Exhibit 99.1
INTEX MODEL
! COAFT04B.CDI #CMOVER_3.0D ASSET_BACKED_AUTOLOAN ! MAX_CF_VECTSIZE 620
!
!! Created by Intex Deal Maker v3.7.218 , subroutines 3.1a1
!! 09/26/2004 2:27 PM
!
!
! The tables and other statistical analyses (the ‘Hypothetical Performance Data’) that you will produce
! using Intex with the attached information are privileged and intended solely for use by you (the party
! to whom Credit Suisse First Boston LLC (“CSFB LLC”) or Wachovia Capital Markets, LLC (“Wachovia LLC”) provided
! the computer model used to generate them). The Hypothetical Performance Data will be generated
! by you using a computer model prepared by CSFB LLC in reliance
! upon information furnished by the issuer of the securities and its affiliates, the accuracy and completeness of
! which has not been verified by CSFB LLC, Wachovia LLC or any other person. The computer model that you will use to prepare the
! Hypothetical Performance Data was furnished to you solely by CSFB LLC or Wachovia LLC and not by the issuer of the securities.
! It may not be (a) used for any purpose other than to make a preliminary evaluation of the referenced securities
! or (b) provided by you to any third party other than your legal, tax, financial and/or accounting advisors for the
! purposes of evaluating the Hypothetical Performance Data. You agree that the Hypothetical Performance Data will
! be generated by or on behalf of you, and that neither CSFB LLC nor Wachovia LLC or anyone acting on their behalf have generated or
! are in any way responsible for any Hypothetical Performance Data.
!
! Numerous assumptions were used in preparing the computer model you will use to generate the Hypothetical
! Performance Data. Those assumptions may or may not be reflected in the Hypothetical Performance Data. As such,
! no assurance can be given as to the Hypothetical Performance Data’s accuracy, appropriateness or completeness in
! any particular context, nor as to whether the Hypothetical Performance Data and/or the assumptions upon which it
! is based reflect present market conditions of future market performance. The Hypothetical Performance Data should
! not be construed as either projections or predictions or as legal, tax, financial or accounting advice.
!
! Any weighted average lives, yields and principal payment periods shown in the Hypothetical Performance Data will
! be based on prepayment assumptions, and changes in such prepayment assumptions may dramatically affect such
! weighted average lives, yields and principal payment periods. In addition, it is possible that prepayments on
! the underlying assets will occur at rates slower or faster than the rates shown in the Hypothetical Performance
! Data. Furthermore, unless otherwise provided, the Hypothetical Performance Data assumes no losses on the underlying
! assets and no interest shortfall. The specific characteristics of the securities may differ from those shown in
! the Hypothetical Performance Data due to, among other things, differences between (a) the actual underlying
! assets and the hypothetical underlying assets used in preparing the Hypothetical Performance Data and (b) the
! assumptions used by you in producing the Hypothetical Performance Data and the actual assumptions used in pricing
! the actual securities. The principal amount, designation and terms of any security described in the Hypothetical
! Performance Data are subject to change prior to issuance. You should contact the CSFB LLC trading desk at (212) 325-8549
! or Wachovia LLC trading desk at (704) 715-7008 to confirm the final principal amount, designation and terms of
! any security described in this communication prior to committing to purchase that security.
! Neither CSFB LLC nor Wachovia LLC or any of their affiliates make any representation or warranty as to the actual rate or timing
! of payments on any of the underlying assets or payments or yield on the securities.
!
! Although a registration statement (including a prospectus) relating to the securities discussed in this
! communication has been filed with the Securities and Exchange Commission and is effective, the final prospectus
! supplement relating to the securities discussed in this communication has not yet been filed with the Securities
! and Exchange Commission. This communication shall not constitute an offer to sell or the solicitation of an
! offer to buy nor shall there be any sale of the securities discussed in this communication in any state in which
! such offer, solicitation or sale would be unlawful prior to registration or qualification of such securities under
! the securities laws of any such state. The principal amount, designation and terms of any security described in
! the computer model and Hypothetical Performance Data are preliminary and subject to change prior to issuance.
!
! Prospective purchasers are referred to the final prospectus supplement relating to the securities discussed in
! this communication for definitive yield and maturity information regarding those securities, based on the final
! principal amounts, designations and terms of those securities. Once available, a final prospectus supplement may
! be obtained by contacting the CSFB LLC trading desk at (212) 325-8549 or the Wachovia LLC trading desk at (704) 715-7008.
!
! The computer model referenced herein supersedes all computer models related to the subject securities that have
! been made available to you previously. In addition, this computer model will be superseded in its entirety by
! the final prospectus supplement relating to the actual securities preliminarily described by this computer model.
!
! Please be advised that the securities described herein may not be appropriate for all investors. Potential
! investors must be willing to assume, among other things, market price volatility, prepayment, yield curve and
! interest rate risks. Investors should make every effort to consider the risks of these securities.
!
! If you have received this communication in error, please notify the sending party immediately by telephone and
! return the original to such party by mail.
!
!
! Modeled in the Intex CMO Modeling Language, (WNYC14563379)
! which is copyright (c) 2004 by Intex Solutions, Inc.
! Intex shall not be held liable for the accuracy of this data
! nor for the accuracy of information which is derived from this data.
!
!
Page 2
DEFINE CONSTANT #OrigCollBal = 1329639889.20
!
DEFINE CONSTANT #OrigBondBal = 1200000000.00
!
!
| | | | |
| | FULL_DEALNAME: | | COAFT04B |
! | | | | |
| | DEAL SIZE: | | 1200000000.00 |
| | PRICING SPEED: | | 1.70% ABS |
! | | ISSUE DATE: | | 20041001 |
| | SETTLEMENT DATE: | | 20041007 |
! | | |
Record date delay: | | 14 |
!
DEFINE TR_INDEXDEPS_ALL
!
DEFINE VARNAMES #FGBal
!
| | |
DEAL_CLOCK_INFO _ |
ISSUE_CDU_DATE | | 20041001 _ |
DEAL_FIRSTPAY_DATE | | 20041115 |
!
!
DEFINE DYNAMIC STICKY #NetRate = ( COLL_I_MISC(“COUPON”) ) / COLL_PREV_BAL * 1200
!
DEFINE DYNAMIC STICKY #NetRateActual360 = #Netrate * 30 / DAYS_DIFF(CURDATE ,
MONTHS_ADD(CURDATE,-1))
!
DEFINE #FGWrapBal = 1200000000
!
!
TOLERANCE WRITEDOWN_0LOSS 1.00
!
DEFINE TRANCHE “EXP”, “A1”, “A2”, “A3”, “A4”, “R”
!
!
Tranche “EXP” SEN_FEE_NO
Block ( #FGWrapBal ); at 0.2 NOTIONAL WITH FORMULA BEGIN ( IF COLL_PREV_BAL > 0
THEN #FGWrapBal ELSE 0 ); _
END ( IF COLL_BAL > 0 THEN
#FGWrapBal ELSE 0 ); _
DAYCOUNT 30360 FREQ M _
Delay 0 Dated 20041007 Next 20041115
!
Tranche “A1” SEN_FIX
Block 256000000.00 at 1.84 FREQ M _
DAYCOUNT ACTUAL360 BUSINESS_DAY FOLLOWING _
Delay 0 Dated 20041007 Next 20041115
!
Tranche “A2” SEN_FIX
Block 322000000.00 at 2.58 FREQ M _
DAYCOUNT 30360 BUSINESS_DAY NONE _
Delay 0 Dated 20041007 Next 20041115
!
Tranche “A3” SEN_FIX
Block 260000000.00 at 3.06 FREQ M _
DAYCOUNT 30360 BUSINESS_DAY NONE _
Delay 0 Dated 20041007 Next 20041115
!
Tranche “A4” SEN_FIX
Block 362000000.00 at 3.47 FREQ M _
DAYCOUNT 30360 BUSINESS_DAY NONE _
Delay 0 Dated 20041007 Next 20041115
Page 3
!
Tranche “R” SEN_RES
Block 1329639889.20 at 0 NOTIONAL WITH GROUP 0 SURPLUS _
DAYCOUNT 30360 BUSINESS_DAY NONE _
FREQ M Delay 0 Dated 20041015 Next 20041115
!
Tranche “BONDS+WRAP” PSEUDO
Block USE PCT 100.0 100.0 of A1#1
Block USE PCT 100.0 100.0 of A2#1
Block USE PCT 100.0 100.0 of A3#1
Block USE PCT 100.0 100.0 of A4#1
Block USE PCT 100.0 100.0 of EXP#1
!
!
DEFINE PSEUDO_TRANCHE COLLAT _
Delay 14 Dated 20041001 Next 20041115 Settle 20041007
!
RESERVE_FUND “SPREAD_ACCT” _
ON TRANCHE “A1” & “A2” & “A3” & “A4” _
COVERS DELINQ LOSSES _
COVERS INTEREST SHORTFALLS _
EXCESS_TO “R#1” _
FUNDING_FROM RULES _
STARTING_BALANCE ( 2% * #OrigCollBal );
!
FINANCIAL_GUARANTY “FG” _
ON TRANCHE “A1” & “A2” & “A3” & “A4” _
COVERS DELINQ LOSSES _
COVERS INTEREST SHORTFALLS _
TOTAL_PAYOUT_CAP 0.001
!
| | |
CLASS “EXP” | | NO_BUILD_TRANCHE _ |
| | = “EXP” |
CLASS “RESID” | | NO_BUILD_TRANCHE _ |
| | = “R#1” |
CLASS “A1” | | NO_BUILD_TRANCHE _ |
| | = “A1” |
CLASS “A2” | | NO_BUILD_TRANCHE _ |
| | = “A2” |
CLASS “A3” | | NO_BUILD_TRANCHE _ |
| | = “A3” |
CLASS “A4” | | NO_BUILD_TRANCHE _ |
| | = “A4” |
CLASS “A” | | WRITEDOWN_BAL PRORATA ALLOCATION _ |
| | = “A1” “A2” “A3” “A4” |
!
!
CLASS “ROOT” _
WRITEDOWN_BAL RULES _
DISTRIB_CLASS RULES _
SHORTFALL_PAYBACK PRINCIPAL_LOSS TRUE _
= “EXP” “A” “RESID”
!
DEFINE PSEUDO_TRANCHE CLASS “A” Delay 0 Dated 20041007 Next 20041115 DAYCOUNT 30360 BUSINESS_DAY NONE
!
!
CROSSOVER When 0
!
OPTIONAL REDEMPTION: “Cleanup” _
COLL_FRAC 10% _
PRICE_P ( COLL_BAL );
!
Page 4
!
INTEREST_SHORTFALL FULL_PREPAY Compensate Pro_rata _
PARTIAL_PREPAY Compensate Pro_rata _
LOSS NO_Compensate SUBORDINATED ACCUM
!
!
tranche “#OCPct” SYMVAR
tranche “#OCAmt” SYMVAR
tranche “#OCStepTest” SYMVAR
!
CMO Block Payment Rules
——————————————————
!
!! Reserve Account Target Prcentage
——————————————————
calculate : #RsvTargPct = 2.00%
——————————————————
!
!! Cum Net Loss Test
——————————————————
calculate : #OCStepTest = IF( CURMONTH GE 18 ) THEN 1 ELSE 0
——————————————————
!
!! PDA Amounts
——————————————————
calculate : #OCTargPct = IF( #OCStepTest == 0 ) THEN 16.00% ELSE 13.50%
calculate : #ATargBal = COLL_BAL * ( 100% - #OCTargPct )
!
calculate : #FirstPDA = MAX( 0.00, BBAL(“A”) - COLL_BAL )
calculate : #RegPDA = MAX( 0.00, (BBAL(“A”) - #FirstPDA) - #ATargBal
)
——————————————————
!
——————————————————
calculate : “A” _
NO_CHECK CUSTOM AMOUNT = 0
——————————————————
!
!! Pay Class A Interest
——————————————————
pay : CLASS INTEREST SEQUENTIAL ( “A” )
pay : CLASS INTSHORT SEQUENTIAL ( “A” )
——————————————————
from : CREDIT_ENHANCEMENT ( “SPREAD_ACCT” )
pay : CLASS INTEREST SEQUENTIAL ( “A” )
pay : CLASS INTSHORT SEQUENTIAL ( “A” )
——————————————————
from : CLASS ( “A” )
pay : CLASS INTEREST PRO_RATA ( “A1”; “A2”; “A3”; “A4” )
pay : CLASS INTSHORT PRO_RATA ( “A1”; “A2”; “A3”; “A4” )
——————————————————
!
!! Pay Wrap Fee
——————————————————
pay : CLASS ENTIRETY SEQUENTIAL ( “EXP” )
——————————————————
from : CREDIT_ENHANCEMENT ( “SPREAD_ACCT” )
pay : CLASS ENTIRETY SEQUENTIAL ( “EXP” )
——————————————————
!
!! Pay First Allocation of Principal
——————————————————
from : SUBACCOUNT ( #FirstPDA, CLASS “ROOT” )
pay : CLASS BALANCE SEQUENTIAL ( “A” )
——————————————————
Page 5
from : SUBACCOUNT ( #FirstPDA, CREDIT_ENHANCEMENT “SPREAD_ACCT” )
pay : CLASS BALANCE SEQUENTIAL ( “A” )
——————————————————
from : SUBACCOUNT ( #FirstPDA, CREDIT_ENHANCEMENT “FG” )
pay : CLASS BALANCE SEQUENTIAL ( “A” )
——————————————————
from : CLASS ( “A” )
pay : CLASS BALANCE SEQUENTIAL ( “A1”, “A2”, “A3”, “A4” )
——————————————————
from : CLASS ( “A1” )
pay : SEQUENTIAL ( “A1#1” )
——————————————————
from : CLASS ( “A2” )
pay : SEQUENTIAL ( “A2#1” )
——————————————————
from : CLASS ( “A3” )
pay : SEQUENTIAL ( “A3#1” )
——————————————————
from : CLASS ( “A4” )
pay : SEQUENTIAL ( “A4#1” )
——————————————————
!
!! Pay Second Allocation of Principal
——————————————————
calculate : #MidBondBal1 = BBAL(“A1#1”, “A2#1”, “A3#1”, “A4#1”)
calculate : #SecondPDA = MAX( 0.00, #MidBondBal1 - #ATargBal )
——————————————————
from : SUBACCOUNT ( #SecondPDA, CLASS “ROOT” )
pay : CLASS BALANCE SEQUENTIAL ( “A” )
——————————————————
from : CLASS ( “A” )
pay : CLASS BALANCE SEQUENTIAL ( “A1”, “A2”, “A3”, “A4” )
——————————————————
from : CLASS ( “A1” )
pay : SEQUENTIAL ( “A1#1” )
——————————————————
from : CLASS ( “A2” )
pay : SEQUENTIAL ( “A2#1” )
——————————————————
from : CLASS ( “A3” )
pay : SEQUENTIAL ( “A3#1” )
——————————————————
from : CLASS ( “A4” )
pay : SEQUENTIAL ( “A4#1” )
——————————————————
!
!! Fund/Release the Reserve Account
——————————————————
calculate : #EndBondBal = BBAL(“A1#1”, “A2#1”, “A3#1”, “A4#1”)
calculate : #SpecAcctBal = MIN( #EndBondBal, #OrigCollBal * #RsvTargPct )
calculate : #SpecAcctFund = MAX( 0.00, #SpecAcctBal - CREDIT_ENHANCEMENT(
“SPREAD_ACCT” ) )
calculate : #SpecAcctRel = MAX( 0.00, CREDIT_ENHANCEMENT( “SPREAD_ACCT” )
- #SpecAcctBal )
——————————————————
from : CLASS ( “ROOT” )
subject to : CEILING( #SpecAcctFund )
pay : CREDIT_ENHANCEMENT ( “SPREAD_ACCT” )
——————————————————
from : CREDIT_ENHANCEMENT ( “SPREAD_ACCT” )
subject to : CEILING( #SpecAcctRel )
pay : AS_INTEREST( “R” )
——————————————————
Page 6
!
!! Release Excess Cash
——————————————————
from : CLASS ( “ROOT” )
pay : AS_INTEREST( “R” )
——————————————————
!
!! Other
——————————————————
calculate : #FGWrapBal = BBAL(“A1#1”, “A2#1”, “A3#1”, “A4#1”)
——————————————————
calculate : #LastFGBal = #FGBal
calculate : #FGBal = CREDIT_ENHANCEMENT(“FG”)
calculate : #FGDraw = MAX( 0, #FGBal - #LastFGBal )
——————————————————
!
——————————————————
calculate : #OCAmt = COLL_BAL - #EndBondBal
calculate : #OCPct = #OCAmt / COLL_BAL * 100
——————————————————
!
Collateral
!
! Factor —Delay—
! Type Date P/Y BV Use BV for 0
WL 20041001 9999 9999 FALSE
!
! Pool# Type Gross Current Original —Fee— Maturity Orig
! Coupon Factor Balance P/Y BV P/Y BV Term
!! BEGINNING OF COLLATERAL
M 1 WL 00 WAC 14.810 ( 93416105.77 /
93416105.77 ); 93416105.77 2.500 2.500
36:23 36:23 59 NO_CHECK BALLOON SCHED_AMORT 59
M 2 WL 00 WAC 12.232 ( 16686457.28 /
16686457.28 ); 16686457.28 2.500 2.500
31:3 31:3 34 NO_CHECK BALLOON SCHED_AMORT 34
M 3 WL 00 WAC 12.857 ( 51832315.56 /
51832315.56 ); 51832315.56 2.500 2.500
45:2 45:2 47 NO_CHECK BALLOON SCHED_AMORT 47
M 4 WL 00 WAC 12.954 ( 318314000.64 /
318314000.64 ); 318314000.64 2.500 2.500
58:1 58:1 59 NO_CHECK BALLOON SCHED_AMORT 59
M 5 WL 00 WAC 13.536 ( 849391009.95 /
849391009.95 ); 849391009.95 2.500 2.500
69:2 69:2 71 NO_CHECK BALLOON SCHED_AMORT 71
Page 7