<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported)
January 28, 1997
ContiSecurities Asset Funding Corp.
------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 33-99340 13-2937238
- ----------------------------- -------------- -------------------
(State or Other Jurisdiction) (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
277 Park Avenue
New York, New York 10172
- -------------------------------------------- --------------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 207-2800
--------------
No Change
-------------------------------------------------------------
(Former name or former address, if changed since last report)
<PAGE>
Item 5. Other Events.
In connection with the offering of ContiMortgage Home Equity Loan
Pass-Through Certificates, Series 1997-1, 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 Greenwich
Capital Markets in connection with sales efforts.
99.2 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: January 29, 1997
<PAGE>
EXHIBIT INDEX
Exhibit No. Description Page No.
99.1 Related Computational Materials provided by Greenwich
Capital Markets in connection with sales efforts.
99.2 Related Computational Materials provided by Morgan Stanley
& Co. in connection with sales efforts.
Schedule A
Computational Materials Disclaimer
The attached tables, including information provided on Page 1 of this
Preliminary Term Sheet (the "Computational Materials"), are privileged and
confidential and intended for use by the addressee only. 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
either the Computational Material's 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 prepayment assumptions, and changes in such
prepayment assumptions may dramatically affect such weighted average lives or
principal payment periods. In addition, it is possible that prepayments on the
underlying assets will occur at rates slower or faster than the rates shown in
the attached Computational Materials. Furthermore, unless otherwise provided,
the Computational Materials assume no losses on the underlying assets and no
interest shortfall. The specific characteristics of the securities may differ
from those shown in the Computational Materials due to differences between the
actual underlying assets and the hypothetical 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.
Although a registration statement (including the prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with the Securities and Exchange Commission. This communication shall not
constitute an offer to sell or the solicitation of an offer to buy nor shall
there be any sale of the securities discussed in this communication in any state
in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus supplement relating
to the securities discussed in this communication for definitive Computational
Materials and any matter discussed in this communication. A prospectus and
prospectus supplement maybe obtained by contacting GCM's Trading Desk at (203)
625-6160.
Please be advised that mortgage-backed securities may not be appropriate for all
investors. Potential investors must be willing to assume, among other things,
market price volatility, prepayments, yield curve and interest rate risks.
Investors must consider the risks of these securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
[Greenwich Capital Logo]
<PAGE>
Preliminary Term Sheet
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Modeling Assumptions
Fixed Rate Collateral $399,999,865
Prepayment Assumption: 120% of the Prepayment Assumption. A 100% Prepayment
Assumption assumes that the prepayments start at 4% CPR in month 1, rise by
1.455% per month to 20% CPR in month 12 and remain at 20% CPR thereafter on a
seasoning adjusted basis.
<TABLE>
<CAPTION>
Expected
Moody's/Fitch Delay Day Dated Settlement
Class Balance WAL Ratings Coupon (1) Days Count Date Date
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $50,750,000 0.50 Aaa/AAA 6.28% 14 30/360 1/18/97 2/6/97
A-2 $57,500,000 1.15 Aaa/AAA 6.39% 14 30/360 1/18/97 2/6/97
A-3 $84,500,000 2.03 Aaa/AAA 6.61% 14 30/360 1/18/97 2/6/97
A-4 $37,250,000 3.03 Aaa/AAA 6.79% 14 30/360 1/18/97 2/6/97
A-5 $28,250,000 4.04 Aaa/AAA 7.02% 14 30/360 1/18/97 2/6/97
A-6 $20,000,000 5.08 Aaa/AAA 7.19% 14 30/360 1/18/97 2/6/97
A-7 $24,250,000 7.01 Aaa/AAA 7.42% 14 30/360 1/18/97 2/6/97
A-8 $21,500,000 11.98 Aaa/AAA 7.68% 14 30/360 1/18/97 2/6/97
A-9 (2) $30,000,000 6.58 Aaa/AAA 7.21% 14 30/360 1/18/97 2/6/97
A-10IO (3) Aaa/AAA 1.10% 14 30/360 1/18/97 2/6/97
M-1 $18,000,000 6.09 Aa2/AA 7.74% 14 30/360 1/18/97 2/6/97
M-2 $23,000,000 5.90 A3/A 8.03% 14 30/360 1/18/97 2/6/97
B $5,000,000 5.18 Baa3/BBB 8.31% 14 30/360 1/18/97 2/6/97
</TABLE>
Notes:
(1) All Classes settle with accrued interest; 30/360 day count.
(2) Class A-9 Lock-Out Bond is allocated principal pari passu with the Class A
Certificates that is currently receiving principal payments in a ratio equal
to the product of a) the outstanding principal balance of the Lock Bond
divided by the outstanding principal balance of all Class A Certificates and
b) a specified percentage.
The specified percentage is as follows:
Distribution Periods Applicable Percentages
Month 1 - Month 36 0%
Month 37 - Month 60 45%
Month 61 - Month 72 80%
Month 73 - Month 84 100%
Month 85 - End 300%
(3) Class A-10IO Notional Balance is the outstanding Collateral Balance each
month.
Initial OC 0.00%
OC Target: 1.00% as % of initial principal Certificate balance
OC Step Down 2.00% as % of current principal Certificate balance
The OC Step Down occurs when at the later of (i) period 37 and (ii) the current
principal balance is less than 50% of the initial principal balance.
OC Floor: 0.50% as % of initial collateral principal balance
Servicing: 0.50% as % of collateral principal balance
Trustee: 0.01% as % of collateral principal balance
<PAGE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
<TABLE>
<CAPTION>
Summary of Bonds
1st Last
Payment Payment
To Maturity Avg Life CBE Date Date Modified Legal
Class Amount Coupon (years) Yield Price (mm/yy) (mm/yy) Duration Final
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $50,750,000 6.28% 0.50 5.851% 100.00% Mar-97 Dec-97 0.48 TBD
A-2 $57,500,000 6.39% 1.15 6.245% 100.00% Dec-97 Jul-98 1.08 TBD
A-3 $84,500,000 6.61% 2.03 6.562% 100.00% Jul-98 Oct-99 1.84 TBD
A-4 $37,250,000 6.79% 3.03 6.787% 100.00% Oct-99 Aug-00 2.66 TBD
A-5 $28,250,000 7.02% 4.04 7.043% 100.00% Aug-00 Sep-01 3.41 TBD
A-6 $20,000,000 7.19% 5.08 7.231% 100.00% Sep-01 Oct-02 4.12 TBD
A-7 $24,250,000 7.42% 7.01 7.481% 100.00% Oct-02 Apr-06 5.26 TBD
A-8 $21,500,000 7.68% 11.98 7.764% 100.00% Apr-06 Jan-12 7.52 TBD
A-9 $30,000,000 7.21% 6.58 7.263% 100.00% Mar-00 Jan-12 5.00 TBD
A-10IO (3) 1.10%
M-1 $18,000,000 7.74% 6.09 7.799% 100.00% Mar-00 Aug-10 4.52 TBD
M-2 $23,000,000 8.03% 5.90 8.094% 100.00% Mar-00 Mar-09 4.40 TBD
B $5,000,000 8.31% 5.18 8.374% 100.00% Mar-00 Feb-05 4.00 TBD
1st Last
Payment Payment
To Call Avg Life CBE Date Date Modified
Class Amount Coupon (years) Yield Price (mm/yy) (mm/yy) Duration
A-7 $24,250,000 7.42% 6.94 7.480% 100.00% Oct-02 Jun-05 5.23
A-8 $21,500,000 7.68% 8.36 7.754% 100.00% Jun-05 Jun-05 5.96
A-9 $30,000,000 7.21% 6.43 7.262% 100.00% Mar-00 Jun-05 4.93
A-10IO (3) 1.10% Mar-97 Jun-05
M-1 $18,000,000 7.74% 5.60 7.796% 100.00% Mar-00 Jun-05 4.31
M-2 $23,000,000 8.03% 5.60 8.092% 100.00% Mar-00 Jun-05 4.27
</TABLE>
Notes:
1 Pricing Prepayment = 120% of the Prepayment Assumption.
A 100% Prepayment Assumption assumes prepayments start at 4% CPR in month 1,
rise by 1.455% per month to 20% CPR in month 12 thereafter on a seasoning
adjusted basis.
2 Coupons and prices are assumed for computational materials.
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
<TABLE>
<CAPTION>
Fixed Rate Home Equity Loans (Minimum - Maximum)
<S> <C> <C>
Total Number of Loans: 6,539
Total Outstanding Loan Balance: $ 399,999,865
Balloon (% of Total): 55.62%
Level Pay (% of Total): 44.38%
Average Loan Principal Balance: $ 61,171.00 ($198.5 to $450,000)
Weighted Average LTV: 72.42% (4.00% to 90.00%)
Weighted Average CLTV : 75.48% (10.15% to 95.97%)
Weighted Average Home Equity Ratio(2nd Liens Only): 39.84% (5.83% to 96.04%)
Weighted Average Coupon: 11.56% (7.90% to 20.95%)
Weighted Average Remaining Term to Maturity (months): 214.4 (56 to 360)
Weighted Average Seasoning (months): 1.3
Weighted Average Original Term (months): 215.7 (60 to 360 )
Range of Original Terms: Level Pay Balloons
----------------- -------------
Up to 60: 0.20% 180 100%
61 - 120: 3.09%
121 - 180: 29.01%
181 - 240: 31.93%
241 - 300: 1.27%
301 - 360: 34.50%
Lien Position:
1st Lien: 93.22%
2nd Lien: 6.78%
Property Type:
Single Family Detached: 84.63%
Single Family Attached: 3.74%
2 -4 Family: 8.16%
Other: 3.47%
Occupancy Status:
Owner Occupied: 95.26%
Non-Owner Occupied: 4.74%
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Fixed Rate Home Equity Loans (Cont.)
Geographic Distribution: OH: 10.06%
(states not listed individually account for NY: 8.91%
less than 5.00% of the Outstanding Mortgage MI: 8.42%
Pool principal balance) IL: 7.08%
PA: 6.14%
NJ: 6.02%
FL: 5.70%
NC: 5.06%
Credit Quality: A: 54.70%
(per ContiMortgage's guidelines) B: 25.35%
C: 15.25%
D: 4.71%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Distribution by Geographic Location
# of Aggregate % of Aggregate
Geographic Location Loans Loan Balance Loan Balance
Arizona 44 $3,011,343.01 0.75%
Arkansas 37 2,078,999.78 0.52%
California 118 13,006,377.27 3.25%
Colorado 66 4,164,876.69 1.04%
Connecticut 78 7,101,585.65 1.78%
Delaware 22 1,805,483.60 0.45%
DC 39 3,053,586.74 0.76%
Florida 405 22,804,279.63 5.70%
Georgia 190 10,806,993.33 2.70%
Hawaii 1 84,964.28 0.02%
Idaho 19 1,295,448.17 0.32%
Illinois 449 28,314,399.05 7.08%
Indiana 384 18,302,622.45 4.58%
Iowa 18 630,333.49 0.16%
Kansas 37 1,909,058.39 0.48%
Kentucky 141 7,166,877.52 1.79%
Louisiana 4 221,078.22 0.06%
Maine 2 102,158.69 0.03%
Maryland 267 18,950,785.37 4.74%
Massachusetts 150 11,717,967.29 2.93%
Michigan 768 33,662,964.58 8.42%
Minnesota 73 4,639,449.91 1.16%
Mississippi 16 653,537.70 0.16%
Missouri 125 5,654,597.45 1.41%
Montana 1 74,872.72 0.02%
Nebraska 5 243,538.36 0.06%
Nevada 9 490,987.79 0.12%
New Hampshire 9 432,919.15 0.11%
New Jersey 293 24,087,702.00 6.02%
New Mexico 44 3,229,216.91 0.81%
New York 393 35,654,453.52 8.91%
North Carolina 371 20,221,463.24 5.06%
Ohio 713 40,235,856.28 10.06%
Oklahoma 20 1,399,036.73 0.35%
Oregon 31 2,171,028.84 0.54%
Pennsylvania 440 24,564,777.91 6.14%
Rhode Island 40 3,680,818.54 0.92%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Distribution by Geographic Location (Cont.)
# of Aggregate % of Aggregate
Geographic Location Loans Loan Balance Loan Balance
South Carolina 174 8,687,690.27 2.17%
Tennessee 139 9,363,729.72 2.34%
Texas 76 4,227,421.06 1.06%
Utah 98 7,309,100.71 1.83%
Vermont 1 70,000.00 0.02%
Virginia 103 5,149,467.43 1.29%
Washington 37 3,150,400.60 0.79%
West Virginia 13 390,727.55 0.10%
Wisconsin 74 3,947,968.07 0.99%
Wyoming 2 76,918.88 0.02%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Original Loan-to-Value Ratio (LTV)
# of Aggregate % of Aggregate
Original LTVs Loans Loan Balance Loan Balance
4.00% to 10.00 42 $692,862.78 0.17%
10.01% to 20.00 328 8,405,514.05 2.10%
20.01% to 30.00 357 11,728,837.40 2.93%
30.01% to 40.00 284 10,261,196.48 2.57%
40.01% to 50.00 412 15,378,483.65 3.84%
50.01% to 60.00 477 23,407,728.75 5.85%
60.01% to 70.00 1,026 56,409,581.19 14.10%
70.01% to 80.00 2,271 157,387,153.82 39.35%
80.01% to 90.00 1,342 116,328,506.42 29.08%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Loan Type
Loan # of Aggregate % of Aggregate
Type Loans Loan Balance Loan Balance
Balloon 3,143 $222,469,663.21 55.62%
Non Balloon 3,396 177,530,201.33 44.38%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Distribution by Combined Loan-to-Value Ratio (LTV)
# of Aggregate % of Aggregate
Combined LTVs Loans Loan Balance Loan Balance
10.15% to 20.00 23 $571,902.19 0.14%
20.01% to 30.00 102 2,475,362.57 0.62%
30.01% to 40.00 193 5,894,675.56 1.47%
40.01% to 50.00 396 14,042,537.39 3.51%
50.01% to 60.00 496 23,471,330.21 5.87%
60.01% to 70.00 1,109 58,465,479.60 14.62%
70.01% to 80.00 2,507 163,437,062.87 40.86%
80.01% to 90.00 1,683 129,006,375.62 32.25%
90.01% to 95.92 30 2,635,138.53 0.66%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Coupon Rates
# of Aggregate % of Aggregate
Coupon Loans Loan Balance Loan Balance
7.900% to 9.500 326 $25,790,691.88 6.45%
9.501% to 10.000 538 40,866,454.93 10.22%
10.001% to 10.500 533 39,759,849.98 9.94%
10.501% to 11.000 949 71,132,044.91 17.78%
11.001% to 11.500 680 43,762,329.05 10.94%
11.501% to 12.000 892 56,629,844.97 14.16%
12.001% to 12.500 567 31,443,913.50 7.86%
12.501% to 13.000 647 32,844,694.16 8.21%
13.001% to 13.500 332 16,864,627.17 4.22%
13.501% to 14.000 358 15,646,498.93 3.91%
14.001% to 20.500 717 25,258,915.06 6.31%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Distribution by Current Loan Balances
Current # of Aggregate % of Aggregate
Loan Balance Loans Loan Balance Loan Balance
$0 to $25,000 1,001 $18,772,192.73 4.69%
25,001 to 50,000 2,286 85,874,686.35 21.47%
50,001 to 75,000 1,585 97,324,609.49 24.33%
75,001 to 100,000 765 66,080,654.52 16.52%
100,001 to 125,000 414 46,289,846.52 11.57%
125,001 to 150,000 207 28,138,665.59 7.03%
150,001 to 175,000 99 16,045,309.02 4.01%
175,001 to 200,000 71 13,302,579.97 3.33%
200,001 to 225,000 54 11,576,150.73 2.89%
225,001 to 450,000 57 16,595,169.62 4.15%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Types of Mortgaged Property
Property # of Aggregate % of Aggregate
Types Loans Loan Balance Loan Balance
Condominium 44 $2,288,828.01 0.57%
Manufactured Housing 127 5,850,681.78 1.46%
Mixed Use 24 2,614,416.01 0.65%
Planned Unit Development 36 3,140,559.13 0.79%
Single Family Attached 288 14,956,454.29 3.74%
Single Family Detached 5,569 338,509,003.88 84.63%
Two-to-Four Family 451 32,639,921.44 8.16%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Loan Age
Months Elapsed # of Aggregate % of Aggregate
Since Origination Loans Loan Balance Loan Balance
0 to 1 months 4,342 $268,738,472.40 67.18%
2 to 12 months 2,196 131,256,463.80 32.81%
13 to 24 months 1 4,928.34 0.00%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Distribution by Remaining Term to Maturity
Remaining # of Aggregate % of Aggregate
Term Loans Loan Balance Loan Balance
0 to 120 months 246 $5,841,505.78 1.46%
121 to 180 months 4,431 273,968,098.29 68.49%
181 to 240 months 1,023 56,688,957.56 14.17%
241 to 360 months 839 63,501,302.91 15.88%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Original Term to Maturity
Original # of Aggregate % of Aggregate
Term Loans Loan Balance Loan Balance
0 to 120 months 246 $5,841,505.78 1.46%
121 to 180 months 4,431 273,968,098.29 68.49%
181 to 240 months 1,023 56,688,957.56 14.17%
241 to 360 months 839 63,501,302.91 15.88%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Home Equity Ratio (2nd Liens Only)
Home Equity # of Aggregate % of Aggregate
Ratio 2nd Liens 2nd Lien Balance 2nd Lien Balance
5.83% to 10.00 10 $161,094.76 0.59%
10.01% to 15.00 49 865,784.55 3.19%
15.01% to 20.00 108 2,508,458.78 9.24%
20.01% to 25.00 125 3,253,829.98 11.99%
25.01% to 30.00 116 3,608,395.01 13.30%
30.01% to 35.00 88 3,139,728.34 11.57%
35.01% to 40.00 79 3,155,341.04 11.63%
40.01% to 45.00 48 2,096,654.73 7.73%
45.01% to 50.00 35 1,761,839.34 6.49%
50.01% to 55.00 23 1,055,683.40 3.89%
55.01% to 60.00 20 1,030,606.94 3.80%
60.01% to 65.00 16 743,711.63 2.74%
65.01% to 70.00 14 701,028.25 2.58%
70.01% to 75.00 14 662,780.82 2.44%
* Percentages may not add due to rounding.
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Distribution by Home Equity Ratio (Cont.)
Home Equity # of Aggregate % of Aggregate
Ratio 2nd Liens 2nd Lien Balance 2nd Lien Balance
75.01% to 80.00 11 570,067.36 2.10%
80.01% to 85.00 13 738,558.71 2.72%
85.01% to 90.00 6 649,782.88 2.39%
90.01% to 95.00 3 327,846.20 1.21%
95.01% to 100.00 2 105,728.76 0.39%
Total 780 $27,136,921.48 100.00%*
Distribution by Occupancy Status
Occupancy # of Aggregate % of Aggregate
Status Loans Loan Balance Loan Balance
Investor Occupied 394 $18,969,476.94 4.74%
Owner Occupied 6,145 381,030,387.60 95.26%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Lien Position
Lien # of Aggregate % of Aggregate
Position Loans Loan Balance Loan Balance
1st lien 5,759 $372,862,943.06 93.22%
2nd lien 780 27,136,921.48 6.78%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Distribution by Loan Purpose
Loan # of Aggregate % of Aggregate
Purpose Loans Loan Balance Loan Balance
Debt Consolidation 4,912 $291,088,354.67 72.77%
Home Improvement 231 12,736,494.29 3.18%
DC/HI Combo 350 21,317,410.33 5.33%
Purchase 665 50,285,307.30 12.57%
Other 381 24,572,297.95 6.14%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Days Delinquent
# of Aggregate % of Aggregate
Days Delinquent Loans Loan Balance Loan Balance
0 to 29 days 6,440 $393,893,731.16 98.47%
30 to 59 days 95 5,904,033.38 1.48%
60 to 89 days 4 202,100.00 0.05%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Debt to Income Ratio
Debt to # of Aggregate % of Aggregate
Income Ratio Loans Loan Balance Loan Balance
4.00% to 10.00 50 $1,883,372.15 0.47%
10.01% to 20.00 496 20,755,454.72 5.19%
20.01% to 30.00 1,335 70,273,991.17 17.57%
30.01% to 40.00 1,904 117,295,941.41 29.32%
40.01% to 50.00 2,614 178,291,972.25 44.57%
50.01% to 59.00 140 11,499,132.84 2.87%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
<TABLE>
<CAPTION>
Fixed Rate Collateral
Original Remaining Original
Gross Net Term to Calculated Term to Amortization
Pool Principal Coupon Coupon Maturity Loan Maturity Term Amortization
Number Balance Rate Rate (months) Age (months) (months) Method
-------- ---------------- ------------- ---------- ----------- ----- ---------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 $349,729.20 11.9693% 11.4693% 60 2 58 60 Level
2 $5,491,776.58 11.8510% 11.3510% 117 1 116 117 Level
3 $51,498,435.08 11.4052% 10.9052% 180 1 178 180 Level
4 $56,688,957.56 11.3662% 10.8662% 240 1 239 240 Level
5 $2,253,975.28 10.7082% 10.2082% 360 1 359 360 Level
7 $222,469,663.21 11.7412% 11.2412% 180 1 179 360 Balloon
Total $399,999,864.54
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-1: $50,750,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 85% 32% 0% 0% 0% 0%
February-99 76% 0% 0% 0% 0% 0%
February-00 67% 0% 0% 0% 0% 0%
February-01 57% 0% 0% 0% 0% 0%
February-02 46% 0% 0% 0% 0% 0%
February-03 34% 0% 0% 0% 0% 0%
February-04 21% 0% 0% 0% 0% 0%
February-05 9% 0% 0% 0% 0% 0%
February-06 0% 0% 0% 0% 0% 0%
February-07 0% 0% 0% 0% 0% 0%
February-08 0% 0% 0% 0% 0% 0%
February-09 0% 0% 0% 0% 0% 0%
February-10 0% 0% 0% 0% 0% 0%
February-11 0% 0% 0% 0% 0% 0%
February-12 0% 0% 0% 0% 0% 0%
February-13 0% 0% 0% 0% 0% 0%
February-14 0% 0% 0% 0% 0% 0%
February-15 0% 0% 0% 0% 0% 0%
February-16 0% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life:
Years 3 to Maturity 4.50 0.82 0.56 0.50 0.44 0.37
Years 3 to Call 4.50 0.82 0.56 0.50 0.44 0.37
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-2: $57,500,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 82% 63% 35% 0%
February-99 100% 58% 0% 0% 0% 0%
February-00 100% 0% 0% 0% 0% 0%
February-01 100% 0% 0% 0% 0% 0%
February-02 100% 0% 0% 0% 0% 0%
February-03 100% 0% 0% 0% 0% 0%
February-04 100% 0% 0% 0% 0% 0%
February-05 100% 0% 0% 0% 0% 0%
February-06 96% 0% 0% 0% 0% 0%
February-07 83% 0% 0% 0% 0% 0%
February-08 69% 0% 0% 0% 0% 0%
February-09 52% 0% 0% 0% 0% 0%
February-10 34% 0% 0% 0% 0% 0%
February-11 12% 0% 0% 0% 0% 0%
February-12 0% 0% 0% 0% 0% 0%
February-13 0% 0% 0% 0% 0% 0%
February-14 0% 0% 0% 0% 0% 0%
February-15 0% 0% 0% 0% 0% 0%
February-16 0% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 12.02 2.20 1.31 1.15 0.99 0.83
Years 3 to Call 12.02 2.20 1.31 1.15 0.99 0.83
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-3: $84,500,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 91%
February-99 100% 100% 71% 46% 9% 0%
February-00 100% 96% 4% 0% 0% 0%
February-01 100% 60% 0% 0% 0% 0%
February-02 100% 27% 0% 0% 0% 0%
February-03 100% 0% 0% 0% 0% 0%
February-04 100% 0% 0% 0% 0% 0%
February-05 100% 0% 0% 0% 0% 0%
February-06 100% 0% 0% 0% 0% 0%
February-07 100% 0% 0% 0% 0% 0%
February-08 100% 0% 0% 0% 0% 0%
February-09 100% 0% 0% 0% 0% 0%
February-10 100% 0% 0% 0% 0% 0%
February-11 100% 0% 0% 0% 0% 0%
February-12 0% 0% 0% 0% 0% 0%
February-13 0% 0% 0% 0% 0% 0%
February-14 0% 0% 0% 0% 0% 0%
February-15 0% 0% 0% 0% 0% 0%
February-16 0% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 14.93 4.40 2.38 2.03 1.68 1.32
Years 3 to Call 14.93 4.40 2.38 2.03 1.68 1.32
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-4: $37,250,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 0%
February-00 100% 100% 100% 36% 0% 0%
February-01 100% 100% 17% 0% 0% 0%
February-02 100% 100% 0% 0% 0% 0%
February-03 100% 98% 0% 0% 0% 0%
February-04 100% 55% 0% 0% 0% 0%
February-05 100% 29% 0% 0% 0% 0%
February-06 100% 2% 0% 0% 0% 0%
February-07 100% 0% 0% 0% 0% 0%
February-08 100% 0% 0% 0% 0% 0%
February-09 100% 0% 0% 0% 0% 0%
February-10 100% 0% 0% 0% 0% 0%
February-11 100% 0% 0% 0% 0% 0%
February-12 0% 0% 0% 0% 0% 0%
February-13 0% 0% 0% 0% 0% 0%
February-14 0% 0% 0% 0% 0% 0%
February-15 0% 0% 0% 0% 0% 0%
February-16 0% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 14.94 7.40 3.66 3.03 2.42 1.84
Years 3 to Call 14.94 7.40 3.66 3.03 2.42 1.84
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-5: $28,250,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 89%
February-00 100% 100% 100% 100% 19% 0%
February-01 100% 100% 100% 46% 0% 0%
February-02 100% 100% 36% 0% 0% 0%
February-03 100% 100% 0% 0% 0% 0%
February-04 100% 100% 0% 0% 0% 0%
February-05 100% 100% 0% 0% 0% 0%
February-06 100% 100% 0% 0% 0% 0%
February-07 100% 67% 0% 0% 0% 0%
February-08 100% 33% 0% 0% 0% 0%
February-09 100% 1% 0% 0% 0% 0%
February-10 100% 0% 0% 0% 0% 0%
February-11 100% 0% 0% 0% 0% 0%
February-12 0% 0% 0% 0% 0% 0%
February-13 0% 0% 0% 0% 0% 0%
February-14 0% 0% 0% 0% 0% 0%
February-15 0% 0% 0% 0% 0% 0%
February-16 0% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 14.94 10.58 4.92 4.04 2.98 2.20
Years 3 to Call 14.94 10.58 4.92 4.04 2.98 2.20
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-6: $20,000,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 100%
February-00 100% 100% 100% 100% 100% 0%
February-01 100% 100% 100% 100% 29% 0%
February-02 100% 100% 100% 49% 0% 0%
February-03 100% 100% 65% 0% 0% 0%
February-04 100% 100% 2% 0% 0% 0%
February-05 100% 100% 0% 0% 0% 0%
February-06 100% 100% 0% 0% 0% 0%
February-07 100% 100% 0% 0% 0% 0%
February-08 100% 100% 0% 0% 0% 0%
February-09 100% 100% 0% 0% 0% 0%
February-10 100% 59% 0% 0% 0% 0%
February-11 100% 19% 0% 0% 0% 0%
February-12 71% 0% 0% 0% 0% 0%
February-13 49% 0% 0% 0% 0% 0%
February-14 25% 0% 0% 0% 0% 0%
February-15 0% 0% 0% 0% 0% 0%
February-16 0% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 16.13 13.30 6.31 5.08 3.91 2.51
Years 3 to Call 16.13 13.30 6.31 5.08 3.91 2.51
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-7: $24,250,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 100%
February-00 100% 100% 100% 100% 100% 0%
February-01 100% 100% 100% 100% 100% 0%
February-02 100% 100% 100% 100% 40% 0%
February-03 100% 100% 100% 78% 0% 0%
February-04 100% 100% 100% 35% 0% 0%
February-05 100% 100% 80% 23% 0% 0%
February-06 100% 100% 52% 2% 0% 0%
February-07 100% 100% 25% 0% 0% 0%
February-08 100% 100% 2% 0% 0% 0%
February-09 100% 100% 0% 0% 0% 0%
February-10 100% 100% 0% 0% 0% 0%
February-11 100% 100% 0% 0% 0% 0%
February-12 100% 0% 0% 0% 0% 0%
February-13 100% 0% 0% 0% 0% 0%
February-14 100% 0% 0% 0% 0% 0%
February-15 98% 0% 0% 0% 0% 0%
February-16 72% 0% 0% 0% 0% 0%
February-17 46% 0% 0% 0% 0% 0%
February-18 38% 0% 0% 0% 0% 0%
February-19 28% 0% 0% 0% 0% 0%
February-20 18% 0% 0% 0% 0% 0%
February-21 7% 0% 0% 0% 0% 0%
February-22 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 20.63 14.92 9.16 7.01 5.00 2.85
Years 3 to Call 20.02 14.92 9.00 6.94 5.00 2.85
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-8: $21,500,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 100%
February-00 100% 100% 100% 100% 100% 99%
February-01 100% 100% 100% 100% 100% 78%
February-02 100% 100% 100% 100% 100% 20%
February-03 100% 100% 100% 100% 94% 5%
February-04 100% 100% 100% 100% 65% 3%
February-05 100% 100% 100% 100% 63% 3%
February-06 100% 100% 100% 100% 50% 3%
February-07 100% 100% 100% 79% 36% 2%
February-08 100% 100% 100% 59% 24% 0%
February-09 100% 100% 80% 44% 14% 0%
February-10 100% 100% 61% 32% 6% 0%
February-11 100% 100% 47% 22% 1% 0%
February-12 100% 60% 5% 0% 0% 0%
February-13 100% 50% 1% 0% 0% 0%
February-14 100% 41% 0% 0% 0% 0%
February-15 100% 33% 0% 0% 0% 0%
February-16 100% 25% 0% 0% 0% 0%
February-17 100% 16% 0% 0% 0% 0%
February-18 100% 12% 0% 0% 0% 0%
February-19 100% 9% 0% 0% 0% 0%
February-20 100% 5% 0% 0% 0% 0%
February-21 100% 3% 0% 0% 0% 0%
February-22 93% 0% 0% 0% 0% 0%
February-23 78% 0% 0% 0% 0% 0%
February-24 61% 0% 0% 0% 0% 0%
February-25 43% 0% 0% 0% 0% 0%
February-26 19% 0% 0% 0% 0% 0%
February-27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 27.51 17.24 13.61 11.98 9.10 4.72
Years 3 to Call 21.36 14.94 9.94 8.36 6.53 4.44
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-9: $30,000,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 100%
February-00 100% 100% 100% 100% 100% 100%
February-01 99% 94% 89% 89% 89% 94%
February-02 98% 88% 80% 78% 76% 75%
February-03 97% 77% 66% 62% 56% 49%
February-04 95% 68% 52% 46% 38% 29%
February-05 87% 46% 24% 18% 13% 15%
February-06 80% 31% 11% 7% 4% 5%
February-07 72% 20% 5% 3% 1% 0%
February-08 64% 13% 2% 1% 0% 0%
February-09 56% 9% 1% 0% 0% 0%
February-10 48% 6% 0% 0% 0% 0%
February-11 40% 3% 0% 0% 0% 0%
February-12 0% 0% 0% 0% 0% 0%
February-13 0% 0% 0% 0% 0% 0%
February-14 0% 0% 0% 0% 0% 0%
February-15 0% 0% 0% 0% 0% 0%
February-16 0% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 12.06 8.09 6.85 6.58 6.33 6.23
Years 3 to Call 12.06 8.09 6.77 6.43 5.78 4.74
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class M-1 $18,000,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 100%
February-00 100% 100% 100% 100% 100% 100%
February-01 100% 100% 85% 70% 52% 30%
February-02 100% 100% 67% 53% 36% 18%
February-03 100% 100% 52% 39% 25% 10%
February-04 100% 90% 41% 29% 17% 6%
February-05 100% 79% 32% 22% 12% 0%
February-06 100% 69% 25% 16% 8% 0%
February-07 100% 61% 19% 12% 4% 0%
February-08 100% 53% 15% 9% 0% 0%
February-09 100% 46% 12% 6% 0% 0%
February-10 100% 39% 9% 2% 0% 0%
February-11 100% 34% 7% 0% 0% 0%
February-12 40% 9% 0% 0% 0% 0%
February-13 37% 7% 0% 0% 0% 0%
February-14 34% 5% 0% 0% 0% 0%
February-15 30% 2% 0% 0% 0% 0%
February-16 26% 0% 0% 0% 0% 0%
February-17 22% 0% 0% 0% 0% 0%
February-18 20% 0% 0% 0% 0% 0%
February-19 19% 0% 0% 0% 0% 0%
February-20 17% 0% 0% 0% 0% 0%
February-21 15% 0% 0% 0% 0% 0%
February-22 13% 0% 0% 0% 0% 0%
February-23 11% 0% 0% 0% 0% 0%
February-24 9% 0% 0% 0% 0% 0%
February-25 6% 0% 0% 0% 0% 0%
February-26 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 17.79 11.57 7.22 6.09 5.02 4.25
Years 3 to Call 16.84 11.38 6.67 5.60 4.62 3.97
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class M-2 $23,000,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 100%
February-00 100% 100% 100% 100% 100% 100%
February-01 100% 100% 85% 70% 52% 30%
February-02 100% 100% 67% 53% 36% 16%
February-03 100% 100% 52% 39% 25% 6%
February-04 100% 90% 41% 29% 15% 0%
February-05 100% 79% 32% 22% 7% 0%
February-06 100% 69% 25% 14% 2% 0%
February-07 100% 61% 18% 8% 0% 0%
February-08 100% 53% 12% 3% 0% 0%
February-09 100% 46% 7% 0% 0% 0%
February-10 100% 39% 4% 0% 0% 0%
February-11 100% 34% 1% 0% 0% 0%
February-12 40% 3% 0% 0% 0% 0%
February-13 37% 1% 0% 0% 0% 0%
February-14 34% 0% 0% 0% 0% 0%
February-15 30% 0% 0% 0% 0% 0%
February-16 26% 0% 0% 0% 0% 0%
February-17 22% 0% 0% 0% 0% 0%
February-18 20% 0% 0% 0% 0% 0%
February-19 18% 0% 0% 0% 0% 0%
February-20 15% 0% 0% 0% 0% 0%
February-21 13% 0% 0% 0% 0% 0%
February-22 10% 0% 0% 0% 0% 0%
February-23 7% 0% 0% 0% 0% 0%
February-24 4% 0% 0% 0% 0% 0%
February-25 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 17.54 11.41 7.02 5.90 4.82 3.94
Years 3 to Call 16.83 11.38 6.67 5.60 4.58 3.78
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class B $5,000,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 100%
February-00 100% 100% 100% 100% 100% 100%
February-01 100% 100% 85% 70% 52% 14%
February-02 100% 100% 67% 53% 25% 0%
February-03 100% 100% 52% 31% 5% 0%
February-04 100% 90% 34% 13% 0% 0%
February-05 100% 79% 18% 0% 0% 0%
February-06 100% 69% 5% 0% 0% 0%
February-07 100% 61% 0% 0% 0% 0%
February-08 100% 53% 0% 0% 0% 0%
February-09 100% 42% 0% 0% 0% 0%
February-10 100% 31% 0% 0% 0% 0%
February-11 100% 21% 0% 0% 0% 0%
February-12 32% 0% 0% 0% 0% 0%
February-13 27% 0% 0% 0% 0% 0%
February-14 21% 0% 0% 0% 0% 0%
February-15 14% 0% 0% 0% 0% 0%
February-16 7% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 15.83 11.07 6.17 5.18 4.24 3.44
Years 3 to Call 15.83 11.07 6.17 5.18 4.24 3.44
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
TRANSACTION SUMMARY @ Pricing Prepayment Speed
Expected
Estimated to Maturity Ratings
Modified Principal Principal (Moody's /
Approximate Size Certificate WAL Duration Lockout Window FITCH)
$50,750,000 Class A-1 0.50 0.48 0 1-10 Aaa/AAA
$57,500,000 Class A-2 1.15 1.08 9 10-17 Aaa/AAA
$84,500,000 Class A-3 2.03 1.84 16 17-32 Aaa/AAA
$37,250,000 Class A-4 3.03 2.66 31 32-42 Aaa/AAA
$28,250,000 Class A-5 4.04 3.41 41 42-55 Aaa/AAA
$20,000,000 Class A-6 5.08 4.12 54 55-68 Aaa/AAA
$24,250,000 Class A-7 7.01 5.26 67 68-110 Aaa/AAA
$21,500,000 Class A-8 11.98 7.52 109 110-179 Aaa/AAA
$30,000,000 Class A-9 6.58 5.00 36 37-179 Aaa/AAA
(3) Class A-10IO Aaa/AAA
$18,000,000 Class M-1 6.09 4.52 36 37-162 Aa2/AA
$23,000,000 Class M-2 5.90 4.40 36 37-145 A3/A
$5,000,000 Class B 5.18 4.00 36 37-96 Baa3/BBB
Class A-1 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 4.50 0.82 0.56 0.50 0.44 0.37
Duration 3.65 0.77 0.53 0.48 0.42 0.36
First Principal Payment Mar-97 Mar-97 Mar-97 Mar-97 Mar-97 Mar-97
Last Principal Payment Nov-05 Jul-98 Jan-98 Dec-97 Nov-97 Sep-97
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 105 17 11 10 9 7
Yield @ Par 6.296% 6.045% 5.900% 5.851% 5.783% 5.683%
Class A-2 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 12.02 2.20 1.31 1.15 0.99 0.83
Duration 8.11 1.99 1.22 1.08 0.93 0.78
First Principal Payment Nov-05 Jul-98 Jan-98 Dec-97 Nov-97 Sep-97
Last Principal Payment Sep-11 Jan-00 Oct-98 Jul-98 May-98 Feb-98
Principal Lockout (months) 104 16 10 9 8 6
Principal Window (months) 71 19 10 8 7 6
Yield @ Par 6.445% 6.350% 6.271% 6.245% 6.209% 6.158%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Class A-3 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 14.93 4.40 2.38 2.03 1.68 1.32
Duration 9.22 3.69 2.13 1.84 1.54 1.23
First Principal Payment Sep-11 Jan-00 Oct-98 Jul-98 May-98 Feb-98
Last Principal Payment Jan-12 Feb-03 Mar-00 Oct-99 Apr-99 Oct-98
Principal Lockout (months) 174 34 19 16 14 11
Principal Window (months) 5 38 18 16 12 9
Yield @ Par 6.674% 6.632% 6.581% 6.562% 6.534% 6.491%
Class A-4 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 14.94 7.40 3.66 3.03 2.42 1.84
Duration 9.11 5.62 3.14 2.66 2.16 1.68
First Principal Payment Jan-12 Feb-03 Mar-00 Oct-99 Apr-99 Oct-98
Last Principal Payment Jan-12 Mar-06 May-01 Aug-00 Oct-99 Feb-99
Principal Lockout (months) 178 71 36 31 25 19
Principal Window (months) 1 38 15 11 7 5
Yield @ Par 6.858% 6.840% 6.803% 6.787% 6.764% 6.729%
Class A-5 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 14.94 10.58 4.92 4.04 2.98 2.20
Duration 8.98 7.23 4.02 3.41 2.61 1.97
First Principal Payment Jan-12 Mar-06 May-01 Aug-00 Oct-99 Feb-99
Last Principal Payment Jan-12 Mar-09 Sep-02 Sep-01 Aug-00 Jun-99
Principal Lockout (months) 178 108 50 41 31 23
Principal Window (months) 1 37 17 14 11 5
Yield @ Par 7.093% 7.086% 7.055% 7.043% 7.018% 6.985%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Class A-6 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 16.13 13.30 6.31 5.08 3.91 2.51
Duration 9.24 8.29 4.91 4.12 3.30 2.22
First Principal Payment Jan-12 Mar-09 Sep-02 Sep-01 Aug-00 Jun-99
Last Principal Payment Jan-15 Sep-11 Apr-04 Oct-02 May-01 Oct-99
Principal Lockout (months) 178 144 66 54 41 27
Principal Window (months) 37 31 20 14 10 5
Yield @ Par 7.268% 7.265% 7.241% 7.231% 7.214% 7.172%
Class A-7 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 20.63 14.92 9.16 7.01 5.00 2.85
Duration 10.20 8.74 6.41 5.26 4.03 2.49
First Principal Payment Jan-15 Sep-11 Apr-04 Oct-02 May-01 Oct-99
Last Principal Payment Sep-21 Jan-12 Mar-08 Apr-06 Jan-03 Feb-00
Principal Lockout (months) 214 174 85 67 50 31
Principal Window (months) 81 5 48 43 21 5
Yield @ Par 7.507% 7.503% 7.491% 7.481% 7.464% 7.419%
Class A-8 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 27.51 17.24 13.61 11.98 9.10 4.72
Duration 11.08 9.18 8.14 7.52 6.23 3.79
First Principal Payment Sep-21 Jan-12 Mar-08 Apr-06 Jan-03 Feb-00
Last Principal Payment Oct-26 Feb-22 Jul-13 Jan-12 May-11 Jul-07
Principal Lockout (months) 294 178 132 109 70 35
Principal Window (months) 62 122 65 70 101 90
Yield @ Par 7.777% 7.771% 7.767% 7.764% 7.756% 7.725%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Class A-9 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 12.06 8.09 6.85 6.58 6.33 6.23
Duration 7.67 5.80 5.15 5.00 4.86 4.81
First Principal Payment Mar-00 Mar-00 Mar-00 Mar-00 Jun-00 Nov-00
Last Principal Payment Jan-12 Jan-12 Jan-12 Jan-12 Mar-11 May-07
Principal Lockout (months) 36 36 36 36 39 44
Principal Window (months) 143 143 143 143 130 79
Yield @ Par 7.283% 7.271% 7.265% 7.263% 7.261% 7.261%
Class M-1 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 17.79 11.57 7.22 6.09 5.02 4.25
Duration 9.18 7.22 5.13 4.52 3.92 3.46
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 May-00 Jul-00
Last Principal Payment Nov-25 Oct-15 Jan-12 Aug-10 Dec-07 Dec-04
Principal Lockout (months) 178 73 39 36 38 40
Principal Window (months) 167 151 140 126 92 54
Yield @ Par 7.833% 7.824% 7.807% 7.799% 7.789% 7.779%
Class M-2 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 17.54 11.41 7.02 5.90 4.82 3.94
Duration 8.96 7.06 5.00 4.40 3.78 3.23
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 Mar-00 Apr-00
Last Principal Payment Feb-25 Nov-13 Jun-11 Mar-09 Oct-06 Feb-04
Principal Lockout (months) 178 73 39 36 36 37
Principal Window (months) 158 128 133 109 80 47
Yield @ Par 8.131% 8.121% 8.103% 8.094% 8.083% 8.069%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Class B (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 15.83 11.07 6.17 5.18 4.24 3.44
Duration 8.47 6.85 4.58 4.00 3.41 2.88
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 Mar-00 Mar-00
Last Principal Payment Jan-17 Jan-12 Aug-06 Feb-05 Jun-03 Sep-01
Principal Lockout (months) 178 73 39 36 36 36
Principal Window (months) 61 106 75 60 40 19
Yield @ Par 8.417% 8.408% 8.384% 8.374% 8.360% 8.342%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Class A-7 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 20.02 14.92 9.00 6.94 5.00 2.85
Duration 10.09 8.74 6.34 5.23 4.03 2.49
First Principal Payment Jan-15 Sep-11 Apr-04 Oct-02 May-01 Oct-99
Last Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Jan-03 Feb-00
Principal Lockout (months) 214 174 85 67 50 31
Principal Window (months) 42 5 34 33 21 5
Yield @ Par 7.507% 7.503% 7.490% 7.480% 7.464% 7.419%
Class A-8 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 21.36 14.94 9.94 8.36 6.53 4.44
Duration 10.16 8.60 6.72 5.96 4.96 3.63
First Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Jan-03 Feb-00
Last Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Sep-03 Dec-01
Principal Lockout (months) 255 178 118 99 70 35
Principal Window (months) 1 1 1 1 9 23
Yield @ Par 7.774% 7.769% 7.759% 7.754% 7.744% 7.721%
Class A-9 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 12.06 8.09 6.77 6.43 5.78 4.74
Duration 7.67 5.80 5.12 4.93 4.55 3.89
First Principal Payment Mar-00 Mar-00 Mar-00 Mar-00 Jun-00 Nov-00
Last Principal Payment Jan-12 Jan-12 Jan-07 Jun-05 Sep-03 Dec-01
Principal Lockout (months) 36 36 36 36 39 44
Principal Window (months) 143 143 83 64 40 14
Yield @ Par 7.283% 7.271% 7.264% 7.262% 7.257% 7.247%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Class M-1 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 16.84 11.38 6.67 5.60 4.62 3.97
Duration 9.04 7.16 4.92 4.31 3.71 3.29
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 May-00 Jul-00
Last Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Sep-03 Dec-01
Principal Lockout (months) 178 73 39 36 38 40
Principal Window (months) 78 106 80 64 41 18
Yield @ Par 7.832% 7.824% 7.804% 7.796% 7.784% 7.774%
Class M-2 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 16.83 11.38 6.67 5.60 4.58 3.78
Duration 8.85 7.05 4.86 4.27 3.65 3.13
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 Mar-00 Apr-00
Last Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Sep-03 Dec-01
Principal Lockout (months) 178 73 39 36 36 37
Principal Window (months) 78 106 80 64 43 21
Yield @ Par 8.130% 8.121% 8.101% 8.092% 8.080% 8.065%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
Schedule B
Computational Materials Disclaimer
The attached tables, including information provided on Page 1 of this
Preliminary Term Sheet (the "Computational Materials"), are privileged and
confidential and intended for use by the addressee only. 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
either the Computational Material's 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 prepayment assumptions, and changes in such
prepayment assumptions may dramatically affect such weighted average lives or
principal payment periods. In addition, it is possible that prepayments on the
underlying assets will occur at rates slower or faster than the rates shown in
the attached Computational Materials. Furthermore, unless otherwise provided,
the Computational Materials assume no losses on the underlying assets and no
interest shortfall. The specific characteristics of the securities may differ
from those shown in the Computational Materials due to differences between the
actual underlying assets and the hypothetical 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.
Although a registration statement (including the prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with the Securities and Exchange Commission. This communication shall not
constitute an offer to sell or the solicitation of an offer to buy nor shall
there be any sale of the securities discussed in this communication in any state
in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus supplement relating
to the securities discussed in this communication for definitive Computational
Materials and any matter discussed in this communication. A prospectus and
prospectus supplement maybe obtained by contacting GCM's Trading Desk at (203)
625-6160.
Please be advised that mortgage-backed securities may not be appropriate for all
investors. Potential investors must be willing to assume, among other things,
market price volatility, prepayments, yield curve and interest rate risks.
Investors must consider the risks of these securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
[Greenwich Capital Logo]
<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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
Prepared: 01/29/97 Page 1
GREENWICH CAPITAL MARKETS, INC.
Preliminary Term Sheet
$400,000,000
ContiMortgage Home Equity Loan Trust 1997-1
Underwriters: Greenwich Capital Markets, Inc. (Books)
ContiFinancial Services Corporation
Morgan Stanley & Co. Inc.
Sellers: ContiMortgage Corporation and ContiWest Corporation
Originator &
Servicer: ContiMortgage Corporation
Depositor: ContiSecurities Asset Funding Corp.
Trustee: Manufacturers and Traders Trust Company (the "Trustee")
Registration: Certificates will be available in book-entry form through
DTC, Cedel and Euroclear.
Cut-off Date: January [17], 1997
Pricing Date: January [30], 1997
Settlement Date: February [6], 1997
Distribution Dates: [15]th day of each month (or the next succeeding business
day), beginning March [17], 1997.
ERISA Eligibility: The Class A Certificates may be purchased by employee
benefit plans that are subject to ERISA; the Class M and
B Certificates (the "Subordinate Certificate") may not
be purchased by employee benefit plans that are subject
to ERISA except as provided for in the Prospectus
Supplement.
SMMEA Treatment: The Certificates will not constitute "mortgage related
securities" for purposes of SMMEA.
Optional
Termination: 10% optional clean-up call (outstanding mortgage pool
balance is less than 10% of the initial mortgage pool
balance as of the Cut-off Date).
Mortgage Loans: Fixed rate conventional (closed-end) home equity mortgage
loans.
Pre-Funding: None
Taxation: REMIC election
Credit Enhancement: For each respective class of Certificates as follows:
Initial Subordination and Target
Overcollateralization:
--------------------------------
(as a % of the original balance
of all Certificates) Class A Class M-1 Class M-2 Class B
------- --------- --------- -------
Initial Subordination 11.50% 7.00% 1.25% 0.00%
Target Overcollateralization
(0% initially)* 1.00% 1.00% 1.00% 1.00%
---------------------------- ----- ----- ----- -----
Total Credit Enhancement 12.50% 8.00% 2.25% 1.00%
* Resulting from the application of excess spread.
Subordination and Overcollateralization
Step-Down:**
---------------------------------------
(as a % of the outstanding
collateral balance) Class A Class M-1 Class M-2 Class B
------- --------- --------- -------
Subordination Step-Down 23.00% 14.00% 2.50% 0.00%
Overcollateralization Step-Down 2.00% 2.00% 2.00% 2.00%
------------------------------- ----- ----- ----- -----
Total Subordination Step-Down 25.00% 16.00% 4.50% 2.00%
** Subject to certain collateral performance measures (or "Trigger
Event") and minimum overcollateralization levels. No step-down
shall occur until the later of (a) period 37 and (b) the outstanding
collateral balance is less than 50% of the initial collateral balance
(the "Step-Down Date").
These materials must be read in conjunction with the disclaimer and all
information contained herein shall be superseded in its entirety by the
Prospectus and Prospectus Supplement.
<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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
Page 2
ContiMortgage Home Equity Loan Trust 1997-1
Interest
Allocations: Interest received shall be allocated in the following
priority to the extent of amounts avaialble:
(i) Payment of Trustee Fees;
(ii) Current Interest on the Class A Certificates,
pro-rata without any priority;
(iii) Current Interest on the Class M-1 Certificates;
(iv) Current Interest on the Class M-2 Certificates;
(v) Current Interest on the Class B-1 Certificates;
(vi) As accelerated distribution of principal on the Class A
Certificates, Class M-1 Certificates, Class M-2
Certificates, and Class B Certificates (in such
priority as required to reach and maintain the Total
Subordination Step-Down amount for each such Class of
Certificates, respectively--see Principal Allocations
below), until the Target Overcollateralization amount
is reached, and
(vii) Remaining amounts to the owner of the Class C-IO
Certificates (not being offered hereby).
Principal
Allocation: Principal collections shall be allocated in the following
priority to the extent of amounts available:
For periods prior to the Step-Down Date or upon a Trigger
Event (defined above):
(i) To the Class A Certificates (sequentially with
respect to Classes A-1 to A-8, and concurrently
with respect to Class A-9 based upon its
specified percentage), all principal collections
until such Classes are equal to zero;
(ii) To the Class M-1 Certificates, all principal
collections until such Class is equal to zero;
(iii) To the Class M-2 Certificates, all principal
collections until such Class is equal to zero; and
(iv) To the Class B Certificates, all principal
collections until such Class is equal to zero;
For periods on and after the Step-Down Date and no Trigger
Event (defined above):
(i) To the Class A Certificates (sequentially with
respect to Classes A-1 to A-8, and concurrently
with respect to Class A-9 based upon its
specified percentage), an amount required to reach
and maintain the Total Subordination Step-down
amount for the Class A Certificates;
(ii) To the Class M-1 Certificates, an amount required
to reach and maintain the Total Subordination Step-
down amount for the Class M-1 Certificates;
(iii) To the Class M-2 Certificates, an amount required
to reach and maintain the Total Subordination Step-
down amount for the Class M-2 Certificates;
(iv) To the Class B Certificates, an amount required
to reach and maintain the Total Subordination Step-
down amount for the Class B Certificates, and
(v) Any remaining amounts shall be paid to the Class R
Certificate (not being offered hereby)
Loss
Allocations: Losses shall be allocated in the following priority:
(i) as a reduction to current period excess spread;
(ii) as a reduction to the Overcollateralization Amount;
(iii) as a reduction to the Class B Certificate Balance;
(iv) as a reduction to the Class M-2 Certificate
Balance;
(v) as a reduction to the Class M-1 Certificate
Balance, and
(vi) as a reduction to the Class A Certificate Balances
(pro-rata).
These materials must be read in conjunction with the disclaimer and all
information contained herein shall be superseded in its entirety by the
Prospectus and Prospectus Supplement.
<PAGE>
Preliminary Term Sheet
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
Modeling Assumptions
Fixed Rate Collateral $399,999,865
Prepayment Assumption: 120% of the Prepayment Assumption. A 100% Prepayment
Assumption assumes that the prepayments start at 4% CPR in month 1, rise by
1.455% per month to 20% CPR in month 12 and remain at 20% CPR thereafter on a
seasoning adjusted basis.
<TABLE>
<CAPTION>
Expected
Moody's/Fitch Delay Day Dated Settlement
Class Balance WAL Ratings Coupon (1) Days Count Date Date
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $50,750,000 0.50 Aaa/AAA 6.28% 14 30/360 1/18/97 2/6/97
A-2 $57,500,000 1.15 Aaa/AAA 6.39% 14 30/360 1/18/97 2/6/97
A-3 $84,500,000 2.03 Aaa/AAA 6.61% 14 30/360 1/18/97 2/6/97
A-4 $37,250,000 3.03 Aaa/AAA 6.79% 14 30/360 1/18/97 2/6/97
A-5 $28,250,000 4.04 Aaa/AAA 7.02% 14 30/360 1/18/97 2/6/97
A-6 $20,000,000 5.08 Aaa/AAA 7.19% 14 30/360 1/18/97 2/6/97
A-7 $24,250,000 7.01 Aaa/AAA 7.42% 14 30/360 1/18/97 2/6/97
A-8 $21,500,000 11.98 Aaa/AAA 7.68% 14 30/360 1/18/97 2/6/97
A-9 (2) $30,000,000 6.58 Aaa/AAA 7.21% 14 30/360 1/18/97 2/6/97
A-10IO (3) Aaa/AAA 1.10% 14 30/360 1/18/97 2/6/97
M-1 $18,000,000 6.09 Aa2/AA 7.74% 14 30/360 1/18/97 2/6/97
M-2 $23,000,000 5.90 A3/A 8.03% 14 30/360 1/18/97 2/6/97
B $5,000,000 5.18 Baa3/BBB 8.31% 14 30/360 1/18/97 2/6/97
</TABLE>
Notes:
(1) All Classes settle with accrued interest; 30/360 day count.
(2) Class A-9 Lock-Out Bond is allocated principal pari passu with the Class A
Certificates that is currently receiving principal payments in a ratio equal
to the product of a) the outstanding principal balance of the Lock Bond
divided by the outstanding principal balance of all Class A Certificates and
b) a specified percentage.
The specified percentage is as follows:
Distribution Periods Applicable Percentages
Month 1 - Month 36 0%
Month 37 - Month 60 45%
Month 61 - Month 72 80%
Month 73 - Month 84 100%
Month 85 - End 300%
(3) Class A-10IO Notional Balance is the outstanding Collateral Balance each
month.
Initial OC 0.00%
OC Target: 1.00% as % of initial principal Certificate balance
OC Step Down 2.00% as % of current principal Certificate balance
The OC Step Down occurs when at the later of (i) period 37 and (ii) the current
principal balance is less than 50% of the initial principal balance.
OC Floor: 0.50% as % of initial collateral principal balance
Servicing: 0.50% as % of collateral principal balance
Trustee: 0.01% as % of collateral principal balance
<PAGE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
[Greenwich Capital Logo]
TRANSACTION SUMMARY @ Pricing Prepayment Speed
Expected
Estimated to Maturity Ratings
Modified Principal Principal (Moody's /
Approximate Size Certificate WAL Duration Lockout Window FITCH)
$50,750,000 Class A-1 0.50 0.48 0 1-10 Aaa/AAA
$57,500,000 Class A-2 1.15 1.08 9 10-17 Aaa/AAA
$84,500,000 Class A-3 2.03 1.84 16 17-32 Aaa/AAA
$37,250,000 Class A-4 3.03 2.66 31 32-42 Aaa/AAA
$28,250,000 Class A-5 4.04 3.41 41 42-55 Aaa/AAA
$20,000,000 Class A-6 5.08 4.12 54 55-68 Aaa/AAA
$24,250,000 Class A-7 7.01 5.26 67 68-110 Aaa/AAA
$21,500,000 Class A-8 11.98 7.52 109 110-179 Aaa/AAA
$30,000,000 Class A-9 6.58 5.00 36 37-179 Aaa/AAA
(3) Class A-10IO Aaa/AAA
$18,000,000 Class M-1 6.09 4.52 36 37-162 Aa2/AA
$23,000,000 Class M-2 5.90 4.40 36 37-145 A3/A
$5,000,000 Class B 5.18 4.00 36 37-96 Baa3/BBB
Class A-1 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 4.50 0.82 0.56 0.50 0.44 0.37
Duration 3.65 0.77 0.53 0.48 0.42 0.36
First Principal Payment Mar-97 Mar-97 Mar-97 Mar-97 Mar-97 Mar-97
Last Principal Payment Nov-05 Jul-98 Jan-98 Dec-97 Nov-97 Sep-97
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 105 17 11 10 9 7
Yield @ Par 6.296% 6.045% 5.900% 5.851% 5.783% 5.683%
Class A-2 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 12.02 2.20 1.31 1.15 0.99 0.83
Duration 8.11 1.99 1.22 1.08 0.93 0.78
First Principal Payment Nov-05 Jul-98 Jan-98 Dec-97 Nov-97 Sep-97
Last Principal Payment Sep-11 Jan-00 Oct-98 Jul-98 May-98 Feb-98
Principal Lockout (months) 104 16 10 9 8 6
Principal Window (months) 71 19 10 8 7 6
Yield @ Par 6.445% 6.350% 6.271% 6.245% 6.209% 6.158%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<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 Supplement for this transaction. An offering may only
be made through the delivery of a Prospectus Supplement and the
related Prospectus.
Schedule C
Computational Materials Disclaimer
The attached tables, including information provided on Page 1 of this
Preliminary Term Sheet (the "Computational Materials"), are privileged and
confidential and intended for use by the addressee only. 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
either the Computational Material's 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 prepayment assumptions, and changes in such
prepayment assumptions may dramatically affect such weighted average lives or
principal payment periods. In addition, it is possible that prepayments on the
underlying assets will occur at rates slower or faster than the rates shown in
the attached Computational Materials. Furthermore, unless otherwise provided,
the Computational Materials assume no losses on the underlying assets and no
interest shortfall. The specific characteristics of the securities may differ
from those shown in the Computational Materials due to differences between the
actual underlying assets and the hypothetical 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.
Although a registration statement (including the prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with the Securities and Exchange Commission. This communication shall not
constitute an offer to sell or the solicitation of an offer to buy nor shall
there be any sale of the securities discussed in this communication in any state
in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus supplement relating
to the securities discussed in this communication for definitive Computational
Materials and any matter discussed in this communication. A prospectus and
prospectus supplement maybe obtained by contacting GCM's Trading Desk at (203)
625-6160.
Please be advised that mortgage-backed securities may not be appropriate for all
investors. Potential investors must be willing to assume, among other things,
market price volatility, prepayments, yield curve and interest rate risks.
Investors must consider the risks of these securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
<TABLE>
<CAPTION>
Summary of Bonds
1st Last
Payment Payment
To Maturity Avg Life CBE Date Date Modified Legal
Class Amount Coupon (years) Yield Price (mm/yy) (mm/yy) Duration Final
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $50,750,000 6.28% 0.50 5.851% 100.00% Mar-97 Dec-97 0.48 TBD
A-2 $57,500,000 6.39% 1.15 6.245% 100.00% Dec-97 Jul-98 1.08 TBD
A-3 $84,500,000 6.61% 2.03 6.562% 100.00% Jul-98 Oct-99 1.84 TBD
A-4 $37,250,000 6.79% 3.03 6.787% 100.00% Oct-99 Aug-00 2.66 TBD
A-5 $28,250,000 7.02% 4.04 7.043% 100.00% Aug-00 Sep-01 3.41 TBD
A-6 $20,000,000 7.19% 5.08 7.231% 100.00% Sep-01 Oct-02 4.12 TBD
A-7 $24,250,000 7.42% 7.01 7.481% 100.00% Oct-02 Apr-06 5.26 TBD
A-8 $21,500,000 7.68% 11.98 7.764% 100.00% Apr-06 Jan-12 7.52 TBD
A-9 $30,000,000 7.21% 6.58 7.263% 100.00% Mar-00 Jan-12 5.00 TBD
A-10IO (3) 1.10%
M-1 $18,000,000 7.74% 6.09 7.799% 100.00% Mar-00 Aug-10 4.52 TBD
M-2 $23,000,000 8.03% 5.90 8.094% 100.00% Mar-00 Mar-09 4.40 TBD
B $5,000,000 8.31% 5.18 8.374% 100.00% Mar-00 Feb-05 4.00 TBD
1st Last
Payment Payment
To Call Avg Life CBE Date Date Modified
Class Amount Coupon (years) Yield Price (mm/yy) (mm/yy) Duration
A-7 $24,250,000 7.42% 6.94 7.480% 100.00% Oct-02 Jun-05 5.23
A-8 $21,500,000 7.68% 8.36 7.754% 100.00% Jun-05 Jun-05 5.96
A-9 $30,000,000 7.21% 6.43 7.262% 100.00% Mar-00 Jun-05 4.93
A-10IO (3) 1.10% Mar-97 Jun-05
M-1 $18,000,000 7.74% 5.60 7.796% 100.00% Mar-00 Jun-05 4.31
M-2 $23,000,000 8.03% 5.60 8.092% 100.00% Mar-00 Jun-05 4.27
</TABLE>
Notes:
1 Pricing Prepayment = 120% of the Prepayment Assumption.
A 100% Prepayment Assumption assumes prepayments start at 4% CPR in month 1,
rise by 1.455% per month to 20% CPR in month 12 thereafter on a seasoning
adjusted basis.
2 Coupons and prices are assumed for computational materials.
<PAGE>
Fixed Rate Home Equity Loans (Minimum - Maximum)
Total Number of Loans: 6,539
Total Outstanding Loan Balance: $399,999,865
Balloon (% of Total): 55.62%
Level Pay (% of Total): 44.38%
Average Loan Principal Balance: $ 61,171.00 ($198.5 to $450,000)
Weighted Average LTV: 72.42% (4.00% to 90.00%)
Weighted Average CLTV : 75.48% (10.15% to 95.97%)
Weighted Average Home Equity Ratio
2nd Liens Only): 39.84% (5.83% to 96.04%)
Weighted Average Coupon: 11.56% (7.90% to 20.95%)
Weighted Average Remaining Term to
Maturity (months): 214.4 (56 to 360)
Weighted Average Seasoning (months): 1.3
Weighted Average Original
Term (months): 215.7 (60 to 360 )
Range of Original Terms: Level Pay Balloons
----------------- -------------
Up to 60: 0.20% 180 100%
61 - 120: 3.09%
121 - 180: 29.01%
181 - 240: 31.93%
241 - 300: 1.27%
301 - 360: 34.50%
Lien Position:
1st Lien: 93.22%
2nd Lien: 6.78%
Property Type:
Single Family Detached: 84.63%
Single Family Attached: 3.74%
2 -4 Family: 8.16%
Other: 3.47%
Occupancy Status:
Owner Occupied: 95.26%
Non-Owner Occupied: 4.74%
Geographic Distribution: OH: 10.06%
(states not listed individually account for NY: 8.91%
less than 5.00% of the Outstanding Mortgage MI: 8.42%
Pool principal balance) IL: 7.08%
PA: 6.14%
NJ: 6.02%
FL: 5.70%
NC: 5.06%
Credit Quality: A: 54.70%
(per ContiMortgage's guidelines) B: 25.35%
C: 15.25%
D: 4.71%
<PAGE>
TRANSACTION SUMMARY @ Pricing Prepayment Speed
Expected
Estimated to Maturity Ratings
Modified Principal Principal (Moody's /
Approximate Size Certificate WAL Duration Lockout Window FITCH)
$50,750,000 Class A-1 0.50 0.48 0 1-10 Aaa/AAA
$57,500,000 Class A-2 1.15 1.08 9 10-17 Aaa/AAA
$84,500,000 Class A-3 2.03 1.84 16 17-32 Aaa/AAA
$37,250,000 Class A-4 3.03 2.66 31 32-42 Aaa/AAA
$28,250,000 Class A-5 4.04 3.41 41 42-55 Aaa/AAA
$20,000,000 Class A-6 5.08 4.12 54 55-68 Aaa/AAA
$24,250,000 Class A-7 7.01 5.26 67 68-110 Aaa/AAA
$21,500,000 Class A-8 11.98 7.52 109 110-179 Aaa/AAA
$30,000,000 Class A-9 6.58 5.00 36 37-179 Aaa/AAA
(3) Class A-10IO Aaa/AAA
$18,000,000 Class M-1 6.09 4.52 36 37-162 Aa2/AA
$23,000,000 Class M-2 5.90 4.40 36 37-145 A3/A
$5,000,000 Class B 5.18 4.00 36 37-96 Baa3/BBB
Class A-1 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 4.50 0.82 0.56 0.50 0.44 0.37
Duration 3.65 0.77 0.53 0.48 0.42 0.36
First Principal Payment Mar-97 Mar-97 Mar-97 Mar-97 Mar-97 Mar-97
Last Principal Payment Nov-05 Jul-98 Jan-98 Dec-97 Nov-97 Sep-97
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 105 17 11 10 9 7
Yield @ Par 6.296% 6.045% 5.900% 5.851% 5.783% 5.683%
Class A-2 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 12.02 2.20 1.31 1.15 0.99 0.83
Duration 8.11 1.99 1.22 1.08 0.93 0.78
First Principal Payment Nov-05 Jul-98 Jan-98 Dec-97 Nov-97 Sep-97
Last Principal Payment Sep-11 Jan-00 Oct-98 Jul-98 May-98 Feb-98
Principal Lockout (months) 104 16 10 9 8 6
Principal Window (months) 71 19 10 8 7 6
Yield @ Par 6.445% 6.350% 6.271% 6.245% 6.209% 6.158%
Class A-3 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 14.93 4.40 2.38 2.03 1.68 1.32
Duration 9.22 3.69 2.13 1.84 1.54 1.23
First Principal Payment Sep-11 Jan-00 Oct-98 Jul-98 May-98 Feb-98
Last Principal Payment Jan-12 Feb-03 Mar-00 Oct-99 Apr-99 Oct-98
Principal Lockout (months) 174 34 19 16 14 11
Principal Window (months) 5 38 18 16 12 9
Yield @ Par 6.674% 6.632% 6.581% 6.562% 6.534% 6.491%
Class A-4 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 14.94 7.40 3.66 3.03 2.42 1.84
Duration 9.11 5.62 3.14 2.66 2.16 1.68
First Principal Payment Jan-12 Feb-03 Mar-00 Oct-99 Apr-99 Oct-98
Last Principal Payment Jan-12 Mar-06 May-01 Aug-00 Oct-99 Feb-99
Principal Lockout (months) 178 71 36 31 25 19
Principal Window (months) 1 38 15 11 7 5
Yield @ Par 6.858% 6.840% 6.803% 6.787% 6.764% 6.729%
Class A-5 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 14.94 10.58 4.92 4.04 2.98 2.20
Duration 8.98 7.23 4.02 3.41 2.61 1.97
First Principal Payment Jan-12 Mar-06 May-01 Aug-00 Oct-99 Feb-99
Last Principal Payment Jan-12 Mar-09 Sep-02 Sep-01 Aug-00 Jun-99
Principal Lockout (months) 178 108 50 41 31 23
Principal Window (months) 1 37 17 14 11 5
Yield @ Par 7.093% 7.086% 7.055% 7.043% 7.018% 6.985%
Class A-6 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 16.13 13.30 6.31 5.08 3.91 2.51
Duration 9.24 8.29 4.91 4.12 3.30 2.22
First Principal Payment Jan-12 Mar-09 Sep-02 Sep-01 Aug-00 Jun-99
Last Principal Payment Jan-15 Sep-11 Apr-04 Oct-02 May-01 Oct-99
Principal Lockout (months) 178 144 66 54 41 27
Principal Window (months) 37 31 20 14 10 5
Yield @ Par 7.268% 7.265% 7.241% 7.231% 7.214% 7.172%
<PAGE>
Class A-7 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 20.63 14.92 9.16 7.01 5.00 2.85
Duration 10.20 8.74 6.41 5.26 4.03 2.49
First Principal Payment Jan-15 Sep-11 Apr-04 Oct-02 May-01 Oct-99
Last Principal Payment Sep-21 Jan-12 Mar-08 Apr-06 Jan-03 Feb-00
Principal Lockout (months) 214 174 85 67 50 31
Principal Window (months) 81 5 48 43 21 5
Yield @ Par 7.507% 7.503% 7.491% 7.481% 7.464% 7.419%
Class A-8 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 27.51 17.24 13.61 11.98 9.10 4.72
Duration 11.08 9.18 8.14 7.52 6.23 3.79
First Principal Payment Sep-21 Jan-12 Mar-08 Apr-06 Jan-03 Feb-00
Last Principal Payment Oct-26 Feb-22 Jul-13 Jan-12 May-11 Jul-07
Principal Lockout (months) 294 178 132 109 70 35
Principal Window (months) 62 122 65 70 101 90
Yield @ Par 7.777% 7.771% 7.767% 7.764% 7.756% 7.725%
Class A-9 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 12.06 8.09 6.85 6.58 6.33 6.23
Duration 7.67 5.80 5.15 5.00 4.86 4.81
First Principal Payment Mar-00 Mar-00 Mar-00 Mar-00 Jun-00 Nov-00
Last Principal Payment Jan-12 Jan-12 Jan-12 Jan-12 Mar-11 May-07
Principal Lockout (months) 36 36 36 36 39 44
Principal Window (months) 143 143 143 143 130 79
Yield @ Par 7.283% 7.271% 7.265% 7.263% 7.261% 7.261%
Class M-1 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 17.79 11.57 7.22 6.09 5.02 4.25
Duration 9.18 7.22 5.13 4.52 3.92 3.46
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 May-00 Jul-00
Last Principal Payment Nov-25 Oct-15 Jan-12 Aug-10 Dec-07 Dec-04
Principal Lockout (months) 178 73 39 36 38 40
Principal Window (months) 167 151 140 126 92 54
Yield @ Par 7.833% 7.824% 7.807% 7.799% 7.789% 7.779%
Class M-2 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 17.54 11.41 7.02 5.90 4.82 3.94
Duration 8.96 7.06 5.00 4.40 3.78 3.23
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 Mar-00 Apr-00
Last Principal Payment Feb-25 Nov-13 Jun-11 Mar-09 Oct-06 Feb-04
Principal Lockout (months) 178 73 39 36 36 37
Principal Window (months) 158 128 133 109 80 47
Yield @ Par 8.131% 8.121% 8.103% 8.094% 8.083% 8.069%
Class B (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 15.83 11.07 6.17 5.18 4.24 3.44
Duration 8.47 6.85 4.58 4.00 3.41 2.88
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 Mar-00 Mar-00
Last Principal Payment Jan-17 Jan-12 Aug-06 Feb-05 Jun-03 Sep-01
Principal Lockout (months) 178 73 39 36 36 36
Principal Window (months) 61 106 75 60 40 19
Yield @ Par 8.417% 8.408% 8.384% 8.374% 8.360% 8.342%
Class A-7 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 20.02 14.92 9.00 6.94 5.00 2.85
Duration 10.09 8.74 6.34 5.23 4.03 2.49
First Principal Payment Jan-15 Sep-11 Apr-04 Oct-02 May-01 Oct-99
Last Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Jan-03 Feb-00
Principal Lockout (months) 214 174 85 67 50 31
Principal Window (months) 42 5 34 33 21 5
Yield @ Par 7.507% 7.503% 7.490% 7.480% 7.464% 7.419%
<PAGE>
Class A-8 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 21.36 14.94 9.94 8.36 6.53 4.44
Duration 10.16 8.60 6.72 5.96 4.96 3.63
First Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Jan-03 Feb-00
Last Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Sep-03 Dec-01
Principal Lockout (months) 255 178 118 99 70 35
Principal Window (months) 1 1 1 1 9 23
Yield @ Par 7.774% 7.769% 7.759% 7.754% 7.744% 7.721%
Class A-9 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 12.06 8.09 6.77 6.43 5.78 4.74
Duration 7.67 5.80 5.12 4.93 4.55 3.89
First Principal Payment Mar-00 Mar-00 Mar-00 Mar-00 Jun-00 Nov-00
Last Principal Payment Jan-12 Jan-12 Jan-07 Jun-05 Sep-03 Dec-01
Principal Lockout (months) 36 36 36 36 39 44
Principal Window (months) 143 143 83 64 40 14
Yield @ Par 7.283% 7.271% 7.264% 7.262% 7.257% 7.247%
Class M-1 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 16.84 11.38 6.67 5.60 4.62 3.97
Duration 9.04 7.16 4.92 4.31 3.71 3.29
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 May-00 Jul-00
Last Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Sep-03 Dec-01
Principal Lockout (months) 178 73 39 36 38 40
Principal Window (months) 78 106 80 64 41 18
Yield @ Par 7.832% 7.824% 7.804% 7.796% 7.784% 7.774%
Class M-2 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 16.83 11.38 6.67 5.60 4.58 3.78
Duration 8.85 7.05 4.86 4.27 3.65 3.13
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 Mar-00 Apr-00
Last Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Sep-03 Dec-01
Principal Lockout (months) 178 73 39 36 36 37
Principal Window (months) 78 106 80 64 43 21
Yield @ Par 8.130% 8.121% 8.101% 8.092% 8.080% 8.065%
<PAGE>
Distribution by Geographic Location
# of Aggregate % of Aggregate
Geographic Location Loans Loan Balance Loan Balance
Arizona 44 $3,011,343.01 0.75%
Arkansas 37 2,078,999.78 0.52%
California 118 13,006,377.27 3.25%
Colorado 66 4,164,876.69 1.04%
Connecticut 78 7,101,585.65 1.78%
Delaware 22 1,805,483.60 0.45%
DC 39 3,053,586.74 0.76%
Florida 405 22,804,279.63 5.70%
Georgia 190 10,806,993.33 2.70%
Hawaii 1 84,964.28 0.02%
Idaho 19 1,295,448.17 0.32%
Illinois 449 28,314,399.05 7.08%
Indiana 384 18,302,622.45 4.58%
Iowa 18 630,333.49 0.16%
Kansas 37 1,909,058.39 0.48%
Kentucky 141 7,166,877.52 1.79%
Louisiana 4 221,078.22 0.06%
Maine 2 102,158.69 0.03%
Maryland 267 18,950,785.37 4.74%
Massachusetts 150 11,717,967.29 2.93%
Michigan 768 33,662,964.58 8.42%
Minnesota 73 4,639,449.91 1.16%
Mississippi 16 653,537.70 0.16%
Missouri 125 5,654,597.45 1.41%
Montana 1 74,872.72 0.02%
Nebraska 5 243,538.36 0.06%
Nevada 9 490,987.79 0.12%
New Hampshire 9 432,919.15 0.11%
New Jersey 293 24,087,702.00 6.02%
New Mexico 44 3,229,216.91 0.81%
New York 393 35,654,453.52 8.91%
North Carolina 371 20,221,463.24 5.06%
Ohio 713 40,235,856.28 10.06%
Oklahoma 20 1,399,036.73 0.35%
Oregon 31 2,171,028.84 0.54%
Pennsylvania 440 24,564,777.91 6.14%
Rhode Island 40 3,680,818.54 0.92%
South Carolina 174 8,687,690.27 2.17%
Tennessee 139 9,363,729.72 2.34%
Texas 76 4,227,421.06 1.06%
Utah 98 7,309,100.71 1.83%
Vermont 1 70,000.00 0.02%
Virginia 103 5,149,467.43 1.29%
Washington 37 3,150,400.60 0.79%
West Virginia 13 390,727.55 0.10%
Wisconsin 74 3,947,968.07 0.99%
Wyoming 2 76,918.88 0.02%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Original Loan-to-Value Ratio (LTV)
# of Aggregate % of Aggregate
Original LTVs Loans Loan Balance Loan Balance
4.00% to 10.00 42 $692,862.78 0.17%
10.01% to 20.00 328 8,405,514.05 2.10%
20.01% to 30.00 357 11,728,837.40 2.93%
30.01% to 40.00 284 10,261,196.48 2.57%
40.01% to 50.00 412 15,378,483.65 3.84%
50.01% to 60.00 477 23,407,728.75 5.85%
60.01% to 70.00 1,026 56,409,581.19 14.10%
70.01% to 80.00 2,271 157,387,153.82 39.35%
80.01% to 90.00 1,342 116,328,506.42 29.08%
Total 6,539 $399,999,864.54 100.00%*
<PAGE>
Distribution by Loan Type
Loan # of Aggregate % of Aggregate
Type Loans Loan Balance Loan Balance
Balloon 3,143 $222,469,663.21 55.62%
Non Balloon 3,396 177,530,201.33 44.38%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
Distribution by Combined Loan-to-Value Ratio (LTV)
# of Aggregate % of Aggregate
Combined LTVs Loans Loan Balance Loan Balance
10.15% to 20.00 23 $571,902.19 0.14%
20.01% to 30.00 102 2,475,362.57 0.62%
30.01% to 40.00 193 5,894,675.56 1.47%
40.01% to 50.00 396 14,042,537.39 3.51%
50.01% to 60.00 496 23,471,330.21 5.87%
60.01% to 70.00 1,109 58,465,479.60 14.62%
70.01% to 80.00 2,507 163,437,062.87 40.86%
80.01% to 90.00 1,683 129,006,375.62 32.25%
90.01% to 95.92 30 2,635,138.53 0.66%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Coupon Rates
# of Aggregate % of Aggregate
Coupon Loans Loan Balance Loan Balance
7.900% to 9.500 326 $25,790,691.88 6.45%
9.501% to 10.000 538 40,866,454.93 10.22%
10.001% to 10.500 533 39,759,849.98 9.94%
10.501% to 11.000 949 71,132,044.91 17.78%
11.001% to 11.500 680 43,762,329.05 10.94%
11.501% to 12.000 892 56,629,844.97 14.16%
12.001% to 12.500 567 31,443,913.50 7.86%
12.501% to 13.000 647 32,844,694.16 8.21%
13.001% to 13.500 332 16,864,627.17 4.22%
13.501% to 14.000 358 15,646,498.93 3.91%
14.001% to 20.500 717 25,258,915.06 6.31%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
Distribution by Current Loan Balances
Current # of Aggregate % of Aggregate
Loan Balance Loans Loan Balance Loan Balance
$0 to $25,000 1,001 $18,772,192.73 4.69%
25,001 to 50,000 2,286 85,874,686.35 21.47%
50,001 to 75,000 1,585 97,324,609.49 24.33%
75,001 to 100,000 765 66,080,654.52 16.52%
100,001 to 125,000 414 46,289,846.52 11.57%
125,001 to 150,000 207 28,138,665.59 7.03%
150,001 to 175,000 99 16,045,309.02 4.01%
175,001 to 200,000 71 13,302,579.97 3.33%
200,001 to 225,000 54 11,576,150.73 2.89%
225,001 to 450,000 57 16,595,169.62 4.15%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Types of Mortgaged Property
Property # of Aggregate % of Aggregate
Types Loans Loan Balance Loan Balance
Condominium 44 $2,288,828.01 0.57%
Manufactured Housing 127 5,850,681.78 1.46%
Mixed Use 24 2,614,416.01 0.65%
Planned Unit Development 36 3,140,559.13 0.79%
Single Family Attached 288 14,956,454.29 3.74%
Single Family Detached 5,569 338,509,003.88 84.63%
Two-to-Four Family 451 32,639,921.44 8.16%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Loan Age
Months Elapsed # of Aggregate % of Aggregate
Since Origination Loans Loan Balance Loan Balance
0 to 1 months 4,342 $268,738,472.40 67.18%
2 to 12 months 2,196 131,256,463.80 32.81%
13 to 24 months 1 4,928.34 0.00%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
<PAGE>
Distribution by Remaining Term to Maturity
Remaining # of Aggregate % of Aggregate
Term Loans Loan Balance Loan Balance
0 to 120 months 246 $5,841,505.78 1.46%
121 to 180 months 4,431 273,968,098.29 68.49%
181 to 240 months 1,023 56,688,957.56 14.17%
241 to 360 months 839 63,501,302.91 15.88%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Original Term to Maturity
Original # of Aggregate % of Aggregate
Term Loans Loan Balance Loan Balance
0 to 120 months 246 $5,841,505.78 1.46%
121 to 180 months 4,431 273,968,098.29 68.49%
181 to 240 months 1,023 56,688,957.56 14.17%
241 to 360 months 839 63,501,302.91 15.88%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Home Equity Ratio (2nd Liens Only)
Home Equity # of Aggregate % of Aggregate
Ratio 2nd Liens 2nd Lien Balance 2nd Lien Balance
5.83% to 10.00 10 $161,094.76 0.59%
10.01% to 15.00 49 865,784.55 3.19%
15.01% to 20.00 108 2,508,458.78 9.24%
20.01% to 25.00 125 3,253,829.98 11.99%
25.01% to 30.00 116 3,608,395.01 13.30%
30.01% to 35.00 88 3,139,728.34 11.57%
35.01% to 40.00 79 3,155,341.04 11.63%
40.01% to 45.00 48 2,096,654.73 7.73%
45.01% to 50.00 35 1,761,839.34 6.49%
50.01% to 55.00 23 1,055,683.40 3.89%
55.01% to 60.00 20 1,030,606.94 3.80%
60.01% to 65.00 16 743,711.63 2.74%
65.01% to 70.00 14 701,028.25 2.58%
70.01% to 75.00 14 662,780.82 2.44%
75.01% to 80.00 11 570,067.36 2.10%
80.01% to 85.00 13 738,558.71 2.72%
85.01% to 90.00 6 649,782.88 2.39%
90.01% to 95.00 3 327,846.20 1.21%
95.01% to 100.00 2 105,728.76 0.39%
Total 780 $27,136,921.48 100.00%*
* Percentages may not add due to rounding.
Distribution by Occupancy Status
Occupancy # of Aggregate % of Aggregate
Status Loans Loan Balance Loan Balance
Investor Occupied 394 $18,969,476.94 4.74%
Owner Occupied 6,145 381,030,387.60 95.26%
Total 6,539 $399,999,864.54 100.00%*
<PAGE>
Distribution by Lien Position
Lien # of Aggregate % of Aggregate
Position Loans Loan Balance Loan Balance
1st lien 5,759 $372,862,943.06 93.22%
2nd lien 780 27,136,921.48 6.78%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
Distribution by Loan Purpose
Loan # of Aggregate % of Aggregate
Purpose Loans Loan Balance Loan Balance
Debt Consolidation 4,912 $291,088,354.67 72.77%
Home Improvement 231 12,736,494.29 3.18%
DC/HI Combo 350 21,317,410.33 5.33%
Purchase 665 50,285,307.30 12.57%
Other 381 24,572,297.95 6.14%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Days Delinquent
# of Aggregate % of Aggregate
Days Delinquent Loans Loan Balance Loan Balance
0 to 29 days 6,440 $393,893,731.16 98.47%
30 to 59 days 95 5,904,033.38 1.48%
60 to 89 days 4 202,100.00 0.05%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Debt to Income Ratio
Debt to # of Aggregate % of Aggregate
Income Ratio Loans Loan Balance Loan Balance
4.00% to 10.00 50 $1,883,372.15 0.47%
10.01% to 20.00 496 20,755,454.72 5.19%
20.01% to 30.00 1,335 70,273,991.17 17.57%
30.01% to 40.00 1,904 117,295,941.41 29.32%
40.01% to 50.00 2,614 178,291,972.25 44.57%
50.01% to 59.00 140 11,499,132.84 2.87%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
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.
Preliminary Term Sheet
$400,000,000
ContiMortgage Home Equity Loan Trust 1997-1
Underwriters: Greenwich Capital Markets, Inc. (Books)
ContiFinancial Services Corporation
Morgan Stanley & Co. Inc.
Sellers: ContiMortgage Corporation and ContiWest Corporation
Originator &
Servicer: ContiMortgage Corporation
Depositor: ContiSecurities Asset Funding Corp.
Trustee: Manufacturers and Traders Trust Company (the "Trustee")
Registration: Certificates will be available in book-entry form through
DTC, Cedel and Euroclear.
Cut-off Date: January [17], 1997
Pricing Date: January [30], 1997
Settlement Date: February [6], 1997
Distribution Dates: [15]th day of each month (or the next succeeding business
day), beginning March [17], 1997.
ERISA Eligibility: The Class A Certificates may be purchased by employee
benefit plans that are subject to ERISA; the Class M and
B Certificates (the "Subordinate Certificates") may not
be purchased by employee benefit plans that are subject
to ERISA except as provided for in the Prospectus
Supplement.
SMMEA Treatment: The Certificates will not constitute "mortgage related
securities" for purposes of SMMEA.
Optional
Termination: 10% optional clean-up call (outstanding mortgage pool
balance is less than 10% of the initial mortgage pool
balance as of the Cut-off Date).
Mortgage Loans: Fixed rate conventional (closed-end) home equity mortgage
loans.
Pre-Funding: None
Taxation: REMIC election
Credit Enhancement: For each respective class of Certificates as follows:
Initial Subordination and Target
Overcollateralization:
--------------------------------
(as a % of the original balance
of all Certificates) Class A Class M-1 Class M-2 Class B
------- --------- --------- -------
Initial Subordination 11.50% 7.00% 1.25% 0.00%
Target Overcollateralization
(0% initially)* 1.00% 1.00% 1.00% 1.00%
---------------------------- ----- ----- ----- -----
Total Credit Enhancement 12.50% 8.00% 2.25% 1.00%
* Resulting from the application of excess spread.
Subordination and Overcollateralization
Step-Down:**
---------------------------------------
(as a % of the original balance
of all Certificates) Class A Class M-1 Class M-2 Class B
------- --------- --------- -------
Subordination Step-Down 11.50% 7.00% 1.25% 0.00%
Overcollateralization Step-Down 1.00% 1.00% 1.00% 1.00%
------------------------------- ----- ----- ----- -----
Total Subordination Step-Down 12.50% 8.00% 2.25% 1.00%
** Subject to certain collateral performance measures (or "Trigger
Event") and minimum overcollateralization levels. No step-down
shall occur until the later of (a) period 37 and (b) the outstanding
collateral balance is less than 50% of the initial collateral balance
(the "Step-Down Date").
<PAGE>
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 2
ContiMortgage Home Equity Loan Trust 1997-1
Interest
Allocations: Interest received shall be allocated in the following
priority to the extent of amounts avaialble:
(i) Payment of Trustee Fees;
(ii) Current Interest on the Class A Certificates,
pro-rata without any priority;
(iii) Current Interest on the Class M-1 Certificates;
(iv) Current Interest on the Class M-2 Certificates;
(v) Current Interest on the Class B-1 Certificates;
(vi) As accelerated distribution of principal on the Class A
Certificates, Class M-1 Certificates, Class M-2
Certificate, and Class B Certificate (in such
priority as required to reach and maintain the Total
Subordination Step-Down amount for each such Class of
Certificates, respectively--see Principal Allocations
below), until the Target Overcollateralization amount
is reached, and
(vii) Remaining amounts to the owner of the Class C-IO
Certificates (not being offered hereby).
Principal
Allocation: Principal collections shall be allocated in the following
priority to the extent of amounts available:
For periods prior to the Step-Down Date or upon a Trigger
Event (defined above):
(i) To the Class A Certificates (sequentially with
respect to Classes A-1 to A-8, and concurrently
with respect to Class A-9 based upon its
specified percentage), all principal collections
until such Classes are equal to zero;
(ii) To the Class M-1 Certificates, all principal
collections until such Class is equal to zero;
(iii) To the Class M-2 Certificates, all principal
collections until such Class is equal to zero;
(iv) To the Class B Certificates, all principal
collections until such Class is equal to zero;
For periods on and after the Step-Down Date and no Trigger
Event (defined above):
(i) To the Class A Certificates (sequentially with
respect to Classes A-1 to A-8, and concurrently
with respect to Class A-9 based upon its
specified percentage), an amount required to reach
and maintain the Total Subordination Step-down
amount for the Class A Certificates;
(ii) To the Class M-1 Certificates, an amount required
to reach and maintain the Total Subordination Step-
down amount for the Class M-1 Certificates;
(iii) To the Class M-2 Certificates, an amount required
to reach and maintain the Total Subordination Step-
down amount for the Class M-2 Certificates;
(iv) To the Class B Certificates, an amount required
to reach and maintain the Total Subordination Step-
down amount for the Class B Certificates,
(v) Any remaining amounts shall be paid to the Class R
Certificate (not being offered hereby)
Loss
Allocations: Losses shall be allocated in the following priority:
(i) as a reduction to current period excess spread;
(ii) as a reduction to the Overcollateralization Amount;
(iii) as a reduction to the Class B Certificate Balance;
(iv) as a reduction to the Class M-2 Certificate
Balance;
(v) as a reduction to the Class M-1 Certificate
Balance, and
(vi) as a reduction to the Class A Certificate Balances
(pro-rata).
<PAGE>
Preliminary Term Sheet
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Modeling Assumptions
Fixed Rate Collateral $399,999,865
Prepayment Assumption: 120% of the Prepayment Assumption. A 100% Prepayment
Assumption assumes that the prepayments start at 4% CPR in month 1, rise by
1.455% per month to 20% CPR in month 12 and remain at 20% CPR thereafter on a
seasoning adjusted basis.
<TABLE>
<CAPTION>
Expected
Moody's/Fitch Delay Day Dated Settlement
Class Balance WAL Ratings Coupon (1) Days Count Date Date
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $50,750,000 0.50 Aaa/AAA 6.28% 14 30/360 1/18/97 2/6/97
A-2 $57,500,000 1.15 Aaa/AAA 6.39% 14 30/360 1/18/97 2/6/97
A-3 $84,500,000 2.03 Aaa/AAA 6.61% 14 30/360 1/18/97 2/6/97
A-4 $37,250,000 3.03 Aaa/AAA 6.79% 14 30/360 1/18/97 2/6/97
A-5 $28,250,000 4.04 Aaa/AAA 7.02% 14 30/360 1/18/97 2/6/97
A-6 $20,000,000 5.08 Aaa/AAA 7.19% 14 30/360 1/18/97 2/6/97
A-7 $24,250,000 7.01 Aaa/AAA 7.42% 14 30/360 1/18/97 2/6/97
A-8 $21,500,000 11.98 Aaa/AAA 7.68% 14 30/360 1/18/97 2/6/97
A-9 (2) $30,000,000 6.58 Aaa/AAA 7.21% 14 30/360 1/18/97 2/6/97
A-10IO (3) Aaa/AAA 1.10% 14 30/360 1/18/97 2/6/97
M-1 $18,000,000 6.09 Aa2/AA 7.74% 14 30/360 1/18/97 2/6/97
M-2 $23,000,000 5.90 A3/A 8.03% 14 30/360 1/18/97 2/6/97
B $5,000,000 5.18 Baa3/BBB 8.31% 14 30/360 1/18/97 2/6/97
</TABLE>
Notes:
(1) All Classes settle with accrued interest; 30/360 day count.
(2) Class A-9 Lock-Out Bond is allocated principal pari passu with the Class A
Certificates that is currently receiving principal payments in a ratio equal
to the product of a) the outstanding principal balance of the Lock Bond
divided by the outstanding principal balance of all Class A Certificates and
b) a specified percentage.
<PAGE>
The specified percentage is as follows:
Distribution Periods Applicable Percentages
Month 1 - Month 36 0%
Month 37 - Month 60 45%
Month 61 - Month 72 80%
Month 73 - Month 84 100%
Month 85 - End 300%
(3) Class A-10IO Notional Balance is the outstanding Collateral Balance each
month.
Initial OC 0.00%
OC Target: 1.00% as % of initial principal Certificate balance
OC Step Down 2.00% as % of current principal Certificate balance
The OC Step Down occurs when at the later of (i) period 37 and (ii) the current
principal balance is less than 50% of the initial principal balance.
OC Floor: 0.50% as % of initial collateral principal balance
Servicing: 0.50% as % of collateral principal balance
Trustee: 0.01% as % of collateral principal balance
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<TABLE>
<CAPTION>
Summary of Bonds
1st Last
Payment Payment
To Maturity Avg Life CBE Date Date Modified Legal
Class Amount Coupon (years) Yield Price (mm/yy) (mm/yy) Duration Final
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $50,750,000 6.28% 0.50 5.851% 100.00% Mar-97 Dec-97 0.48 TBD
A-2 $57,500,000 6.39% 1.15 6.245% 100.00% Dec-97 Jul-98 1.08 TBD
A-3 $84,500,000 6.61% 2.03 6.562% 100.00% Jul-98 Oct-99 1.84 TBD
A-4 $37,250,000 6.79% 3.03 6.787% 100.00% Oct-99 Aug-00 2.66 TBD
A-5 $28,250,000 7.02% 4.04 7.043% 100.00% Aug-00 Sep-01 3.41 TBD
A-6 $20,000,000 7.19% 5.08 7.231% 100.00% Sep-01 Oct-02 4.12 TBD
A-7 $24,250,000 7.42% 7.01 7.481% 100.00% Oct-02 Apr-06 5.26 TBD
A-8 $21,500,000 7.68% 11.98 7.764% 100.00% Apr-06 Jan-12 7.52 TBD
A-9 $30,000,000 7.21% 6.58 7.263% 100.00% Mar-00 Jan-12 5.00 TBD
A-10IO (3) 1.10%
M-1 $18,000,000 7.74% 6.09 7.799% 100.00% Mar-00 Aug-10 4.52 TBD
M-2 $23,000,000 8.03% 5.90 8.094% 100.00% Mar-00 Mar-09 4.40 TBD
B-1 $5,000,000 8.31% 5.18 8.374% 100.00% Mar-00 Feb-05 4.00 TBD
1st Last
Payment Payment
To 10% Avg Life CBE Date Date Modified
Call Class Amount Coupon (years) Yield Price (mm/yy) (mm/yy) Duration
A-7 $24,250,000 7.42% 6.94 7.480% 100.00% Oct-02 Jun-05 5.23
A-8 $21,500,000 7.68% 8.36 7.754% 100.00% Jun-05 Jun-05 5.96
A-9 $30,000,000 7.21% 6.43 7.262% 100.00% Mar-00 Jun-05 4.93
A-10IO (3) 1.10% Mar-97 Jun-05
M-1 $18,000,000 7.74% 5.60 7.796% 100.00% Mar-00 Jun-05 4.31
M-2 $23,000,000 8.03% 5.60 8.092% 100.00% Mar-00 Jun-05 4.27
</TABLE>
Notes:
1 Pricing Prepayment = 120% of the Prepayment Assumption.
A 100% Prepayment Assumption assumes prepayments start at 4% CPR in month 1,
rise by 1.455% per month to 20% CPR in month 12 thereafter on a seasoning
adjusted basis.
2 Coupons and prices are assumed for computational materials.
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<TABLE>
<CAPTION>
Fixed Rate Home Equity Loans (Minimum - Maximum)
<S> <C> <C>
Total Number of Loans: 6,539
Total Outstanding Loan Balance: $ 399,999,865
Balloon (% of Total): 55.62%
Level Pay (% of Total): 44.38%
Average Loan Principal Balance: $ 61,171.00 ($198.5 to $450,000)
Weighted Average LTV: 72.42% (4.00% to 90.00%)
Weighted Average CLTV : 75.48% (10.15% to 95.97%)
Weighted Average Home Equity Ratio(2nd Liens Only): 39.84% (5.83% to 96.04%)
Weighted Average Coupon: 11.56% (7.90% to 20.95%)
Weighted Average Remaining Term to Maturity (months): 214.4 (56 to 360)
Weighted Average Seasoning (months): 1.3
Weighted Average Original Term (months): 215.7 (60 to 360 )
Range of Original Terms: Level Pay Balloons
----------------- -------------
Up to 60: 0.20% 180 100%
61 - 120: 3.09%
121 - 180: 29.01%
181 - 240: 31.93%
241 - 300: 1.27%
301 - 360: 34.50%
Lien Position:
1st Lien: 93.22%
2nd Lien: 6.78%
Property Type:
Single Family Detached: 84.63%
Single Family Attached: 3.74%
2 -4 Family: 8.16%
Other: 3.47%
Occupancy Status:
Owner Occupied: 95.26%
Non-Owner Occupied: 4.74%
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Fixed Rate Home Equity Loans (Cont.)
Geographic Distribution: OH: 10.06%
(states not listed individually account for NY: 8.91%
less than 5.00% of the Outstanding Mortgage MI: 8.42%
Pool principal balance) IL: 7.08%
PA: 6.14%
NJ: 6.02%
FL: 5.70%
NC: 5.06%
Credit Quality: A: 54.70%
(per ContiMortgage's guidelines) B: 25.35%
C: 15.25%
D: 4.71%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Distribution by Geographic Location
# of Aggregate % of Aggregate
Geographic Location Loans Loan Balance Loan Balance
Arizona 44 $3,011,343.01 0.75%
Arkansas 37 2,078,999.78 0.52%
California 118 13,006,377.27 3.25%
Colorado 66 4,164,876.69 1.04%
Connecticut 78 7,101,585.65 1.78%
Delaware 22 1,805,483.60 0.45%
DC 39 3,053,586.74 0.76%
Florida 405 22,804,279.63 5.70%
Georgia 190 10,806,993.33 2.70%
Hawaii 1 84,964.28 0.02%
Idaho 19 1,295,448.17 0.32%
Illinois 449 28,314,399.05 7.08%
Indiana 384 18,302,622.45 4.58%
Iowa 18 630,333.49 0.16%
Kansas 37 1,909,058.39 0.48%
Kentucky 141 7,166,877.52 1.79%
Louisiana 4 221,078.22 0.06%
Maine 2 102,158.69 0.03%
Maryland 267 18,950,785.37 4.74%
Massachusetts 150 11,717,967.29 2.93%
Michigan 768 33,662,964.58 8.42%
Minnesota 73 4,639,449.91 1.16%
Mississippi 16 653,537.70 0.16%
Missouri 125 5,654,597.45 1.41%
Montana 1 74,872.72 0.02%
Nebraska 5 243,538.36 0.06%
Nevada 9 490,987.79 0.12%
New Hampshire 9 432,919.15 0.11%
New Jersey 293 24,087,702.00 6.02%
New Mexico 44 3,229,216.91 0.81%
New York 393 35,654,453.52 8.91%
North Carolina 371 20,221,463.24 5.06%
Ohio 713 40,235,856.28 10.06%
Oklahoma 20 1,399,036.73 0.35%
Oregon 31 2,171,028.84 0.54%
Pennsylvania 440 24,564,777.91 6.14%
Rhode Island 40 3,680,818.54 0.92%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Distribution by Geographic Location (Cont.)
# of Aggregate % of Aggregate
Geographic Location Loans Loan Balance Loan Balance
South Carolina 174 8,687,690.27 2.17%
Tennessee 139 9,363,729.72 2.34%
Texas 76 4,227,421.06 1.06%
Utah 98 7,309,100.71 1.83%
Vermont 1 70,000.00 0.02%
Virginia 103 5,149,467.43 1.29%
Washington 37 3,150,400.60 0.79%
West Virginia 13 390,727.55 0.10%
Wisconsin 74 3,947,968.07 0.99%
Wyoming 2 76,918.88 0.02%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Original Loan-to-Value Ratio (LTV)
# of Aggregate % of Aggregate
Original LTVs Loans Loan Balance Loan Balance
4.00% to 10.00 42 $692,862.78 0.17%
10.01% to 20.00 328 8,405,514.05 2.10%
20.01% to 30.00 357 11,728,837.40 2.93%
30.01% to 40.00 284 10,261,196.48 2.57%
40.01% to 50.00 412 15,378,483.65 3.84%
50.01% to 60.00 477 23,407,728.75 5.85%
60.01% to 70.00 1,026 56,409,581.19 14.10%
70.01% to 80.00 2,271 157,387,153.82 39.35%
80.01% to 90.00 1,342 116,328,506.42 29.08%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Loan Type
Loan # of Aggregate % of Aggregate
Type Loans Loan Balance Loan Balance
Balloon 3,143 $222,469,663.21 55.62%
Non Balloon 3,396 177,530,201.33 44.38%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Distribution by Combined Loan-to-Value Ratio (LTV)
# of Aggregate % of Aggregate
Combined LTVs Loans Loan Balance Loan Balance
10.15% to 20.00 23 $571,902.19 0.14%
20.01% to 30.00 102 2,475,362.57 0.62%
30.01% to 40.00 193 5,894,675.56 1.47%
40.01% to 50.00 396 14,042,537.39 3.51%
50.01% to 60.00 496 23,471,330.21 5.87%
60.01% to 70.00 1,109 58,465,479.60 14.62%
70.01% to 80.00 2,507 163,437,062.87 40.86%
80.01% to 90.00 1,683 129,006,375.62 32.25%
90.01% to 95.92 30 2,635,138.53 0.66%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Coupon Rates
# of Aggregate % of Aggregate
Coupon Loans Loan Balance Loan Balance
7.900% to 9.500 326 $25,790,691.88 6.45%
9.501% to 10.000 538 40,866,454.93 10.22%
10.001% to 10.500 533 39,759,849.98 9.94%
10.501% to 11.000 949 71,132,044.91 17.78%
11.001% to 11.500 680 43,762,329.05 10.94%
11.501% to 12.000 892 56,629,844.97 14.16%
12.001% to 12.500 567 31,443,913.50 7.86%
12.501% to 13.000 647 32,844,694.16 8.21%
13.001% to 13.500 332 16,864,627.17 4.22%
13.501% to 14.000 358 15,646,498.93 3.91%
14.001% to 20.500 717 25,258,915.06 6.31%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Distribution by Current Loan Balances
Current # of Aggregate % of Aggregate
Loan Balance Loans Loan Balance Loan Balance
$0 to $25,000 1,001 $18,772,192.73 4.69%
25,001 to 50,000 2,286 85,874,686.35 21.47%
50,001 to 75,000 1,585 97,324,609.49 24.33%
75,001 to 100,000 765 66,080,654.52 16.52%
100,001 to 125,000 414 46,289,846.52 11.57%
125,001 to 150,000 207 28,138,665.59 7.03%
150,001 to 175,000 99 16,045,309.02 4.01%
175,001 to 200,000 71 13,302,579.97 3.33%
200,001 to 225,000 54 11,576,150.73 2.89%
225,001 to 450,000 57 16,595,169.62 4.15%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Types of Mortgaged Property
Property # of Aggregate % of Aggregate
Types Loans Loan Balance Loan Balance
Condominium 44 $2,288,828.01 0.57%
Manufactured Housing 127 5,850,681.78 1.46%
Mixed Use 24 2,614,416.01 0.65%
Planned Unit Development 36 3,140,559.13 0.79%
Single Family Attached 288 14,956,454.29 3.74%
Single Family Detached 5,569 338,509,003.88 84.63%
Two-to-Four Family 451 32,639,921.44 8.16%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Loan Age
Months Elapsed # of Aggregate % of Aggregate
Since Origination Loans Loan Balance Loan Balance
0 to 1 months 4,342 $268,738,472.40 67.18%
2 to 12 months 2,196 131,256,463.80 32.81%
13 to 24 months 1 4,928.34 0.00%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Distribution by Remaining Term to Maturity
Remaining # of Aggregate % of Aggregate
Term Loans Loan Balance Loan Balance
0 to 120 months 246 $5,841,505.78 1.46%
121 to 180 months 4,431 273,968,098.29 68.49%
181 to 240 months 1,023 56,688,957.56 14.17%
241 to 360 months 839 63,501,302.91 15.88%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Original Term to Maturity
Original # of Aggregate % of Aggregate
Term Loans Loan Balance Loan Balance
0 to 120 months 246 $5,841,505.78 1.46%
121 to 180 months 4,431 273,968,098.29 68.49%
181 to 240 months 1,023 56,688,957.56 14.17%
241 to 360 months 839 63,501,302.91 15.88%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Home Equity Ratio (2nd Liens Only)
Home Equity # of Aggregate % of Aggregate
Ratio 2nd Liens 2nd Lien Balance 2nd Lien Balance
5.83% to 10.00 10 $161,094.76 0.59%
10.01% to 15.00 49 865,784.55 3.19%
15.01% to 20.00 108 2,508,458.78 9.24%
20.01% to 25.00 125 3,253,829.98 11.99%
25.01% to 30.00 116 3,608,395.01 13.30%
30.01% to 35.00 88 3,139,728.34 11.57%
35.01% to 40.00 79 3,155,341.04 11.63%
40.01% to 45.00 48 2,096,654.73 7.73%
45.01% to 50.00 35 1,761,839.34 6.49%
50.01% to 55.00 23 1,055,683.40 3.89%
55.01% to 60.00 20 1,030,606.94 3.80%
60.01% to 65.00 16 743,711.63 2.74%
65.01% to 70.00 14 701,028.25 2.58%
70.01% to 75.00 14 662,780.82 2.44%
* Percentages may not add due to rounding.
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Distribution by Home Equity Ratio (Cont.)
Home Equity # of Aggregate % of Aggregate
Ratio 2nd Liens 2nd Lien Balance 2nd Lien Balance
75.01% to 80.00 11 570,067.36 2.10%
80.01% to 85.00 13 738,558.71 2.72%
85.01% to 90.00 6 649,782.88 2.39%
90.01% to 95.00 3 327,846.20 1.21%
95.01% to 100.00 2 105,728.76 0.39%
Total 780 $27,136,921.48 100.00%*
Distribution by Occupancy Status
Occupancy # of Aggregate % of Aggregate
Status Loans Loan Balance Loan Balance
Investor Occupied 394 $18,969,476.94 4.74%
Owner Occupied 6,145 381,030,387.60 95.26%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Lien Position
Lien # of Aggregate % of Aggregate
Position Loans Loan Balance Loan Balance
1st lien 5,759 $372,862,943.06 93.22%
2nd lien 780 27,136,921.48 6.78%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Distribution by Loan Purpose
Loan # of Aggregate % of Aggregate
Purpose Loans Loan Balance Loan Balance
Debt Consolidation 4,912 $291,088,354.67 72.77%
Home Improvement 231 12,736,494.29 3.18%
DC/HI Combo 350 21,317,410.33 5.33%
Purchase 665 50,285,307.30 12.57%
Other 381 24,572,297.95 6.14%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Days Delinquent
# of Aggregate % of Aggregate
Days Delinquent Loans Loan Balance Loan Balance
0 to 29 days 6,440 $393,893,731.16 98.47%
30 to 59 days 95 5,904,033.38 1.48%
60 to 89 days 4 202,100.00 0.05%
Total 6,539 $399,999,864.54 100.00%*
Distribution by Debt to Income Ratio
Debt to # of Aggregate % of Aggregate
Income Ratio Loans Loan Balance Loan Balance
4.00% to 10.00 50 $1,883,372.15 0.47%
10.01% to 20.00 496 20,755,454.72 5.19%
20.01% to 30.00 1,335 70,273,991.17 17.57%
30.01% to 40.00 1,904 117,295,941.41 29.32%
40.01% to 50.00 2,614 178,291,972.25 44.57%
50.01% to 59.00 140 11,499,132.84 2.87%
Total 6,539 $399,999,864.54 100.00%*
* Percentages may not add due to rounding.
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<TABLE>
<CAPTION>
Fixed Rate Collateral
Original Remaining Original
Gross Net Term to Calculated Term to Amortization
Pool Principal Coupon Coupon Maturity Loan Maturity Term Amortization
Number Balance Rate Rate (months) Age (months) (months) Method
-------- ---------------- ------------- ---------- ----------- ----- ---------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 $349,729.20 11.9693% 11.4693% 60 2 58 60 Level
2 $5,491,776.58 11.8510% 11.3510% 117 1 116 117 Level
3 $51,498,435.08 11.4052% 10.9052% 180 1 178 180 Level
4 $56,688,957.56 11.3662% 10.8662% 240 1 239 240 Level
5 $2,253,975.28 10.7082% 10.2082% 360 1 359 360 Level
7 $222,469,663.21 11.7412% 11.2412% 180 1 179 360 Balloon
Total $399,999,864.54
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-1: $50,750,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 85% 32% 0% 0% 0% 0%
February-99 76% 0% 0% 0% 0% 0%
February-00 67% 0% 0% 0% 0% 0%
February-01 57% 0% 0% 0% 0% 0%
February-02 46% 0% 0% 0% 0% 0%
February-03 34% 0% 0% 0% 0% 0%
February-04 21% 0% 0% 0% 0% 0%
February-05 9% 0% 0% 0% 0% 0%
February-06 0% 0% 0% 0% 0% 0%
February-07 0% 0% 0% 0% 0% 0%
February-08 0% 0% 0% 0% 0% 0%
February-09 0% 0% 0% 0% 0% 0%
February-10 0% 0% 0% 0% 0% 0%
February-11 0% 0% 0% 0% 0% 0%
February-12 0% 0% 0% 0% 0% 0%
February-13 0% 0% 0% 0% 0% 0%
February-14 0% 0% 0% 0% 0% 0%
February-15 0% 0% 0% 0% 0% 0%
February-16 0% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life:
Years 3 to Maturity 4.50 0.82 0.56 0.50 0.44 0.37
Years 3 to Call 4.50 0.82 0.56 0.50 0.44 0.37
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-2: $57,500,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 82% 63% 35% 0%
February-99 100% 58% 0% 0% 0% 0%
February-00 100% 0% 0% 0% 0% 0%
February-01 100% 0% 0% 0% 0% 0%
February-02 100% 0% 0% 0% 0% 0%
February-03 100% 0% 0% 0% 0% 0%
February-04 100% 0% 0% 0% 0% 0%
February-05 100% 0% 0% 0% 0% 0%
February-06 96% 0% 0% 0% 0% 0%
February-07 83% 0% 0% 0% 0% 0%
February-08 69% 0% 0% 0% 0% 0%
February-09 52% 0% 0% 0% 0% 0%
February-10 34% 0% 0% 0% 0% 0%
February-11 12% 0% 0% 0% 0% 0%
February-12 0% 0% 0% 0% 0% 0%
February-13 0% 0% 0% 0% 0% 0%
February-14 0% 0% 0% 0% 0% 0%
February-15 0% 0% 0% 0% 0% 0%
February-16 0% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 12.02 2.20 1.31 1.15 0.99 0.83
Years 3 to Call 12.02 2.20 1.31 1.15 0.99 0.83
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-3: $84,500,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 91%
February-99 100% 100% 71% 46% 9% 0%
February-00 100% 96% 4% 0% 0% 0%
February-01 100% 60% 0% 0% 0% 0%
February-02 100% 27% 0% 0% 0% 0%
February-03 100% 0% 0% 0% 0% 0%
February-04 100% 0% 0% 0% 0% 0%
February-05 100% 0% 0% 0% 0% 0%
February-06 100% 0% 0% 0% 0% 0%
February-07 100% 0% 0% 0% 0% 0%
February-08 100% 0% 0% 0% 0% 0%
February-09 100% 0% 0% 0% 0% 0%
February-10 100% 0% 0% 0% 0% 0%
February-11 100% 0% 0% 0% 0% 0%
February-12 0% 0% 0% 0% 0% 0%
February-13 0% 0% 0% 0% 0% 0%
February-14 0% 0% 0% 0% 0% 0%
February-15 0% 0% 0% 0% 0% 0%
February-16 0% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 14.93 4.40 2.38 2.03 1.68 1.32
Years 3 to Call 14.93 4.40 2.38 2.03 1.68 1.32
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-4: $37,250,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 0%
February-00 100% 100% 100% 36% 0% 0%
February-01 100% 100% 17% 0% 0% 0%
February-02 100% 100% 0% 0% 0% 0%
February-03 100% 98% 0% 0% 0% 0%
February-04 100% 55% 0% 0% 0% 0%
February-05 100% 29% 0% 0% 0% 0%
February-06 100% 2% 0% 0% 0% 0%
February-07 100% 0% 0% 0% 0% 0%
February-08 100% 0% 0% 0% 0% 0%
February-09 100% 0% 0% 0% 0% 0%
February-10 100% 0% 0% 0% 0% 0%
February-11 100% 0% 0% 0% 0% 0%
February-12 0% 0% 0% 0% 0% 0%
February-13 0% 0% 0% 0% 0% 0%
February-14 0% 0% 0% 0% 0% 0%
February-15 0% 0% 0% 0% 0% 0%
February-16 0% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 14.94 7.40 3.66 3.03 2.42 1.84
Years 3 to Call 14.94 7.40 3.66 3.03 2.42 1.84
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-5: $28,250,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 89%
February-00 100% 100% 100% 100% 19% 0%
February-01 100% 100% 100% 46% 0% 0%
February-02 100% 100% 36% 0% 0% 0%
February-03 100% 100% 0% 0% 0% 0%
February-04 100% 100% 0% 0% 0% 0%
February-05 100% 100% 0% 0% 0% 0%
February-06 100% 100% 0% 0% 0% 0%
February-07 100% 67% 0% 0% 0% 0%
February-08 100% 33% 0% 0% 0% 0%
February-09 100% 1% 0% 0% 0% 0%
February-10 100% 0% 0% 0% 0% 0%
February-11 100% 0% 0% 0% 0% 0%
February-12 0% 0% 0% 0% 0% 0%
February-13 0% 0% 0% 0% 0% 0%
February-14 0% 0% 0% 0% 0% 0%
February-15 0% 0% 0% 0% 0% 0%
February-16 0% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 14.94 10.58 4.92 4.04 2.98 2.20
Years 3 to Call 14.94 10.58 4.92 4.04 2.98 2.20
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-6: $20,000,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 100%
February-00 100% 100% 100% 100% 100% 0%
February-01 100% 100% 100% 100% 29% 0%
February-02 100% 100% 100% 49% 0% 0%
February-03 100% 100% 65% 0% 0% 0%
February-04 100% 100% 2% 0% 0% 0%
February-05 100% 100% 0% 0% 0% 0%
February-06 100% 100% 0% 0% 0% 0%
February-07 100% 100% 0% 0% 0% 0%
February-08 100% 100% 0% 0% 0% 0%
February-09 100% 100% 0% 0% 0% 0%
February-10 100% 59% 0% 0% 0% 0%
February-11 100% 19% 0% 0% 0% 0%
February-12 71% 0% 0% 0% 0% 0%
February-13 49% 0% 0% 0% 0% 0%
February-14 25% 0% 0% 0% 0% 0%
February-15 0% 0% 0% 0% 0% 0%
February-16 0% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 16.13 13.30 6.31 5.08 3.91 2.51
Years 3 to Call 16.13 13.30 6.31 5.08 3.91 2.51
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-7: $24,250,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 100%
February-00 100% 100% 100% 100% 100% 0%
February-01 100% 100% 100% 100% 100% 0%
February-02 100% 100% 100% 100% 40% 0%
February-03 100% 100% 100% 78% 0% 0%
February-04 100% 100% 100% 35% 0% 0%
February-05 100% 100% 80% 23% 0% 0%
February-06 100% 100% 52% 2% 0% 0%
February-07 100% 100% 25% 0% 0% 0%
February-08 100% 100% 2% 0% 0% 0%
February-09 100% 100% 0% 0% 0% 0%
February-10 100% 100% 0% 0% 0% 0%
February-11 100% 100% 0% 0% 0% 0%
February-12 100% 0% 0% 0% 0% 0%
February-13 100% 0% 0% 0% 0% 0%
February-14 100% 0% 0% 0% 0% 0%
February-15 98% 0% 0% 0% 0% 0%
February-16 72% 0% 0% 0% 0% 0%
February-17 46% 0% 0% 0% 0% 0%
February-18 38% 0% 0% 0% 0% 0%
February-19 28% 0% 0% 0% 0% 0%
February-20 18% 0% 0% 0% 0% 0%
February-21 7% 0% 0% 0% 0% 0%
February-22 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 20.63 14.92 9.16 7.01 5.00 2.85
Years 3 to Call 20.02 14.92 9.00 6.94 5.00 2.85
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-8: $21,500,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 100%
February-00 100% 100% 100% 100% 100% 99%
February-01 100% 100% 100% 100% 100% 78%
February-02 100% 100% 100% 100% 100% 20%
February-03 100% 100% 100% 100% 94% 5%
February-04 100% 100% 100% 100% 65% 3%
February-05 100% 100% 100% 100% 63% 3%
February-06 100% 100% 100% 100% 50% 3%
February-07 100% 100% 100% 79% 36% 2%
February-08 100% 100% 100% 59% 24% 0%
February-09 100% 100% 80% 44% 14% 0%
February-10 100% 100% 61% 32% 6% 0%
February-11 100% 100% 47% 22% 1% 0%
February-12 100% 60% 5% 0% 0% 0%
February-13 100% 50% 1% 0% 0% 0%
February-14 100% 41% 0% 0% 0% 0%
February-15 100% 33% 0% 0% 0% 0%
February-16 100% 25% 0% 0% 0% 0%
February-17 100% 16% 0% 0% 0% 0%
February-18 100% 12% 0% 0% 0% 0%
February-19 100% 9% 0% 0% 0% 0%
February-20 100% 5% 0% 0% 0% 0%
February-21 100% 3% 0% 0% 0% 0%
February-22 93% 0% 0% 0% 0% 0%
February-23 78% 0% 0% 0% 0% 0%
February-24 61% 0% 0% 0% 0% 0%
February-25 43% 0% 0% 0% 0% 0%
February-26 19% 0% 0% 0% 0% 0%
February-27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 27.51 17.24 13.61 11.98 9.10 4.72
Years 3 to Call 21.36 14.94 9.94 8.36 6.53 4.44
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class A-9: $30,000,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 100%
February-00 100% 100% 100% 100% 100% 100%
February-01 99% 94% 89% 89% 89% 94%
February-02 98% 88% 80% 78% 76% 75%
February-03 97% 77% 66% 62% 56% 49%
February-04 95% 68% 52% 46% 38% 29%
February-05 87% 46% 24% 18% 13% 15%
February-06 80% 31% 11% 7% 4% 5%
February-07 72% 20% 5% 3% 1% 0%
February-08 64% 13% 2% 1% 0% 0%
February-09 56% 9% 1% 0% 0% 0%
February-10 48% 6% 0% 0% 0% 0%
February-11 40% 3% 0% 0% 0% 0%
February-12 0% 0% 0% 0% 0% 0%
February-13 0% 0% 0% 0% 0% 0%
February-14 0% 0% 0% 0% 0% 0%
February-15 0% 0% 0% 0% 0% 0%
February-16 0% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 12.06 8.09 6.85 6.58 6.33 6.23
Years 3 to Call 12.06 8.09 6.77 6.43 5.78 4.74
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class M-1 $18,000,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 100%
February-00 100% 100% 100% 100% 100% 100%
February-01 100% 100% 85% 70% 52% 30%
February-02 100% 100% 67% 53% 36% 18%
February-03 100% 100% 52% 39% 25% 10%
February-04 100% 90% 41% 29% 17% 6%
February-05 100% 79% 32% 22% 12% 0%
February-06 100% 69% 25% 16% 8% 0%
February-07 100% 61% 19% 12% 4% 0%
February-08 100% 53% 15% 9% 0% 0%
February-09 100% 46% 12% 6% 0% 0%
February-10 100% 39% 9% 2% 0% 0%
February-11 100% 34% 7% 0% 0% 0%
February-12 40% 9% 0% 0% 0% 0%
February-13 37% 7% 0% 0% 0% 0%
February-14 34% 5% 0% 0% 0% 0%
February-15 30% 2% 0% 0% 0% 0%
February-16 26% 0% 0% 0% 0% 0%
February-17 22% 0% 0% 0% 0% 0%
February-18 20% 0% 0% 0% 0% 0%
February-19 19% 0% 0% 0% 0% 0%
February-20 17% 0% 0% 0% 0% 0%
February-21 15% 0% 0% 0% 0% 0%
February-22 13% 0% 0% 0% 0% 0%
February-23 11% 0% 0% 0% 0% 0%
February-24 9% 0% 0% 0% 0% 0%
February-25 6% 0% 0% 0% 0% 0%
February-26 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 17.79 11.57 7.22 6.09 5.02 4.25
Years 3 to Call 16.84 11.38 6.67 5.60 4.62 3.97
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class M-2 $23,000,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 100%
February-00 100% 100% 100% 100% 100% 100%
February-01 100% 100% 85% 70% 52% 30%
February-02 100% 100% 67% 53% 36% 16%
February-03 100% 100% 52% 39% 25% 6%
February-04 100% 90% 41% 29% 15% 0%
February-05 100% 79% 32% 22% 7% 0%
February-06 100% 69% 25% 14% 2% 0%
February-07 100% 61% 18% 8% 0% 0%
February-08 100% 53% 12% 3% 0% 0%
February-09 100% 46% 7% 0% 0% 0%
February-10 100% 39% 4% 0% 0% 0%
February-11 100% 34% 1% 0% 0% 0%
February-12 40% 3% 0% 0% 0% 0%
February-13 37% 1% 0% 0% 0% 0%
February-14 34% 0% 0% 0% 0% 0%
February-15 30% 0% 0% 0% 0% 0%
February-16 26% 0% 0% 0% 0% 0%
February-17 22% 0% 0% 0% 0% 0%
February-18 20% 0% 0% 0% 0% 0%
February-19 18% 0% 0% 0% 0% 0%
February-20 15% 0% 0% 0% 0% 0%
February-21 13% 0% 0% 0% 0% 0%
February-22 10% 0% 0% 0% 0% 0%
February-23 7% 0% 0% 0% 0% 0%
February-24 4% 0% 0% 0% 0% 0%
February-25 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 17.54 11.41 7.02 5.90 4.82 3.94
Years 3 to Call 16.83 11.38 6.67 5.60 4.58 3.78
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group 1 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
- -----------------------
1 As a percentage of the Prepayment Assumption.
</TABLE>
<TABLE>
<CAPTION>
Class B $5,000,000
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
---------------- ---------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
February-98 100% 100% 100% 100% 100% 100%
February-99 100% 100% 100% 100% 100% 100%
February-00 100% 100% 100% 100% 100% 100%
February-01 100% 100% 85% 70% 52% 14%
February-02 100% 100% 67% 53% 25% 0%
February-03 100% 100% 52% 31% 5% 0%
February-04 100% 90% 34% 13% 0% 0%
February-05 100% 79% 18% 0% 0% 0%
February-06 100% 69% 5% 0% 0% 0%
February-07 100% 61% 0% 0% 0% 0%
February-08 100% 53% 0% 0% 0% 0%
February-09 100% 42% 0% 0% 0% 0%
February-10 100% 31% 0% 0% 0% 0%
February-11 100% 21% 0% 0% 0% 0%
February-12 32% 0% 0% 0% 0% 0%
February-13 27% 0% 0% 0% 0% 0%
February-14 21% 0% 0% 0% 0% 0%
February-15 14% 0% 0% 0% 0% 0%
February-16 7% 0% 0% 0% 0% 0%
February-17 0% 0% 0% 0% 0% 0%
February-18 0% 0% 0% 0% 0% 0%
February-19 0% 0% 0% 0% 0% 0%
February-20 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years 3 to Maturity 15.83 11.07 6.17 5.18 4.24 3.44
Years 3 to Call 15.83 11.07 6.17 5.18 4.24 3.44
- -----------------------------
3 The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
</TABLE>
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
TRANSACTION SUMMARY @ Pricing Prepayment Speed
Expected
Estimated to Maturity Ratings
Modified Principal Principal (Moody's /
Approximate Size Certificate WAL Duration Lockout Window FITCH)
$50,750,000 Class A-1 0.50 0.48 0 1-10 Aaa/AAA
$57,500,000 Class A-2 1.15 1.08 9 10-17 Aaa/AAA
$84,500,000 Class A-3 2.03 1.84 16 17-32 Aaa/AAA
$37,250,000 Class A-4 3.03 2.66 31 32-42 Aaa/AAA
$28,250,000 Class A-5 4.04 3.41 41 42-55 Aaa/AAA
$20,000,000 Class A-6 5.08 4.12 54 55-68 Aaa/AAA
$24,250,000 Class A-7 7.01 5.26 67 68-110 Aaa/AAA
$21,500,000 Class A-8 11.98 7.52 109 110-179 Aaa/AAA
$30,000,000 Class A-9 6.58 5.00 36 37-179 Aaa/AAA
(3) Class A-10IO Aaa/AAA
$18,000,000 Class M-1 6.09 4.52 36 37-162 Aa2/AA
$23,000,000 Class M-2 5.90 4.40 36 37-145 A3/A
$5,000,000 Class B 5.18 4.00 36 37-96 Baa3/BBB
Class A-1 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 4.50 0.82 0.56 0.50 0.44 0.37
Duration 3.65 0.77 0.53 0.48 0.42 0.36
First Principal Payment Mar-97 Mar-97 Mar-97 Mar-97 Mar-97 Mar-97
Last Principal Payment Nov-05 Jul-98 Jan-98 Dec-97 Nov-97 Sep-97
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 105 17 11 10 9 7
Yield @ Par 6.296% 6.045% 5.900% 5.851% 5.783% 5.683%
Class A-2 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 12.02 2.20 1.31 1.15 0.99 0.83
Duration 8.11 1.99 1.22 1.08 0.93 0.78
First Principal Payment Nov-05 Jul-98 Jan-98 Dec-97 Nov-97 Sep-97
Last Principal Payment Sep-11 Jan-00 Oct-98 Jul-98 May-98 Feb-98
Principal Lockout (months) 104 16 10 9 8 6
Principal Window (months) 71 19 10 8 7 6
Yield @ Par 6.445% 6.350% 6.271% 6.245% 6.209% 6.158%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Class A-3 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 14.93 4.40 2.38 2.03 1.68 1.32
Duration 9.22 3.69 2.13 1.84 1.54 1.23
First Principal Payment Sep-11 Jan-00 Oct-98 Jul-98 May-98 Feb-98
Last Principal Payment Jan-12 Feb-03 Mar-00 Oct-99 Apr-99 Oct-98
Principal Lockout (months) 174 34 19 16 14 11
Principal Window (months) 5 38 18 16 12 9
Yield @ Par 6.674% 6.632% 6.581% 6.562% 6.534% 6.491%
Class A-4 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 14.94 7.40 3.66 3.03 2.42 1.84
Duration 9.11 5.62 3.14 2.66 2.16 1.68
First Principal Payment Jan-12 Feb-03 Mar-00 Oct-99 Apr-99 Oct-98
Last Principal Payment Jan-12 Mar-06 May-01 Aug-00 Oct-99 Feb-99
Principal Lockout (months) 178 71 36 31 25 19
Principal Window (months) 1 38 15 11 7 5
Yield @ Par 6.858% 6.840% 6.803% 6.787% 6.764% 6.729%
Class A-5 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 14.94 10.58 4.92 4.04 2.98 2.20
Duration 8.98 7.23 4.02 3.41 2.61 1.97
First Principal Payment Jan-12 Mar-06 May-01 Aug-00 Oct-99 Feb-99
Last Principal Payment Jan-12 Mar-09 Sep-02 Sep-01 Aug-00 Jun-99
Principal Lockout (months) 178 108 50 41 31 23
Principal Window (months) 1 37 17 14 11 5
Yield @ Par 7.093% 7.086% 7.055% 7.043% 7.018% 6.985%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Class A-6 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 16.13 13.30 6.31 5.08 3.91 2.51
Duration 9.24 8.29 4.91 4.12 3.30 2.22
First Principal Payment Jan-12 Mar-09 Sep-02 Sep-01 Aug-00 Jun-99
Last Principal Payment Jan-15 Sep-11 Apr-04 Oct-02 May-01 Oct-99
Principal Lockout (months) 178 144 66 54 41 27
Principal Window (months) 37 31 20 14 10 5
Yield @ Par 7.268% 7.265% 7.241% 7.231% 7.214% 7.172%
Class A-7 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 20.63 14.92 9.16 7.01 5.00 2.85
Duration 10.20 8.74 6.41 5.26 4.03 2.49
First Principal Payment Jan-15 Sep-11 Apr-04 Oct-02 May-01 Oct-99
Last Principal Payment Sep-21 Jan-12 Mar-08 Apr-06 Jan-03 Feb-00
Principal Lockout (months) 214 174 85 67 50 31
Principal Window (months) 81 5 48 43 21 5
Yield @ Par 7.507% 7.503% 7.491% 7.481% 7.464% 7.419%
Class A-8 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 27.51 17.24 13.61 11.98 9.10 4.72
Duration 11.08 9.18 8.14 7.52 6.23 3.79
First Principal Payment Sep-21 Jan-12 Mar-08 Apr-06 Jan-03 Feb-00
Last Principal Payment Oct-26 Feb-22 Jul-13 Jan-12 May-11 Jul-07
Principal Lockout (months) 294 178 132 109 70 35
Principal Window (months) 62 122 65 70 101 90
Yield @ Par 7.777% 7.771% 7.767% 7.764% 7.756% 7.725%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Class A-9 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 12.06 8.09 6.85 6.58 6.33 6.23
Duration 7.67 5.80 5.15 5.00 4.86 4.81
First Principal Payment Mar-00 Mar-00 Mar-00 Mar-00 Jun-00 Nov-00
Last Principal Payment Jan-12 Jan-12 Jan-12 Jan-12 Mar-11 May-07
Principal Lockout (months) 36 36 36 36 39 44
Principal Window (months) 143 143 143 143 130 79
Yield @ Par 7.283% 7.271% 7.265% 7.263% 7.261% 7.261%
Class M-1 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 17.79 11.57 7.22 6.09 5.02 4.25
Duration 9.18 7.22 5.13 4.52 3.92 3.46
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 May-00 Jul-00
Last Principal Payment Nov-25 Oct-15 Jan-12 Aug-10 Dec-07 Dec-04
Principal Lockout (months) 178 73 39 36 38 40
Principal Window (months) 167 151 140 126 92 54
Yield @ Par 7.833% 7.824% 7.807% 7.799% 7.789% 7.779%
Class M-2 (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 17.54 11.41 7.02 5.90 4.82 3.94
Duration 8.96 7.06 5.00 4.40 3.78 3.23
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 Mar-00 Apr-00
Last Principal Payment Feb-25 Nov-13 Jun-11 Mar-09 Oct-06 Feb-04
Principal Lockout (months) 178 73 39 36 36 37
Principal Window (months) 158 128 133 109 80 47
Yield @ Par 8.131% 8.121% 8.103% 8.094% 8.083% 8.069%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Class B (to maturity)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 15.83 11.07 6.17 5.18 4.24 3.44
Duration 8.47 6.85 4.58 4.00 3.41 2.88
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 Mar-00 Mar-00
Last Principal Payment Jan-17 Jan-12 Aug-06 Feb-05 Jun-03 Sep-01
Principal Lockout (months) 178 73 39 36 36 36
Principal Window (months) 61 106 75 60 40 19
Yield @ Par 8.417% 8.408% 8.384% 8.374% 8.360% 8.342%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Class A-7 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 20.02 14.92 9.00 6.94 5.00 2.85
Duration 10.09 8.74 6.34 5.23 4.03 2.49
First Principal Payment Jan-15 Sep-11 Apr-04 Oct-02 May-01 Oct-99
Last Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Jan-03 Feb-00
Principal Lockout (months) 214 174 85 67 50 31
Principal Window (months) 42 5 34 33 21 5
Yield @ Par 7.507% 7.503% 7.490% 7.480% 7.464% 7.419%
Class A-8 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 21.36 14.94 9.94 8.36 6.53 4.44
Duration 10.16 8.60 6.72 5.96 4.96 3.63
First Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Jan-03 Feb-00
Last Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Sep-03 Dec-01
Principal Lockout (months) 255 178 118 99 70 35
Principal Window (months) 1 1 1 1 9 23
Yield @ Par 7.774% 7.769% 7.759% 7.754% 7.744% 7.721%
Class A-9 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 12.06 8.09 6.77 6.43 5.78 4.74
Duration 7.67 5.80 5.12 4.93 4.55 3.89
First Principal Payment Mar-00 Mar-00 Mar-00 Mar-00 Jun-00 Nov-00
Last Principal Payment Jan-12 Jan-12 Jan-07 Jun-05 Sep-03 Dec-01
Principal Lockout (months) 36 36 36 36 39 44
Principal Window (months) 143 143 83 64 40 14
Yield @ Par 7.283% 7.271% 7.264% 7.262% 7.257% 7.247%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1997-1
(as of January 17, 1997 Cut-Off Date)
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by ContiMortgage Corporation with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
Class M-1 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 16.84 11.38 6.67 5.60 4.62 3.97
Duration 9.04 7.16 4.92 4.31 3.71 3.29
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 May-00 Jul-00
Last Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Sep-03 Dec-01
Principal Lockout (months) 178 73 39 36 38 40
Principal Window (months) 78 106 80 64 41 18
Yield @ Par 7.832% 7.824% 7.804% 7.796% 7.784% 7.774%
Class M-2 (to call)
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
Average Life (years) 16.83 11.38 6.67 5.60 4.58 3.78
Duration 8.85 7.05 4.86 4.27 3.65 3.13
First Principal Payment Jan-12 Apr-03 Jun-00 Mar-00 Mar-00 Apr-00
Last Principal Payment Jun-18 Jan-12 Jan-07 Jun-05 Sep-03 Dec-01
Principal Lockout (months) 178 73 39 36 36 37
Principal Window (months) 78 106 80 64 43 21
Yield @ Par 8.130% 8.121% 8.101% 8.092% 8.080% 8.065%
These computational materials must be accompanied by a one page disclaimer which
must be read in its entirety by the addressee. If such disclaimer is not
attached, you must immediately notify Greenwich Capital Markets, Inc. of such
omission.
