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EXHIBIT 4
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SURF 2006-BC1
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*** PLEASE FILL IN THE WAL'S & WINDOWS FOR THE BOTTOM 3 SCENARIOS (ONLY) ***
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TRANCHE, RATINGS TRANCHE, RATINGS
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NO PREPAY STRESS M6
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FWD LIBOR/SWAP SHIFT FORWARD LIBOR +200BP FORWARD LIBOR +200BP
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PREPAY ASSUMPTIONS 1.00x Base Case 1.00x Base Case 1.00x Base Case 1.00x Base Case
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LOSS SEVERITY: 40%
RECOVERY DELAY: 12 MONTHS
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% Cum Loss Yield Break 232,359,042.62 (15.49%) 211,247,768.94 (14.08%)
CDR - Yield Break 19.09 16.71
% Cum Loss 1st $ Principal Loss 220,351,998.41 (14.69%) 195,505,733.76 (13.03%)
CDR - 1st $ Principal Loss 17.72 15.05
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LOSS SEVERITY: 60%
RECOVERY DELAY: 12 MONTHS
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% Cum Loss Yield Break 246,408,889.98 (16.43%) 221,778,953.95 (14.79%)
CDR - Yield Break 12.01 10.52
% Cum Loss 1st $ Principal Loss 231,951,722.39 (15.46%) 203,531,483.89 (13.57%)
CDR - 1st $ Principal Loss 11.13 9.47
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LOSS SEVERITY: 40%
RECOVERY DELAY: 12 MONTHS. NO ADVANCE
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% Cum Loss Yield Break 201,786,607.84 (13.45%) 178,683,399.88 (11.91%)
CDR - Yield Break 15.71 13.37
% Cum Loss 1st $ Principal Loss 190,418,235.55 (12.69%) 164,782,707.00 (10.99%)
CDR - 1st $ Principal Loss 14.54 12.05
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LOSS SEVERITY: 60%
RECOVERY DELAY: 12 MONTHS. NO ADVANCE
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% Cum Loss Yield Break 221,835,286.66 (14.79%) 196,933,964.74 (13.13%)
CDR - Yield Break 10.53 9.10
% Cum Loss 1st $ Principal Loss 208,178,527.60 (13.88%) 180,500,652.65 (12.03%)
CDR - 1st $ Principal Loss 9.74 8.20
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M6
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FWD LIBOR/SWAP SHIFT FORWARD LIBOR +200BP +200BP
PREPAY ASSUMPTIONS 1.00x Base Case 0.50x Base Case Fixed - 50%
Floating - 100%
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LOSS SEVERITY: 50%
RECOVERY DELAY: 12 MONTHS
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% Cum Loss Yield Break 240,612,045.93 (16.04%) 306,658,190.80 (20.44%) 225,399,825.84 (15.03%)
CDR - Yield Break 14.75 11.05 11.84
% Cum Loss 1st $ Principal Loss 227,222,893.98 (15.15%) 287,775,922.10 (19.19%) 204,795,906.10 (13.65%)
CDR - 1st $ Principal Loss 13.68 10.03 10.41
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LOSS SEVERITY: 50%
RECOVERY DELAY: 12 MONTHS. NO ADVANCE
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% Cum Loss Yield Break 213,214,152.04 (14.21%) 268,170,139.39 (17.88%) 196,521,461.55 (13.10%)
CDR - Yield Break 12.60 9.04 9.86
% Cum Loss 1st $ Principal Loss 200,593,077.36 (13.37%) 251,093,663.36 (16.74%) 178,204,085.63 (11.88%)
CDR - 1st $ Principal Loss 11.66 8.23 8.69
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Average Life: 7.36 12.07 9.51
Window (Dates): Nov12 - Apr14 Jun17 - Jan19 Aug14 - Dec16
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0
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FWD LIBOR/SWAP SHIFT FORWARD LIBOR +200BP +200BP
PREPAY ASSUMPTIONS 1.00x Base Case 0.50x Base Case Fixed - 50%
Floating - 100%
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LOSS SEVERITY: 50%
RECOVERY DELAY: 12 MONTHS
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% Cum Loss Yield Break
CDR - Yield Break
% Cum Loss 1st $ Principal Loss
CDR - 1st $ Principal Loss
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LOSS SEVERITY: 50%
RECOVERY DELAY: 12 MONTHS. NO ADVANCE
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% Cum Loss Yield Break
CDR - Yield Break
% Cum Loss 1st $ Principal Loss
CDR - 1st $ Principal Loss
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Average Life:
Window (Dates):
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SURF 2006-BC1
*** PLEASE FILL IN THE WAL'S & WINDOWS FOR THE BOTTOM 3 SCENARIOS (ONLY) ***
TRANCHE, RATINGS
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NO PREPAY STRESS M6
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FWD LIBOR/SWAP SHIFT FORWARD LIBOR +200BP
PREPAY ASSUMPTIONS 1.00x Base Case 1.00x Base Case
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LOSS SEVERITY: 40%
RECOVERY DELAY: 12 MONTHS
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% Cum Loss Yield Break 15.49% 14.08%
CDR - Yield Break 19.09 16.71
% Cum Loss 1st $ Principal Loss 14.69% 13.03%
CDR - 1st $ Principal Loss 17.72 15.05
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LOSS SEVERITY: 60%
RECOVERY DELAY: 12 MONTHS
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% Cum Loss Yield Break 16.43% 14.79%
CDR - Yield Break 12.01 10.52
% Cum Loss 1st $ Principal Loss 15.46% 13.57%
CDR - 1st $ Principal Loss 11.13 9.47
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LOSS SEVERITY: 40%
RECOVERY DELAY: 12 MONTHS. NO ADVANCE
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% Cum Loss Yield Break 13.45% 11.91%
CDR - Yield Break 15.71 13.37
% Cum Loss 1st $ Principal Loss 12.69% 10.99%
CDR - 1st $ Principal Loss 14.54 12.05
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LOSS SEVERITY: 60%
RECOVERY DELAY: 12 MONTHS. NO ADVANCE
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% Cum Loss Yield Break 14.79% 13.13%
CDR - Yield Break 10.53 9.10
% Cum Loss 1st $ Principal Loss 13.88% 12.03%
CDR - 1st $ Principal Loss 9.74 8.20
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M6
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FWD LIBOR/SWAP SHIFT FORWARD LIBOR +200BP +200BP
PREPAY ASSUMPTIONS 1.00x Base Case 0.50x Base Case Fixed - 50%
Floating - 100%
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LOSS SEVERITY: 50%
RECOVERY DELAY: 12 MONTHS
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% Cum Loss Yield Break 16.04% 20.44% 15.03%
CDR - Yield Break 14.75 11.05 11.84
% Cum Loss 1st $ Principal Loss 15.15% 19.19% 13.65%
CDR - 1st $ Principal Loss 13.68 10.03 10.41
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LOSS SEVERITY: 50%
RECOVERY DELAY: 12 MONTHS. NO ADVANCE
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% Cum Loss Yield Break 14.21% 17.88% 13.10%
CDR - Yield Break 12.60 9.04 9.86
% Cum Loss 1st $ Principal Loss 13.37% 16.74% 11.88%
CDR - 1st $ Principal Loss 11.66 8.23 8.69
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Average Life: 7.36 12.07 9.51
Window (Dates): NOV12 - APR14 JUN17 - JAN19 AUG14 - DEC16
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