EXHIBIT 99.2
C-BASS 2001-CB3
BBB, A BREAK EVEN LOSS
BREAK CDRS
RUN AT 45% LOSS SEVERITY, 12 MONTH LAG
-------------------------------------------------------------
BREAK CUMULATIVE CUMULATIVE
CDR COLLATERAL LOSS LOSS %
BBB 11.00 40,181,804 12.52%
A 13.00 51,283,602 15.98%
-------------------------------------------------------------
WITH 100% PRICING SPEED (INCLUDING DEFAULTS)
RUN TO CALL
First Union Securities, Inc.
This document does not constitute either an offer to sell or a solicitation of
an offer to buy any of the securities described herein. Offers to sell and
solicitations of offers to buy are made only by, and this document must be read
in conjunction with, the final offering circular supplement. Information
contained herein does not purport to be complete and is subject to the same
qualifications and assumptions and should be considered by investors only in the
light of the same warnings, lack of assurances and representations and other
precautionary matters, as disclosed in the offering circular supplement. The
descriptions of the securities have been prepared on the basis of certain
assumptions regarding payments, interest rates and other factors described in
the offering circular supplement.
C-BASS 2001-CB3
POOL WAC SCHEDULE
FORWARD LIBOR FORWARD LIBOR + 300 BPS
--------------------------------------------- ---------------------------------------------
A-1 A-1 A-1 A-1 A-1 A-1
PERIOD DATE POOL CAP COUPON CUSHION POOL CAP COUPON CUSHION
0 14-Sep-01
1 25-Sep-01 25.35% 3.94% 21.41% 25.35% 6.94% 18.41%
2 25-Oct-01 9.28% 3.94% 5.34% 9.28% 6.94% 2.34%
3 25-Nov-01 8.95% 3.83% 5.11% 8.95% 6.83% 2.11%
4 25-Dec-01 9.23% 3.70% 5.53% 9.23% 6.70% 2.53%
5 25-Jan-02 8.72% 3.88% 4.83% 9.06% 6.88% 2.18%
6 25-Feb-02 8.70% 3.73% 4.97% 9.05% 6.73% 2.31%
7 25-Mar-02 9.62% 3.76% 5.85% 9.99% 6.76% 3.23%
8 25-Apr-02 8.67% 3.83% 4.84% 9.01% 6.83% 2.17%
9 25-May-02 8.94% 3.86% 5.08% 9.29% 6.86% 2.43%
10 25-Jun-02 8.62% 3.89% 4.73% 8.99% 6.89% 2.10%
11 25-Jul-02 8.92% 4.04% 4.89% 9.35% 7.04% 2.31%
12 25-Aug-02 8.62% 4.11% 4.51% 9.03% 7.11% 1.92%
13 25-Sep-02 8.60% 4.19% 4.41% 9.01% 7.19% 1.81%
14 25-Oct-02 8.87% 4.65% 4.21% 9.29% 7.65% 1.63%
15 25-Nov-02 8.56% 4.77% 3.80% 8.96% 7.77% 1.20%
16 25-Dec-02 8.84% 4.88% 3.97% 9.25% 7.88% 1.38%
17 25-Jan-03 8.68% 4.99% 3.69% 9.13% 7.99% 1.14%
18 25-Feb-03 8.66% 5.10% 3.56% 9.10% 8.10% 1.00%
19 25-Mar-03 9.55% 5.20% 4.36% 10.04% 8.20% 1.85%
20 25-Apr-03 8.60% 5.30% 3.30% 9.04% 8.30% 0.74%
21 25-May-03 9.82% 5.40% 4.42% 10.27% 8.40% 1.87%
22 25-Jun-03 9.63% 5.50% 4.12% 10.10% 8.50% 1.59%
23 25-Jul-03 10.02% 5.61% 4.41% 10.53% 8.61% 1.92%
24 25-Aug-03 9.69% 5.71% 3.99% 10.19% 8.71% 1.48%
25 25-Sep-03 9.69% 5.80% 3.89% 10.18% 8.80% 1.38%
26 25-Oct-03 10.01% 5.59% 4.43% 10.51% 8.59% 1.93%
27 25-Nov-03 9.69% 5.66% 4.03% 10.17% 8.66% 1.51%
28 25-Dec-03 10.02% 5.73% 4.30% 10.56% 8.73% 1.84%
29 25-Jan-04 9.78% 5.80% 3.99% 10.35% 8.80% 1.55%
30 25-Feb-04 9.78% 5.87% 3.91% 10.35% 8.87% 1.48%
31 25-Mar-04 10.46% 5.93% 4.52% 11.05% 8.93% 2.12%
32 25-Apr-04 9.78% 6.00% 3.77% 10.33% 9.00% 1.33%
33 25-May-04 10.17% 6.07% 4.11% 10.80% 9.07% 1.73%
34 25-Jun-04 9.86% 6.13% 3.73% 10.50% 9.13% 1.37%
35 25-Jul-04 10.23% 6.20% 4.03% 10.93% 9.20% 1.73%
36 25-Aug-04 9.90% 6.26% 3.64% 10.57% 9.26% 1.31%
37 25-Sep-04 9.90% 6.33% 3.57% 10.56% 9.33% 1.23%
38 25-Oct-04 10.22% 6.09% 4.14% 10.90% 9.09% 1.82%
39 25-Nov-04 9.89% 6.13% 3.76% 10.58% 9.13% 1.45%
40 25-Dec-04 10.23% 6.18% 4.05% 10.98% 9.18% 1.80%
41 25-Jan-05 9.91% 6.22% 3.69% 10.66% 9.22% 1.43%
42 25-Feb-05 9.91% 6.27% 3.64% 10.65% 9.27% 1.38%
43 25-Mar-05 10.97% 6.31% 4.66% 11.78% 9.31% 2.47%
44 25-Apr-05 9.90% 6.35% 3.55% 10.63% 9.35% 1.28%
45 25-May-05 10.24% 6.39% 3.85% 11.01% 9.39% 1.62%
46 25-Jun-05 9.91% 6.44% 3.48% 10.66% 9.44% 1.22%
47 25-Jul-05 10.26% 6.48% 3.78% 11.04% 9.48% 1.56%
48 25-Aug-05 9.93% 6.51% 3.41% 10.67% 9.51% 1.16%
49 25-Sep-05 9.92% 6.56% 3.37% 10.66% 9.56% 1.11%
50 25-Oct-05 10.25% 6.37% 3.88% 11.01% 9.37% 1.64%
51 25-Nov-05 9.92% 6.40% 3.52% 10.65% 9.40% 1.25%
52 25-Dec-05 10.25% 6.43% 3.82% 10.99% 9.43% 1.56%
53 25-Jan-06 9.91% 6.46% 3.45% 10.63% 9.46% 1.17%
54 25-Feb-06 9.91% 6.49% 3.42% 10.62% 9.49% 1.13%
55 25-Mar-06 10.96% 6.52% 4.45% 11.74% 9.52% 2.23%
56 25-Apr-06 9.90% 6.54% 3.36% 10.60% 9.54% 1.05%
57 25-May-06 10.23% 6.57% 3.66% 10.94% 9.57% 1.38%
58 25-Jun-06 9.90% 6.60% 3.30% 10.58% 9.60% 0.99%
59 25-Jul-06 10.23% 6.62% 3.61% 10.93% 9.62% 1.31%
60 25-Aug-06 9.90% 6.65% 3.25% 10.57% 9.65% 0.92%
61 25-Sep-06 9.89% 6.67% 3.22% 10.56% 9.67% 0.89%
62 25-Oct-06 10.22% 6.46% 3.76% 10.90% 9.46% 1.44%
63 25-Nov-06 9.88% 6.48% 3.40% 10.54% 9.48% 1.05%
64 25-Dec-06 10.21% 6.50% 3.71% 10.87% 9.50% 1.38%
65 25-Jan-07 9.87% 6.52% 3.36% 10.51% 9.52% 1.00%
66 25-Feb-07 9.87% 6.53% 3.34% 10.50% 9.53% 0.97%
67 25-Mar-07 10.93% 6.55% 4.38% 11.62% 9.55% 2.07%
68 25-Apr-07 9.87% 6.56% 3.30% 10.49% 9.56% 0.92%
69 25-May-07 10.19% 6.58% 3.62% 10.83% 9.58% 1.25%
70 25-Jun-07 9.87% 6.59% 3.27% 10.47% 9.59% 0.88%
71 25-Jul-07 10.20% 6.61% 3.59% 10.82% 9.61% 1.21%
72 25-Aug-07 9.87% 6.63% 3.24% 10.46% 9.63% 0.84%
73 25-Sep-07 9.86% 6.64% 3.23% 10.46% 9.64% 0.82%
74 25-Oct-07 10.19% 6.60% 3.59% 10.79% 9.60% 1.20%
75 25-Nov-07 9.86% 6.61% 3.25% 10.44% 9.61% 0.83%
76 25-Dec-07 10.18% 6.62% 3.56% 10.77% 9.62% 1.15%
77 25-Jan-08 9.85% 6.63% 3.22% 10.42% 9.63% 0.79%
78 25-Feb-08 9.85% 6.64% 3.21% 10.41% 9.64% 0.77%
79 25-Mar-08 10.52% 6.65% 3.87% 11.12% 9.65% 1.47%
80 25-Apr-08 9.84% 6.66% 3.18% 10.39% 9.66% 0.73%
81 25-May-08 10.17% 6.67% 3.49% 10.73% 9.67% 1.06%
82 25-Jun-08 9.84% 6.68% 3.16% 10.38% 9.68% 0.70%
83 25-Jul-08 10.17% 6.70% 3.47% 10.72% 9.70% 1.02%
84 25-Aug-08 9.84% 6.70% 3.13% 10.37% 9.70% 0.66%
--------------------------------------------
FORWARD LIBOR + 400 BPS FORWARD LIBOR + 500 BPS
--------------------------------------------- --------------------------------------------
A-1 A-1 A-1 A-1 A-1 A-1
PERIOD DATE POOL CAP COUPON CUSHION POOL CAP COUPON CUSHION
0 14-Sep-01
1 25-Sep-01 25.35% 7.94% 17.41% 25.35% 8.94% 16.41%
2 25-Oct-01 9.28% 7.94% 1.34% 9.28% 8.94% 0.34%
3 25-Nov-01 8.95% 7.83% 1.11% 8.95% 8.83% 0.11%
4 25-Dec-01 9.23% 7.70% 1.53% 9.23% 8.70% 0.53%
5 25-Jan-02 9.11% 7.88% 1.23% 9.11% 8.88% 0.23%
6 25-Feb-02 9.09% 7.73% 1.36% 9.09% 8.73% 0.36%
7 25-Mar-02 10.05% 7.76% 2.28% 10.05% 8.76% 1.28%
8 25-Apr-02 9.06% 7.83% 1.22% 9.06% 8.83% 0.22%
9 25-May-02 9.34% 7.86% 1.48% 9.34% 8.86% 0.48%
10 25-Jun-02 9.04% 7.89% 1.15% 9.04% 8.89% 0.15%
11 25-Jul-02 9.48% 8.04% 1.44% 9.50% 9.04% 0.46%
12 25-Aug-02 9.15% 8.11% 1.05% 9.17% 9.11% 0.06%
13 25-Sep-02 9.13% 8.19% 0.94% 9.15% 9.19% -0.05%
14 25-Oct-02 9.41% 8.65% 0.76% 9.43% 9.65% -0.23%
15 25-Nov-02 9.09% 8.77% 0.32% 9.10% 9.77% -0.67%
16 25-Dec-02 9.38% 8.88% 0.51% 9.40% 9.88% -0.48%
17 25-Jan-03 9.25% 8.99% 0.26% 9.33% 9.99% -0.66%
18 25-Feb-03 9.22% 9.10% 0.12% 9.30% 10.10% -0.80%
19 25-Mar-03 10.17% 9.20% 0.98% 10.26% 10.20% 0.07%
20 25-Apr-03 9.16% 9.30% -0.14% 9.24% 10.30% -1.06%
21 25-May-03 10.39% 9.40% 0.99% 10.48% 10.40% 0.07%
22 25-Jun-03 10.21% 9.50% 0.71% 10.29% 10.50% -0.21%
23 25-Jul-03 10.65% 9.61% 1.04% 10.75% 10.61% 0.14%
24 25-Aug-03 10.30% 9.71% 0.59% 10.40% 10.71% -0.31%
25 25-Sep-03 10.29% 9.80% 0.49% 10.39% 10.80% -0.41%
26 25-Oct-03 10.63% 9.59% 1.04% 10.73% 10.59% 0.14%
27 25-Nov-03 10.28% 9.66% 0.62% 10.38% 10.66% -0.28%
28 25-Dec-03 10.69% 9.73% 0.96% 10.78% 10.73% 0.05%
29 25-Jan-04 10.47% 9.80% 0.67% 10.53% 10.80% -0.27%
30 25-Feb-04 10.46% 9.87% 0.59% 10.52% 10.87% -0.35%
31 25-Mar-04 11.18% 9.93% 1.24% 11.24% 10.93% 0.31%
32 25-Apr-04 10.45% 10.00% 0.44% 10.51% 11.00% -0.50%
33 25-May-04 10.92% 10.07% 0.85% 10.98% 11.07% -0.09%
34 25-Jun-04 10.62% 10.13% 0.49% 10.68% 11.13% -0.45%
35 25-Jul-04 11.07% 10.20% 0.87% 11.10% 11.20% -0.10%
36 25-Aug-04 10.70% 10.26% 0.44% 10.73% 11.26% -0.53%
37 25-Sep-04 10.69% 10.33% 0.36% 10.72% 11.33% -0.60%
38 25-Oct-04 11.04% 10.09% 0.95% 11.07% 11.09% -0.02%
39 25-Nov-04 10.71% 10.13% 0.58% 10.74% 11.13% -0.39%
40 25-Dec-04 11.11% 10.18% 0.93% 11.14% 11.18% -0.04%
41 25-Jan-05 10.81% 10.22% 0.59% 10.83% 11.22% -0.39%
42 25-Feb-05 10.80% 10.27% 0.53% 10.82% 11.27% -0.45%
43 25-Mar-05 11.95% 10.31% 1.64% 11.97% 11.31% 0.66%
44 25-Apr-05 10.78% 10.35% 0.43% 10.80% 11.35% -0.55%
45 25-May-05 11.17% 10.39% 0.77% 11.19% 11.39% -0.21%
46 25-Jun-05 10.82% 10.44% 0.39% 10.84% 11.44% -0.59%
47 25-Jul-05 11.21% 10.48% 0.74% 11.22% 11.48% -0.26%
48 25-Aug-05 10.84% 10.51% 0.32% 10.84% 11.51% -0.67%
49 25-Sep-05 10.83% 10.56% 0.27% 10.83% 11.56% -0.72%
50 25-Oct-05 11.18% 10.37% 0.81% 11.18% 11.37% -0.19%
51 25-Nov-05 10.84% 10.40% 0.44% 10.85% 11.40% -0.56%
52 25-Dec-05 11.19% 10.43% 0.76% 11.19% 11.43% -0.24%
53 25-Jan-06 10.82% 10.46% 0.37% 10.83% 11.46% -0.63%
54 25-Feb-06 10.81% 10.49% 0.32% 10.81% 11.49% -0.68%
55 25-Mar-06 11.96% 10.52% 1.44% 11.96% 11.52% 0.44%
56 25-Apr-06 10.79% 10.54% 0.25% 10.79% 11.54% -0.75%
57 25-May-06 11.15% 10.57% 0.58% 11.15% 11.57% -0.42%
58 25-Jun-06 10.77% 10.60% 0.17% 10.77% 11.60% -0.82%
59 25-Jul-06 11.12% 10.62% 0.50% 11.12% 11.62% -0.50%
60 25-Aug-06 10.75% 10.65% 0.10% 10.75% 11.65% -0.90%
61 25-Sep-06 10.74% 10.67% 0.06% 10.74% 11.67% -0.93%
62 25-Oct-06 11.08% 10.46% 0.62% 11.08% 11.46% -0.38%
63 25-Nov-06 10.71% 10.48% 0.23% 10.71% 11.48% -0.77%
64 25-Dec-06 11.06% 10.50% 0.56% 11.06% 11.50% -0.44%
65 25-Jan-07 10.69% 10.52% 0.17% 10.69% 11.52% -0.82%
66 25-Feb-07 10.68% 10.53% 0.14% 10.68% 11.53% -0.85%
67 25-Mar-07 11.81% 10.55% 1.26% 11.81% 11.55% 0.27%
68 25-Apr-07 10.66% 10.56% 0.09% 10.66% 11.56% -0.90%
69 25-May-07 11.00% 10.58% 0.42% 11.00% 11.58% -0.57%
70 25-Jun-07 10.64% 10.59% 0.04% 10.64% 11.59% -0.96%
71 25-Jul-07 10.98% 10.61% 0.37% 10.98% 11.61% -0.63%
72 25-Aug-07 10.62% 10.63% -0.01% 10.62% 11.63% -1.01%
73 25-Sep-07 10.61% 10.64% -0.03% 10.61% 11.64% -1.03%
74 25-Oct-07 10.95% 10.60% 0.35% 10.95% 11.60% -0.65%
75 25-Nov-07 10.59% 10.61% -0.02% 10.59% 11.61% -1.02%
76 25-Dec-07 10.92% 10.62% 0.30% 10.92% 11.62% -0.70%
77 25-Jan-08 10.56% 10.63% -0.07% 10.56% 11.63% -1.07%
78 25-Feb-08 10.55% 10.64% -0.09% 10.55% 11.64% -1.09%
79 25-Mar-08 11.27% 10.65% 0.61% 11.27% 11.65% -0.39%
80 25-Apr-08 10.53% 10.66% -0.13% 10.53% 11.66% -1.13%
81 25-May-08 10.87% 10.67% 0.20% 10.87% 11.67% -0.80%
82 25-Jun-08 10.51% 10.68% -0.17% 10.51% 11.68% -1.17%
83 25-Jul-08 10.85% 10.70% 0.16% 10.85% 11.70% -0.84%
84 25-Aug-08 10.49% 10.70% -0.21% 10.49% 11.70% -1.21%
LIBOR = 18.00%
-------------------
PERIOD DATE POOL CAP
0 14-Sep-01
1 25-Sep-01 25.35%
2 25-Oct-01 9.28%
3 25-Nov-01 8.95%
4 25-Dec-01 9.23%
5 25-Jan-02 9.11%
6 25-Feb-02 9.09%
7 25-Mar-02 10.05%
8 25-Apr-02 9.06%
9 25-May-02 9.34%
10 25-Jun-02 9.04%
11 25-Jul-02 9.50%
12 25-Aug-02 9.17%
13 25-Sep-02 9.15%
14 25-Oct-02 9.43%
15 25-Nov-02 9.10%
16 25-Dec-02 9.40%
17 25-Jan-03 9.33%
18 25-Feb-03 9.30%
19 25-Mar-03 10.26%
20 25-Apr-03 9.24%
21 25-May-03 10.48%
22 25-Jun-03 10.29%
23 25-Jul-03 10.75%
24 25-Aug-03 10.40%
25 25-Sep-03 10.39%
26 25-Oct-03 10.73%
27 25-Nov-03 10.38%
28 25-Dec-03 10.78%
29 25-Jan-04 10.53%
30 25-Feb-04 10.52%
31 25-Mar-04 11.24%
32 25-Apr-04 10.51%
33 25-May-04 10.98%
34 25-Jun-04 10.68%
35 25-Jul-04 11.10%
36 25-Aug-04 10.73%
37 25-Sep-04 10.72%
38 25-Oct-04 11.07%
39 25-Nov-04 10.74%
40 25-Dec-04 11.14%
41 25-Jan-05 10.83%
42 25-Feb-05 10.82%
43 25-Mar-05 11.97%
44 25-Apr-05 10.80%
45 25-May-05 11.19%
46 25-Jun-05 10.84%
47 25-Jul-05 11.22%
48 25-Aug-05 10.84%
49 25-Sep-05 10.83%
50 25-Oct-05 11.18%
51 25-Nov-05 10.85%
52 25-Dec-05 11.19%
53 25-Jan-06 10.83%
54 25-Feb-06 10.81%
55 25-Mar-06 11.96%
56 25-Apr-06 10.79%
57 25-May-06 11.15%
58 25-Jun-06 10.77%
59 25-Jul-06 11.12%
60 25-Aug-06 10.75%
61 25-Sep-06 10.74%
62 25-Oct-06 11.08%
63 25-Nov-06 10.71%
64 25-Dec-06 11.06%
65 25-Jan-07 10.69%
66 25-Feb-07 10.68%
67 25-Mar-07 11.81%
68 25-Apr-07 10.66%
69 25-May-07 11.00%
70 25-Jun-07 10.64%
71 25-Jul-07 10.98%
72 25-Aug-07 10.62%
73 25-Sep-07 10.61%
74 25-Oct-07 10.95%
75 25-Nov-07 10.59%
76 25-Dec-07 10.92%
77 25-Jan-08 10.56%
78 25-Feb-08 10.55%
79 25-Mar-08 11.27%
80 25-Apr-08 10.53%
81 25-May-08 10.87%
82 25-Jun-08 10.51%
83 25-Jul-08 10.85%
84 25-Aug-08 10.49%
First Union Securities, Inc.
This document does not constitute either an offer to sell or a solicitation of
an offer to buy any of the securities described herein. Offers to sell and
solicitations of offers to buy are made only by, and this document must be read
in conjunction with, the final offering circular supplement. Information
contained herein does not purport to be complete and is subject to the same
qualifications and assumptions and should be considered by investors only in the
light of the same warnings, lack of assurances and representations and other
precautionary matters, as disclosed in the offering circular supplement. The
descriptions of the securities have been prepared on the basis of certain
assumptions regarding payments, interest rates and other factors described in
the offering circular supplement.
C-BASS 2001-CB3
A, BBB BREAK EVEN LOSS
RUN TO CALL
BREAK CDRS
---------------------------------------------------------------
BBB (B-1) A (M-2)
60 Loss Severity 9.00 11.00
50 Loss Severity 11.00 13.00
40 Loss Severity 14.00 16.00
30 Loss Severity 18.00 21.00
---------------------------------------------------------------
WITH 100% PRICING SPEED (INCLUDING DEFAULTS)
First Union Securities, Inc.
This document does not constitute either an offer to sell or a solicitation of
an offer to buy any of the securities described herein. Offers to sell and
solicitations of offers to buy are made only by, and this document must be read
in conjunction with, the final offering circular supplement. Information
contained herein does not purport to be complete and is subject to the same
qualifications and assumptions and should be considered by investors only in the
light of the same warnings, lack of assurances and representations and other
precautionary matters, as disclosed in the offering circular supplement. The
descriptions of the securities have been prepared on the basis of certain
assumptions regarding payments, interest rates and other factors described in
the offering circular supplement.
C-BASS 2001-CB3
BBB BREAK EVEN LOSS
BREAK CDRS
RUN AT 35% LOSS SEVERITY
--------------------------------------------------------------------- ------------
BREAK CUMULATIVE CUMULATIVE AVG.
CDR COLLATERAL LOSS (MM) LOSS % LIFE
BBB 15.00 48.110 14.99% 5.68
A 18.00 58.760 18.31% 6.24
AA 22.00 71.990 22.44% 6.74
AAA 29.00 83.280 25.96% 2.75
--------------------------------------------------------------------- ------------
WITH 100% PRICING SPEED (INCLUDING DEFAULTS)
RUN TO CALL
First Union Securities, Inc.
This document does not constitute either an offer to sell or a solicitation of
an offer to buy any of the securities described herein. Offers to sell and
solicitations of offers to buy are made only by, and this document must be read
in conjunction with, the final offering circular supplement. Information
contained herein does not purport to be complete and is subject to the same
qualifications and assumptions and should be considered by investors only in the
light of the same warnings, lack of assurances and representations and other
precautionary matters, as disclosed in the offering circular supplement. The
descriptions of the securities have been prepared on the basis of certain
assumptions regarding payments, interest rates and other factors described in
the offering circular supplement.
C-BASS 2001-CB3
BBB BREAK EVEN LOSS
RUN TO CALL
BREAK CDRS
------------------------------------------------------------------------
BBB (B-1) CUMULATIVE CUMULATIVE
COLLATERAL LOSS LOSS %
40 Loss Severity 14.00 35,604,165 11.10%
35 Loss Severity 16.00 34,276,453 10.68%
30 Loss Severity 18.00 31,829,919 9.92%
------------------------------------------------------------------------
with 100% Pricing Speed (excluding defaults)
RUN TO MATURITY
BREAK CDRS
-----------------------------------------------------------------------
BBB (B-1) CUMULATIVE CUMULATIVE
COLLATERAL LOSS LOSS %
40 Loss Severity 14.00 39,615,688 12.35%
35 Loss Severity 15.00 36,452,516 11.36%
30 Loss Severity 18.00 35,527,601 11.07%
-----------------------------------------------------------------------
with 100% Pricing Speed (excluding defaults)
First Union Securities, Inc.
This document does not constitute either an offer to sell or a solicitation of
an offer to buy any of the securities described herein. Offers to sell and
solicitations of offers to buy are made only by, and this document must be read
in conjunction with, the final offering circular supplement. Information
contained herein does not purport to be complete and is subject to the same
qualifications and assumptions and should be considered by investors only in the
light of the same warnings, lack of assurances and representations and other
precautionary matters, as disclosed in the offering circular supplement. The
descriptions of the securities have been prepared on the basis of certain
assumptions regarding payments, interest rates and other factors described in
the offering circular supplement.
C-BASS 2001-CB3
BBB BREAK EVEN LOSS
BREAK CDRS
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BBB (B-1) CUMULATIVE CUMULATIVE
COLLATERAL LOSS LOSS %
40 Loss Severity 14.00 51,898,468 16.18%
35 Loss Severity 15.00 48,908,569 15.24%
30 Loss Severity 18.00 51,112,818 15.93%
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with 100% Pricing Speed (including defaults)
First Union Securities, Inc.
This document does not constitute either an offer to sell or a solicitation of
an offer to buy any of the securities described herein. Offers to sell and
solicitations of offers to buy are made only by, and this document must be read
in conjunction with, the final offering circular supplement. Information
contained herein does not purport to be complete and is subject to the same
qualifications and assumptions and should be considered by investors only in the
light of the same warnings, lack of assurances and representations and other
precautionary matters, as disclosed in the offering circular supplement. The
descriptions of the securities have been prepared on the basis of certain
assumptions regarding payments, interest rates and other factors described in
the offering circular supplement.