-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, TVrODDBp1h5jCLg+ThSpcmGhY78RqqA9+2YEYEvFL3DJdx30krl/OhxxQdBCShjp 8u/ODsWz9fW36uKjrlhN0Q== 0000905148-97-000821.txt : 19970522 0000905148-97-000821.hdr.sgml : 19970522 ACCESSION NUMBER: 0000905148-97-000821 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 19970520 ITEM INFORMATION: Other events ITEM INFORMATION: Financial statements and exhibits FILED AS OF DATE: 19970521 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANDERBILT MORTGAGE & FINANCE INC CENTRAL INDEX KEY: 0000816512 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 620997810 STATE OF INCORPORATION: TN FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 033-80304 FILM NUMBER: 97612657 BUSINESS ADDRESS: STREET 1: 4726 AIRPORT HIGHWAY CITY: LOUISVILLE STATE: TN ZIP: 37777 BUSINESS PHONE: 4239707200 MAIL ADDRESS: STREET 1: 4726 AIRPORT HIGHWAY CITY: LOUISVILLE STATE: TN ZIP: 37777 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CLAYTON HOMES INC CENTRAL INDEX KEY: 0000719547 STANDARD INDUSTRIAL CLASSIFICATION: MOBILE HOMES [2451] IRS NUMBER: 620794407 STATE OF INCORPORATION: TN FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 001-08824 FILM NUMBER: 97612658 BUSINESS ADDRESS: STREET 1: 623 MARKET ST CITY: KNOXVILLE STATE: TN ZIP: 37902 BUSINESS PHONE: 6159707200 MAIL ADDRESS: STREET 1: PO BOX 15169 CITY: KNOXVILLE STATE: TN ZIP: 37901 8-K 1 _____________________________________________________________________________ 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): May 20, 1997 VANDERBILT MORTGAGE AND FINANCE, INC. (as seller and servicer under the Pooling and Servicing Agreement, dated as of April 26, 1997, providing for the issuance of the Vanderbilt Mortgage and Finance, Inc., Manufactured Housing Contract Senior/Subordinate Pass-Through Certificates, Series 1997B). CLAYTON HOMES, INC. VANDERBILT MORTGAGE AND FINANCE, INC. -------------------------------------------------------------------- (Exact name of registrant as specified in its charter) Clayton Homes, Inc. - Del. Vanderbilt - Tennessee 333-14033 62-0997810 - ---------------------------- ------------ (State or Other Jurisdiction (Commission (I.R.S. Employer of Incorporation) File Number) Identification No.) 4726 Airport Highway Louisville, Tennessee 37777 - ---------------------- ---------- (Address of Principal (Zip Code) Executive Offices) Registrant's telephone number, including area code (423) 970-7200 ----------------- - --------------------------------------------------------------------------- (Former Address: - --------------------------------------------------------------------------- Item 5. Other Events ------------ Filing of Computational Materials. - --------------------------------- In connection with the offering of the Vanderbilt Mortgage and Finance, Inc. ("Vanderbilt") Manufactured Housing Contract Senior/Subordinate Pass- Through Certificates, Series 1997B, Prudential Securities Incorporated and Credit Suisse First Boston Corporation, as the underwriters of the Certificates (the "Underwriters") have provided certain materials (the "Computational Materials") for distribution to its potential investors. Although the Company each provided the Underwriters with certain information regarding the characteristics of the Contracts in the related portfolio, it did not participate in the preparation of the Computational Materials. For purposes of this Form 8-K, Computational Materials shall mean computer generated tables and/or charts displaying, with respect to any Class or Classes of Certificates, any of the following: yield; average life; duration; expected maturity; interest rate sensitivity; loss sensitivity; cash flow characteristics; background information regarding the Contracts; the proposed structure; decrement tables; or similar information (tabular or otherwise) of a statistical, mathematical, tabular or computational nature. The Computational Materials provided by Prudential Securities Incorporated are attached hereto as Exhibit 99.1 and the Computational Materials provided by Credit Suisse First Boston Corporation are identical to those provided by Prudential Securities Incorporated other than the legend on such materials, which is attached hereto as Exhibit 99.2. Item 7. Financial Statements, Pro Forma Financial ----------------------------------------- Information and Exhibits. ------------------------ (a) Not applicable. (b) Not applicable. (c) Exhibits: 99.1 Computational Materials - Prudential Securities Incorporated 99.2 Computational Materials - Credit Suisse First Boston Corporation SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrants have duly caused this report to be signed on their behalf by the undersigned hereunto duly authorized. VANDERBILT MORTGAGE AND FINANCE, INC. By: /s/ David R. Jordan ---------------------- Name: David R. Jordan Title: Vice President CLAYTON HOMES, INC. By: /s/ Joseph H. Stegmayer ------------------------------ Name: Joseph H. Stegmayer Title: President Dated: May 20, 1997 Exhibit Index ------------- Exhibit Page - ------- ---- 99.1 Computational Materials, Prudential Securities Incorporated 99.2 Computational Materials, Credit Suisse First Boston Corporation EX-99.1 2 ******************** PRELIMINARY INFORMATION ONLY ************************** Marketing Memorandum for Vanderbilt Mortgage and Finance, Inc., Manufactured Housing Contract, Senior/Subordinate Pass-Through Certificates, Series 1997B - ---------------------------------------------------------------------------

------------------------------------------------------------------------------- The information provided herein is provided solely by Prudential Securities Incorporated ("PSI") as underwriter for the Vanderbilt Mortgage and Finance, Series 1997B transaction, and not by or as agent for Vanderbilt Mortgage and Finance, Inc. or any of its affiliates (the "Sponsor"). The Sponsor has not prepared, reviewed or participated in the preparation hereof, is not responsible for the accuracy hereof and has not authorized the dissemination hereof. The analysis in this report is accurate to the best of PSI's knowledge and is based on information provided by the Sponsor. PSI makes no representations as to the accuracy of such information provided to it by the Sponsor. All assumptions and information in this report reflect PSI's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, PSI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. PSI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, PSI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein shall be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consumated without the purchaser first having received a prospectus and, if required, prospectus supplement. Finally, PSI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and PSI strongly urges you to seek advice from your counsel, accountant and tax advisor. The Certificates are being offered pursuant to a Prospectus which includes a Prospectus Supplement (together, the "Prospectus"). The information contained herein will be superseded by the final Prospectus. ******************** PRELIMINARY INFORMATION ONLY ************************** Vanderbilt Mortgage and Finance, Inc., Series 1997B Preliminary Marketing Memo Title of Securities: VMF 1997-B, Class IA-1, Class IA-2, Class IA-3, Class IA-4, Class IA-5, Class IA-6, Class IB-1 and Class IB-2 Fixed Rate Group Certificates and Class IIA-1,Class IIB-1, Class IIB-2 and Class IIB-3 Adjustable Rate Group Certificates Seller: Vanderbilt Mortgage and Finance, Inc. Servicer: Vanderbilt Mortgage and Finance, Inc. Trustee: The Chase Manhattan Bank CREDIT ENHANCEMENT ------------------ 1) Excess interest 2) Over-Collateralization 3) Cross-Collateralization 4) Subordination Excess Interest: Excess interest cashflows from each group will be available as credit enhancement for the related group. Overcollateralization: The credit enhancement provisions of the Trust are intended to provide for the limited acceleration of the senior Certificates relative to the amortization of the related collateral, generally in the early months of the transaction. Accelerated amortization is achieved by applying excess servicing and the servicing fee (while VMF is the servicer) collected on the collateral to the payment of principal on the Senior Certificates, resulting in the build up of overcollateralization ("O/C"). By paying down the principal balance of the certificates faster than the principal amortization of the respective collateral pool, an O/C amount equal to the excess of the aggregate principal balance of the collateral pool over the principal balance of the related Certificates is created. Excess cashflow will be directed to build the O/C amount until the pool reaches its required O/C target. Upon this event the acceleration feature will cease, unless it is once again necessary to maintain the required O/C level. FIXED RATE CERTIFICATES NA ADJUSTABLE RATE CERTIFICATES Initial Deposit: [0.00%] Target: [4.25%] These O/C percentages are subject to step-downs beginning in month [61] if the Subordinate Class Principal distribution tests are met. Cross- Collateralization: Excess spread from each of the two collateral groups, if not needed to credit enhance its own group will be available to credit enhance the other group.

Pricing Date: [TBD] Prepayment Speed: 185% MHP Total Group Size: [$194,183,000] Class IA-1 Pass Through Rate: The Class I A-1 Pass Through Rate will equal the lesser of i) One Month LIBOR plus [TBD%] and ii) the weighted average gross coupon of the contracts less the [1.25%] servicing fee. Corporate Guarantee: The Class I B-2 Certificateholders will have the benefit of a limited guarantee of Clayton Homes, Inc.("CHI") to protect against losses that would otherwise be absorbed by the Class I B-2 Certificateholders. Servicing Fee: For as long as Vanderbilt is the servicer, the servicing fee of [1.25]% per annum is subordinate to the Offered Certificates on a monthly basis. THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. ********************** PRELIMINARY INFORMATION ONLY ********************** Vanderbilt Mortgage and Finance, Inc., Series 1997B Preliminary Marketing Memo Cashflow Priority: PRICING BASE CASE CLASS I B DISTRIBUTION TEST IS MET: 1) Current interest and any previously unreimbursed interest to Classes I A-1 - I A-5; 2) Senior percentage of principal payments sequentially to Classes I A-1, I A-2, I A-3, I A-4, and I A-5 until such class is reduced to zero; 3) Current interest and any previously unreimbursed interest to Class I A-6 Certificates; 4) Senior percentage of principal payments to Class I A-6 until such class is reduced to zero; 5) Current interest and any previously unreimbursed interest to Class I B-1 Certificates; 6) Class I B percentage of principal payments to Class I B-1 until such class is reduced to zero; 7) Current interest and any previously unreimbursed interest to Class I B-2 Certificates; 8) Class I B percentage of principal payments to Class I B-2 until such class is reduced to zero; 9) Excess cashflow to fund any Available Funds shortfall with respect to the Group II Certificates except the Net Funds Cap Carryover Amount; 10) Excess cashflow to the Class II A-1 to build O/C for the Group II Certificates. 11) As long as Vanderbilt is the Servicer, any remainder up to the amount equal to 1/12th of the product of 1.25% and the pool scheduled principal balance to the Servicer; 12) Any remainder to Clayton Homes for any unreimbursed guaranteed payments with respect to Class I B-2; 13) Any remainder to the Class R Certificates. __________________________________________________ | | | | | | | |I A-1|I A-2| I A-3 | I A-4 | I A-5 | I A-6 | | | | | | | | |_____|_____|__________|________|_______|________| |///////////////////| | | |///////////////////| I B-1 | I B-2 | |///////////////////| | | -------------------------------------------------- 5 yrs CLASS I B DISTRIBUTION TEST IS NOT MET: 1) Current interest and any previously unreimbursed interest to Classes I A-1 - I A-5 Certificates; 2) 100% of principal payments sequentially to Classes I A-1, I A-2, I A-3, I A-4, and I A-5 until such class is reduced to zero; 3) Current interest and any previously unreimbursed interest to Clas I A-6 Certificates; 4) 100% of principal payments to Class I A-6 until such Class is reduced to zero; 5) Current interest and any previously unreimbursed interest to Class I B-1 Certificates; 6) 100% of principal payments to Class I B-1 until such Class is reduced to zero; 7) Current interest and any previously unreimbursed interest to Class I B-2 Certificates; 8) 100% of principal payments to Class I B-2 until such Class is reduced to zero; 9) Excess cashflow to fund any Available Funds shortfall with respect to the Group II Certificates except the Net Funds Cap Carryover Amount; 10) Excess cashflow to the Class II A-1 to build O/C for the Group II Certificates. 11) So long as Vanderbilt is the Servicer, any remainder up to the amount equal to 1/12th of the product of 1.25% and the pool scheduled principal balance to the Servicer; 12) Any remainder to Clayton Homes for any unreimbursed guaranteed payments with respect to Class I B-2; 13) Any remainder to the Class R Certificates. _________________________________________________________________ | | | | | | | | | | | | | | | | | | | I A-1 | I A-2 | I A-3 | I A-4 | I A-5 | I A-6 | I B-1 | I B-2 | | | | | | | | | | |_______|_______|_______|_______|_______|_______|_______|_______| THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. ********************** PRELIMINARY INFORMATION ONLY ********************** Vanderbilt Mortgage and Finance, Inc., Series 1997B Preliminary Marketing Memo Class I B Distribution Test: The Class I B Distribution Test is met if: 1) Remittance Date is on or after May 2002 2) Class I B Percentage is at least [TBD] % (which is 1.75 times the original Class B Percentage) 3) Cumulative Realized Losses do not exceed 7% for year 2001, 8% for year 2002, and 9% for year 2003 and beyond of the Original Principal Balance of the Contracts 4) Current Realized Loss Ratio does not exceed 2.75% 5) Average 60 Day Delinquency Ratio does not exceed 5% 6) Average 30 Day Delinquency Ratio does not exceed 7% 7) Class I B-2 Principal Balance must not be less than [$3,883,661] (which represents approximately 2% of the Total Original Group I Pool Principal Balance). THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. ********************** PRELIMINARY INFORMATION ONLY ********************** Vanderbilt Mortgage and Finance, Inc., Series 1997B Preliminary Marketing Memo - ---------------------------------------------------------------------------

______________________________________________________________________________ Average Unpaid Principal Balance: $28,285.29 Average Original Principal Balance: $29,280.83 Maximum Unpaid Principal Balance: $101,955.62 Minimum Unpaid Principal Balance: $4,438.56 Maximum Original Principal Balance: $101,955.62 Minimum Original Principal Balance: $4,438.56 Weighted Avg. Stated Rem. Term (PTD to Mat Date): 178.801 Stated Rem Term Range: 48.000 - 360.000 Weighted Avg. Amortized Rem. Term: 178.927 Amortized Rem Term Range: 33.315 - 429.915 Weighted Average Age (First Pay thru Paid Thru): 7.102 Age Range: 0.000 - 140.000 Weighted Average Original Term: 185.903 Original Term Range: 48.000 - 360.000 Weighted Average Original LTV: 86.894 Original LTV Range: 16.320% - 100.000% Weighted Average Current LTV: 84.986 Current LTV Range: 9.442% - 100.000% Weighted Average Combined LTV: 4.283 Combined LTV Range: 1.650% - 9.300% Weighted Average Periodic Interest Cap: 1.510% Periodic Interest Cap Range: 1.000% - 2.000% Weighted Average Periodic Payment Cap: 0.000% Periodic Payment Cap Range: 0.000% - 0.000% Weighted Average Months to Interest Roll: 10.745 Months to Interest Roll Range: 4 - 14 Weighted Average Months to Payment Roll: 12.581 Months to Payment Roll Range: 1 - 149 Weighted Average Interest Roll Frequency: 11.388 Interest Frequency Range: 1 - 12 Weighted Average Payment Roll Frequency: 12.829 Payment Frequency Range: 12 - 149 ______________________________________________________________________________ THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. GROSS COUPON __________________________________________________________________ Gross Current Coupon # Loans % Pool Balance 7.75% < Gross Coupon <= 8.00% 2 .08 $87,633 8.00% < Gross Coupon <= 8.25% 13 .66 $701,943 8.25% < Gross Coupon <= 8.50% 8 .37 $394,476 8.50% < Gross Coupon <= 8.75% 44 1.75 $1,866,072 8.75% < Gross Coupon <= 9.00% 66 2.67 $2,850,481 9.00% < Gross Coupon <= 9.25% 299 11.22 $11,988,087 9.25% < Gross Coupon <= 9.50% 162 5.39 $5,763,337 9.50% < Gross Coupon <= 9.75% 427 13.14 $14,046,901 9.75% < Gross Coupon <= 10.00% 259 8.21 $8,777,201 10.00% < Gross Coupon <= 10.25% 346 9.08 $9,707,119 10.25% < Gross Coupon <= 10.50% 413 12.29 $13,142,090 10.50% < Gross Coupon <= 10.75% 200 5.01 $5,359,713 10.75% < Gross Coupon <= 11.00% 356 9.67 $10,336,244 11.00% < Gross Coupon <= 11.25% 168 3.10 $3,310,635 11.25% < Gross Coupon <= 11.50% 168 3.60 $3,844,409 11.50% < Gross Coupon <= 11.75% 205 3.28 $3,511,170 11.75% < Gross Coupon <= 12.00% 204 3.41 $3,643,062 12.00% < Gross Coupon <= 12.25% 96 1.49 $1,590,650 12.25% < Gross Coupon <= 12.50% 126 2.28 $2,441,379 12.50% < Gross Coupon <= 12.75% 47 .67 $718,880 12.75% < Gross Coupon <= 13.00% 70 1.11 $1,190,568 13.00% < Gross Coupon <= 13.25% 21 .30 $322,966 13.25% < Gross Coupon <= 13.50% 35 .51 $549,658 13.50% < Gross Coupon <= 13.75% 18 .27 $287,400 13.75% < Gross Coupon <= 14.00% 8 .16 $167,298 14.00% < Gross Coupon <= 14.25% 5 .09 $94,987 14.25% < Gross Coupon <= 14.50% 5 .07 $79,362 14.50% < Gross Coupon <= 14.75% 5 .06 $67,391 14.75% < Gross Coupon <= 15.00% 1 .01 $8,718 15.25% < Gross Coupon <= 15.50% 2 .04 $40,287 __________________________________________________________________ Total..... 3,779 100.00% $106,890,116 ================================================================== ORIGINAL CONTRACT BALANCES ________________________________________________________ Total # of Current Original Loan Amount Contracts Balance Balance <= 5,000 2 9,157 5,000 < Balance <= 10,000 67 548,601 10,000 < Balance <= 15,000 308 3,597,214 15,000 < Balance <= 20,000 632 9,655,300 20,000 < Balance <= 25,000 624 13,172,063 25,000 < Balance <= 30,000 634 16,946,908 30,000 < Balance <= 35,000 488 15,641,948 35,000 < Balance <= 40,000 321 11,857,589 40,000 < Balance <= 45,000 233 9,796,702 45,000 < Balance <= 50,000 173 8,133,508 50,000 < Balance <= 55,000 107 5,548,725 55,000 < Balance <= 60,000 84 4,806,386 60,000 < Balance <= 65,000 47 2,925,824 65,000 < Balance <= 70,000 31 2,047,879 70,000 < Balance <= 75,000 13 937,496 75,000 < Balance <= 80,000 5 385,589 80,000 < Balance <= 85,000 5 411,096 85,000 < Balance <= 90,000 1 88,114 90,000 < Balance <= 95,000 3 278,062 100,000 < Balance <= 105,000 1 101,956 ________________________________________________________ Total... 3,779 $106,890,116 ======================================================== THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. YEAR OF ORIGINATION ____________________________________________________ Year of # of % of Current Origination Loans Pool Balance 1985 3 .03 $29,868 1986 46 .45 $476,875 1987 62 .63 $677,547 1988 73 .89 $948,208 1989 76 .97 $1,041,649 1990 74 .95 $1,012,275 1991 62 .73 $783,640 1992 46 .62 $667,120 1993 93 1.68 $1,798,554 1994 104 1.98 $2,119,768 1995 7 .19 $208,421 1996 211 6.15 $6,571,545 1997 2,922 84.72 $90,554,647 ____________________________________________________ Total... 3,779 100.00% $106,890,116 ==================================================== REMAINING TERM ___________________________________________________________ # of % of Current Remaining Term Loans Pool Balance 36 < Rem Term <= 48 8 .06 $66,109 48 < Rem Term <= 60 168 1.71 $1,828,259 60 < Rem Term <= 72 109 1.15 $1,234,115 72 < Rem Term <= 84 296 4.11 $4,393,899 84 < Rem Term <= 96 128 1.77 $1,890,782 96 < Rem Term <= 108 181 3.57 $3,820,178 108 < Rem Term <= 120 269 5.02 $5,361,937 120 < Rem Term <= 132 128 2.93 $3,134,659 132 < Rem Term <= 144 304 7.06 $7,551,666 144 < Rem Term <= 156 204 5.42 $5,797,723 156 < Rem Term <= 168 18 .50 $534,926 168 < Rem Term <= 180 660 18.66 $19,944,710 180 < Rem Term <= 192 470 14.83 $15,855,643 192 < Rem Term <= 204 149 5.50 $5,877,293 204 < Rem Term <= 216 29 .81 $864,588 216 < Rem Term <= 228 118 4.96 $5,297,935 228 < Rem Term <= 240 436 16.97 $18,140,228 240 < Rem Term <= 252 4 .15 $155,885 252 < Rem Term <= 264 18 .91 $973,836 264 < Rem Term <= 276 9 .42 $452,980 276 < Rem Term <= 288 8 .25 $269,985 288 < Rem Term <= 300 47 2.26 $2,413,734 336 < Rem Term <= 348 3 .09 $94,494 348 < Rem Term <= 360 15 .87 $934,552 ___________________________________________________________ Total..... 3,779 100.00% $106,890,116 =========================================================== THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. GEOGRAPHIC DISTRIBUTION ___________________________________________________________ Current State # Loans % Pool Balance Alabama 31 .85 $912,815 Arkansas 19 .55 $590,769 Arizona 13 .41 $438,181 California 1 .01 $10,776 Colorado 3 .14 $147,211 Dist of Col 1 .05 $57,267 Delaware 2 .11 $112,444 Florida 164 4.23 $4,523,544 Georgia 65 1.60 $1,711,364 Iowa 1 .02 $18,050 Illinois 1 .02 $26,571 Indiana 407 4.91 $5,251,474 Kansas 1 .05 $52,937 Kentucky 353 9.24 $9,875,359 Louisiana 79 2.08 $2,221,510 Maryland 1 .03 $32,186 Maine 1 .02 $22,746 Michigan 6 .07 $70,095 Missouri 21 .57 $612,793 Mississippi 28 .82 $871,802 North Carolina 508 15.21 $16,258,155 New Jersey 2 .03 $35,753 New Mexico 19 .59 $629,182 New York 167 3.36 $3,588,022 Ohio 61 1.04 $1,116,678 Oklahoma 35 .99 $1,062,740 Oregon 5 .20 $215,397 Pennsylvania 3 .08 $86,188 South Carolina 545 16.97 $18,141,460 South Dakota 1 .03 $26,805 Tennessee 345 9.96 $10,644,012 Texas 761 21.89 $23,394,398 Utah 1 .03 $33,839 Virginia 117 3.54 $3,779,841 Vermont 1 .02 $24,988 Wisconsin 1 .02 $24,305 West Virgina 9 .25 $268,462 __________________________________________________________ Total..... 3,779 100.00% $106,890,116 ========================================================== THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. GROSS MARGIN __________________________________________________________________ Total Gross # % Current Margin Loan Pool Balance 1.50% < Gross Margin <= 1.75% 1 .08 $83,385.15 1.75% < Gross Margin <= 2.00% 7 .34 $362,451.69 2.00% < Gross Margin <= 2.25% 6 .30 $321,034.75 2.25% < Gross Margin <= 2.50% 20 .85 $908,617.55 2.50% < Gross Margin <= 2.75% 48 1.89 $2,023,938.81 2.75% < Gross Margin <= 3.00% 142 5.06 $5,411,302.44 3.00% < Gross Margin <= 3.25% 216 7.89 $8,431,278.27 3.25% < Gross Margin <= 3.50% 326 11.14 $11,903,126.90 3.50% < Gross Margin <= 3.75% 348 10.07 $10,767,973.33 3.75% < Gross Margin <= 4.00% 308 8.74 $9,343,152.40 4.00% < Gross Margin <= 4.25% 271 8.43 $9,007,559.58 4.25% < Gross Margin <= 4.50% 301 8.92 $9,533,576.52 4.50% < Gross Margin <= 4.75% 307 8.63 $9,222,619.47 4.75% < Gross Margin <= 5.00% 260 6.43 $6,872,542.94 5.00% < Gross Margin <= 5.25% 179 4.00 $4,276,399.17 5.25% < Gross Margin <= 5.50% 179 3.53 $3,770,816.45 5.50% < Gross Margin <= 5.75% 128 2.23 $2,382,145.83 5.75% < Gross Margin <= 6.00% 137 2.45 $2,621,353.26 6.00% < Gross Margin <= 7.00% 448 6.98 $7,456,406.33 7.00% < Gross Margin <= 8.00% 119 1.67 $1,781,987.62 8.00% < Gross Margin <= 9.00% 21 .28 $300,770.39 9.00% < Gross Margin <= 10.00% 7 .10 $107,677.53 ___________________________________________________________________ Total..... 3,779 100.00% $106,890,116.38 =================================================================== INDEX CODE ________________________________________________________________________ Total # % Current Loan Feature Loan Pool Balance 1YR CMT 176 3.38 $3,607,939.67 6 MONTH T-BILL 454 5.47 $5,843,738.21 5YR CMT 3,145 91.12 $97,400,523.62 PRIME RATE 4 .04 $37,914.88 ________________________________________________________________________ Total..... 3,779 100.00% $106,890,116.38 ======================================================================== THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. Gross Life Cap ___________________________________________________________________ Total Gross # % Current Life Cap Loan Pool Balance CAPLESS 213 3.83 $4,093,222.90 13.00% < Gross Life Cap <= 13.25 2 .08 $89,023.01 13.50% < Gross Life Cap <= 13.75 5 .23 $249,445.59 13.75% < Gross Life Cap <= 14.00 13 .58 $624,198.53 14.00% < Gross Life Cap <= 14.25 45 1.84 $1,968,594.27 14.25% < Gross Life Cap <= 14.50 32 1.07 $1,146,693.31 14.50% < Gross Life Cap <= 14.75 125 4.01 $4,290,205.23 14.75% < Gross Life Cap <= 15.00 110 4.09 $4,367,736.56 15.00% < Gross Life Cap <= 15.25 336 12.04 $12,873,662.10 15.25% < Gross Life Cap <= 15.50 270 8.89 $9,498,165.06 15.50% < Gross Life Cap <= 15.75 403 12.62 $13,489,207.25 15.75% < Gross Life Cap <= 16.00 341 10.36 $11,068,806.77 16.00% < Gross Life Cap <= 16.25 228 6.20 $6,624,002.92 16.25% < Gross Life Cap <= 16.50 283 8.65 $9,244,759.45 16.50% < Gross Life Cap <= 16.75 133 3.00 $3,201,683.06 16.75% < Gross Life Cap <= 17.00 225 5.96 $6,370,263.29 17.00% < Gross Life Cap <= 17.25 119 2.29 $2,443,144.28 17.25% < Gross Life Cap <= 17.50 112 2.53 $2,700,398.10 17.50% < Gross Life Cap <= 17.75 99 1.78 $1,907,583.05 17.75% < Gross Life Cap <= 18.00 83 1.70 $1,811,800.52 18.00% < Gross Life Cap <= 18.25 30 .53 $562,867.42 18.25% < Gross Life Cap <= 18.50 61 1.14 $1,213,678.98 18.50% < Gross Life Cap <= 18.75 17 .33 $350,553.74 18.75% < Gross Life Cap <= 19.00 32 .50 $539,204.70 19.00% < Gross Life Cap <= 19.25 8 .16 $173,476.25 19.25% < Gross Life Cap <= 19.50 16 .23 $245,003.24 19.50% < Gross Life Cap <= 19.75 5 .10 $105,075.15 19.75% < Gross Life Cap <= 20.00 7 .14 $148,934.86 20.00% < Gross Life Cap <= 20.25 2 .03 $32,415.79 20.25% < Gross Life Cap <= 20.50 2 .05 $51,572.60 20.50% < Gross Life Cap <= 20.75 1 .01 $10,985.18 20.75% < Gross Life Cap <= 21.00 420 5.03 $5,374,934.22 21.00% < Gross Life Cap <= 22.00 1 .02 $18,819.00 ___________________________________________________________________ Total..... 3,779 100.00% $106,890,116.38 =================================================================== LTV RANGE ______________________________________________________ LTV % Current RANGE # Loans Pool Balance 0.000 < LTV <= 60.000 165 2.45 $2,623,599 60.000 < LTV <= 65.000 147 2.75 $2,934,995 65.000 < LTV <= 70.000 156 3.11 $3,320,824 70.000 < LTV <= 75.000 220 5.10 $5,449,069 75.000 < LTV <= 80.000 225 5.79 $6,191,658 80.000 < LTV <= 85.000 433 11.96 $12,780,059 85.000 < LTV <= 90.000 548 16.37 $17,502,583 90.000 < LTV <= 91.000 514 14.97 $15,998,968 91.000 < LTV <= 94.000 277 6.63 $7,087,474 94.000 < LTV <= 96.000 720 21.97 $23,482,562 96.000 < LTV <= 100.000 374 8.90 $9,518,327 ________________________________________________________ Total..... 3,779 100.00% $106,890,116 ======================================================== THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. EX-99.2 3 The above analysis is not intended to be a prospectus and any investment decision with respect to the security should be made by you based solely upon all of the information contained in the final prospectus. Under no circumstances shall the information presented constitute an offer to sell or the solicitation of an offer to buy nor shall there be any sale of the securities in any jurisdiction in which such offer, solicitation or sale would be unlawful prior to registration or qualification under the securities laws of such jurisdiction. The securities may not be sold nor may an offer to buy be accepted prior to the delivery of a final prospectus relating to the securities. The above preliminary description of the underlying assets has been provided by the issuer and has not been independently verified by Credit Suisse First Boston. All information described above is preliminary, limited in nature and subject to completion or amendment. Credit Suisse First Boston makes no representations that the above referenced security will actually perform as described in any scenario presented. CREDIT | FIRST SUISSE | BOSTON -----END PRIVACY-ENHANCED MESSAGE-----