29
Kentucky 276 15,281,055.66 1.87
Louisiana 134 6,802,352.89 0.83
Maine 16 1,213,564.95 0.15
Maryland 313 21,966,258.69 2.68
Massachusetts 255 21,907,573.88 2.68
Michigan 1,582 81,530,526.36 9.97
Minnesota 129 8,672,224.31 1.06
Mississippi 105 5,321,988.91 0.65
Missouri 305 15,027,270.91 1.84
Montana 5 329,233.70 0.04
Nebraska 43 1,957,903.47 0.24
Nevada 48 3,874,050.72 0.47
New Hampshire 37 3,299,259.12 0.4
New Jersey 485 47,227,800.78 5.77
New Mexico 98 5,156,922.38 0.63
New York 533 44,000,091.79 5.38
North Carolina 881 51,371,988.81 6.28
Ohio 1,325 78,284,504.23 9.57
Oklahoma 50 2,230,315.56 0.27
<PAGE>
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
STATES Count Balance Total
- -----------------------------------------------------------------
Oregon 75 5,784,732.53 0.71
Pennsylvania 888 51,507,967.68 6.3
Rhode Island 79 6,085,307.74 0.74
South Carolina 237 11,879,198.07 1.45
South Dakota 1 32,700.00 0
Tennessee 234 14,674,022.48 1.79
Texas 138 8,824,505.05 1.08
Utah 97 6,189,544.14 0.76
Vermont 1 25,580.76 0
Virginia 234 12,934,061.85 1.58
Washington 101 7,841,250.78 0.96
West Virginia 23 1,230,303.62 0.15
Wisconsin 164 9,489,111.79 1.16
Wyoming 6 291,552.66 0.04
- -----------------------------------------------------------------
Total: 13,219 818,133,381.71 100
- -----------------------------------------------------------------
<PAGE>
Computational Materials
Fixed Rate Collateral
Outstanding Pct.
Principal of
DOCUMENTATION LEVEL Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Standard Documentation 11,156 673,441,337.54 82.31
FNMA Documentation 837 58,252,666.72 7.12
Limited Documentation 684 50,387,849.88 6.16
No Documentation 540 35,794,018.52 4.38
Mixed Use 2 257,509.05 0.03
- ---------------------------- -------------- ----------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Principal of
CREDIT RATING Count Balance Total
- ---------------------------- -------------- ----------------- -----------
A1 837 $58,252,666.72 7.12%
A2 5,326 360,744,240.45 44.09
A3 461 34,972,426.84 4.27
A4 253 19,818,829.32 2.42
B1 2,918 171,554,870.72 20.97
B3 131 10,002,770.36 1.22
B4 137 8,720,841.64 1.07
C1 2,285 116,362,134.08 14.22
C3 73 4,849,650.12 0.59
C4 116 5,788,355.18 0.71
D1 627 24,780,092.29 3.03
D3 19 563,002.56 0.07
D4 34 1,465,992.38 0.18
MU 2 257,509.05 0.03
- ---------------------------- -------------- ----------------- -----------
Total: 13,219 818,133,381.71 100
- ---------------------------- -------------- ----------------- -----------
<PAGE>
Computational Materials
Adjustable Rate Collateral
RANGE OF Outstanding Pct.
OUTSTANDING Principal of
PRINCIPAL BALANCE Count Balance Total
- ---------------------------- -------------- ----------------- -----------
$ 10,000.00 - 25,000.00 45 $980,351.00 0.31%
25,000.01 - 50,000.00 587 23,200,873.85 7.25
50,000.01 - 75,000.00 875 54,575,708.12 17.06
75,000.01 - 100,000.00 655 57,453,522.20 17.96
100,000.01 - 125,000.00 459 51,605,348.29 16.13
125,000.01 - 150,000.00 299 40,633,778.82 12.7
150,000.01 - 175,000.00 143 23,220,799.89 7.26
175,000.01 - 200,000.00 98 18,313,525.33 5.72
200,000.01 - 225,000.00 69 14,582,108.14 4.56
225,000.01 - 250,000.00 30 7,196,254.42 2.25
250,000.01 - 275,000.00 23 5,963,920.33 1.86
275,000.01 - 300,000.00 25 7,209,795.76 2.25
300,000.01 - 325,000.00 15 4,697,067.00 1.47
325,000.01 - 350,000.00 14 4,728,899.88 1.48
350,000.01 - 375,000.00 3 1,113,886.35 0.35
375,000.01 - 400,000.00 6 2,340,247.40 0.73
400,000.01 - 425,000.00 2 826,041.78 0.26
425,000.01 - 435,000.00 3 1,300,647.95 0.41
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min: 10,000
Max: 435,000
Average: 95,477
- ---------------------------- -------------- ----------------- -----------
<PAGE>
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
RANGE OF Principal of
CURRENT COUPONS Count Balance Total
- ---------------------------- -------------- ----------------- -----------
6.50 - 7 6 573,487.32 0.18%
7.01 - 8 35 3,562,593.66 1.11
8.01 - 9 279 31,682,103.72 9.9
9.01 - 10 922 98,827,973.29 30.89
10.01 - 11 1,213 115,384,741.60 36.06
11.01 - 12 641 52,114,430.81 16.29
12.01 - 13 161 11,850,175.42 3.7
13.01 - 14 66 4,471,665.23 1.4
14.01 - 15 25 1,348,179.01 0.42
15.01 - 16.0 2 89,480.31 0.03
16.01 - 16.5 1 37,946.14 0.01
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min: 6.50
Max: 16.50
WAC: 10.33
- ---------------------------- -------------- ----------------- -----------
RANGE OF Outstanding Pct.
ORIGINAL Principal of
TERMS TO MATURITY Count Balance Total
- ---------------------------- -------------- ----------------- -----------
180 months 6 316,116.43 0.10%
181 - 240 2 162,801.62 0.05
301 - 360 3,343 319,463,858.46 99.85
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min: 180
Max: 360
Weighted Average: 360
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
RANGE OF Outstanding Pct.
REMAINING Principal of
TERMS TO MATURITY Count Balance Total
- ----------------------------------------------------------------
178 - 180 months 6 316,116.43 0.10%
181 - 240 2 162,801.62 0.05
301 - 360 3,343 319,463,858.46 99.85
- ----------------------------------------------------------------
Total: 3,351 319,942,776.51 100
- ----------------------------------------------------------------
Min: 178
Max: 360
Weighted Average: 358
- ----------------------------------------------------------------
Outstanding Pct.
RANGE OF Principal of
SEASONING Count Balance Total
- -------------------------------------------------------- -----------
0 months 643 60,899,592.75 19.03%
1 - 12 2,702 258,554,970.81 80.81
13 - 16 6 488,212.95 0.15
- -------------------------------------------------------- -----------
TOTAL: 3,351 319,942,776.51 100
- -------------------------------------------------------- -----------
Min: 0
Max: 16
Weighted Average: 1
- -------------------------------------------------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
RANGE OF Principal of
ORIGINAL LTV Count Balance Total
- -------------------------------------------------------- -----------
9.00 - 10 1 $10,000.00 0.00%
10.01 - 15 2 99,851.11 0.03
15.01 - 20 1 19,991.79 0.01
20.01 - 25 8 283,794.45 0.09
25.01 - 30 10 855,880.36 0.27
30.01 - 35 9 816,136.29 0.26
35.01 - 40 12 750,706.83 0.23
40.01 - 45 18 1,267,242.16 0.4
45.01 - 50 48 3,248,254.85 1.02
50.01 - 55 52 3,120,660.50 0.98
55.01 - 60 100 6,782,256.35 2.12
60.01 - 65 173 13,060,510.71 4.08
65.01 - 70 298 23,305,622.19 7.28
70.01 - 75 488 46,401,698.15 14.5
75.01 - 80 917 90,771,290.97 28.37
80.01 - 85 589 56,727,536.05 17.73
85.01 - 90 622 72,086,962.69 22.53
90.01 - 95 1 107,062.22 0.03
95.01 - 100 2 227,318.84 0.07
- -----------------------------------------------------------------------
Total: 3,351 319,942,776.51 100
- -----------------------------------------------------------------------
Min: 9.00
Max: 100.00
Weighted Average: 79.15
- -----------------------------------------------------------------------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
RANGE OF Outstanding Pct.
DEBT TO INCOME Principal of
RATIO Count Balance Total
- ---------------------------- -------------- ----------------- -----------
3.00 - 5 9 $1,096,380.60 0.34%
5.01 - 10 14 1,092,482.99 0.34
10.01 - 15 74 4,537,670.78 1.42
15.01 - 20 160 11,138,364.82 3.48
20.01 - 25 226 17,930,010.25 5.6
25.01 - 30 352 28,810,685.96 9
30.01 - 35 419 37,122,336.85 11.6
35.01 - 40 535 52,641,987.54 16.45
40.01 - 45 665 68,962,494.89 21.55
45.01 - 50 678 71,555,716.49 22.37
50.01 - 55 194 22,073,074.76 6.9
55.01 - 60 21 2,706,073.02 0.85
60.01 - 65 2 140,436.58 0.04
65.01 - 70 1 65,100.00 0.02
70.01 - 72 1 69,960.98 0.02
- ---------------------------- -------------- -----------------------------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- -----------------------------
Min: 3.00
Max: 72.00
Weighted Average: 39
- ---------------------------- -------------- -----------------------------
Outstanding Pct.
Principal of
DAYS DELINQUENT Count Balance Total
- ---------------------------- -------------- -----------------------------
0 Days 3,236 309,064,981.60 96.6
30 Days 112 10,447,565.57 3.27
60 Days 3 430,229.34 0.13
- ---------------------------- -------------- -----------------------------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- -----------------------------
Outstanding Pct.
Principal of
INDEX TYPE Count Balance Total
- ---------------------------- -------------- -----------------------------
6 Month LIBOR 3,351 319,942,776.51 100
- ---------------------------- -------------- -----------------------------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- -----------------------------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
PRODUCT TYPE Count Balance Total
- ---------------------------- -------------- ----------------- -----------
ARM - 2 Year/6Month 2,365 221,131,863.06 69.12
ARM - 3 Year/6 Month 378 39,893,939.97 12.47
ARM - 6 Month 606 58,803,067.24 18.38
ARM - Balloon 2 113,906.24 0.04
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Principal of
LIEN POSITION Count Balance Total
- ---------------------------- -------------- ----------------- -----------
1st Lien 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Principal of
BALLOON Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Balloon 2 113,906.24 0.04
Fully Amortizing 3,349 319,828,870.27 99.96
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
PROPERTY Principal of
TYPE Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Single Family Detached 2,943 280,980,855.17 87.82%
PUD 92 11,049,730.87 3.45
2 Units 112 9,799,358.02 3.06
3-4 Units 69 7,607,114.11 2.38
Condo Low-Rise 49 3,990,345.40 1.25
Manufactured Housing 44 3,135,341.99 0.98
Single Family Attached 37 3,021,659.59 0.94
Condo High-Rise 4 275,121.36 0.09
Mixed Use 1 83,250.00 0.03
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
LOAN PURPOSE Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Debt Consolidation 1,587 146,525,667.88 45.8
Purchase 996 98,093,118.23 30.66
Other 715 70,202,659.49 21.94
Debt Con & HI Combo 25 2,674,959.49 0.84
Home Improvement 28 2,446,371.42 0.76
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
OCCUPANCY Principal of
STATUS Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Primary 3,170 307,449,122.88 96.1
Non-owner 181 12,493,653.63 3.9
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
Principal of
DOCUMENTATION LEVEL Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Standard Documentation 2,756 253,004,244.95 79.08
No Documentation 341 36,053,706.85 11.27
Limited Documentation 224 27,545,636.09 8.61
FNMA Documentation 30 3,339,188.62 1.04
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
States Count Balance Total
- ---------------------------- -------------- ----------------- -----------
Arizona 140 $11,541,275.09 3.61%
Arkansas 4 462,436.31 0.14
California 363 48,336,081.77 15.11
Colorado 119 13,716,149.27 4.29
Connecticut 51 4,565,839.04 1.43
Delaware 6 582,715.88 0.18
District of Columbia 5 562,235.68 0.18
Florida 222 20,984,159.52 6.56
Georgia 61 6,111,451.26 1.91
Hawaii 12 2,487,715.47 0.78
Idaho 37 3,027,070.75 0.95
Illinois 162 14,855,823.96 4.64
Indiana 91 5,886,503.85 1.84
Iowa 15 863,464.49 0.27
Kansas 21 1,596,714.97 0.5
Kentucky 36 2,972,514.97 0.93
Louisiana 26 2,347,037.62 0.73
Maine 4 639,456.32 0.2
Maryland 37 3,130,359.27 0.98
Massachusetts 59 7,014,530.88 2.19
Michigan 493 42,066,800.04 13.15
Minnesota 63 4,237,061.90 1.32
Mississippi 4 220,371.33 0.07
Missouri 67 5,390,897.54 1.68
Montana 12 1,320,726.72 0.41
Nebraska 6 541,046.11 0.17
Nevada 42 4,913,236.58 1.54
New Hampshire 7 736,834.25 0.23
New Jersey 31 3,687,781.61 1.15
New Mexico 41 3,264,287.39 1.02
New York 21 2,231,761.36 0.7
North Carolina 62 4,966,750.63 1.55
Ohio 239 17,135,346.14 5.36
Oklahoma 21 1,587,048.48 0.5
Oregon 68 6,908,094.93 2.16
Pennsylvania 92 7,625,505.45 2.38
Rhode Island 29 2,728,685.63 0.85
South Carolina 20 1,911,096.67 0.6
South Dakota 3 298,236.58 0.09
Tennessee 23 1,893,041.86 0.59
Texas 154 15,091,334.57 4.72
Utah 127 14,022,913.18 4.38
Virginia 26 2,267,895.59 0.71
Washington 184 19,771,881.99 6.18
West Virginia 12 1,014,894.49 0.32
Wisconsin 29 2,132,136.07 0.67
Wyoming 4 293,573.05 0.09
-------------------------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
<PAGE>
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
CREDIT RATING Count Balance Total
- ---------------------------- -------------- ----------------- -----------
A1 30 $3,339,188.62 1.04%
A2 1,428 147,091,675.15 45.97
A3 151 19,171,309.95 5.99
A4 215 24,930,129.82 7.79
B1 754 64,601,855.70 20.19
B3 48 6,251,640.21 1.95
B4 65 6,559,330.33 2.05
C1 475 35,745,777.01 11.17
C3 19 1,683,655.74 0.53
C4 37 2,827,648.63 0.88
D1 99 5,564,937.09 1.74
D3 6 439,030.19 0.14
D4 24 1,736,598.07 0.54
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
RANGE OF Principal of
MARGINS Count Balance Total
- ---------------------------- -------------- ----------------- -----------
2.50 - 5 201 21,451,213.54 6.70%
5.01 - 10 3,143 297,907,717.28 93.11
10.01 - 11.1 7 583,845.69 0.18
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min: 2.50
Max: 11.10
Weighted Average: 6.22
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
INITIAL Outstanding Pct.
PERIODIC Principal of
CAP Count Balance Total
- ---------------------------- -------------- ----------------- -----------
1.00% 595 $57,817,106.93 18.07%
1.5 163 15,923,355.00 4.98
2 55 4,811,028.06 1.5
2.88 1 111,951.76 0.03
3 2,509 238,515,345.53 74.55
6 18 1,664,779.32 0.52
7 10 1,099,209.91 0.34
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min: 1.00
Max: 7.00
Weighted Average: 2.58
- ---------------------------- -------------- ----------------- -----------
Outstanding Pct.
PERIODIC Principal of
RATE CAP Count Balance Total
- ---------------------------- -------------- ----------------- -----------
1.00% 3,051 $290,542,945.24 90.81%
1.5 285 28,198,891.29 8.81
2 1 41,984.69 0.01
3 13 1,101,597.68 0.34
6 1 57,357.61 0.02
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min: 1.00
Max: 6.00
Weighted Average: 1.05
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
MAXIMUM RATE Count Balance Total
- ---------------------------- -------------- ----------------- -----------
12.5 - 13 4 307,388.66 0.10%
13.01 - 14 25 2,594,610.48 0.81
14.01 - 15 186 21,357,910.71 6.68
15.01 - 16 810 88,615,708.45 27.7
16.01 - 17 1,195 114,619,909.01 35.83
17.01 - 18 756 64,277,851.58 20.09
18.01 - 19 237 18,329,986.47 5.73
19.01 - 20 98 7,558,361.55 2.36
20.01 - 21 32 1,952,388.31 0.61
21.01 - 22 6 260,940.66 0.08
22.01 - 23 1 29,774.49 0.01
23.01 - 23.5 1 37,946.14 0.01
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min: 12.50
Max: 23.50
Weighted Average: 16.56
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
Outstanding Pct.
Principal of
MINIMUM RATE Count Balance Total
- ---------------------------- -------------- ----------------- -----------
6.5 - 7.00% 6 573,487.32 0.18%
7.01 - 8 35 3,562,593.66 1.11
8.01 - 9 284 32,273,677.11 10.09
9.01 - 10 913 97,545,927.10 30.49
10.01 - 11 1,206 114,529,744.33 35.8
11.01 - 12 639 51,921,075.18 16.23
12.01 - 13 164 12,060,976.60 3.77
13.01 - 14 63 4,333,645.42 1.35
14.01 - 15 34 2,679,793.05 0.84
15.01 - 16 5 381,910.60 0.12
16.01 - 17 2 79,946.14 0.02
- ---------------------------- -------------- ----------------- -----------
Total: 3,351 319,942,776.51 100
- ---------------------------- -------------- ----------------- -----------
Min.6.50
Max: 16.50
Weighted Average: 10.35
- ---------------------------- -------------- ----------------- -----------
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
Adjustable Rate Collateral
NEXT RATE Outstanding Pct.
ADJUSTMENT Principal of
DATE Count Balance Total
- ------------------------------------------ ----------------- -----------
1998-01 42 $4,125,112.99 1.29%
1998-02 75 6,944,568.95 2.17
1998-03 196 19,747,023.07 6.17
1998-04 200 19,228,304.80 6.01
1998-05 78 7,270,905.60 2.27
1998-06 10 799,569.54 0.25
1998-11 5 687,582.29 0.21
1999-01 1 161,060.72 0.05
1999-02 2 323,526.19 0.1
1999-03 1 171,339.45 0.05
1999-04 3 188,678.37 0.06
1999-05 3 324,289.52 0.1
1999-06 21 2,537,460.46 0.79
1999-07 60 4,908,442.32 1.53
1999-08 176 15,658,022.83 4.89
1999-09 711 64,542,378.79 20.17
1999-10 979 93,947,648.16 29.36
1999-11 407 38,181,252.49 11.93
1999-12 3 301,670.00 0.09
2000-03 1 249,541.11 0.08
2000-05 1 69,204.58 0.02
2000-06 1 60,297.09 0.02
2000-07 5 493,653.71 0.15
2000-08 19 1,630,339.53 0.51
2000-09 100 10,596,260.18 3.31
2000-10 165 16,975,604.77 5.31
2000-11 86 9,819,039.00 3.07
- --------------------------------------------------------------------------------
Total: 3,351 319,942,776.51 100
- --------------------------------------------------------------------------------
Min (in months): 2
Max: 36
Weighted Average: 20.78
- --------------------------------------------------------------------------------
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
TO MATURITY
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Class A-1
Avg. Life 2.20 0.39 0.31 0.26 0.22 0.21 0.19 0.16
Start Prin. Jan-98 Jan-98 Jan-98 Jan-98 Jan-98 Jan-98 Jan-98 Jan-98
End Prin. Sep-2002 Aug-98 Jul-98 Jun-98 May-98 May-98 Apr-98 Mar-98
Window (mos) 57 8 7 6 5 5 4 3
Class A-2
Avg. Life 12.83 3.10 2.24 1.75 1.47 1.47 1.47 1.32
Start Prin. Sep-2002 Aug-98 Jul-98 Jun-98 May-98 May-98 May-98 May-98
End Prin. Oct-2012 Apr-2004 Jun-2002 Jun-2001 Oct-2000 Oct-2000 Oct-2000 May-2000
Window (mos) 122 69 48 37 30 30 30 25
Class A-3
Avg. Life 15.17 6.73 4.79 3.68 3.08 3.08 3.08 2.51
Start Prin. Oct-2012 Apr-2004 Jun-2002 Jun-2001 Oct-2000 Oct-2000 Oct-2000 May-2000
End Prin. Mar-2014 Feb-2005 Feb-2003 Nov-2001 May-2001 May-2001 May-2001 Aug-2000
Window (mos) 18 11 9 6 8 8 8 4
Class A-4
Avg. Life 18.84 8.33 5.95 4.57 4.01 4.01 4.01 3.24
Start Prin. Mar-2014 Feb-2005 Feb-2003 Nov-2001 May-2001 May-2001 May-2001 Aug-2000
End Prin. Jun-2019 Jul-2007 Nov-2004 Apr-2003 Oct-2002 Oct-2002 Oct-2002 Dec-2001
Window (mos) 64 30 22 18 18 18 18 17
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
TO MATURITY
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Class A-5
Avg. Life 22.27 10.02 7.20 5.53 5.10 5.10 5.10 4.23
Start Prin. Jun-2019 Jul-2007 Nov-2004 Apr-2003 Oct-2002 Oct-2002 Oct-2002 Dec-2001
End Prin. Dec-2020 Jun-2008 Jul-2005 Oct-2003 Jun-2003 Jun-2003 Jun-2003 Jul-2002
Window (mos) 19 12 9 7 9 9 9 8
Class A-6
Avg. Life 24.71 11.93 8.71 7.37 7.31 7.31 7.31 6.09
Start Prin. Dec-2020 Jun-2008 Jul-2005 Oct-2003 Jun-2003 Jun-2003 Jun-2003 Jul-2002
End Prin. Mar-2024 Jul-2011 Sep-2009 Sep-2009 Sep-2009 Sep-2009 Sep-2009 Nov-2007
Window (mos) 40 38 51 72 76 76 76 65
Class A-7
Avg. Life 12.43 2.60 1.88 1.48 1.25 1.25 1.25 1.15
Start Prin. Sep-2002 Aug-98 Jul-98 Jun-98 May-98 May-98 May-98 May-98
End Prin. Oct-2012 Dec-2002 Jul-2001 Sep-2000 Apr-2000 Apr-2000 Apr-2000 Nov-99
Window (mos) 122 53 37 28 24 24 24 19
Class A-8
Avg. Life 19.11 8.48 6.10 4.86 4.43 4.43 4.43 3.66
Start Prin. Oct-2012 Dec-2002 Jul-2001 Sep-2000 Apr-2000 Apr-2000 Apr-2000 Nov-99
End Prin. Mar-2024 Jul-2011 Sep-2009 Sep-2009 Sep-2009 Sep-2009 Sep-2009 Nov-2007
Window (mos) 138 104 99 109 114 114 114 97
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
TO MATURITY
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Class A-9
Avg. Life 26.59 14.08 10.10 6.78 1.25 0.53 0.36 0.30
Start Prin. Mar-2024 Jul-2011 Aug-2007 Apr-2004 May-98 May-98 Apr-98 Mar-98
End Prin. Nov-2024 Jul-2012 Jul-2008 Apr-2005 Jan-2001 Oct-98 May-98 Apr-98
Window (mos) 9 13 12 13 33 6 2 2
Class A-10
Avg. Life 28.44 16.66 13.90 11.10 7.54 5.86 2.85 0.64
Start Prin. Nov-2024 Jul-2012 Jul-2008 Apr-2005 Jan-2001 Oct-98 May-98 Apr-98
End Prin. Sep-2027 Feb-2024 Mar-2019 Mar-2015 Oct-2012 Sep-2012 Nov-2010 Jan-99
Window (mos) 35 140 129 120 142 168 151 10
Class B
Avg. Life 22.53 10.95 8.31 6.42 5.05 4.72 4.21 3.57
Start Prin. Oct-2012 Dec-2003 Mar-2002 Apr-2001 Jan-2001 Jan-2001 Jan-2001 Jan-2001
End Prin. Sep-2026 Jul-2013 Oct-2012 Sep-2009 Feb-2007 Jun-2006 May-2005 Jul-2003
Window (mos) 168 116 128 102 74 66 53 31
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
TO CALL
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Class A-5
Avg. Life 22.27 10.02 7.20 5.53 5.10 5.10 5.10 4.22
Start Prin. Jun-2019 Jul-2007 Nov-2004 Apr-2003 Oct-2002 Oct-2002 Oct-2002 Dec-2001
End Prin. Dec-2020 Jun-2008 Jul-2005 Oct-2003 Jun-2003 Jun-2003 Jun-2003 May-2002
Window (mos) 19 12 9 7 9 9 9 6
Class A-6
Avg. Life 24.71 11.93 8.71 7.25 6.66 6.41 5.78 4.39
Start Prin. Dec-2020 Jun-2008 Jul-2005 Oct-2003 Jun-2003 Jun-2003 Jun-2003 May-2002
End Prin. Mar-2024 Jul-2011 Sep-2009 Apr-2007 Mar-2005 Sep-2004 Oct-2003 May-2002
Window (mos) 40 38 51 43 22 16 5 1
Class A-8
Avg. Life 19.11 8.48 6.10 4.83 4.27 4.21 4.06 3.24
Start Prin. Oct-2012 Dec-2002 Jul-2001 Sep-2000 Apr-2000 Apr-2000 Apr-2000 Nov-99
End Prin. Mar-2024 Jul-2011 Sep-2009 Apr-2007 Mar-2005 Sep-2004 Oct-2003 May-2002
Window (mos) 138 104 99 80 60 54 43 31
Class A-9
Avg. Life 26.59 14.08 10.10 6.78 1.25 0.53 0.36 0.30
Start Prin. Mar-2024 Jul-2011 Aug-2007 Apr-2004 May-98 May-98 Apr-98 Mar-98
End Prin. Nov-2024 Jul-2012 Jul-2008 Apr-2005 Jan-2001 Oct-98 May-98 Apr-98
Window (mos) 9 13 12 13 33 6 2 2
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
TO CALL
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Class A-10
Avg. Life 27.57 14.81 11.82 8.97 6.03 4.69 2.36 0.64
Start Prin. Nov-2024 Jul-2012 Jul-2008 Apr-2005 Jan-2001 Oct-98 May-98 Apr-98
End Prin. Aug-2025 Oct-2012 Dec-2009 Apr-2007 Mar-2005 Sep-2004 Oct-2003 Jan-99
Window (mos) 10 4 18 25 51 72 66 10
Class B
Avg. Life 22.45 10.94 8.13 6.27 4.93 4.61 4.12 3.50
Start Prin. Oct-2012 Dec-2003 Mar-2002 Apr-2001 Jan-2001 Jan-2001 Jan-2001 Jan-2001
End Prin. Aug-2025 Oct-2012 Dec-2009 Apr-2007 Mar-2005 Sep-2004 Oct-2003 May-2002
Window (mos) 155 107 94 73 51 45 34 17
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
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 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Dec-1997 100% 100% 100% 100% 100% 100% 100% 100%
Dec-1998 67% 0% 0% 0% 0% 0% 0% 0%
Dec-1999 51% 0% 0% 0% 0% 0% 0% 0%
Dec-2000 34% 0% 0% 0% 0% 0% 0% 0%
Dec-2001 15% 0% 0% 0% 0% 0% 0% 0%
Dec-2002 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2003 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2004 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2005 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2006 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2007 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2008 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2009 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2010 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2011 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2012 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2013 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2014 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2015 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2016 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2017 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2018 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2019 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2020 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2021 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2022 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2023 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2024 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2025 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2026 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2027 0% 0% 0% 0% 0% 0% 0% 0%
WAL Years 2.20 0.39 0.31 0.26 0.22 0.21 0.19 0.16
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
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 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Dec-97 100% 100% 100% 100% 100% 100% 100% 100%
Dec-98 100% 90% 82% 74% 67% 67% 67% 67%
Dec-99 100% 68% 53% 38% 26% 26% 26% 13%
Dec-2000 100% 49% 28% 10% 0% 0% 0% 0%
Dec-2001 100% 31% 8% 0% 0% 0% 0% 0%
Dec-2002 99% 16% 0% 0% 0% 0% 0% 0%
Dec-2003 96% 3% 0% 0% 0% 0% 0% 0%
Dec-2004 93% 0% 0% 0% 0% 0% 0% 0%
Dec-2005 89% 0% 0% 0% 0% 0% 0% 0%
Dec-2006 85% 0% 0% 0% 0% 0% 0% 0%
Dec-2007 81% 0% 0% 0% 0% 0% 0% 0%
Dec-2008 76% 0% 0% 0% 0% 0% 0% 0%
Dec-2009 71% 0% 0% 0% 0% 0% 0% 0%
Dec-2010 65% 0% 0% 0% 0% 0% 0% 0%
Dec-2011 59% 0% 0% 0% 0% 0% 0% 0%
Dec-2012 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2013 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2014 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2015 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2016 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2017 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2018 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2019 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2020 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2021 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2022 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2023 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2024 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2025 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2026 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2027 0% 0% 0% 0% 0% 0% 0% 0%
WAL Years 12.83 3.10 2.24 1.75 1.47 1.47 1.47 1.32
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
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 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Dec-97 100% 100% 100% 100% 100% 100% 100% 100%
Dec-98 100% 100% 100% 100% 100% 100% 100% 100%
Dec-99 100% 100% 100% 100% 100% 100% 100% 100%
Dec-2000 100% 100% 100% 100% 46% 46% 46% 0%
Dec-2001 100% 100% 100% 0% 0% 0% 0% 0%
Dec-2002 100% 100% 14% 0% 0% 0% 0% 0%
Dec-2003 100% 100% 0% 0% 0% 0% 0% 0%
Dec-2004 100% 18% 0% 0% 0% 0% 0% 0%
Dec-2005 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2006 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2007 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2008 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2009 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2010 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2011 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2012 42% 0% 0% 0% 0% 0% 0% 0%
Dec-2013 8% 0% 0% 0% 0% 0% 0% 0%
Dec-2014 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2015 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2016 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2017 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2018 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2019 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2020 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2021 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2022 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2023 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2024 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2025 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2026 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2027 0% 0% 0% 0% 0% 0% 0% 0%
WAL Years 15.17 6.73 4.79 3.68 3.08 3.08 3.08 2.51
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
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 130% PPC 140% PPC 160% PPC 00% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Dec-97 100% 100% 100% 100% 100% 100% 100% 100%
Dec-98 100% 100% 100% 100% 100% 100% 100% 100%
Dec-99 100% 100% 100% 100% 100% 100% 100% 100%
Dec-2000 100% 100% 100% 100% 100% 100% 100% 54%
Dec-2001 100% 100% 100% 93% 47% 47% 47% 0%
Dec-2002 100% 100% 100% 17% 0% 0% 0% 0%
Dec-2003 100% 100% 45% 0% 0% 0% 0% 0%
Dec-2004 100% 100% 0% 0% 0% 0% 0% 0%
Dec-2005 100% 62% 0% 0% 0% 0% 0% 0%
Dec-2006 100% 21% 0% 0% 0% 0% 0% 0%
Dec-2007 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2008 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2009 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2010 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2011 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2012 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2013 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2014 87% 0% 0% 0% 0% 0% 0% 0%
Dec-2015 68% 0% 0% 0% 0% 0% 0% 0%
Dec-2016 46% 0% 0% 0% 0% 0% 0% 0%
Dec-2017 24% 0% 0% 0% 0% 0% 0% 0%
Dec-2018 8% 0% 0% 0% 0% 0% 0% 0%
Dec-2019 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2020 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2021 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2022 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2023 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2024 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2025 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2026 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2027 0% 0% 0% 0% 0% 0% 0% 0%
WAL Years 18.84 8.33 5.95 4.57 4.01 4.01 4.01 3.24
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
Decrement Tables: Class A-5
TO MATURITY
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 0% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 5% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Dec-97 100% 100% 100% 100% 100% 100% 100% 100%
Dec-98 100% 100% 100% 100% 100% 100% 100% 100%
Dec-99 100% 100% 100% 100% 100% 100% 100% 100%
Dec-2000 100% 100% 100% 100% 100% 100% 100% 100%
Dec-2001 100% 100% 100% 100% 100% 100% 100% 91%
Dec-2002 100% 100% 100% 100% 61% 61% 61% 0%
Dec-2003 100% 100% 100% 0% 0% 0% 0% 0%
Dec-2004 100% 100% 78% 0% 0% 0% 0% 0%
Dec-2005 100% 100% 0% 0% 0% 0% 0% 0%
Dec-2006 100% 100% 0% 0% 0% 0% 0% 0%
Dec-2007 100% 50% 0% 0% 0% 0% 0% 0%
Dec-2008 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2009 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2010 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2011 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2012 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2013 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2014 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2015 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2016 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2017 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2018 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2019 67% 0% 0% 0% 0% 0% 0% 0%
Dec-2020 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2021 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2022 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2023 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2024 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2025 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2026 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2027 0% 0% 0% 0% 0% 0% 0% 0%
WAL Years 22.27 10.02 7.20 5.53 5.10 5.10 5.10 4.23
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
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 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Dec-97 100% 100% 100% 100% 100% 100% 100% 100%
Dec-98 100% 100% 100% 100% 100% 100% 100% 100%
Dec-99 100% 100% 100% 100% 100% 100% 100% 100%
Dec-2000 100% 100% 100% 100% 100% 100% 100% 100%
Dec-2001 100% 100% 100% 100% 100% 100% 100% 100%
Dec-2002 100% 100% 100% 100% 100% 100% 100% 76%
Dec-2003 100% 100% 100% 84% 77% 77% 77% 43%
Dec-2004 100% 100% 100% 48% 48% 48% 48% 22%
Dec-2005 100% 100% 75% 28% 28% 28% 28% 10%
Dec-2006 100% 100% 32% 15% 15% 15% 15% 3%
Dec-2007 100% 100% 7% 7% 7% 7% 7% 0%
Dec-2008 100% 79% 2% 2% 2% 2% 2% 0%
Dec-2009 100% 46% 0% 0% 0% 0% 0% 0%
Dec-2010 100% 16% 0% 0% 0% 0% 0% 0%
Dec-2011 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2012 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2013 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2014 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2015 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2016 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2017 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2018 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2019 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2020 99% 0% 0% 0% 0% 0% 0% 0%
Dec-2021 72% 0% 0% 0% 0% 0% 0% 0%
Dec-2022 42% 0% 0% 0% 0% 0% 0% 0%
Dec-2023 8% 0% 0% 0% 0% 0% 0% 0%
Dec-2024 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2025 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2026 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2027 0% 0% 0% 0% 0% 0% 0% 0%
WAL Years 24.71 11.93 8.71 7.37 7.31 7.31 7.31 6.09
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
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 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Dec-97 100% 100% 100% 100% 100% 100% 100% 100%
Dec-98 100% 88% 78% 69% 61% 61% 61% 61%
Dec-99 100% 61% 43% 25% 10% 10% 10% 0%
Dec-2000 100% 38% 13% 0% 0% 0% 0% 0%
Dec-2001 100% 18% 0% 0% 0% 0% 0% 0%
Dec-2002 99% 0% 0% 0% 0% 0% 0% 0%
Dec-2003 95% 0% 0% 0% 0% 0% 0% 0%
Dec-2004 92% 0% 0% 0% 0% 0% 0% 0%
Dec-2005 87% 0% 0% 0% 0% 0% 0% 0%
Dec-2006 82% 0% 0% 0% 0% 0% 0% 0%
Dec-2007 77% 0% 0% 0% 0% 0% 0% 0%
Dec-2008 71% 0% 0% 0% 0% 0% 0% 0%
Dec-2009 65% 0% 0% 0% 0% 0% 0% 0%
Dec-2010 58% 0% 0% 0% 0% 0% 0% 0%
Dec-2011 51% 0% 0% 0% 0% 0% 0% 0%
Dec-2012 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2013 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2014 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2015 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2016 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2017 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2018 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2019 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2020 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2021 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2022 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2023 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2024 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2025 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2026 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2027 0% 0% 0% 0% 0% 0% 0% 0%
WAL Years 12.43 2.60 1.88 1.48 1.25 1.25 1.25 1.15
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
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 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Dec-97 100% 100% 100% 100% 100% 100% 100% 100%
Dec-98 100% 100% 100% 100% 100% 100% 100% 100%
Dec-99 100% 100% 100% 100% 100% 100% 100% 94%
Dec-2000 100% 100% 100% 90% 69% 69% 69% 49%
Dec-2001 100% 100% 87% 60% 47% 47% 47% 32%
Dec-2002 100% 99% 64% 38% 30% 30% 30% 19%
Dec-2003 100% 80% 46% 21% 19% 19% 19% 10%
Dec-2004 100% 65% 31% 12% 12% 12% 12% 5%
Dec-2005 100% 51% 18% 7% 7% 7% 7% 3%
Dec-2006 100% 39% 8% 4% 4% 4% 4% 1%
Dec-2007 100% 29% 2% 2% 2% 2% 2% 0%
Dec-2008 100% 19% 1% 1% 1% 1% 1% 0%
Dec-2009 100% 11% 0% 0% 0% 0% 0% 0%
Dec-2010 100% 4% 0% 0% 0% 0% 0% 0%
Dec-2011 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2012 68% 0% 0% 0% 0% 0% 0% 0%
Dec-2013 64% 0% 0% 0% 0% 0% 0% 0%
Dec-2014 59% 0% 0% 0% 0% 0% 0% 0%
Dec-2015 53% 0% 0% 0% 0% 0% 0% 0%
Dec-2016 47% 0% 0% 0% 0% 0% 0% 0%
Dec-2017 40% 0% 0% 0% 0% 0% 0% 0%
Dec-2018 35% 0% 0% 0% 0% 0% 0% 0%
Dec-2019 30% 0% 0% 0% 0% 0% 0% 0%
Dec-2020 24% 0% 0% 0% 0% 0% 0% 0%
Dec-2021 18% 0% 0% 0% 0% 0% 0% 0%
Dec-2022 10% 0% 0% 0% 0% 0% 0% 0%
Dec-2023 2% 0% 0% 0% 0% 0% 0% 0%
Dec-2024 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2025 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2026 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2027 0% 0% 0% 0% 0% 0% 0% 0%
WAL Years 19.11 8.48 6.10 4.86 4.43 4.43 4.43 3.66
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
Decrement Tables: Class A-9
TO MATURITY
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Dec-97 100% 100% 100% 100% 100% 100% 100% 100%
Dec-98 100% 100% 100% 100% 50% 0% 0% 0%
Dec-99 100% 100% 100% 100% 18% 0% 0% 0%
Dec-2000 100% 100% 100% 100% 8% 0% 0% 0%
Dec-2001 100% 100% 100% 100% 0% 0% 0% 0%
Dec-2002 100% 100% 100% 100% 0% 0% 0% 0%
Dec-2003 100% 100% 100% 100% 0% 0% 0% 0%
Dec-2004 100% 100% 100% 25% 0% 0% 0% 0%
Dec-2005 100% 100% 100% 0% 0% 0% 0% 0%
Dec-2006 100% 100% 100% 0% 0% 0% 0% 0%
Dec-2007 100% 100% 58% 0% 0% 0% 0% 0%
Dec-2008 100% 100% 0% 0% 0% 0% 0% 0%
Dec-2009 100% 100% 0% 0% 0% 0% 0% 0%
Dec-2010 100% 100% 0% 0% 0% 0% 0% 0%
Dec-2011 100% 56% 0% 0% 0% 0% 0% 0%
Dec-2012 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2013 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2014 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2015 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2016 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2017 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2018 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2019 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2020 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2021 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2022 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2023 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2024 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2025 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2026 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2027 0% 0% 0% 0% 0% 0% 0% 0%
WAL Years 26.59 14.08 10.10 6.78 1.25 0.53 0.36 0.30
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
Decrement Tables: Class A-10
TO MATURITY
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Dec-97 100% 100% 100% 100% 100% 100% 100% 100%
Dec-98 100% 100% 100% 100% 100% 95% 68% 3%
Dec-99 100% 100% 100% 100% 100% 81% 37% 0%
Dec-2000 100% 100% 100% 100% 100% 76% 29% 0%
Dec-2001 100% 100% 100% 100% 85% 63% 24% 0%
Dec-2002 100% 100% 100% 100% 73% 53% 19% 0%
Dec-2003 100% 100% 100% 100% 60% 43% 15% 0%
Dec-2004 100% 100% 100% 100% 49% 35% 12% 0%
Dec-2005 100% 100% 100% 87% 39% 28% 10% 0%
Dec-2006 100% 100% 100% 72% 31% 22% 7% 0%
Dec-2007 100% 100% 100% 58% 24% 16% 5% 0%
Dec-2008 100% 100% 93% 47% 18% 12% 3% 0%
Dec-2009 100% 100% 77% 37% 13% 8% 2% 0%
Dec-2010 100% 100% 62% 27% 8% 4% 0% 0%
Dec-2011 100% 100% 50% 19% 4% 1% 0% 0%
Dec-2012 100% 45% 17% 4% 0% 0% 0% 0%
Dec-2013 100% 37% 12% 2% 0% 0% 0% 0%
Dec-2014 100% 30% 9% 0% 0% 0% 0% 0%
Dec-2015 100% 24% 6% 0% 0% 0% 0% 0%
Dec-2016 100% 19% 3% 0% 0% 0% 0% 0%
Dec-2017 100% 14% 1% 0% 0% 0% 0% 0%
Dec-2018 100% 11% 0% 0% 0% 0% 0% 0%
Dec-2019 100% 8% 0% 0% 0% 0% 0% 0%
Dec-2020 100% 6% 0% 0% 0% 0% 0% 0%
Dec-2021 100% 4% 0% 0% 0% 0% 0% 0%
Dec-2022 100% 2% 0% 0% 0% 0% 0% 0%
Dec-2023 100% 0% 0% 0% 0% 0% 0% 0%
Dec-2024 97% 0% 0% 0% 0% 0% 0% 0%
Dec-2025 66% 0% 0% 0% 0% 0% 0% 0%
Dec-2026 30% 0% 0% 0% 0% 0% 0% 0%
Dec-2027 0% 0% 0% 0% 0% 0% 0% 0%
WAL Years 28.44 16.66 13.90 11.10 7.54 5.86 2.85 0.64
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Computational Materials
Decrement Tables: Class B
TO MATURITY
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FRM 0% PPC 50% PPC 75% PPC 100% PPC 130% PPC 140% PPC 160% PPC 200% PPC
ARM 0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 32% CPR 36% CPR 48% CPR
Dec-97 100% 100% 100% 100% 100% 100% 100% 100%
Dec-98 100% 100% 100% 100% 100% 100% 100% 100%
Dec-99 100% 100% 100% 100% 100% 100% 100% 100%
Dec-2000 100% 100% 100% 100% 100% 100% 100% 100%
Dec-2001 100% 100% 100% 83% 63% 56% 45% 21%
Dec-2002 100% 100% 87% 65% 45% 39% 26% 6%
Dec-2003 100% 100% 71% 50% 29% 22% 12% 0%
Dec-2004 100% 87% 59% 38% 16% 11% 2% 0%
Dec-2005 100% 76% 48% 26% 7% 3% 0% 0%
Dec-2006 100% 66% 39% 16% 1% 0% 0% 0%
Dec-2007 100% 57% 29% 9% 0% 0% 0% 0%
Dec-2008 100% 49% 21% 3% 0% 0% 0% 0%
Dec-2009 100% 42% 14% 0% 0% 0% 0% 0%
Dec-2010 100% 34% 8% 0% 0% 0% 0% 0%
Dec-2011 100% 27% 3% 0% 0% 0% 0% 0%
Dec-2012 90% 2% 0% 0% 0% 0% 0% 0%
Dec-2013 86% 0% 0% 0% 0% 0% 0% 0%
Dec-2014 82% 0% 0% 0% 0% 0% 0% 0%
Dec-2015 77% 0% 0% 0% 0% 0% 0% 0%
Dec-2016 72% 0% 0% 0% 0% 0% 0% 0%
Dec-2017 66% 0% 0% 0% 0% 0% 0% 0%
Dec-2018 62% 0% 0% 0% 0% 0% 0% 0%
Dec-2019 58% 0% 0% 0% 0% 0% 0% 0%
Dec-2020 53% 0% 0% 0% 0% 0% 0% 0%
Dec-2021 48% 0% 0% 0% 0% 0% 0% 0%
Dec-2022 41% 0% 0% 0% 0% 0% 0% 0%
Dec-2023 32% 0% 0% 0% 0% 0% 0% 0%
Dec-2024 22% 0% 0% 0% 0% 0% 0% 0%
Dec-2025 10% 0% 0% 0% 0% 0% 0% 0%
Dec-2026 0% 0% 0% 0% 0% 0% 0% 0%
Dec-2027 0% 0% 0% 0% 0% 0% 0% 0%
WAL Years 22.53 10.95 8.31 6.42 5.05 4.72 4.21 3.57
</TABLE>
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
AVAILABLE FUNDS CAP
Available
PERIOD DATE FUNDS CAP EXCESS
------ ---- --------- ------
1 01/15/98 7.465% 1.624%
2 02/15/98 7.453% 1.609%
3 03/15/98 7.424% 1.573%
4 04/15/98 7.402% 1.544%
5 05/15/98 7.375% 1.509%
6 06/15/98 7.333% 1.463%
7 07/15/98 9.198% 3.325%
8 08/15/98 9.187% 3.309%
9 09/15/98 9.177% 3.293%
10 10/15/98 9.176% 3.285%
11 11/15/98 9.172% 3.274%
12 12/15/98 9.159% 3.253%
13 01/15/99 9.139% 3.228%
14 02/15/99 9.119% 3.202%
15 03/15/99 9.097% 3.175%
16 04/15/99 9.082% 3.154%
17 05/15/99 9.064% 3.131%
18 06/15/99 9.043% 3.103%
19 07/15/99 9.943% 4.015%
20 08/15/99 9.944% 4.010%
21 09/15/99 9.944% 4.005%
22 10/15/99 9.944% 3.999%
23 11/15/99 10.240% 4.289%
24 12/15/99 10.240% 4.282%
25 01/15/2000 10.239% 4.276%
26 02/15/2000 10.239% 4.269%
27 03/15/2000 10.238% 4.262%
28 04/15/2000 10.238% 4.254%
29 05/15/2000 10.237% 4.247%
30 06/15/2000 10.237% 4.240%
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
AVAILABLE FUNDS CAP
Available
PERIOD DATE FUNDS CAP EXCESS
------ ---- --------- ------
31 07/15/2000 10.236% 4.232%
32 08/15/2000 10.236% 4.224%
33 09/15/2000 10.236% 4.216%
34 10/15/2000 10.235% 4.208%
35 11/15/2000 10.286% 4.252%
36 12/15/2000 10.285% 4.247%
37 01/15/2001 10.285% 4.242%
38 02/15/2001 10.283% 4.250%
39 03/15/2001 10.283% 4.244%
40 04/15/2001 10.282% 4.241%
41 05/15/2001 10.281% 4.238%
42 06/15/2001 10.280% 4.237%
43 07/15/2001 10.280% 4.237%
44 08/15/2001 10.279% 4.237%
45 09/15/2001 10.278% 4.237%
46 10/15/2001 10.278% 4.236%
47 11/15/2001 10.277% 4.236%
48 12/15/2001 10.276% 4.236%
49 01/15/2002 10.275% 4.235%
50 02/15/2002 10.275% 4.235%
51 03/15/2002 10.274% 4.234%
52 04/15/2002 10.273% 4.233%
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
AVAILABLE FUNDS CAP
Available
PERIOD DATE FUNDS CAP EXCESS
------ ---- --------- ------
53 05/15/2002 10.273% 4.233%
54 06/15/2002 10.272% 4.232%
55 07/15/2002 10.271% 4.231%
56 08/15/2002 10.271% 4.230%
57 09/15/2002 10.270% 4.229%
58 10/15/2002 10.269% 4.228%
59 11/15/2002 10.269% 4.227%
60 12/15/2002 10.268% 4.227%
61 01/15/2003 10.267% 4.226%
62 02/15/2003 10.267% 4.225%
63 03/15/2003 10.266% 4.224%
64 04/15/2003 10.265% 4.223%
65 05/15/2003 10.265% 4.223%
66 06/15/2003 10.264% 4.223%
67 07/15/2003 10.263% 4.225%
68 08/15/2003 10.262% 4.227%
69 09/15/2003 10.262% 4.230%
70 10/15/2003 10.261% 4.232%
71 11/15/2003 10.260% 4.234%
72 12/15/2003 10.259% 4.236%
73 01/15/2004 10.259% 4.239%
74 02/15/2004 10.258% 4.241%
75 03/15/2004 10.257% 4.243%
76 04/15/2004 10.257% 4.246%
77 05/15/2004 10.256% 4.248%
78 06/15/2004 10.255% 4.250%
79 07/15/2004 10.254% 4.253%
80 08/15/2004 10.254% 4.255%
81 09/15/2004 10.253% 4.257%
82 10/15/2004 10.252% 4.260%
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
AVAILABLE FUNDS CAP
Available
PERIOD DATE FUNDS CAP EXCESS
------ ---- --------- ------
83 11/15/2004 10.251% 4.264%
84 12/15/2004 10.251% 4.267%
85 01/15/2005 10.250% 4.270%
86 02/15/2005 10.249% 4.273%
87 03/15/2005 10.248% 4.277%
88 04/15/2005 10.248% 4.264%
89 05/15/2005 10.247% 4.267%
90 06/15/2005 10.246% 4.271%
91 07/15/2005 10.245% 4.275%
92 08/15/2005 10.244% 4.279%
93 09/15/2005 10.244% 4.283%
94 10/15/2005 10.243% 4.287%
95 11/15/2005 10.242% 4.291%
96 12/15/2005 10.241% 4.295%
97 01/15/2006 10.240% 4.299%
98 02/15/2006 10.240% 4.303%
99 03/15/2006 10.239% 4.307%
100 04/15/2006 10.238% 4.312%
101 05/15/2006 10.237% 4.316%
102 06/15/2006 10.236% 4.321%
103 07/15/2006 10.235% 4.325%
104 08/15/2006 10.234% 4.330%
105 09/15/2006 10.234% 4.335%
106 10/15/2006 10.233% 4.340%
107 11/15/2006 10.232% 4.345%
108 12/15/2006 10.231% 4.350%
109 01/15/2007 10.230% 4.356%
110 02/15/2007 10.229% 4.361%
111 03/15/2007 10.228% 4.365%
112 04/15/2007 10.227% 4.368%
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
AVAILABLE FUNDS CAP
Available
PERIOD DATE FUNDS CAP EXCESS
------ ---- --------- ------
113 05/15/2007 10.226% 4.370%
114 06/15/2007 10.226% 4.372%
115 07/15/2007 10.225% 4.374%
116 08/15/2007 10.224% 4.376%
117 09/15/2007 10.223% 4.379%
118 10/15/2007 10.222% 4.381%
119 11/15/2007 10.221% 4.383%
120 12/15/2007 10.220% 4.385%
121 01/15/2008 10.219% 4.388%
122 02/15/2008 10.219% 4.390%
123 03/15/2008 10.218% 4.393%
124 04/15/2008 10.217% 4.395%
125 05/15/2008 10.216% 4.398%
126 06/15/2008 10.215% 4.400%
127 07/15/2008 10.213% 4.403%
128 08/15/2008 10.212% 4.406%
129 09/15/2008 10.211% 4.408%
130 10/15/2008 10.210% 4.411%
131 11/15/2008 10.209% 4.414%
132 12/15/2008 10.208% 4.417%
133 01/15/2009 10.207% 4.420%
134 02/15/2009 10.205% 4.423%
135 03/15/2009 10.204% 4.427%
136 04/15/2009 10.203% 4.430%
137 05/15/2009 10.201% 4.433%
138 06/15/2009 10.200% 4.437%
139 07/15/2009 10.198% 4.440%
140 08/15/2009 10.197% 4.444%
141 09/15/2009 10.195% 4.448%
142 10/15/2009 10.193% 4.451%
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-5
Computational Materials
AVAILABLE FUNDS CAP
Available
PERIOD DATE FUNDS CAP EXCESS
------ ---- --------- ------
143 11/15/2009 10.192% 4.449%
144 12/15/2009 10.190% 4.448%
145 01/15/2010 10.188% 4.446%
146 02/15/2010 10.186% 4.444%
147 03/15/2010 10.184% 4.442%
148 04/15/2010 10.182% 4.439%
149 05/15/2010 10.179% 4.437%
150 06/15/2010 10.177% 4.435%
151 07/15/2010 10.174% 4.432%
152 08/15/2010 10.172% 4.429%
153 09/15/2010 10.169% 4.427%
154 10/15/2010 10.166% 4.424%
155 11/15/2010 10.163% 4.421%
156 12/15/2010 10.159% 4.417%
157 01/15/2011 10.156% 4.414%
158 02/15/2011 10.152% 4.410%
159 03/15/2011 10.148% 4.406%
160 04/15/2011 10.144% 4.401%
161 05/15/2011 10.139% 4.397%
162 06/15/2011 10.134% 4.392%
163 07/15/2011 10.129% 4.387%
164 08/15/2011 10.123% 4.381%
165 09/15/2011 10.117% 4.374%
166 10/15/2011 10.110% 4.368%
167 11/15/2011 10.103% 4.360%
168 12/15/2011 10.094% 4.352%
169 01/15/2012 10.086% 4.343%
170 02/15/2012 10.076% 4.334%
171 03/15/2012 10.065% 4.323%
172 04/15/2012 10.053% 4.311%
173 05/15/2012 10.039% 4.297%
174 06/15/2012 10.024% 4.282%
175 07/15/2012 10.007% 4.265%
176 08/15/2012 9.988% 4.245%
177 09/15/2012 9.965% 4.223%
178 10/15/2012 9.939% 4.197%
<PAGE>
Computational Materials
AVAILABLE FUNDS CAP
Available
PERIOD DATE FUNDS CAP EXCESS
------ ---- --------- ------
179 11/15/2012 10.252% 10.752%
180 12/15/2012 10.252% 10.752%
181 01/15/2013 10.251% 10.751%
182 02/15/2013 10.251% 10.751%
183 03/15/2013 10.250% 10.750%
184 04/15/2013 10.250% 10.750%
185 05/15/2013 10.249% 10.749%
186 06/15/2013 10.249% 10.749%
187 07/15/2013 10.249% 10.749%
188 08/15/2013 10.248% 10.748%
189 09/15/2013 10.248% 10.748%
190 10/15/2013 10.248% 10.748%
191 11/15/2013 10.247% 10.747%
192 12/15/2013 10.247% 10.747%
193 01/15/2014 10.247% 10.747%
194 02/15/2014 10.246% 10.746%
195 03/15/2014 10.246% 10.746%
196 04/15/2014 10.246% 10.746%
197 05/15/2014 10.246% 10.746%
198 06/15/2014 10.246% 10.746%
199 07/15/2014 10.246% 10.746%
200 08/15/2014 10.245% 10.745%
201 09/15/2014 10.245% 10.745%
202 10/15/2014 10.245% 10.745%
203 11/15/2014 10.245% 10.745%
204 12/15/2014 10.245% 10.745%
<PAGE>
Computational Materials
AVAILABLE FUNDS CAP
Available
PERIOD DATE FUNDS CAP EXCESS
------ ---- --------- ------
205 01/15/2015 10.245% 10.745%
206 02/15/2015 10.245% 10.745%
207 03/15/2015 10.245% 10.745%
208 04/15/2015 10.245% 10.745%
209 05/15/2015 10.246% 10.746%
210 06/15/2015 10.246% 10.746%
211 07/15/2015 10.246% 10.746%
212 08/15/2015 10.246% 10.746%
213 09/15/2015 10.246% 10.746%
214 10/15/2015 10.247% 10.747%
215 11/15/2015 10.247% 10.747%
216 12/15/2015 10.247% 10.747%
217 01/15/2016 10.248% 10.748%
218 02/15/2016 10.248% 10.748%
219 03/15/2016 10.249% 10.749%
220 04/15/2016 10.249% 10.749%
221 05/15/2016 10.250% 10.750%
222 06/15/2016 10.250% 10.750%
223 07/15/2016 10.251% 10.751%
224 08/15/2016 10.252% 10.752%
225 09/15/2016 10.253% 10.753%
226 10/15/2016 10.253% 10.753%
227 11/15/2016 10.254% 10.754%
228 12/15/2016 10.255% 10.755%
229 01/15/2017 10.256% 10.756%
230 02/15/2017 10.257% 10.757%
231 03/15/2017 10.258% 10.758%
<PAGE>
Computational Materials
AVAILABLE FUNDS CAP
Available
PERIOD DATE FUNDS CAP EXCESS
------ ---- --------- ------
232 04/15/2017 10.259% 10.759%
233 05/15/2017 10.261% 10.761%
234 06/15/2017 10.262% 10.762%
235 07/15/2017 10.263% 10.763%
236 08/15/2017 10.265% 10.765%
237 09/15/2017 10.266% 10.766%
238 10/15/2017 10.268% 10.768%
239 11/15/2017 10.270% 10.770%
240 12/15/2017 10.268% 10.768%
241 01/15/2018 10.267% 10.767%
242 02/15/2018 10.266% 10.766%
243 03/15/2018 10.264% 10.764%
244 04/15/2018 10.263% 10.763%
245 05/15/2018 10.262% 10.762%
246 06/15/2018 10.260% 10.760%
247 07/15/2018 10.259% 10.759%
248 08/15/2018 10.258% 10.758%
249 09/15/2018 10.257% 10.757%
250 10/15/2018 10.255% 10.755%
251 11/15/2018 10.254% 10.754%
252 12/15/2018 10.253% 10.753%
253 01/15/2019 10.252% 10.752%
254 02/15/2019 10.250% 10.750%
255 03/15/2019 10.249% 10.749%
256 04/15/2019 10.248% 10.748%
257 05/15/2019 10.247% 10.747%
<PAGE>
Computational Materials
AVAILABLE FUNDS CAP
Available
PERIOD DATE FUNDS CAP EXCESS
------ ---- --------- ------
258 06/15/2019 10.245% 10.745%
259 07/15/2019 10.244% 10.744%
260 08/15/2019 10.243% 10.743%
261 09/15/2019 10.242% 10.742%
262 10/15/2019 10.240% 10.740%
263 11/15/2019 10.239% 10.739%
264 12/15/2019 10.238% 10.738%
265 01/15/2020 10.237% 10.737%
266 02/15/2020 10.236% 10.736%
267 03/15/2020 10.234% 10.734%
268 04/15/2020 10.233% 10.733%
269 05/15/2020 10.232% 10.732%
270 06/15/2020 10.231% 10.731%
271 07/15/2020 10.230% 10.730%
272 08/15/2020 10.229% 10.729%
273 09/15/2020 10.228% 10.728%
274 10/15/2020 10.226% 10.726%
275 11/15/2020 10.225% 10.725%
276 12/15/2020 10.224% 10.724%
277 01/15/2021 10.223% 10.723%
278 02/15/2021 10.222% 10.722%
279 03/15/2021 10.221% 10.721%
<PAGE>
Computational Materials
AVAILABLE FUNDS CAP
Available
PERIOD DATE FUNDS CAP EXCESS
------ ---- --------- ------
280 04/15/2021 10.220% 10.720%
281 05/15/2021 10.219% 10.719%
282 06/15/2021 10.217% 10.717%
283 07/15/2021 10.216% 10.716%
284 08/15/2021 10.215% 10.715%
285 09/15/2021 10.214% 10.714%
286 10/15/2021 10.213% 10.713%
287 11/15/2021 10.212% 10.712%
288 12/15/2021 10.211% 10.711%
289 01/15/2022 10.210% 10.710%
290 02/15/2022 10.209% 10.709%
291 03/15/2022 10.208% 10.708%
292 04/15/2022 10.207% 10.707%
293 05/15/2022 10.206% 10.706%
294 06/15/2022 10.205% 10.705%
295 07/15/2022 10.204% 10.704%
296 08/15/2022 10.203% 10.703%
297 09/15/2022 10.202% 10.702%
298 10/15/2022 10.201% 10.701%
<PAGE>
Computational Materials
AVAILABLE FUNDS CAP
Available
PERIOD DATE FUNDS CAP EXCESS
------ ---- --------- ------
299 11/15/2022 10.200% 10.700%
300 12/15/2022 10.199% 10.699%
301 01/15/2023 10.198% 10.698%
302 02/15/2023 10.197% 10.697%
303 03/15/2023 10.195% 10.695%
304 04/15/2023 10.194% 10.694%
305 05/15/2023 10.193% 10.693%
306 06/15/2023 10.192% 10.692%
307 07/15/2023 10.190% 10.690%
308 08/15/2023 10.189% 10.689%
309 09/15/2023 10.188% 10.688%
310 10/15/2023 10.186% 10.686%
311 11/15/2023 10.185% 10.685%
312 12/15/2023 10.184% 10.684%
313 01/15/2024 10.183% 10.683%
314 02/15/2024 10.181% 10.681%
315 03/15/2024 10.180% 10.680%
316 04/15/2024 10.179% 10.679%
317 05/15/2024 10.178% 10.678%
318 06/15/2024 10.176% 10.676%
319 07/15/2024 10.175% 10.675%
320 08/15/2024 10.174% 10.674%
321 09/15/2024 10.173% 10.673%
322 10/15/2024 10.171% 10.671%
323 11/15/2024 10.170% 10.670%
324 12/15/2024 10.169% 10.669%
<PAGE>
Computational Materials
AVAILABLE FUNDS CAP
Available
PERIOD DATE FUNDS CAP EXCESS
------ ---- --------- ------
325 01/15/2025 10.167% 10.667%
326 02/15/2025 10.166% 10.666%
327 03/15/2025 10.165% 10.665%
328 04/15/2025 10.164% 10.664%
329 05/15/2025 10.162% 10.662%
330 06/15/2025 10.161% 10.661%
331 07/15/2025 10.160% 10.660%
332 08/15/2025 10.159% 10.659%
333 09/15/2025 10.157% 10.657%
334 10/15/2025 10.156% 10.656%
335 11/15/2025 10.155% 10.655%
336 12/15/2025 10.153% 10.653%
337 01/15/2026 10.152% 10.652%
338 02/15/2026 10.151% 10.651%
339 03/15/2026 10.149% 10.649%
340 04/15/2026 10.148% 10.648%
341 05/15/2026 10.146% 10.646%
342 06/15/2026 10.145% 10.645%
343 07/15/2026 10.143% 10.643%
344 08/15/2026 10.142% 10.642%
345 09/15/2026 10.140% 10.640%
346 10/15/2026 10.139% 10.639%
347 11/15/2026 10.137% 10.637%
348 12/15/2026 10.135% 10.635%
349 01/15/2027 10.133% 10.633%
350 02/15/2027 10.131% 10.631%
351 03/15/2027 10.129% 10.629%
352 04/15/2027 10.126% 10.626%
353 05/15/2027 10.123% 10.623%
354 06/15/2027 10.118% 10.618%
355 07/15/2027 10.113% 10.613%
356 08/15/2027 10.104% 10.604%
357 09/15/2027 10.090% 10.590%
358 10/15/2027 10.076% 10.576%
359 11/15/2027 0.000% 0.000%
360 12/15/2027 0.000% 0.000%
