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)
June 4, 1997
ContiSecurities Asset Funding Corp.
------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-19427 13-2937238
- ----------------------------- -------------- -------------------
(State or Other Jurisdiction) (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
277 Park Avenue
New York, New York 10172
- -------------------------------------------- --------------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 207-2800
--------------
No Change
-------------------------------------------------------------
(Former name or former address, if changed since last report)
<PAGE>
Item 5. Other Events.
In connection with the offering of ContiMortgage Home Equity Loan
Pass-Through Certificates, Series 1997-3, certain "Computational Materials"
within the meaning of the May 20, 1994 Kidder, Peabody No-Action Letter and the
February 17, 1995 Public Securities Association No-Action Letter were furnished
to certain prospective investors (the "Related Computational Materials").
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable
(b) Not applicable
(c) Exhibits:
99.1 Related Computational Materials provided by Morgan Stanley
& Co. in connection with sales efforts.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
CONTISECURITIES ASSET FUNDING CORP.,
as Depositor
By: /s/ James E. Moore
-------------------------------------
Name: James E. Moore
Title: President
By: /s/ Jerome M. Perelson
-------------------------------------
Name: Jerome M. Perelson
Title: Vice President
Dated: June 5, 1997
<PAGE>
EXHIBIT INDEX
<TABLE>
<CAPTION>
Exhibit No. Description Page No.
<S> <C> <C>
99.1 Related Computational Materials provided by Morgan Stanley
& Co. in connection with sales efforts.
</TABLE>
CPR 0.00
6 Month Libor 6.00000
1 Month Libor 5.68750
_optionalCall NO
Tranche IO
Average Life 2.5083 Total Interest 14,450,000.00
Per Date Balance Principal Interest Coupon
---- ------- --------- -------- ------
0 6/15/97 68000000 0 0 8.5
1 7/15/97 68000000 0 481666.7 8.5
2 8/15/97 68000000 0 481666.7 8.5
3 9/15/97 68000000 0 481666.7 8.5
4 10/15/97 68000000 0 481666.7 8.5
5 11/15/97 68000000 0 481666.7 8.5
6 12/15/97 68000000 0 481666.7 8.5
7 1/15/98 68000000 0 481666.7 8.5
8 2/15/98 68000000 0 481666.7 8.5
9 3/15/98 68000000 0 481666.7 8.5
10 4/15/98 68000000 0 481666.7 8.5
11 5/15/98 68000000 0 481666.7 8.5
12 6/15/98 68000000 0 481666.7 8.5
13 7/15/98 68000000 0 481666.7 8.5
14 8/15/98 68000000 0 481666.7 8.5
15 9/15/98 68000000 0 481666.7 8.5
16 10/15/98 68000000 0 481666.7 8.5
17 11/15/98 68000000 0 481666.7 8.5
18 12/15/98 68000000 0 481666.7 8.5
19 1/15/99 68000000 0 481666.7 8.5
20 2/15/99 68000000 0 481666.7 8.5
21 3/15/99 68000000 0 481666.7 8.5
22 4/15/99 68000000 0 481666.7 8.5
23 5/15/99 68000000 0 481666.7 8.5
24 6/15/99 68000000 0 481666.7 8.5
25 7/15/99 68000000 0 481666.7 8.5
26 8/15/99 68000000 0 481666.7 8.5
27 9/15/99 68000000 0 481666.7 8.5
28 10/15/99 68000000 0 481666.7 8.5
29 11/15/99 68000000 0 481666.7 8.5
30 12/15/99 0 0 481666.7 8.5
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
CPR 10.00
6 Month Libor 6.00000
1 Month Libor 5.68750
_optionalCall NO
Tranche IO
Average Life 2.5083 Total Interest 14,450,000.00
Per Date Balance Principal Interest Coupon
---- ------- --------- -------- ------
0 6/15/97 68000000 0 0 8.5
1 7/15/97 68000000 0 481666.7 8.5
2 8/15/97 68000000 0 481666.7 8.5
3 9/15/97 68000000 0 481666.7 8.5
4 10/15/97 68000000 0 481666.7 8.5
5 11/15/97 68000000 0 481666.7 8.5
6 12/15/97 68000000 0 481666.7 8.5
7 1/15/98 68000000 0 481666.7 8.5
8 2/15/98 68000000 0 481666.7 8.5
9 3/15/98 68000000 0 481666.7 8.5
10 4/15/98 68000000 0 481666.7 8.5
11 5/15/98 68000000 0 481666.7 8.5
12 6/15/98 68000000 0 481666.7 8.5
13 7/15/98 68000000 0 481666.7 8.5
14 8/15/98 68000000 0 481666.7 8.5
15 9/15/98 68000000 0 481666.7 8.5
16 10/15/98 68000000 0 481666.7 8.5
17 11/15/98 68000000 0 481666.7 8.5
18 12/15/98 68000000 0 481666.7 8.5
19 1/15/99 68000000 0 481666.7 8.5
20 2/15/99 68000000 0 481666.7 8.5
21 3/15/99 68000000 0 481666.7 8.5
22 4/15/99 68000000 0 481666.7 8.5
23 5/15/99 68000000 0 481666.7 8.5
24 6/15/99 68000000 0 481666.7 8.5
25 7/15/99 68000000 0 481666.7 8.5
26 8/15/99 68000000 0 481666.7 8.5
27 9/15/99 68000000 0 481666.7 8.5
28 10/15/99 68000000 0 481666.7 8.5
29 11/15/99 68000000 0 481666.7 8.5
30 12/15/99 0 0 481666.7 8.5
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
CPR 20.00
6 Month Libor 6.00000
1 Month Libor 5.68750
_optionalCall NO
Tranche IO
Average Life 2.5083 Total Interest 14,450,000.00
Per Date Balance Principal Interest Coupon
---- ------- --------- -------- ------
0 6/15/97 68000000 0 0 8.5
1 7/15/97 68000000 0 481666.7 8.5
2 8/15/97 68000000 0 481666.7 8.5
3 9/15/97 68000000 0 481666.7 8.5
4 10/15/97 68000000 0 481666.7 8.5
5 11/15/97 68000000 0 481666.7 8.5
6 12/15/97 68000000 0 481666.7 8.5
7 1/15/98 68000000 0 481666.7 8.5
8 2/15/98 68000000 0 481666.7 8.5
9 3/15/98 68000000 0 481666.7 8.5
10 4/15/98 68000000 0 481666.7 8.5
11 5/15/98 68000000 0 481666.7 8.5
12 6/15/98 68000000 0 481666.7 8.5
13 7/15/98 68000000 0 481666.7 8.5
14 8/15/98 68000000 0 481666.7 8.5
15 9/15/98 68000000 0 481666.7 8.5
16 10/15/98 68000000 0 481666.7 8.5
17 11/15/98 68000000 0 481666.7 8.5
18 12/15/98 68000000 0 481666.7 8.5
19 1/15/99 68000000 0 481666.7 8.5
20 2/15/99 68000000 0 481666.7 8.5
21 3/15/99 68000000 0 481666.7 8.5
22 4/15/99 68000000 0 481666.7 8.5
23 5/15/99 68000000 0 481666.7 8.5
24 6/15/99 68000000 0 481666.7 8.5
25 7/15/99 68000000 0 481666.7 8.5
26 8/15/99 68000000 0 481666.7 8.5
27 9/15/99 68000000 0 481666.7 8.5
28 10/15/99 68000000 0 481666.7 8.5
29 11/15/99 68000000 0 481666.7 8.5
30 12/15/99 0 0 481666.7 8.5
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
CPR 30.00
6 Month Libor 6.00000
1 Month Libor 5.68750
_optionalCall NO
Tranche IO
Average Life 2.5083 Total Interest 14,450,000.00
Per Date Balance Principal Interest Coupon
---- ------- --------- -------- ------
0 6/15/97 68000000 0 0 8.5
1 7/15/97 68000000 0 481666.7 8.5
2 8/15/97 68000000 0 481666.7 8.5
3 9/15/97 68000000 0 481666.7 8.5
4 10/15/97 68000000 0 481666.7 8.5
5 11/15/97 68000000 0 481666.7 8.5
6 12/15/97 68000000 0 481666.7 8.5
7 1/15/98 68000000 0 481666.7 8.5
8 2/15/98 68000000 0 481666.7 8.5
9 3/15/98 68000000 0 481666.7 8.5
10 4/15/98 68000000 0 481666.7 8.5
11 5/15/98 68000000 0 481666.7 8.5
12 6/15/98 68000000 0 481666.7 8.5
13 7/15/98 68000000 0 481666.7 8.5
14 8/15/98 68000000 0 481666.7 8.5
15 9/15/98 68000000 0 481666.7 8.5
16 10/15/98 68000000 0 481666.7 8.5
17 11/15/98 68000000 0 481666.7 8.5
18 12/15/98 68000000 0 481666.7 8.5
19 1/15/99 68000000 0 481666.7 8.5
20 2/15/99 68000000 0 481666.7 8.5
21 3/15/99 68000000 0 481666.7 8.5
22 4/15/99 68000000 0 481666.7 8.5
23 5/15/99 68000000 0 481666.7 8.5
24 6/15/99 68000000 0 481666.7 8.5
25 7/15/99 68000000 0 481666.7 8.5
26 8/15/99 68000000 0 481666.7 8.5
27 9/15/99 68000000 0 481666.7 8.5
28 10/15/99 68000000 0 481666.7 8.5
29 11/15/99 68000000 0 481666.7 8.5
30 12/15/99 0 0 481666.7 8.5
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
CPR 40.00
6 Month Libor 6.00000
1 Month Libor 5.68750
_optionalCall NO
Tranche IO
Average Life 2.5083 Total Interest 14,450,000.00
Per Date Balance Principal Interest Coupon
---- ------- --------- -------- ------
0 6/15/97 68000000 0 0 8.5
1 7/15/97 68000000 0 481666.7 8.5
2 8/15/97 68000000 0 481666.7 8.5
3 9/15/97 68000000 0 481666.7 8.5
4 10/15/97 68000000 0 481666.7 8.5
5 11/15/97 68000000 0 481666.7 8.5
6 12/15/97 68000000 0 481666.7 8.5
7 1/15/98 68000000 0 481666.7 8.5
8 2/15/98 68000000 0 481666.7 8.5
9 3/15/98 68000000 0 481666.7 8.5
10 4/15/98 68000000 0 481666.7 8.5
11 5/15/98 68000000 0 481666.7 8.5
12 6/15/98 68000000 0 481666.7 8.5
13 7/15/98 68000000 0 481666.7 8.5
14 8/15/98 68000000 0 481666.7 8.5
15 9/15/98 68000000 0 481666.7 8.5
16 10/15/98 68000000 0 481666.7 8.5
17 11/15/98 68000000 0 481666.7 8.5
18 12/15/98 68000000 0 481666.7 8.5
19 1/15/99 68000000 0 481666.7 8.5
20 2/15/99 68000000 0 481666.7 8.5
21 3/15/99 68000000 0 481666.7 8.5
22 4/15/99 68000000 0 481666.7 8.5
23 5/15/99 68000000 0 481666.7 8.5
24 6/15/99 68000000 0 481666.7 8.5
25 7/15/99 68000000 0 481666.7 8.5
26 8/15/99 68000000 0 481666.7 8.5
27 9/15/99 68000000 0 481666.7 8.5
28 10/15/99 68000000 0 481666.7 8.5
29 11/15/99 68000000 0 481666.7 8.5
30 12/15/99 0 0 481666.7 8.5
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
CPR 45.00
6 Month Libor 6.00000
1 Month Libor 5.68750
_optionalCall NO
Tranche IO
Average Life 2.5083 Total Interest 14,450,000.00
Per Date Balance Principal Interest Coupon
---- ------- --------- -------- -----
0 6/15/97 68000000 0 0 8.5
1 7/15/97 68000000 0 481666.7 8.5
2 8/15/97 68000000 0 481666.7 8.5
3 9/15/97 68000000 0 481666.7 8.5
4 10/15/97 68000000 0 481666.7 8.5
5 11/15/97 68000000 0 481666.7 8.5
6 12/15/97 68000000 0 481666.7 8.5
7 1/15/98 68000000 0 481666.7 8.5
8 2/15/98 68000000 0 481666.7 8.5
9 3/15/98 68000000 0 481666.7 8.5
10 4/15/98 68000000 0 481666.7 8.5
11 5/15/98 68000000 0 481666.7 8.5
12 6/15/98 68000000 0 481666.7 8.5
13 7/15/98 68000000 0 481666.7 8.5
14 8/15/98 68000000 0 481666.7 8.5
15 9/15/98 68000000 0 481666.7 8.5
16 10/15/98 68000000 0 481666.7 8.5
17 11/15/98 68000000 0 481666.7 8.5
18 12/15/98 68000000 0 481666.7 8.5
19 1/15/99 68000000 0 481666.7 8.5
20 2/15/99 68000000 0 481666.7 8.5
21 3/15/99 68000000 0 481666.7 8.5
22 4/15/99 68000000 0 481666.7 8.5
23 5/15/99 68000000 0 481666.7 8.5
24 6/15/99 68000000 0 481666.7 8.5
25 7/15/99 68000000 0 481666.7 8.5
26 8/15/99 68000000 0 481666.7 8.5
27 9/15/99 68000000 0 481666.7 8.5
28 10/15/99 68000000 0 481666.7 8.5
29 11/15/99 68000000 0 481666.7 8.5
30 12/15/99 0 0 481666.7 8.5
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
CPR 48.00
6 Month Libor 6.00000
1 Month Libor 5.68750
_optionalCall NO
Tranche IO
Average Life 2.5071 Total Interest 14,442,666.95
Per Date Balance Principal Interest Coupon
---- ------- --------- -------- ------
0 6/15/97 68000000 0 0 8.5
1 7/15/97 68000000 0 481666.7 8.5
2 8/15/97 68000000 0 481666.7 8.5
3 9/15/97 68000000 0 481666.7 8.5
4 10/15/97 68000000 0 481666.7 8.5
5 11/15/97 68000000 0 481666.7 8.5
6 12/15/97 68000000 0 481666.7 8.5
7 1/15/98 68000000 0 481666.7 8.5
8 2/15/98 68000000 0 481666.7 8.5
9 3/15/98 68000000 0 481666.7 8.5
10 4/15/98 68000000 0 481666.7 8.5
11 5/15/98 68000000 0 481666.7 8.5
12 6/15/98 68000000 0 481666.7 8.5
13 7/15/98 68000000 0 481666.7 8.5
14 8/15/98 68000000 0 481666.7 8.5
15 9/15/98 68000000 0 481666.7 8.5
16 10/15/98 68000000 0 481666.7 8.5
17 11/15/98 68000000 0 481666.7 8.5
18 12/15/98 68000000 0 481666.7 8.5
19 1/15/99 68000000 0 481666.7 8.5
20 2/15/99 68000000 0 481666.7 8.5
21 3/15/99 68000000 0 481666.7 8.5
22 4/15/99 68000000 0 481666.7 8.5
23 5/15/99 68000000 0 481666.7 8.5
24 6/15/99 68000000 0 481666.7 8.5
25 7/15/99 68000000 0 481666.7 8.5
26 8/15/99 68000000 0 481666.7 8.5
27 9/15/99 68000000 0 481666.7 8.5
28 10/15/99 68000000 0 481666.7 8.5
29 11/15/99 66964746.5 0 481666.7 8.5
30 12/15/99 0 0 474333.6 8.5
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
CPR 50.00
6 Month Libor 6.00000
1 Month Libor 5.68750
_optionalCall NO
Tranche IO
Average Life 2.4765 Total Interest 14,266,160.82
Per Date Balance Principal Interest Coupon
---- ------- --------- -------- ------
0 6/15/97 68000000 0 0 8.5
1 7/15/97 68000000 0 481666.7 8.5
2 8/15/97 68000000 0 481666.7 8.5
3 9/15/97 68000000 0 481666.7 8.5
4 10/15/97 68000000 0 481666.7 8.5
5 11/15/97 68000000 0 481666.7 8.5
6 12/15/97 68000000 0 481666.7 8.5
7 1/15/98 68000000 0 481666.7 8.5
8 2/15/98 68000000 0 481666.7 8.5
9 3/15/98 68000000 0 481666.7 8.5
10 4/15/98 68000000 0 481666.7 8.5
11 5/15/98 68000000 0 481666.7 8.5
12 6/15/98 68000000 0 481666.7 8.5
13 7/15/98 68000000 0 481666.7 8.5
14 8/15/98 68000000 0 481666.7 8.5
15 9/15/98 68000000 0 481666.7 8.5
16 10/15/98 68000000 0 481666.7 8.5
17 11/15/98 68000000 0 481666.7 8.5
18 12/15/98 68000000 0 481666.7 8.5
19 1/15/99 68000000 0 481666.7 8.5
20 2/15/99 68000000 0 481666.7 8.5
21 3/15/99 68000000 0 481666.7 8.5
22 4/15/99 68000000 0 481666.7 8.5
23 5/15/99 68000000 0 481666.7 8.5
24 6/15/99 68000000 0 481666.7 8.5
25 7/15/99 68000000 0 481666.7 8.5
26 8/15/99 68000000 0 481666.7 8.5
27 9/15/99 68000000 0 481666.7 8.5
28 10/15/99 60246446.8 0 481666.7 8.5
29 11/15/99 49799786.63 0 426745.7 8.5
30 12/15/99 0 0 352748.5 8.5
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
CPR 55.00
6 Month Libor 6.00000
1 Month Libor 5.68750
_optionalCall NO
Tranche IO
Average Life 2.2778 Total Interest 13,117,777.88
Per Date Balance Principal Interest Coupon
---- ------- --------- -------- ------
0 6/15/97 68000000 0 0 8.5
1 7/15/97 68000000 0 481666.7 8.5
2 8/15/97 68000000 0 481666.7 8.5
3 9/15/97 68000000 0 481666.7 8.5
4 0/15/97 68000000 0 481666.7 8.5
5 1/15/97 68000000 0 481666.7 8.5
6 2/15/97 68000000 0 481666.7 8.5
7 1/15/98 68000000 0 481666.7 8.5
8 2/15/98 68000000 0 481666.7 8.5
9 3/15/98 68000000 0 481666.7 8.5
10 4/15/98 68000000 0 481666.7 8.5
11 5/15/98 68000000 0 481666.7 8.5
12 6/15/98 68000000 0 481666.7 8.5
13 7/15/98 68000000 0 481666.7 8.5
14 8/15/98 68000000 0 481666.7 8.5
15 9/15/98 68000000 0 481666.7 8.5
16 0/15/98 68000000 0 481666.7 8.5
17 1/15/98 68000000 0 481666.7 8.5
18 2/15/98 68000000 0 481666.7 8.5
19 1/15/99 68000000 0 481666.7 8.5
20 2/15/99 68000000 0 481666.7 8.5
21 3/15/99 68000000 0 481666.7 8.5
22 4/15/99 68000000 0 481666.7 8.5
23 5/15/99 68000000 0 481666.7 8.5
24 6/15/99 64725633.31 0 481666.7 8.5
25 7/15/99 52484316.72 0 458473.2 8.5
26 8/15/99 41040254.24 0 371763.9 8.5
27 9/15/99 30341610.99 0 290701.8 8.5
28 0/15/99 20339917.36 0 214919.7 8.5
29 1/15/99 10989850.78 0 144074.4 8.5
30 2/15/99 0 0 77844.78 8.5
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
CPR 30.00
6 Month Libor 5.96484
1 Month Libor 5.68750
OptionalCall NO
Price 99-30+
Yield 7.6127
<TABLE>
<CAPTION>
Tranche M-2F
Average Life 5.Total Interest 21,016,291.32
Per Date Balance Principal Interest Coupon
- --- ---- ------- --------- -------- ------
<S> <C> <C> <C> <C> <C> <C>
0 6/15/97 49613000 0 0 7.55
1 7/15/97 49613000 0 312148.5 7.55
2 8/15/97 49613000 0 312148.5 7.55
3 9/15/97 49613000 0 312148.5 7.55
4 10/15/97 49613000 0 312148.5 7.55
5 11/15/97 49613000 0 312148.5 7.55
6 12/15/97 49613000 0 312148.5 7.55
7 1/15/98 49613000 0 312148.5 7.55
8 2/15/98 49613000 0 312148.5 7.55
9 3/15/98 49613000 0 312148.5 7.55
10 4/15/98 49613000 0 312148.5 7.55
11 5/15/98 49613000 0 312148.5 7.55
12 6/15/98 49613000 0 312148.5 7.55
13 7/15/98 49613000 0 312148.5 7.55
14 8/15/98 49613000 0 312148.5 7.55
15 9/15/98 49613000 0 312148.5 7.55
16 10/15/98 49613000 0 312148.5 7.55
17 11/15/98 49613000 0 312148.5 7.55
18 12/15/98 49613000 0 312148.5 7.55
19 1/15/99 49613000 0 312148.5 7.55
20 2/15/99 49613000 0 312148.5 7.55
21 3/15/99 49613000 0 312148.5 7.55
22 4/15/99 49613000 0 312148.5 7.55
23 5/15/99 49613000 0 312148.5 7.55
24 6/15/99 49613000 0 312148.5 7.55
25 7/15/99 49613000 0 312148.5 7.55
26 8/15/99 49613000 0 312148.5 7.55
27 9/15/99 49613000 0 312148.5 7.55
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
<TABLE>
<CAPTION>
Tranche M-2F
Average Life 5.Total Interest 21,016,291.32
Per Date Balance Principal Interest Coupon
- --- ---- ------- --------- -------- ------
<S> <C> <C> <C> <C> <C> <C>
28 10/15/99 49613000 0 312148.5 7.55
29 11/15/99 49613000 0 312148.5 7.55
30 12/15/99 49613000 0 312148.5 7.55
31 1/15/00 49613000 0 312148.5 7.55
32 2/15/00 49613000 0 312148.5 7.55
33 3/15/00 49613000 0 312148.5 7.55
34 4/15/00 49613000 0 312148.5 7.55
35 5/15/00 49613000 0 312148.5 7.55
36 6/15/00 49613000 0 312148.5 7.55
37 7/15/00 43817036.77 5795963.23 312148.5 7.55
38 8/15/00 42732762.35 1084274.43 275682.2 7.55
39 9/15/00 41674839.59 1057922.76 268860.3 7.55
40 10/15/00 40642634.66 1032204.93 262204.2 7.55
41 11/15/00 39635528.88 1007105.78 255709.9 7.55
42 12/15/00 38652918.36 982610.52 249373.5 7.55
43 1/15/01 37694213.66 958704.71 243191.3 7.55
44 2/15/01 36758839.4 935374.25 237159.4 7.55
45 3/15/01 35846234.02 912605.39 231274.4 7.55
46 4/15/01 34955849.33 890384.69 225532.6 7.55
47 5/15/01 34087150.29 868699.04 219930.6 7.55
48 6/15/01 33239614.65 847535.64 214465 7.55
49 7/15/01 32412732.65 826882 209132.6 7.55
50 8/15/01 31606006.73 806725.92 203930.1 7.55
51 9/15/01 30818951.24 787055.49 198854.5 7.55
52 10/15/01 30051092.14 767859.09 193902.6 7.55
53 11/15/01 29301966.76 749125.38 189071.5 7.55
54 12/15/01 28571123.47 730843.29 184358.2 7.55
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
<TABLE>
<CAPTION>
Tranche M-2F
Average Life 5.Total Interest 21,016,291.32
Per Date Balance Principal Interest Coupon
- --- ---- ------- --------- -------- ------
<S> <C> <C> <C> <C> <C> <C>
55 1/15/02 27858121.49 713001.99 179760 7.55
56 2/15/02 27162530.55 695590.93 175274 7.55
57 3/15/02 26483930.72 678599.83 170897.6 7.55
58 4/15/02 25821912.11 662018.61 166628.1 7.55
59 5/15/02 25176074.64 645837.47 162462.9 7.55
60 6/15/02 24546027.82 630046.82 158399.5 7.55
61 7/15/02 23931390.51 614637.31 154435.4 7.55
62 8/15/02 23331790.72 599599.8 150568.3 7.55
63 9/15/02 22746865.33 584925.39 146795.9 7.55
64 10/15/02 22176259.96 570605.37 143115.7 7.55
65 11/15/02 21619628.71 556631.25 139525.6 7.55
66 12/15/02 21076633.96 542994.75 136023.5 7.55
67 1/15/03 20546946.2 529687.76 132607.2 7.55
68 2/15/03 20030243.81 516702.39 129274.5 7.55
69 3/15/03 19526212.87 504030.94 126023.6 7.55
70 4/15/03 19034547.01 491665.86 122852.4 7.55
71 5/15/03 18554947.19 479599.82 119759 7.55
72 6/15/03 18087121.55 467825.64 116741.5 7.55
73 7/15/03 17630785.22 456336.33 113798.1 7.55
74 8/15/03 17185660.18 445125.04 110927 7.55
75 9/15/03 16751475.07 434185.11 108126.5 7.55
76 10/15/03 16327965.05 423510.03 105394.7 7.55
77 11/15/03 15914871.61 413093.43 102730.1 7.55
78 12/15/03 15511942.49 402929.13 100131.1 7.55
79 1/15/04 15118931.43 393011.05 97595.97 7.55
80 2/15/04 14735598.13 383333.3 95123.28 7.55
81 3/15/04 14361708.04 373890.09 92711.47 7.55
82 4/15/04 13997032.23 364675.8 90359.08 7.55
83 5/15/04 13641347.3 355684.93 88064.66 7.55
84 6/15/04 13294435.18 346912.12 85826.81 7.55
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
<TABLE>
<CAPTION>
Tranche M-2F
Average Life 5.Total Interest 21,016,291.32
Per Date Balance Principal Interest Coupon
- --- ---- ------- --------- -------- ------
<S> <C> <C> <C> <C> <C> <C>
85 7/15/04 12956083.07 338352.11 83644.15 7.55
86 8/15/04 12626083.27 329999.81 81515.36 7.55
87 9/15/04 12266512.69 359570.58 79439.11 7.55
88 10/15/04 11833035.07 433477.62 77176.81 7.55
89 11/15/04 11410271.79 422763.29 74449.51 7.55
90 12/15/04 10997962.6 412309.18 71789.63 7.55
91 1/15/05 10595853.55 402109.05 69195.51 7.55
92 2/15/05 10203696.77 392156.78 66665.58 7.55
93 3/15/05 9821250.36 382446.41 64198.26 7.55
94 4/15/05 9448278.23 372972.12 61792.03 7.55
95 5/15/05 9084549.99 363728.24 59445.42 7.55
96 6/15/05 8729840.78 354709.22 57156.96 7.55
97 7/15/05 8383931.14 345909.64 54925.25 7.55
98 8/15/05 8046606.91 337324.23 52748.9 7.55
99 9/15/05 7717659.09 328947.83 50626.57 7.55
100 10/15/05 7396883.68 320775.4 48556.94 7.55
101 11/15/05 7084081.64 312802.04 46538.73 7.55
102 12/15/05 6779058.68 305022.96 44570.68 7.55
103 1/15/06 6481625.22 297433.46 42651.58 7.55
104 2/15/06 6191596.23 290028.99 40780.23 7.55
105 3/15/06 5908791.14 282805.09 38955.46 7.55
106 4/15/06 5633033.75 275757.4 37176.14 7.55
107 5/15/06 5364152.07 268881.67 35441.17 7.55
108 6/15/06 5101978.31 262173.77 33749.46 7.55
109 7/15/06 4846348.67 255629.64 32099.95 7.55
110 8/15/06 4597103.34 249245.33 30491.61 7.55
111 9/15/06 4354086.34 243016.99 28923.44 7.55
112 10/15/06 4120371.29 233715.06 27394.46 7.55
113 11/15/06 3892461.22 227910.06 25924 7.55
114 12/15/06 3670214.77 222246.45 24490.07 7.55
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
<TABLE>
<CAPTION>
Tranche M-2F
Average Life 5.Total Interest 21,016,291.32
Per Date Balance Principal Interest Coupon
- --- ---- ------- --------- -------- ------
<S> <C> <C> <C> <C> <C> <C>
115 1/15/07 3453493.94 216720.82 23091.77 7.55
116 2/15/07 3242164.1 211329.85 21728.23 7.55
117 3/15/07 3036093.82 206070.28 20398.62 7.55
118 4/15/07 2835154.86 200938.96 19102.09 7.55
119 5/15/07 2639222.07 195932.79 17837.85 7.55
120 6/15/07 2448173.32 191048.76 16605.11 7.55
121 7/15/07 2261889.4 186283.92 15403.09 7.55
122 8/15/07 2080254 181635.4 14231.05 7.55
123 9/15/07 1903153.61 177100.39 13088.26 7.55
124 10/15/07 1730477.46 172676.16 11974.01 7.55
125 11/15/07 1562117.43 168360.03 10887.59 7.55
126 12/15/07 1397968.03 164149.4 9828.32 7.55
127 1/15/08 1237926.32 160041.71 8795.55 7.55
128 2/15/08 1081891.82 156034.49 7788.62 7.55
129 3/15/08 929766.51 152125.31 6806.9 7.55
130 4/15/08 781454.71 148311.8 5849.78 7.55
131 5/15/08 636863.05 144591.65 4916.65 7.55
132 6/15/08 495900.44 140962.61 4006.93 7.55
133 7/15/08 358477.97 137422.47 3120.04 7.55
134 8/15/08 224508.88 133969.09 2255.42 7.55
135 9/15/08 93908.51 130600.37 1412.54 7.55
136 10/15/08 0 93908.51 590.84 7.55
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
