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 19, 1998
CONTISECURITIES ASSET FUNDING CORP.
(Exact name of registrant as specified in its charter)
DELAWARE 333-39505 13-2937238
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) ID Number)
3811 WEST CHARLESTON BOULEVARD, LAS VEGAS, NEVADA 89102
(Address of principal executive offices) (Zip Code)
Registrant's Telephone Number, including area code: (702)822-5386
277 PARK AVENUE, NEW YORK, NEW YORK 10172
(Former name or former address, if changed since last report)
<PAGE>
Item 5. OTHER EVENTS
FILING OF COMPUTATIONAL MATERIALS AND CONSENT OF INDEPENDENT ACCOUNTANTS.
This Current Report on Form 8-K is being filed to file a copy of the
Final Computational Materials (as defined below) prepared by Bear Stearns & Co.
Inc. as an underwriter, in connection with the issuance by ContiMortgage Home
Equity Loan Trust 1998-1 of Home Equity Loan Pass-Through Certificates, Series
1998-1. The term "Computational Materials" shall have the meaning given in the
No-Action Letter of May 20, 1994 issued by the Securities and Exchange
Commission (the "SEC") to Kidder, Peabody Acceptance Corporation I, Kidder,
Peabody & Co. Incorporated and Kidder Structured Asset Corporation, as made
applicable to other issuers and underwriters by the Commission in response to
the request of the Public Securities Association dated May 24, 1994, and as
supplemented in the No-Action Letter of February 17, 1995 issued by the SEC to
the Public Securities Association.
Item 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Computational Materials
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
CONTISECURITIES ASSET FUNDING CORP.,
as Depositor
By:/s/ Susan E. O'Donovan
Name: Susan E. O'Donovan
Title: Authorized Signatory
Dated: March 16, 1998
<PAGE>
EXHIBIT INDEX
EXHIBIT PAGE
99.1 Computational Materials
Exhibit 99.1
BEAR STEARNS BEAR, STEARNS & CO. INC.
ATLANTA o BOSTON o CHICAGO ASSET-BACKED SECURITIES GROUP
DALLAS o LOS ANGELES o NEW YORK o SAN FRANCISCO 245 Park Avenue
FRANKFORT o GENEVA o HONG KONG New York, N.Y. 10167
LONDON o PARIS o TOKYO (212) 272-2000; (212) 272-7294 fax
FAX TRANSMITTAL
Computational Material
CONTIMORTGAGE HOME EQUITY LOAN TRUST, SERIES 1998-1
- -------------------------------------------------------------------------------
FAX TO: DATE:
COMPANY: # PAGES (incl. cover):
FAX NO: PHONE NO:
- -------------------------------------------------------------------------------
FROM: PHONE NO:
- -------------------------------------------------------------------------------
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER
INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by Bear Stearns, not as agent for any issuer, and
although it may be based on data supplied to it by an issuer, the issuer has not
participated in its preparation and makes no representations regarding its
accuracy or completeness. Should you receive Information that refers to the
"Statement Regarding Assumptions and Other Information," please refer to this
statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to significant
factors that may prove not to be as assumed. You should understand the
assumptions and evaluate whether they are appropriate for your purposes.
Performance results are based on mathematical models that use inputs to
calculate results. As with all models, results may vary significantly depending
upon the value of the inputs given. Inputs to these models include but are not
limited to: prepayment expectations (economic prepayment models, single expected
lifetime prepayments or a vector of periodic prepayments), interest rate
assumptions (parallel and nonparallel changes for different maturity
instruments), collateral assumptions (actual pool level data, aggregated pool
level data, reported factors or imputed factors), volatility assumptions
(historically observed or implied current) and reported information (paydown
factors, rate resets, and trustee statements). Models used in any analysis may
be proprietary making the results difficult for any third party to reproduce.
Contact your registered representative for detailed explanations of any modeling
techniques employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of these
securities should be tested as assumptions different from those included in the
Information. The assumptions underlying the Information, including structure and
collateral, may be modified from time to time to reflect changed circumstances.
Any investment decision should be based only on the data in the prospectus and
the prospectus supplement or private placement memorandum (Offering Documents)
and the then current version of the Information. Offering Documents contain data
that is current as of their publication dates and after publication may no
longer be complete or current.. Contact your registered representative for
Offering Documents, current Information or additional materials, including other
models for performance analysis, which are likely to produce different results,
and any further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a) represent
our view, at the time determined, of the investment value of the securities
between the estimated bid and offer levels, the spread between which may be
significant due to market volatility or illiquidity, (b) do not constitute a bid
by any person for any security, (c) may not constitute prices at which the
securities could have been purchased or sold in any market, (d) have not been
confirmed by actual trades, may vary from the value Bear Stearns assigns any
such security while in its inventory, and may not take into account the size of
a position you have in the security, and (e) may have been derived from matrix
pricing that uses data relating to other securities whose prices are more
readily ascertainable to produce a hypothetical price based on the estimated
yield spread relationship between the securities.
GENERAL INFORMATION: The data underlying the Information has been obtained from
sources that we believe are reliable, but we do not guarantee the accuracy of
the underlying data or computations based thereon. Bear, Stearns. and/or
individuals thereof may have positions in these securities while the Information
is circulating or during such period may engage in transactions with the issuer
or its affiliates. We act as principal in transactions with you, and
accordingly, you must determine the appropriateness for you of such transactions
and address any legal, tax, or accounting considerations applicable to you. Bear
Stearns shall not be a fiduciary or advisor unless we have agreed in writing to
receive compensation specifically to act in such capacities. If you are subject
to ERISA, the Information is being furnished on the condition that it will not
form a primary basis for any investment decision. The Information is not a
solicitation of any transaction in securities which may be made only by
prospectus (and the prospectus supplement) when required by law, in which event
you may obtain such prospectus from Bear Stearns.
<PAGE>
<TABLE>
<CAPTION>
Principal Windows
Class Description Rating Size (6) %Pool First Last Window WAL Pricing Day Count
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 Fixed Money Market P-1/F-1+/A-1+ $103.075 6.06% 1 6 6 0.31 Maturity Act/360
A-2(1) Fixed Seq. PAC Aaa/AAA.AAA $340.466 20.03% 7 17 11 0.95 Maturity 30/360
A-3(1) Fixed Seq. PAC Aaa/AAA.AAA $369.608 21.74% 17 33 17 2.01 Maturity 30/360
A-4 Fixed Seq. PAC Aaa/AAA.AAA $126.682 7.45% 33 43 11 3.08 Maturity 30/360
A-5 Fixed Seq. PAC Aaa/AAA.AAA $121.211 7.13% 43 55 13 4.01 Maturity 30/360
A-6 Fixed Seq. PAC Aaa/AAA.AAA $ 80.668 4.75% 55 69 15 5.10 Maturity 30/360
A-7 Fixed Seq. PAC Aaa/AAA.AAA $110.490 6.50% 69 129 61 7.40 Maturity 30/360
A-8(2) LIBOR Seq. COMP. Aaa/AAA.AAA $ 26.231 1.54% 6 37 32 1.30 Call/Mat Act/360
A-9(3) Auction Rate Seq. COMP. Aaa/AAA.AAA $192.425 11.32% 37 178 142 7.53 Maturity Act/360
A-10(2) LIBOR Floater Aaa/AAA.AAA $171.344 10.08% 1 87/178 87/178 2.56/2.67 Call/Mat Act/360
B Fixed Subordinate Baa3/BBB/BBB $ 57.800 3.40% 37 111 75 5.06 Maturity 30/360
A-11 IO(5) Interest Only Aaa/AAA.AAAr -- -- 1 30 30 Maturity 30/360
----------
$1,700.00
(1) A portion or all of the Class A-2 and Class A-3 Certificates may be swapped and issued as LIBOR- based Certificates.
(2) Claa A-8 and Class A-10 Certificates are priced to call. The spread to LIBOR for the Class A-8 and Class A-10 Certificates
doubles after the clean-up call date.
(3) The Auction Rate Certificates will be sole managed by Merrill Lynch.
(4) The Class A-10 LIBOR Floater is collateralized by a separate ARM collateral group.
All the other Certificates will be collateralized by a combined group of ARM and fixed-rate collateral.
(5) The Class A-11 IO will be sole managed by Bear Stearns.
(6) Classes are based upon collateral from 2/23/98 Statistical calculation Date. See "Pricing Prepayment Speed" on following page.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not rexceived the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
SUMMARY OF TERMS
SELLER AND SERVICER: ContiMortgage Corporation.
TRUSTEE: Manufacturers and Traders Trust Company.
UNDERWRITERS: Bear Stearns & Co. Inc. (lead manager), ContiFinancial
Services Corp., Credit Suisse First Boston, Greenwich
Capital Markets, Inc., Merrill Lynch & Co., Morgan
Stanley Dean Witter, and Nomura Securities
International, Inc. (co-managers).
FIXED RATE CERTIFICATES: All the "AAA" Fixed Rate Certificates with the
exception of the Class A-1 will be Planned Amortization
Class ("PAC") Certificates. The PAC classes will pay
principal according to a specified amortization
schedule. The "BBB" Fixed Rate Certificates will not be
a PAC class and will provide credit support to the
"AAA" Fixed and Floating Rate Certificates.
FLOATING RATE
CERTIFICATES: There will be [five] classes of Floating Rate
Certificates, each of which is rated "AAA": [the Class
A-2 and A-3 up to PAC Certificates (which may be
swapped to LIBOR)], the Class A-8 LIBOR Companion, the
Class A-9 Auction Rate Companion, and the separate
Class A-10 LIBOR certificate collateralized by a
separate pool of ARMs.
[GRANTOR TRUST
CERTIFICATES: ContiMortgage may choose to include a swap of the Class
A-2 and Class A-3 REMIC Certificates. In this case, the
Class A-2 and Class A-3 REMIC Certificates will be
deposited into ContiMortgage Grantor Trust, Series
1998-A (the "Grantor Trust"). Simultaneously to the
deposit of the Class A-2 and Class A-3 REMIC
Certificates, Bear Stearns will enter into a swap
agreement with, and the Certificate Insurer will issue
an insurance policy for, the Grantor Trust. Under the
Bear Stearns Swap Agreement, Bear Stearns will be
entitled to receive the fixed rate coupon of the Class
A-2 and Class A-3 REMIC Certificates, respectively, and
be obligated to pay a floating rate of interest on the
outstanding principal balance of the Class A-2 and
Class A-3 REMIC Certificates, respectively. The Grantor
Trust will issue Class A-1 and Class A-2 Certificates
with i) principal balances equal to the Class A-2 and
Class A-3 REMIC Certificate balances respectively and
ii) with a floating rate coupon for the Class A-1 and
Class A-2 Certificates, respectively.]
PRICING PREPAYMENT
SPEED: FIXED RATE GROUP: 130% of the prepayment assumption
("PPC") will be applied for pricing purposes. 100% PPC
describes prepayments starting at 4.0% CPR in month 1,
increasing by 1.455% CPR per month to 20% CPR in month
12, and remaining at 20% CPR thereafter.
ADJUSTABLE RATE GROUP: 100% of the prepayment
assumption ("PPC") will be applied for pricing
purposes. 100% PPC describes prepayments starting at
4.0% CPR in month 1, increasing by 1.824% CPR per month
to 35% CPR in month 18, and remaining at 35% CPR
thereafter.
PRICING DATE: [March 5, 1998].
CUT-OFF DATE: Close of Business, March 20, 1998.
EXPECTED SETTLEMENT: March 26, 1998 through DTC and Euroclear or CEDEL.
DISTRIBUTION DATES: The 15th of each month, beginning April 1998.
OPTIONAL CALL: 10% Clean-up call (10% of original aggregate loan balances).
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
SUMMARY OF TERMS (CONT.)
[CAPITALIZED INTEREST
ACCOUNT: On the Closing Date, cash will be deposited in a trust
account (the "Capitalized Interest Account") in the
name of, and maintained by, the Trustee on behalf of
the Trust. The amount on deposit in the Capitalized
Interest Account, including the reinvestment income
thereon, will be used by the Trustee to fund the
excess, if any, of i) the sum of the amount of interest
accruing during the first Accrual Period at the
weighted average pass through rate of the Fixed Rate
Certificates and the Adjustable Rate Certificates over
the excess of ii) the actual collections of interest
during the related Accrual Period from Loan Group I and
Loan Group II less the sum of the Trustee Fee,
Servicing Fee, Certificate Insurer Fee, Auction Agent
Fee and Broker-Dealer Fee.]
AVAILABLE FUNDS CAP: The Pass-Through Rate with respect to the
adjustable-rate Class A-8 LIBOR and Class A-9 Auction
Rate companion certificates and the fixed-rate Class
A-4 through A-7 PAC certificates will on any payment
date equal the lesser of (x) the Pass-Through Rate for
such Class and (y) the weighted average Coupon Rate of
the Loan Group I Home Equity Loans as of the opening of
business on the first day of the related Remittance
Period, less the sum of (i) approximately [0.58%] per
annum, (ii) after the 6th payment date, 0.50% per
annum, (iii) an amount, expressed as an annual
percentage rate of the outstanding aggregate Loan
Balance of the Loan Group I Home Equity Loans as of the
opening of business on the first day of the related
Remittance Period, equal to the Auction Agent Fee and
the Broker- Dealer Fee for the Class A-9 Auction Rate
companion certificates and (iv), for the 1st through
30th Payment Dates, the product of (a) [6.50]% per
annum and (b) the Class A-11 IO Notional Principal
Amount divided by the outstanding aggregate Loan
Balance of the Loan Group I Home Equity Loans as of the
opening of business on the first day of the related
Remittance Period.
The Pass-Through Rate with respect to the Class A-10
LIBOR Adjustable Rate Certificates will on any payment
date equal the lesser of (x) the Pass-Through Rate for
such Class and (y) the weighted average Coupon Rate of
the Loan Group II Home Equity Loans as of the opening
of business on the first day of the related Remittance
Period, less the sum of (i) approximately [0.58%] per
annum and (ii) after the 6th payment date, 0.50% per
annum.
The Pass-Through Rate with respect to the Class B
Certificates will on any payment date equal the lesser
of (A) the Pass-Through Rate for the Class B
Certificates and (B) the lesser of (a) clause (y) from
the preceding paragraph and (b) clause (y) from the
second preceding paragraph.
TAX STATUS: REMIC (except for the Class A-2 and Class A-3
Certificates which, in the event a swap is used, will
be Grantor Trust Certificates).
ERISA ELIGIBILITY: The Class A certificates are ERISA eligible.
SMMEA ELIGIBILITY: Only the Class A-10 certificates are expected to be
SMMEA eligible.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
TRANSACTION STRUCTURE OVERVIEW
Certificates will be collateralized by loans from 3 collateral pools (fixed-rate
pool, adjustable-rate pool 1 and adjustable- rate pool 2) separated into
two groups ("Loan Groups"):
- LOAN GROUP I will include all of the fixed rate collateral and the
adjustable-rate pool 1, consisting of 2/28 and 3/27 hybrid loans
- LOAN GROUP II will include adjustable-rate pool 2, consisting of 2/28
hybrid loans and 6-month LIBOR loans
COLLATERAL CASH FLOWS FROM LOAN GROUP I WILL BE PRIORITIZED TO PAY THE PAC AND
COMPANION CERTIFICATES; COLLATERAL CASH FLOWS FROM LOAN GROUP II WILL BE
PRIORITIZED TO PAY THE CLASS A-10 LIBOR CERTIFICATE; LOAN GROUP I AND LOAN GROUP
II WILL BE CROSS-COLLATERALIZED FOR THE PURPOSES OF ATTAINING A SINGLE OC TARGET
AND PAYING DOWN THE SINGLE CLASS OF SUBORDINATED CLASS B CERTIFICATES.
- - Principal Collections on each Loan Group (including accelerated cash to
build to overcollateralization target) will be allocated as outlined below:
PRIOR TO THE STEPDOWN DATE:
LOAN GROUP I:
100% of the Loan Group I principal collections (including excess interest
until the Targeted Overcollateralization Amount is reached) will be
allocated (as described on page 6 under "Principal Cashflow Priority") to
the Class A-1 through Class A-9 certificates.
LOAN GROUP II:
100% of the Loan Group II principal collections (including excess interest
until the Targeted Overcollateralization Amount is reached) will be
allocated to the Class A-10 certificates.
WITH RESPECT TO ANY PAYMENT DATE, TO THE EXTENT THE SENIOR ENHANCEMENT
PERCENTAGE FOR LOAN GROUP I OR LOAN GROUP II EQUALS OR EXCEEDS THE SENIOR
SPECIFIED ENHANCEMENT PERCENTAGE FOR THE RESPECTIVE LOAN GROUPS, SUCH
PRINCIPAL (INCLUDING EXCESS INTEREST UNTIL THE TARGETED
OVERCOLLATERALIZATION AMOUNT IS REACHED) WILL BE APPLIED TO THE OTHER LOAN
GROUP UNTIL THE SENIOR ENHANCEMENT PERCENTAGE EQUALS THE RESPECTIVE SENIOR
SPECIFIED ENHANCEMENT PERCENTAGE FOR THE OTHER LOAN GROUP. THERE WILL BE
ONLY ONE STEPDOWN DATE AND THE SENIOR SPECIFIED ENHANCEMENT WILL BE THE
SAME FOR EACH LOAN GROUP.
ON AND AFTER THE STEPDOWN DATE:
LOAN GROUP I:
Loan Group I principal collections (including excess interest) will be
allocated to the Class A-1 through Class A-9 certificates such that the
Loan Group I Senior Optimal Balance is maintained.
LOAN GROUP II:
Loan Group II principal collections (including excess interest) will be
allocated to the Class A-10 certificates such that the Loan Group II Senior
Optimal Balance is maintained.
THE SENIOR OPTIMAL BALANCE WILL BE THE SAME FOR EACH LOAN GROUP.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
TRANSACTION STRUCTURE OVERVIEW (CONT.)
- - Certificate Insurer will wrap the Class A Certificates only.
- - Class A-1 will be a rated P-1/ A-1+/ F-1 and will receive 100% of the Loan
Group I principal collections until retired, resulting in an expected
principal lock-out period of approximately 5 months for the Class A-2
through the A-7 PAC bonds and the Class A-8 LIBOR Companion and Class A-9
Auction Rate Companion bonds.
- - The Class A-2 through Class A-7 Certificates will be PAC Certificates:
1) The Class A-2 through A-7 PAC Certificates will pay principal
sequentially according to an expected amortization schedule.
2) The PAC prepayment bands are expected to be:
- FRMs - 125% PPC to 175% PPC
- ARMs - 95% PPC to 130% PPC
- - The Class A-8 and Class A-9 Adjustable Rate Certificates will be Companion
bonds, with the Class A-9 coupon determined pursuant to monthly Auction
Rate Procedures.
The Class A-11 IO interest will be i) calculated on the basis of a Notional
Principal Balance equal to the aggregate principal balance of the Class A-6 and
Class A-7 Certificates, and ii) payable only from the 1st through 30th Payment
Dates at a Pass- Through Rate equal to 6.50% per annum.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
CREDIT ENHANCEMENT
COMPONENTS
- - CLASS A CREDIT ENHANCEMENT:
1. Excess cash;
2. Overcollateralization building up to a requirement of 1.30% of
the aggregate original loan balance;
3. Subordination of Class B certificates, totaling 3.40% of the aggregate
original loan balance;
4. Certificate Insurer surety.
- - CLASS B CREDIT ENHANCEMENT:
1. Excess cash;
2. Overcollateralization building up to a requirement of 1.30% of the
aggregate original loan balance.
EXCESS CASH
Excess cash will equal the difference between the interest payments received on
the aggregate home equity loans net of the Servicing Fee, Trustee Fee,
Certificate Insurer Fee, Auction Agent Fee and Broker-Dealer Fee (for the Class
A-8 only), and Certificate Interest.
OVERCOLLATERALIZATION
THE TARGETED OVERCOLLATERALIZATION AMOUNT MEANS:
1. Before the Stepdown Date, overcollateralization initially builds to 1.30%
of the aggregate original loan balance of the Loan Group I and II (subject
to the Certificate Insurer performance triggers). TO THE EXTENT THE SENIOR
SPECIFIED ENHANCEMENT PERCENTAGE IS ATTAINED FOR ONE LOAN GROUP AND NOT FOR
THE OTHER, EXCESS CASH WILL BE REDIRECTED TO HELP ATTAIN THE TARGET FOR THE
OTHER LOAN GROUP;
2. On and after the Stepdown Date, and so long as no trigger event is in
effect, the overcollateralization will step down monthly to 2.795% of the
outstanding aggregate loan balance of Loan Group I and II;
3. The overcollateralization step down will be subject to a floor of 0.50% of
the aggregate original loan balance of Loan Groups I and II (subject to
Certificate Insurer trigger events).
4. There will be no funding of the overcollateralization for the first 6
months of the transaction (until October 15, 1998).
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
PRINCIPAL CASHFLOW PRIORITY
- - PRINCIPAL COLLECTIONS (INCLUDING ACCELERATED CASH TO BUILD
OVERCOLLATERALIZATION) WILL BE ALLOCATED BY LOAN GROUP IN THE REPAYMENT OF
PRINCIPAL ON THE BONDS IN THE FOLLOWING PRIORITY PRIOR TO THE STEPDOWN DATE
IF NO TRIGGER EVENT IS IN EFFECT:
PRINCIPAL FROM LOAN GROUP I PRINCIPAL FROM LOAN GROUP II
1. First to the Class A-1 until 1. First to the Class A-10 until the
the balance is reduced to zero balance is reduced to zero;
and then sequentially to the PAC
Classes A-2 through A-7, to their
scheduled balance;
2. Remaining principal sequentially to
the Class A-8 LIBOR Floater Companion
and then the Class A-9 Auction Rate Floater
companion until retired;
3. Remaining principal sequentially to the PAC
Classes A-2 through A-7, until retired;
------------------------------------------------------------------------
WITH RESPECT TO ANY PAYMENT DATE, TO THE EXTENT THE SENIOR ENHANCEMENT
PERCENTAGE FOR LOAN GROUP I OR LOAN GROUP II EQUALS OR EXCEEDS THE SENIOR
SPECIFIED ENHANCEMENT PERCENTAGE FOR THE RESPECTIVE LOAN GROUPS, SUCH
PRINCIPAL (INCLUDING EXCESS INTEREST UNTIL THE TARGETED
OVERCOLLATERALIZATION AMOUNT IS REACHED) WILL BE APPLIED TO THE OTHER LOAN
GROUP UNTIL THE SENIOR ENHANCEMENT PERCENTAGE EQUALS THE RESPECTIVE SENIOR
SPECIFIED ENHANCEMENT PERCENTAGE FOR THE OTHER LOAN GROUP. THERE WILL BE
ONLY ONE STEPDOWN DATE AND THE SENIOR SPECIFIED ENHANCEMENT WILL BE THE
SAME FOR EACH LOAN GROUP.
-------------------------------------------------------------------------
- - PRINCIPAL COLLECTIONS (INCLUDING ACCELERATED CASH TO BUILD
OVERCOLLATERALIZATION) WILL BE ALLOCATED BY LOAN GROUP IN THE REPAYMENT OF
PRINCIPAL ON THE BONDS IN THE FOLLOWING PRIORITY ON AND AFTER THE STEPDOWN
DATE IF NO TRIGGER EVENT IS IN EFFECT:
A First, determine the "AAA" Principal Distribution Amount per the
Subordination Test (as described below); and then:
PRINCIPAL FROM LOAN GROUP I PRINCIPAL FROM LOAN GROUP II
1. First to the Class A-1 until the 1. First the Class A-10 until the
balance is reduced to zero and then balance is reduced to zero;
sequentially to the PAC Classes A-2
through A-7, to their scheduled balance;
2. Remaining principal sequentially to the
Class A-8 LIBOR Floater Companion
and then the Class A-9 Auction Rate Floater
companion until retired;
3. Remaining principal sequentially to the PAC
Classes A-2 through A-7, until retired;
4. Non "AAA" Principal Amounts the Class B 2. Non "AAA" Principal Amounts the
Certificates on or after Class B Certificates on or
the Step Down Date until retired; after the Step Down Date
until retired;
5. Monthly Excess Cashflow amounts. 3. Monthly Excess Cashflow amounts
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
PRINCIPAL CASHFLOW PRIORITY (CONT.)
- - COLLECTIONS OF PRINCIPAL (INCLUDING ACCELERATED CASH) ON AND AFTER THE
STEPDOWN DATE, AND IF NO TRIGGER EVENT IS IN EFFECT WILL BE ALLOCATED IN
THE FOLLOWING PRIORITY:
Principal payments for Class A certificates and the Class B certificates in
accordance with enhancement targets, equal to 2.15 times the initial
enhancement for each class:
TARGETED % TARGET CREDIT
OF POOL ENHANCEMENT
Class A 89.895% 10.105%
Class B 7.310% 2.795%
Overcollateralization 2.795%
---------
100.00%
PRINCIPAL CASHFLOW PRIORITY (CLASS B SUBORDINATED CERTIFICATES):
- - The Class B Certificates will not receive payments of principal until on
and after the Stepdown Date, unless the Class A Certificates have been
retired.
SUBORDINATION TEST (TO DETERMINE "AAA" PRINCIPAL DISTRIBUTION AMOUNT):
- - Before the Stepdown Date, the Class A Certificates receive 100% of the
collateral principal revenues and the excess cash to build to an OC target
of 1.30% (based on the aggregate original balance). After the Stepdown
Date, the Class A Certificates receive collateral principal to maintain
10.105% credit enhancement.
STEP DOWN DATE:
- - The earlier of: (i) the later of (a) the April 2001 Payment Date and (b)
the first Payment Date on which the Senior Enhancement Percentage (i.e. the
sum of the Subordinated Certificates and OC amount divided by the aggregate
of the Fixed and Adjustable Rate Home Equity Loans) is at least 10.105%,
and (ii) the Payment Date on which the aggregate Class A Balance has been
reduced to zero.
SENIOR ENHANCEMENT PERCENTAGE:
- - The percentage obtained by dividing (x) the sum of (i) the aggregate
Certificate Principal Balance of the Subordinated Certificates and (ii) the
Overcollateralization Amount by (y) the aggregate Loan Balance of the Home
Equity Loans as of the last day of the related Remittance Period.
APPLICATION OF MONTHLY EXCESS CASHFLOW AMOUNTS:
- - Monthly Excess Cashflow Amounts which equal the sum of Monthly
Excess Interest Amounts and Overcollateralization Release Amounts will be
allocated in the following priority:
1.Class A Interest Carry Forward Amount
2.Extra Principal Distribution Amount
3.Class B Interest Carry Forward Amount
4.Unpaid Class B Realized Loss Amortization Amounts
5.Servicer for any unreimbursed Delinquency Advances or Servicing Advances
6.Class C Certificates
7.Class R Certificates
NOTE: Interest will not accrue or be payable on any written down amounts
with respect to the Class B Certificates.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
DELINQUENCY TRIGGER:
- - After the Stepdown Date, a Delinquency Trigger Event has occurred if on any
Payment Date 50% of the 60+ Day Delinquencies (including Bankruptcies,
Foreclosures and REO properties) for Loan Group I and Loan Group II equals
or exceeds the Senior Specified Enhancement Percentage (10.105% = 2.15 X
4.70%).
- - Upon the occurrence and continuance of a Delinquency Trigger Event, the
Class A Certificates will receive 100% of all principal distribution
amounts (excluding excess interest).
CUMULATIVE REALIZED LOSS TRIGGER EVENT:
- - A Cumulative Realized Loss Trigger Event occurs on any date of
determination if the amount of Cumulative Realized Losses expressed as a
percentage of the original aggregate loan balance of Loan Group I and Loan
Group II equals or exceeds the following amounts:
DATE PERCENTAGES
April 1998-March 2000 1.05%
April 2000-March 2001 1.80%
April 2001-March 2002 2.40%
April 2002-March 2003 2.85%
April 2003 and thereafter 3.00%
- - Upon the occurrence and during the continuance of a Cumulative Realized
Loss Trigger Event, the overcollateralization amount shall increase to
2.14% of the aggregate original balance of Loan Group I and Loan Group II.
INTEREST CASHFLOW PRIORITY
- - INTEREST COLLECTIONS (NET OF SERVICING, CERTIFICATE INSURER FEE, TRUSTEE
FEE, AUCTION AGENT FEE AND BROKER-DEALER FEE) WILL BE ALLOCATED IN THE
FOLLOWING PRIORITY:
1. Current Interest and Carry-over Interest to the Class A Certificates;
2. Current Interest to the Class B Certificates;
3. To Overcollateralization to build up to its target amount;
4. To Monthly Excess Cashflow Amounts.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
TERM SHEET (GRANTOR TRUST SERIES 1998-A)
(ONLY APPLICABLE IF CLASS A-2 OR CLASS A-3 ARE SWAPPED TO LIBOR-BASED
CERTIFICATES)
SECURITIES OFFERED: Class A-1 and Class A-2 Certificates.
ORIGINAL PRINCIPAL AMT.: Class A-1: $[340,466,000] Class A-2 $[369,608,000]
CLASS A-1 CERTIFICATE
RATE One Month LIBOR plus ___ bps subject to a cap of [10]%.
CLASS A-2 CERTIFICATE
RATE One Month LIBOR plus ___ bps subject to a cap of [10]%.
INTEREST METHODOLOGY: Actual / 360.
DISTRIBUTION DATES: The 15th of each month, beginning April 1998.
ACCRUAL PERIOD: From the preceding Distribution Date (or, in the case
of the Initial Distribution Date, from the Closing
Date) to, but not including, the subsequent
Distribution Date.
CLOSING DATE: March 26, 1998.
TRUSTEE: Manufacturers and Traders Trust Company ("M&T").
TRUST ASSETS: Class A-2 and Class A-3 Planned Amortization Class
("PAC") from ContiMortgage Home Equity Loan Trust;
Series 1998-1; Bear Stearns Swap Agreement;
Certificate Insurer Insurance Policy.
CLASS A-2 PAC: $[340,466,000], [___]% fixed rate PAC with an expected
range of 125% to 175% PPC on the fixed rate loans and
95% to 130% PPC on the adjustable rate loans.
CLASS A-3 PAC: $[369,608,000], [___]% fixed rate PAC with an expected
range of 125% to 175% PPC on the fixed rate loans and
95% to 130% PPC on the adjustable rate loans.
SWAP AGREEMENT.: Bear Stearns will make interest payments i) to the
Class A-1 Certificateholders at a rate equal to one
month LIBOR plus ___bps based upon the actual balance
of the Class A-2 PAC and ii) to the Class A-2
Certificateholders at a rate equal to one month LIBOR
plus ___bps based upon the actual balance of the
Class A-3 PAC. Bear Stearns will be entitled to
receive i) the fixed rate coupon of the A-2 PAC based
upon the actual balance of the Class A-2 PAC and ii)
the fixed rate coupon of the A-3 PAC based upon the
actual balance of the Class A-3 PAC.
CERTIFICATE INSURER
INSURANCE POLICY:
An insurance policy will guarantee timely interest and
ultimate principal payments to the holders of the
Class A Certificates (the "Grantor Trust Policy").
CLASS A DISTRIBUTIONS: Class A-1 and Class A-2 Certificates are entitled to
principal and interest distributions on the Class A-2
and Class A-3 REMIC Certificates as follows:
INTEREST PRINCIPAL
Grantor Trust Certificates
Class A-1 Swapped from a fixed Distributions of
rate to a floating principal will reflect
rate based upon the all principal distributions
actual balance of the on the Class A-2 REMIC
Class A-2 REMIC Certificates
Certificates
Class A-2 Swapped from a fixed Distributions of
rate to a floating principal will reflect
rate based upon the all principal distributions
actual balance of the on the Class A-3 REMIC
Class A-3 REMIC Certificates
Certificates
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
Home Equity Loan MBIA
REMIC
Policy
Class A-2 (PAC) Class A-3 (PAC)
Fixed Rate Fixed Rate
Certificates Certificates
Class A-2 REMIC
Fixed [__]%
(Actual Balance)
BEAR STEARNS Class A-3 REMIC
(rated A2/A) Fixed[___]%
(Actual Balance)
SWAP AGREEMENT Grantor Trust 1998-A MBIA
Grantor
Class A-3 REMIC Trust
LIBOR + [__]% Policy
(Actual Balance)
Class A-2 REMIC
LIBOR + [_%]
(Actual Balance)
LIBOR + [__]% LIBOR +[__]%
Subject to a Cap of Subject to a Cap of
[10]% [10]%
Class A-1 Class A-2
Grantor Trust Grantor Trust
Certificateholders Certificateholders
REMIC Policy - guarantees timely interest and ultimate principal on the
Home Equity Loan Trust 1998-1 Certificates offered to investors.
Grantor Trust Policy - guarantees timely interest and ultimate principal on the
Grantor Trust Notes offered to investors.
Bear Stearns Swap Agreement - obligates Bear Stearns to make interest payments
according to the Class A-2 REMIC and Class A-3 REMIC Certificates actual
balances
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
<TABLE>
<CAPTION>
ContiMortgage Home Equity Loan Trust Series 1998-1
Class A-1 (to maturity)
<S> <C> <C> <C> <C> <C> <C> <C>
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
Average Life (years) 0.51 0.42 0.36 0.31 0.30 0.27 0.24
Modified Duration (years)
First Principal Payment 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98
Last Principal Payment 01/15/99 11/15/98 10/15/98 09/15/98 09/15/98 09/15/98 08/15/98
Principal Lockout (months) 0 0 0 0 0 0 0
Principal Window (months) 10 8 7 6 6 6 5
Class A-2 (to maturity)
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
Average Life (years) 1.79 1.34 1.10 0.95 0.95 0.95 0.95
Modified Duration (years)
First Principal Payment 01/15/99 11/15/98 10/15/98 10/15/98 10/15/98 10/15/98 10/15/98
Last Principal Payment 02/15/01 04/15/00 11/15/99 08/15/99 08/15/99 08/15/99 08/15/99
Principal Lockout (months ) 9 7 6 6 6 6 6
Principal Window (months) 26 18 14 11 11 11 11
Class A-3 (to maturity)
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
Average Life (years) 4.35 3.11 2.43 2.01 2.01 2.01 1.81
Modified Duration (years)
First Principal Payment 02/15/01 04/15/00 11/15/99 08/15/99 08/15/99 08/15/99 08/15/99
Last Principal Payment 03/15/04 07/15/02 07/15/01 12/15/00 12/15/00 12/15/00 07/15/00
Principal Lockout (months) 34 24 19 16 16 16 16
Principal Window (months) 38 28 21 17 17 17 12
Class A-4 (to maturity)
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
Average Life (years) 6.76 4.80 3.70 3.08 3.08 3.08 2.59
Modified Duration (years)
First Principal Payment 03/15/04 07/15/02 07/15/01 12/15/00 12/15/00 12/15/00 07/15/00
Last Principal Payment 10/15/05 08/15/03 05/15/02 10/15/01 10/15/01 10/15/01 02/15/01
Principal Lockout (months) 71 51 39 32 32 32 27
Principal Window (months) 20 14 11 11 11 11 8
Class A-5 (to maturity)
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
Average Life (years) 8.47 6.02 4.63 4.01 4.01 4.01 3.40
Modified Duration (years)
First Principal Payment 10/15/05 08/15/03 05/15/02 10/15/01 10/15/01 10/15/01 02/15/01
Last Principal Payment 09/15/07 12/15/04 05/15/03 10/15/02 10/15/02 10/15/02 03/15/02
Principal Lockout (months) 90 64 49 42 42 42 34
Principal Window (months) 24 17 13 13 13 13 14
Class A-6 (to maturity)
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
Average Life (years) 10.17 7.27 5.59 5.10 5.10 5.10 4.39
Modified Duration (years)
First Principal Payment 09/15/07 12/15/04 05/15/03 10/15/02 10/15/02 10/15/02 03/15/02
Last Principal Payment 03/15/09 02/15/06 04/15/04 12/15/03 12/15/03 12/15/03 03/15/03
Principal Lockout (months) 113 80 61 54 54 54 47
Principal Window (months) 19 15 12 15 15 15 13
Class A-7 (to maturity)
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
Average Life (years) 12.23 8.84 7.45 7.40 7.40 7.40 6.46
Modified Duration (years)
First Principal Payment 03/15/09 02/15/06 04/15/04 12/15/03 12/15/03 12/15/03 03/15/03
Last Principal Payment 11/15/11 12/15/08 12/15/08 12/15/08 12/15/08 12/15/08 02/15/08
Principal Lockout (months) 131 94 72 68 68 68 59
Principal Window (months) 33 35 57 61 61 61 60
Class A-8 (to maturity)
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
Average Life (years) 14.02 10.13 6.82 1.30 0.59 0.47 0.40
Modified Duration (years)
First Principal Payment 11/15/11 12/15/07 09/15/04 09/15/98 09/15/98 09/15/98 08/15/98
Last Principal Payment 08/15/12 10/15/08 06/15/05 04/15/01 02/15/99 09/15/98 09/15/98
Principal Lockout (months) 163 116 77 5 5 5 4
Principal Window (months) 10 11 10 32 6 1 2
Class A-9 (to maturity)
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
Average Life (years) 16.43 13.74 11.05 7.53 5.94 3.15 0.81
Modified Duration (years)
First Principal Payment 08/15/12 10/15/08 06/15/05 04/15/01 02/15/99 09/15/98 09/15/98
Last Principal Payment 03/15/24 02/15/19 03/15/15 01/15/13 11/15/12 12/15/10 07/15/99
Principal Lockout (months) 172 126 86 36 10 5 5
Principal Window (months) 140 125 118 142 166 148 11
Class A-10 (to maturity)
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
Average Life (years) 5.16 3.93 3.20 2.67 2.49 2.22 1.64
Modified Duration (years)
First Principal Payment 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98
Last Principal Payment 03/15/24 02/15/19 03/15/15 01/15/13 11/15/12 12/15/10 02/15/08
Principal Lockout (months) 0 0 0 0 0 0 0
Principal Window (months) 312 251 204 178 176 153 119
Class B (to maturity)
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
Average Life (years) 10.94 8.32 6.45 5.06 4.73 4.23 3.60
Modified Duration (years)
First Principal Payment 03/15/04 07/15/02 07/15/01 04/15/01 04/15/01 04/15/01 04/15/01
Last Principal Payment 12/15/13 01/15/13 02/15/10 06/15/07 10/15/06 09/15/05 12/15/03
Principal Lockout (months) 71 51 39 36 36 36 36
Principal Window (months) 118 127 104 75 67 54 33
Class A-11 IO (to maturity)
Fixed % PPC 50% 75% 100% 130% 140% 160% 200% 220%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40% 77%
ARMs % PPC 50% 67% 83% 100% 107% 120% 160% 180%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00% 63.00%
Yield as Priced to 6.50%
Coupon 6.49% 6.49% 6.49% 6.49% 6.49% 6.49% 6.49% 6.49%
Modified Duration (years) 1.22 1.22 1.22 1.22 1.22 1.22 1.22 1.22
First Interest Payment 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98
Last Interest Payment 09/15/00 09/15/00 09/15/00 09/15/00 09/15/00 09/15/00 09/15/00 09/15/00
Cashflow Window (months) 30 30 30 30 30 30 30 30
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
</TABLE>
<PAGE>
ContiMortgage Home Equity Loan Trust Series 1998-1
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-6 (to call)
- -----------------------------------------------------------------------------------------------------------------------------------
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
- -----------------------------------------------------------------------------------------------------------------------------------
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (years) 10.17 7.27 5.59 5.10 5.10 5.10 4.26
Modified Duration (years)
First Principal Payment 09/15/07 12/15/04 05/15/03 10/15/02 10/15/02 10/15/02 03/15/02
Last Principal Payment 03/15/09 02/15/06 04/15/04 12/15/03 12/15/03 12/15/03 08/15/02
Principal Lockout (months) 113 80 61 54 54 54 47
Principal Window (months) 19 15 12 15 15 15 6
- -----------------------------------------------------------------------------------------------------------------------------------
Class A-7 (to call)
- -----------------------------------------------------------------------------------------------------------------------------------
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
- -----------------------------------------------------------------------------------------------------------------------------------
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (years) 12.23 8.84 7.37 6.79 6.46 5.80 4.39
Modified Duration (years)
First Principal Payment 03/15/09 02/15/06 04/15/04 12/15/03 12/15/03 12/15/03 08/15/02
Last Principal Payment 11/15/11 12/15/08 06/15/07 06/15/05 11/15/04 01/15/04 08/15/02
Principal Lockout (months) 131 94 72 68 68 68 52
Principal Window (months) 33 35 39 19 12 2 1
- -----------------------------------------------------------------------------------------------------------------------------------
Class A-9 (to call)
- -----------------------------------------------------------------------------------------------------------------------------------
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
- -----------------------------------------------------------------------------------------------------------------------------------
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (years) 14.79 11.72 8.89 6.00 4.68 2.54 0.81
Modified Duration (years)
First Principal Payment 08/15/12 10/15/08 06/15/05 04/15/01 02/15/99 09/15/98 09/15/98
Last Principal Payment 01/15/13 02/15/10 06/15/07 06/15/05 11/15/04 01/15/04 07/15/99
Principal Lockout (months) 172 126 86 36 10 5 5
Principal Window (months) 6 17 25 51 70 65 11
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not received
the statement described above or the related Prospectus and Prospectus
Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-10 (to call)
- -----------------------------------------------------------------------------------------------------------------------------------
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
- -----------------------------------------------------------------------------------------------------------------------------------
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (years) 4.98 3.81 3.09 2.56 2.39 2.13 1.59
First Principal Payment 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98
Last Principal Payment 01/15/13 02/15/10 06/15/07 06/15/05 11/15/04 01/15/04 08/15/02
Principal Lockout (months) 0 0 0 0 0 0 0
Principal Window (months) 178 143 111 87 80 70 53
- -----------------------------------------------------------------------------------------------------------------------------------
Class B (to call)
- -----------------------------------------------------------------------------------------------------------------------------------
Fixed % PPC 50% 75% 100% 130% 140% 160% 200%
Ramp to % CPR 10% 15% 20% 26% 28% 32% 40%
- -----------------------------------------------------------------------------------------------------------------------------------
ARMs % PPC 50% 67% 83% 100% 107% 120% 160%
Ramp to % CPR 17.50% 23.45% 29.05% 35.00% 37.45% 42.00% 56.00%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (years) 10.93 8.11 6.27 4.93 4.60 4.12 3.51
Modified Duration (years)
First Principal Payment 03/15/04 07/15/02 07/15/01 04/15/01 04/15/01 04/15/01 04/15/01
Last Principal Payment 01/15/13 02/15/10 06/15/07 06/15/05 11/15/04 01/15/04 08/15/02
Principal Lockout (months) 71 51 39 36 36 36 36
Principal Window (months) 107 92 72 51 44 34 17
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not received
the statement described above or the related Prospectus and Prospectus
Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1998-1
Percentage of Initial Certificate Balance
CLASS A-1 (to maturity)
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 0% 0% 0% 0% 0% 0% 0% 0%
Mar-00 0% 0% 0% 0% 0% 0% 0% 0%
Mar-01 0% 0% 0% 0% 0% 0% 0% 0%
Mar-02 0% 0% 0% 0% 0% 0% 0% 0%
Mar-03 0% 0% 0% 0% 0% 0% 0% 0%
Mar-04 0% 0% 0% 0% 0% 0% 0% 0%
Mar-05 0% 0% 0% 0% 0% 0% 0% 0%
Mar-06 0% 0% 0% 0% 0% 0% 0% 0%
Mar-07 0% 0% 0% 0% 0% 0% 0% 0%
Mar-08 0% 0% 0% 0% 0% 0% 0% 0%
Mar-09 0% 0% 0% 0% 0% 0% 0% 0%
Mar-10 0% 0% 0% 0% 0% 0% 0% 0%
Mar-11 0% 0% 0% 0% 0% 0% 0% 0%
Mar-12 0% 0% 0% 0% 0% 0% 0% 0%
Mar-13 0% 0% 0% 0% 0% 0% 0% 0%
Mar-14 0% 0% 0% 0% 0% 0% 0% 0%
Mar-15 0% 0% 0% 0% 0% 0% 0% 0%
Mar-16 0% 0% 0% 0% 0% 0% 0% 0%
Mar-17 0% 0% 0% 0% 0% 0% 0% 0%
Mar-18 0% 0% 0% 0% 0% 0% 0% 0%
Mar-19 0% 0% 0% 0% 0% 0% 0% 0%
Mar-20 0% 0% 0% 0% 0% 0% 0% 0%
Mar-21 0% 0% 0% 0% 0% 0% 0% 0%
Mar-22 0% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted Average
Life Years (1) 0.86 0.51 0.42 0.36 0.31 0.30 0.27 0.24
</TABLE>
(1) The weighted average life of the Offered Certificates is determined by (i)
multiplying the amount of each principal payment by the number of years from
the date of issuance to the related Payment Date, (ii) dividing the sum by the
initial respective Certificate Principal Balance for such Class of Offered
Certificates.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not received
the statement described above or the related Prospectus and Prospectus
Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-2 (to maturity)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 88% 72% 57% 41% 41% 41% 41%
Mar-00 100% 39% 5% 0% 0% 0% 0% 0%
Mar-01 100% 0% 0% 0% 0% 0% 0% 0%
Mar-02 100% 0% 0% 0% 0% 0% 0% 0%
Mar-03 97% 0% 0% 0% 0% 0% 0% 0%
Mar-04 90% 0% 0% 0% 0% 0% 0% 0%
Mar-05 82% 0% 0% 0% 0% 0% 0% 0%
Mar-06 73% 0% 0% 0% 0% 0% 0% 0%
Mar-07 62% 0% 0% 0% 0% 0% 0% 0%
Mar-08 52% 0% 0% 0% 0% 0% 0% 0%
Mar-09 41% 0% 0% 0% 0% 0% 0% 0%
Mar-10 28% 0% 0% 0% 0% 0% 0% 0%
Mar-11 14% 0% 0% 0% 0% 0% 0% 0%
Mar-12 0% 0% 0% 0% 0% 0% 0% 0%
Mar-13 0% 0% 0% 0% 0% 0% 0% 0%
Mar-14 0% 0% 0% 0% 0% 0% 0% 0%
Mar-15 0% 0% 0% 0% 0% 0% 0% 0%
Mar-16 0% 0% 0% 0% 0% 0% 0% 0%
Mar-17 0% 0% 0% 0% 0% 0% 0% 0%
Mar-18 0% 0% 0% 0% 0% 0% 0% 0%
Mar-19 0% 0% 0% 0% 0% 0% 0% 0%
Mar-20 0% 0% 0% 0% 0% 0% 0% 0%
Mar-21 0% 0% 0% 0% 0% 0% 0% 0%
Mar-22 0% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted
Average Life
Years (1) 9.91 1.79 1.34 1.10 0.95 0.95 0.95 0.95
(1) The weighted average life of the Offered Certificates is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) dividing the sum by the
initial respective Certificate Principal Balance for such Class of Offered
Certificates.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not received
the statement described above or the related Prospectus and Prospectus
Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-3 (to maturity)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 100% 100% 100% 100%
Mar-00 100% 100% 100% 75% 48% 48% 48% 28%
Mar-01 100% 95% 53% 15% 0% 0% 0% 0%
Mar-02 100% 60% 10% 0% 0% 0% 0% 0%
Mar-03 100% 28% 0% 0% 0% 0% 0% 0%
Mar-04 100% 0% 0% 0% 0% 0% 0% 0%
Mar-05 100% 0% 0% 0% 0% 0% 0% 0%
Mar-06 100% 0% 0% 0% 0% 0% 0% 0%
Mar-07 100% 0% 0% 0% 0% 0% 0% 0%
Mar-08 100% 0% 0% 0% 0% 0% 0% 0%
Mar-09 100% 0% 0% 0% 0% 0% 0% 0%
Mar-10 100% 0% 0% 0% 0% 0% 0% 0%
Mar-11 100% 0% 0% 0% 0% 0% 0% 0%
Mar-12 99% 0% 0% 0% 0% 0% 0% 0%
Mar-13 0% 0% 0% 0% 0% 0% 0% 0%
Mar-14 0% 0% 0% 0% 0% 0% 0% 0%
Mar-15 0% 0% 0% 0% 0% 0% 0% 0%
Mar-16 0% 0% 0% 0% 0% 0% 0% 0%
Mar-17 0% 0% 0% 0% 0% 0% 0% 0%
Mar-18 0% 0% 0% 0% 0% 0% 0% 0%
Mar-19 0% 0% 0% 0% 0% 0% 0% 0%
Mar-20 0% 0% 0% 0% 0% 0% 0% 0%
Mar-21 0% 0% 0% 0% 0% 0% 0% 0%
Mar-22 0% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted
Average Life
Years (1) 14.75 4.35 3.11 2.43 2.01 2.01 2.01 1.81
(1) The weighted average life of the Offered Certificates is determined by (i)
multiplying the amount of each principal payment by the number of years from
the date of issuance to the related Payment Date, (ii) dividing the sum by the
initial respective Certificate Principal Balance for such Class of Offered
Certificates.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not received
the statement described above or the related Prospectus and Prospectus
Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-4 (to maturity)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 100% 100% 100% 100%
Mar-00 100% 100% 100% 100% 100% 100% 100% 100%
Mar-01 100% 100% 100% 100% 47% 47% 47% 0%
Mar-02 100% 100% 100% 14% 0% 0% 0% 0%
Mar-03 100% 100% 30% 0% 0% 0% 0% 0%
Mar-04 100% 100% 0% 0% 0% 0% 0% 0%
Mar-05 100% 34% 0% 0% 0% 0% 0% 0%
Mar-06 100% 0% 0% 0% 0% 0% 0% 0%
Mar-07 100% 0% 0% 0% 0% 0% 0% 0%
Mar-08 100% 0% 0% 0% 0% 0% 0% 0%
Mar-09 100% 0% 0% 0% 0% 0% 0% 0%
Mar-10 100% 0% 0% 0% 0% 0% 0% 0%
Mar-11 100% 0% 0% 0% 0% 0% 0% 0%
Mar-12 100% 0% 0% 0% 0% 0% 0% 0%
Mar-13 0% 0% 0% 0% 0% 0% 0% 0%
Mar-14 0% 0% 0% 0% 0% 0% 0% 0%
Mar-15 0% 0% 0% 0% 0% 0% 0% 0%
Mar-16 0% 0% 0% 0% 0% 0% 0% 0%
Mar-17 0% 0% 0% 0% 0% 0% 0% 0%
Mar-18 0% 0% 0% 0% 0% 0% 0% 0%
Mar-19 0% 0% 0% 0% 0% 0% 0% 0%
Mar-20 0% 0% 0% 0% 0% 0% 0% 0%
Mar-21 0% 0% 0% 0% 0% 0% 0% 0%
Mar-22 0% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted
Average Life
Years (1) 14.80 6.76 4.80 3.70 3.08 3.08 3.08 2.59
(1) The weighted average life of the Offered Certificates is determined by (i)
multiplying the amount of each principal payment by the number of years from
the date of issuance to the related Payment Date, (ii) dividing the sum by the
initial respective Certificate Principal Balance for such Class of Offered
Certificates.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not received
the statement described above or the related Prospectus and Prospectus
Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-5 (to maturity)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 100% 100% 100% 100%
Mar-00 100% 100% 100% 100% 100% 100% 100% 100%
Mar-01 100% 100% 100% 100% 100% 100% 100% 74%
Mar-02 100% 100% 100% 100% 48% 48% 48% 0%
Mar-03 100% 100% 100% 14% 0% 0% 0% 0%
Mar-04 100% 100% 50% 0% 0% 0% 0% 0%
Mar-05 100% 100% 0% 0% 0% 0% 0% 0%
Mar-06 100% 75% 0% 0% 0% 0% 0% 0%
Mar-07 100% 21% 0% 0% 0% 0% 0% 0%
Mar-08 100% 0% 0% 0% 0% 0% 0% 0%
Mar-09 100% 0% 0% 0% 0% 0% 0% 0%
Mar-10 100% 0% 0% 0% 0% 0% 0% 0%
Mar-11 100% 0% 0% 0% 0% 0% 0% 0%
Mar-12 100% 0% 0% 0% 0% 0% 0% 0%
Mar-13 57% 0% 0% 0% 0% 0% 0% 0%
Mar-14 37% 0% 0% 0% 0% 0% 0% 0%
Mar-15 15% 0% 0% 0% 0% 0% 0% 0%
Mar-16 0% 0% 0% 0% 0% 0% 0% 0%
Mar-17 0% 0% 0% 0% 0% 0% 0% 0%
Mar-18 0% 0% 0% 0% 0% 0% 0% 0%
Mar-19 0% 0% 0% 0% 0% 0% 0% 0%
Mar-20 0% 0% 0% 0% 0% 0% 0% 0%
Mar-21 0% 0% 0% 0% 0% 0% 0% 0%
Mar-22 0% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted
Average
Life Years (1) 15.72 8.47 6.02 4.63 4.01 4.01 4.01 3.40
(1) The weighted average life of the Offered Certificates is determined by (i)
multiplying the amount of each principal payment by the number of years from
the date of issuance to the related Payment Date, (ii) dividing the sum by the
initial respective Certificate Principal Balance for such Class of Offered
Certificates.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not received
the statement described above or the related Prospectus and Prospectus
Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-6 (to maturity)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 100% 100% 100% 100%
Mar-00 100% 100% 100% 100% 100% 100% 100% 100%
Mar-01 100% 100% 100% 100% 100% 100% 100% 100%
Mar-02 100% 100% 100% 100% 100% 100% 100% 90%
Mar-03 100% 100% 100% 100% 56% 56% 56% 0%
Mar-04 100% 100% 100% 3% 0% 0% 0% 0%
Mar-05 100% 100% 73% 0% 0% 0% 0% 0%
Mar-06 100% 100% 0% 0% 0% 0% 0% 0%
Mar-07 100% 100% 0% 0% 0% 0% 0% 0%
Mar-08 100% 60% 0% 0% 0% 0% 0% 0%
Mar-09 100% 0% 0% 0% 0% 0% 0% 0%
Mar-10 100% 0% 0% 0% 0% 0% 0% 0%
Mar-11 100% 0% 0% 0% 0% 0% 0% 0%
Mar-12 100% 0% 0% 0% 0% 0% 0% 0%
Mar-13 100% 0% 0% 0% 0% 0% 0% 0%
Mar-14 100% 0% 0% 0% 0% 0% 0% 0%
Mar-15 100% 0% 0% 0% 0% 0% 0% 0%
Mar-16 87% 0% 0% 0% 0% 0% 0% 0%
Mar-17 46% 0% 0% 0% 0% 0% 0% 0%
Mar-18 5% 0% 0% 0% 0% 0% 0% 0%
Mar-19 0% 0% 0% 0% 0% 0% 0% 0%
Mar-20 0% 0% 0% 0% 0% 0% 0% 0%
Mar-21 0% 0% 0% 0% 0% 0% 0% 0%
Mar-22 0% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted
Average Life
Years (1) 18.90 10.18 7.27 5.59 5.10 5.10 5.10 4.39
(1) The weighted average life of the Offered Certificates is determined by (i)
multiplying the amount of each principal payment by the number of years from
the date of issuance to the related Payment Date, (ii) dividing the sum by the
initial respective Certificate Principal Balance for such Class of Offered
Certificates.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not received
the statement described above or the related Prospectus and Prospectus
Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-7 (to maturity)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 100% 100% 100% 100%
Mar-00 100% 100% 100% 100% 100% 100% 100% 100%
Mar-01 100% 100% 100% 100% 100% 100% 100% 100%
Mar-02 100% 100% 100% 100% 100% 100% 100% 100%
Mar-03 100% 100% 100% 100% 100% 100% 100% 96%
Mar-04 100% 100% 100% 100% 87% 87% 87% 55%
Mar-05 100% 100% 100% 53% 53% 53% 53% 29%
Mar-06 100% 100% 91% 29% 29% 29% 29% 13%
Mar-07 100% 100% 39% 14% 14% 14% 14% 5%
Mar-08 100% 100% 5% 5% 5% 5% 5% 0%
Mar-09 100% 98% 0% 0% 0% 0% 0% 0%
Mar-10 100% 57% 0% 0% 0% 0% 0% 0%
Mar-11 100% 21% 0% 0% 0% 0% 0% 0%
Mar-12 100% 0% 0% 0% 0% 0% 0% 0%
Mar-13 100% 0% 0% 0% 0% 0% 0% 0%
Mar-14 100% 0% 0% 0% 0% 0% 0% 0%
Mar-15 100% 0% 0% 0% 0% 0% 0% 0%
Mar-16 100% 0% 0% 0% 0% 0% 0% 0%
Mar-17 100% 0% 0% 0% 0% 0% 0% 0%
Mar-18 100% 0% 0% 0% 0% 0% 0% 0%
Mar-19 85% 0% 0% 0% 0% 0% 0% 0%
Mar-20 64% 0% 0% 0% 0% 0% 0% 0%
Mar-21 40% 0% 0% 0% 0% 0% 0% 0%
Mar-22 14% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted
Average Life
Years (1) 22.52 12.23 8.84 7.45 7.40 7.40 7.40 6.46
(1) The weighted average life of the Offered Certificates is determined by (i)
multiplying the amount of each principal payment by the number of years from
the date of issuance to the related Payment Date, (ii) dividing the sum by the
initial respective Certificate Principal Balance for such Class of Offered
Certificates.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not received
the statement described above or the related Prospectus and Prospectus
Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-8 (to maturity)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 95% 85% 66% 24%
Mar-00 100% 100% 100% 100% 90% 72% 36% 0%
Mar-01 100% 100% 100% 100% 88% 67% 29% 0%
Mar-02 100% 100% 100% 100% 74% 56% 23% 0%
Mar-03 100% 100% 100% 100% 64% 48% 19% 0%
Mar-04 100% 100% 100% 100% 53% 39% 15% 0%
Mar-05 100% 100% 100% 91% 43% 31% 13% 0%
Mar-06 100% 100% 100% 76% 35% 26% 10% 0%
Mar-07 100% 100% 100% 63% 29% 20% 8% 0%
Mar-08 100% 100% 96% 52% 22% 15% 6% 0%
Mar-09 100% 100% 80% 42% 16% 11% 4% 0%
Mar-10 100% 100% 65% 32% 10% 7% 1% 0%
Mar-11 100% 100% 53% 23% 6% 3% 0% 0%
Mar-12 100% 94% 42% 17% 3% 1% 0% 0%
Mar-13 100% 35% 13% 3% 0% 0% 0% 0%
Mar-14 100% 29% 9% 1% 0% 0% 0% 0%
Mar-15 100% 24% 7% 0% 0% 0% 0% 0%
Mar-16 100% 19% 4% 0% 0% 0% 0% 0%
Mar-17 100% 14% 2% 0% 0% 0% 0% 0%
Mar-18 100% 11% 1% 0% 0% 0% 0% 0%
Mar-19 100% 8% 0% 0% 0% 0% 0% 0%
Mar-20 100% 6% 0% 0% 0% 0% 0% 0%
Mar-21 100% 4% 0% 0% 0% 0% 0% 0%
Mar-22 100% 3% 0% 0% 0% 0% 0% 0%
Mar-23 93% 1% 0% 0% 0% 0% 0% 0%
Mar-24 77% 0% 0% 0% 0% 0% 0% 0%
Mar-25 60% 0% 0% 0% 0% 0% 0% 0%
Mar-26 41% 0% 0% 0% 0% 0% 0% 0%
Mar-27 19% 0% 0% 0% 0% 0% 0% 0%
Weighted
Average Life
Years (1) 27.41 16.14 13.31 10.54 6.78 5.30 2.83 0.76
(1) The weighted average life of the Offered Certificates is determined by (i)
multiplying the amount of each principal payment by the number of years from
the date of issuance to the related Payment Date, (ii) dividing the sum by the
initial respective Certificate Principal Balance for such Class of Offered
Certificates.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not received
the statement described above or the related Prospectus and Prospectus
Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-9 (to maturity)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 98% 88% 85% 82% 79% 77% 75% 66%
Mar-00 98% 72% 64% 57% 50% 47% 42% 27%
Mar-01 97% 58% 48% 39% 30% 27% 22% 9%
Mar-02 97% 47% 35% 28% 20% 18% 14% 5%
Mar-03 96% 38% 27% 19% 13% 11% 8% 2%
Mar-04 95% 30% 21% 14% 9% 7% 5% 1%
Mar-05 94% 26% 16% 10% 6% 4% 3% 0%
Mar-06 93% 21% 12% 7% 4% 3% 1% 0%
Mar-07 92% 17% 9% 5% 2% 2% 1% 0%
Mar-08 91% 14% 7% 3% 1% 1% 0% 0%
Mar-09 90% 11% 5% 2% 1% 1% 0% 0%
Mar-10 89% 9% 4% 2% 0% 0% 0% 0%
Mar-11 87% 7% 3% 1% 0% 0% 0% 0%
Mar-12 85% 6% 2% 1% 0% 0% 0% 0%
Mar-13 79% 5% 1% 0% 0% 0% 0% 0%
Mar-14 77% 4% 1% 0% 0% 0% 0% 0%
Mar-15 75% 3% 1% 0% 0% 0% 0% 0%
Mar-16 72% 2% 0% 0% 0% 0% 0% 0%
Mar-17 69% 2% 0% 0% 0% 0% 0% 0%
Mar-18 66% 1% 0% 0% 0% 0% 0% 0%
Mar-19 62% 1% 0% 0% 0% 0% 0% 0%
Mar-20 58% 1% 0% 0% 0% 0% 0% 0%
Mar-21 53% 0% 0% 0% 0% 0% 0% 0%
Mar-22 47% 0% 0% 0% 0% 0% 0% 0%
Mar-23 41% 0% 0% 0% 0% 0% 0% 0%
Mar-24 34% 0% 0% 0% 0% 0% 0% 0%
Mar-25 27% 0% 0% 0% 0% 0% 0% 0%
Mar-26 18% 0% 0% 0% 0% 0% 0% 0%
Mar-27 8% 0% 0% 0% 0% 0% 0% 0%
Weighted
Average Life
Years (1) 21.40 5.16 3.93 3.20 2.67 2.49 2.22 1.64
(1) The weighted average life of the Offered Certificates is determined by (i)
multiplying the amount of each principal payment by the number of years from
the date of issuance to the related Payment Date, (ii) dividing the sum by the
initial respective Certificate Principal Balance for such Class of Offered
Certificates.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not received
the statement described above or the related Prospectus and Prospectus
Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS A-I0 (to maturity)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 100% 100% 100% 100%
Mar-00 100% 100% 100% 100% 100% 100% 100% 100%
Mar-01 0% 0% 0% 0% 0% 0% 0% 0%
Mar-02 0% 0% 0% 0% 0% 0% 0% 0%
Mar-03 0% 0% 0% 0% 0% 0% 0% 0%
Mar-04 0% 0% 0% 0% 0% 0% 0% 0%
Mar-05 0% 0% 0% 0% 0% 0% 0% 0%
Mar-06 0% 0% 0% 0% 0% 0% 0% 0%
Mar-07 0% 0% 0% 0% 0% 0% 0% 0%
Mar-08 0% 0% 0% 0% 0% 0% 0% 0%
Mar-09 0% 0% 0% 0% 0% 0% 0% 0%
Mar-10 0% 0% 0% 0% 0% 0% 0% 0%
Mar-11 0% 0% 0% 0% 0% 0% 0% 0%
Mar-12 0% 0% 0% 0% 0% 0% 0% 0%
Mar-13 0% 0% 0% 0% 0% 0% 0% 0%
Mar-14 0% 0% 0% 0% 0% 0% 0% 0%
Mar-15 0% 0% 0% 0% 0% 0% 0% 0%
Mar-16 0% 0% 0% 0% 0% 0% 0% 0%
Mar-17 0% 0% 0% 0% 0% 0% 0% 0%
Mar-18 0% 0% 0% 0% 0% 0% 0% 0%
Mar-19 0% 0% 0% 0% 0% 0% 0% 0%
Mar-20 0% 0% 0% 0% 0% 0% 0% 0%
Mar-21 0% 0% 0% 0% 0% 0% 0% 0%
Mar-22 0% 0% 0% 0% 0% 0% 0% 0%
Mar-23 0% 0% 0% 0% 0% 0% 0% 0%
Mar-24 0% 0% 0% 0% 0% 0% 0% 0%
Mar-25 0% 0% 0% 0% 0% 0% 0% 0%
Mar-26 0% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted
Average Life
Years (1) 2.47 2.47 2.47 2.47 2.47 2.47 2.47 2.47
(1) The weighted average life of the Offered Certificates is determined by (i)
multiplying the amount of each principal payment by the number of years from
the date of issuance to the related Payment Date, (ii) dividing the sum by the
initial respective Certificate Principal Balance for such Class of Offered
Certificates.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not received
the statement described above or the related Prospectus and Prospectus
Supplement,please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Balance
CLASS B (to maturity)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed PPC 0% 50% 75% 100% 130% 140% 160% 200%
ARM PPC 0% 50% 67% 83% 100% 107% 120% 160%
Mar-98 100% 100% 100% 100% 100% 100% 100% 100%
Mar-99 100% 100% 100% 100% 100% 100% 100% 100%
Mar-00 100% 100% 100% 100% 100% 100% 100% 100%
Mar-01 100% 100% 100% 100% 100% 100% 100% 100%
Mar-02 100% 100% 100% 84% 63% 57% 46% 23%
Mar-03 100% 100% 87% 65% 45% 39% 26% 7%
Mar-04 100% 100% 71% 50% 29% 23% 12% 0%
Mar-05 100% 87% 58% 38% 17% 11% 3% 0%
Mar-06 100% 75% 48% 26% 8% 3% 0% 0%
Mar-07 100% 65% 39% 17% 1% 0% 0% 0%
Mar-08 100% 56% 29% 9% 0% 0% 0% 0%
Mar-09 100% 49% 21% 4% 0% 0% 0% 0%
Mar-10 100% 42% 14% 0% 0% 0% 0% 0%
Mar-11 100% 35% 9% 0% 0% 0% 0% 0%
Mar-12 100% 27% 4% 0% 0% 0% 0% 0%
Mar-13 86% 2% 0% 0% 0% 0% 0% 0%
Mar-14 83% 0% 0% 0% 0% 0% 0% 0%
Mar-15 78% 0% 0% 0% 0% 0% 0% 0%
Mar-16 73% 0% 0% 0% 0% 0% 0% 0%
Mar-17 68% 0% 0% 0% 0% 0% 0% 0%
Mar-18 63% 0% 0% 0% 0% 0% 0% 0%
Mar-19 59% 0% 0% 0% 0% 0% 0% 0%
Mar-20 55% 0% 0% 0% 0% 0% 0% 0%
Mar-21 50% 0% 0% 0% 0% 0% 0% 0%
Mar-22 44% 0% 0% 0% 0% 0% 0% 0%
Mar-23 38% 0% 0% 0% 0% 0% 0% 0%
Mar-24 30% 0% 0% 0% 0% 0% 0% 0%
Mar-25 20% 0% 0% 0% 0% 0% 0% 0%
Mar-26 9% 0% 0% 0% 0% 0% 0% 0%
Mar-27 0% 0% 0% 0% 0% 0% 0% 0%
Weighted
Average
Life Years (1) 22.10 10.94 8.32 6.45 5.06 4.73 4.23 3.60
(1) The weighted average life of the Offered Certificates is determined by (i)
multiplying the amount of each principal payment by the number of years from
the date of issuance to the related Payment Date, (ii) dividing the sum by the
initial respective Certificate Principal Balance for such Class of Offered
Certificates.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not received
the statement described above or the related Prospectus and Prospectus
Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
- -------------------------------------------------------------------------------
Computational Material
ContiMortgage Home Equity Loan Trust Series 1998-1
- -------------------------------------------------------------------------------
COLLATERAL SUMMARY
Collateral statistics are based on pools as of 2/23/98 ("Statistical Calculation
Date"). The statistics of the pools as of the Closing Date may vary.
<TABLE>
<CAPTION>
FIXED RATE POOL ARM Pool
<S> <C> <C>
TOTAL OUTSTANDING
BALANCE: $985,610,830.81 $296,920,926.29
NUMBER OF LOANS: 15,273 3,107
AVERAGE REMAINING
BALANCE: $64,532.89 $95,565.15
INTEREST RATE INDEX: 100.00% fixed rate loans (GROUP I) $36,805,359.17 3/27 (GROUP I)
INDEX: $125,312,679.74 2/28 (GROUP I)
$87,835,874.41 2/28 (GROUP II)
$46,967,012.97 6-m LIBOR (GROUP II)
AMORTIZATION METHOD: 53.40% fully amortizing/46.60% balloons 100% fully amortizing
WA GROSS COUPON: 10.68% (range: 7.10% - 20.49%) 10.15% (range: 6.13% - 14.75%)
WA GROSS MARGIN / WA
LIFE CAP: N/A 6.21% / 16.37%
WA PERIOD INTEREST N/A 1.047%
RATE CAPS:
WA MONTHS TO ROLL: N/A 20.5 months
ORIGINAL WEIGHTED 231.89 months (range: 8 - 360 months) 359.90 (range: 180 - 360 months)
AVERAGE TERM:
REMAINING WEIGHTED 229.61 (range: 44 - 360 months) 357.80 (range: 176 - 360 months)
AVERAGE TERM:
SEASONING: 2.27 months (range: 0 - 33 months) 2.10 months (range: 0 - 17 months)
LIEN POSITION: 93.83% first / 6.17% second 100% first lien
ORIGINAL LTV RATIO: 74.12% (range: 2.00% - 100.00%) 79.38% (range: 14.00% - 100.00%)
ORIGINAL CLTV RATIO: 77.21% (range: 2.00% - 100.00%) N/A
WA DEBT TO 38.36% (range: 2.00% - 78.00%) 39.75% (range: 6.00% - 61.00%
INCOME RATIO:
CREDIT GRADE: 61.44% A, 22.46% B, 13.40% C, 2.70% D 61.35% A, 24.52% B, 12.42% C, 1.70% D
DOCUMENTATION: 80.43% full doc, 8.50% 79.46% full doc, 10.67% no
FNMA, 7.12% limited doc, doc, 9.61% limited doc,
3.95% no doc 0.26% FNMA
PROPERTY TYPE: 89.61% single family, 87.92% single family,
5.96% 2-4 family, 3.56% PUD, 5.67% 2-4
1.23% PUD, 3.21% other family, 2.85% other
OWNER OCCUPANCY: 95.84% owner occupied, 95.04% owner occupied,
4.16% investor owned 4.96% investor owned
LOAN PURPOSE: 72.32% debt consolidation 51.35% debt consolidation
and home improvement, and home improvement,
8.19% purchase, 19.49% 33.13% purchase, 15.51%
other other
GEOGRAPHIC MI (10.73%), OH (9.41%), CA (16.14%), MI (12.07%),
DISTRIBUTION: IL (7.54%), NC (6.80%), FL (6.00%), IL (5.70%),
PA (6.26%), NY (5.96%), FL TX (5.62%), UT: (5.23%),
(5.55%), with all other OH (5.11%), with all
remaining states under other remaining states
5.00% under 5.00%
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
- -------------------------------------------------------------------------------
Computational Material
ContiMortgage Home Equity Loan Trust Series 1998-1
- -------------------------------------------------------------------------------
FIXED RATE COLLATERAL
Geographic Distribution of Mortgaged Properties - Fixed Rate Loans
Number of Aggregate % of Aggregate
State Home Equity Loans Loan Balance Loan Balance
Arizona 177 $11,344,785.81 1.15 %
Arkansas 90 4,204,959.54 0.43
California 398 39,748,111.38 4.03
Colorado 161 12,105,109.88 1.23
Connecticut 108 10,152,387.93 1.03
Delaware 25 1,677,614.58 0.17
District of Columbia 43 3,497,726.73 0.35
Florida 892 54,703,310.85 5.55
Georgia 523 35,212,944.75 3.57
Hawaii 9 1,378,815.69 0.14
Idaho 27 1,626,066.01 0.16
Illinois 1,128 74,283,040.93 7.54
Indiana 836 44,350,127.61 4.50
Iowa 59 3,010,775.81 0.31
Kansas 72 3,940,148.31 0.40
Kentucky 347 18,443,489.88 1.87
Louisiana 138 6,612,888.99 0.67
Maine 21 1,410,811.65 0.14
Maryland 402 29,889,634.73 3.03
Massachusetts 356 26,580,573.77 2.70
Michigan 1,952 105,762,752.00 10.73
Minnesota 152 10,289,957.69 1.04
Mississippi 88 4,219,155.31 0.43
Missouri 337 18,175,080.21 1.84
Montana 20 1,666,155.99 0.17
Nebraska 36 1,979,569.50 0.20
Nevada 57 5,017,020.44 0.51
New Hampshire 44 3,475,717.24 0.35
New Jersey 424 38,234,417.33 3.88
New Mexico 134 8,278,812.53 0.84
New York 668 58,749,951.83 5.96
North Carolina 1,119 66,976,957.71 6.80
North Dakota 1 38,237.20 0.00
Ohio 1,502 92,794,488.07 9.41
Oklahoma 66 3,308,017.83 0.34
Oregon 99 8,252,428.53 0.84
Pennsylvania 1,013 61,673,895.42 6.26
Rhode Island 76 5,611,372.17 0.57
South Carolina 380 20,453,175.22 2.08
South Dakota 3 126,278.15 0.01
Tennessee 280 17,759,056.70 1.80
Texas 196 13,541,366.99 1.37
Utah 91 7,877,822.66 0.80
Vermont 3 289,447.50 0.03
Virginia 349 21,470,976.32 2.18
Washington 132 11,270,744.30 1.14
West Virginia 72 3,868,450.84 0.39
Wisconsin 159 9,782,691.15 0.99
Wyoming 8 493,509.15 0.05
15,273 $985,610,830.81 100.00%
------- ---------------- ---------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
- -------------------------------------------------------------------------------
Computational Material
ContiMortgage Home Equity Loan Trust Series 1998-1
- -------------------------------------------------------------------------------
FIXED RATE COLLATERAL
Original Loan-to-Value Ratios - Fixed Rate Loans
Range of Number of Aggregate % of Aggregate
Original LTV's Home Equity Loan Balance Loan Balance
Loans
0.00 - 5.00 % 5 $109,820.49 0.01 %
5.01 - 10.00 98 1,817,154.48 0.18
10.01 - 15.00 355 8,309,932.61 0.84
15.01 - 20.00 532 14,308,211.48 1.45
20.01 - 25.00 391 13,176,541.67 1.34
25.01 - 30.00 307 11,708,374.36 1.19
30.01 - 35.00 259 9,700,716.21 0.98
35.01 - 40.00 272 11,222,335.37 1.14
40.01 - 45.00 281 12,221,038.36 1.24
45.01 - 50.00 435 16,705,231.10 1.69
50.01 - 55.00 377 18,440,626.24 1.87
55.01 - 60.00 557 27,562,944.67 2.80
60.01 - 65.00 747 43,875,932.43 4.45
65.01 - 70.00 1,195 70,532,726.71 7.16
70.01 - 75.00 1,612 105,189,076.18 10.67
75.01 - 80.00 3,814 276,247,252.67 28.03
80.01 - 85.00 2,483 201,074,039.24 20.40
85.01 - 90.00 1,548 142,983,582.60 14.51
90.01 - 95.00 3 304,840.27 0.03
95.01 - 100.00 2 120,453.67 0.01
15,273 $985,610,830.81 100.00 %
-------- ------------------- --------
Min: 2.00
Max: 100.00
Weighted Average: 74.12
- -------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
FIXED RATE COLLATERAL
Combined Loan-to-Value Ratios - Fixed Rate Loans
Range of Number of Aggregate % of Aggregate
Original CLTV's Home Equity Loan Balance Loan Balance
Loans
0.00 - 5.00 % 2 $55,775.85 0.01 %
5.01 - 10.00 5 66,661.84 0.01
10.01 - 15.00 21 398,880.08 0.04
15.01 - 20.00 41 951,958.55 0.10
20.01 - 25.00 67 1,746,060.24 0.18
25.01 - 30.00 99 3,058,496.42 0.31
30.01 - 35.00 139 4,737,005.39 0.48
35.01 - 40.00 192 7,221,368.86 0.73
40.01 - 45.00 252 10,266,593.67 1.04
45.01 - 50.00 415 15,576,001.87 1.58
50.01 - 55.00 384 18,222,804.48 1.85
55.01 - 60.00 600 29,137,735.77 2.96
60.01 - 65.00 832 46,589,695.20 4.73
65.01 - 70.00 1,319 75,200,479.95 7.63
70.01 - 75.00 1,865 113,114,870.69 11.48
75.01 - 80.00 4,282 292,469,356.43 29.67
80.01 - 85.00 3,019 219,359,609.76 22.26
85.01 - 90.00 1,578 143,789,025.96 14.59
90.01 - 95.00 25 698,795.88 0.07
95.01 100.00 136 2,949,653.92 0.30
15,273 $985,610,830.81 100.00 %
-------- -------------------
Min: 2.00
Max: 100.00
Weighted Average: 77.21
- -----------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
FIXED RATE COLLATERAL
Statistical Calculation Date Coupon Rates - Fixed Rate Loans
Range of Number of Aggregate % of Aggregate
Coupon Rates Home Equity Loans Loan Balance Loan Balance
7.01 - 8.00 % 166 $14,363,264.78 1.46 %
8.01 - 9.00 1,466 121,526,806.79 12.33
9.01 - 10.00 3,462 255,864,399.75 25.96
10.01 - 11.00 3,943 267,400,344.05 27.13
11.01 - 12.00 2,628 158,161,425.69 16.05
12.01 - 13.00 1,767 90,686,970.56 9.20
13.01 - 14.00 1,048 47,325,726.10 4.80
14.01 - 15.00 497 19,618,863.47 1.99
15.01 - 16.00 139 5,619,550.03 0.57
16.01 - 17.00 121 3,954,394.71 0.40
17.01 - 18.00 32 997,422.77 0.10
18.01 - 19.00 2 36,462.11 0.00
19.01 - 21.00 2 55,200.00 0.01
15,273 $985,610,830.81 100.00 %
---------- ------------------- --------
Min: 7.10
Max: 20.49
Weighted Average: 10.68
- ------------------- -------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
<TABLE>
<CAPTION>
FIXED RATE COLLATERAL
Statistical Calculation Date Loan Balances - Fixed Rate Loans
Number of Aggregate % of Aggregate
Range of Loan Balances Home Equity Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
$0.00 - 25,000.00 1,842 $34,962,115.42 3.55 %
25,000.01 - 50,000.00 5,030 191,417,502.12 19.42
50,000.01 - 75,000.00 4,115 252,939,627.47 25.66
75,000.01 - 100,000.00 1,960 169,390,781.01 17.19
100,000.01 - 125,000.00 1,071 119,289,162.73 12.10
125,000.01 - 150,000.00 535 73,251,141.55 7.43
150,000.01 - 175,000.00 292 47,128,762.76 4.78
175,000.01 - 200,000.00 169 31,691,143.91 3.22
200,000.01 - 225,000.00 107 22,714,632.51 2.30
225,000.01 - 250,000.00 44 10,432,644.05 1.06
250,000.01 - 275,000.00 40 10,515,538.34 1.07
275,000.01 - 300,000.00 26 7,498,589.55 0.76
300,000.01 - 325,000.00 16 4,988,650.44 0.51
325,000.01 - 350,000.00 14 4,793,172.38 0.49
350,000.01 - 375,000.00 4 1,438,184.87 0.15
375,000.01 - 400,000.00 5 1,902,679.76 0.19
400,000.01 - 425,000.00 2 824,828.68 0.08
425,000.01 - 450,000.00 1 431,673.26 0.04
15,273 $985,610,830.81 100.00 %
--------- -------------------
Min: 5,000.00
Max: 431,673.26
Average: 64,532.89
- ---------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
FIXED RATE COLLATERAL
Types of Mortgaged Properties - Fixed Rate Loans
Number of Aggregate % of Aggregate
Property Types Home Equity Loans Loan Balance Loan Balance
Single Family Detached 13,249 $852,667,466.61 86.51 %
Two to Four- Family Residence 777 58,693,527.97 5.96
Single Family Attached 573 30,526,170.23 3.10
Manufactured Housing 413 21,862,959.30 2.22
Planned Unit Development 127 12,131,852.91 1.23
Condominium 99 5,895,871.74 0.60
Mixed Use 35 3,832,982.05 0.39
15,273 $985,610,830.81 100.00 %
------- -----------------
Occupancy Status - Fixed Rate Loans
Number of Aggregate % of Aggregate
Occupancy Status Home Equity Loans Loan Balance Loan Balance
Owner Occupied 14,417 $944,606,972.32 95.84 %
Investor Owned 856 41,003,858.49 4.16
15,273 $985,610,830.81 100.00 %
-------- ------------------ ----------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
FIXED RATE COLLATERAL
Distribution of Months of Seasoning - Fixed Rate Loans
Months of Number of Aggregate % of Aggregate
Seasoning Home Equity Loans Loan Balance Loan Balance
0 - 1 3,977 $267,869,869.08 27.18 %
2 - 12 11,272 716,358,831.52 72.68
13+ 24 1,382,130.21 0.14
15,273 $985,610,830.81 100.00 %
------------ -------------------
Min: 0.00
Max: 33.00
Weighted Average: 2.27
- -----------------
Distribution of Remaining Months to Maturity - Fixed Rate Loans
Months Remaining Number of Aggregate % of Aggregate
to Maturity Home Equity Loans Loan Balance Loan Balance
0 - 120 583 $17,864,531.04 1.81 %
121 - 180 9,202 584,395,929.43 59.29
181 - 240 2,233 130,031,505.04 13.19
241 - 300 254 16,399,490.27 1.66
301 - 360 3,001 236,919,375.03 24.04
15,273 $985,610,830.81 100.00 %
----------- -------------------
Min: 44.00
Max: 360.00
Weighted Average: 229.61
- -----------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
FIXED RATE COLLATERAL
Distribution of Original Months to Maturity - Fixed Rate Loans
Original Months Number of Aggregate % of Aggregate
to Maturity Home Equity Loans Loan Balance Loan Balance
0 - 60 48 $934,231.84 0.09 %
61 - 120 535 16,930,299.20 1.72
121 - 180 9,202 584,395,929.43 59.29
181 - 240 2,233 130,031,505.04 13.19
241 - 300 254 16,399,490.27 1.66
301 - 360 3,001 236,919,375.03 24.04
15,273 $985,610,830.81 100.00 %
-------- -------------------
Min: 48.00
Max: 360.00
Weighted Average: 231.89
- -----------------
Days Delinquent - Fixed Rate Loans
Number of Aggregate % of Aggregate
Days Delinquent Home Equity Loans Loan Balance Loan Balance
0 - 30 15,099 $975,455,102.00 98.97 %
31 - 60 166 9,804,420.50 0.99
61 - 90 8 351,308.31 0.04
15,273 $985,610,830.81 100.00 %
-------- ---------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
FIXED RATE COLLATERAL
Statistical Calculation Date Junior Lien Ratio - Fixed Rate Loans
Junior Number of Aggregate % of Aggregate
Lien Ratio Home Equity Loans Loan Balance Loan Balance
5.01 - 10.00 % 10 $167,786.19 0.28 %
10.01 - 15.00 143 2,666,815.12 4.39
15.01 - 20.00 373 8,895,927.64 14.63
20.01 - 25.00 302 8,276,665.79 13.61
25.01 - 30.00 246 8,427,352.20 13.86
30.01 - 35.00 199 7,357,133.08 12.10
35.01 - 40.00 152 5,995,430.92 9.86
40.01 - 45.00 114 4,970,813.06 8.17
45.01 - 50.00 77 3,497,581.47 5.75
50.01 - 55.00 41 2,024,612.08 3.33
55.01 - 60.00 36 1,814,956.77 2.98
60.01 - 65.00 26 1,223,933.39 2.01
65.01 - 70.00 25 1,456,217.80 2.39
70.01 - 75.00 23 1,160,837.80 1.91
75.01 - 80.00 18 709,620.93 1.17
80.01 - 85.00 16 878,370.65 1.44
85.01 - 90.00 11 746,987.12 1.23
90.01 - 95.00 7 369,209.87 0.61
95.01 - 100.00 2 170,885.56 0.28
1,821 $60,811,137.44 100.00 %
---------- -------------------
Min: 6.48
Max: 98.01
Weighted Average: 35.71
- -------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
FIXED RATE COLLATERAL
Statistical Calculation Date Debt to Income Ratio - Fixed Rate Loans
Range of Debt Number of Aggregate % of Aggregate
to Income Ratio Home Equity Loans Loan Balance Loan Balance
0.00 - 5.00 % 29 $1,641,270.80 0.17 %
5.01 - 10.00 99 4,724,518.22 0.48
10.01 - 15.00 332 14,663,787.23 1.49
15.01 - 20.00 779 36,011,784.63 3.65
20.01 - 25.00 1,214 63,894,730.82 6.48
25.01 - 30.00 1,712 96,792,547.12 9.82
30.01 - 35.00 2,039 125,685,985.19 12.75
35.01 - 40.00 2,378 155,405,314.23 15.77
40.01 - 45.00 2,903 199,793,530.63 20.27
45.01 - 50.00 3,303 246,258,715.06 24.99
50.01 - 55.00 463 38,147,001.78 3.87
55.01 - 60.00 16 1,877,569.38 0.19
60.01 - 65.00 2 128,604.18 0.01
65.01 - 70.00 1 59,500.00 0.01
70.01 - 75.00 2 148,000.00 0.02
75.01 - 80.00 1 377,971.54 0.04
15,273 $985,610,830.81 100.00 %
---------- -------------------
Min: 2
Max: 78
Weighted Average: 38.36
- -------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
FIXED RATE COLLATERAL
Lien Position - Fixed Rate Loans
Number of Aggregate % of Aggregate
Lien Position Home Equity Loans Loan Balance Loan Balance
First Lien 13,452 $924,799,693.37 93.83 %
Second Lien 1,821 60,811,137.44 6.17
15,273 $985,610,830.81 100.00 %
------- -----------------
Balloon - Fixed Rate Loans
Number of Aggregate % of Aggregate
Balloon Home Equity Loans Loan Balance Loan Balance
240/180 Balloon 2 $65,110.14 0.01 %
360/150 Balloon 1 56,000.00 0.01
360/180 Balloon 6,338 459,153,681.00 46.59
Fixed 8,893 522,567,213.83 53.02
Prog Pmt 39 3,768,825.84 0.38
15,273 $985,610,830.81 100.00 %
------- ----------------- ----------
Loan Purpose - Fixed Rate Loans
Number of Aggregate % of Aggregate
Loan Purpose Home Equity Loans Loan Balance Loan Balance
Debt Consolidation 10,869 $695,475,989.62 70.56 %
Other 3,061 192,062,864.34 19.49
Purchase 1,036 80,729,739.50 8.19
Home Improvement 299 16,952,932.97 1.72
Debt Con & HI Combo 8 389,304.38 0.04
15,273 $985,610,830.81 100.00 %
-------- ---------------- ----------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
FIXED RATE COLLATERAL
Documentation Level - Fixed Rate Loans
Number of Aggregate % of Aggregate
Documentation Level Home Equity Loans Loan Balance Loan Balance
Standard Documentation 12,674 $792,724,293.32 80.43 %
FNMA Documentation 1,154 83,781,665.11 8.50
Limited Documentation 869 70,196,749.00 7.12
No Documentation 576 38,908,123.38 3.95
15,273 $985,610,830.81 100.00 %
-------- ----------------- ---------
Credit Rating - Fixed Rate Loans
Number of Aggregate % of Aggregate
Credit Rating Home Equity Loans Loan Balance Loan Balance
A1 1,154 $83,781,665.11 8.50 %
A2 6,451 445,299,691.77 45.18
A3 600 52,058,037.49 5.28
A4 315 24,457,373.59 2.48
B1 3,274 200,075,826.96 20.30
B3 164 13,151,156.36 1.33
B4 130 8,119,686.79 0.82
C1 2,330 122,890,599.03 12.47
C3 79 4,035,707.97 0.41
C4 99 5,096,355.09 0.52
D1 619 24,458,175.56 2.48
D3 26 951,847.18 0.10
D4 32 1,234,707.91 0.13
15,273 $985,610,830.81 100.00 %
------- ----------------- ---------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE RATE COLLATERAL
Geographic Distribution of Mortgaged Properties - Adjustable Rate Loans
Number of Aggregate % of Aggregate
State Home Equity Loans Loan Balance Loan Balance
Arizona 118 $9,917,647.81 3.34 %
Arkansas 3 225,072.88 0.08
California 331 47,937,035.66 16.14
Colorado 110 12,814,918.09 4.32
Connecticut 29 2,793,647.65 0.94
Delaware 2 255,880.93 0.09
District of Columbia 8 1,086,468.97 0.37
Florida 195 17,811,875.05 6.00
Georgia 73 6,996,291.65 2.36
Hawaii 8 1,332,433.55 0.45
Idaho 31 2,829,224.79 0.95
Illinois 168 16,913,228.64 5.70
Indiana 117 7,128,369.28 2.40
Iowa 10 624,173.60 0.21
Kansas 29 2,137,523.37 0.72
Kentucky 38 2,857,626.27 0.96
Louisiana 12 990,845.58 0.33
Maine 2 168,044.40 0.06
Maryland 42 4,424,516.72 1.49
Massachusetts 51 6,870,023.63 2.31
Michigan 450 35,843,984.90 12.07
Minnesota 65 5,718,398.37 1.93
Mississippi 17 950,117.92 0.32
Missouri 77 4,884,184.01 1.64
Montana 12 1,561,011.81 0.53
Nebraska 8 443,939.29 0.15
Nevada 44 5,016,050.21 1.69
New Hampshire 8 879,849.31 0.30
New Jersey 16 2,121,249.11 0.71
New Mexico 45 3,372,915.10 1.14
New York 12 1,435,866.08 0.48
North Carolina 41 2,699,292.62 0.91
North Dakota 1 104,400.00 0.04
Ohio 193 15,174,446.58 5.11
Oklahoma 43 3,932,512.08 1.32
Oregon 44 4,173,058.80 1.41
Pennsylvania 91 7,778,187.61 2.62
Rhode Island 14 1,306,515.52 0.44
South Carolina 10 777,432.81 0.26
Tennessee 16 1,138,586.97 0.38
Texas 184 16,700,877.84 5.62
Utah 138 15,541,927.24 5.23
Vermont 2 179,465.28 0.06
Virginia 18 2,187,115.84 0.74
Washington 123 12,801,645.50 4.31
West Virginia 11 662,513.54 0.22
Wisconsin 44 3,093,434.49 1.04
Wyoming 3 327,098.94 0.11
3,107 $296,920,926.29 100.00 %
----- --------------- --------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE RATE COLLATERAL
Original Loan-to-Value Ratios - Adjustable Rate Loans
Range of Number of Aggregate % of Aggregate
Original LTV's Home Equity Loans Loan Balance Loan Balance
10.01 - 15.00 % 1 $10,940.40 0.00 %
20.01 - 25.00 3 96,278.23 0.03
25.01 - 30.00 13 943,921.23 0.32
30.01 - 35.00 9 462,885.30 0.16
35.01 - 40.00 17 840,312.05 0.28
40.01 - 45.00 19 1,189,805.11 0.40
45.01 - 50.00 40 2,793,291.34 0.94
50.01 - 55.00 40 3,174,793.03 1.07
55.01 - 60.00 65 4,797,905.95 1.62
60.01 - 65.00 166 11,688,539.10 3.94
65.01 - 70.00 246 20,362,956.65 6.86
70.01 - 75.00 447 39,903,597.42 13.44
75.01 - 80.00 868 82,776,494.68 27.88
80.01 - 85.00 625 67,101,777.34 22.60
85.01 - 90.00 545 60,572,708.54 20.40
90.01 - 95.00 2 143,979.97 0.05
95.01 - 100.00 1 60,739.95 0.02
3,107 $296,920,926.29 100.00 %
--------- ------------------- ---------
Min: 14.00
Max: 100.00
Weighted Average: 79.38
- -------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE RATE COLLATERAL
Statistical Calculation Date Coupon Rates - Adjustable Rate Loans
Range of Current Number of Aggregate % of Aggregate
Coupon Rates Home Equity Loans Loan Balance Loan Balance
6.01 - 7.00 % 6 $840,660.02 0.28 %
7.01 - 8.00 37 6,273,316.34 2.11
8.01 - 9.00 305 36,550,433.35 12.31
9.01 - 10.00 976 101,798,698.48 34.28
10.01 - 11.00 1,097 99,782,927.01 33.61
11.01 - 12.00 528 41,174,024.56 13.87
12.01 - 13.00 113 7,755,391.58 2.61
13.01 - 14.00 37 2,378,774.15 0.80
14.01 - 15.00 8 366,700.80 0.12
3,107 $296,920,926.29 100.00 %
-------- -------------------
Min: 6.13
Max: 14.75
Weighted Average: 10.15
- -------------------
Occupancy Status - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Occupancy Status Home Equity Loans Loan Balance Loan Balance
Investor Owned 208 $14,717,387.80 4.96 %
Owner Occupied 2,899 282,203,538.49 95.04
3,107 $296,920,926.29 100.00 %
------ --------------- ---------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE RATE COLLATERAL
Statistical Calculation Date Loan Balances - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Range of Loan Balances Home Equity Loans Loan Balance Loan Balance
$0.00 - 25,000.00 62 $1,313,219.93 0.44 %
25,000.01 - 50,000.00 555 22,008,370.49 7.41
50,000.01 - 75,000.00 772 48,530,499.40 16.34
75,000.01 - 100,000.00 636 55,353,416.10 18.64
100,000.01 - 125,000.00 413 46,012,605.62 15.50
125,000.01 - 150,000.00 241 32,956,554.88 11.10
150,000.01 - 175,000.00 138 22,284,213.19 7.51
175,000.01 - 200,000.00 90 16,868,424.99 5.68
200,000.01 - 225,000.00 68 14,390,589.76 4.85
225,000.01 - 250,000.00 33 7,871,070.03 2.65
250,000.01 - 275,000.00 37 9,656,672.87 3.25
275,000.01 - 300,000.00 29 8,302,537.55 2.80
300,000.01 - 325,000.00 9 2,816,302.69 0.95
325,000.01 - 350,000.00 16 5,468,825.45 1.84
350,000.01 - 375,000.00 5 1,833,104.10 0.62
375,000.01 - 400,000.00 2 774,519.24 0.26
475,000.01 - 500,000.00 1 480,000.00 0.16
3,107 $296,920,926.29 100.00 %
--------- -----------------
Min: 10,940.40
Max: 480,000.00
Average: 95,565.15
- ----------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE RATE COLLATERAL
Types of Mortgaged Properties - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Property Types Home Equity Loans Loan Balance Loan Balance
Single Family Detached 2,678 $256,512,382.74 86.39 %
Single Family Attached 59 4,536,213.71 1.53
Two to Four- Family Residence 162 16,845,302.13 5.67
Manufactured Housing 59 4,374,567.71 1.47
Mixed Use 1 59,878.25 0.02
Planned Unit Development 94 10,562,175.49 3.56
Condominium 54 4,030,406.26 1.36
1.53
3,107 $296,920,926.29 100.00 %
----- ---------------- --------
Distribution of Months of Seasoning - Adjustable Rate Loans
Months of Number of Aggregate % of Aggregate
Seasoning Home Equity Loans Loan Balance Loan Balance
0 - 1 981 $96,832,622.45 32.61 %
2 - 12 2,121 199,667,004.53 67.25
13+ 5 421,299.31 0.14
3,107 $296,920,926.29 100.00 %
-------- -----------------
Min: 0.00
Max: 17.00
Weighted Average: 2.10
- ------------------- ----------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
Distribution of Original Term to Maturity - Adjustable Rate Loans
Original Term Number of Aggregate % of Aggregate
to Maturity Home Equity Loans Loan Balance Loan Balance
121 - 180 3 $169,516.93 0.06 %
301 - 360 3,104 296,751,409.36 99.94
3,107 $296,920,926.29 100.00 %
------- -------------------
Min: 180.00
Max: 360.00
Weighted Average: 359.90
- -------------------
Distribution of Remaining Months to Maturity - Adjustable Rate Loans
Months Remaining Number of Aggregate % of Aggregate
to Maturity Home Equity Loans Loan Balance Loan Balance
121 - 180 3 169,516.93 0.06 %
301 - 360 3,104 296,751,409.36 99.94
3,107 $296,920,926.29 100.00 %
----------- -------------------
Min: 176.00
Max: 360.00
Weighted Average: 357.80
- -------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE RATE COLLATERAL
Distribution of Margins - Adjustable Rate Loans
Range of Number of Aggregate % of Aggregate
Margins Home Equity Loans Loan Balance Loan Balance
1.01 - 2.00 % 1 $58,378.94 0.02 %
2.01 - 3.00 2 169,205.14 0.06
3.01 - 4.00 9 1,395,478.67 0.47
4.01 - 5.00 192 20,603,418.57 6.94
5.01 - 6.00 1,139 116,813,404.73 39.34
6.01 - 7.00 1,164 106,414,566.96 35.84
7.01 - 8.00 482 42,113,613.47 14.18
8.01 - 9.00 79 6,538,028.92 2.20
9.01 - 10.00 34 2,363,697.46 0.80
10.01 - 11.00 2 189,854.93 0.06
11.01 - 12.00 3 261,278.50 0.09
3,107 $296,920,926.29 100.00 %
--------- -------------------
Min: 2.00
Max: 11.60
Weighted Average: 6.21
- -------------------
Product Type - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Product Type Home Equity Loans Loan Balance Loan Balance
2/28 2,306 $213,148,554.15 71.79 %
3/27 352 36,805,359.17 12.40
6 month LIBOR 449 46,967,012.97 15.82
3,107 $296,920,926.29 100.00 %
----- ---------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE RATE COLLAERAL
Distribution of Maximum Coupon Rates - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Maximum Rate Home Equity Loans Loan Balance Loan Balance
9.01 - 10.00 % 2 $119,850.00 0.04 %
10.01 - 11.00 1 132,000.00 0.04
11.01 - 12.00 1 84,775.05 0.03
12.01 - 13.00 3 291,171.44 0.10
13.01 - 14.00 17 2,566,647.62 0.86
14.01 - 15.00 207 26,476,837.38 8.92
15.01 - 16.00 885 93,774,154.56 31.58
16.01 - 17.00 1,123 105,052,830.03 35.38
17.01 - 18.00 606 49,743,658.60 16.75
18.01 - 19.00 193 14,196,531.40 4.78
19.01 - 20.00 56 3,852,892.04 1.30
20.01 - 21.00 12 607,085.10 0.20
21.01 - 22.00 1 22,493.07 0.01
3,107 $296,920,926.29 100.00 %
------ -------------------
Min: 9.50
Max: 21.75
Weighted Average: 16.37
- -------------------
Lien Position - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Lien Position Home Equity Loans Loan Balance Loan Balance
First Lien 3,107 $296,920,926.29 100.00
3,107 $296,920,926.29 100.00 %
----- --------------- ---------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE RATE COLLATERAL
Distribution of Minimum Coupon Rates - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Minimum Rate Home Equity Loans Loan Balance Loan Balance
5.01 - 6.00 % 2 $171,362.06 0.06 %
6.01 - 7.00 7 1,042,922.87 0.35
7.01 - 8.00 37 6,273,316.34 2.11
8.01 - 9.00 308 36,841,121.07 12.41
9.01 - 10.00 976 101,716,295.95 34.26
10.01 - 11.00 1,095 99,411,382.31 33.48
11.01 - 12.00 525 41,043,228.32 13.82
12.01 - 13.00 114 7,848,211.50 2.64
13.01 - 14.00 35 2,206,385.07 0.74
14.01 - 15.00 8 366,700.80 0.12
3,107 $296,920,926.29 100.00 %
------- -------------------
Min: 5.375
Max: 14.75
Weighted Average: 10.14
- ------------------- -------------------
Days Delinquent - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Days Delinquent Home Equity Loans Loan Balance Loan Balance
0 - 30 3,063 $292,577,726.59 98.54 %
31 - 60 40 3,568,594.23 1.20
61 - 90 4 774,605.47 0.26
3,107 $296,920,926.29 100.00 %
------ ----------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE RATE COLLATERAL
Distribution of Coupon Rate Change - Adjustable Rate Loans
Month of Next Coupon Number of Aggregate % of Aggregate
Rate Change Home Equity Loans Loan Balance Loan Balance
April-98 22 $1,737,941.95 0.59 %
May-98 28 2,699,931.18 0.91
June-98 117 11,890,835.98 4.00
July-98 165 17,809,739.56 6.00
August-98 101 11,689,670.98 3.94
September-98 16 1,138,893.32 0.38
November-98 1 55,242.08 0.02
June-99 2 165,214.94 0.06
July-99 5 414,354.85 0.14
August-99 11 647,262.41 0.22
September-99 25 2,506,491.10 0.84
October-99 47 4,665,081.17 1.57
November-99 142 13,197,894.02 4.44
December-99 547 46,219,698.59 15.57
January-00 865 81,769,611.18 27.54
February-00 628 59,584,266.81 20.07
March-00 33 3,923,437.00 1.32
July-00 3 331,747.34 0.11
September-00 1 62,842.58 0.02
October-00 7 761,278.70 0.26
November-00 13 1,577,092.12 0.53
December-00 46 4,563,852.61 1.54
January-01 149 15,699,498.72 5.29
February-01 117 11,919,797.10 4.01
March-01 16 1,889,250.00 0.64
3,107 $296,920,926.29 100.00 %
----- ---------------- --------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE RATE COLLATERAL
Credit Score - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Credit Score Home Equity Loans Loan Balance Loan Balance
A1 10 $785,057.18 0.26 %
A2 1,323 138,174,947.67 46.54
A3 164 21,143,493.52 7.12
A4 199 22,063,256.19 7.43
B1 704 60,068,774.66 20.23
B3 52 6,012,300.86 2.02
B4 74 6,736,229.89 2.27
C1 464 33,486,048.70 11.28
C3 12 1,136,035.27 0.38
C4 29 2,250,731.30 0.76
D1 67 4,198,785.23 1.41
D3 1 236,000.00 0.08
D4 8 629,265.82 0.21
3,107 $296,920,926.29 100.00 %
Balloon - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Balloon Home Equity Loans Loan Balance Loan Balance
Fully Amortizing 3,107 $296,920,926.29 100.00 %
3,107 $296,920,926.29 100.00 %
----- --------------- --------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE RATE COLLATERAL
Statistical Calculation Date Debt to Income Ratio - Adjustable Rate Loans
Range of Debt Number of Aggregate % of Aggregate
to Income Ratio Home Equity Loans Loan Balance Loan Balance
5.01 - 10.00 % 14 $1,254,685.40 0.42 %
10.01 - 15.00 55 3,427,166.12 1.15
15.01 - 20.00 130 8,782,282.08 2.96
20.01 - 25.00 218 15,694,735.55 5.29
25.01 - 30.00 298 26,233,103.00 8.84
30.01 - 35.00 388 35,175,634.11 11.85
35.01 - 40.00 473 44,629,669.39 15.03
40.01 - 45.00 604 59,563,812.28 20.06
45.01 - 50.00 669 73,060,228.01 24.61
50.01 - 55.00 226 25,710,836.32 8.66
55.01 - 60.00 31 3,263,924.03 1.10
60.01 - 65.00 1 124,850.00 0.04
3,107 $296,920,926.29 100.00 %
------ -------------------
Min: 6.00
Max: 61.00
Weighted Average: 39.75
- -------------------
Loan Purpose - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Loan Purpose Home Equity Loans Loan Balance Loan Balance
Debt Consolidation 1,578 $150,578,013.49 50.71 %
Purchase 1,003 98,381,149.96 33.13
Other 507 46,062,261.81 15.51
Home Improvement 19 1,899,501.03 0.64
3,107 $296,920,926.29 100.00 %
------ ---------------- --------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE RATE COLLATERAL
Periodic Rate Cap - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Periodic Rate Cap Home Equity Loans Loan Balance Loan Balance
1.0 % 2,836 $270,086,479.36 90.96 %
1.5 267 26,425,637.93 8.90
2.0 1 90,472.15 0.03
3.0 3 318,336.85 0.11
3,107 $296,920,926.29 100.00 %
------- ----------------- ---------
Min: 1.00
Max: 3.00
Weighted Average: 1.05
- -------------------
Initial Periodic Cap - Adjustable Rate Loans
Initial Number of Aggregate % of Aggregate
Periodic Cap Home Equity Loans Loan Balance Loan Balance
1.0 % 451 $46,445,539.98 15.64 %
1.5 240 22,901,426.63 7.71
2.0 24 2,621,469.04 0.88
3.0 2,366 222,404,816.50 74.90
6.0 17 1,671,111.87 0.56
7.0 9 876,562.27 0.30
3,107 $296,920,926.29 100.00 %
-------- -------------------
Min: 1.00
Max: 7.00
Weighted Average: 2.59
- -------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE RATE COLLATERAL
Documentation Level - Adjustable Rate Loans
Number of Aggregate % of Aggregate
Documentation Level Home Equity Loans Loan Balance Loan Balance
Standard Documentation 2,558 $235,928,556.26 79.46 %
No Documentation 310 31,679,483.20 10.67
Limited Documentation 229 28,527,829.65 9.61
FNMA Documentation 10 785,057.18 0.26
3,107 $296,920,926.29 100.00 %
----- ---------------- --------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
PAC SCHEDULE
<TABLE>
<CAPTION>
PAC Schedule
Period Period Period
<S> <C> <C> <C> <C> <C>
0 1,149,125,000.00 43 303,036,312.67 86 52,942,886.81
1 1,149,125,000.00 44 291,420,694.80 87 50,470,469.72
2 1,149,125,000.00 45 280,245,944.62 88 48,091,093.66
3 1,149,125,000.00 46 269,495,179.18 89 45,801,256.62
4 1,149,125,000.00 47 259,152,171.32 90 43,597,589.17
5 1,149,125,000.00 48 249,201,323.75 91 41,476,849.31
6 1,149,125,000.00 49 239,627,644.12 92 39,435,917.68
7 1,120,505,653.87 50 230,416,721.08 93 37,471,792.78
8 1,088,708,610.31 51 221,554,701.38 94 35,581,586.58
9 1,054,941,286.54 52 213,028,267.87 95 33,762,520.08
10 1,019,416,896.07 53 204,824,618.33 96 32,011,919.25
11 984,191,273.04 54 196,931,445.26 97 30,327,210.94
12 949,605,528.42 55 189,336,916.35 98 28,705,919.12
13 918,571,440.75 56 182,029,655.86 99 27,145,661.11
14 887,966,990.72 57 174,998,726.69 100 25,644,144.09
15 857,795,051.59 58 168,233,613.14 101 24,199,161.63
16 828,059,827.41 59 161,724,204.43 102 22,808,590.47
17 799,096,175.69 60 155,460,778.82 103 21,470,387.26
18 770,883,848.27 61 149,433,988.44 104 20,182,585.64
19 743,403,138.04 62 143,634,844.58 105 18,943,293.26
20 716,634,864.25 63 138,054,703.76 106 17,750,688.94
21 690,560,358.05 64 132,685,254.21 107 16,603,020.06
22 665,161,448.56 65 127,518,502.95 108 15,498,599.88
23 640,433,989.54 66 122,546,763.35 109 14,435,805.11
24 616,346,394.17 67 117,762,643.24 110 13,413,073.44
25 592,881,943.53 68 113,159,033.44 111 12,428,901.28
26 570,024,363.03 69 108,729,096.74 112 11,481,841.56
27 547,757,810.27 70 104,466,257.38 113 10,577,106.35
28 526,066,863.36 71 100,364,190.90 114 9,706,336.75
29 504,936,509.48 72 96,416,814.34 115 8,868,262.00
30 484,352,133.80 73 92,618,276.97 116 8,061,658.97
31 464,299,508.71 74 88,962,951.25 117 7,285,350.36
32 444,764,783.32 75 85,445,424.19 118 6,538,202.91
33 425,734,473.27 76 82,060,489.10 119 5,819,125.86
34 407,195,450.83 77 78,803,137.57 120 5,127,069.22
35 389,137,556.29 78 75,668,551.87 121 4,461,022.33
36 371,545,564.24 79 72,652,097.54 122 3,820,012.35
37 371,545,564.24 80 69,749,316.40 123 3,203,102.79
38 368,891,635.23 81 66,833,117.88 124 2,609,392.24
39 354,269,621.25 82 63,837,945.49 125 2,038,012.97
40 340,707,615.41 83 60,955,504.45 126 1,488,129.70
41 327,661,125.84 84 58,181,546.56 127 958,938.37
42 315,110,364.06 85 55,511,984.72 128 449,664.97
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
<TABLE>
<CAPTION>
AVAILABLE FUNDS CAP
Group1 Group2 Group1 Group2 Group1 Group2 Group1 Group2 2
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 3.00 3.09 49 9.65 10.80 97 9.54 10.79 145 9.48 10.80 7
2 9.20 9.43 50 9.65 10.80 98 9.53 10.79 146 9.48 10.80 7
3 9.20 9.45 51 9.65 10.80 99 9.54 10.79 147 9.49 10.80 7
4 9.18 9.54 52 9.64 10.80 100 9.53 10.79 148 9.48 10.80 7
5 9.17 9.67 53 9.64 10.80 101 9.52 10.79 149 9.48 10.80 7
6 9.16 9.76 54 9.64 10.80 102 9.53 10.79 150 9.49 10.80 7
7 8.64 9.27 55 9.63 10.80 103 9.52 10.79 151 9.49 10.80 7
8 8.63 9.28 56 9.63 10.80 104 9.52 10.79 152 9.49 10.80 7
9 8.60 9.30 57 9.63 10.80 105 9.51 10.79 153 9.49 10.80 7
10 8.58 9.39 58 9.63 10.80 106 9.51 10.79 154 9.49 10.80 7
11 8.56 9.52 59 9.63 10.80 107 9.53 10.79 155 9.51 10.80 7
12 8.53 9.61 60 9.62 10.80 108 9.51 10.79 156 9.50 10.80 7
13 8.51 9.62 61 9.62 10.80 109 9.51 10.79 157 9.50 10.80 6
14 8.48 9.62 62 9.62 10.80 110 9.50 10.79 158 9.50 10.80 6
15 8.45 9.62 63 9.62 10.80 111 9.50 10.79 159 9.51 10.80 6
16 8.42 9.65 64 9.61 10.80 112 9.50 10.79 160 9.50 10.80 6
17 8.39 9.72 65 9.61 10.80 113 9.49 10.79 161 9.51 10.80 6
18 8.36 9.75 66 9.61 10.80 114 9.50 10.79 162 9.51 10.80 6
19 8.32 9.76 67 9.60 10.80 115 9.49 10.79 163 9.51 10.80 6
20 8.29 9.76 68 9.61 10.80 116 9.49 10.79 164 9.52 10.80 5
21 8.25 9.76 69 9.60 10.80 117 9.49 10.79 165 9.52 10.80 6
22 8.22 10.80 70 9.60 10.80 118 9.48 10.79 166 9.52 10.80 6
23 8.35 10.80 71 9.60 10.80 119 9.50 10.79 167 9.53 10.80
24 8.30 10.80 72 9.59 10.79 120 9.48 10.79 168 9.53 10.80
25 8.27 10.80 73 9.60 10.79 121 9.49 10.79 169 9.53 10.80
26 8.22 10.80 74 9.59 10.79 122 9.48 10.79 170 9.53 10.80
27 8.18 10.80 75 9.59 10.79 123 9.48 10.79 171 9.54 10.80
28 8.14 10.80 76 9.59 10.79 124 9.47 10.79 172 9.54 10.80
29 8.09 10.80 77 9.58 10.79 125 9.47 10.79 173 9.54 10.80
30 8.05 10.80 78 9.59 10.79 126 9.48 10.79 174 9.55 10.80
31 9.65 10.80 79 9.58 10.79 127 9.47 10.79 175 9.55 10.80
32 9.65 10.80 80 9.58 10.79 128 9.47 10.79 176 9.56 10.80
33 9.65 10.80 81 9.57 10.79 129 9.46 10.79 177 9.56 10.80
34 9.65 10.80 82 9.57 10.79 130 9.46 10.79 178 9.56 10.80
35 9.69 10.80 83 9.58 10.79 131 9.48 10.79 179 9.52 10.87
36 9.68 10.80 84 9.57 10.79 132 9.46 10.79 180 9.52 10.87
37 9.68 10.80 85 9.57 10.79 133 9.47 10.79 181 9.52 10.87
38 9.68 10.80 86 9.56 10.79 134 9.47 10.79 182 9.52 10.87
39 9.68 10.80 87 9.56 10.79 135 9.47 10.79 183 9.52 10.87
40 9.67 10.80 88 9.56 10.79 136 9.47 10.79 184 9.52 10.87
41 9.67 10.80 89 9.55 10.79 137 9.47 10.80 185 9.52 10.87
42 9.67 10.80 90 9.56 10.79 138 9.48 10.80 186 9.52 10.87
43 9.67 10.80 91 9.55 10.79 139 9.47 10.80 187 9.52 10.87
44 9.67 10.80 92 9.55 10.79 140 9.48 10.80 188 9.52 10.87
45 9.66 10.80 93 9.54 10.79 141 9.47 10.80 189 9.52 10.87
46 9.66 10.80 94 9.54 10.79 142 9.47 10.80 190 9.52 10.87
47 9.66 10.80 95 9.56 10.79 143 9.49 10.80 191 9.51 10.87
48 9.65 10.80 96 9.54 10.79 144 9.48 10.80 192 9.51 10.87
Group1 Group2 Group1 Group2 Group1 Group2 Group1 Group
193 9.51 10.87 241 9.51 10.87 289 9.48 10.87 337 9.46 10.8
194 9.51 10.87 242 9.51 10.87 290 9.48 10.87 338 9.46 10.8
195 9.51 10.87 243 9.51 10.87 291 9.48 10.87 339 9.46 10.8
196 9.51 10.87 244 9.51 10.87 292 9.48 10.87 340 9.46 10.8
197 9.51 10.87 245 9.50 10.87 293 9.48 10.87 341 9.46 10.8
198 9.51 10.87 246 9.50 10.87 294 9.48 10.87 342 9.46 10.8
199 9.51 10.87 247 9.50 10.87 295 9.48 10.87 343 9.46 10.8
200 9.51 10.87 248 9.50 10.87 296 9.48 10.87 344 9.46 10.8
201 9.51 10.87 249 9.50 10.87 297 9.48 10.87 345 9.46 10.8
202 9.51 10.87 250 9.50 10.87 298 9.47 10.87 346 9.46 10.8
203 9.51 10.87 251 9.50 10.87 299 9.47 10.87 347 9.46 10.8
204 9.51 10.87 252 9.50 10.87 300 9.47 10.87 348 9.46 10.8
205 9.51 10.87 253 9.50 10.87 301 9.47 10.87 349 9.46 10.8
206 9.51 10.87 254 9.50 10.87 302 9.47 10.87 350 9.46 10.8
207 9.51 10.87 255 9.50 10.87 303 9.47 10.87 351 9.46 10.8
208 9.51 10.87 256 9.50 10.87 304 9.47 10.87 352 9.45 10.8
209 9.51 10.87 257 9.50 10.87 305 9.47 10.87 353 9.45 10.8
210 9.51 10.87 258 9.50 10.87 306 9.47 10.87 354 9.45 10.8
211 9.51 10.87 259 9.50 10.87 307 9.47 10.87 355 9.45 10.8
212 9.51 10.87 260 9.49 10.87 308 9.47 10.87 356 9.45 10.8
213 9.51 10.87 261 9.49 10.87 309 9.47 10.87 357 9.45 10.8
214 9.51 10.87 262 9.49 10.87 310 9.47 10.87 358 9.45 10.8
215 9.51 10.87 263 9.49 10.87 311 9.47 10.87 359 - -
216 9.51 10.87 264 9.49 10.87 312 9.47 10.87 360 - -
217 9.51 10.87 265 9.49 10.87 313 9.47 10.87
218 9.51 10.87 266 9.49 10.87 314 9.47 10.87
219 9.51 10.87 267 9.49 10.87 315 9.47 10.87
220 9.51 10.87 268 9.49 10.87 316 9.47 10.87
221 9.51 10.87 269 9.49 10.87 317 9.47 10.87
222 9.51 10.87 270 9.49 10.87 318 9.47 10.87
223 9.51 10.87 271 9.49 10.87 319 9.47 10.87
224 9.51 10.87 272 9.49 10.87 320 9.47 10.87
225 9.51 10.87 273 9.49 10.87 321 9.47 10.87
226 9.51 10.87 274 9.49 10.87 322 9.46 10.87
227 9.51 10.87 275 9.49 10.87 323 9.46 10.87
228 9.51 10.87 276 9.49 10.87 324 9.46 10.87
229 9.51 10.87 277 9.48 10.87 325 9.46 10.87
230 9.51 10.87 278 9.48 10.87 326 9.46 10.87
231 9.51 10.87 279 9.48 10.87 327 9.46 10.87
232 9.51 10.87 280 9.48 10.87 328 9.46 10.87
233 9.51 10.87 281 9.48 10.87 329 9.46 10.87
234 9.51 10.87 282 9.48 10.87 330 9.46 10.87
235 9.51 10.87 283 9.48 10.87 331 9.46 10.87
236 9.51 10.87 284 9.48 10.87 332 9.46 10.87
237 9.51 10.87 285 9.48 10.87 333 9.46 10.87
238 9.51 10.87 286 9.48 10.87 334 9.46 10.87
239 9.51 10.87 287 9.48 10.87 335 9.46 10.87
240 9.51 10.87 288 9.48 10.87 336 9.46 10.87
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
<TABLE>
<CAPTION>
DELINQUENCY EXPERIENCE
CONTIMORGTAGE'S SERVICING PORTFOLIO
Year Ending December 31,
1997 1996 1995 1994
Number Dollar Number Dollar Number Dollar Number Dollar
of Loans Amount of Loans Amount of Loans Amount of Loans Amount
Portfolio At 143,944 $9,122,792 93,372 $5,699,145 58,459 $3,427,190 33,270 $1,879,920
Delinquency Percentage (1)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
30-59 days 2.69% 2.37% 3.31% 3.09% 2.32% 2.02% 0.82% 0.67%
60-89 days 0.77% 0.74% 0.74% 0.72% 0.69% 0.70% 0.19% 0.20%
90 days or more 0.34% 0.31% 0.33% 0.36% 0.95% 1.01% 0.55% 0.57%
---- ---- ---- ---- ---- ---- ---- ----
Total Delinquency 3.80% 3.42% 4.38% 4.17% 3.96% 3.73% 1.56% 1.44%
Total Delinquency Amount 5,463 $311,821 4,088 $237,642 2,316 $128,063 518 $26,993
Default Percentage (2)
Foreclosure 2.66% 2.78% 2.51% 2.62% 1.17% 1.15% 0.33% 0.34%
Bankruptcy 1.58% 1.53% 1.12% 1.12% 0.68% 0.69% 0.34% 0.33%
REO Properties 0.63% 0.65% 0.43% 0.49% 0.07% 0.08% 0.11% 0.11%
Forbearance (3) 0.51% 0.59% 0.14% 0.15% 0.10% 0.12% n/a n/a
---- ---- ---- ---- ---- ----
Total Default 5.37% 5.55% 4.20% 4.38% 2.02% 2.04% 0.78% 0.78%
Total Default Amount 7,736 $506,774 3,926 $249,714 1,182 $69,962 260 $14,717
NOTES:
(1) The period of delinquency is based on the number of days payments are
contractually past due. The delinquency statistics for the period exclude
loans in foreclosure, bankruptcy, real estate owned or forbearance.
(2) The default percentage represent the ratio of the number or dollar value of
delinquent home equity loans in foreclosure, bankruptcy, real estate owned
or forbearance to the total number or dollar balance of the outstanding
portfolio.
(3) A reporting change was made in 1997 such that certain 90+ Day Delinquent
Loans and Foreclosure Loans have been transferred to the Forbearance Loans
category. Therefor the 1997 statistics are not directly comparable to the
1996, 1995 and 1994 numbers.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
<TABLE>
<CAPTION>
LOSS EXPERIENCE
CONTIMORTGAGE'S SERVICING PORTFOLIO
Year Ending December 31,
1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C> <C>
Average Amount Outstanding (1) $7,248,686 $4,261,983 $2,641,686 $1,400,163 $606,272
Gross Losses (2) 30,146 9,487 2,754 1,203 1,469
Recoveries (3) 116 77 65 0 0
Net Losses (4) 30,030 9,410 2,689 1,203 1,469
Net Losses as % of Average
Amount Outstanding 0.41% 0.22% 0.10% 0.09% 0.24%
NOTES:
(1) "Average Amount Outstanding" during the period is the arithmetic average of
the principal balances of the mortgage loans outstanding on the last
business day of each month during the period.
(2) "Gross Losses" are the amounts which have been determined to be
uncollectible relating to mortgage loans for each respective period.
(3) "Recoveries" are recoveries from liquidation proceeds and deficiency
judgments.
(4) "Net Losses" represents "Gross Losses" minus "Recoveries".
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
BEAR STEARNS BEAR, STEARNS & CO. INC.
ATLANTA o BOSTON o CHICAGO ASSET-BACKED SECURITIES GROUP
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FAX TRANSMITTAL
FINAL Computational Material
CONTIMORTGAGE HOME EQUITY LOAN TRUST, SERIES 1998-1
- --------------------------------------------------------------------------------
FAX TO: DATE: 03/11/98
Company: # PAGES (incl. 3 (three)
cover):
Fax No: PHONE NO:
- --------------------------------------------------------------------------------
FROM: PHONE NO:
- -------------------------------------------------------------------------------
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES,
AND OTHER INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by Bear Stearns, not as agent for any issuer, and
although it may be based on data supplied to it by an issuer, the issuer has not
participated in its preparation and makes no representations regarding its
accuracy or completeness. Should you receive Information that refers to the
"Statement Regarding Assumptions and Other Information," please refer to this
statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to significant
factors that may prove not to be as assumed. You should understand the
assumptions and evaluate whether they are appropriate for your purposes.
Performance results are based on mathematical models that use inputs to
calculate results. As with all models, results may vary significantly depending
upon the value of the inputs given. Inputs to these models include but are not
limited to: prepayment expectations (economic prepayment models, single expected
lifetime prepayments or a vector of periodic prepayments), interest rate
assumptions (parallel and nonparallel changes for different maturity
instruments), collateral assumptions (actual pool level data, aggregated pool
level data, reported factors or imputed factors), volatility assumptions
(historically observed or implied current) and reported information (paydown
factors, rate resets, and trustee statements). Models used in any analysis may
be proprietary making the results difficult for any third party to reproduce.
Contact your registered representative for detailed explanations of any modeling
techniques employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of these
securities should be tested as assumptions different from those included in the
Information. The assumptions underlying the Information, including structure and
collateral, may be modified from time to time to reflect changed circumstances.
Any investment decision should be based only on the data in the prospectus and
the prospectus supplement or private placement memorandum (Offering Documents)
and the then current version of the Information. Offering Documents contain data
that is current as of their publication dates and after publication may no
longer be complete or current. Contact your registered representative for
Offering Documents, current Information or additional materials, including other
models for performance analysis, which are likely to produce different results,
and any further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a) represent
our view, at the time determined, of the investment value of the securities
between the estimated bid and offer levels, the spread between which may be
significant due to market volatility or illiquidity, (b) do not constitute a bid
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confirmed by actual trades, may vary from the value Bear Stearns assigns any
such security while in its inventory, and may not take into account the size of
a position you have in the security, and (e) may have been derived from matrix
pricing that uses data relating to other securities whose prices are more
readily ascertainable to produce a hypothetical price based on the estimated
yield spread relationship between the securities.
GENERAL INFORMATION: The data underlying the Information has been obtained from
sources that we believe are reliable, but we do not guarantee the accuracy of
the underlying data or computations based thereon. Bear, Stearns and/or
individuals thereof may have positions in these securities while the Information
is circulating or during such period may engage in transactions with the issuer
or its affiliates. We act as principal in transactions with you, and
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solicitation of any transaction in securities which may be made only by
prospectus (and the prospectus supplement) when required by law, in which event
you may obtain such Offering Documents from Bear Stearns.
<PAGE>
FINAL Computational Material
ContiMortgage Home Equity Loan Trust series 1998-1
<TABLE>
<CAPTION>
Principal Windows (months)
Last Window WAL
Class Description Rating Size (1) % Pool First Call/Mat Call/Mat Call/Mat Duration
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 Fixed Money Market P-1/A-1+/F-1+ $103.075 6.06% 1 6 6 0.31 0.30
A-2 (2) Fixed Seq. PAC Aaa/AAA/AAA $340.466 20.03% 7 17 11 0.95 0.90
A-3 (2) Fixed Seq. PAC Aaa/AAA/AAA $369.608 21.74% 17 33 17 2.01 1.83
A-4 Fixed Seq. PAC Aaa/AAA/AAA $126.682 7.45% 33 43 11 3.08 2.73
A-5 Fixed Seq. PAC Aaa/AAA/AAA $121.211 7.13% 43 55 13 4.01 3.44
A-6 Fixed Seq. PAC Aaa/AAA/AAA $80.668 4.75% 55 69 15 5.10 4.21
A-7 Fixed Seq. PAC Aaa/AAA/AAA $110.471 6.50% 69 87/129 19/61 6.79/7.40 5.60
A-8 (3) Auction Rate Seq. COMP. Aaa/AAA/AAA $218.675 12.86% 6 87/178 82/173 5.43/6.78 -
A-9 (4) LIBOR Floater Aaa/AAA/AAA $171.344 10.08% 1 87/178 87/178 2.56/2.67 -
B Fixed Subordinate Baa3/BBB/BBB- $57.800 3.40% 37 87/111 51/75 4.93/5.06 3.97
A-10 IO (5) Interest Only Aaa/AAA/AAAr $191.139 1 30 30 2.47 1.22
$1,700.00 100%
(1) Classes are based upon collateral from 2/23/98 Statistical Calculation
Date.
(2) Class A-2 and Class A-3 Certificates are priced and issued as Fixed Rate
REMIC Certificates.
(3) The Auction Rate Certificates will be sole managed by Merrill Lynch.
(4) Class A-9 Certificates are priced to call. The spread to LIBOR for
the Class A-9 Certificates doubles after the clean-up call date. The Class
A-9 LIBOR Floater is collateralized by a separate ARM collateral group. All
the other Certificates will be collateralized by a combined group of ARM
and fixed-rate collateral.
(5) The Class A-10 IO will be sole managed by Bear Stearns.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
<TABLE>
<CAPTION>
FINAL Computational Material
ContiMortgage Home Equity Loan Trust series 1998-1
Class Description Bench Spread Pricing Bench Yld ABS Yld Day Count, Settle Coupon Price
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 Fixed Money Market 4 M LIB -0.02% Maturity 5.70703% 5.84% Act /360, flat 5.64704% 100.00000%
A-2 (2) Fixed Seq. PAC 5 7/8, 2/99 0.45% Maturity 5.55% 6.00% 30 / 360, accrued 6.18% 99.99377%
A-3 (2) Fixed Seq. PAC 5 1/2, 2/00 0.57% Maturity 5.60% 6.17% 30 / 360, accrued 6.22% 99.99751%
A-4 Fixed Seq. PAC 6 3/8, 3/01 0.63% Maturity 5.65% 6.28% 30 / 360, accrued 6.28% 99.98743%
A-5 Fixed Seq. PAC 6 5/8, 3/02 0.72% Maturity 5.73% 6.45% 30 / 360, accrued 6.43% 99.98019%
A-6 Fixed Seq. PAC 6 1/4, 2/03 0.90% Maturity 5.72% 6.62% 30 / 360, accrued 6.58% 99.95910%
A-7 Fixed Seq. PAC 6 1/2, 8/05 1.10% Maturity 5.83% 6.93% 30 / 360, accrued 6.87% 99.95263%
A-8 (3) Auction Rate Seq. COMP 1 M LIB - Auction - - Act /360, flat Auction 100.00000%
A-9 (4) LIBOR Floater 1 M LIB 0.18% Call tbd tbd Act /360, flat Variable 100.00000%
B Fixed Subordinate 6 1/4, 2/03 2.20% Maturity 5.72% 7.92% 30 / 360, accrued 7.86% 99.97240%
A-10 IO(5) Interest Only 6 3/8, 5/99 0.85% Maturity 5.60% 6.45% 30 / 360, accrued 6.50% 14.56532%
(1) Classes are based upon collateral from 2/23/98 Statistical Calculation
Date.
(2) Class A-2 and Class A-3 Certificates are priced and issued as Fixed Rate
REMIC Certificates.
(3) The Auction Rate Certificates will be sole managed by Merrill Lynch.
(4) Class A-9 Certificates are priced to call. The spread to LIBOR for
the Class A-9 Certificates doubles after the clean-up call date. The Class
A-9 LIBOR Floater is collateralized by a separate ARM collateral group. All
the other Certificates will be collateralized by a combined group of ARM
and fixed-rate collateral.
(5) The Class A-10 IO will be sole managed by Bear Stearns.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
