<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)
March 10, 1997
ContiSecurities Asset Funding Corp.
------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-19427 13-2937238
- ----------------------------- -------------- -------------------
(State or Other Jurisdiction) (Commission (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 1997-2, 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 Credit Suisse
First Boston in connection with sales efforts.
99.2 Related Computational Materials provided by Morgan Stanley
& Co. in connection with sales efforts.
99.3 Related Computational Materials provided by Lehman Brothers,
Inc. in connection with sales efforts.
99.4 Related Computational Materials provided by Greenwich
Capital Markets 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: March 11, 1997
<PAGE>
EXHIBIT INDEX
<TABLE>
<CAPTION>
Exhibit No. Description Page No.
<S> <C> <C>
99.1 Related Computational Materials provided by Credit Suisse
First Boston in connection with sales efforts.
99.2 Related Computational Materials provided by Morgan Stanley
& Co. in connection with sales efforts.
99.3 Related Computational Materials provided by Lehman Brothers,
Inc. in connection with sales efforts.
99.4 Related Computational Materials provided by Greenwich
Capital Markets in connection with sales efforts.
</TABLE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Bond Summary
<TABLE>
<CAPTION>
To Maturity
---------------------------------------------------------------------------------
Class Rating Original Coupon Avg. CBE 1st Last Mod.
Name (M/F) Par % Life Yield Price Pay Pay Dur.
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 Aaa/AAA 81,000,000 6.31 0.50 5.915 99-31+ 4/97 2/98 0.48
A-2 Aaa/AAA 65,800,000 6.39 1.15 6.274 99-31 2/98 9/98 1.07
A-3 Aaa/AAA 113,400,000 6.55 2.01 6.509 99-31+ 9/98 11/99 1.83
A-4 Aaa/AAA 42,800,000 6.73 3.01 6.738 99-31 11/99 9/00 2.64
A-5 Aaa/AAA 39,200,000 6.93 4.01 6.961 99-31 9/00 11/01 3.39
A-6 Aaa/AAA 21,300,000 7.10 5.01 7.150 99-30+ 11/01 9/02 4.08
A-7 Aaa/AAA 35,500,000 7.32 6.96 7.381 99-31+ 9/02 7/06 5.24
A-8 Aaa/AAA 26,250,000 7.54 12.08 7.629 99-30 7/06 1/12 7.61
A-9 Aaa/AAA 39,375,000 7.05 6.53 7.109 99-30+ 5/00 1/12 5.00
A-10 Aaa/AAA 251,100,000 5.63 2.60 100-00 4/97 11/14
M-1F Aa2/AA 23,625,000 7.38 6.01 7.441 99-30+ 4/00 9/10 4.53
M-2F A3/A 30,187,500 7.61 5.81 7.672 99-31 4/00 4/09 4.41
B-1F Baa3/BBB 6,562,500 7.92 5.10 7.979 99-31+ 4/00 2/05 3.99
M-1A Aa2/AA 24,800,000 5.89 6.43 100-00 5/00 9/12
M-2A A3/A 19,375,000 6.09 6.34 100-00 5/00 1/11
B-1A Baa3/BBB 14,725,000 6.34 5.92 100-00 5/00 8/08
To Call
A-7 Aaa/AAA 35,500,000 7.32 6.84 7.381 99-31+ 9/02 6/05 5.18
A-8 Aaa/AAA 26,250,000 7.54 8.22 7.621 99-30 6/05 6/05 5.92
A-9 Aaa/AAA 39,375,000 7.05 6.37 7.108 99-30+ 5/00 6/05 4.91
A-10 Aaa/AAA 251,100,000 5.63 2.43 100-00 4/97 6/05
M-1F Aa2/AA 23,625,000 7.38 5.51 7.439 99-30+ 4/00 6/05 4.29
M-2F A3/A 30,187,500 7.61 5.51 7.670 99-31 4/00 6/05 4.26
B-1F Baa3/BBB 6,562,500 7.92 5.10 7.979 99-31+ 4/00 2/05 3.99
M-1A Aa2/AA 24,800,000 5.89 5.79 100-00 5/00 6/05
M-2A A3/A 19,375,000 6.09 5.79 100-00 5/00 6/05
B-1A Baa3/BBB 14,725,000 6.34 5.70 100-00 5/00 6/05
- ----------------------------------------------------------------------------------
</TABLE>
Notes:
(1) Fixed Rate Certificates (Class A-1 to A-9 and M-1F to B-1F) use a
prepayment assumption of 120% of a ramp from 4% to 20% CPR over 12 months
for pricing.
(2) Adjustable Rate Certificates (Class A-10 and M-1A to B-1A) use a prepayment
assumption of 25% CPR throughout the life of the collateral for pricing.
(3) Coupons and prices are assumed for computational materials.
(4) Call is a clean-up call exercised in the month following the month that the
aggregate loan balance is 10% of the original aggregate loan balance.
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Adjustable Rate Loans
Debt to Income Ratio Distribution
Remaining Pct.
Principal of
Range of Debt to Income Ratio Count Balance Total
----------------------------- ----- --------- -----
0.00 to 5.00 1 128,226.30 .04
5.01 to 10.00 17 1,587,001.00 .51
10.01 to 15.00 56 2,925,721.04 .94
15.01 to 20.00 170 10,147,280.50 3.27
20.01 to 25.00 316 21,571,644.34 6.96
25.01 to 30.00 408 29,253,884.42 9.43
30.01 to 35.00 453 35,388,708.69 11.41
35.01 to 40.00 601 50,629,294.35 16.33
40.01 to 45.00 733 64,310,532.53 20.74
45.01 to 50.00 777 72,660,558.44 23.43
50.01 to 55.00 162 18,896,511.68 6.09
55.01 to 60.00 20 2,576,920.64 0.83
TOTAL 3,714 310,076,283.93 100.00
Class A-1: $81,000,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 87 42 0 0 0 0
March 15, 1999 80 0 0 0 0 0
March 15, 2000 72 0 0 0 0 0
March 15, 2001 64 0 0 0 0 0
March 15, 2002 55 0 0 0 0 0
March 15, 2003 44 0 0 0 0 0
March 15, 2004 33 0 0 0 0 0
March 15, 2005 23 0 0 0 0 0
March 15, 2006 12 0 0 0 0 0
March 15, 2007 0 0 0 0 0 0
March 15, 2008 0 0 0 0 0 0
March 15, 2009 0 0 0 0 0 0
March 15, 2010 0 0 0 0 0 0
March 15, 2011 0 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 5.2 0.9 0.6 0.5 0.4 0.4
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class A-2: $65,800,000.00
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 97 74 40 0
March 15, 1999 100 72 0 0 0 0
March 15, 2000 100 0 0 0 0 0
March 15, 2001 100 0 0 0 0 0
March 15, 2002 100 0 0 0 0 0
March 15, 2003 100 0 0 0 0 0
March 15, 2004 100 0 0 0 0 0
March 15, 2005 100 0 0 0 0 0
March 15, 2006 100 0 0 0 0 0
March 15, 2007 99 0 0 0 0 0
March 15, 2008 83 0 0 0 0 0
March 15, 2009 64 0 0 0 0 0
March 15, 2010 43 0 0 0 0 0
March 15, 2011 18 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 12.6 2.3 1.3 1.1 1.0 0.8
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class A-3: $113,400,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 90
March 15, 1999 100 100 74 48 12 0
March 15, 2000 100 99 8 0 0 0
March 15, 2001 100 64 0 0 0 0
March 15, 2002 100 31 0 0 0 0
March 15, 2003 100 4 0 0 0 0
March 15, 2004 100 0 0 0 0 0
March 15, 2005 100 0 0 0 0 0
March 15, 2006 100 0 0 0 0 0
March 15, 2007 100 0 0 0 0 0
March 15, 2008 100 0 0 0 0 0
March 15, 2009 100 0 0 0 0 0
March 15, 2010 100 0 0 0 0 0
March 15, 2011 100 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 14.8 4.5 2.4 2.0 1.6 1.3
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class A-4: $42,800,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 0
March 15, 2000 100 100 100 39 0 0
March 15, 2001 100 100 19 0 0 0
March 15, 2002 100 100 0 0 0 0
March 15, 2003 100 100 0 0 0 0
March 15, 2004 100 63 0 0 0 0
March 15, 2005 100 33 0 0 0 0
March 15, 2006 100 3 0 0 0 0
March 15, 2007 100 0 0 0 0 0
March 15, 2008 100 0 0 0 0 0
March 15, 2009 100 0 0 0 0 0
March 15, 2010 100 0 0 0 0 0
March 15, 2011 100 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 14.8 7.5 3.7 3.0 2.4 1.8
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class A-5: $39,200,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 84
March 15, 2000 100 100 100 100 21 0
March 15, 2001 100 100 100 49 0 0
March 15, 2002 100 100 40 0 0 0
March 15, 2003 100 100 0 0 0 0
March 15, 2004 100 100 0 0 0 0
March 15, 2005 100 100 0 0 0 0
March 15, 2006 100 100 0 0 0 0
March 15, 2007 100 69 0 0 0 0
March 15, 2008 100 38 0 0 0 0
March 15, 2009 100 8 0 0 0 0
March 15, 2010 100 0 0 0 0 0
March 15, 2011 100 0 0 0 0 0
March 15, 2012 27 0 0 0 0 0
March 15, 2013 10 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 15.1 10.6 4.9 4.0 2.9 2.1
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class A-6: $21,300,000.00
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 0
March 15, 2001 100 100 100 100 22 0
March 15, 2002 100 100 100 47 0 0
March 15, 2003 100 100 68 0 0 0
March 15, 2004 100 100 0 0 0 0
March 15, 2005 100 100 0 0 0 0
March 15, 2006 100 100 0 0 0 0
March 15, 2007 100 100 0 0 0 0
March 15, 2008 100 100 0 0 0 0
March 15, 2009 100 100 0 0 0 0
March 15, 2010 100 62 0 0 0 0
March 15, 2011 100 13 0 0 0 0
March 15, 2012 100 0 0 0 0 0
March 15, 2013 100 0 0 0 0 0
March 15, 2014 83 0 0 0 0 0
March 15, 2015 43 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 17.8 13.3 6.2 5.0 3.8 2.4
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class A-7: $35,500,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 0
March 15, 2001 100 100 100 100 100 0
March 15, 2002 100 100 100 100 39 0
March 15, 2003 100 100 100 73 0 0
March 15, 2004 100 100 94 36 0 0
March 15, 2005 100 100 76 25 0 0
March 15, 2006 100 100 51 6 0 0
March 15, 2007 100 100 27 0 0 0
March 15, 2008 100 100 6 0 0 0
March 15, 2009 100 100 0 0 0 0
March 15, 2010 100 100 0 0 0 0
March 15, 2011 100 100 0 0 0 0
March 15, 2012 100 0 0 0 0 0
March 15, 2013 100 0 0 0 0 0
March 15, 2014 100 0 0 0 0 0
March 15, 2015 100 0 0 0 0 0
March 15, 2016 100 0 0 0 0 0
March 15, 2017 74 0 0 0 0 0
March 15, 2018 64 0 0 0 0 0
March 15, 2019 54 0 0 0 0 0
March 15, 2020 42 0 0 0 0 0
March 15, 2021 29 0 0 0 0 0
March 15, 2022 15 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 22.3 14.8 9.1 7.0 4.9 2.8
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class A-8: $26,250,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 99
March 15, 2001 100 100 100 100 100 79
March 15, 2002 100 100 100 100 100 18
March 15, 2003 100 100 100 100 99 3
March 15, 2004 100 100 100 100 68 2
March 15, 2005 100 100 100 100 66 2
March 15, 2006 100 100 100 100 52 2
March 15, 2007 100 100 100 84 38 2
March 15, 2008 100 100 100 63 26 0
March 15, 2009 100 100 85 47 14 0
March 15, 2010 100 100 65 34 6 0
March 15, 2011 100 100 50 23 1 0
March 15, 2012 100 76 8 0 0 0
March 15, 2013 100 63 3 0 0 0
March 15, 2014 100 52 0 0 0 0
March 15, 2015 100 42 0 0 0 0
March 15, 2016 100 33 0 0 0 0
March 15, 2017 100 23 0 0 0 0
March 15, 2018 100 18 0 0 0 0
March 15, 2019 100 13 0 0 0 0
March 15, 2020 100 9 0 0 0 0
March 15, 2021 100 5 0 0 0 0
March 15, 2022 100 2 0 0 0 0
March 15, 2023 100 0 0 0 0 0
March 15, 2024 78 0 0 0 0 0
March 15, 2025 53 0 0 0 0 0
March 15, 2026 24 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 28.0 17.9 13.7 12.1 9.2 4.6
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class A-9: $39,375,000.00
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 99 94 89 89 89 95
March 15, 2002 98 87 80 78 76 75
March 15, 2003 97 77 66 62 56 49
March 15, 2004 95 68 52 46 39 29
March 15, 2005 87 46 24 18 13 16
March 15, 2006 79 31 11 7 4 6
March 15, 2007 71 20 5 3 1 0
March 15, 2008 64 13 2 1 0 0
March 15, 2009 56 9 1 0 0 0
March 15, 2010 48 6 0 0 0 0
March 15, 2011 40 3 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 11.9 8.0 6.8 6.5 6.3 6.2
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class M-1F: $23,625,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 84 70 52 30
March 15, 2002 100 100 66 52 36 17
March 15, 2003 100 100 52 39 24 10
March 15, 2004 100 89 41 29 17 6
March 15, 2005 100 79 32 21 11 0
March 15, 2006 100 69 25 16 8 0
March 15, 2007 100 60 19 12 4 0
March 15, 2008 100 52 15 9 0 0
March 15, 2009 100 45 11 6 0 0
March 15, 2010 100 39 9 2 0 0
March 15, 2011 100 34 7 0 0 0
March 15, 2012 48 10 0 0 0 0
March 15, 2013 44 8 0 0 0 0
March 15, 2014 40 7 0 0 0 0
March 15, 2015 36 4 0 0 0 0
March 15, 2016 31 1 0 0 0 0
March 15, 2017 27 0 0 0 0 0
March 15, 2018 25 0 0 0 0 0
March 15, 2019 23 0 0 0 0 0
March 15, 2020 21 0 0 0 0 0
March 15, 2021 19 0 0 0 0 0
March 15, 2022 16 0 0 0 0 0
March 15, 2023 13 0 0 0 0 0
March 15, 2024 10 0 0 0 0 0
March 15, 2025 7 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 18.3 11.5 7.1 6.0 4.9 4.2
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class M-2F: 30,187,500.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 84 70 52 30
March 15, 2002 100 100 66 52 36 16
March 15, 2003 100 100 52 39 24 6
March 15, 2004 100 89 41 29 15 0
March 15, 2005 100 79 32 21 7 0
March 15, 2006 100 69 25 13 2 0
March 15, 2007 100 60 18 8 0 0
March 15, 2008 100 52 12 3 0 0
March 15, 2009 100 45 7 0 0 0
March 15, 2010 100 39 4 0 0 0
March 15, 2011 100 34 1 0 0 0
March 15, 2012 48 5 0 0 0 0
March 15, 2013 44 3 0 0 0 0
March 15, 2014 40 1 0 0 0 0
March 15, 2015 36 0 0 0 0 0
March 15, 2016 31 0 0 0 0 0
March 15, 2017 27 0 0 0 0 0
March 15, 2018 25 0 0 0 0 0
March 15, 2019 23 0 0 0 0 0
March 15, 2020 20 0 0 0 0 0
March 15, 2021 17 0 0 0 0 0
March 15, 2022 14 0 0 0 0 0
March 15, 2023 10 0 0 0 0 0
March 15, 2024 6 0 0 0 0 0
March 15, 2025 1 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 18.1 11.3 6.9 5.8 4.7 3.9
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class B-1F: 6,562,500.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 84 70 52 13
March 15, 2002 100 100 66 52 24 0
March 15, 2003 100 100 52 30 4 0
March 15, 2004 100 89 33 12 0 0
March 15, 2005 100 79 17 0 0 0
March 15, 2006 100 69 5 0 0 0
March 15, 2007 100 60 0 0 0 0
March 15, 2008 100 52 0 0 0 0
March 15, 2009 100 42 0 0 0 0
March 15, 2010 100 31 0 0 0 0
March 15, 2011 100 20 0 0 0 0
March 15, 2012 46 0 0 0 0 0
March 15, 2013 39 0 0 0 0 0
March 15, 2014 33 0 0 0 0 0
March 15, 2015 25 0 0 0 0 0
March 15, 2016 16 0 0 0 0 0
March 15, 2017 8 0 0 0 0 0
March 15, 2018 5 0 0 0 0 0
March 15, 2019 1 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 16.4 11.0 6.1 5.1 4.2 3.4
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class A-10: 251,100,000
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 98 82 72 67 60 48
March 15, 1999 98 68 52 44 34 18
March 15, 2000 97 56 35 27 15 0
March 15, 2001 96 45 24 19 14 0
March 15, 2002 96 35 19 14 9 0
March 15, 2003 95 27 15 11 6 0
March 15, 2004 94 22 11 8 4 0
March 15, 2005 93 19 9 6 3 0
March 15, 2006 92 17 7 4 2 0
March 15, 2007 91 14 5 3 1 0
March 15, 2008 89 12 4 2 1 0
March 15, 2009 88 11 3 2 1 0
March 15, 2010 86 9 3 1 0 0
March 15, 2011 84 8 2 1 0 0
March 15, 2012 81 7 2 1 0 0
March 15, 2013 78 6 1 0 0 0
March 15, 2014 75 5 1 0 0 0
March 15, 2015 72 4 1 0 0 0
March 15, 2016 68 3 0 0 0 0
March 15, 2017 63 3 0 0 0 0
March 15, 2018 58 2 0 0 0 0
March 15, 2019 53 2 0 0 0 0
March 15, 2020 46 1 0 0 0 0
March 15, 2021 39 1 0 0 0 0
March 15, 2022 31 1 0 0 0 0
March 15, 2023 23 1 0 0 0 0
March 15, 2024 18 0 0 0 0 0
March 15, 2025 12 0 0 0 0 0
March 15, 2026 5 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 20.7 5.1 3.1 2.6 2.0 1.1
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class M-1A: 24,800,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 96 78 56 100
March 15, 2002 100 100 75 58 38 58
March 15, 2003 100 100 59 43 26 33
March 15, 2004 100 91 46 32 18 18
March 15, 2005 100 78 36 24 12 8
March 15, 2006 100 67 28 18 8 1
March 15, 2007 100 58 22 13 6 0
March 15, 2008 100 50 17 10 3 0
March 15, 2009 100 43 13 7 0 0
March 15, 2010 100 37 10 5 0 0
March 15, 2011 100 31 8 4 0 0
March 15, 2012 100 27 6 1 0 0
March 15, 2013 100 22 5 0 0 0
March 15, 2014 100 19 3 0 0 0
March 15, 2015 100 16 1 0 0 0
March 15, 2016 100 13 0 0 0 0
March 15, 2017 100 11 0 0 0 0
March 15, 2018 100 9 0 0 0 0
March 15, 2019 100 7 0 0 0 0
March 15, 2020 100 6 0 0 0 0
March 15, 2021 100 5 0 0 0 0
March 15, 2022 100 2 0 0 0 0
March 15, 2023 93 0 0 0 0 0
March 15, 2024 72 0 0 0 0 0
March 15, 2025 47 0 0 0 0 0
March 15, 2026 20 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 27.8 12.4 7.8 6.4 5.2 5.6
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class M-2A: $19,375,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 96 78 56 31
March 15, 2002 100 100 75 58 38 17
March 15, 2003 100 100 59 43 26 10
March 15, 2004 100 91 46 32 18 3
March 15, 2005 100 78 36 24 12 0
March 15, 2006 100 67 28 18 8 0
March 15, 2007 100 58 22 13 3 0
March 15, 2008 100 50 17 10 0 0
March 15, 2009 100 43 13 6 0 0
March 15, 2010 100 37 10 2 0 0
March 15, 2011 100 31 8 0 0 0
March 15, 2012 100 27 4 0 0 0
March 15, 2013 100 22 1 0 0 0
March 15, 2014 100 19 0 0 0 0
March 15, 2015 100 16 0 0 0 0
March 15, 2016 100 13 0 0 0 0
March 15, 2017 100 11 0 0 0 0
March 15, 2018 100 9 0 0 0 0
March 15, 2019 100 6 0 0 0 0
March 15, 2020 100 3 0 0 0 0
March 15, 2021 100 1 0 0 0 0
March 15, 2022 100 0 0 0 0 0
March 15, 2023 93 0 0 0 0 0
March 15, 2024 72 0 0 0 0 0
March 15, 2025 47 0 0 0 0 0
March 15, 2026 20 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 27.8 12.3 7.7 6.3 5.0 4.2
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Class B-1A: $14,725,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 96 78 56 25
March 15, 2002 100 100 75 58 36 11
March 15, 2003 100 100 59 42 21 2
March 15, 2004 100 91 45 28 11 0
March 15, 2005 100 78 33 18 4 0
March 15, 2006 100 67 24 11 0 0
March 15, 2007 100 58 16 5 0 0
March 15, 2008 100 50 10 1 0 0
March 15, 2009 100 41 6 0 0 0
March 15, 2010 100 34 2 0 0 0
March 15, 2011 100 27 0 0 0 0
March 15, 2012 100 22 0 0 0 0
March 15, 2013 100 17 0 0 0 0
March 15, 2014 100 12 0 0 0 0
March 15, 2015 100 9 0 0 0 0
March 15, 2016 100 6 0 0 0 0
March 15, 2017 100 3 0 0 0 0
March 15, 2018 100 0 0 0 0 0
March 15, 2019 100 0 0 0 0 0
March 15, 2020 100 0 0 0 0 0
March 15, 2021 100 0 0 0 0 0
March 15, 2022 100 0 0 0 0 0
March 15, 2023 93 0 0 0 0 0
March 15, 2024 72 0 0 0 0 0
March 15, 2025 47 0 0 0 0 0
March 15, 2026 13 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 27.8 11.7 7.2 5.9 4.7 3.7
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-1: $81,000,000
Price: 99-31+ Coupon: 6.31
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.34 6.12 5.97 5.91 5.84 5.73
Average Life: 5.21 0.88 0.56 0.50 0.43 0.36
Duration: 4.12 0.83 0.54 0.48 0.42 0.35
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 3/07 11/98 3/98 2/98 12/97 11/97
-----------------------------------------------------------------------------
Class A-2: $65,800,000
Price: 99-31 Coupon: 6.39
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.45 6.37 6.30 6.27 6.24 6.19
Average Life: 12.58 2.31 1.32 1.15 0.97 0.80
Duration: 8.37 2.08 1.23 1.07 0.92 0.75
First Prin Pay: 3/07 11/98 3/98 2/98 12/97 11/97
Last Prin Pay: 12/11 3/00 11/98 9/98 6/98 3/98
-----------------------------------------------------------------------------
Class A-3: $113,400,000
Price: 99-31+ Coupon: 6.55
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.61 6.58 6.53 6.51 6.48 6.44
Average Life: 14.80 4.48 2.37 2.01 1.65 1.27
Duration: 9.20 3.75 2.13 1.83 1.51 1.18
First Prin Pay: 12/11 3/00 11/98 9/98 6/98 3/98
Last Prin Pay: 1/12 6/03 5/00 11/99 5/99 11/98
-----------------------------------------------------------------------------
Class A-4: $42,800,000
Price: 99-31 Coupon: 6.73
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.80 6.78 6.75 6.74 6.72 6.68
Average Life: 14.81 7.53 3.67 3.01 2.38 1.79
Duration: 9.10 5.71 3.15 2.64 2.13 1.63
First Prin Pay: 1/12 6/03 5/00 11/99 5/99 11/98
Last Prin Pay: 1/12 5/06 6/01 9/00 11/99 3/99
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-5: $39,200,000
Price: 99-31 Coupon: 6.93
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.00 7.00 6.97 6.96 6.94 6.91
Average Life: 15.07 10.64 4.90 4.01 2.94 2.14
Duration: 9.07 7.28 4.02 3.39 2.57 1.92
First Prin Pay: 1/12 5/06 6/01 9/00 11/99 3/99
Last Prin Pay: 10/13 7/09 12/02 11/01 10/00 7/99
-----------------------------------------------------------------------------
Class A-6: $21,300,000
Price: 99-30+ Coupon: 7.10
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.18 7.18 7.16 7.15 7.14 7.10
Average Life: 17.82 13.27 6.25 5.01 3.84 2.44
Duration: 9.79 8.32 4.88 4.08 3.25 2.16
First Prin Pay: 10/13 7/09 12/02 11/01 10/00 7/99
Last Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
-----------------------------------------------------------------------------
Class A-7: $35,500,000
Price: 99-31+ Coupon: 7.32
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.41 7.40 7.39 7.38 7.37 7.32
Average Life: 22.28 14.77 9.06 6.96 4.92 2.77
Duration: 10.61 8.74 6.38 5.24 3.99 2.42
First Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
Last Prin Pay: 3/23 1/12 7/08 7/06 3/03 3/00
-----------------------------------------------------------------------------
Class A-8: $26,250,000
Price: 99-30 Coupon: 7.54
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.64 7.64 7.63 7.63 7.62 7.60
Average Life: 28.03 17.94 13.72 12.08 9.21 4.61
Duration: 11.29 9.43 8.24 7.61 6.32 3.74
First Prin Pay: 3/23 1/12 7/08 7/06 3/03 3/00
Last Prin Pay: 11/26 11/22 2/14 1/12 6/11 8/07
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-9: $39,375,000
Price: 99-30+ Coupon: 7.05
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.12 7.12 7.11 7.11 7.11 7.11
Average Life: 11.94 8.03 6.79 6.53 6.28 6.20
Duration: 7.68 5.80 5.14 5.00 4.86 4.81
First Prin Pay: 4/00 4/00 4/00 5/00 7/00 1/01
Last Prin Pay: 1/12 1/12 1/12 1/12 4/11 5/07
-----------------------------------------------------------------------------
Class A-10: $251,100,000
Price: 100-00 Coupon: 5.63%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 20.69 5.10 3.15 2.60 2.00 1.15
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 12/26 10/24 2/18 11/14 3/11 2/07
-----------------------------------------------------------------------------
Class M-1F $23,625,000
Price: 99-30+ Coupon: 7.38
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.47 7.46 7.45 7.44 7.43 7.43
Average Life: 18.27 11.54 7.13 6.01 4.95 4.20
Duration: 9.52 7.33 5.15 4.53 3.91 3.46
First Prin Pay: 1/12 5/03 7/00 4/00 6/00 8/00
Last Prin Pay: 2/26 7/16 1/12 9/10 12/07 1/05
-----------------------------------------------------------------------------
Class M-2F $30,187,500
Price: 99-31 Coupon: 7.61
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.70 7.69 7.68 7.67 7.66 7.65
Average Life: 18.08 11.34 6.93 5.81 4.75 3.88
Duration: 9.34 7.18 5.03 4.41 3.77 3.22
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 5/00
Last Prin Pay: 6/25 9/14 7/11 4/09 10/06 3/04
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class B-1F: $6,562,500
Price: 99-31+ Coupon: 7.92
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 8.02 8.01 7.99 7.98 7.97 7.95
Average Life: 16.40 10.97 6.08 5.10 4.16 3.37
Duration: 8.82 6.94 4.58 3.99 3.39 2.85
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 4/00
Last Prin Pay: 8/19 1/12 9/06 2/05 7/03 10/01
-----------------------------------------------------------------------------
Class M-1A: $24,800,000
Price: 100-00 Coupon: 5.89%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.83 12.44 7.78 6.43 5.20 5.64
First Prin Pay: 11/22 8/03 1/01 5/00 7/00 4/01
Last Prin Pay: 11/26 3/23 9/15 9/12 5/09 5/06
-----------------------------------------------------------------------------
Class M-2A: $19,375,000
Price: 100-00 Coupon: 6.09%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.82 12.34 7.68 6.34 5.05 4.22
First Prin Pay: 11/22 8/03 1/01 5/00 5/00 8/00
Last Prin Pay: 10/26 8/21 10/13 1/11 1/08 12/04
-----------------------------------------------------------------------------
Class B-1A: $14,725,000
Price: 100-00 Coupon: 6.34%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.75 11.67 7.18 5.92 4.69 3.71
First Prin Pay: 11/22 8/03 1/01 5/00 4/00 4/00
Last Prin Pay: 8/26 6/18 12/10 8/08 2/06 7/03
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-7: $35,500,000
Price: 99-31+ Coupon: 7.32
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.41 7.40 7.39 7.38 7.37 7.32
Average Life: 22.28 14.77 8.83 6.84 4.92 2.77
Duration: 10.61 8.74 6.27 5.18 3.99 2.42
First Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
Last Prin Pay: 3/23 1/12 1/07 6/05 3/03 3/00
-----------------------------------------------------------------------------
Class A-8: $26,250,000
Price: 99-30 Coupon: 7.54
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.64 7.63 7.63 7.62 7.61 7.60
Average Life: 27.54 14.87 9.81 8.22 6.43 4.36
Duration: 11.23 8.65 6.70 5.92 4.92 3.58
First Prin Pay: 3/23 1/12 1/07 6/05 3/03 3/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class A-9: $39,375,000
Price: 99-30+ Coupon: 7.05
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.12 7.12 7.11 7.11 7.10 7.09
Average Life: 11.94 8.03 6.72 6.37 5.69 4.63
Duration: 7.68 5.80 5.11 4.91 4.52 3.82
First Prin Pay: 4/00 4/00 4/00 5/00 7/00 1/01
Last Prin Pay: 1/12 1/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class A-10: $251,100,000
Price: 100-00 Coupon: 5.63%
-----------------------------------------------------------------------------
TO CALL
Average Life: 20.59 4.77 2.94 2.43 1.87 1.13
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class M-1F: $23,625,000
Price: 99-30+ Coupon: 7.38
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.47 7.46 7.45 7.44 7.43 7.42
Average Life: 18.23 11.28 6.57 5.51 4.54 3.91
Duration: 9.52 7.25 4.92 4.29 3.69 3.27
First Prin Pay: 1/12 5/03 7/00 4/00 6/00 8/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class M-2F: $30,187,500
Price: 99-31 Coupon: 7.61
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.70 7.69 7.68 7.67 7.66 7.65
Average Life: 18.08 11.27 6.57 5.51 4.50 3.70
Duration: 9.34 7.16 4.88 4.26 3.63 3.11
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 5/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class B-1F: $6,562,500
Price: 99-31+ Coupon: 7.92
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 8.02 8.01 7.99 7.98 7.97 7.95
Average Life: 16.40 10.97 6.08 5.10 4.16 3.37
Duration: 8.82 6.94 4.58 3.99 3.39 2.85
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 4/00
Last Prin Pay: 8/19 1/12 9/06 2/05 7/03 10/01
-----------------------------------------------------------------------------
Class M-1A: $24,800,000
Price: 100-00 Coupon: 5.89
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.17 6.98 5.79 4.70 4.60
First Prin Pay: 11/22 8/03 1/01 5/00 7/00 4/01
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class M-2A: $19,375,000
Price: 100-00 Coupon: 6.09%
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.17 6.98 5.79 4.62 3.95
First Prin Pay: 11/22 8/03 1/01 5/00 5/00 8/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class B-1A: $14,725,000
Price: 100-00 Coupon: 6.34%
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.07 6.89 5.70 4.52 3.62
First Prin Pay: 11/22 8/03 1/01 5/00 4/00 4/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Fixed Rate Home Equity Loans - Summary
Number of Loans: 8,686
Outstanding Loan Balance: 524,923,376.08
Balloon (% of Total): 50.82%
Level Pay (% of Total): 49.18%
Average Principal Balance: 60,433.27
Weighted Average LTV: 72.76%
Weighted Average CLTV: 75.60%
Weighted Average Home Equity Ratio (2nd Liens): 39.43%
Weighted Average Coupon: 11.54%
Weighted Average Remaining Term (months): 221.49
Weighted Average Seasoning (months): 1.51
Weighted Average Original Term (months): 223.00
Range of Original Terms: Level Pay Balloons
------------------ --------
Up to 120: 1.95% Up to 120: 0.02%
121 - 180: 11.83% 121 - 180: 50.79%
181 - 240: 15.62%
241 - 300: 1.08%
301 - 360: 18.71%
Lien Position: 1st Lien: 93.80%
2nd Lien: 6.20%
Property Type: Single Family Detached: 85.89% 2 - 4 Family: 7.38%
Single Family Attached: 3.17% Other: 3.56%
Occupancy Status: Owner Occupied: 95.45%
Investor Owned: 4.55%
Geographic Distribution: MI: 8.69% IL: 6.44%
OH: 8.36% NC: 6.37%
NY: 7.91% FL: 6.12%
PA: 6.89% NJ: 5.92%
Credit Quality: A: 53.28%
B: 26.47%
C: 15.16%
D: 4.59%
Mixed Use: 0.49%
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Fixed Rate Loans
Lien Position Distribution
Remaining Pct.
Lien Principal of
Position Balance Total Count
-------- --------- ----- -----
First Lien 492,364,706.29 93.80 7,723
Second Lien 32,558,669.79 6.20 963
TOTAL 524,923,376.08 100.00 8,686
Interest Rate Distribution
Remaining Pct.
Principal of
Range of Coupons Count Balance Total
-------------- ----- --------- -----
7.01 to 8.00 6 614,296.43 .12
8.01 to 9.00 200 16,147,707.31 3.08
9.01 to 10.00 1,079 80,879,972.41 15.41
10.01 to 11.00 1,979 139,449,027.24 26.57
11.01 to 12.00 1,977 122,389,104.57 23.32
12.01 to 13.00 1,554 85,930,098.58 16.37
13.01 to 14.00 931 43,764,823.20 8.34
14.01 to 15.00 508 20,607,292.52 3.93
15.01 to 16.00 273 10,206,390.54 1.94
16.01 to 17.00 123 3,432,834.07 .65
17.01 to 18.00 46 1,221,485.58 .23
18.01 to 19.00 8 190,446.90 .04
19.01 to 20.00 2 89,896.73 .02
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Fixed Rate Loans
Remaining Principal Distribution
Range of Remaining Pct.
Remaining Principal of
Principal Count Balance Total
---------- ----- --------- -----
0.00 to 25000.00 1,285 24,583,580.75 4.68
25000.01 to 50000.00 3,045 114,720,862.93 21.86
50000.01 to 75000.00 2,164 132,466,209.47 25.24
75000.01 to 100000.00 1,033 89,373,151.90 17.03
100000.01 to 125000.00 559 62,470,709.28 11.90
125000.01 to 150000.00 277 37,863,628.84 7.21
150000.01 to 175000.00 147 23,766,261.89 4.53
175000.01 to 200000.00 72 13,474,229.35 2.57
200000.01 to 225000.00 39 8,291,621.54 1.58
225000.01 to 250000.00 28 6,619,459.11 1.26
250000.01 to 275000.00 10 2,622,441.34 .50
275000.01 to 300000.00 9 2,602,267.83 .50
300000.01 to 325000.00 11 3,474,302.98 .66
325000.01 to 350000.00 3 1,009,787.31 .19
350000.01 to 400000.00 3 1,172,361.56 .22
400000.01 to 450000.00 1 412,500.00 .08
TOTAL 8,686 524,923,376.08 100.00
Occupancy Status Distribution
Remaining Pct.
Occupancy Principal of
Status Count Balance Total
--------- ----- --------- -----
Investor Owned 515 23,867,091.73 4.55
Owner Occupied 8,171 501,056,284.35 95.45
TOTAL 8,686 524,923,376.08 100.00
Months of Seasoning Distribution
Remaining Pct.
Principal of
Range of Seasoning Count Balance Total
------------------- ----- --------- -----
0 to 1 4,662 279,813,901.93 53.31
2 to 12 4,021 245,011,886.73 46.68
13 to 24 3 97,587.42 .02
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Fixed Rate Loans
State Distribution by Mailing Address
Remaining Pct.
Principal of
State Count Balance Total
----- ----- ------- -----
Arizona 62 4,058,751.81 .77
Arkansas 83 3,986,462.69 .76
California 154 14,220,213.60 2.71
Colorado 93 6,348,599.37 1.21
Connecticut 72 5,184,563.00 .99
Delaware 19 1,275,133.03 .24
District of Columbia 29 2,206,411.03 .42
Florida 557 32,134,291.41 6.12
Georgia 224 13,256,202.44 2.53
Hawaii 5 888,672.08 .17
Idaho 28 1,780,939.25 .34
Illinois 558 33,780,549.72 6.44
Indiana 524 25,756,700.26 4.91
Iowa 52 1,735,836.07 .33
Kansas 48 2,344,996.58 .45
Kentucky 137 7,716,882.84 1.47
Louisiana 16 1,080,395.50 .21
Maine 7 329,975.16 .06
Maryland 301 22,013,802.45 4.19
Massachusetts 194 15,367,454.12 2.93
Michigan 1,015 45,635,105.08 8.69
Minnesota 82 4,943,774.62 .94
Mississippi 32 1,566,236.46 .30
Missouri 203 9,468,566.69 1.80
Montana 10 626,893.56 .12
Nebraska 29 1,369,114.38 .26
Nevada 26 2,247,653.71 .43
New Hampshire 18 1,347,080.42 .26
New Jersey 380 31,078,626.46 5.92
New Mexico 77 5,996,019.42 1.14
New York 474 41,532,101.66 7.91
North Carolina 637 33,447,157.70 6.37
North Dakota 1 65,200.00 .01
Ohio 759 43,855,075.71 8.36
Oklahoma 61 2,528,165.41 .48
Oregon 60 4,338,872.18 .83
Pennsylvania 589 36,175,849.49 6.89
Rhode Island 57 3,646,377.17 .70
South Carolina 214 10,172,865.58 1.94
Tennessee 184 11,136,410.68 2.12
Texas 90 5,498,173.88 1.05
Utah 109 8,589,716.47 1.64
Vermont 1 79,000.00 .02
Virginia 253 13,130,235.40 2.50
Washington 53 5,102,611.73 .97
West Virginia 14 539,497.36 .10
Wisconsin 95 5,340,162.45 1.02
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Fixed Rate Loans
Property Type Distribution
Remaining Pct.
Property Principal of
Type Count Balance Total
-------- ----- --------- -----
Condominium 44 2,155,689.01 .41
Manufactured Housing 209 9,904,782.80 1.89
Mixed Use 25 2,338,600.57 .45
Planned Unit Development 45 4,280,552.01 .82
Single Family Attached 351 16,657,736.81 3.17
Single Family Detached 7,484 450,827,998.79 85.89
Two-to-Four Family 528 38,758,016.09 7.38
TOTAL 8,686 524,923,376.08 100.00
Remaining Term Distribution
Range of Remaining Pct.
Remaining Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 375 10,328,812.21 1.97
121 to 180 5,420 328,738,022.77 62.63
181 to 240 1,497 81,986,801.68 15.62
241 to 300 90 5,682,665.07 1.08
301 to 360 1,304 98,187,074.35 18.71
TOTAL 8,686 524,923,376.08 100.00
Original Term Distribution
Range of Remaining Pct.
Original Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 375 10,328,812.21 1.97
121 to 180 5,420 328,738,022.77 62.63
181 to 240 1,497 81,986,801.68 15.62
241 to 300 90 5,682,665.07 1.08
301 to 360 1,304 98,187,074.35 18.71
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Fixed Rate Loans
Combined Loan to Value Ratio Distribution
Remaining Pct.
Principal of
Range of CLTV Balance Total Count
-------------- --------- ----- -----
5.01 to 10.00 97,706.48 .02 5
10.01 to 15.00 300,837.97 .06 13
15.01 to 20.00 785,724.63 .15 27
20.01 to 25.00 895,391.62 .17 38
25.01 to 30.00 1,944,266.86 .37 74
30.01 to 35.00 2,925,738.75 .56 95
35.01 to 40.00 4,353,825.56 .83 134
40.01 to 45.00 6,315,864.92 1.20 173
45.01 to 50.00 12,517,181.37 2.38 323
50.01 to 55.00 9,210,617.96 1.75 216
55.01 to 60.00 20,272,210.96 3.86 423
60.01 to 65.00 29,082,169.43 5.54 557
65.01 to 70.00 51,516,507.36 9.81 896
70.01 to 75.00 70,479,094.78 13.43 1,198
75.01 to 80.00 145,334,868.34 27.69 2,348
80.01 to 85.00 94,484,147.15 18.00 1,343
85.01 to 90.00 71,136,252.42 13.55 787
90.01 to 95.00 3,270,969.52 .62 36
TOTAL 524,923,376.08 100.00 8,686
Loan to Value Ratio Distribution
Remaining Pct.
Principal of
Range of LTV Count Balance Total
-------------- ----- --------- -----
5.01 to 10.00 39 738,193.85 .14
10.01 to 15.00 188 4,222,729.35 .80
15.01 to 20.00 260 7,394,616.87 1.41
20.01 to 25.00 219 6,407,036.31 1.22
25.01 to 30.00 191 6,293,247.05 1.20
30.01 to 35.00 164 5,693,745.35 1.09
35.01 to 40.00 167 6,351,184.01 1.21
40.01 to 45.00 186 7,142,198.82 1.36
45.01 to 50.00 333 13,118,906.22 2.50
50.01 to 55.00 214 9,757,942.70 1.86
55.01 to 60.00 397 19,611,938.38 3.74
60.01 to 65.00 525 28,107,746.41 5.36
65.01 to 70.00 803 48,091,415.23 9.16
70.01 to 75.00 1,076 66,458,251.78 12.66
75.01 to 80.00 2,088 137,062,978.87 26.11
80.01 to 85.00 1,070 85,711,155.40 16.33
85.01 to 90.00 733 69,538,365.34 13.25
90.01 to 95.00 33 3,221,724.14 .61
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Fixed Rate Loans
Loan Purpose Distribution
<TABLE>
<CAPTION>
Remaining Pct.
Principal of
Purpose Count Balance Total
------- ----- --------- -----
<S> <C> <C> <C>
Debt Consolidation & Home Imp. Combo. 385 23,086,423.27 4.40
Debt Consolidation 6,669 395,689,441.98 75.38
Home Improvement 226 11,311,747.17 2.16
Other 527 34,169,416.02 6.51
Purchase 879 60,666,347.64 11.56
TOTAL 8,686 524,923,376.08 100.00
</TABLE>
Home Equity Ratio Distribution (Loans with 2nd Liens Only)
Remaining Pct.
Range of Home Principal of
Equity Ratio Balance Total Count
------------- --------- ----- -----
5.01 to 10.00 39,208.31 .12 3
10.01 to 15.00 1,109,843.51 3.41 56
15.01 to 20.00 3,351,768.55 10.29 152
20.01 to 25.00 5,117,715.89 15.72 184
25.01 to 30.00 4,434,796.75 13.62 150
30.01 to 35.00 3,583,015.86 11.00 106
35.01 to 40.00 2,656,680.75 8.16 75
40.01 to 45.00 2,817,880.74 8.65 59
45.01 to 50.00 1,207,247.48 3.71 27
50.01 to 55.00 875,609.58 2.69 22
55.01 to 60.00 1,638,065.85 5.03 31
60.01 to 65.00 1,104,322.94 3.39 20
65.01 to 70.00 1,062,827.74 3.26 22
70.01 to 75.00 536,142.07 1.65 10
75.01 to 80.00 871,768.47 2.68 14
80.01 to 85.00 744,163.19 2.29 13
85.01 to 90.00 595,866.10 1.83 10
90.01 to 95.00 559,767.95 1.72 5
95.01 to 100.00 251,978.06 .77 4
TOTAL 32,558,669.79 100.00 963
Number of Days Delinquent
Remaining Pct.
Days Principal of
Delinquent Count Balance Total
---------- ----- --------- -----
0 - 29 8,497 513,317,084.01 97.79
30 - 59 179 11,047,948.85 2.11
More than 59 10 558,343.22 .11
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Fixed Rate Loans
Debt to Income Ratio Distribution
Remaining Pct.
Principal of
Range of Debt to Income Ratio Count Balance Total
-------------------- ----- --------- -----
0.00 to 5.00 5 380,900.27 .07
5.01 to 10.00 54 2,220,153.35 .42
10.01 to 15.00 200 7,891,207.57 1.50
15.01 to 20.00 441 19,033,884.19 3.63
20.01 to 25.00 719 34,813,824.57 6.63
25.01 to 30.00 934 50,132,905.20 9.55
30.01 to 35.00 1,151 66,101,915.94 12.59
35.01 to 40.00 1,356 82,781,475.84 15.77
40.01 to 45.00 1,676 109,095,266.02 20.78
45.01 to 50.00 1,919 135,199,008.83 25.76
50.01 to 55.00 218 16,134,525.78 3.07
55.01 to 60.00 13 1,138,308.52 .22
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Adjustable Rate Home Equity Loans - Summary
Number of Loans: 3,714
Outstanding Loan Balance: 310,076,283.93
Balloon (% of Total): 0.06%
Level Pay (% of Total): 99.94%
Adjustable (% of Total): 100.00%
ARM Adjustment Type: 3/27 2/28 6 Month
---- ---- -------
4.15% 25.67% 70.18%
Average Principal Balance: 83,488.50
Weighted Average LTV: 74.44%
Weighted Average Coupon: 10.22%
Weighted Average Gross Margin: 6.72%
Weighted Average Gross Life Cap: 16.50%
Weighted Average Periodic Cap: 1.05%
Weighted Average Remaining Term (months): 355.64
Weighted Average Seasoning (months): 2.33
Weighted Average Original Term (months): 357.96
Range of Original Terms: Level Pay Balloons
------------------ -----------------
Up to 120: 0.10% 121 - 180: 0.06%
121 - 180: 0.72%
181 - 240: 0.29%
241 - 300: 0.07%
301 - 360: 98.77%
Lien Position: 1st Lien: 100.00%
Property Type: Single Family Detached: 90.34% 2 - 4 Family: 4.38%
Single Family Attached: 1.18% Other: 4.10%
Occupancy Status: Owner Occupied: 95.98%
Investor Owned: 4.02%
Geographic Distribution: MI: 30.01% WA: 5.77%
CA: 13.13% IL: 5.25%
Credit Quality: A: 47.65%
B: 28.83%
C: 19.59%
D: 3.93%
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Adjustable Rate Loans
Lien Position Distribution
Remaining Pct. Pct.
Lien Principal of of
Position Balance Total Count Loans
First Lien 310,076,283.93 100.00 3,714 100.00
TOTAL 310,076,283.93 100.00 3,714 100.00
Interest Rate Distribution
Remaining Pct.
Principal of
Range of Coupons Count Balance Total
-------------- ----- --------- -----
6.01 to 7.00 7 757,482.82 .24
7.01 to 8.00 69 7,827,708.05 2.52
8.01 to 9.00 381 43,049,571.99 13.88
9.01 to 10.00 1,091 102,025,158.05 32.90
10.01 to 11.00 1,162 90,214,809.78 29.09
11.01 to 12.00 653 45,515,359.10 14.68
12.01 to 13.00 217 13,609,562.61 4.39
13.01 to 14.00 78 4,434,690.25 1.43
14.01 to 15.00 44 2,020,964.30 .65
15.01 to 16.00 12 620,976.98 .20
TOTAL 3,714 310,076,283.93 100.00
Remaining Principal Distribution
Range of Remaining Pct.
Remaining Principal of
Principal Count Balance Total
---------- ----- --------- -----
0.00 to 25000.00 155 3,177,386.36 1.03
25000.01 to 50000.00 939 36,524,439.19 11.78
50000.01 to 75000.00 1,011 63,095,686.09 20.35
75000.01 to 100000.00 663 57,977,539.41 18.70
100000.01 to 125000.00 343 38,280,950.01 12.35
125000.01 to 150000.00 215 29,632,306.79 9.56
150000.01 to 175000.00 126 20,460,044.65 6.60
175000.01 to 200000.00 93 17,385,637.92 5.61
200000.01 to 225000.00 62 13,106,072.94 4.23
225000.01 to 250000.00 31 7,437,029.25 2.40
250000.01 to 275000.00 26 6,827,782.13 2.20
275000.01 to 300000.00 19 5,487,691.58 1.77
300000.01 to 325000.00 11 3,426,022.93 1.11
325000.01 to 350000.00 11 3,739,456.64 1.21
350000.01 to 400000.00 7 2,644,775.54 .85
400000.01 to 450000.00 2 873,462.50 .28
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Adjustable Rate Loans
State Distribution by Mailing Address
Remaining Pct.
Principal of
State Count Balance Total
----- ----- ------- -----
Arizona 96 9,132,581.26 2.95
Arkansas 10 1,187,056.35 .38
California 290 40,721,277.90 13.13
Colorado 94 8,810,515.78 2.84
Connecticut 42 4,177,971.06 1.35
Delaware 1 189,818.19 .06
District of Columbia 4 354,278.08 .11
Florida 38 3,360,536.77 1.08
Georgia 27 2,326,958.89 .75
Hawaii 10 2,030,821.01 .66
Idaho 25 1,609,965.72 .52
Illinois 183 16,291,384.89 5.25
Indiana 119 6,865,561.16 2.21
Iowa 76 4,024,162.49 1.30
Kansas 54 2,530,929.32 .82
Kentucky 16 1,300,037.78 .42
Louisiana 4 377,601.36 .12
Maine 3 172,021.61 .06
Maryland 70 8,275,766.93 2.67
Massachusetts 19 2,440,050.48 .79
Michigan 1,386 93,052,614.49 30.01
Minnesota 33 2,669,590.96 .86
Missouri 59 4,201,349.20 1.36
Montana 6 616,758.43 .20
Nebraska 14 848,497.32 .27
Nevada 11 1,926,234.06 .62
New Hampshire 4 371,805.36 .12
New Jersey 26 2,962,440.56 .96
New Mexico 64 5,455,919.21 1.76
New York 38 3,678,776.38 1.19
North Carolina 22 1,839,012.06 .59
Ohio 186 13,068,700.91 4.22
Oklahoma 3 220,435.85 .07
Oregon 53 4,931,747.96 1.59
Pennsylvania 71 5,764,985.59 1.86
Rhode Island 8 696,976.92 .23
South Carolina 15 1,260,072.80 .41
Tennessee 31 3,252,863.02 1.05
Texas 76 6,750,079.70 2.18
Utah 148 14,291,400.26 4.61
Virginia 10 1,057,829.01 .34
Washington 164 17,893,274.53 5.77
West Virginia 22 963,734.41 .31
Wisconsin 80 5,902,703.17 1.90
Wyoming 3 219,184.74 .07
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Adjustable Rate Loans
Occupancy Status Distribution
Remaining Pct.
Occupancy Principal of
Status Count Balance Total
--------- ----- --------- -----
Investor Owned 168 12,469,009.11 4.02
Owner Occupied 3,546 297,607,274.82 95.98
TOTAL 3,714 310,076,283.93 100.00
Months of Seasoning Distribution
Remaining Pct.
Principal of
Range of Seasoning Count Balance Total
------------------- ----- --------- -----
0 to 1 930 76,237,844.82 24.59
2 to 12 2,783 233,793,983.15 75.40
13 to 24 1 44,455.96 .01
TOTAL 3,714 310,076,283.93 100.00
Property Type Distribution
Remaining Pct.
Property Principal of
Type Count Balance Total
-------- ----- --------- -----
Condominium 34 2,750,786.38 .89
Manufactured Housing 88 5,428,946.67 1.75
Planned Unit Development 34 4,548,041.84 1.47
Single Family Attached 49 3,651,170.75 1.18
Single Family Detached 3,357 280,114,233.00 90.34
Two-to-Four Family 152 13,583,105.29 4.38
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Adjustable Rate Loans
Remaining Term Distribution
Range of Remaining Pct.
Remaining Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 9 304,212.67 .10
121 to 180 57 2,403,893.33 .78
181 to 240 13 908,211.18 .29
241 to 300 2 201,150.00 .07
301 to 360 3,633 306,258,816.75 98.77
TOTAL 3,714 310,076,283.93 100.00
Original Term Distribution
Range of Remaining Pct.
Original Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 9 304,212.67 .10
121 to 180 57 2,403,893.33 .78
181 to 240 13 908,211.18 .29
241 to 300 2 201,150.00 .07
301 to 360 3,633 306,258,816.75 98.77
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Loan to Value Ratio Distribution
Remaining Pct.
Principal of
Range of LTV Count Balance Total
-------------- ----- --------- -----
5.01 to 10.00 1 29,927.93 .01
10.01 to 15.00 4 139,394.31 .05
15.01 to 20.00 9 299,492.03 .10
20.01 to 25.00 7 322,625.72 .10
25.01 to 30.00 14 597,774.25 .19
30.01 to 35.00 23 896,633.56 .29
35.01 to 40.00 37 1,728,614.09 .56
40.01 to 45.00 39 2,605,400.15 .84
45.01 to 50.00 137 7,824,859.21 2.52
50.01 to 55.00 90 5,874,551.42 1.90
55.01 to 60.00 164 11,119,969.94 3.59
60.01 to 65.00 304 22,361,493.26 7.21
65.01 to 70.00 399 33,023,323.18 10.65
70.01 to 75.00 679 58,633,100.94 18.91
75.01 to 80.00 1,175 102,551,857.73 33.07
80.01 to 85.00 521 50,198,039.80 16.19
85.01 to 90.00 110 11,809,765.69 3.81
90.01 to 95.00 1 59,460.72 .02
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Adjustable Rate Loans
Margin Rate Distribution
Remaining Pct.
Principal of
Range of Margins Balance Total Count
----------------- --------- ----- -----
0.00 to 3.99 572,946.72 .18 7
4.00 to 4.99 8,633,119.16 2.78 72
5.00 to 5.99 74,411,337.44 24.00 699
6.00 to 6.99 103,362,155.55 33.33 1,205
7.00 to 7.99 86,793,931.42 27.99 1,173
8.00 to 8.99 28,704,184.14 9.26 433
9.00 to 9.99 6,611,610.87 2.13 108
10.00 to 10.99 986,998.63 .32 17
TOTAL 310,076,283.93 100.00 3,714
Next Coupon Change
Remaining Pct.
Change Principal of
Date Count Balance Total
------ ----- --------- -----
April 1997 136 11,617,609.49 3.75
May 1997 697 55,973,452.05 18.05
June 1997 793 61,348,651.25 19.79
July 1997 689 52,556,804.97 16.95
August 1997 347 26,163,849.87 8.44
September 1997 111 9,396,008.08 3.03
October 1997 1 138,613.14 .05
December 1997 1 87,617.45 .03
May 1998 1 55,931.17 .02
July 1998 1 89,755.56 .03
September 1998 8 901,155.03 .29
October 1998 26 2,207,957.81 .71
November 1998 156 14,831,392.51 4.78
December 1998 224 21,519,316.86 6.94
January 1999 224 23,516,085.59 7.58
February 1999 127 12,395,185.05 4.00
March 1999 40 3,992,455.00 1.29
August 1999 1 208,000.00 .07
October 1999 6 571,454.53 .18
November 1999 14 1,298,337.11 .42
December 1999 36 3,875,485.21 1.25
January 2000 35 3,603,889.16 1.16
February 2000 32 2,892,102.04 .93
March 2000 8 835,175.00 .27
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Adjustable Rate Loans
Loan Purpose Distribution
Remaining Pct.
Principal of
Purpose Count Balance Total
------- ----- --------- -----
Debt Consolidation & Home Imp. Combo. 199 16,923,716.10 5.46
Debt Consolidation 2,606 207,412,930.25 66.89
Home Improvement 118 7,655,454.59 2.47
Other 220 19,576,580.40 6.31
Purchase 571 58,507,602.59 18.87
TOTAL 3,714 310,076,283.93 100.00
Periodic Cap Distribution
Remaining Pct.
Periodic Principal of
Cap Count Balance Total
------- ----- --------- -----
1.000 3,462 281,410,007.90 90.76
1.250 2 503,008.14 .16
1.500 236 27,006,250.52 8.71
3.000 13 1,031,240.04 .33
6.000 1 125,777.33 .04
TOTAL 3,714 310,076,283.93 100.00
Life Cap Distribution
Remaining Pct.
Principal of
Range of Lifecaps Count Balance Total
----------------- ----- --------- -----
12.01 to 13.00 5 405,104.76 .13
13.01 to 14.00 46 4,658,714.72 1.50
14.01 to 15.00 257 27,746,093.78 8.95
15.01 to 16.00 983 92,064,760.00 29.69
16.01 to 17.00 1,190 97,471,154.08 31.44
17.01 to 18.00 787 57,968,500.72 18.70
18.01 to 19.00 271 19,365,512.15 6.25
19.01 to 20.00 104 7,042,277.08 2.27
20.01 to 21.00 55 2,600,452.11 .84
21.01 to 22.00 12 577,073.77 .19
22.01 to 23.00 4 176,640.76 .06
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
<PAGE>
ContiMortgage 1997-2 Credit Suisse First Boston Computational Materials
Adjustable Rate Loans
First Period Cap Distribution
First Remaining Pct.
Period Principal of
Category Cap Count Balance Total
-------- ------ ----- --------- -----
Different 1st and Regular .600 1 152,850.45 .05
1.000 2 187,527.33 .06
1.500 1 159,815.21 .05
2.000 5 362,068.04 .12
3.000 859 85,278,533.61 27.50
6.000 22 1,770,077.20 .57
10.000 1 49,951.85 .02
Same First and Regular 1.000 2,751 214,518,832.73 69.18
1.250 2 503,008.14 .16
1.500 57 6,062,379.33 1.96
3.000 13 1,031,240.04 .33
TOTAL 3,714 310,076,283.93 100.00
Rate Change Frequency Distribution
Remaining Pct.
Initial Principal of
Frequency Count Balance Total
--------- ----- --------- -----
2/28 807 79,582,295.43 25.67
3/27 129 12,873,572.86 4.15
6 Months 2,778 217,620,415.64 70.18
TOTAL 3,714 310,076,283.93 100.00
Credit Grade Distribution
Remaining Pct.
Credit Principal of
Grade Count Balance Total
------ ----- --------- -----
A 1,528 147,746,164.42 47.65
B 1,091 89,402,351.74 28.83
C 872 60,740,806.59 19.59
D 223 12,186,961.18 3.93
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[CREDIT SUISSE FIRST BOSTON LOGO]
ContiMortgage 1997-2 Computational Materials
Bond Summary
<TABLE>
<CAPTION>
To Maturity
---------------------------------------------------------------------------------
Class Rating Original Coupon Avg. CBE 1st Last Mod.
Name (M/F) Par % Life Yield Price Pay Pay Dur.
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 Aaa/AAA 81,000,000 6.31 0.50 5.915 99-31+ 4/97 2/98 0.48
A-2 Aaa/AAA 65,800,000 6.39 1.15 6.274 99-31 2/98 9/98 1.07
A-3 Aaa/AAA 113,400,000 6.55 2.01 6.509 99-31+ 9/98 11/99 1.83
A-4 Aaa/AAA 42,800,000 6.73 3.01 6.738 99-31 11/99 9/00 2.64
A-5 Aaa/AAA 39,200,000 6.93 4.01 6.961 99-31 9/00 11/01 3.39
A-6 Aaa/AAA 21,300,000 7.10 5.01 7.150 99-30+ 11/01 9/02 4.08
A-7 Aaa/AAA 35,500,000 7.32 6.96 7.381 99-31+ 9/02 7/06 5.24
A-8 Aaa/AAA 26,250,000 7.54 12.08 7.629 99-30 7/06 1/12 7.61
A-9 Aaa/AAA 39,375,000 7.05 6.53 7.109 99-30+ 5/00 1/12 5.00
A-10 Aaa/AAA 251,100,000 5.63 2.60 100-00 4/97 11/14
M-1F Aa2/AA 23,625,000 7.38 6.01 7.441 99-30+ 4/00 9/10 4.53
M-2F A3/A 30,187,500 7.61 5.81 7.672 99-31 4/00 4/09 4.41
B-1F Baa3/BBB 6,562,500 7.92 5.10 7.979 99-31+ 4/00 2/05 3.99
M-1A Aa2/AA 24,800,000 5.89 6.43 100-00 5/00 9/12
M-2A A3/A 19,375,000 6.09 6.34 100-00 5/00 1/11
B-1A Baa3/BBB 14,725,000 6.34 5.92 100-00 5/00 8/08
To Call
A-7 Aaa/AAA 35,500,000 7.32 6.84 7.381 99-31+ 9/02 6/05 5.18
A-8 Aaa/AAA 26,250,000 7.54 8.22 7.621 99-30 6/05 6/05 5.92
A-9 Aaa/AAA 39,375,000 7.05 6.37 7.108 99-30+ 5/00 6/05 4.91
A-10 Aaa/AAA 251,100,000 5.63 2.43 100-00 4/97 6/05
M-1F Aa2/AA 23,625,000 7.38 5.51 7.439 99-30+ 4/00 6/05 4.29
M-2F A3/A 30,187,500 7.61 5.51 7.670 99-31 4/00 6/05 4.26
B-1F Baa3/BBB 6,562,500 7.92 5.10 7.979 99-31+ 4/00 2/05 3.99
M-1A Aa2/AA 24,800,000 5.89 5.79 100-00 5/00 6/05
M-2A A3/A 19,375,000 6.09 5.79 100-00 5/00 6/05
B-1A Baa3/BBB 14,725,000 6.34 5.70 100-00 5/00 6/05
- ----------------------------------------------------------------------------------
</TABLE>
Notes:
(1) Fixed Rate Certificates (Class A-1 to A-9 and M-1F to B-1F) use a
prepayment assumption of 120% of a ramp from 4% to 20% CPR over 12 months
for pricing.
(2) Adjustable Rate Certificates (Class A-10 and M-1A to B-1A) use a prepayment
assumption of 25% CPR throughout the life of the collateral for pricing.
(3) Coupons and prices are assumed for computational materials.
(4) Call is a clean-up call exercised in the month following the month that the
aggregate loan balance is 10% of the original aggregate loan balance.
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-1: $81,000,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 87 42 0 0 0 0
March 15, 1999 80 0 0 0 0 0
March 15, 2000 72 0 0 0 0 0
March 15, 2001 64 0 0 0 0 0
March 15, 2002 55 0 0 0 0 0
March 15, 2003 44 0 0 0 0 0
March 15, 2004 33 0 0 0 0 0
March 15, 2005 23 0 0 0 0 0
March 15, 2006 12 0 0 0 0 0
March 15, 2007 0 0 0 0 0 0
March 15, 2008 0 0 0 0 0 0
March 15, 2009 0 0 0 0 0 0
March 15, 2010 0 0 0 0 0 0
March 15, 2011 0 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 5.2 0.9 0.6 0.5 0.4 0.4
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-2: $65,800,000.00
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 97 74 40 0
March 15, 1999 100 72 0 0 0 0
March 15, 2000 100 0 0 0 0 0
March 15, 2001 100 0 0 0 0 0
March 15, 2002 100 0 0 0 0 0
March 15, 2003 100 0 0 0 0 0
March 15, 2004 100 0 0 0 0 0
March 15, 2005 100 0 0 0 0 0
March 15, 2006 100 0 0 0 0 0
March 15, 2007 99 0 0 0 0 0
March 15, 2008 83 0 0 0 0 0
March 15, 2009 64 0 0 0 0 0
March 15, 2010 43 0 0 0 0 0
March 15, 2011 18 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 12.6 2.3 1.3 1.1 1.0 0.8
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-3: $113,400,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 90
March 15, 1999 100 100 74 48 12 0
March 15, 2000 100 99 8 0 0 0
March 15, 2001 100 64 0 0 0 0
March 15, 2002 100 31 0 0 0 0
March 15, 2003 100 4 0 0 0 0
March 15, 2004 100 0 0 0 0 0
March 15, 2005 100 0 0 0 0 0
March 15, 2006 100 0 0 0 0 0
March 15, 2007 100 0 0 0 0 0
March 15, 2008 100 0 0 0 0 0
March 15, 2009 100 0 0 0 0 0
March 15, 2010 100 0 0 0 0 0
March 15, 2011 100 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 14.8 4.5 2.4 2.0 1.6 1.3
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-4: $42,800,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 0
March 15, 2000 100 100 100 39 0 0
March 15, 2001 100 100 19 0 0 0
March 15, 2002 100 100 0 0 0 0
March 15, 2003 100 100 0 0 0 0
March 15, 2004 100 63 0 0 0 0
March 15, 2005 100 33 0 0 0 0
March 15, 2006 100 3 0 0 0 0
March 15, 2007 100 0 0 0 0 0
March 15, 2008 100 0 0 0 0 0
March 15, 2009 100 0 0 0 0 0
March 15, 2010 100 0 0 0 0 0
March 15, 2011 100 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 14.8 7.5 3.7 3.0 2.4 1.8
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-5: $39,200,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 84
March 15, 2000 100 100 100 100 21 0
March 15, 2001 100 100 100 49 0 0
March 15, 2002 100 100 40 0 0 0
March 15, 2003 100 100 0 0 0 0
March 15, 2004 100 100 0 0 0 0
March 15, 2005 100 100 0 0 0 0
March 15, 2006 100 100 0 0 0 0
March 15, 2007 100 69 0 0 0 0
March 15, 2008 100 38 0 0 0 0
March 15, 2009 100 8 0 0 0 0
March 15, 2010 100 0 0 0 0 0
March 15, 2011 100 0 0 0 0 0
March 15, 2012 27 0 0 0 0 0
March 15, 2013 10 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 15.1 10.6 4.9 4.0 2.9 2.1
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-6: $21,300,000.00
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 0
March 15, 2001 100 100 100 100 22 0
March 15, 2002 100 100 100 47 0 0
March 15, 2003 100 100 68 0 0 0
March 15, 2004 100 100 0 0 0 0
March 15, 2005 100 100 0 0 0 0
March 15, 2006 100 100 0 0 0 0
March 15, 2007 100 100 0 0 0 0
March 15, 2008 100 100 0 0 0 0
March 15, 2009 100 100 0 0 0 0
March 15, 2010 100 62 0 0 0 0
March 15, 2011 100 13 0 0 0 0
March 15, 2012 100 0 0 0 0 0
March 15, 2013 100 0 0 0 0 0
March 15, 2014 83 0 0 0 0 0
March 15, 2015 43 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 17.8 13.3 6.2 5.0 3.8 2.4
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-7: $35,500,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 0
March 15, 2001 100 100 100 100 100 0
March 15, 2002 100 100 100 100 39 0
March 15, 2003 100 100 100 73 0 0
March 15, 2004 100 100 94 36 0 0
March 15, 2005 100 100 76 25 0 0
March 15, 2006 100 100 51 6 0 0
March 15, 2007 100 100 27 0 0 0
March 15, 2008 100 100 6 0 0 0
March 15, 2009 100 100 0 0 0 0
March 15, 2010 100 100 0 0 0 0
March 15, 2011 100 100 0 0 0 0
March 15, 2012 100 0 0 0 0 0
March 15, 2013 100 0 0 0 0 0
March 15, 2014 100 0 0 0 0 0
March 15, 2015 100 0 0 0 0 0
March 15, 2016 100 0 0 0 0 0
March 15, 2017 74 0 0 0 0 0
March 15, 2018 64 0 0 0 0 0
March 15, 2019 54 0 0 0 0 0
March 15, 2020 42 0 0 0 0 0
March 15, 2021 29 0 0 0 0 0
March 15, 2022 15 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 22.3 14.8 9.1 7.0 4.9 2.8
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-8: $26,250,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 99
March 15, 2001 100 100 100 100 100 79
March 15, 2002 100 100 100 100 100 18
March 15, 2003 100 100 100 100 99 3
March 15, 2004 100 100 100 100 68 2
March 15, 2005 100 100 100 100 66 2
March 15, 2006 100 100 100 100 52 2
March 15, 2007 100 100 100 84 38 2
March 15, 2008 100 100 100 63 26 0
March 15, 2009 100 100 85 47 14 0
March 15, 2010 100 100 65 34 6 0
March 15, 2011 100 100 50 23 1 0
March 15, 2012 100 76 8 0 0 0
March 15, 2013 100 63 3 0 0 0
March 15, 2014 100 52 0 0 0 0
March 15, 2015 100 42 0 0 0 0
March 15, 2016 100 33 0 0 0 0
March 15, 2017 100 23 0 0 0 0
March 15, 2018 100 18 0 0 0 0
March 15, 2019 100 13 0 0 0 0
March 15, 2020 100 9 0 0 0 0
March 15, 2021 100 5 0 0 0 0
March 15, 2022 100 2 0 0 0 0
March 15, 2023 100 0 0 0 0 0
March 15, 2024 78 0 0 0 0 0
March 15, 2025 53 0 0 0 0 0
March 15, 2026 24 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 28.0 17.9 13.7 12.1 9.2 4.6
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-9: $39,375,000.00
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 99 94 89 89 89 95
March 15, 2002 98 87 80 78 76 75
March 15, 2003 97 77 66 62 56 49
March 15, 2004 95 68 52 46 39 29
March 15, 2005 87 46 24 18 13 16
March 15, 2006 79 31 11 7 4 6
March 15, 2007 71 20 5 3 1 0
March 15, 2008 64 13 2 1 0 0
March 15, 2009 56 9 1 0 0 0
March 15, 2010 48 6 0 0 0 0
March 15, 2011 40 3 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 11.9 8.0 6.8 6.5 6.3 6.2
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class M-1F: $23,625,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 84 70 52 30
March 15, 2002 100 100 66 52 36 17
March 15, 2003 100 100 52 39 24 10
March 15, 2004 100 89 41 29 17 6
March 15, 2005 100 79 32 21 11 0
March 15, 2006 100 69 25 16 8 0
March 15, 2007 100 60 19 12 4 0
March 15, 2008 100 52 15 9 0 0
March 15, 2009 100 45 11 6 0 0
March 15, 2010 100 39 9 2 0 0
March 15, 2011 100 34 7 0 0 0
March 15, 2012 48 10 0 0 0 0
March 15, 2013 44 8 0 0 0 0
March 15, 2014 40 7 0 0 0 0
March 15, 2015 36 4 0 0 0 0
March 15, 2016 31 1 0 0 0 0
March 15, 2017 27 0 0 0 0 0
March 15, 2018 25 0 0 0 0 0
March 15, 2019 23 0 0 0 0 0
March 15, 2020 21 0 0 0 0 0
March 15, 2021 19 0 0 0 0 0
March 15, 2022 16 0 0 0 0 0
March 15, 2023 13 0 0 0 0 0
March 15, 2024 10 0 0 0 0 0
March 15, 2025 7 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 18.3 11.5 7.1 6.0 4.9 4.2
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class M-2F: $30,187,500.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 84 70 52 30
March 15, 2002 100 100 66 52 36 16
March 15, 2003 100 100 52 39 24 6
March 15, 2004 100 89 41 29 15 0
March 15, 2005 100 79 32 21 7 0
March 15, 2006 100 69 25 13 2 0
March 15, 2007 100 60 18 8 0 0
March 15, 2008 100 52 12 3 0 0
March 15, 2009 100 45 7 0 0 0
March 15, 2010 100 39 4 0 0 0
March 15, 2011 100 34 1 0 0 0
March 15, 2012 48 5 0 0 0 0
March 15, 2013 44 3 0 0 0 0
March 15, 2014 40 1 0 0 0 0
March 15, 2015 36 0 0 0 0 0
March 15, 2016 31 0 0 0 0 0
March 15, 2017 27 0 0 0 0 0
March 15, 2018 25 0 0 0 0 0
March 15, 2019 23 0 0 0 0 0
March 15, 2020 20 0 0 0 0 0
March 15, 2021 17 0 0 0 0 0
March 15, 2022 14 0 0 0 0 0
March 15, 2023 10 0 0 0 0 0
March 15, 2024 6 0 0 0 0 0
March 15, 2025 1 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 18.1 11.3 6.9 5.8 4.7 3.9
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class B-1F: $6,562,500.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 84 70 52 13
March 15, 2002 100 100 66 52 24 0
March 15, 2003 100 100 52 30 4 0
March 15, 2004 100 89 33 12 0 0
March 15, 2005 100 79 17 0 0 0
March 15, 2006 100 69 5 0 0 0
March 15, 2007 100 60 0 0 0 0
March 15, 2008 100 52 0 0 0 0
March 15, 2009 100 42 0 0 0 0
March 15, 2010 100 31 0 0 0 0
March 15, 2011 100 20 0 0 0 0
March 15, 2012 46 0 0 0 0 0
March 15, 2013 39 0 0 0 0 0
March 15, 2014 33 0 0 0 0 0
March 15, 2015 25 0 0 0 0 0
March 15, 2016 16 0 0 0 0 0
March 15, 2017 8 0 0 0 0 0
March 15, 2018 5 0 0 0 0 0
March 15, 2019 1 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 16.4 11.0 6.1 5.1 4.2 3.4
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-10: $251,100,000
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 98 82 72 67 60 48
March 15, 1999 98 68 52 44 34 18
March 15, 2000 97 56 35 27 15 0
March 15, 2001 96 45 24 19 14 0
March 15, 2002 96 35 19 14 9 0
March 15, 2003 95 27 15 11 6 0
March 15, 2004 94 22 11 8 4 0
March 15, 2005 93 19 9 6 3 0
March 15, 2006 92 17 7 4 2 0
March 15, 2007 91 14 5 3 1 0
March 15, 2008 89 12 4 2 1 0
March 15, 2009 88 11 3 2 1 0
March 15, 2010 86 9 3 1 0 0
March 15, 2011 84 8 2 1 0 0
March 15, 2012 81 7 2 1 0 0
March 15, 2013 78 6 1 0 0 0
March 15, 2014 75 5 1 0 0 0
March 15, 2015 72 4 1 0 0 0
March 15, 2016 68 3 0 0 0 0
March 15, 2017 63 3 0 0 0 0
March 15, 2018 58 2 0 0 0 0
March 15, 2019 53 2 0 0 0 0
March 15, 2020 46 1 0 0 0 0
March 15, 2021 39 1 0 0 0 0
March 15, 2022 31 1 0 0 0 0
March 15, 2023 23 1 0 0 0 0
March 15, 2024 18 0 0 0 0 0
March 15, 2025 12 0 0 0 0 0
March 15, 2026 5 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 20.7 5.1 3.1 2.6 2.0 1.1
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class M-1A: $24,800,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 96 78 56 100
March 15, 2002 100 100 75 58 38 58
March 15, 2003 100 100 59 43 26 33
March 15, 2004 100 91 46 32 18 18
March 15, 2005 100 78 36 24 12 8
March 15, 2006 100 67 28 18 8 1
March 15, 2007 100 58 22 13 6 0
March 15, 2008 100 50 17 10 3 0
March 15, 2009 100 43 13 7 0 0
March 15, 2010 100 37 10 5 0 0
March 15, 2011 100 31 8 4 0 0
March 15, 2012 100 27 6 1 0 0
March 15, 2013 100 22 5 0 0 0
March 15, 2014 100 19 3 0 0 0
March 15, 2015 100 16 1 0 0 0
March 15, 2016 100 13 0 0 0 0
March 15, 2017 100 11 0 0 0 0
March 15, 2018 100 9 0 0 0 0
March 15, 2019 100 7 0 0 0 0
March 15, 2020 100 6 0 0 0 0
March 15, 2021 100 5 0 0 0 0
March 15, 2022 100 2 0 0 0 0
March 15, 2023 93 0 0 0 0 0
March 15, 2024 72 0 0 0 0 0
March 15, 2025 47 0 0 0 0 0
March 15, 2026 20 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 27.8 12.4 7.8 6.4 5.2 5.6
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class M-2A: $19,375,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 96 78 56 31
March 15, 2002 100 100 75 58 38 17
March 15, 2003 100 100 59 43 26 10
March 15, 2004 100 91 46 32 18 3
March 15, 2005 100 78 36 24 12 0
March 15, 2006 100 67 28 18 8 0
March 15, 2007 100 58 22 13 3 0
March 15, 2008 100 50 17 10 0 0
March 15, 2009 100 43 13 6 0 0
March 15, 2010 100 37 10 2 0 0
March 15, 2011 100 31 8 0 0 0
March 15, 2012 100 27 4 0 0 0
March 15, 2013 100 22 1 0 0 0
March 15, 2014 100 19 0 0 0 0
March 15, 2015 100 16 0 0 0 0
March 15, 2016 100 13 0 0 0 0
March 15, 2017 100 11 0 0 0 0
March 15, 2018 100 9 0 0 0 0
March 15, 2019 100 6 0 0 0 0
March 15, 2020 100 3 0 0 0 0
March 15, 2021 100 1 0 0 0 0
March 15, 2022 100 0 0 0 0 0
March 15, 2023 93 0 0 0 0 0
March 15, 2024 72 0 0 0 0 0
March 15, 2025 47 0 0 0 0 0
March 15, 2026 20 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 27.8 12.3 7.7 6.3 5.0 4.2
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class B-1A: $14,725,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 96 78 56 25
March 15, 2002 100 100 75 58 36 11
March 15, 2003 100 100 59 42 21 2
March 15, 2004 100 91 45 28 11 0
March 15, 2005 100 78 33 18 4 0
March 15, 2006 100 67 24 11 0 0
March 15, 2007 100 58 16 5 0 0
March 15, 2008 100 50 10 1 0 0
March 15, 2009 100 41 6 0 0 0
March 15, 2010 100 34 2 0 0 0
March 15, 2011 100 27 0 0 0 0
March 15, 2012 100 22 0 0 0 0
March 15, 2013 100 17 0 0 0 0
March 15, 2014 100 12 0 0 0 0
March 15, 2015 100 9 0 0 0 0
March 15, 2016 100 6 0 0 0 0
March 15, 2017 100 3 0 0 0 0
March 15, 2018 100 0 0 0 0 0
March 15, 2019 100 0 0 0 0 0
March 15, 2020 100 0 0 0 0 0
March 15, 2021 100 0 0 0 0 0
March 15, 2022 100 0 0 0 0 0
March 15, 2023 93 0 0 0 0 0
March 15, 2024 72 0 0 0 0 0
March 15, 2025 47 0 0 0 0 0
March 15, 2026 13 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 27.8 11.7 7.2 5.9 4.7 3.7
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-1: $81,000,000
Price: 99-31+ Coupon: 6.31
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.34 6.12 5.97 5.91 5.84 5.73
Average Life: 5.21 0.88 0.56 0.50 0.43 0.36
Duration: 4.12 0.83 0.54 0.48 0.42 0.35
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 3/07 11/98 3/98 2/98 12/97 11/97
-----------------------------------------------------------------------------
Class A-2: $65,800,000
Price: 99-31 Coupon: 6.39
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.45 6.37 6.30 6.27 6.24 6.19
Average Life: 12.58 2.31 1.32 1.15 0.97 0.80
Duration: 8.37 2.08 1.23 1.07 0.92 0.75
First Prin Pay: 3/07 11/98 3/98 2/98 12/97 11/97
Last Prin Pay: 12/11 3/00 11/98 9/98 6/98 3/98
-----------------------------------------------------------------------------
Class A-3: $113,400,000
Price: 99-31+ Coupon: 6.55
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.61 6.58 6.53 6.51 6.48 6.44
Average Life: 14.80 4.48 2.37 2.01 1.65 1.27
Duration: 9.20 3.75 2.13 1.83 1.51 1.18
First Prin Pay: 12/11 3/00 11/98 9/98 6/98 3/98
Last Prin Pay: 1/12 6/03 5/00 11/99 5/99 11/98
-----------------------------------------------------------------------------
Class A-4: $42,800,000
Price: 99-31 Coupon: 6.73
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.80 6.78 6.75 6.74 6.72 6.68
Average Life: 14.81 7.53 3.67 3.01 2.38 1.79
Duration: 9.10 5.71 3.15 2.64 2.13 1.63
First Prin Pay: 1/12 6/03 5/00 11/99 5/99 11/98
Last Prin Pay: 1/12 5/06 6/01 9/00 11/99 3/99
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-5: $39,200,000
Price: 99-31 Coupon: 6.93
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.00 7.00 6.97 6.96 6.94 6.91
Average Life: 15.07 10.64 4.90 4.01 2.94 2.14
Duration: 9.07 7.28 4.02 3.39 2.57 1.92
First Prin Pay: 1/12 5/06 6/01 9/00 11/99 3/99
Last Prin Pay: 10/13 7/09 12/02 11/01 10/00 7/99
-----------------------------------------------------------------------------
Class A-6: $21,300,000
Price: 99-30+ Coupon: 7.10
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.18 7.18 7.16 7.15 7.14 7.10
Average Life: 17.82 13.27 6.25 5.01 3.84 2.44
Duration: 9.79 8.32 4.88 4.08 3.25 2.16
First Prin Pay: 10/13 7/09 12/02 11/01 10/00 7/99
Last Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
-----------------------------------------------------------------------------
Class A-7: $35,500,000
Price: 99-31+ Coupon: 7.32
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.41 7.40 7.39 7.38 7.37 7.32
Average Life: 22.28 14.77 9.06 6.96 4.92 2.77
Duration: 10.61 8.74 6.38 5.24 3.99 2.42
First Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
Last Prin Pay: 3/23 1/12 7/08 7/06 3/03 3/00
-----------------------------------------------------------------------------
Class A-8: $26,250,000
Price: 99-30 Coupon: 7.54
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.64 7.64 7.63 7.63 7.62 7.60
Average Life: 28.03 17.94 13.72 12.08 9.21 4.61
Duration: 11.29 9.43 8.24 7.61 6.32 3.74
First Prin Pay: 3/23 1/12 7/08 7/06 3/03 3/00
Last Prin Pay: 11/26 11/22 2/14 1/12 6/11 8/07
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-9: $39,375,000
Price: 99-30+ Coupon: 7.05
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.12 7.12 7.11 7.11 7.11 7.11
Average Life: 11.94 8.03 6.79 6.53 6.28 6.20
Duration: 7.68 5.80 5.14 5.00 4.86 4.81
First Prin Pay: 4/00 4/00 4/00 5/00 7/00 1/01
Last Prin Pay: 1/12 1/12 1/12 1/12 4/11 5/07
-----------------------------------------------------------------------------
Class A-10: $251,100,000
Price: 100-00 Coupon: 5.63%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 20.69 5.10 3.15 2.60 2.00 1.15
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 12/26 10/24 2/18 11/14 3/11 2/07
-----------------------------------------------------------------------------
Class M-1F $23,625,000
Price: 99-30+ Coupon: 7.38
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.47 7.46 7.45 7.44 7.43 7.43
Average Life: 18.27 11.54 7.13 6.01 4.95 4.20
Duration: 9.52 7.33 5.15 4.53 3.91 3.46
First Prin Pay: 1/12 5/03 7/00 4/00 6/00 8/00
Last Prin Pay: 2/26 7/16 1/12 9/10 12/07 1/05
-----------------------------------------------------------------------------
Class M-2F $30,187,500
Price: 99-31 Coupon: 7.61
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.70 7.69 7.68 7.67 7.66 7.65
Average Life: 18.08 11.34 6.93 5.81 4.75 3.88
Duration: 9.34 7.18 5.03 4.41 3.77 3.22
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 5/00
Last Prin Pay: 6/25 9/14 7/11 4/09 10/06 3/04
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class B-1F: $6,562,500
Price: 99-31+ Coupon: 7.92
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 8.02 8.01 7.99 7.98 7.97 7.95
Average Life: 16.40 10.97 6.08 5.10 4.16 3.37
Duration: 8.82 6.94 4.58 3.99 3.39 2.85
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 4/00
Last Prin Pay: 8/19 1/12 9/06 2/05 7/03 10/01
-----------------------------------------------------------------------------
Class M-1A: $24,800,000
Price: 100-00 Coupon: 5.89%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.83 12.44 7.78 6.43 5.20 5.64
First Prin Pay: 11/22 8/03 1/01 5/00 7/00 4/01
Last Prin Pay: 11/26 3/23 9/15 9/12 5/09 5/06
-----------------------------------------------------------------------------
Class M-2A: $19,375,000
Price: 100-00 Coupon: 6.09%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.82 12.34 7.68 6.34 5.05 4.22
First Prin Pay: 11/22 8/03 1/01 5/00 5/00 8/00
Last Prin Pay: 10/26 8/21 10/13 1/11 1/08 12/04
-----------------------------------------------------------------------------
Class B-1A: $14,725,000
Price: 100-00 Coupon: 6.34%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.75 11.67 7.18 5.92 4.69 3.71
First Prin Pay: 11/22 8/03 1/01 5/00 4/00 4/00
Last Prin Pay: 8/26 6/18 12/10 8/08 2/06 7/03
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-7: $35,500,000
Price: 99-31+ Coupon: 7.32
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.41 7.40 7.39 7.38 7.37 7.32
Average Life: 22.28 14.77 8.83 6.84 4.92 2.77
Duration: 10.61 8.74 6.27 5.18 3.99 2.42
First Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
Last Prin Pay: 3/23 1/12 1/07 6/05 3/03 3/00
-----------------------------------------------------------------------------
Class A-8: $26,250,000
Price: 99-30 Coupon: 7.54
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.64 7.63 7.63 7.62 7.61 7.60
Average Life: 27.54 14.87 9.81 8.22 6.43 4.36
Duration: 11.23 8.65 6.70 5.92 4.92 3.58
First Prin Pay: 3/23 1/12 1/07 6/05 3/03 3/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class A-9: $39,375,000
Price: 99-30+ Coupon: 7.05
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.12 7.12 7.11 7.11 7.10 7.09
Average Life: 11.94 8.03 6.72 6.37 5.69 4.63
Duration: 7.68 5.80 5.11 4.91 4.52 3.82
First Prin Pay: 4/00 4/00 4/00 5/00 7/00 1/01
Last Prin Pay: 1/12 1/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class A-10: $251,100,000
Price: 100-00 Coupon: 5.63%
-----------------------------------------------------------------------------
TO CALL
Average Life: 20.59 4.77 2.94 2.43 1.87 1.13
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class M-1F: $23,625,000
Price: 99-30+ Coupon: 7.38
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.47 7.46 7.45 7.44 7.43 7.42
Average Life: 18.23 11.28 6.57 5.51 4.54 3.91
Duration: 9.52 7.25 4.92 4.29 3.69 3.27
First Prin Pay: 1/12 5/03 7/00 4/00 6/00 8/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class M-2F: $30,187,500
Price: 99-31 Coupon: 7.61
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.70 7.69 7.68 7.67 7.66 7.65
Average Life: 18.08 11.27 6.57 5.51 4.50 3.70
Duration: 9.34 7.16 4.88 4.26 3.63 3.11
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 5/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class B-1F: $6,562,500
Price: 99-31+ Coupon: 7.92
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 8.02 8.01 7.99 7.98 7.97 7.95
Average Life: 16.40 10.97 6.08 5.10 4.16 3.37
Duration: 8.82 6.94 4.58 3.99 3.39 2.85
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 4/00
Last Prin Pay: 8/19 1/12 9/06 2/05 7/03 10/01
-----------------------------------------------------------------------------
Class M-1A: $24,800,000
Price: 100-00 Coupon: 5.89%
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.17 6.98 5.79 4.70 4.60
First Prin Pay: 11/22 8/03 1/01 5/00 7/00 4/01
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class M-2A: $19,375,000
Price: 100-00 Coupon: 6.09%
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.17 6.98 5.79 4.62 3.95
First Prin Pay: 11/22 8/03 1/01 5/00 5/00 8/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class B-1A: $14,725,000
Price: 100-00 Coupon: 6.34%
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.07 6.89 5.70 4.52 3.62
First Prin Pay: 11/22 8/03 1/01 5/00 4/00 4/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Home Equity Loans - Summary
Number of Loans: 8,686
Outstanding Loan Balance: 524,923,376.08
Balloon (% of Total): 50.82%
Level Pay (% of Total): 49.18%
Average Principal Balance: 60,433.27
Weighted Average LTV: 72.76%
Weighted Average CLTV: 75.60%
Weighted Average Home Equity Ratio (2nd Liens): 39.43%
Weighted Average Coupon: 11.54%
Weighted Average Remaining Term (months): 221.49
Weighted Average Seasoning (months): 1.51
Weighted Average Original Term (months): 223.00
Range of Original Terms: Level Pay Balloons
------------------ --------
Up to 120: 1.95% Up to 120: 0.02%
121 - 180: 11.83% 121 - 180: 50.79%
181 - 240: 15.62%
241 - 300: 1.08%
301 - 360: 18.71%
Lien Position: 1st Lien: 93.80%
2nd Lien: 6.20%
Property Type: Single Family Detached: 85.89% 2 - 4 Family: 7.38%
Single Family Attached: 3.17% Other: 3.56%
Occupancy Status: Owner Occupied: 95.45%
Investor Owned: 4.55%
Geographic Distribution: MI: 8.69% IL: 6.44%
OH: 8.36% NC: 6.37%
NY: 7.91% FL: 6.12%
PA: 6.89% NJ: 5.92%
Credit Quality: A: 53.28%
B: 26.47%
C: 15.16%
D: 4.59%
Mixed Use: 0.49%
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Lien Position Distribution
Remaining Pct.
Lien Principal of
Position Balance Total Count
-------- --------- ----- -----
First Lien 492,364,706.29 93.80 7,723
Second Lien 32,558,669.79 6.20 963
TOTAL 524,923,376.08 100.00 8,686
Interest Rate Distribution
Remaining Pct.
Principal of
Range of Coupons Count Balance Total
-------------- ----- --------- -----
7.01 to 8.00 6 614,296.43 .12
8.01 to 9.00 200 16,147,707.31 3.08
9.01 to 10.00 1,079 80,879,972.41 15.41
10.01 to 11.00 1,979 139,449,027.24 26.57
11.01 to 12.00 1,977 122,389,104.57 23.32
12.01 to 13.00 1,554 85,930,098.58 16.37
13.01 to 14.00 931 43,764,823.20 8.34
14.01 to 15.00 508 20,607,292.52 3.93
15.01 to 16.00 273 10,206,390.54 1.94
16.01 to 17.00 123 3,432,834.07 .65
17.01 to 18.00 46 1,221,485.58 .23
18.01 to 19.00 8 190,446.90 .04
19.01 to 20.00 2 89,896.73 .02
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Remaining Principal Distribution
Range of Remaining Pct.
Remaining Principal of
Principal Count Balance Total
---------- ----- --------- -----
0.00 to 25000.00 1,285 24,583,580.75 4.68
25000.01 to 50000.00 3,045 114,720,862.93 21.86
50000.01 to 75000.00 2,164 132,466,209.47 25.24
75000.01 to 100000.00 1,033 89,373,151.90 17.03
100000.01 to 125000.00 559 62,470,709.28 11.90
125000.01 to 150000.00 277 37,863,628.84 7.21
150000.01 to 175000.00 147 23,766,261.89 4.53
175000.01 to 200000.00 72 13,474,229.35 2.57
200000.01 to 225000.00 39 8,291,621.54 1.58
225000.01 to 250000.00 28 6,619,459.11 1.26
250000.01 to 275000.00 10 2,622,441.34 .50
275000.01 to 300000.00 9 2,602,267.83 .50
300000.01 to 325000.00 11 3,474,302.98 .66
325000.01 to 350000.00 3 1,009,787.31 .19
350000.01 to 400000.00 3 1,172,361.56 .22
400000.01 to 450000.00 1 412,500.00 .08
TOTAL 8,686 524,923,376.08 100.00
Occupancy Status Distribution
Remaining Pct.
Occupancy Principal of
Status Count Balance Total
--------- ----- --------- -----
Investor Owned 515 23,867,091.73 4.55
Owner Occupied 8,171 501,056,284.35 95.45
TOTAL 8,686 524,923,376.08 100.00
Months of Seasoning Distribution
Remaining Pct.
Principal of
Range of Seasoning Count Balance Total
------------------- ----- --------- -----
0 to 1 4,662 279,813,901.93 53.31
2 to 12 4,021 245,011,886.73 46.68
13 to 24 3 97,587.42 .02
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
State Distribution by Mailing Address
Remaining Pct.
Principal of
State Count Balance Total
----- ----- ------- -----
Arizona 62 4,058,751.81 .77
Arkansas 83 3,986,462.69 .76
California 154 14,220,213.60 2.71
Colorado 93 6,348,599.37 1.21
Connecticut 72 5,184,563.00 .99
Delaware 19 1,275,133.03 .24
District of Columbia 29 2,206,411.03 .42
Florida 557 32,134,291.41 6.12
Georgia 224 13,256,202.44 2.53
Hawaii 5 888,672.08 .17
Idaho 28 1,780,939.25 .34
Illinois 558 33,780,549.72 6.44
Indiana 524 25,756,700.26 4.91
Iowa 52 1,735,836.07 .33
Kansas 48 2,344,996.58 .45
Kentucky 137 7,716,882.84 1.47
Louisiana 16 1,080,395.50 .21
Maine 7 329,975.16 .06
Maryland 301 22,013,802.45 4.19
Massachusetts 194 15,367,454.12 2.93
Michigan 1,015 45,635,105.08 8.69
Minnesota 82 4,943,774.62 .94
Mississippi 32 1,566,236.46 .30
Missouri 203 9,468,566.69 1.80
Montana 10 626,893.56 .12
Nebraska 29 1,369,114.38 .26
Nevada 26 2,247,653.71 .43
New Hampshire 18 1,347,080.42 .26
New Jersey 380 31,078,626.46 5.92
New Mexico 77 5,996,019.42 1.14
New York 474 41,532,101.66 7.91
North Carolina 637 33,447,157.70 6.37
North Dakota 1 65,200.00 .01
Ohio 759 43,855,075.71 8.36
Oklahoma 61 2,528,165.41 .48
Oregon 60 4,338,872.18 .83
Pennsylvania 589 36,175,849.49 6.89
Rhode Island 57 3,646,377.17 .70
South Carolina 214 10,172,865.58 1.94
Tennessee 184 11,136,410.68 2.12
Texas 90 5,498,173.88 1.05
Utah 109 8,589,716.47 1.64
Vermont 1 79,000.00 .02
Virginia 253 13,130,235.40 2.50
Washington 53 5,102,611.73 .97
West Virginia 14 539,497.36 .10
Wisconsin 95 5,340,162.45 1.02
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Property Type Distribution
Remaining Pct.
Property Principal of
Type Count Balance Total
-------- ----- --------- -----
Condominium 44 2,155,689.01 .41
Manufactured Housing 209 9,904,782.80 1.89
Mixed Use 25 2,338,600.57 .45
Planned Unit Development 45 4,280,552.01 .82
Single Family Attached 351 16,657,736.81 3.17
Single Family Detached 7,484 450,827,998.79 85.89
Two-to-Four Family 528 38,758,016.09 7.38
TOTAL 8,686 524,923,376.08 100.00
Remaining Term Distribution
Range of Remaining Pct.
Remaining Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 375 10,328,812.21 1.97
121 to 180 5,420 328,738,022.77 62.63
181 to 240 1,497 81,986,801.68 15.62
241 to 300 90 5,682,665.07 1.08
301 to 360 1,304 98,187,074.35 18.71
TOTAL 8,686 524,923,376.08 100.00
Original Term Distribution
Range of Remaining Pct.
Original Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 375 10,328,812.21 1.97
121 to 180 5,420 328,738,022.77 62.63
181 to 240 1,497 81,986,801.68 15.62
241 to 300 90 5,682,665.07 1.08
301 to 360 1,304 98,187,074.35 18.71
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Combined Loan to Value Ratio Distribution
Remaining Pct.
Principal of
Range of CLTV Balance Total Count
-------------- --------- ----- -----
5.01 to 10.00 97,706.48 .02 5
10.01 to 15.00 300,837.97 .06 13
15.01 to 20.00 785,724.63 .15 27
20.01 to 25.00 895,391.62 .17 38
25.01 to 30.00 1,944,266.86 .37 74
30.01 to 35.00 2,925,738.75 .56 95
35.01 to 40.00 4,353,825.56 .83 134
40.01 to 45.00 6,315,864.92 1.20 173
45.01 to 50.00 12,517,181.37 2.38 323
50.01 to 55.00 9,210,617.96 1.75 216
55.01 to 60.00 20,272,210.96 3.86 423
60.01 to 65.00 29,082,169.43 5.54 557
65.01 to 70.00 51,516,507.36 9.81 896
70.01 to 75.00 70,479,094.78 13.43 1,198
75.01 to 80.00 145,334,868.34 27.69 2,348
80.01 to 85.00 94,484,147.15 18.00 1,343
85.01 to 90.00 71,136,252.42 13.55 787
90.01 to 95.00 3,270,969.52 .62 36
TOTAL 524,923,376.08 100.00 8,686
Loan to Value Ratio Distribution
Remaining Pct.
Principal of
Range of LTV Count Balance Total
-------------- ----- --------- -----
5.01 to 10.00 39 738,193.85 .14
10.01 to 15.00 188 4,222,729.35 .80
15.01 to 20.00 260 7,394,616.87 1.41
20.01 to 25.00 219 6,407,036.31 1.22
25.01 to 30.00 191 6,293,247.05 1.20
30.01 to 35.00 164 5,693,745.35 1.09
35.01 to 40.00 167 6,351,184.01 1.21
40.01 to 45.00 186 7,142,198.82 1.36
45.01 to 50.00 333 13,118,906.22 2.50
50.01 to 55.00 214 9,757,942.70 1.86
55.01 to 60.00 397 19,611,938.38 3.74
60.01 to 65.00 525 28,107,746.41 5.36
65.01 to 70.00 803 48,091,415.23 9.16
70.01 to 75.00 1,076 66,458,251.78 12.66
75.01 to 80.00 2,088 137,062,978.87 26.11
80.01 to 85.00 1,070 85,711,155.40 16.33
85.01 to 90.00 733 69,538,365.34 13.25
90.01 to 95.00 33 3,221,724.14 .61
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Loan Purpose Distribution
<TABLE>
<CAPTION>
Remaining Pct.
Principal of
Purpose Count Balance Total
------- ----- --------- -----
<S> <C> <C> <C>
Debt Consolidation & Home Imp. Combo. 385 23,086,423.27 4.40
Debt Consolidation 6,669 395,689,441.98 75.38
Home Improvement 226 11,311,747.17 2.16
Other 527 34,169,416.02 6.51
Purchase 879 60,666,347.64 11.56
TOTAL 8,686 524,923,376.08 100.00
</TABLE>
Home Equity Ratio Distribution (Loans with 2nd Liens Only)
Remaining Pct.
Range of Home Principal of
Equity Ratio Balance Total Count
------------- --------- ----- -----
5.01 to 10.00 39,208.31 .12 3
10.01 to 15.00 1,109,843.51 3.41 56
15.01 to 20.00 3,351,768.55 10.29 152
20.01 to 25.00 5,117,715.89 15.72 184
25.01 to 30.00 4,434,796.75 13.62 150
30.01 to 35.00 3,583,015.86 11.00 106
35.01 to 40.00 2,656,680.75 8.16 75
40.01 to 45.00 2,817,880.74 8.65 59
45.01 to 50.00 1,207,247.48 3.71 27
50.01 to 55.00 875,609.58 2.69 22
55.01 to 60.00 1,638,065.85 5.03 31
60.01 to 65.00 1,104,322.94 3.39 20
65.01 to 70.00 1,062,827.74 3.26 22
70.01 to 75.00 536,142.07 1.65 10
75.01 to 80.00 871,768.47 2.68 14
80.01 to 85.00 744,163.19 2.29 13
85.01 to 90.00 595,866.10 1.83 10
90.01 to 95.00 559,767.95 1.72 5
95.01 to 100.00 251,978.06 .77 4
TOTAL 32,558,669.79 100.00 963
Number of Days Delinquent
Remaining Pct.
Days Principal of
Delinquent Count Balance Total
---------- ----- --------- -----
0 - 29 8,497 513,317,084.01 97.79
30 - 59 179 11,047,948.85 2.11
More than 59 10 558,343.22 .11
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Debt to Income Ratio Distribution
Remaining Pct.
Principal of
Range of Debt to Income Ratio Count Balance Total
----------------------------- ----- --------- -----
0.00 to 5.00 5 380,900.27 .07
5.01 to 10.00 54 2,220,153.35 .42
10.01 to 15.00 200 7,891,207.57 1.50
15.01 to 20.00 441 19,033,884.19 3.63
20.01 to 25.00 719 34,813,824.57 6.63
25.01 to 30.00 934 50,132,905.20 9.55
30.01 to 35.00 1,151 66,101,915.94 12.59
35.01 to 40.00 1,356 82,781,475.84 15.77
40.01 to 45.00 1,676 109,095,266.02 20.78
45.01 to 50.00 1,919 135,199,008.83 25.76
50.01 to 55.00 218 16,134,525.78 3.07
55.01 to 60.00 13 1,138,308.52 .22
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Home Equity Loans - Summary
Number of Loans: 3,714
Outstanding Loan Balance: 310,076,283.93
Balloon (% of Total): 0.06%
Level Pay (% of Total): 99.94%
Adjustable (% of Total): 100.00%
ARM Adjustment Type: 3/27 2/28 6 Month
---- ---- -------
4.15% 25.67% 70.18%
Average Principal Balance: 83,488.50
Weighted Average LTV: 74.44%
Weighted Average Coupon: 10.22%
Weighted Average Gross Margin: 6.72%
Weighted Average Gross Life Cap: 16.50%
Weighted Average Periodic Cap: 1.05%
Weighted Average Remaining Term (months): 355.64
Weighted Average Seasoning (months): 2.33
Weighted Average Original Term (months): 357.96
Range of Original Terms: Level Pay Balloons
------------------ -----------------
Up to 120: 0.10% 121 - 180: 0.06%
121 - 180: 0.72%
181 - 240: 0.29%
241 - 300: 0.07%
301 - 360: 98.77%
Lien Position: 1st Lien: 100.00%
Property Type: Single Family Detached: 90.34% 2 - 4 Family: 4.38%
Single Family Attached: 1.18% Other: 4.10%
Occupancy Status: Owner Occupied: 95.98%
Investor Owned: 4.02%
Geographic Distribution: MI: 30.01% WA: 5.77%
CA: 13.13% IL: 5.25%
Credit Quality: A: 47.65%
B: 28.83%
C: 19.59%
D: 3.93%
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Lien Position Distribution
Remaining Pct. Pct.
Lien Principal of of
Position Balance Total Count Loans
-------- --------- ----- ----- ------
First Lien 310,076,283.93 100.00 3,714 100.00
TOTAL 310,076,283.93 100.00 3,714 100.00
Interest Rate Distribution
Remaining Pct.
Principal of
Range of Coupons Count Balance Total
---------------- ----- --------- -----
6.01 to 7.00 7 757,482.82 .24
7.01 to 8.00 69 7,827,708.05 2.52
8.01 to 9.00 381 43,049,571.99 13.88
9.01 to 10.00 1,091 102,025,158.05 32.90
10.01 to 11.00 1,162 90,214,809.78 29.09
11.01 to 12.00 653 45,515,359.10 14.68
12.01 to 13.00 217 13,609,562.61 4.39
13.01 to 14.00 78 4,434,690.25 1.43
14.01 to 15.00 44 2,020,964.30 .65
15.01 to 16.00 12 620,976.98 .20
TOTAL 3,714 310,076,283.93 100.00
Remaining Principal Distribution
Range of Remaining Pct.
Remaining Principal of
Principal Count Balance Total
---------- ----- --------- -----
0.00 to 25000.00 155 3,177,386.36 1.03
25000.01 to 50000.00 939 36,524,439.19 11.78
50000.01 to 75000.00 1,011 63,095,686.09 20.35
75000.01 to 100000.00 663 57,977,539.41 18.70
100000.01 to 125000.00 343 38,280,950.01 12.35
125000.01 to 150000.00 215 29,632,306.79 9.56
150000.01 to 175000.00 126 20,460,044.65 6.60
175000.01 to 200000.00 93 17,385,637.92 5.61
200000.01 to 225000.00 62 13,106,072.94 4.23
225000.01 to 250000.00 31 7,437,029.25 2.40
250000.01 to 275000.00 26 6,827,782.13 2.20
275000.01 to 300000.00 19 5,487,691.58 1.77
300000.01 to 325000.00 11 3,426,022.93 1.11
325000.01 to 350000.00 11 3,739,456.64 1.21
350000.01 to 400000.00 7 2,644,775.54 .85
400000.01 to 450000.00 2 873,462.50 .28
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
State Distribution by Mailing Address
Remaining Pct.
Principal of
State Count Balance Total
----- ----- ------- -----
Arizona 96 9,132,581.26 2.95
Arkansas 10 1,187,056.35 .38
California 290 40,721,277.90 13.13
Colorado 94 8,810,515.78 2.84
Connecticut 42 4,177,971.06 1.35
Delaware 1 189,818.19 .06
District of Columbia 4 354,278.08 .11
Florida 38 3,360,536.77 1.08
Georgia 27 2,326,958.89 .75
Hawaii 10 2,030,821.01 .66
Idaho 25 1,609,965.72 .52
Illinois 183 16,291,384.89 5.25
Indiana 119 6,865,561.16 2.21
Iowa 76 4,024,162.49 1.30
Kansas 54 2,530,929.32 .82
Kentucky 16 1,300,037.78 .42
Louisiana 4 377,601.36 .12
Maine 3 172,021.61 .06
Maryland 70 8,275,766.93 2.67
Massachusetts 19 2,440,050.48 .79
Michigan 1,386 93,052,614.49 30.01
Minnesota 33 2,669,590.96 .86
Missouri 59 4,201,349.20 1.36
Montana 6 616,758.43 .20
Nebraska 14 848,497.32 .27
Nevada 11 1,926,234.06 .62
New Hampshire 4 371,805.36 .12
New Jersey 26 2,962,440.56 .96
New Mexico 64 5,455,919.21 1.76
New York 38 3,678,776.38 1.19
North Carolina 22 1,839,012.06 .59
Ohio 186 13,068,700.91 4.22
Oklahoma 3 220,435.85 .07
Oregon 53 4,931,747.96 1.59
Pennsylvania 71 5,764,985.59 1.86
Rhode Island 8 696,976.92 .23
South Carolina 15 1,260,072.80 .41
Tennessee 31 3,252,863.02 1.05
Texas 76 6,750,079.70 2.18
Utah 148 14,291,400.26 4.61
Virginia 10 1,057,829.01 .34
Washington 164 17,893,274.53 5.77
West Virginia 22 963,734.41 .31
Wisconsin 80 5,902,703.17 1.90
Wyoming 3 219,184.74 .07
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Occupancy Status Distribution
Remaining Pct.
Occupancy Principal of
Status Count Balance Total
--------- ----- --------- -----
Investor Owned 168 12,469,009.11 4.02
Owner Occupied 3,546 297,607,274.82 95.98
TOTAL 3,714 310,076,283.93 100.00
Months of Seasoning Distribution
Remaining Pct.
Principal of
Range of Seasoning Count Balance Total
------------------- ----- --------- -----
0 to 1 930 76,237,844.82 24.59
2 to 12 2,783 233,793,983.15 75.40
13 to 24 1 44,455.96 .01
TOTAL 3,714 310,076,283.93 100.00
Property Type Distribution
Remaining Pct.
Property Principal of
Type Count Balance Total
-------- ----- --------- -----
Condominium 34 2,750,786.38 .89
Manufactured Housing 88 5,428,946.67 1.75
Planned Unit Development 34 4,548,041.84 1.47
Single Family Attached 49 3,651,170.75 1.18
Single Family Detached 3,357 280,114,233.00 90.34
Two-to-Four Family 152 13,583,105.29 4.38
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Remaining Term Distribution
Range of Remaining Pct.
Remaining Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 9 304,212.67 .10
121 to 180 57 2,403,893.33 .78
181 to 240 13 908,211.18 .29
241 to 300 2 201,150.00 .07
301 to 360 3,633 306,258,816.75 98.77
TOTAL 3,714 310,076,283.93 100.00
Original Term Distribution
Range of Remaining Pct.
Original Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 9 304,212.67 .10
121 to 180 57 2,403,893.33 .78
181 to 240 13 908,211.18 .29
241 to 300 2 201,150.00 .07
301 to 360 3,633 306,258,816.75 98.77
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Loan to Value Ratio Distribution
Remaining Pct.
Principal of
Range of LTV Count Balance Total
-------------- ----- --------- -----
5.01 to 10.00 1 29,927.93 .01
10.01 to 15.00 4 139,394.31 .05
15.01 to 20.00 9 299,492.03 .10
20.01 to 25.00 7 322,625.72 .10
25.01 to 30.00 14 597,774.25 .19
30.01 to 35.00 23 896,633.56 .29
35.01 to 40.00 37 1,728,614.09 .56
40.01 to 45.00 39 2,605,400.15 .84
45.01 to 50.00 137 7,824,859.21 2.52
50.01 to 55.00 90 5,874,551.42 1.90
55.01 to 60.00 164 11,119,969.94 3.59
60.01 to 65.00 304 22,361,493.26 7.21
65.01 to 70.00 399 33,023,323.18 10.65
70.01 to 75.00 679 58,633,100.94 18.91
75.01 to 80.00 1,175 102,551,857.73 33.07
80.01 to 85.00 521 50,198,039.80 16.19
85.01 to 90.00 110 11,809,765.69 3.81
90.01 to 95.00 1 59,460.72 .02
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% 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.*
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Margin Rate Distribution
Remaining Pct.
Principal of
Range of Margins Balance Total Count
----------------- --------- ----- -----
0.00 to 3.99 572,946.72 .18 7
4.00 to 4.99 8,633,119.16 2.78 72
5.00 to 5.99 74,411,337.44 24.00 699
6.00 to 6.99 103,362,155.55 33.33 1,205
7.00 to 7.99 86,793,931.42 27.99 1,173
8.00 to 8.99 28,704,184.14 9.26 433
9.00 to 9.99 6,611,610.87 2.13 108
10.00 to 10.99 986,998.63 .32 17
TOTAL 310,076,283.93 100.00 3,714
Next Coupon Change
Remaining Pct.
Change Principal of
Date Count Balance Total
------ ----- --------- -----
April 1997 136 11,617,609.49 3.75
May 1997 697 55,973,452.05 18.05
June 1997 793 61,348,651.25 19.79
July 1997 689 52,556,804.97 16.95
August 1997 347 26,163,849.87 8.44
September 1997 111 9,396,008.08 3.03
October 1997 1 138,613.14 .05
December 1997 1 87,617.45 .03
May 1998 1 55,931.17 .02
July 1998 1 89,755.56 .03
September 1998 8 901,155.03 .29
October 1998 26 2,207,957.81 .71
November 1998 156 14,831,392.51 4.78
December 1998 224 21,519,316.86 6.94
January 1999 224 23,516,085.59 7.58
February 1999 127 12,395,185.05 4.00
March 1999 40 3,992,455.00 1.29
August 1999 1 208,000.00 .07
October 1999 6 571,454.53 .18
November 1999 14 1,298,337.11 .42
December 1999 36 3,875,485.21 1.25
January 2000 35 3,603,889.16 1.16
February 2000 32 2,892,102.04 .93
March 2000 8 835,175.00 .27
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Loan Purpose Distribution
Remaining Pct.
Principal of
Purpose Count Balance Total
------- ----- --------- -----
Debt Consolidation & Home Imp. Combo. 199 16,923,716.10 5.46
Debt Consolidation 2,606 207,412,930.25 66.89
Home Improvement 118 7,655,454.59 2.47
Other 220 19,576,580.40 6.31
Purchase 571 58,507,602.59 18.87
TOTAL 3,714 310,076,283.93 100.00
Periodic Cap Distribution
Remaining Pct.
Periodic Principal of
Cap Count Balance Total
------- ----- --------- -----
1.000 3,462 281,410,007.90 90.76
1.250 2 503,008.14 .16
1.500 236 27,006,250.52 8.71
3.000 13 1,031,240.04 .33
6.000 1 125,777.33 .04
TOTAL 3,714 310,076,283.93 100.00
Life Cap Distribution
Remaining Pct.
Principal of
Range of Lifecaps Count Balance Total
----------------- ----- --------- -----
12.01 to 13.00 5 405,104.76 .13
13.01 to 14.00 46 4,658,714.72 1.50
14.01 to 15.00 257 27,746,093.78 8.95
15.01 to 16.00 983 92,064,760.00 29.69
16.01 to 17.00 1,190 97,471,154.08 31.44
17.01 to 18.00 787 57,968,500.72 18.70
18.01 to 19.00 271 19,365,512.15 6.25
19.01 to 20.00 104 7,042,277.08 2.27
20.01 to 21.00 55 2,600,452.11 .84
21.01 to 22.00 12 577,073.77 .19
22.01 to 23.00 4 176,640.76 .06
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% 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.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
First Period Cap Distribution
First Remaining Pct.
Period Principal of
Category Cap Count Balance Total
-------- ------ ----- --------- -----
Different 1st and Regular .600 1 152,850.45 .05
1.000 2 187,527.33 .06
1.500 1 159,815.21 .05
2.000 5 362,068.04 .12
3.000 859 85,278,533.61 27.50
6.000 22 1,770,077.20 .57
10.000 1 49,951.85 .02
Same First and Regular 1.000 2,751 214,518,832.73 69.18
1.250 2 503,008.14 .16
1.500 57 6,062,379.33 1.96
3.000 13 1,031,240.04 .33
TOTAL 3,714 310,076,283.93 100.00
Rate Change Frequency Distribution
Remaining Pct.
Initial Principal of
Frequency Count Balance Total
--------- ----- --------- -----
2/28 807 79,582,295.43 25.67
3/27 129 12,873,572.86 4.15
6 Months 2,778 217,620,415.64 70.18
TOTAL 3,714 310,076,283.93 100.00
Credit Grade Distribution
Remaining Pct.
Credit Principal of
Grade Count Balance Total
------ ----- --------- -----
A 1,528 147,746,164.42 47.65
B 1,091 89,402,351.74 28.83
C 872 60,740,806.59 19.59
D 223 12,186,961.18 3.93
TOTAL 3,714 310,076,283.93 100.00
Debt to Income Ratio Distribution
Remaining Pct.
Principal of
Range of Debt to Income Ratio Count Balance Total
----------------------------- ----- --------- -----
0.00 to 5.00 1 128,226.30 .04
5.01 to 10.00 17 1,587,001.00 .51
10.01 to 15.00 56 2,925,721.04 .94
15.01 to 20.00 170 10,147,280.50 3.27
20.01 to 25.00 316 21,571,644.34 6.96
25.01 to 30.00 408 29,253,884.42 9.43
30.01 to 35.00 453 35,388,708.69 11.41
35.01 to 40.00 601 50,629,294.35 16.33
40.01 to 45.00 733 64,310,532.53 20.74
45.01 to 50.00 777 72,660,558.44 23.43
50.01 to 55.00 162 18,896,511.68 6.09
55.01 to 60.00 20 2,576,920.64 0.83
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% 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.
ContiMortgage 1997-2 Computational Materials
Bond Summary
<TABLE>
<CAPTION>
To Maturity
---------------------------------------------------------------------------------
Class Rating Original Coupon Avg. CBE 1st Last Mod.
Name (M/F) Par % Life Yield Price Pay Pay Dur.
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 Aaa/AAA 81,000,000 6.31 0.50 5.915 99-31+ 4/97 2/98 0.48
A-2 Aaa/AAA 65,800,000 6.39 1.15 6.274 99-31 2/98 9/98 1.07
A-3 Aaa/AAA 113,400,000 6.55 2.01 6.509 99-31+ 9/98 11/99 1.83
A-4 Aaa/AAA 42,800,000 6.73 3.01 6.738 99-31 11/99 9/00 2.64
A-5 Aaa/AAA 39,200,000 6.93 4.01 6.961 99-31 9/00 11/01 3.39
A-6 Aaa/AAA 21,300,000 7.10 5.01 7.150 99-30+ 11/01 9/02 4.08
A-7 Aaa/AAA 35,500,000 7.32 6.96 7.381 99-31+ 9/02 7/06 5.24
A-8 Aaa/AAA 26,250,000 7.54 12.08 7.629 99-30 7/06 1/12 7.61
A-9 Aaa/AAA 39,375,000 7.05 6.53 7.109 99-30+ 5/00 1/12 5.00
A-10 Aaa/AAA 251,100,000 5.63 2.60 100-00 4/97 11/14
M-1F Aa2/AA 23,625,000 7.38 6.01 7.441 99-30+ 4/00 9/10 4.53
M-2F A3/A 30,187,500 7.61 5.81 7.672 99-31 4/00 4/09 4.41
B-1F Baa3/BBB 6,562,500 7.92 5.10 7.979 99-31+ 4/00 2/05 3.99
M-1A Aa2/AA 24,800,000 5.89 6.43 100-00 5/00 9/12
M-2A A3/A 19,375,000 6.09 6.34 100-00 5/00 1/11
B-1A Baa3/BBB 14,725,000 6.34 5.92 100-00 5/00 8/08
To Call
A-7 Aaa/AAA 35,500,000 7.32 6.84 7.381 99-31+ 9/02 6/05 5.18
A-8 Aaa/AAA 26,250,000 7.54 8.22 7.621 99-30 6/05 6/05 5.92
A-9 Aaa/AAA 39,375,000 7.05 6.37 7.108 99-30+ 5/00 6/05 4.91
A-10 Aaa/AAA 251,100,000 5.63 2.43 100-00 4/97 6/05
M-1F Aa2/AA 23,625,000 7.38 5.51 7.439 99-30+ 4/00 6/05 4.29
M-2F A3/A 30,187,500 7.61 5.51 7.670 99-31 4/00 6/05 4.26
B-1F Baa3/BBB 6,562,500 7.92 5.10 7.979 99-31+ 4/00 2/05 3.99
M-1A Aa2/AA 24,800,000 5.89 5.79 100-00 5/00 6/05
M-2A A3/A 19,375,000 6.09 5.79 100-00 5/00 6/05
B-1A Baa3/BBB 14,725,000 6.34 5.70 100-00 5/00 6/05
- ----------------------------------------------------------------------------------
</TABLE>
Notes:
(1) Fixed Rate Certificates (Class A-1 to A-9 and M-1F to B-1F) use a
prepayment assumption of 120% of a ramp from 4% to 20% CPR over 12 months
for pricing.
(2) Adjustable Rate Certificates (Class A-10 and M-1A to B-1A) use a prepayment
assumption of 25% CPR throughout the life of the collateral for pricing.
(3) Coupons and prices are assumed for computational materials.
(4) Call is a clean-up call exercised in the month following the month that the
aggregate loan balance is 10% of the original aggregate loan balance.
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-1: $81,000,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 87 42 0 0 0 0
March 15, 1999 80 0 0 0 0 0
March 15, 2000 72 0 0 0 0 0
March 15, 2001 64 0 0 0 0 0
March 15, 2002 55 0 0 0 0 0
March 15, 2003 44 0 0 0 0 0
March 15, 2004 33 0 0 0 0 0
March 15, 2005 23 0 0 0 0 0
March 15, 2006 12 0 0 0 0 0
March 15, 2007 0 0 0 0 0 0
March 15, 2008 0 0 0 0 0 0
March 15, 2009 0 0 0 0 0 0
March 15, 2010 0 0 0 0 0 0
March 15, 2011 0 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 5.2 0.9 0.6 0.5 0.4 0.4
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-2: $65,800,000.00
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 97 74 40 0
March 15, 1999 100 72 0 0 0 0
March 15, 2000 100 0 0 0 0 0
March 15, 2001 100 0 0 0 0 0
March 15, 2002 100 0 0 0 0 0
March 15, 2003 100 0 0 0 0 0
March 15, 2004 100 0 0 0 0 0
March 15, 2005 100 0 0 0 0 0
March 15, 2006 100 0 0 0 0 0
March 15, 2007 99 0 0 0 0 0
March 15, 2008 83 0 0 0 0 0
March 15, 2009 64 0 0 0 0 0
March 15, 2010 43 0 0 0 0 0
March 15, 2011 18 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 12.6 2.3 1.3 1.1 1.0 0.8
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-3: $113,400,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 90
March 15, 1999 100 100 74 48 12 0
March 15, 2000 100 99 8 0 0 0
March 15, 2001 100 64 0 0 0 0
March 15, 2002 100 31 0 0 0 0
March 15, 2003 100 4 0 0 0 0
March 15, 2004 100 0 0 0 0 0
March 15, 2005 100 0 0 0 0 0
March 15, 2006 100 0 0 0 0 0
March 15, 2007 100 0 0 0 0 0
March 15, 2008 100 0 0 0 0 0
March 15, 2009 100 0 0 0 0 0
March 15, 2010 100 0 0 0 0 0
March 15, 2011 100 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 14.8 4.5 2.4 2.0 1.6 1.3
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-4: $42,800,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 0
March 15, 2000 100 100 100 39 0 0
March 15, 2001 100 100 19 0 0 0
March 15, 2002 100 100 0 0 0 0
March 15, 2003 100 100 0 0 0 0
March 15, 2004 100 63 0 0 0 0
March 15, 2005 100 33 0 0 0 0
March 15, 2006 100 3 0 0 0 0
March 15, 2007 100 0 0 0 0 0
March 15, 2008 100 0 0 0 0 0
March 15, 2009 100 0 0 0 0 0
March 15, 2010 100 0 0 0 0 0
March 15, 2011 100 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 14.8 7.5 3.7 3.0 2.4 1.8
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-5: $39,200,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 84
March 15, 2000 100 100 100 100 21 0
March 15, 2001 100 100 100 49 0 0
March 15, 2002 100 100 40 0 0 0
March 15, 2003 100 100 0 0 0 0
March 15, 2004 100 100 0 0 0 0
March 15, 2005 100 100 0 0 0 0
March 15, 2006 100 100 0 0 0 0
March 15, 2007 100 69 0 0 0 0
March 15, 2008 100 38 0 0 0 0
March 15, 2009 100 8 0 0 0 0
March 15, 2010 100 0 0 0 0 0
March 15, 2011 100 0 0 0 0 0
March 15, 2012 27 0 0 0 0 0
March 15, 2013 10 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 15.1 10.6 4.9 4.0 2.9 2.1
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-6: $21,300,000.00
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 0
March 15, 2001 100 100 100 100 22 0
March 15, 2002 100 100 100 47 0 0
March 15, 2003 100 100 68 0 0 0
March 15, 2004 100 100 0 0 0 0
March 15, 2005 100 100 0 0 0 0
March 15, 2006 100 100 0 0 0 0
March 15, 2007 100 100 0 0 0 0
March 15, 2008 100 100 0 0 0 0
March 15, 2009 100 100 0 0 0 0
March 15, 2010 100 62 0 0 0 0
March 15, 2011 100 13 0 0 0 0
March 15, 2012 100 0 0 0 0 0
March 15, 2013 100 0 0 0 0 0
March 15, 2014 83 0 0 0 0 0
March 15, 2015 43 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 17.8 13.3 6.2 5.0 3.8 2.4
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-7: $35,500,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 0
March 15, 2001 100 100 100 100 100 0
March 15, 2002 100 100 100 100 39 0
March 15, 2003 100 100 100 73 0 0
March 15, 2004 100 100 94 36 0 0
March 15, 2005 100 100 76 25 0 0
March 15, 2006 100 100 51 6 0 0
March 15, 2007 100 100 27 0 0 0
March 15, 2008 100 100 6 0 0 0
March 15, 2009 100 100 0 0 0 0
March 15, 2010 100 100 0 0 0 0
March 15, 2011 100 100 0 0 0 0
March 15, 2012 100 0 0 0 0 0
March 15, 2013 100 0 0 0 0 0
March 15, 2014 100 0 0 0 0 0
March 15, 2015 100 0 0 0 0 0
March 15, 2016 100 0 0 0 0 0
March 15, 2017 74 0 0 0 0 0
March 15, 2018 64 0 0 0 0 0
March 15, 2019 54 0 0 0 0 0
March 15, 2020 42 0 0 0 0 0
March 15, 2021 29 0 0 0 0 0
March 15, 2022 15 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 22.3 14.8 9.1 7.0 4.9 2.8
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-8: $26,250,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 99
March 15, 2001 100 100 100 100 100 79
March 15, 2002 100 100 100 100 100 18
March 15, 2003 100 100 100 100 99 3
March 15, 2004 100 100 100 100 68 2
March 15, 2005 100 100 100 100 66 2
March 15, 2006 100 100 100 100 52 2
March 15, 2007 100 100 100 84 38 2
March 15, 2008 100 100 100 63 26 0
March 15, 2009 100 100 85 47 14 0
March 15, 2010 100 100 65 34 6 0
March 15, 2011 100 100 50 23 1 0
March 15, 2012 100 76 8 0 0 0
March 15, 2013 100 63 3 0 0 0
March 15, 2014 100 52 0 0 0 0
March 15, 2015 100 42 0 0 0 0
March 15, 2016 100 33 0 0 0 0
March 15, 2017 100 23 0 0 0 0
March 15, 2018 100 18 0 0 0 0
March 15, 2019 100 13 0 0 0 0
March 15, 2020 100 9 0 0 0 0
March 15, 2021 100 5 0 0 0 0
March 15, 2022 100 2 0 0 0 0
March 15, 2023 100 0 0 0 0 0
March 15, 2024 78 0 0 0 0 0
March 15, 2025 53 0 0 0 0 0
March 15, 2026 24 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 28.0 17.9 13.7 12.1 9.2 4.6
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-9: $39,375,000.00
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 99 94 89 89 89 95
March 15, 2002 98 87 80 78 76 75
March 15, 2003 97 77 66 62 56 49
March 15, 2004 95 68 52 46 39 29
March 15, 2005 87 46 24 18 13 16
March 15, 2006 79 31 11 7 4 6
March 15, 2007 71 20 5 3 1 0
March 15, 2008 64 13 2 1 0 0
March 15, 2009 56 9 1 0 0 0
March 15, 2010 48 6 0 0 0 0
March 15, 2011 40 3 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 11.9 8.0 6.8 6.5 6.3 6.2
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class M-1F: $23,625,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 84 70 52 30
March 15, 2002 100 100 66 52 36 17
March 15, 2003 100 100 52 39 24 10
March 15, 2004 100 89 41 29 17 6
March 15, 2005 100 79 32 21 11 0
March 15, 2006 100 69 25 16 8 0
March 15, 2007 100 60 19 12 4 0
March 15, 2008 100 52 15 9 0 0
March 15, 2009 100 45 11 6 0 0
March 15, 2010 100 39 9 2 0 0
March 15, 2011 100 34 7 0 0 0
March 15, 2012 48 10 0 0 0 0
March 15, 2013 44 8 0 0 0 0
March 15, 2014 40 7 0 0 0 0
March 15, 2015 36 4 0 0 0 0
March 15, 2016 31 1 0 0 0 0
March 15, 2017 27 0 0 0 0 0
March 15, 2018 25 0 0 0 0 0
March 15, 2019 23 0 0 0 0 0
March 15, 2020 21 0 0 0 0 0
March 15, 2021 19 0 0 0 0 0
March 15, 2022 16 0 0 0 0 0
March 15, 2023 13 0 0 0 0 0
March 15, 2024 10 0 0 0 0 0
March 15, 2025 7 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 18.3 11.5 7.1 6.0 4.9 4.2
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class M-2F: 30,187,500.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 84 70 52 30
March 15, 2002 100 100 66 52 36 16
March 15, 2003 100 100 52 39 24 6
March 15, 2004 100 89 41 29 15 0
March 15, 2005 100 79 32 21 7 0
March 15, 2006 100 69 25 13 2 0
March 15, 2007 100 60 18 8 0 0
March 15, 2008 100 52 12 3 0 0
March 15, 2009 100 45 7 0 0 0
March 15, 2010 100 39 4 0 0 0
March 15, 2011 100 34 1 0 0 0
March 15, 2012 48 5 0 0 0 0
March 15, 2013 44 3 0 0 0 0
March 15, 2014 40 1 0 0 0 0
March 15, 2015 36 0 0 0 0 0
March 15, 2016 31 0 0 0 0 0
March 15, 2017 27 0 0 0 0 0
March 15, 2018 25 0 0 0 0 0
March 15, 2019 23 0 0 0 0 0
March 15, 2020 20 0 0 0 0 0
March 15, 2021 17 0 0 0 0 0
March 15, 2022 14 0 0 0 0 0
March 15, 2023 10 0 0 0 0 0
March 15, 2024 6 0 0 0 0 0
March 15, 2025 1 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 18.1 11.3 6.9 5.8 4.7 3.9
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class B-1F: 6,562,500.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 84 70 52 13
March 15, 2002 100 100 66 52 24 0
March 15, 2003 100 100 52 30 4 0
March 15, 2004 100 89 33 12 0 0
March 15, 2005 100 79 17 0 0 0
March 15, 2006 100 69 5 0 0 0
March 15, 2007 100 60 0 0 0 0
March 15, 2008 100 52 0 0 0 0
March 15, 2009 100 42 0 0 0 0
March 15, 2010 100 31 0 0 0 0
March 15, 2011 100 20 0 0 0 0
March 15, 2012 46 0 0 0 0 0
March 15, 2013 39 0 0 0 0 0
March 15, 2014 33 0 0 0 0 0
March 15, 2015 25 0 0 0 0 0
March 15, 2016 16 0 0 0 0 0
March 15, 2017 8 0 0 0 0 0
March 15, 2018 5 0 0 0 0 0
March 15, 2019 1 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 16.4 11.0 6.1 5.1 4.2 3.4
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-10: 251,100,000
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 98 82 72 67 60 48
March 15, 1999 98 68 52 44 34 18
March 15, 2000 97 56 35 27 15 0
March 15, 2001 96 45 24 19 14 0
March 15, 2002 96 35 19 14 9 0
March 15, 2003 95 27 15 11 6 0
March 15, 2004 94 22 11 8 4 0
March 15, 2005 93 19 9 6 3 0
March 15, 2006 92 17 7 4 2 0
March 15, 2007 91 14 5 3 1 0
March 15, 2008 89 12 4 2 1 0
March 15, 2009 88 11 3 2 1 0
March 15, 2010 86 9 3 1 0 0
March 15, 2011 84 8 2 1 0 0
March 15, 2012 81 7 2 1 0 0
March 15, 2013 78 6 1 0 0 0
March 15, 2014 75 5 1 0 0 0
March 15, 2015 72 4 1 0 0 0
March 15, 2016 68 3 0 0 0 0
March 15, 2017 63 3 0 0 0 0
March 15, 2018 58 2 0 0 0 0
March 15, 2019 53 2 0 0 0 0
March 15, 2020 46 1 0 0 0 0
March 15, 2021 39 1 0 0 0 0
March 15, 2022 31 1 0 0 0 0
March 15, 2023 23 1 0 0 0 0
March 15, 2024 18 0 0 0 0 0
March 15, 2025 12 0 0 0 0 0
March 15, 2026 5 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 20.7 5.1 3.1 2.6 2.0 1.1
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class M-1A: 24,800,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 96 78 56 100
March 15, 2002 100 100 75 58 38 58
March 15, 2003 100 100 59 43 26 33
March 15, 2004 100 91 46 32 18 18
March 15, 2005 100 78 36 24 12 8
March 15, 2006 100 67 28 18 8 1
March 15, 2007 100 58 22 13 6 0
March 15, 2008 100 50 17 10 3 0
March 15, 2009 100 43 13 7 0 0
March 15, 2010 100 37 10 5 0 0
March 15, 2011 100 31 8 4 0 0
March 15, 2012 100 27 6 1 0 0
March 15, 2013 100 22 5 0 0 0
March 15, 2014 100 19 3 0 0 0
March 15, 2015 100 16 1 0 0 0
March 15, 2016 100 13 0 0 0 0
March 15, 2017 100 11 0 0 0 0
March 15, 2018 100 9 0 0 0 0
March 15, 2019 100 7 0 0 0 0
March 15, 2020 100 6 0 0 0 0
March 15, 2021 100 5 0 0 0 0
March 15, 2022 100 2 0 0 0 0
March 15, 2023 93 0 0 0 0 0
March 15, 2024 72 0 0 0 0 0
March 15, 2025 47 0 0 0 0 0
March 15, 2026 20 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 27.8 12.4 7.8 6.4 5.2 5.6
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class M-2A: $19,375,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 96 78 56 31
March 15, 2002 100 100 75 58 38 17
March 15, 2003 100 100 59 43 26 10
March 15, 2004 100 91 46 32 18 3
March 15, 2005 100 78 36 24 12 0
March 15, 2006 100 67 28 18 8 0
March 15, 2007 100 58 22 13 3 0
March 15, 2008 100 50 17 10 0 0
March 15, 2009 100 43 13 6 0 0
March 15, 2010 100 37 10 2 0 0
March 15, 2011 100 31 8 0 0 0
March 15, 2012 100 27 4 0 0 0
March 15, 2013 100 22 1 0 0 0
March 15, 2014 100 19 0 0 0 0
March 15, 2015 100 16 0 0 0 0
March 15, 2016 100 13 0 0 0 0
March 15, 2017 100 11 0 0 0 0
March 15, 2018 100 9 0 0 0 0
March 15, 2019 100 6 0 0 0 0
March 15, 2020 100 3 0 0 0 0
March 15, 2021 100 1 0 0 0 0
March 15, 2022 100 0 0 0 0 0
March 15, 2023 93 0 0 0 0 0
March 15, 2024 72 0 0 0 0 0
March 15, 2025 47 0 0 0 0 0
March 15, 2026 20 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 27.8 12.3 7.7 6.3 5.0 4.2
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class B-1A: $14,725,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 96 78 56 25
March 15, 2002 100 100 75 58 36 11
March 15, 2003 100 100 59 42 21 2
March 15, 2004 100 91 45 28 11 0
March 15, 2005 100 78 33 18 4 0
March 15, 2006 100 67 24 11 0 0
March 15, 2007 100 58 16 5 0 0
March 15, 2008 100 50 10 1 0 0
March 15, 2009 100 41 6 0 0 0
March 15, 2010 100 34 2 0 0 0
March 15, 2011 100 27 0 0 0 0
March 15, 2012 100 22 0 0 0 0
March 15, 2013 100 17 0 0 0 0
March 15, 2014 100 12 0 0 0 0
March 15, 2015 100 9 0 0 0 0
March 15, 2016 100 6 0 0 0 0
March 15, 2017 100 3 0 0 0 0
March 15, 2018 100 0 0 0 0 0
March 15, 2019 100 0 0 0 0 0
March 15, 2020 100 0 0 0 0 0
March 15, 2021 100 0 0 0 0 0
March 15, 2022 100 0 0 0 0 0
March 15, 2023 93 0 0 0 0 0
March 15, 2024 72 0 0 0 0 0
March 15, 2025 47 0 0 0 0 0
March 15, 2026 13 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 27.8 11.7 7.2 5.9 4.7 3.7
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-1: $81,000,000
Price: 99-31+ Coupon: 6.31
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.34 6.12 5.97 5.91 5.84 5.73
Average Life: 5.21 0.88 0.56 0.50 0.43 0.36
Duration: 4.12 0.83 0.54 0.48 0.42 0.35
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 3/07 11/98 3/98 2/98 12/97 11/97
-----------------------------------------------------------------------------
Class A-2: $65,800,000
Price: 99-31 Coupon: 6.39
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.45 6.37 6.30 6.27 6.24 6.19
Average Life: 12.58 2.31 1.32 1.15 0.97 0.80
Duration: 8.37 2.08 1.23 1.07 0.92 0.75
First Prin Pay: 3/07 11/98 3/98 2/98 12/97 11/97
Last Prin Pay: 12/11 3/00 11/98 9/98 6/98 3/98
-----------------------------------------------------------------------------
Class A-3: $113,400,000
Price: 99-31+ Coupon: 6.55
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.61 6.58 6.53 6.51 6.48 6.44
Average Life: 14.80 4.48 2.37 2.01 1.65 1.27
Duration: 9.20 3.75 2.13 1.83 1.51 1.18
First Prin Pay: 12/11 3/00 11/98 9/98 6/98 3/98
Last Prin Pay: 1/12 6/03 5/00 11/99 5/99 11/98
-----------------------------------------------------------------------------
Class A-4: $42,800,000
Price: 99-31 Coupon: 6.73
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.80 6.78 6.75 6.74 6.72 6.68
Average Life: 14.81 7.53 3.67 3.01 2.38 1.79
Duration: 9.10 5.71 3.15 2.64 2.13 1.63
First Prin Pay: 1/12 6/03 5/00 11/99 5/99 11/98
Last Prin Pay: 1/12 5/06 6/01 9/00 11/99 3/99
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-5: $39,200,000
Price: 99-31 Coupon: 6.93
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.00 7.00 6.97 6.96 6.94 6.91
Average Life: 15.07 10.64 4.90 4.01 2.94 2.14
Duration: 9.07 7.28 4.02 3.39 2.57 1.92
First Prin Pay: 1/12 5/06 6/01 9/00 11/99 3/99
Last Prin Pay: 10/13 7/09 12/02 11/01 10/00 7/99
-----------------------------------------------------------------------------
Class A-6: $21,300,000
Price: 99-30+ Coupon: 7.10
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.18 7.18 7.16 7.15 7.14 7.10
Average Life: 17.82 13.27 6.25 5.01 3.84 2.44
Duration: 9.79 8.32 4.88 4.08 3.25 2.16
First Prin Pay: 10/13 7/09 12/02 11/01 10/00 7/99
Last Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
-----------------------------------------------------------------------------
Class A-7: $35,500,000
Price: 99-31+ Coupon: 7.32
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.41 7.40 7.39 7.38 7.37 7.32
Average Life: 22.28 14.77 9.06 6.96 4.92 2.77
Duration: 10.61 8.74 6.38 5.24 3.99 2.42
First Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
Last Prin Pay: 3/23 1/12 7/08 7/06 3/03 3/00
-----------------------------------------------------------------------------
Class A-8: $26,250,000
Price: 99-30 Coupon: 7.54
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.64 7.64 7.63 7.63 7.62 7.60
Average Life: 28.03 17.94 13.72 12.08 9.21 4.61
Duration: 11.29 9.43 8.24 7.61 6.32 3.74
First Prin Pay: 3/23 1/12 7/08 7/06 3/03 3/00
Last Prin Pay: 11/26 11/22 2/14 1/12 6/11 8/07
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-9: $39,375,000
Price: 99-30+ Coupon: 7.05
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.12 7.12 7.11 7.11 7.11 7.11
Average Life: 11.94 8.03 6.79 6.53 6.28 6.20
Duration: 7.68 5.80 5.14 5.00 4.86 4.81
First Prin Pay: 4/00 4/00 4/00 5/00 7/00 1/01
Last Prin Pay: 1/12 1/12 1/12 1/12 4/11 5/07
-----------------------------------------------------------------------------
Class A-10: $251,100,000
Price: 100-00 Coupon: 5.63%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 20.69 5.10 3.15 2.60 2.00 1.15
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 12/26 10/24 2/18 11/14 3/11 2/07
-----------------------------------------------------------------------------
Class M-1F $23,625,000
Price: 99-30+ Coupon: 7.38
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.47 7.46 7.45 7.44 7.43 7.43
Average Life: 18.27 11.54 7.13 6.01 4.95 4.20
Duration: 9.52 7.33 5.15 4.53 3.91 3.46
First Prin Pay: 1/12 5/03 7/00 4/00 6/00 8/00
Last Prin Pay: 2/26 7/16 1/12 9/10 12/07 1/05
-----------------------------------------------------------------------------
Class M-2F $30,187,500
Price: 99-31 Coupon: 7.61
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.70 7.69 7.68 7.67 7.66 7.65
Average Life: 18.08 11.34 6.93 5.81 4.75 3.88
Duration: 9.34 7.18 5.03 4.41 3.77 3.22
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 5/00
Last Prin Pay: 6/25 9/14 7/11 4/09 10/06 3/04
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class B-1F: $6,562,500
Price: 99-31+ Coupon: 7.92
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 8.02 8.01 7.99 7.98 7.97 7.95
Average Life: 16.40 10.97 6.08 5.10 4.16 3.37
Duration: 8.82 6.94 4.58 3.99 3.39 2.85
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 4/00
Last Prin Pay: 8/19 1/12 9/06 2/05 7/03 10/01
-----------------------------------------------------------------------------
Class M-1A: $24,800,000
Price: 100-00 Coupon: 5.89%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.83 12.44 7.78 6.43 5.20 5.64
First Prin Pay: 11/22 8/03 1/01 5/00 7/00 4/01
Last Prin Pay: 11/26 3/23 9/15 9/12 5/09 5/06
-----------------------------------------------------------------------------
Class M-2A: $19,375,000
Price: 100-00 Coupon: 6.09%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.82 12.34 7.68 6.34 5.05 4.22
First Prin Pay: 11/22 8/03 1/01 5/00 5/00 8/00
Last Prin Pay: 10/26 8/21 10/13 1/11 1/08 12/04
-----------------------------------------------------------------------------
Class B-1A: $14,725,000
Price: 100-00 Coupon: 6.34%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.75 11.67 7.18 5.92 4.69 3.71
First Prin Pay: 11/22 8/03 1/01 5/00 4/00 4/00
Last Prin Pay: 8/26 6/18 12/10 8/08 2/06 7/03
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-7: $35,500,000
Price: 99-31+ Coupon: 7.32
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.41 7.40 7.39 7.38 7.37 7.32
Average Life: 22.28 14.77 8.83 6.84 4.92 2.77
Duration: 10.61 8.74 6.27 5.18 3.99 2.42
First Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
Last Prin Pay: 3/23 1/12 1/07 6/05 3/03 3/00
-----------------------------------------------------------------------------
Class A-8: $26,250,000
Price: 99-30 Coupon: 7.54
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.64 7.63 7.63 7.62 7.61 7.60
Average Life: 27.54 14.87 9.81 8.22 6.43 4.36
Duration: 11.23 8.65 6.70 5.92 4.92 3.58
First Prin Pay: 3/23 1/12 1/07 6/05 3/03 3/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class A-9: $39,375,000
Price: 99-30+ Coupon: 7.05
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.12 7.12 7.11 7.11 7.10 7.09
Average Life: 11.94 8.03 6.72 6.37 5.69 4.63
Duration: 7.68 5.80 5.11 4.91 4.52 3.82
First Prin Pay: 4/00 4/00 4/00 5/00 7/00 1/01
Last Prin Pay: 1/12 1/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class A-10: $251,100,000
Price: 100-00 Coupon: 5.63%
-----------------------------------------------------------------------------
TO CALL
Average Life: 20.59 4.77 2.94 2.43 1.87 1.13
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class M-1F: $23,625,000
Price: 99-30+ Coupon: 7.38
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.47 7.46 7.45 7.44 7.43 7.42
Average Life: 18.23 11.28 6.57 5.51 4.54 3.91
Duration: 9.52 7.25 4.92 4.29 3.69 3.27
First Prin Pay: 1/12 5/03 7/00 4/00 6/00 8/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class M-2F: $30,187,500
Price: 99-31 Coupon: 7.61
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.70 7.69 7.68 7.67 7.66 7.65
Average Life: 18.08 11.27 6.57 5.51 4.50 3.70
Duration: 9.34 7.16 4.88 4.26 3.63 3.11
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 5/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class B-1F: $6,562,500
Price: 99-31+ Coupon: 7.92
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 8.02 8.01 7.99 7.98 7.97 7.95
Average Life: 16.40 10.97 6.08 5.10 4.16 3.37
Duration: 8.82 6.94 4.58 3.99 3.39 2.85
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 4/00
Last Prin Pay: 8/19 1/12 9/06 2/05 7/03 10/01
-----------------------------------------------------------------------------
Class M-1A: $24,800,000
Price: 100-00 Coupon: 5.89%
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.17 6.98 5.79 4.70 4.60
First Prin Pay: 11/22 8/03 1/01 5/00 7/00 4/01
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class M-2A: $19,375,000
Price: 100-00 Coupon: 6.09%
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.17 6.98 5.79 4.62 3.95
First Prin Pay: 11/22 8/03 1/01 5/00 5/00 8/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class B-1A: $14,725,000
Price: 100-00 Coupon: 6.34%
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.07 6.89 5.70 4.52 3.62
First Prin Pay: 11/22 8/03 1/01 5/00 4/00 4/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Home Equity Loans - Summary
Number of Loans: 8,686
Outstanding Loan Balance: 524,923,376.08
Balloon (% of Total): 50.82%
Level Pay (% of Total): 49.18%
Average Principal Balance: 60,433.27
Weighted Average LTV: 72.76%
Weighted Average CLTV: 75.60%
Weighted Average Home Equity Ratio (2nd Liens): 39.43%
Weighted Average Coupon: 11.54%
Weighted Average Remaining Term (months): 221.49
Weighted Average Seasoning (months): 1.51
Weighted Average Original Term (months): 223.00
Range of Original Terms: Level Pay Balloons
------------------ --------
Up to 120: 1.95% Up to 120: 0.02%
121 - 180: 11.83% 121 - 180: 50.79%
181 - 240: 15.62%
241 - 300: 1.08%
301 - 360: 18.71%
Lien Position: 1st Lien: 93.80%
2nd Lien: 6.20%
Property Type: Single Family Detached: 85.89% 2 - 4 Family: 7.38%
Single Family Attached: 3.17% Other: 3.56%
Occupancy Status: Owner Occupied: 95.45%
Investor Owned: 4.55%
Geographic Distribution: MI: 8.69% IL: 6.44%
OH: 8.36% NC: 6.37%
NY: 7.91% FL: 6.12%
PA: 6.89% NJ: 5.92%
Credit Quality: A: 53.28%
B: 26.47%
C: 15.16%
D: 4.59%
Mixed Use: 0.49%
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Lien Position Distribution
Remaining Pct.
Lien Principal of
Position Balance Total Count
-------- --------- ----- -----
First Lien 492,364,706.29 93.80 7,723
Second Lien 32,558,669.79 6.20 963
TOTAL 524,923,376.08 100.00 8,686
Interest Rate Distribution
Remaining Pct.
Principal of
Range of Coupons Count Balance Total
-------------- ----- --------- -----
7.01 to 8.00 6 614,296.43 .12
8.01 to 9.00 200 16,147,707.31 3.08
9.01 to 10.00 1,079 80,879,972.41 15.41
10.01 to 11.00 1,979 139,449,027.24 26.57
11.01 to 12.00 1,977 122,389,104.57 23.32
12.01 to 13.00 1,554 85,930,098.58 16.37
13.01 to 14.00 931 43,764,823.20 8.34
14.01 to 15.00 508 20,607,292.52 3.93
15.01 to 16.00 273 10,206,390.54 1.94
16.01 to 17.00 123 3,432,834.07 .65
17.01 to 18.00 46 1,221,485.58 .23
18.01 to 19.00 8 190,446.90 .04
19.01 to 20.00 2 89,896.73 .02
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Remaining Principal Distribution
Range of Remaining Pct.
Remaining Principal of
Principal Count Balance Total
---------- ----- --------- -----
0.00 to 25000.00 1,285 24,583,580.75 4.68
25000.01 to 50000.00 3,045 114,720,862.93 21.86
50000.01 to 75000.00 2,164 132,466,209.47 25.24
75000.01 to 100000.00 1,033 89,373,151.90 17.03
100000.01 to 125000.00 559 62,470,709.28 11.90
125000.01 to 150000.00 277 37,863,628.84 7.21
150000.01 to 175000.00 147 23,766,261.89 4.53
175000.01 to 200000.00 72 13,474,229.35 2.57
200000.01 to 225000.00 39 8,291,621.54 1.58
225000.01 to 250000.00 28 6,619,459.11 1.26
250000.01 to 275000.00 10 2,622,441.34 .50
275000.01 to 300000.00 9 2,602,267.83 .50
300000.01 to 325000.00 11 3,474,302.98 .66
325000.01 to 350000.00 3 1,009,787.31 .19
350000.01 to 400000.00 3 1,172,361.56 .22
400000.01 to 450000.00 1 412,500.00 .08
TOTAL 8,686 524,923,376.08 100.00
Occupancy Status Distribution
Remaining Pct.
Occupancy Principal of
Status Count Balance Total
--------- ----- --------- -----
Investor Owned 515 23,867,091.73 4.55
Owner Occupied 8,171 501,056,284.35 95.45
TOTAL 8,686 524,923,376.08 100.00
Months of Seasoning Distribution
Remaining Pct.
Principal of
Range of Seasoning Count Balance Total
------------------- ----- --------- -----
0 to 1 4,662 279,813,901.93 53.31
2 to 12 4,021 245,011,886.73 46.68
13 to 24 3 97,587.42 .02
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
State Distribution by Mailing Address
Remaining Pct.
Principal of
State Count Balance Total
----- ----- ------- -----
Arizona 62 4,058,751.81 .77
Arkansas 83 3,986,462.69 .76
California 154 14,220,213.60 2.71
Colorado 93 6,348,599.37 1.21
Connecticut 72 5,184,563.00 .99
Delaware 19 1,275,133.03 .24
District of Columbia 29 2,206,411.03 .42
Florida 557 32,134,291.41 6.12
Georgia 224 13,256,202.44 2.53
Hawaii 5 888,672.08 .17
Idaho 28 1,780,939.25 .34
Illinois 558 33,780,549.72 6.44
Indiana 524 25,756,700.26 4.91
Iowa 52 1,735,836.07 .33
Kansas 48 2,344,996.58 .45
Kentucky 137 7,716,882.84 1.47
Louisiana 16 1,080,395.50 .21
Maine 7 329,975.16 .06
Maryland 301 22,013,802.45 4.19
Massachusetts 194 15,367,454.12 2.93
Michigan 1,015 45,635,105.08 8.69
Minnesota 82 4,943,774.62 .94
Mississippi 32 1,566,236.46 .30
Missouri 203 9,468,566.69 1.80
Montana 10 626,893.56 .12
Nebraska 29 1,369,114.38 .26
Nevada 26 2,247,653.71 .43
New Hampshire 18 1,347,080.42 .26
New Jersey 380 31,078,626.46 5.92
New Mexico 77 5,996,019.42 1.14
New York 474 41,532,101.66 7.91
North Carolina 637 33,447,157.70 6.37
North Dakota 1 65,200.00 .01
Ohio 759 43,855,075.71 8.36
Oklahoma 61 2,528,165.41 .48
Oregon 60 4,338,872.18 .83
Pennsylvania 589 36,175,849.49 6.89
Rhode Island 57 3,646,377.17 .70
South Carolina 214 10,172,865.58 1.94
Tennessee 184 11,136,410.68 2.12
Texas 90 5,498,173.88 1.05
Utah 109 8,589,716.47 1.64
Vermont 1 79,000.00 .02
Virginia 253 13,130,235.40 2.50
Washington 53 5,102,611.73 .97
West Virginia 14 539,497.36 .10
Wisconsin 95 5,340,162.45 1.02
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Property Type Distribution
Remaining Pct.
Property Principal of
Type Count Balance Total
-------- ----- --------- -----
Condominium 44 2,155,689.01 .41
Manufactured Housing 209 9,904,782.80 1.89
Mixed Use 25 2,338,600.57 .45
Planned Unit Development 45 4,280,552.01 .82
Single Family Attached 351 16,657,736.81 3.17
Single Family Detached 7,484 450,827,998.79 85.89
Two-to-Four Family 528 38,758,016.09 7.38
TOTAL 8,686 524,923,376.08 100.00
Remaining Term Distribution
Range of Remaining Pct.
Remaining Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 375 10,328,812.21 1.97
121 to 180 5,420 328,738,022.77 62.63
181 to 240 1,497 81,986,801.68 15.62
241 to 300 90 5,682,665.07 1.08
301 to 360 1,304 98,187,074.35 18.71
TOTAL 8,686 524,923,376.08 100.00
Original Term Distribution
Range of Remaining Pct.
Original Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 375 10,328,812.21 1.97
121 to 180 5,420 328,738,022.77 62.63
181 to 240 1,497 81,986,801.68 15.62
241 to 300 90 5,682,665.07 1.08
301 to 360 1,304 98,187,074.35 18.71
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Combined Loan to Value Ratio Distribution
Remaining Pct.
Principal of
Range of CLTV Balance Total Count
-------------- --------- ----- -----
5.01 to 10.00 97,706.48 .02 5
10.01 to 15.00 300,837.97 .06 13
15.01 to 20.00 785,724.63 .15 27
20.01 to 25.00 895,391.62 .17 38
25.01 to 30.00 1,944,266.86 .37 74
30.01 to 35.00 2,925,738.75 .56 95
35.01 to 40.00 4,353,825.56 .83 134
40.01 to 45.00 6,315,864.92 1.20 173
45.01 to 50.00 12,517,181.37 2.38 323
50.01 to 55.00 9,210,617.96 1.75 216
55.01 to 60.00 20,272,210.96 3.86 423
60.01 to 65.00 29,082,169.43 5.54 557
65.01 to 70.00 51,516,507.36 9.81 896
70.01 to 75.00 70,479,094.78 13.43 1,198
75.01 to 80.00 145,334,868.34 27.69 2,348
80.01 to 85.00 94,484,147.15 18.00 1,343
85.01 to 90.00 71,136,252.42 13.55 787
90.01 to 95.00 3,270,969.52 .62 36
TOTAL 524,923,376.08 100.00 8,686
Loan to Value Ratio Distribution
Remaining Pct.
Principal of
Range of LTV Count Balance Total
-------------- ----- --------- -----
5.01 to 10.00 39 738,193.85 .14
10.01 to 15.00 188 4,222,729.35 .80
15.01 to 20.00 260 7,394,616.87 1.41
20.01 to 25.00 219 6,407,036.31 1.22
25.01 to 30.00 191 6,293,247.05 1.20
30.01 to 35.00 164 5,693,745.35 1.09
35.01 to 40.00 167 6,351,184.01 1.21
40.01 to 45.00 186 7,142,198.82 1.36
45.01 to 50.00 333 13,118,906.22 2.50
50.01 to 55.00 214 9,757,942.70 1.86
55.01 to 60.00 397 19,611,938.38 3.74
60.01 to 65.00 525 28,107,746.41 5.36
65.01 to 70.00 803 48,091,415.23 9.16
70.01 to 75.00 1,076 66,458,251.78 12.66
75.01 to 80.00 2,088 137,062,978.87 26.11
80.01 to 85.00 1,070 85,711,155.40 16.33
85.01 to 90.00 733 69,538,365.34 13.25
90.01 to 95.00 33 3,221,724.14 .61
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Loan Purpose Distribution
<TABLE>
<CAPTION>
Remaining Pct.
Principal of
Purpose Count Balance Total
------- ----- --------- -----
<S> <C> <C> <C>
Debt Consolidation & Home Imp. Combo. 385 23,086,423.27 4.40
Debt Consolidation 6,669 395,689,441.98 75.38
Home Improvement 226 11,311,747.17 2.16
Other 527 34,169,416.02 6.51
Purchase 879 60,666,347.64 11.56
TOTAL 8,686 524,923,376.08 100.00
</TABLE>
Home Equity Ratio Distribution (Loans with 2nd Liens Only)
Remaining Pct.
Range of Home Principal of
Equity Ratio Balance Total Count
------------- --------- ----- -----
5.01 to 10.00 39,208.31 .12 3
10.01 to 15.00 1,109,843.51 3.41 56
15.01 to 20.00 3,351,768.55 10.29 152
20.01 to 25.00 5,117,715.89 15.72 184
25.01 to 30.00 4,434,796.75 13.62 150
30.01 to 35.00 3,583,015.86 11.00 106
35.01 to 40.00 2,656,680.75 8.16 75
40.01 to 45.00 2,817,880.74 8.65 59
45.01 to 50.00 1,207,247.48 3.71 27
50.01 to 55.00 875,609.58 2.69 22
55.01 to 60.00 1,638,065.85 5.03 31
60.01 to 65.00 1,104,322.94 3.39 20
65.01 to 70.00 1,062,827.74 3.26 22
70.01 to 75.00 536,142.07 1.65 10
75.01 to 80.00 871,768.47 2.68 14
80.01 to 85.00 744,163.19 2.29 13
85.01 to 90.00 595,866.10 1.83 10
90.01 to 95.00 559,767.95 1.72 5
95.01 to 100.00 251,978.06 .77 4
TOTAL 32,558,669.79 100.00 963
Number of Days Delinquent
Remaining Pct.
Days Principal of
Delinquent Count Balance Total
---------- ----- --------- -----
0 - 29 8,497 513,317,084.01 97.79
30 - 59 179 11,047,948.85 2.11
More than 59 10 558,343.22 .11
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Debt to Income Ratio Distribution
Remaining Pct.
Principal of
Range of Debt to Income Ratio Count Balance Total
----------------------------- ----- --------- -----
0.00 to 5.00 5 380,900.27 .07
5.01 to 10.00 54 2,220,153.35 .42
10.01 to 15.00 200 7,891,207.57 1.50
15.01 to 20.00 441 19,033,884.19 3.63
20.01 to 25.00 719 34,813,824.57 6.63
25.01 to 30.00 934 50,132,905.20 9.55
30.01 to 35.00 1,151 66,101,915.94 12.59
35.01 to 40.00 1,356 82,781,475.84 15.77
40.01 to 45.00 1,676 109,095,266.02 20.78
45.01 to 50.00 1,919 135,199,008.83 25.76
50.01 to 55.00 218 16,134,525.78 3.07
55.01 to 60.00 13 1,138,308.52 .22
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Home Equity Loans - Summary
Number of Loans: 3,714
Outstanding Loan Balance: 310,076,283.93
Balloon (% of Total): 0.06%
Level Pay (% of Total): 99.94%
Adjustable (% of Total): 100.00%
ARM Adjustment Type: 3/27 2/28 6 Month
---- ---- -------
4.15% 25.67% 70.18%
Average Principal Balance: 83,488.50
Weighted Average LTV: 74.44%
Weighted Average Coupon: 10.22%
Weighted Average Gross Margin: 6.72%
Weighted Average Gross Life Cap: 16.50%
Weighted Average Periodic Cap: 1.05%
Weighted Average Remaining Term (months): 355.64
Weighted Average Seasoning (months): 2.33
Weighted Average Original Term (months): 357.96
Range of Original Terms: Level Pay Balloons
------------------ -----------------
Up to 120: 0.10% 121 - 180: 0.06%
121 - 180: 0.72%
181 - 240: 0.29%
241 - 300: 0.07%
301 - 360: 98.77%
Lien Position: 1st Lien: 100.00%
Property Type: Single Family Detached: 90.34% 2 - 4 Family: 4.38%
Single Family Attached: 1.18% Other: 4.10%
Occupancy Status: Owner Occupied: 95.98%
Investor Owned: 4.02%
Geographic Distribution: MI: 30.01% WA: 5.77%
CA: 13.13% IL: 5.25%
Credit Quality: A: 47.65%
B: 28.83%
C: 19.59%
D: 3.93%
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Lien Position Distribution
Remaining Pct. Pct.
Lien Principal of of
Position Balance Total Count Loans
--------- --------- ------ ----- -------
First Lien 310,076,283.93 100.00 3,714 100.00
TOTAL 310,076,283.93 100.00 3,714 100.00
Interest Rate Distribution
Remaining Pct.
Principal of
Range of Coupons Count Balance Total
-------------- ----- --------- -----
6.01 to 7.00 7 757,482.82 .24
7.01 to 8.00 69 7,827,708.05 2.52
8.01 to 9.00 381 43,049,571.99 13.88
9.01 to 10.00 1,091 102,025,158.05 32.90
10.01 to 11.00 1,162 90,214,809.78 29.09
11.01 to 12.00 653 45,515,359.10 14.68
12.01 to 13.00 217 13,609,562.61 4.39
13.01 to 14.00 78 4,434,690.25 1.43
14.01 to 15.00 44 2,020,964.30 .65
15.01 to 16.00 12 620,976.98 .20
TOTAL 3,714 310,076,283.93 100.00
Remaining Principal Distribution
Range of Remaining Pct.
Remaining Principal of
Principal Count Balance Total
---------- ----- --------- -----
0.00 to 25000.00 155 3,177,386.36 1.03
25000.01 to 50000.00 939 36,524,439.19 11.78
50000.01 to 75000.00 1,011 63,095,686.09 20.35
75000.01 to 100000.00 663 57,977,539.41 18.70
100000.01 to 125000.00 343 38,280,950.01 12.35
125000.01 to 150000.00 215 29,632,306.79 9.56
150000.01 to 175000.00 126 20,460,044.65 6.60
175000.01 to 200000.00 93 17,385,637.92 5.61
200000.01 to 225000.00 62 13,106,072.94 4.23
225000.01 to 250000.00 31 7,437,029.25 2.40
250000.01 to 275000.00 26 6,827,782.13 2.20
275000.01 to 300000.00 19 5,487,691.58 1.77
300000.01 to 325000.00 11 3,426,022.93 1.11
325000.01 to 350000.00 11 3,739,456.64 1.21
350000.01 to 400000.00 7 2,644,775.54 .85
400000.01 to 450000.00 2 873,462.50 .28
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
State Distribution by Mailing Address
Remaining Pct.
Principal of
State Count Balance Total
----- ----- ------- -----
Arizona 96 9,132,581.26 2.95
Arkansas 10 1,187,056.35 .38
California 290 40,721,277.90 13.13
Colorado 94 8,810,515.78 2.84
Connecticut 42 4,177,971.06 1.35
Delaware 1 189,818.19 .06
District of Columbia 4 354,278.08 .11
Florida 38 3,360,536.77 1.08
Georgia 27 2,326,958.89 .75
Hawaii 10 2,030,821.01 .66
Idaho 25 1,609,965.72 .52
Illinois 183 16,291,384.89 5.25
Indiana 119 6,865,561.16 2.21
Iowa 76 4,024,162.49 1.30
Kansas 54 2,530,929.32 .82
Kentucky 16 1,300,037.78 .42
Louisiana 4 377,601.36 .12
Maine 3 172,021.61 .06
Maryland 70 8,275,766.93 2.67
Massachusetts 19 2,440,050.48 .79
Michigan 1,386 93,052,614.49 30.01
Minnesota 33 2,669,590.96 .86
Missouri 59 4,201,349.20 1.36
Montana 6 616,758.43 .20
Nebraska 14 848,497.32 .27
Nevada 11 1,926,234.06 .62
New Hampshire 4 371,805.36 .12
New Jersey 26 2,962,440.56 .96
New Mexico 64 5,455,919.21 1.76
New York 38 3,678,776.38 1.19
North Carolina 22 1,839,012.06 .59
Ohio 186 13,068,700.91 4.22
Oklahoma 3 220,435.85 .07
Oregon 53 4,931,747.96 1.59
Pennsylvania 71 5,764,985.59 1.86
Rhode Island 8 696,976.92 .23
South Carolina 15 1,260,072.80 .41
Tennessee 31 3,252,863.02 1.05
Texas 76 6,750,079.70 2.18
Utah 148 14,291,400.26 4.61
Virginia 10 1,057,829.01 .34
Washington 164 17,893,274.53 5.77
West Virginia 22 963,734.41 .31
Wisconsin 80 5,902,703.17 1.90
Wyoming 3 219,184.74 .07
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Occupancy Status Distribution
Remaining Pct.
Occupancy Principal of
Status Count Balance Total
--------- ----- --------- -----
Investor Owned 168 12,469,009.11 4.02
Owner Occupied 3,546 297,607,274.82 95.98
TOTAL 3,714 310,076,283.93 100.00
Months of Seasoning Distribution
Remaining Pct.
Principal of
Range of Seasoning Count Balance Total
------------------- ----- --------- -----
0 to 1 930 76,237,844.82 24.59
2 to 12 2,783 233,793,983.15 75.40
13 to 24 1 44,455.96 .01
TOTAL 3,714 310,076,283.93 100.00
Property Type Distribution
Remaining Pct.
Property Principal of
Type Count Balance Total
-------- ----- --------- -----
Condominium 34 2,750,786.38 .89
Manufactured Housing 88 5,428,946.67 1.75
Planned Unit Development 34 4,548,041.84 1.47
Single Family Attached 49 3,651,170.75 1.18
Single Family Detached 3,357 280,114,233.00 90.34
Two-to-Four Family 152 13,583,105.29 4.38
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Remaining Term Distribution
Range of Remaining Pct.
Remaining Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 9 304,212.67 .10
121 to 180 57 2,403,893.33 .78
181 to 240 13 908,211.18 .29
241 to 300 2 201,150.00 .07
301 to 360 3,633 306,258,816.75 98.77
TOTAL 3,714 310,076,283.93 100.00
Original Term Distribution
Range of Remaining Pct.
Original Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 9 304,212.67 .10
121 to 180 57 2,403,893.33 .78
181 to 240 13 908,211.18 .29
241 to 300 2 201,150.00 .07
301 to 360 3,633 306,258,816.75 98.77
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Loan to Value Ratio Distribution
Remaining Pct.
Principal of
Range of LTV Count Balance Total
-------------- ----- --------- -----
5.01 to 10.00 1 29,927.93 .01
10.01 to 15.00 4 139,394.31 .05
15.01 to 20.00 9 299,492.03 .10
20.01 to 25.00 7 322,625.72 .10
25.01 to 30.00 14 597,774.25 .19
30.01 to 35.00 23 896,633.56 .29
35.01 to 40.00 37 1,728,614.09 .56
40.01 to 45.00 39 2,605,400.15 .84
45.01 to 50.00 137 7,824,859.21 2.52
50.01 to 55.00 90 5,874,551.42 1.90
55.01 to 60.00 164 11,119,969.94 3.59
60.01 to 65.00 304 22,361,493.26 7.21
65.01 to 70.00 399 33,023,323.18 10.65
70.01 to 75.00 679 58,633,100.94 18.91
75.01 to 80.00 1,175 102,551,857.73 33.07
80.01 to 85.00 521 50,198,039.80 16.19
85.01 to 90.00 110 11,809,765.69 3.81
90.01 to 95.00 1 59,460.72 .02
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Margin Rate Distribution
Remaining Pct.
Principal of
Range of Margins Balance Total Count
----------------- --------- ----- -----
0.00 to 3.99 572,946.72 .18 7
4.00 to 4.99 8,633,119.16 2.78 72
5.00 to 5.99 74,411,337.44 24.00 699
6.00 to 6.99 103,362,155.55 33.33 1,205
7.00 to 7.99 86,793,931.42 27.99 1,173
8.00 to 8.99 28,704,184.14 9.26 433
9.00 to 9.99 6,611,610.87 2.13 108
10.00 to 10.99 986,998.63 .32 17
TOTAL 310,076,283.93 100.00 3,714
Next Coupon Change
Remaining Pct.
Change Principal of
Date Count Balance Total
------ ----- --------- -----
April 1997 136 11,617,609.49 3.75
May 1997 697 55,973,452.05 18.05
June 1997 793 61,348,651.25 19.79
July 1997 689 52,556,804.97 16.95
August 1997 347 26,163,849.87 8.44
September 1997 111 9,396,008.08 3.03
October 1997 1 138,613.14 .05
December 1997 1 87,617.45 .03
May 1998 1 55,931.17 .02
July 1998 1 89,755.56 .03
September 1998 8 901,155.03 .29
October 1998 26 2,207,957.81 .71
November 1998 156 14,831,392.51 4.78
December 1998 224 21,519,316.86 6.94
January 1999 224 23,516,085.59 7.58
February 1999 127 12,395,185.05 4.00
March 1999 40 3,992,455.00 1.29
August 1999 1 208,000.00 .07
October 1999 6 571,454.53 .18
November 1999 14 1,298,337.11 .42
December 1999 36 3,875,485.21 1.25
January 2000 35 3,603,889.16 1.16
February 2000 32 2,892,102.04 .93
March 2000 8 835,175.00 .27
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Loan Purpose Distribution
Remaining Pct.
Principal of
Purpose Count Balance Total
------- ----- --------- -----
Debt Consolidation & Home Imp. Combo. 199 16,923,716.10 5.46
Debt Consolidation 2,606 207,412,930.25 66.89
Home Improvement 118 7,655,454.59 2.47
Other 220 19,576,580.40 6.31
Purchase 571 58,507,602.59 18.87
TOTAL 3,714 310,076,283.93 100.00
Periodic Cap Distribution
Remaining Pct.
Periodic Principal of
Cap Count Balance Total
------- ----- --------- -----
1.000 3,462 281,410,007.90 90.76
1.250 2 503,008.14 .16
1.500 236 27,006,250.52 8.71
3.000 13 1,031,240.04 .33
6.000 1 125,777.33 .04
TOTAL 3,714 310,076,283.93 100.00
Life Cap Distribution
Remaining Pct.
Principal of
Range of Lifecaps Count Balance Total
----------------- ----- --------- -----
12.01 to 13.00 5 405,104.76 .13
13.01 to 14.00 46 4,658,714.72 1.50
14.01 to 15.00 257 27,746,093.78 8.95
15.01 to 16.00 983 92,064,760.00 29.69
16.01 to 17.00 1,190 97,471,154.08 31.44
17.01 to 18.00 787 57,968,500.72 18.70
18.01 to 19.00 271 19,365,512.15 6.25
19.01 to 20.00 104 7,042,277.08 2.27
20.01 to 21.00 55 2,600,452.11 .84
21.01 to 22.00 12 577,073.77 .19
22.01 to 23.00 4 176,640.76 .06
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
First Period Cap Distribution
First Remaining Pct.
Period Principal of
Category Cap Count Balance Total
-------- ------ ----- --------- -----
Different 1st and Regular .600 1 152,850.45 .05
1.000 2 187,527.33 .06
1.500 1 159,815.21 .05
2.000 5 362,068.04 .12
3.000 859 85,278,533.61 27.50
6.000 22 1,770,077.20 .57
10.000 1 49,951.85 .02
Same First and Regular 1.000 2,751 214,518,832.73 69.18
1.250 2 503,008.14 .16
1.500 57 6,062,379.33 1.96
3.000 13 1,031,240.04 .33
TOTAL 3,714 310,076,283.93 100.00
Rate Change Frequency Distribution
Remaining Pct.
Initial Principal of
Frequency Count Balance Total
--------- ----- --------- -----
2/28 807 79,582,295.43 25.67
3/27 129 12,873,572.86 4.15
6 Months 2,778 217,620,415.64 70.18
TOTAL 3,714 310,076,283.93 100.00
Adjustable Rate Loans
Credit Grade Distribution
Remaining Pct.
Credit Principal of
Grade Count Balance Total
------ ----- --------- -----
A 1,528 147,746,164.42 47.65
B 1,091 89,402,351.74 28.83
C 872 60,740,806.59 19.59
D 223 12,186,961.18 3.93
TOTAL 3,714 310,076,283.93 100.00
Debt to Income Ratio Distribution
Remaining Pct.
Principal of
Range of Debt to Income Ratio Count Balance Total
----------------------------- ----- --------- -----
0.00 to 5.00 1 128,226.30 .04
5.01 to 10.00 17 1,587,001.00 .51
10.01 to 15.00 56 2,925,721.04 .94
15.01 to 20.00 170 10,147,280.50 3.27
20.01 to 25.00 316 21,571,644.34 6.96
25.01 to 30.00 408 29,253,884.42 9.43
30.01 to 35.00 453 35,388,708.69 11.41
35.01 to 40.00 601 50,629,294.35 16.33
40.01 to 45.00 733 64,310,532.53 20.74
45.01 to 50.00 777 72,660,558.44 23.43
50.01 to 55.00 162 18,896,511.68 6.09
55.01 to 60.00 20 2,576,920.64 0.83
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentages may not add to 100.00% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
LEHMAN BROTHERS
DERIVED INFORMATION
$835,000,000 Certificates
ContiMortgage Home Equity Loan Trust 1997-2
ContiMortgage Corporation (Seller and Servicer)
ContiWest Corporation (Servicer)
ContiSecurities Asset Funding Corp. (Depositor)
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Lehman Brothers
Securities Offered:
Bond Summary
<TABLE>
<CAPTION>
To Maturity
---------------------------------------------------------------------------------
Class Rating Original Coupon Avg. CBE 1st Last Mod.
Name (M/F) Par % Life Yield Price Pay Pay Dur.
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 Aaa/AAA 81,000,000 6.31 0.50 5.915 99-31+ 4/97 2/98 0.48
A-2 Aaa/AAA 65,800,000 6.39 1.15 6.274 99-31 2/98 9/98 1.07
A-3 Aaa/AAA 113,400,000 6.55 2.01 6.509 99-31+ 9/98 11/99 1.83
A-4 Aaa/AAA 42,800,000 6.73 3.01 6.738 99-31 11/99 9/00 2.64
A-5 Aaa/AAA 39,200,000 6.93 4.01 6.961 99-31 9/00 11/01 3.39
A-6 Aaa/AAA 21,300,000 7.10 5.01 7.150 99-30+ 11/01 9/02 4.08
A-7 Aaa/AAA 35,500,000 7.32 6.96 7.381 99-31+ 9/02 7/06 5.24
A-8 Aaa/AAA 26,250,000 7.54 12.08 7.629 99-30 7/06 1/12 7.61
A-9 Aaa/AAA 39,375,000 7.05 6.53 7.109 99-30+ 5/00 1/12 5.00
A-10 Aaa/AAA 251,100,000 5.63 2.60 100-00 4/97 11/14
M-1F Aa2/AA 23,625,000 7.38 6.01 7.441 99-30+ 4/00 9/10 4.53
M-2F A3/A 30,187,500 7.61 5.81 7.672 99-31 4/00 4/09 4.41
B-1F Baa3/BBB 6,562,500 7.92 5.10 7.979 99-31+ 4/00 2/05 3.99
M-1A Aa2/AA 24,800,000 5.89 6.43 100-00 5/00 9/12
M-2A A3/A 19,375,000 6.09 6.34 100-00 5/00 1/11
B-1A Baa3/BBB 14,725,000 6.34 5.92 100-00 5/00 8/08
To Call
A-7 Aaa/AAA 35,500,000 7.32 6.84 7.381 99-31+ 9/02 6/05 5.18
A-8 Aaa/AAA 26,250,000 7.54 8.22 7.621 99-30 6/05 6/05 5.92
A-9 Aaa/AAA 39,375,000 7.05 6.37 7.108 99-30+ 5/00 6/05 4.91
A-10 Aaa/AAA 251,100,000 5.63 2.43 100-00 4/97 6/05
M-1F Aa2/AA 23,625,000 7.38 5.51 7.439 99-30+ 4/00 6/05 4.29
M-2F A3/A 30,187,500 7.61 5.51 7.670 99-31 4/00 6/05 4.26
B-1F Baa3/BBB 6,562,500 7.92 5.10 7.979 99-31+ 4/00 2/05 3.99
M-1A Aa2/AA 24,800,000 5.89 5.79 100-00 5/00 6/05
M-2A A3/A 19,375,000 6.09 5.79 100-00 5/00 6/05
B-1A Baa3/BBB 14,725,000 6.34 5.70 100-00 5/00 6/05
- ----------------------------------------------------------------------------------
</TABLE>
Notes:
(1) Fixed Rate Certificates (Class A-1 to A-9 and M-1F to B-1F) use a
prepayment assumption of 120% of a ramp from 4% to 20% CPR over 12 months
for pricing.
(2) Adjustable Rate Certificates (Class A-10 and M-1A to B-1A) use a prepayment
assumption of 25% CPR throughout the life of the collateral for pricing.
(3) Coupons and prices are assumed for computational materials.
(4) Call is a clean-up call exercised in the month following the month that the
aggregate loan balance is 10% of the original aggregate loan balance.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Lehman Brothers
Projected Performance
Under Varying Prepayment Assumptions
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-1: $81,000,000
Price: 99-31+ Coupon: 6.31
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.34 6.12 5.97 5.91 5.84 5.73
Average Life: 5.21 0.88 0.56 0.50 0.43 0.36
Duration: 4.12 0.83 0.54 0.48 0.42 0.35
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 3/07 11/98 3/98 2/98 12/97 11/97
-----------------------------------------------------------------------------
Class A-2: $65,800,000
Price: 99-31 Coupon: 6.39
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.45 6.37 6.30 6.27 6.24 6.19
Average Life: 12.58 2.31 1.32 1.15 0.97 0.80
Duration: 8.37 2.08 1.23 1.07 0.92 0.75
First Prin Pay: 3/07 11/98 3/98 2/98 12/97 11/97
Last Prin Pay: 12/11 3/00 11/98 9/98 6/98 3/98
-----------------------------------------------------------------------------
Class A-3: $113,400,000
Price: 99-31+ Coupon: 6.55
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.61 6.58 6.53 6.51 6.48 6.44
Average Life: 14.80 4.48 2.37 2.01 1.65 1.27
Duration: 9.20 3.75 2.13 1.83 1.51 1.18
First Prin Pay: 12/11 3/00 11/98 9/98 6/98 3/98
Last Prin Pay: 1/12 6/03 5/00 11/99 5/99 11/98
-----------------------------------------------------------------------------
Class A-4: $42,800,000
Price: 99-31 Coupon: 6.73
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.80 6.78 6.75 6.74 6.72 6.68
Average Life: 14.81 7.53 3.67 3.01 2.38 1.79
Duration: 9.10 5.71 3.15 2.64 2.13 1.63
First Prin Pay: 1/12 6/03 5/00 11/99 5/99 11/98
Last Prin Pay: 1/12 5/06 6/01 9/00 11/99 3/99
-----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Lehman Brothers
Projected Performance
Under Varying Prepayment Assumptions
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-5: $39,200,000
Price: 99-31 Coupon: 6.93
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.00 7.00 6.97 6.96 6.94 6.91
Average Life: 15.07 10.64 4.90 4.01 2.94 2.14
Duration: 9.07 7.28 4.02 3.39 2.57 1.92
First Prin Pay: 1/12 5/06 6/01 9/00 11/99 3/99
Last Prin Pay: 10/13 7/09 12/02 11/01 10/00 7/99
-----------------------------------------------------------------------------
Class A-6: $21,300,000
Price: 99-30+ Coupon: 7.10
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.18 7.18 7.16 7.15 7.14 7.10
Average Life: 17.82 13.27 6.25 5.01 3.84 2.44
Duration: 9.79 8.32 4.88 4.08 3.25 2.16
First Prin Pay: 10/13 7/09 12/02 11/01 10/00 7/99
Last Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
-----------------------------------------------------------------------------
Class A-7: $35,500,000
Price: 99-31+ Coupon: 7.32
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.41 7.40 7.39 7.38 7.37 7.32
Average Life: 22.28 14.77 9.06 6.96 4.92 2.77
Duration: 10.61 8.74 6.38 5.24 3.99 2.42
First Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
Last Prin Pay: 3/23 1/12 7/08 7/06 3/03 3/00
-----------------------------------------------------------------------------
Class A-8: $26,250,000
Price: 99-30 Coupon: 7.54
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.64 7.64 7.63 7.63 7.62 7.60
Average Life: 28.03 17.94 13.72 12.08 9.21 4.61
Duration: 11.29 9.43 8.24 7.61 6.32 3.74
First Prin Pay: 3/23 1/12 7/08 7/06 3/03 3/00
Last Prin Pay: 11/26 11/22 2/14 1/12 6/11 8/07
-----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Lehman Brothers
Projected Performance
Under Varying Prepayment Assumptions
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-9: $39,375,000
Price: 99-30+ Coupon: 7.05
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.12 7.12 7.11 7.11 7.11 7.11
Average Life: 11.94 8.03 6.79 6.53 6.28 6.20
Duration: 7.68 5.80 5.14 5.00 4.86 4.81
First Prin Pay: 4/00 4/00 4/00 5/00 7/00 1/01
Last Prin Pay: 1/12 1/12 1/12 1/12 4/11 5/07
-----------------------------------------------------------------------------
Class A-10: $251,100,000
Price: 100-00 Coupon: 5.63%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 20.69 5.10 3.15 2.60 2.00 1.15
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 12/26 10/24 2/18 11/14 3/11 2/07
-----------------------------------------------------------------------------
Class M-1F $23,625,000
Price: 99-30+ Coupon: 7.38
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.47 7.46 7.45 7.44 7.43 7.43
Average Life: 18.27 11.54 7.13 6.01 4.95 4.20
Duration: 9.52 7.33 5.15 4.53 3.91 3.46
First Prin Pay: 1/12 5/03 7/00 4/00 6/00 8/00
Last Prin Pay: 2/26 7/16 1/12 9/10 12/07 1/05
-----------------------------------------------------------------------------
Class M-2F $30,187,500
Price: 99-31 Coupon: 7.61
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.70 7.69 7.68 7.67 7.66 7.65
Average Life: 18.08 11.34 6.93 5.81 4.75 3.88
Duration: 9.34 7.18 5.03 4.41 3.77 3.22
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 5/00
Last Prin Pay: 6/25 9/14 7/11 4/09 10/06 3/04
-----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Lehman Brothers
Projected Performance
Under Varying Prepayment Assumptions
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class B-1F: $6,562,500
Price: 99-31+ Coupon: 7.92
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 8.02 8.01 7.99 7.98 7.97 7.95
Average Life: 16.40 10.97 6.08 5.10 4.16 3.37
Duration: 8.82 6.94 4.58 3.99 3.39 2.85
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 4/00
Last Prin Pay: 8/19 1/12 9/06 2/05 7/03 10/01
-----------------------------------------------------------------------------
Class M-1A: $24,800,000
Price: 100-00 Coupon: 5.89%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.83 12.44 7.78 6.43 5.20 5.64
First Prin Pay: 11/22 8/03 1/01 5/00 7/00 4/01
Last Prin Pay: 11/26 3/23 9/15 9/12 5/09 5/06
-----------------------------------------------------------------------------
Class M-2A: $19,375,000
Price: 100-00 Coupon: 6.09%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.82 12.34 7.68 6.34 5.05 4.22
First Prin Pay: 11/22 8/03 1/01 5/00 5/00 8/00
Last Prin Pay: 10/26 8/21 10/13 1/11 1/08 12/04
-----------------------------------------------------------------------------
Class B-1A: $14,725,000
Price: 100-00 Coupon: 6.34%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.75 11.67 7.18 5.92 4.69 3.71
First Prin Pay: 11/22 8/03 1/01 5/00 4/00 4/00
Last Prin Pay: 8/26 6/18 12/10 8/08 2/06 7/03
-----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Lehman Brothers
Projected Performance
Under Varying Prepayment Assumptions
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-7: $35,500,000
Price: 99-31+ Coupon: 7.32
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.41 7.40 7.39 7.38 7.37 7.32
Average Life: 22.28 14.77 8.83 6.84 4.92 2.77
Duration: 10.61 8.74 6.27 5.18 3.99 2.42
First Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
Last Prin Pay: 3/23 1/12 1/07 6/05 3/03 3/00
-----------------------------------------------------------------------------
Class A-8: $26,250,000
Price: 99-30 Coupon: 7.54
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.64 7.63 7.63 7.62 7.61 7.60
Average Life: 27.54 14.87 9.81 8.22 6.43 4.36
Duration: 11.23 8.65 6.70 5.92 4.92 3.58
First Prin Pay: 3/23 1/12 1/07 6/05 3/03 3/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class A-9: $39,375,000
Price: 99-30+ Coupon: 7.05
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.12 7.12 7.11 7.11 7.10 7.09
Average Life: 11.94 8.03 6.72 6.37 5.69 4.63
Duration: 7.68 5.80 5.11 4.91 4.52 3.82
First Prin Pay: 4/00 4/00 4/00 5/00 7/00 1/01
Last Prin Pay: 1/12 1/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class A-10: $251,100,000
Price: 100-00 Coupon: 5.63%
-----------------------------------------------------------------------------
TO CALL
Average Life: 20.59 4.77 2.94 2.43 1.87 1.13
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Lehman Brothers
Projected Performance
Under Varying Prepayment Assumptions
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class M-1F: $23,625,000
Price: 99-30+ Coupon: 7.38
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.47 7.46 7.45 7.44 7.43 7.42
Average Life: 18.23 11.28 6.57 5.51 4.54 3.91
Duration: 9.52 7.25 4.92 4.29 3.69 3.27
First Prin Pay: 1/12 5/03 7/00 4/00 6/00 8/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class M-2F: $30,187,500
Price: 99-31 Coupon: 7.61
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.70 7.69 7.68 7.67 7.66 7.65
Average Life: 18.08 11.27 6.57 5.51 4.50 3.70
Duration: 9.34 7.16 4.88 4.26 3.63 3.11
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 5/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class B-1F: $6,562,500
Price: 99-31+ Coupon: 7.92
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 8.02 8.01 7.99 7.98 7.97 7.95
Average Life: 16.40 10.97 6.08 5.10 4.16 3.37
Duration: 8.82 6.94 4.58 3.99 3.39 2.85
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 4/00
Last Prin Pay: 8/19 1/12 9/06 2/05 7/03 10/01
-----------------------------------------------------------------------------
Class M-1A: $24,800,000
Price: 100-00 Coupon: 5.89%
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.17 6.98 5.79 4.70 4.60
First Prin Pay: 11/22 8/03 1/01 5/00 7/00 4/01
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Lehman Brothers
Projected Performance
Under Varying Prepayment Assumptions
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class M-2A: $19,375,000
Price: 100-00 Coupon: 6.09%
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.17 6.98 5.79 4.62 3.95
First Prin Pay: 11/22 8/03 1/01 5/00 5/00 8/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class B-1A: $14,725,000
Price: 100-00 Coupon: 6.34%
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.07 6.89 5.70 4.52 3.62
First Prin Pay: 11/22 8/03 1/01 5/00 4/00 4/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Lehman Brothers
Fixed Rate Home Equity Loans - Summary
Number of Loans: 8,686
Outstanding Loan Balance: 524,923,376.08
Balloon (% of Total): 50.82%
Level Pay (% of Total): 49.18%
Average Principal Balance: 60,433.27
Weighted Average LTV: 72.76%
Weighted Average CLTV: 75.60%
Weighted Average Home Equity Ratio (2nd Liens): 39.43%
Weighted Average Coupon: 11.54%
Weighted Average Remaining Term (months): 221.49
Weighted Average Seasoning (months): 1.51
Weighted Average Original Term (months): 223.00
Range of Original Terms: Level Pay Balloons
------------------ --------
Up to 120: 1.95% Up to 120: 0.02%
121 - 180: 11.83% 121 - 180: 50.79%
181 - 240: 15.62%
241 - 300: 1.08%
301 - 360: 18.71%
Lien Position: 1st Lien: 93.80%
2nd Lien: 6.20%
Property Type: Single Family Detached: 85.89% 2 - 4 Family: 7.38%
Single Family Attached: 3.17% Other: 3.56%
Occupancy Status: Owner Occupied: 95.45%
Investor Owned: 4.55%
Geographic Distribution: MI: 8.69% IL: 6.44%
OH: 8.36% NC: 6.37%
NY: 7.91% FL: 6.12%
PA: 6.89% NJ: 5.92%
Credit Quality: A: 53.28%
B: 26.47%
C: 15.16%
D: 4.59%
Mixed Use: 0.49%
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Lehman Brothers
Adjustable Rate Home Equity Loans - Summary
Number of Loans: 3,714
Outstanding Loan Balance: 310,076,283.93
Balloon (% of Total): 0.06%
Level Pay (% of Total): 99.94%
Adjustable (% of Total): 100.00%
ARM Adjustment Type: 3/27 2/28 6 Month
---- ---- -------
4.15% 25.67% 70.18%
Average Principal Balance: 83,488.50
Weighted Average LTV: 74.44%
Weighted Average Coupon: 10.22%
Weighted Average Gross Margin: 6.72%
Weighted Average Gross Life Cap: 16.50%
Weighted Average Periodic Cap: 1.05%
Weighted Average Remaining Term (months): 355.64
Weighted Average Seasoning (months): 2.33
Weighted Average Original Term (months): 357.96
Range of Original Terms: Level Pay Balloons
------------------ -----------------
Up to 120: 0.10% 121 - 180: 0.06%
121 - 180: 0.72%
181 - 240: 0.29%
241 - 300: 0.07%
301 - 360: 98.77%
Lien Position: 1st Lien: 100.00%
Property Type: Single Family Detached: 90.34% 2 - 4 Family: 4.38%
Single Family Attached: 1.18% Other: 4.10%
Occupancy Status: Owner Occupied: 95.98%
Investor Owned: 4.02%
Geographic Distribution: MI: 30.01% WA: 5.77%
CA: 13.13% IL: 5.25%
Credit Quality: A: 47.65%
B: 28.83%
C: 19.59%
D: 3.93%
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
ContiMortgage 1997-2 Computational Materials
Bond Summary
<TABLE>
<CAPTION>
To Maturity
---------------------------------------------------------------------------------
Class Rating Original Coupon Avg. CBE 1st Last Mod.
Name (M/F) Par % Life Yield Price Pay Pay Dur.
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 Aaa/AAA 81,000,000 6.31 0.50 5.915 99-31+ 4/97 2/98 0.48
A-2 Aaa/AAA 65,800,000 6.39 1.15 6.274 99-31 2/98 9/98 1.07
A-3 Aaa/AAA 113,400,000 6.55 2.01 6.509 99-31+ 9/98 11/99 1.83
A-4 Aaa/AAA 42,800,000 6.73 3.01 6.738 99-31 11/99 9/00 2.64
A-5 Aaa/AAA 39,200,000 6.93 4.01 6.961 99-31 9/00 11/01 3.39
A-6 Aaa/AAA 21,300,000 7.10 5.01 7.150 99-30+ 11/01 9/02 4.08
A-7 Aaa/AAA 35,500,000 7.32 6.96 7.381 99-31+ 9/02 7/06 5.24
A-8 Aaa/AAA 26,250,000 7.54 12.08 7.629 99-30 7/06 1/12 7.61
A-9 Aaa/AAA 39,375,000 7.05 6.53 7.109 99-30+ 5/00 1/12 5.00
A-10 Aaa/AAA 251,100,000 5.63 2.60 100-00 4/97 11/14
M-1F Aa2/AA 23,625,000 7.38 6.01 7.441 99-30+ 4/00 9/10 4.53
M-2F A3/A 30,187,500 7.61 5.81 7.672 99-31 4/00 4/09 4.41
B-1F Baa3/BBB 6,562,500 7.92 5.10 7.979 99-31+ 4/00 2/05 3.99
M-1A Aa2/AA 24,800,000 5.89 6.43 100-00 5/00 9/12
M-2A A3/A 19,375,000 6.09 6.34 100-00 5/00 1/11
B-1A Baa3/BBB 14,725,000 6.34 5.92 100-00 5/00 8/08
To Call
A-7 Aaa/AAA 35,500,000 7.32 6.84 7.381 99-31+ 9/02 6/05 5.18
A-8 Aaa/AAA 26,250,000 7.54 8.22 7.621 99-30 6/05 6/05 5.92
A-9 Aaa/AAA 39,375,000 7.05 6.37 7.108 99-30+ 5/00 6/05 4.91
A-10 Aaa/AAA 251,100,000 5.63 2.43 100-00 4/97 6/05
M-1F Aa2/AA 23,625,000 7.38 5.51 7.439 99-30+ 4/00 6/05 4.29
M-2F A3/A 30,187,500 7.61 5.51 7.670 99-31 4/00 6/05 4.26
B-1F Baa3/BBB 6,562,500 7.92 5.10 7.979 99-31+ 4/00 2/05 3.99
M-1A Aa2/AA 24,800,000 5.89 5.79 100-00 5/00 6/05
M-2A A3/A 19,375,000 6.09 5.79 100-00 5/00 6/05
B-1A Baa3/BBB 14,725,000 6.34 5.70 100-00 5/00 6/05
- ----------------------------------------------------------------------------------
</TABLE>
Notes:
(1) Fixed Rate Certificates (Class A-1 to A-9 and M-1F to B-1F) use a
prepayment assumption of 120% of a ramp from 4% to 20% CPR over 12 months
for pricing.
(2) Adjustable Rate Certificates (Class A-10 and M-1A to B-1A) use a prepayment
assumption of 25% CPR throughout the life of the collateral for pricing.
(3) Coupons and prices are assumed for computational materials.
(4) Call is a clean-up call exercised in the month following the month that the
aggregate loan balance is 10% of the original aggregate loan balance.
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-1: $81,000,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 87 42 0 0 0 0
March 15, 1999 80 0 0 0 0 0
March 15, 2000 72 0 0 0 0 0
March 15, 2001 64 0 0 0 0 0
March 15, 2002 55 0 0 0 0 0
March 15, 2003 44 0 0 0 0 0
March 15, 2004 33 0 0 0 0 0
March 15, 2005 23 0 0 0 0 0
March 15, 2006 12 0 0 0 0 0
March 15, 2007 0 0 0 0 0 0
March 15, 2008 0 0 0 0 0 0
March 15, 2009 0 0 0 0 0 0
March 15, 2010 0 0 0 0 0 0
March 15, 2011 0 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 5.2 0.9 0.6 0.5 0.4 0.4
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-2: $65,800,000.00
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 97 74 40 0
March 15, 1999 100 72 0 0 0 0
March 15, 2000 100 0 0 0 0 0
March 15, 2001 100 0 0 0 0 0
March 15, 2002 100 0 0 0 0 0
March 15, 2003 100 0 0 0 0 0
March 15, 2004 100 0 0 0 0 0
March 15, 2005 100 0 0 0 0 0
March 15, 2006 100 0 0 0 0 0
March 15, 2007 99 0 0 0 0 0
March 15, 2008 83 0 0 0 0 0
March 15, 2009 64 0 0 0 0 0
March 15, 2010 43 0 0 0 0 0
March 15, 2011 18 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 12.6 2.3 1.3 1.1 1.0 0.8
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-3: $113,400,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 90
March 15, 1999 100 100 74 48 12 0
March 15, 2000 100 99 8 0 0 0
March 15, 2001 100 64 0 0 0 0
March 15, 2002 100 31 0 0 0 0
March 15, 2003 100 4 0 0 0 0
March 15, 2004 100 0 0 0 0 0
March 15, 2005 100 0 0 0 0 0
March 15, 2006 100 0 0 0 0 0
March 15, 2007 100 0 0 0 0 0
March 15, 2008 100 0 0 0 0 0
March 15, 2009 100 0 0 0 0 0
March 15, 2010 100 0 0 0 0 0
March 15, 2011 100 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 14.8 4.5 2.4 2.0 1.6 1.3
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-4: $42,800,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 0
March 15, 2000 100 100 100 39 0 0
March 15, 2001 100 100 19 0 0 0
March 15, 2002 100 100 0 0 0 0
March 15, 2003 100 100 0 0 0 0
March 15, 2004 100 63 0 0 0 0
March 15, 2005 100 33 0 0 0 0
March 15, 2006 100 3 0 0 0 0
March 15, 2007 100 0 0 0 0 0
March 15, 2008 100 0 0 0 0 0
March 15, 2009 100 0 0 0 0 0
March 15, 2010 100 0 0 0 0 0
March 15, 2011 100 0 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 14.8 7.5 3.7 3.0 2.4 1.8
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-5: $39,200,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 84
March 15, 2000 100 100 100 100 21 0
March 15, 2001 100 100 100 49 0 0
March 15, 2002 100 100 40 0 0 0
March 15, 2003 100 100 0 0 0 0
March 15, 2004 100 100 0 0 0 0
March 15, 2005 100 100 0 0 0 0
March 15, 2006 100 100 0 0 0 0
March 15, 2007 100 69 0 0 0 0
March 15, 2008 100 38 0 0 0 0
March 15, 2009 100 8 0 0 0 0
March 15, 2010 100 0 0 0 0 0
March 15, 2011 100 0 0 0 0 0
March 15, 2012 27 0 0 0 0 0
March 15, 2013 10 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 15.1 10.6 4.9 4.0 2.9 2.1
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-6: $21,300,000.00
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 0
March 15, 2001 100 100 100 100 22 0
March 15, 2002 100 100 100 47 0 0
March 15, 2003 100 100 68 0 0 0
March 15, 2004 100 100 0 0 0 0
March 15, 2005 100 100 0 0 0 0
March 15, 2006 100 100 0 0 0 0
March 15, 2007 100 100 0 0 0 0
March 15, 2008 100 100 0 0 0 0
March 15, 2009 100 100 0 0 0 0
March 15, 2010 100 62 0 0 0 0
March 15, 2011 100 13 0 0 0 0
March 15, 2012 100 0 0 0 0 0
March 15, 2013 100 0 0 0 0 0
March 15, 2014 83 0 0 0 0 0
March 15, 2015 43 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 17.8 13.3 6.2 5.0 3.8 2.4
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-7: $35,500,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 0
March 15, 2001 100 100 100 100 100 0
March 15, 2002 100 100 100 100 39 0
March 15, 2003 100 100 100 73 0 0
March 15, 2004 100 100 94 36 0 0
March 15, 2005 100 100 76 25 0 0
March 15, 2006 100 100 51 6 0 0
March 15, 2007 100 100 27 0 0 0
March 15, 2008 100 100 6 0 0 0
March 15, 2009 100 100 0 0 0 0
March 15, 2010 100 100 0 0 0 0
March 15, 2011 100 100 0 0 0 0
March 15, 2012 100 0 0 0 0 0
March 15, 2013 100 0 0 0 0 0
March 15, 2014 100 0 0 0 0 0
March 15, 2015 100 0 0 0 0 0
March 15, 2016 100 0 0 0 0 0
March 15, 2017 74 0 0 0 0 0
March 15, 2018 64 0 0 0 0 0
March 15, 2019 54 0 0 0 0 0
March 15, 2020 42 0 0 0 0 0
March 15, 2021 29 0 0 0 0 0
March 15, 2022 15 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 22.3 14.8 9.1 7.0 4.9 2.8
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-8: $26,250,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 99
March 15, 2001 100 100 100 100 100 79
March 15, 2002 100 100 100 100 100 18
March 15, 2003 100 100 100 100 99 3
March 15, 2004 100 100 100 100 68 2
March 15, 2005 100 100 100 100 66 2
March 15, 2006 100 100 100 100 52 2
March 15, 2007 100 100 100 84 38 2
March 15, 2008 100 100 100 63 26 0
March 15, 2009 100 100 85 47 14 0
March 15, 2010 100 100 65 34 6 0
March 15, 2011 100 100 50 23 1 0
March 15, 2012 100 76 8 0 0 0
March 15, 2013 100 63 3 0 0 0
March 15, 2014 100 52 0 0 0 0
March 15, 2015 100 42 0 0 0 0
March 15, 2016 100 33 0 0 0 0
March 15, 2017 100 23 0 0 0 0
March 15, 2018 100 18 0 0 0 0
March 15, 2019 100 13 0 0 0 0
March 15, 2020 100 9 0 0 0 0
March 15, 2021 100 5 0 0 0 0
March 15, 2022 100 2 0 0 0 0
March 15, 2023 100 0 0 0 0 0
March 15, 2024 78 0 0 0 0 0
March 15, 2025 53 0 0 0 0 0
March 15, 2026 24 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 28.0 17.9 13.7 12.1 9.2 4.6
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-9: $39,375,000.00
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 99 94 89 89 89 95
March 15, 2002 98 87 80 78 76 75
March 15, 2003 97 77 66 62 56 49
March 15, 2004 95 68 52 46 39 29
March 15, 2005 87 46 24 18 13 16
March 15, 2006 79 31 11 7 4 6
March 15, 2007 71 20 5 3 1 0
March 15, 2008 64 13 2 1 0 0
March 15, 2009 56 9 1 0 0 0
March 15, 2010 48 6 0 0 0 0
March 15, 2011 40 3 0 0 0 0
March 15, 2012 0 0 0 0 0 0
March 15, 2013 0 0 0 0 0 0
March 15, 2014 0 0 0 0 0 0
March 15, 2015 0 0 0 0 0 0
March 15, 2016 0 0 0 0 0 0
March 15, 2017 0 0 0 0 0 0
March 15, 2018 0 0 0 0 0 0
March 15, 2019 0 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 11.9 8.0 6.8 6.5 6.3 6.2
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class M-1F: $23,625,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 84 70 52 30
March 15, 2002 100 100 66 52 36 17
March 15, 2003 100 100 52 39 24 10
March 15, 2004 100 89 41 29 17 6
March 15, 2005 100 79 32 21 11 0
March 15, 2006 100 69 25 16 8 0
March 15, 2007 100 60 19 12 4 0
March 15, 2008 100 52 15 9 0 0
March 15, 2009 100 45 11 6 0 0
March 15, 2010 100 39 9 2 0 0
March 15, 2011 100 34 7 0 0 0
March 15, 2012 48 10 0 0 0 0
March 15, 2013 44 8 0 0 0 0
March 15, 2014 40 7 0 0 0 0
March 15, 2015 36 4 0 0 0 0
March 15, 2016 31 1 0 0 0 0
March 15, 2017 27 0 0 0 0 0
March 15, 2018 25 0 0 0 0 0
March 15, 2019 23 0 0 0 0 0
March 15, 2020 21 0 0 0 0 0
March 15, 2021 19 0 0 0 0 0
March 15, 2022 16 0 0 0 0 0
March 15, 2023 13 0 0 0 0 0
March 15, 2024 10 0 0 0 0 0
March 15, 2025 7 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 18.3 11.5 7.1 6.0 4.9 4.2
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class M-2F: $30,187,500.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 84 70 52 30
March 15, 2002 100 100 66 52 36 16
March 15, 2003 100 100 52 39 24 6
March 15, 2004 100 89 41 29 15 0
March 15, 2005 100 79 32 21 7 0
March 15, 2006 100 69 25 13 2 0
March 15, 2007 100 60 18 8 0 0
March 15, 2008 100 52 12 3 0 0
March 15, 2009 100 45 7 0 0 0
March 15, 2010 100 39 4 0 0 0
March 15, 2011 100 34 1 0 0 0
March 15, 2012 48 5 0 0 0 0
March 15, 2013 44 3 0 0 0 0
March 15, 2014 40 1 0 0 0 0
March 15, 2015 36 0 0 0 0 0
March 15, 2016 31 0 0 0 0 0
March 15, 2017 27 0 0 0 0 0
March 15, 2018 25 0 0 0 0 0
March 15, 2019 23 0 0 0 0 0
March 15, 2020 20 0 0 0 0 0
March 15, 2021 17 0 0 0 0 0
March 15, 2022 14 0 0 0 0 0
March 15, 2023 10 0 0 0 0 0
March 15, 2024 6 0 0 0 0 0
March 15, 2025 1 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 18.1 11.3 6.9 5.8 4.7 3.9
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class B-1F: $6,562,500.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 84 70 52 13
March 15, 2002 100 100 66 52 24 0
March 15, 2003 100 100 52 30 4 0
March 15, 2004 100 89 33 12 0 0
March 15, 2005 100 79 17 0 0 0
March 15, 2006 100 69 5 0 0 0
March 15, 2007 100 60 0 0 0 0
March 15, 2008 100 52 0 0 0 0
March 15, 2009 100 42 0 0 0 0
March 15, 2010 100 31 0 0 0 0
March 15, 2011 100 20 0 0 0 0
March 15, 2012 46 0 0 0 0 0
March 15, 2013 39 0 0 0 0 0
March 15, 2014 33 0 0 0 0 0
March 15, 2015 25 0 0 0 0 0
March 15, 2016 16 0 0 0 0 0
March 15, 2017 8 0 0 0 0 0
March 15, 2018 5 0 0 0 0 0
March 15, 2019 1 0 0 0 0 0
March 15, 2020 0 0 0 0 0 0
March 15, 2021 0 0 0 0 0 0
March 15, 2022 0 0 0 0 0 0
March 15, 2023 0 0 0 0 0 0
March 15, 2024 0 0 0 0 0 0
March 15, 2025 0 0 0 0 0 0
March 15, 2026 0 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 16.4 11.0 6.1 5.1 4.2 3.4
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class A-10: $251,100,000
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date:
----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 98 82 72 67 60 48
March 15, 1999 98 68 52 44 34 18
March 15, 2000 97 56 35 27 15 0
March 15, 2001 96 45 24 19 14 0
March 15, 2002 96 35 19 14 9 0
March 15, 2003 95 27 15 11 6 0
March 15, 2004 94 22 11 8 4 0
March 15, 2005 93 19 9 6 3 0
March 15, 2006 92 17 7 4 2 0
March 15, 2007 91 14 5 3 1 0
March 15, 2008 89 12 4 2 1 0
March 15, 2009 88 11 3 2 1 0
March 15, 2010 86 9 3 1 0 0
March 15, 2011 84 8 2 1 0 0
March 15, 2012 81 7 2 1 0 0
March 15, 2013 78 6 1 0 0 0
March 15, 2014 75 5 1 0 0 0
March 15, 2015 72 4 1 0 0 0
March 15, 2016 68 3 0 0 0 0
March 15, 2017 63 3 0 0 0 0
March 15, 2018 58 2 0 0 0 0
March 15, 2019 53 2 0 0 0 0
March 15, 2020 46 1 0 0 0 0
March 15, 2021 39 1 0 0 0 0
March 15, 2022 31 1 0 0 0 0
March 15, 2023 23 1 0 0 0 0
March 15, 2024 18 0 0 0 0 0
March 15, 2025 12 0 0 0 0 0
March 15, 2026 5 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 20.7 5.1 3.1 2.6 2.0 1.1
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class M-1A: $24,800,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 96 78 56 100
March 15, 2002 100 100 75 58 38 58
March 15, 2003 100 100 59 43 26 33
March 15, 2004 100 91 46 32 18 18
March 15, 2005 100 78 36 24 12 8
March 15, 2006 100 67 28 18 8 1
March 15, 2007 100 58 22 13 6 0
March 15, 2008 100 50 17 10 3 0
March 15, 2009 100 43 13 7 0 0
March 15, 2010 100 37 10 5 0 0
March 15, 2011 100 31 8 4 0 0
March 15, 2012 100 27 6 1 0 0
March 15, 2013 100 22 5 0 0 0
March 15, 2014 100 19 3 0 0 0
March 15, 2015 100 16 1 0 0 0
March 15, 2016 100 13 0 0 0 0
March 15, 2017 100 11 0 0 0 0
March 15, 2018 100 9 0 0 0 0
March 15, 2019 100 7 0 0 0 0
March 15, 2020 100 6 0 0 0 0
March 15, 2021 100 5 0 0 0 0
March 15, 2022 100 2 0 0 0 0
March 15, 2023 93 0 0 0 0 0
March 15, 2024 72 0 0 0 0 0
March 15, 2025 47 0 0 0 0 0
March 15, 2026 20 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 27.8 12.4 7.8 6.4 5.2 5.6
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class M-2A: $19,375,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 96 78 56 31
March 15, 2002 100 100 75 58 38 17
March 15, 2003 100 100 59 43 26 10
March 15, 2004 100 91 46 32 18 3
March 15, 2005 100 78 36 24 12 0
March 15, 2006 100 67 28 18 8 0
March 15, 2007 100 58 22 13 3 0
March 15, 2008 100 50 17 10 0 0
March 15, 2009 100 43 13 6 0 0
March 15, 2010 100 37 10 2 0 0
March 15, 2011 100 31 8 0 0 0
March 15, 2012 100 27 4 0 0 0
March 15, 2013 100 22 1 0 0 0
March 15, 2014 100 19 0 0 0 0
March 15, 2015 100 16 0 0 0 0
March 15, 2016 100 13 0 0 0 0
March 15, 2017 100 11 0 0 0 0
March 15, 2018 100 9 0 0 0 0
March 15, 2019 100 6 0 0 0 0
March 15, 2020 100 3 0 0 0 0
March 15, 2021 100 1 0 0 0 0
March 15, 2022 100 0 0 0 0 0
March 15, 2023 93 0 0 0 0 0
March 15, 2024 72 0 0 0 0 0
March 15, 2025 47 0 0 0 0 0
March 15, 2026 20 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 27.8 12.3 7.7 6.3 5.0 4.2
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Class B-1A: $14,725,000.00
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Distribution Date
Initial Percent 100 100 100 100 100 100
March 15, 1998 100 100 100 100 100 100
March 15, 1999 100 100 100 100 100 100
March 15, 2000 100 100 100 100 100 100
March 15, 2001 100 100 96 78 56 25
March 15, 2002 100 100 75 58 36 11
March 15, 2003 100 100 59 42 21 2
March 15, 2004 100 91 45 28 11 0
March 15, 2005 100 78 33 18 4 0
March 15, 2006 100 67 24 11 0 0
March 15, 2007 100 58 16 5 0 0
March 15, 2008 100 50 10 1 0 0
March 15, 2009 100 41 6 0 0 0
March 15, 2010 100 34 2 0 0 0
March 15, 2011 100 27 0 0 0 0
March 15, 2012 100 22 0 0 0 0
March 15, 2013 100 17 0 0 0 0
March 15, 2014 100 12 0 0 0 0
March 15, 2015 100 9 0 0 0 0
March 15, 2016 100 6 0 0 0 0
March 15, 2017 100 3 0 0 0 0
March 15, 2018 100 0 0 0 0 0
March 15, 2019 100 0 0 0 0 0
March 15, 2020 100 0 0 0 0 0
March 15, 2021 100 0 0 0 0 0
March 15, 2022 100 0 0 0 0 0
March 15, 2023 93 0 0 0 0 0
March 15, 2024 72 0 0 0 0 0
March 15, 2025 47 0 0 0 0 0
March 15, 2026 13 0 0 0 0 0
March 15, 2027 0 0 0 0 0 0
Avg Life In Years: 27.8 11.7 7.2 5.9 4.7 3.7
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-1: $81,000,000
Price: 99-31+ Coupon: 6.31
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.34 6.12 5.97 5.91 5.84 5.73
Average Life: 5.21 0.88 0.56 0.50 0.43 0.36
Duration: 4.12 0.83 0.54 0.48 0.42 0.35
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 3/07 11/98 3/98 2/98 12/97 11/97
-----------------------------------------------------------------------------
Class A-2: $65,800,000
Price: 99-31 Coupon: 6.39
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.45 6.37 6.30 6.27 6.24 6.19
Average Life: 12.58 2.31 1.32 1.15 0.97 0.80
Duration: 8.37 2.08 1.23 1.07 0.92 0.75
First Prin Pay: 3/07 11/98 3/98 2/98 12/97 11/97
Last Prin Pay: 12/11 3/00 11/98 9/98 6/98 3/98
-----------------------------------------------------------------------------
Class A-3: $113,400,000
Price: 99-31+ Coupon: 6.55
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.61 6.58 6.53 6.51 6.48 6.44
Average Life: 14.80 4.48 2.37 2.01 1.65 1.27
Duration: 9.20 3.75 2.13 1.83 1.51 1.18
First Prin Pay: 12/11 3/00 11/98 9/98 6/98 3/98
Last Prin Pay: 1/12 6/03 5/00 11/99 5/99 11/98
-----------------------------------------------------------------------------
Class A-4: $42,800,000
Price: 99-31 Coupon: 6.73
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 6.80 6.78 6.75 6.74 6.72 6.68
Average Life: 14.81 7.53 3.67 3.01 2.38 1.79
Duration: 9.10 5.71 3.15 2.64 2.13 1.63
First Prin Pay: 1/12 6/03 5/00 11/99 5/99 11/98
Last Prin Pay: 1/12 5/06 6/01 9/00 11/99 3/99
-----------------------------------------------------------------------------
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
-----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-5: $39,200,000
Price: 99-31 Coupon: 6.93
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.00 7.00 6.97 6.96 6.94 6.91
Average Life: 15.07 10.64 4.90 4.01 2.94 2.14
Duration: 9.07 7.28 4.02 3.39 2.57 1.92
First Prin Pay: 1/12 5/06 6/01 9/00 11/99 3/99
Last Prin Pay: 10/13 7/09 12/02 11/01 10/00 7/99
-----------------------------------------------------------------------------
Class A-6: $21,300,000
Price: 99-30+ Coupon: 7.10
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.18 7.18 7.16 7.15 7.14 7.10
Average Life: 17.82 13.27 6.25 5.01 3.84 2.44
Duration: 9.79 8.32 4.88 4.08 3.25 2.16
First Prin Pay: 10/13 7/09 12/02 11/01 10/00 7/99
Last Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
-----------------------------------------------------------------------------
Class A-7: $35,500,000
Price: 99-31+ Coupon: 7.32
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.41 7.40 7.39 7.38 7.37 7.32
Average Life: 22.28 14.77 9.06 6.96 4.92 2.77
Duration: 10.61 8.74 6.38 5.24 3.99 2.42
First Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
Last Prin Pay: 3/23 1/12 7/08 7/06 3/03 3/00
-----------------------------------------------------------------------------
Class A-8: $26,250,000
Price: 99-30 Coupon: 7.54
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.64 7.64 7.63 7.63 7.62 7.60
Average Life: 28.03 17.94 13.72 12.08 9.21 4.61
Duration: 11.29 9.43 8.24 7.61 6.32 3.74
First Prin Pay: 3/23 1/12 7/08 7/06 3/03 3/00
Last Prin Pay: 11/26 11/22 2/14 1/12 6/11 8/07
-----------------------------------------------------------------------------
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-9: $39,375,000
Price: 99-30+ Coupon: 7.05
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.12 7.12 7.11 7.11 7.11 7.11
Average Life: 11.94 8.03 6.79 6.53 6.28 6.20
Duration: 7.68 5.80 5.14 5.00 4.86 4.81
First Prin Pay: 4/00 4/00 4/00 5/00 7/00 1/01
Last Prin Pay: 1/12 1/12 1/12 1/12 4/11 5/07
-----------------------------------------------------------------------------
Class A-10: $251,100,000
Price: 100-00 Coupon: 5.63%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 20.69 5.10 3.15 2.60 2.00 1.15
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 12/26 10/24 2/18 11/14 3/11 2/07
-----------------------------------------------------------------------------
Class M-1F $23,625,000
Price: 99-30+ Coupon: 7.38
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.47 7.46 7.45 7.44 7.43 7.43
Average Life: 18.27 11.54 7.13 6.01 4.95 4.20
Duration: 9.52 7.33 5.15 4.53 3.91 3.46
First Prin Pay: 1/12 5/03 7/00 4/00 6/00 8/00
Last Prin Pay: 2/26 7/16 1/12 9/10 12/07 1/05
-----------------------------------------------------------------------------
Class M-2F $30,187,500
Price: 99-31 Coupon: 7.61
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 7.70 7.69 7.68 7.67 7.66 7.65
Average Life: 18.08 11.34 6.93 5.81 4.75 3.88
Duration: 9.34 7.18 5.03 4.41 3.77 3.22
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 5/00
Last Prin Pay: 6/25 9/14 7/11 4/09 10/06 3/04
-----------------------------------------------------------------------------
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class B-1F: $6,562,500
Price: 99-31+ Coupon: 7.92
-----------------------------------------------------------------------------
TO MATURITY
Bond Yield: 8.02 8.01 7.99 7.98 7.97 7.95
Average Life: 16.40 10.97 6.08 5.10 4.16 3.37
Duration: 8.82 6.94 4.58 3.99 3.39 2.85
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 4/00
Last Prin Pay: 8/19 1/12 9/06 2/05 7/03 10/01
-----------------------------------------------------------------------------
Class M-1A: $24,800,000
Price: 100-00 Coupon: 5.89%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.83 12.44 7.78 6.43 5.20 5.64
First Prin Pay: 11/22 8/03 1/01 5/00 7/00 4/01
Last Prin Pay: 11/26 3/23 9/15 9/12 5/09 5/06
-----------------------------------------------------------------------------
Class M-2A: $19,375,000
Price: 100-00 Coupon: 6.09%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.82 12.34 7.68 6.34 5.05 4.22
First Prin Pay: 11/22 8/03 1/01 5/00 5/00 8/00
Last Prin Pay: 10/26 8/21 10/13 1/11 1/08 12/04
-----------------------------------------------------------------------------
Class B-1A: $14,725,000
Price: 100-00 Coupon: 6.34%
-----------------------------------------------------------------------------
TO MATURITY
Average Life: 27.75 11.67 7.18 5.92 4.69 3.71
First Prin Pay: 11/22 8/03 1/01 5/00 4/00 4/00
Last Prin Pay: 8/26 6/18 12/10 8/08 2/06 7/03
-----------------------------------------------------------------------------
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class A-7: $35,500,000
Price: 99-31+ Coupon: 7.32
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.41 7.40 7.39 7.38 7.37 7.32
Average Life: 22.28 14.77 8.83 6.84 4.92 2.77
Duration: 10.61 8.74 6.27 5.18 3.99 2.42
First Prin Pay: 3/16 7/11 2/04 9/02 5/01 10/99
Last Prin Pay: 3/23 1/12 1/07 6/05 3/03 3/00
-----------------------------------------------------------------------------
Class A-8: $26,250,000
Price: 99-30 Coupon: 7.54
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.64 7.63 7.63 7.62 7.61 7.60
Average Life: 27.54 14.87 9.81 8.22 6.43 4.36
Duration: 11.23 8.65 6.70 5.92 4.92 3.58
First Prin Pay: 3/23 1/12 1/07 6/05 3/03 3/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class A-9: $39,375,000
Price: 99-30+ Coupon: 7.05
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.12 7.12 7.11 7.11 7.10 7.09
Average Life: 11.94 8.03 6.72 6.37 5.69 4.63
Duration: 7.68 5.80 5.11 4.91 4.52 3.82
First Prin Pay: 4/00 4/00 4/00 5/00 7/00 1/01
Last Prin Pay: 1/12 1/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class A-10: $251,100,000
Price: 100-00 Coupon: 5.63%
-----------------------------------------------------------------------------
TO CALL
Average Life: 20.59 4.77 2.94 2.43 1.87 1.13
First Prin Pay: 4/97 4/97 4/97 4/97 4/97 4/97
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class M-1F: $23,625,000
Price: 99-30+ Coupon: 7.38
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.47 7.46 7.45 7.44 7.43 7.42
Average Life: 18.23 11.28 6.57 5.51 4.54 3.91
Duration: 9.52 7.25 4.92 4.29 3.69 3.27
First Prin Pay: 1/12 5/03 7/00 4/00 6/00 8/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class M-2F: $30,187,500
Price: 99-31 Coupon: 7.61
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 7.70 7.69 7.68 7.67 7.66 7.65
Average Life: 18.08 11.27 6.57 5.51 4.50 3.70
Duration: 9.34 7.16 4.88 4.26 3.63 3.11
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 5/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class B-1F: $6,562,500
Price: 99-31+ Coupon: 7.92
-----------------------------------------------------------------------------
TO CALL
Bond Yield: 8.02 8.01 7.99 7.98 7.97 7.95
Average Life: 16.40 10.97 6.08 5.10 4.16 3.37
Duration: 8.82 6.94 4.58 3.99 3.39 2.85
First Prin Pay: 1/12 5/03 7/00 4/00 4/00 4/00
Last Prin Pay: 8/19 1/12 9/06 2/05 7/03 10/01
-----------------------------------------------------------------------------
Class M-1A: $24,800,000
Price: 100-00 Coupon: 5.89%
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.17 6.98 5.79 4.70 4.60
First Prin Pay: 11/22 8/03 1/01 5/00 7/00 4/01
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
- -----------------------------------------------------------------------------
Scenario: 1 2 3 4 5 6
Percent of Fixed Ramp: 0% 50% 100% 120% 150% 200%
ARM CPR: 0% 13% 21% 25% 31% 41%
-----------------------------------------------------------------------------
Class M-2A: $19,375,000
Price: 100-00 Coupon: 6.09%
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.17 6.98 5.79 4.62 3.95
First Prin Pay: 11/22 8/03 1/01 5/00 5/00 8/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
Class B-1A: $14,725,000
Price: 100-00 Coupon: 6.34%
-----------------------------------------------------------------------------
TO CALL
Average Life: 27.40 11.07 6.89 5.70 4.52 3.62
First Prin Pay: 11/22 8/03 1/01 5/00 4/00 4/00
Last Prin Pay: 3/25 2/12 1/07 6/05 9/03 12/01
-----------------------------------------------------------------------------
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Home Equity Loans - Summary
Number of Loans: 8,686
Outstanding Loan Balance: 524,923,376.08
Balloon (% of Total): 50.82%
Level Pay (% of Total): 49.18%
Average Principal Balance: 60,433.27
Weighted Average LTV: 72.76%
Weighted Average CLTV: 75.60%
Weighted Average Home Equity Ratio (2nd Liens): 39.43%
Weighted Average Coupon: 11.54%
Weighted Average Remaining Term (months): 221.49
Weighted Average Seasoning (months): 1.51
Weighted Average Original Term (months): 223.00
Range of Original Terms: Level Pay Balloons
------------------ --------
Up to 120: 1.95% Up to 120: 0.02%
121 - 180: 11.83% 121 - 180: 50.79%
181 - 240: 15.62%
241 - 300: 1.08%
301 - 360: 18.71%
Lien Position: 1st Lien: 93.80%
2nd Lien: 6.20%
Property Type: Single Family Detached: 85.89% 2 - 4 Family: 7.38%
Single Family Attached: 3.17% Other: 3.56%
Occupancy Status: Owner Occupied: 95.45%
Investor Owned: 4.55%
Geographic Distribution: MI: 8.69% IL: 6.44%
OH: 8.36% NC: 6.37%
NY: 7.91% FL: 6.12%
PA: 6.89% NJ: 5.92%
Credit Quality: A: 53.28%
B: 26.47%
C: 15.16%
D: 4.59%
Mixed Use: 0.49%
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Lien Position Distribution
Remaining Pct.
Lien Principal of
Position Balance Total Count
-------- --------- ----- -----
First Lien 492,364,706.29 93.80 7,723
Second Lien 32,558,669.79 6.20 963
TOTAL 524,923,376.08 100.00 8,686
Interest Rate Distribution
Remaining Pct.
Principal of
Range of Coupons Count Balance Total
-------------- ----- --------- -----
7.01 to 8.00 6 614,296.43 .12
8.01 to 9.00 200 16,147,707.31 3.08
9.01 to 10.00 1,079 80,879,972.41 15.41
10.01 to 11.00 1,979 139,449,027.24 26.57
11.01 to 12.00 1,977 122,389,104.57 23.32
12.01 to 13.00 1,554 85,930,098.58 16.37
13.01 to 14.00 931 43,764,823.20 8.34
14.01 to 15.00 508 20,607,292.52 3.93
15.01 to 16.00 273 10,206,390.54 1.94
16.01 to 17.00 123 3,432,834.07 .65
17.01 to 18.00 46 1,221,485.58 .23
18.01 to 19.00 8 190,446.90 .04
19.01 to 20.00 2 89,896.73 .02
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Remaining Principal Distribution
Range of Remaining Pct.
Remaining Principal of
Principal Count Balance Total
---------- ----- --------- -----
0.00 to 25000.00 1,285 24,583,580.75 4.68
25000.01 to 50000.00 3,045 114,720,862.93 21.86
50000.01 to 75000.00 2,164 132,466,209.47 25.24
75000.01 to 100000.00 1,033 89,373,151.90 17.03
100000.01 to 125000.00 559 62,470,709.28 11.90
125000.01 to 150000.00 277 37,863,628.84 7.21
150000.01 to 175000.00 147 23,766,261.89 4.53
175000.01 to 200000.00 72 13,474,229.35 2.57
200000.01 to 225000.00 39 8,291,621.54 1.58
225000.01 to 250000.00 28 6,619,459.11 1.26
250000.01 to 275000.00 10 2,622,441.34 .50
275000.01 to 300000.00 9 2,602,267.83 .50
300000.01 to 325000.00 11 3,474,302.98 .66
325000.01 to 350000.00 3 1,009,787.31 .19
350000.01 to 400000.00 3 1,172,361.56 .22
400000.01 to 450000.00 1 412,500.00 .08
TOTAL 8,686 524,923,376.08 100.00
Occupancy Status Distribution
Remaining Pct.
Occupancy Principal of
Status Count Balance Total
--------- ----- --------- -----
Investor Owned 515 23,867,091.73 4.55
Owner Occupied 8,171 501,056,284.35 95.45
TOTAL 8,686 524,923,376.08 100.00
Months of Seasoning Distribution
Remaining Pct.
Principal of
Range of Seasoning Count Balance Total
------------------- ----- --------- -----
0 to 1 4,662 279,813,901.93 53.31
2 to 12 4,021 245,011,886.73 46.68
13 to 24 3 97,587.42 .02
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
State Distribution by Mailing Address
Remaining Pct.
Principal of
State Count Balance Total
----- ----- ------- -----
Arizona 62 4,058,751.81 .77
Arkansas 83 3,986,462.69 .76
California 154 14,220,213.60 2.71
Colorado 93 6,348,599.37 1.21
Connecticut 72 5,184,563.00 .99
Delaware 19 1,275,133.03 .24
District of Columbia 29 2,206,411.03 .42
Florida 557 32,134,291.41 6.12
Georgia 224 13,256,202.44 2.53
Hawaii 5 888,672.08 .17
Idaho 28 1,780,939.25 .34
Illinois 558 33,780,549.72 6.44
Indiana 524 25,756,700.26 4.91
Iowa 52 1,735,836.07 .33
Kansas 48 2,344,996.58 .45
Kentucky 137 7,716,882.84 1.47
Louisiana 16 1,080,395.50 .21
Maine 7 329,975.16 .06
Maryland 301 22,013,802.45 4.19
Massachusetts 194 15,367,454.12 2.93
Michigan 1,015 45,635,105.08 8.69
Minnesota 82 4,943,774.62 .94
Mississippi 32 1,566,236.46 .30
Missouri 203 9,468,566.69 1.80
Montana 10 626,893.56 .12
Nebraska 29 1,369,114.38 .26
Nevada 26 2,247,653.71 .43
New Hampshire 18 1,347,080.42 .26
New Jersey 380 31,078,626.46 5.92
New Mexico 77 5,996,019.42 1.14
New York 474 41,532,101.66 7.91
North Carolina 637 33,447,157.70 6.37
North Dakota 1 65,200.00 .01
Ohio 759 43,855,075.71 8.36
Oklahoma 61 2,528,165.41 .48
Oregon 60 4,338,872.18 .83
Pennsylvania 589 36,175,849.49 6.89
Rhode Island 57 3,646,377.17 .70
South Carolina 214 10,172,865.58 1.94
Tennessee 184 11,136,410.68 2.12
Texas 90 5,498,173.88 1.05
Utah 109 8,589,716.47 1.64
Vermont 1 79,000.00 .02
Virginia 253 13,130,235.40 2.50
Washington 53 5,102,611.73 .97
West Virginia 14 539,497.36 .10
Wisconsin 95 5,340,162.45 1.02
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Property Type Distribution
Remaining Pct.
Property Principal of
Type Count Balance Total
-------- ----- --------- -----
Condominium 44 2,155,689.01 .41
Manufactured Housing 209 9,904,782.80 1.89
Mixed Use 25 2,338,600.57 .45
Planned Unit Development 45 4,280,552.01 .82
Single Family Attached 351 16,657,736.81 3.17
Single Family Detached 7,484 450,827,998.79 85.89
Two-to-Four Family 528 38,758,016.09 7.38
TOTAL 8,686 524,923,376.08 100.00
Remaining Term Distribution
Range of Remaining Pct.
Remaining Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 375 10,328,812.21 1.97
121 to 180 5,420 328,738,022.77 62.63
181 to 240 1,497 81,986,801.68 15.62
241 to 300 90 5,682,665.07 1.08
301 to 360 1,304 98,187,074.35 18.71
TOTAL 8,686 524,923,376.08 100.00
Original Term Distribution
Range of Remaining Pct.
Original Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 375 10,328,812.21 1.97
121 to 180 5,420 328,738,022.77 62.63
181 to 240 1,497 81,986,801.68 15.62
241 to 300 90 5,682,665.07 1.08
301 to 360 1,304 98,187,074.35 18.71
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Combined Loan to Value Ratio Distribution
Remaining Pct.
Principal of
Range of CLTV Balance Total Count
-------------- --------- ----- -----
5.01 to 10.00 97,706.48 .02 5
10.01 to 15.00 300,837.97 .06 13
15.01 to 20.00 785,724.63 .15 27
20.01 to 25.00 895,391.62 .17 38
25.01 to 30.00 1,944,266.86 .37 74
30.01 to 35.00 2,925,738.75 .56 95
35.01 to 40.00 4,353,825.56 .83 134
40.01 to 45.00 6,315,864.92 1.20 173
45.01 to 50.00 12,517,181.37 2.38 323
50.01 to 55.00 9,210,617.96 1.75 216
55.01 to 60.00 20,272,210.96 3.86 423
60.01 to 65.00 29,082,169.43 5.54 557
65.01 to 70.00 51,516,507.36 9.81 896
70.01 to 75.00 70,479,094.78 13.43 1,198
75.01 to 80.00 145,334,868.34 27.69 2,348
80.01 to 85.00 94,484,147.15 18.00 1,343
85.01 to 90.00 71,136,252.42 13.55 787
90.01 to 95.00 3,270,969.52 .62 36
TOTAL 524,923,376.08 100.00 8,686
Loan to Value Ratio Distribution
Remaining Pct.
Principal of
Range of LTV Count Balance Total
-------------- ----- --------- -----
5.01 to 10.00 39 738,193.85 .14
10.01 to 15.00 188 4,222,729.35 .80
15.01 to 20.00 260 7,394,616.87 1.41
20.01 to 25.00 219 6,407,036.31 1.22
25.01 to 30.00 191 6,293,247.05 1.20
30.01 to 35.00 164 5,693,745.35 1.09
35.01 to 40.00 167 6,351,184.01 1.21
40.01 to 45.00 186 7,142,198.82 1.36
45.01 to 50.00 333 13,118,906.22 2.50
50.01 to 55.00 214 9,757,942.70 1.86
55.01 to 60.00 397 19,611,938.38 3.74
60.01 to 65.00 525 28,107,746.41 5.36
65.01 to 70.00 803 48,091,415.23 9.16
70.01 to 75.00 1,076 66,458,251.78 12.66
75.01 to 80.00 2,088 137,062,978.87 26.11
80.01 to 85.00 1,070 85,711,155.40 16.33
85.01 to 90.00 733 69,538,365.34 13.25
90.01 to 95.00 33 3,221,724.14 .61
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Loan Purpose Distribution
<TABLE>
<CAPTION>
Remaining Pct.
Principal of
Purpose Count Balance Total
------- ----- --------- -----
<S> <C> <C> <C>
Debt Consolidation & Home Imp. Combo. 385 23,086,423.27 4.40
Debt Consolidation 6,669 395,689,441.98 75.38
Home Improvement 226 11,311,747.17 2.16
Other 527 34,169,416.02 6.51
Purchase 879 60,666,347.64 11.56
TOTAL 8,686 524,923,376.08 100.00
</TABLE>
Home Equity Ratio Distribution (Loans with 2nd Liens Only)
Remaining Pct.
Range of Home Principal of
Equity Ratio Balance Total Count
------------- --------- ----- -----
5.01 to 10.00 39,208.31 .12 3
10.01 to 15.00 1,109,843.51 3.41 56
15.01 to 20.00 3,351,768.55 10.29 152
20.01 to 25.00 5,117,715.89 15.72 184
25.01 to 30.00 4,434,796.75 13.62 150
30.01 to 35.00 3,583,015.86 11.00 106
35.01 to 40.00 2,656,680.75 8.16 75
40.01 to 45.00 2,817,880.74 8.65 59
45.01 to 50.00 1,207,247.48 3.71 27
50.01 to 55.00 875,609.58 2.69 22
55.01 to 60.00 1,638,065.85 5.03 31
60.01 to 65.00 1,104,322.94 3.39 20
65.01 to 70.00 1,062,827.74 3.26 22
70.01 to 75.00 536,142.07 1.65 10
75.01 to 80.00 871,768.47 2.68 14
80.01 to 85.00 744,163.19 2.29 13
85.01 to 90.00 595,866.10 1.83 10
90.01 to 95.00 559,767.95 1.72 5
95.01 to 100.00 251,978.06 .77 4
TOTAL 32,558,669.79 100.00 963
Number of Days Delinquent
Remaining Pct.
Days Principal of
Delinquent Count Balance Total
---------- ----- --------- -----
0 - 29 8,497 513,317,084.01 97.79
30 - 59 179 11,047,948.85 2.11
More than 59 10 558,343.22 .11
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Fixed Rate Loans
Debt to Income Ratio Distribution
Remaining Pct.
Principal of
Range of Debt to Income Ratio Count Balance Total
----------------------------- ----- --------- -----
0.00 to 5.00 5 380,900.27 .07
5.01 to 10.00 54 2,220,153.35 .42
10.01 to 15.00 200 7,891,207.57 1.50
15.01 to 20.00 441 19,033,884.19 3.63
20.01 to 25.00 719 34,813,824.57 6.63
25.01 to 30.00 934 50,132,905.20 9.55
30.01 to 35.00 1,151 66,101,915.94 12.59
35.01 to 40.00 1,356 82,781,475.84 15.77
40.01 to 45.00 1,676 109,095,266.02 20.78
45.01 to 50.00 1,919 135,199,008.83 25.76
50.01 to 55.00 218 16,134,525.78 3.07
55.01 to 60.00 13 1,138,308.52 .22
TOTAL 8,686 524,923,376.08 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Home Equity Loans - Summary
Number of Loans: 3,714
Outstanding Loan Balance: 310,076,283.93
Balloon (% of Total): 0.06%
Level Pay (% of Total): 99.94%
Adjustable (% of Total): 100.00%
ARM Adjustment Type: 3/27 2/28 6 Month
---- ---- -------
4.15% 25.67% 70.18%
Average Principal Balance: 83,488.50
Weighted Average LTV: 74.44%
Weighted Average Coupon: 10.22%
Weighted Average Gross Margin: 6.72%
Weighted Average Gross Life Cap: 16.50%
Weighted Average Periodic Cap: 1.05%
Weighted Average Remaining Term (months): 355.64
Weighted Average Seasoning (months): 2.33
Weighted Average Original Term (months): 357.96
Range of Original Terms: Level Pay Balloons
------------------ -----------------
Up to 120: 0.10% 121 - 180: 0.06%
121 - 180: 0.72%
181 - 240: 0.29%
241 - 300: 0.07%
301 - 360: 98.77%
Lien Position: 1st Lien: 100.00%
Property Type: Single Family Detached: 90.34% 2 - 4 Family: 4.38%
Single Family Attached: 1.18% Other: 4.10%
Occupancy Status: Owner Occupied: 95.98%
Investor Owned: 4.02%
Geographic Distribution: MI: 30.01% WA: 5.77%
CA: 13.13% IL: 5.25%
Credit Quality: A: 47.65%
B: 28.83%
C: 19.59%
D: 3.93%
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Lien Position Distribution
Remaining Pct. Pct.
Lien Principal of of
Position Balance Total Count Loans
-------- --------- ----- ----- ------
First Lien 310,076,283.93 100.00 3,714 100.00
TOTAL 310,076,283.93 100.00 3,714 100.00
Interest Rate Distribution
Remaining Pct.
Principal of
Range of Coupons Count Balance Total
---------------- ----- --------- -----
6.01 to 7.00 7 757,482.82 .24
7.01 to 8.00 69 7,827,708.05 2.52
8.01 to 9.00 381 43,049,571.99 13.88
9.01 to 10.00 1,091 102,025,158.05 32.90
10.01 to 11.00 1,162 90,214,809.78 29.09
11.01 to 12.00 653 45,515,359.10 14.68
12.01 to 13.00 217 13,609,562.61 4.39
13.01 to 14.00 78 4,434,690.25 1.43
14.01 to 15.00 44 2,020,964.30 .65
15.01 to 16.00 12 620,976.98 .20
TOTAL 3,714 310,076,283.93 100.00
Remaining Principal Distribution
Range of Remaining Pct.
Remaining Principal of
Principal Count Balance Total
---------- ----- --------- -----
0.00 to 25000.00 155 3,177,386.36 1.03
25000.01 to 50000.00 939 36,524,439.19 11.78
50000.01 to 75000.00 1,011 63,095,686.09 20.35
75000.01 to 100000.00 663 57,977,539.41 18.70
100000.01 to 125000.00 343 38,280,950.01 12.35
125000.01 to 150000.00 215 29,632,306.79 9.56
150000.01 to 175000.00 126 20,460,044.65 6.60
175000.01 to 200000.00 93 17,385,637.92 5.61
200000.01 to 225000.00 62 13,106,072.94 4.23
225000.01 to 250000.00 31 7,437,029.25 2.40
250000.01 to 275000.00 26 6,827,782.13 2.20
275000.01 to 300000.00 19 5,487,691.58 1.77
300000.01 to 325000.00 11 3,426,022.93 1.11
325000.01 to 350000.00 11 3,739,456.64 1.21
350000.01 to 400000.00 7 2,644,775.54 .85
400000.01 to 450000.00 2 873,462.50 .28
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
State Distribution by Mailing Address
Remaining Pct.
Principal of
State Count Balance Total
----- ----- ------- -----
Arizona 96 9,132,581.26 2.95
Arkansas 10 1,187,056.35 .38
California 290 40,721,277.90 13.13
Colorado 94 8,810,515.78 2.84
Connecticut 42 4,177,971.06 1.35
Delaware 1 189,818.19 .06
District of Columbia 4 354,278.08 .11
Florida 38 3,360,536.77 1.08
Georgia 27 2,326,958.89 .75
Hawaii 10 2,030,821.01 .66
Idaho 25 1,609,965.72 .52
Illinois 183 16,291,384.89 5.25
Indiana 119 6,865,561.16 2.21
Iowa 76 4,024,162.49 1.30
Kansas 54 2,530,929.32 .82
Kentucky 16 1,300,037.78 .42
Louisiana 4 377,601.36 .12
Maine 3 172,021.61 .06
Maryland 70 8,275,766.93 2.67
Massachusetts 19 2,440,050.48 .79
Michigan 1,386 93,052,614.49 30.01
Minnesota 33 2,669,590.96 .86
Missouri 59 4,201,349.20 1.36
Montana 6 616,758.43 .20
Nebraska 14 848,497.32 .27
Nevada 11 1,926,234.06 .62
New Hampshire 4 371,805.36 .12
New Jersey 26 2,962,440.56 .96
New Mexico 64 5,455,919.21 1.76
New York 38 3,678,776.38 1.19
North Carolina 22 1,839,012.06 .59
Ohio 186 13,068,700.91 4.22
Oklahoma 3 220,435.85 .07
Oregon 53 4,931,747.96 1.59
Pennsylvania 71 5,764,985.59 1.86
Rhode Island 8 696,976.92 .23
South Carolina 15 1,260,072.80 .41
Tennessee 31 3,252,863.02 1.05
Texas 76 6,750,079.70 2.18
Utah 148 14,291,400.26 4.61
Virginia 10 1,057,829.01 .34
Washington 164 17,893,274.53 5.77
West Virginia 22 963,734.41 .31
Wisconsin 80 5,902,703.17 1.90
Wyoming 3 219,184.74 .07
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Occupancy Status Distribution
Remaining Pct.
Occupancy Principal of
Status Count Balance Total
--------- ----- --------- -----
Investor Owned 168 12,469,009.11 4.02
Owner Occupied 3,546 297,607,274.82 95.98
TOTAL 3,714 310,076,283.93 100.00
Months of Seasoning Distribution
Remaining Pct.
Principal of
Range of Seasoning Count Balance Total
------------------- ----- --------- -----
0 to 1 930 76,237,844.82 24.59
2 to 12 2,783 233,793,983.15 75.40
13 to 24 1 44,455.96 .01
TOTAL 3,714 310,076,283.93 100.00
Property Type Distribution
Remaining Pct.
Property Principal of
Type Count Balance Total
-------- ----- --------- -----
Condominium 34 2,750,786.38 .89
Manufactured Housing 88 5,428,946.67 1.75
Planned Unit Development 34 4,548,041.84 1.47
Single Family Attached 49 3,651,170.75 1.18
Single Family Detached 3,357 280,114,233.00 90.34
Two-to-Four Family 152 13,583,105.29 4.38
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Remaining Term Distribution
Range of Remaining Pct.
Remaining Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 9 304,212.67 .10
121 to 180 57 2,403,893.33 .78
181 to 240 13 908,211.18 .29
241 to 300 2 201,150.00 .07
301 to 360 3,633 306,258,816.75 98.77
TOTAL 3,714 310,076,283.93 100.00
Original Term Distribution
Range of Remaining Pct.
Original Principal of
Terms Count Balance Total
--------- ----- --------- -----
0 to 120 9 304,212.67 .10
121 to 180 57 2,403,893.33 .78
181 to 240 13 908,211.18 .29
241 to 300 2 201,150.00 .07
301 to 360 3,633 306,258,816.75 98.77
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Loan to Value Ratio Distribution
Remaining Pct.
Principal of
Range of LTV Count Balance Total
-------------- ----- --------- -----
5.01 to 10.00 1 29,927.93 .01
10.01 to 15.00 4 139,394.31 .05
15.01 to 20.00 9 299,492.03 .10
20.01 to 25.00 7 322,625.72 .10
25.01 to 30.00 14 597,774.25 .19
30.01 to 35.00 23 896,633.56 .29
35.01 to 40.00 37 1,728,614.09 .56
40.01 to 45.00 39 2,605,400.15 .84
45.01 to 50.00 137 7,824,859.21 2.52
50.01 to 55.00 90 5,874,551.42 1.90
55.01 to 60.00 164 11,119,969.94 3.59
60.01 to 65.00 304 22,361,493.26 7.21
65.01 to 70.00 399 33,023,323.18 10.65
70.01 to 75.00 679 58,633,100.94 18.91
75.01 to 80.00 1,175 102,551,857.73 33.07
80.01 to 85.00 521 50,198,039.80 16.19
85.01 to 90.00 110 11,809,765.69 3.81
90.01 to 95.00 1 59,460.72 .02
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Margin Rate Distribution
Remaining Pct.
Principal of
Range of Margins Balance Total Count
----------------- --------- ----- -----
0.00 to 3.99 572,946.72 .18 7
4.00 to 4.99 8,633,119.16 2.78 72
5.00 to 5.99 74,411,337.44 24.00 699
6.00 to 6.99 103,362,155.55 33.33 1,205
7.00 to 7.99 86,793,931.42 27.99 1,173
8.00 to 8.99 28,704,184.14 9.26 433
9.00 to 9.99 6,611,610.87 2.13 108
10.00 to 10.99 986,998.63 .32 17
TOTAL 310,076,283.93 100.00 3,714
Next Coupon Change
Remaining Pct.
Change Principal of
Date Count Balance Total
------ ----- --------- -----
April 1997 136 11,617,609.49 3.75
May 1997 697 55,973,452.05 18.05
June 1997 793 61,348,651.25 19.79
July 1997 689 52,556,804.97 16.95
August 1997 347 26,163,849.87 8.44
September 1997 111 9,396,008.08 3.03
October 1997 1 138,613.14 .05
December 1997 1 87,617.45 .03
May 1998 1 55,931.17 .02
July 1998 1 89,755.56 .03
September 1998 8 901,155.03 .29
October 1998 26 2,207,957.81 .71
November 1998 156 14,831,392.51 4.78
December 1998 224 21,519,316.86 6.94
January 1999 224 23,516,085.59 7.58
February 1999 127 12,395,185.05 4.00
March 1999 40 3,992,455.00 1.29
August 1999 1 208,000.00 .07
October 1999 6 571,454.53 .18
November 1999 14 1,298,337.11 .42
December 1999 36 3,875,485.21 1.25
January 2000 35 3,603,889.16 1.16
February 2000 32 2,892,102.04 .93
March 2000 8 835,175.00 .27
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
Loan Purpose Distribution
Remaining Pct.
Principal of
Purpose Count Balance Total
------- ----- --------- -----
Debt Consolidation & Home Imp. Combo. 199 16,923,716.10 5.46
Debt Consolidation 2,606 207,412,930.25 66.89
Home Improvement 118 7,655,454.59 2.47
Other 220 19,576,580.40 6.31
Purchase 571 58,507,602.59 18.87
TOTAL 3,714 310,076,283.93 100.00
Periodic Cap Distribution
Remaining Pct.
Periodic Principal of
Cap Count Balance Total
------- ----- --------- -----
1.000 3,462 281,410,007.90 90.76
1.250 2 503,008.14 .16
1.500 236 27,006,250.52 8.71
3.000 13 1,031,240.04 .33
6.000 1 125,777.33 .04
TOTAL 3,714 310,076,283.93 100.00
Life Cap Distribution
Remaining Pct.
Principal of
Range of Lifecaps Count Balance Total
----------------- ----- --------- -----
12.01 to 13.00 5 405,104.76 .13
13.01 to 14.00 46 4,658,714.72 1.50
14.01 to 15.00 257 27,746,093.78 8.95
15.01 to 16.00 983 92,064,760.00 29.69
16.01 to 17.00 1,190 97,471,154.08 31.44
17.01 to 18.00 787 57,968,500.72 18.70
18.01 to 19.00 271 19,365,512.15 6.25
19.01 to 20.00 104 7,042,277.08 2.27
20.01 to 21.00 55 2,600,452.11 .84
21.01 to 22.00 12 577,073.77 .19
22.01 to 23.00 4 176,640.76 .06
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
<PAGE>
ContiMortgage 1997-2 Computational Materials
Adjustable Rate Loans
First Period Cap Distribution
First Remaining Pct.
Period Principal of
Category Cap Count Balance Total
-------- ------ ----- --------- -----
Different 1st and Regular .600 1 152,850.45 .05
1.000 2 187,527.33 .06
1.500 1 159,815.21 .05
2.000 5 362,068.04 .12
3.000 859 85,278,533.61 27.50
6.000 22 1,770,077.20 .57
10.000 1 49,951.85 .02
Same First and Regular 1.000 2,751 214,518,832.73 69.18
1.250 2 503,008.14 .16
1.500 57 6,062,379.33 1.96
3.000 13 1,031,240.04 .33
TOTAL 3,714 310,076,283.93 100.00
Rate Change Frequency Distribution
Remaining Pct.
Initial Principal of
Frequency Count Balance Total
--------- ----- --------- -----
2/28 807 79,582,295.43 25.67
3/27 129 12,873,572.86 4.15
6 Months 2,778 217,620,415.64 70.18
TOTAL 3,714 310,076,283.93 100.00
Credit Grade Distribution
Remaining Pct.
Credit Principal of
Grade Count Balance Total
------ ----- --------- -----
A 1,528 147,746,164.42 47.65
B 1,091 89,402,351.74 28.83
C 872 60,740,806.59 19.59
D 223 12,186,961.18 3.93
TOTAL 3,714 310,076,283.93 100.00
Debt to Income Ratio Distribution
Remaining Pct.
Principal of
Range of Debt to Income Ratio Count Balance Total
----------------------------- ----- --------- -----
0.00 to 5.00 1 128,226.30 .04
5.01 to 10.00 17 1,587,001.00 .51
10.01 to 15.00 56 2,925,721.04 .94
15.01 to 20.00 170 10,147,280.50 3.27
20.01 to 25.00 316 21,571,644.34 6.96
25.01 to 30.00 408 29,253,884.42 9.43
30.01 to 35.00 453 35,388,708.69 11.41
35.01 to 40.00 601 50,629,294.35 16.33
40.01 to 45.00 733 64,310,532.53 20.74
45.01 to 50.00 777 72,660,558.44 23.43
50.01 to 55.00 162 18,896,511.68 6.09
55.01 to 60.00 20 2,576,920.64 0.83
TOTAL 3,714 310,076,283.93 100.00
NOTE: Percentage may not add to 100.00% due to rounding.
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 MARKETS, INC.
