EXHIBIT 99.1
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
10/13/2005 18:32:19 CARVE Version 54.0
/u/alexwong/deal/top20/051013/top20.051013.75mm.carve
BSCMS BSCMS Series 2005-TOP20 **Moodys/Fitch Class A3B
================================================================================
Class A3B Settlement Date 10/28/2005 Coupon 5.44800 Cusip N/A
Original Balance 75,000,000.00 Dated Date 10/01/2005 Delay 11 Yield Table Date 10/13/2005
Current Balance 75,000,000.00 First Payment Date 11/12/2005 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating AAA/Aaa Next Payment Date 11/12/2005 Orig Deal Size 2,248,978,628.00 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 36
Factor 1.00000000 Interest Freq Monthly Deal Age 0
Prepay CPR 0 CPR 5 CPR 5 CPR 5 CPR 5 CPR 10 CPR 10
(!YM) (!YM) (!YM) (!YM) (!YM) (!YM)
CPR 100 CPR 100 CPR 100 CPR 100 CPR 100 CPR 100
Default CDR 0 12 CDR 0 24 CDR 0 12 CDR 0 24 CDR 0 12 CDR 0 24
3 3 4 4 4 4
Advances YES YES YES YES YES YES
Recv Mnth 12 12 12 12 12 12
Recv Distr 100 1 100 1 100 1 100 1 100 1 100 1
Losses 0.35 0.35 0.35 0.35 0.35 0.35
-----------------------------------------------------------------------------------------------------------------------------------
Price / Yield
-----------------------------------------------------------------------------------------------------------------------------------
99.5008 5.3382 5.3988 5.4064 5.3853 5.3996 5.4258 5.4161
99.5633 5.3270 5.3843 5.3928 5.3703 5.3852 5.4101 5.4010
99.6258 5.3157 5.3698 5.3793 5.3553 5.3709 5.3944 5.3858
99.6883 5.3045 5.3553 5.3657 5.3403 5.3565 5.3787 5.3707
99.7508 5.2933 5.3408 5.3521 5.3253 5.3422 5.3630 5.3555
99.8133 5.2821 5.3263 5.3385 5.3103 5.3279 5.3474 5.3404
99.8758 5.2709 5.3119 5.3250 5.2953 5.3136 5.3317 5.3253
99.9383 5.2597 5.2975 5.3115 5.2804 5.2993 5.3161 5.3102
100.0008 5.2485 5.2830 5.2979 5.2654 5.2850 5.3004 5.2951
100.0633 5.2373 5.2686 5.2844 5.2505 5.2707 5.2848 5.2800
100.1258 5.2261 5.2542 5.2709 5.2356 5.2564 5.2692 5.2650
100.1883 5.2150 5.2398 5.2574 5.2206 5.2422 5.2536 5.2499
100.2508 5.2038 5.2254 5.2439 5.2057 5.2279 5.2380 5.2349
100.3133 5.1927 5.2110 5.2304 5.1908 5.2137 5.2224 5.2198
100.3758 5.1815 5.1967 5.2170 5.1759 5.1995 5.2069 5.2048
100.4383 5.1704 5.1823 5.2035 5.1611 5.1853 5.1913 5.1898
100.5008 5.1593 5.1680 5.1901 5.1462 5.1711 5.1758 5.1748
100.5633 5.1481 5.1536 5.1766 5.1314 5.1569 5.1602 5.1598
100.6258 5.1370 5.1393 5.1632 5.1165 5.1427 5.1447 5.1448
100.6883 5.1259 5.1250 5.1498 5.1017 5.1285 5.1292 5.1298
100.7508 5.1149 5.1107 5.1364 5.0869 5.1143 5.1137 5.1149
-----------------------------------------------------------------------------------------------------------------------------------
Average Life 6.78 5.04 5.43 4.84 5.09 4.60 4.79
Mod Duration @ 100.1258 5.57 4.32 4.60 4.17 4.36 3.98 4.13
First Prin 07/12/2012 09/12/2010 09/12/2010 07/12/2010 09/12/2010 04/12/2010 06/12/2010
Last Prin 10/12/2012 06/12/2011 01/12/2012 10/12/2010 07/12/2011 08/12/2010 09/12/2010
Payment Window 4 10 17 4 11 5 4
USD Swap Spread @ 100.1258 35 43 44 42 43 47 45
Page 1 of 1
--------------------------------------------------------------------------------
This memorandum is based on information generally available to the public from
sources believed to be reliable. No representation is made that it is accurate
or complete. Certain assumptions may have been made in this analysis which have
resulted in any returns detailed herein. No representation is made that any
returns indicated will be achieved. Changes to the assumptions may have a
material impact on any returns detailed. Past performance is not necessarily
indicative of future returns. Price and availability are subject to change
without notice. The foregoing has been prepared solely for informational
purposes, and is not an offer to buy or sell or a solicitation of an offer to
buy or sell any security or instrument or to participate in any particular
trading strategy. Xxxxxx Xxxxxxx & Co. Incorporated, Xxxxxx Xxxxxxx & Co.
International Limited, Xxxxxx Xxxxxxx Japan Ltd. and/or their affiliates may
have positions in, and effect transactions in securities and instruments of
issuers mentioned herein and may also provide or seek to provide significant
advice or investment services, including investment banking, for the issuers of
such securities and instruments. Additional information is available upon
request. To Our Readers Worldwide: In addition please note that this publication
has been issued by Xxxxxx Xxxxxxx & Co. Incorporated and approved by Xxxxxx
Xxxxxxx & Co. International Limited, a member of The Securities and Futures
Authority and Xxxxxx Xxxxxxx Japan, Ltd. We recommend that investors obtain the
advice of their Xxxxxx Xxxxxxx & Co. International limited or Xxxxxx Xxxxxxx
Japan, Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION
TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
10/13/2005 18:40:33 CARVE Version 54.0
/u/alexwong/deal/top20/051013/top20.051013.25mm.carve
BSCMS BSCMS Series 2005-TOP20 **Moodys/Fitch Class A3B
================================================================================
Class A3B Settlement Date 10/28/2005 Coupon 5.44800 Cusip N/A
Original Balance 25,000,000.00 Dated Date 10/01/2005 Delay 11 Yield Table Date 10/13/2005
Current Balance 25,000,000.00 First Payment Date 11/12/2005 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating AAA/Aaa Next Payment Date 11/12/2005 Orig Deal Size 2,248,978,628.00 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 36
Factor 1.00000000 Interest Freq Monthly Deal Age 0
Prepay CPR 0 CPR 5 CPR 5 CPR 5 CPR 5 CPR 10 CPR 10
(!YM) (!YM) (!YM) (!YM) (!YM) (!YM)
CPR 100 CPR 100 CPR 100 CPR 100 CPR 100 CPR 100
Default CDR 0 12 CDR 0 24 CDR 0 12 CDR 0 24 CDR 0 12 CDR 0 24
3 3 4 4 4 4
Advances YES YES YES YES YES YES
Recv Mnth 12 12 12 12 12 12
Recv Distr 100 1 100 1 100 1 100 1 100 1 100 1
Losses 0.35 0.35 0.35 0.35 0.35 0.35
-----------------------------------------------------------------------------------------------------------------------------------
Price / Yield
-----------------------------------------------------------------------------------------------------------------------------------
99.4943 5.3395 5.4295 5.3933 5.3862 5.4149 5.4305 5.3859
99.5568 5.3284 5.4157 5.3808 5.3713 5.4013 5.4152 5.3710
99.6193 5.3173 5.4019 5.3683 5.3564 5.3877 5.3999 5.3561
99.6818 5.3061 5.3882 5.3558 5.3416 5.3741 5.3846 5.3412
99.7443 5.2950 5.3744 5.3434 5.3267 5.3606 5.3694 5.3263
99.8068 5.2839 5.3607 5.3309 5.3119 5.3470 5.3541 5.3114
99.8693 5.2729 5.3469 5.3184 5.2971 5.3335 5.3389 5.2965
99.9318 5.2618 5.3332 5.3060 5.2823 5.3200 5.3237 5.2816
99.9943 5.2507 5.3194 5.2936 5.2674 5.3064 5.3085 5.2668
100.0568 5.2396 5.3057 5.2811 5.2527 5.2929 5.2933 5.2519
100.1193 5.2286 5.2920 5.2687 5.2379 5.2794 5.2781 5.2371
100.1818 5.2175 5.2783 5.2563 5.2231 5.2659 5.2629 5.2223
100.2443 5.2065 5.2646 5.2439 5.2083 5.2525 5.2477 5.2075
100.3068 5.1955 5.2510 5.2315 5.1936 5.2390 5.2326 5.1927
100.3693 5.1845 5.2373 5.2192 5.1789 5.2255 5.2174 5.1779
100.4318 5.1735 5.2237 5.2068 5.1641 5.2121 5.2023 5.1631
100.4943 5.1624 5.2100 5.1944 5.1494 5.1986 5.1872 5.1484
100.5568 5.1515 5.1964 5.1821 5.1347 5.1852 5.1721 5.1336
100.6193 5.1405 5.1828 5.1697 5.1200 5.1718 5.1570 5.1189
100.6818 5.1295 5.1691 5.1574 5.1053 5.1584 5.1419 5.1041
100.7443 5.1185 5.1555 5.1451 5.0907 5.1450 5.1268 5.0894
-----------------------------------------------------------------------------------------------------------------------------------
Average Life 6.87 5.33 5.98 4.89 5.43 4.74 4.87
Mod Duration @ 100.1193 5.63 4.54 5.01 4.21 4.61 4.10 4.19
First Prin 08/12/2012 11/12/2010 07/12/2011 09/12/2010 01/12/2011 07/12/2010 09/12/2010
Last Prin 10/12/2012 06/12/2011 01/12/2012 10/12/2010 07/12/2011 08/12/2010 09/12/2010
Payment Window 3 8 7 2 7 2 1
USD Swap Spread @ 100.1193 35 46 41 42 44 47 42
Page 1 of 1
--------------------------------------------------------------------------------
This memorandum is based on information generally available to the public from
sources believed to be reliable. No representation is made that it is accurate
or complete. Certain assumptions may have been made in this analysis which have
resulted in any returns detailed herein. No representation is made that any
returns indicated will be achieved. Changes to the assumptions may have a
material impact on any returns detailed. Past performance is not necessarily
indicative of future returns. Price and availability are subject to change
without notice. The foregoing has been prepared solely for informational
purposes, and is not an offer to buy or sell or a solicitation of an offer to
buy or sell any security or instrument or to participate in any particular
trading strategy. Xxxxxx Xxxxxxx & Co. Incorporated, Xxxxxx Xxxxxxx & Co.
International Limited, Xxxxxx Xxxxxxx Japan Ltd. and/or their affiliates may
have positions in, and effect transactions in securities and instruments of
issuers mentioned herein and may also provide or seek to provide significant
advice or investment services, including investment banking, for the issuers of
such securities and instruments. Additional information is available upon
request. To Our Readers Worldwide: In addition please note that this publication
has been issued by Xxxxxx Xxxxxxx & Co. Incorporated and approved by Xxxxxx
Xxxxxxx & Co. International Limited, a member of The Securities and Futures
Authority and Xxxxxx Xxxxxxx Japan, Ltd. We recommend that investors obtain the
advice of their Xxxxxx Xxxxxxx & Co. International limited or Xxxxxx Xxxxxxx
Japan, Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION
TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
10/13/2005 18:35:58 CARVE Version 54.0
/u/alexwong/deal/top20/051013/top20.051013.25mm.carve
BSCMS BSCMS Series 2005-TOP20 **Moodys/Fitch Class A3B
================================================================================
Class A3B Settlement Date 10/28/2005 Coupon 5.44800 Cusip N/A
Original Balance 50,000,000.00 Dated Date 10/01/2005 Delay 11 Yield Table Date 10/13/2005
Current Balance 50,000,000.00 First Payment Date 11/12/2005 Lead Manager Xxxxxx Xxxxxxx & Co. Yield Frequency SemiAnnual
Credit Rating AAA/Aaa Next Payment Date 11/12/2005 Orig Deal Size 2,248,978,628.00 Yield Day Count 30/360
Market Desc N/A Payment Freq Monthly Num of Tranches 36
Factor 1.00000000 Interest Freq Monthly Deal Age 0
Prepay CPR 0 CPR 5 CPR 5 CPR 5 CPR 5 CPR 10 CPR 10
(!YM) (!YM) (!YM) (!YM) (!YM) (!YM)
CPR 100 CPR 100 CPR 100 CPR 100 CPR 100 CPR 100
Default CDR 0 12 CDR 0 24 CDR 0 12 CDR 0 24 CDR 0 12 CDR 0 24
3 3 4 4 4 4
Advances YES YES YES YES YES YES
Recv Mnth 12 12 12 12 12 12
Recv Distr 100 1 100 1 100 1 100 1 100 1 100 1
Losses 0.35 0.35 0.35 0.35 0.35 0.35
-----------------------------------------------------------------------------------------------------------------------------------
Price / Yield
-----------------------------------------------------------------------------------------------------------------------------------
99.4984 5.3388 5.4123 5.4083 5.3796 5.4136 5.4522 5.4031
99.5609 5.3276 5.3980 5.3952 5.3647 5.3995 5.4367 5.3881
99.6234 5.3164 5.3838 5.3822 5.3498 5.3854 5.4212 5.3731
99.6859 5.3052 5.3695 5.3691 5.3349 5.3713 5.4057 5.3581
99.7484 5.2940 5.3552 5.3561 5.3201 5.3573 5.3902 5.3431
99.8109 5.2828 5.3409 5.3430 5.3052 5.3432 5.3748 5.3281
99.8734 5.2717 5.3267 5.3300 5.2903 5.3291 5.3593 5.3132
99.9359 5.2605 5.3124 5.3170 5.2755 5.3151 5.3439 5.2982
99.9984 5.2494 5.2982 5.3040 5.2606 5.3011 5.3285 5.2833
100.0609 5.2383 5.2840 5.2910 5.2458 5.2871 5.3130 5.2683
100.1234 5.2271 5.2698 5.2780 5.2310 5.2731 5.2976 5.2534
100.1859 5.2160 5.2556 5.2651 5.2162 5.2591 5.2822 5.2385
100.2484 5.2049 5.2414 5.2521 5.2014 5.2451 5.2669 5.2236
100.3109 5.1938 5.2272 5.2392 5.1866 5.2311 5.2515 5.2087
100.3734 5.1827 5.2131 5.2262 5.1719 5.2172 5.2361 5.1939
100.4359 5.1717 5.1989 5.2133 5.1571 5.2032 5.2208 5.1790
100.4984 5.1606 5.1848 5.2004 5.1424 5.1893 5.2055 5.1641
100.5609 5.1495 5.1706 5.1874 5.1276 5.1753 5.1901 5.1493
100.6234 5.1385 5.1565 5.1745 5.1129 5.1614 5.1748 5.1345
100.6859 5.1274 5.1424 5.1616 5.0982 5.1475 5.1595 5.1196
100.7484 5.1164 5.1283 5.1488 5.0835 5.1336 5.1442 5.1048
Average Life 6.81 5.12 5.68 4.88 5.20 4.67 4.84
Mod Duration @ 100.1234 5.59 4.38 4.79 4.20 4.44 4.04 4.17
First Prin 07/12/2012 09/12/2010 12/12/2010 08/12/2010 09/12/2010 04/12/2010 07/12/2010
Last Prin 10/12/2012 06/12/2011 01/12/2012 10/12/2010 07/12/2011 08/12/2010 09/12/2010
Payment Window 4 10 14 3 11 5 3
USD Swap Spread @ 100.1234 35 44 43 42 44 49 44
Page 1 of 1
--------------------------------------------------------------------------------
This memorandum is based on information generally available to the public from
sources believed to be reliable. No representation is made that it is accurate
or complete. Certain assumptions may have been made in this analysis which have
resulted in any returns detailed herein. No representation is made that any
returns indicated will be achieved. Changes to the assumptions may have a
material impact on any returns detailed. Past performance is not necessarily
indicative of future returns. Price and availability are subject to change
without notice. The foregoing has been prepared solely for informational
purposes, and is not an offer to buy or sell or a solicitation of an offer to
buy or sell any security or instrument or to participate in any particular
trading strategy. Xxxxxx Xxxxxxx & Co. Incorporated, Xxxxxx Xxxxxxx & Co.
International Limited, Xxxxxx Xxxxxxx Japan Ltd. and/or their affiliates may
have positions in, and effect transactions in securities and instruments of
issuers mentioned herein and may also provide or seek to provide significant
advice or investment services, including investment banking, for the issuers of
such securities and instruments. Additional information is available upon
request. To Our Readers Worldwide: In addition please note that this publication
has been issued by Xxxxxx Xxxxxxx & Co. Incorporated and approved by Xxxxxx
Xxxxxxx & Co. International Limited, a member of The Securities and Futures
Authority and Xxxxxx Xxxxxxx Japan, Ltd. We recommend that investors obtain the
advice of their Xxxxxx Xxxxxxx & Co. International limited or Xxxxxx Xxxxxxx
Japan, Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION
TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Settle 10/28/2005
Curve 10/14/2005
Scenario Base Case
A1 A1 A1 A2 A2
Date Period BALANCE INTEREST PRINCIPAL BALANCE INTEREST
----------------------------------------------------------------------------------------------------------
12-Oct-05 0 126,750,000.00 0 0 189,450,000.00 0
12-Nov-05 1 125,814,457.58 524,745.00 935,542.42 189,450,000.00 835,030.59
12-Dec-05 2 124,538,890.09 520,871.85 1,275,567.49 189,450,000.00 811,803.73
12-Jan-06 3 123,361,381.01 515,591.00 1,177,509.08 189,450,000.00 811,795.16
12-Feb-06 4 122,178,558.17 510,716.12 1,182,822.85 189,450,000.00 811,787.70
12-Mar-06 5 120,680,120.81 505,819.23 1,498,437.35 189,450,000.00 811,815.09
12-Apr-06 6 119,485,167.94 499,615.70 1,194,952.88 189,450,000.00 834,989.88
12-May-06 7 118,181,701.54 494,668.60 1,303,466.39 189,450,000.00 811,761.47
12-Jun-06 8 116,975,462.87 489,272.24 1,206,238.67 189,450,000.00 834,976.42
12-Jul-06 9 115,658,371.16 484,278.42 1,317,091.71 189,450,000.00 811,744.86
12-Aug-06 10 114,434,846.80 478,825.66 1,223,524.36 189,450,000.00 834,962.74
12-Sep-06 11 113,205,799.84 473,760.27 1,229,046.96 189,450,000.00 834,956.52
12-Oct-06 12 111,867,919.89 468,672.01 1,337,879.96 189,450,000.00 811,720.05
12-Nov-06 13 110,604,469.16 463,133.19 1,263,450.72 189,450,000.00 834,942.53
12-Dec-06 14 109,229,163.37 457,902.50 1,375,305.79 189,450,000.00 811,702.09
12-Jan-07 15 107,953,771.66 452,208.74 1,275,391.71 189,450,000.00 811,691.96
12-Feb-07 16 106,672,613.15 446,928.61 1,281,158.51 189,450,000.00 811,683.03
12-Mar-07 17 105,068,542.95 441,624.62 1,604,070.20 189,450,000.00 811,712.58
12-Apr-07 18 103,774,308.04 434,983.77 1,294,234.91 189,450,000.00 834,899.97
12-May-07 19 102,368,845.46 429,625.64 1,405,462.58 189,450,000.00 811,652.05
12-Jun-07 20 101,019,162.16 423,807.02 1,349,683.30 189,450,000.00 834,883.41
12-Jul-07 21 99,553,877.79 418,219.33 1,465,284.37 189,450,000.00 811,631.85
12-Aug-07 22 97,829,625.57 412,153.05 1,724,252.22 189,450,000.00 834,865.47
12-Sep-07 23 96,059,844.17 405,014.65 1,769,781.40 189,450,000.00 834,850.63
12-Oct-07 24 94,081,504.96 397,687.75 1,978,339.21 189,450,000.00 811,589.26
12-Nov-07 25 92,252,993.05 389,497.43 1,828,511.91 189,450,000.00 834,817.29
12-Dec-07 26 90,241,312.74 381,927.39 2,011,680.31 189,450,000.00 811,555.14
12-Jan-08 27 88,395,348.36 373,599.03 1,845,964.38 189,450,000.00 834,783.79
12-Feb-08 28 86,540,999.91 365,956.74 1,854,348.45 189,450,000.00 811,520.71
12-Mar-08 29 84,129,298.60 358,279.74 2,411,701.31 189,450,000.00 811,525.05
12-Apr-08 30 82,092,531.08 348,295.30 2,036,767.52 189,450,000.00 834,727.22
12-May-08 31 79,854,086.71 339,863.08 2,238,444.37 189,450,000.00 811,460.43
12-Jun-08 32 77,797,854.26 330,595.92 2,056,232.45 189,450,000.00 834,685.29
12-Jul-08 33 75,540,388.49 322,083.12 2,257,465.78 189,450,000.00 811,418.36
12-Aug-08 34 73,390,311.10 312,737.21 2,150,077.38 189,450,000.00 834,642.74
12-Sep-08 35 71,208,736.12 303,835.89 2,181,574.98 189,450,000.00 834,623.81
12-Oct-08 36 68,808,732.50 294,804.17 2,400,003.62 189,450,000.00 811,357.75
12-Nov-08 37 66,581,907.05 284,868.15 2,226,825.45 189,450,000.00 834,582.27
12-Dec-08 38 64,141,239.98 275,649.10 2,440,667.07 189,450,000.00 811,316.47
12-Jan-09 39 61,893,210.26 265,544.73 2,248,029.71 189,450,000.00 811,294.50
12-Feb-09 40 59,634,973.02 256,237.89 2,258,237.25 189,450,000.00 811,274.81
12-Mar-09 41 56,757,886.42 246,888.79 2,877,086.60 189,450,000.00 811,333.59
12-Apr-09 42 54,476,296.94 234,977.65 2,281,589.49 189,450,000.00 834,471.82
12-May-09 43 51,982,135.90 225,531.87 2,494,161.04 189,450,000.00 811,207.47
12-Jun-09 44 49,678,848.54 215,206.04 2,303,287.36 189,450,000.00 834,428.20
12-Jul-09 45 47,163,490.38 205,670.43 2,515,358.16 189,450,000.00 811,164.18
12-Aug-09 46 44,838,309.61 195,256.85 2,325,180.77 189,450,000.00 834,383.91
12-Sep-09 47 42,448,044.55 185,630.60 2,390,265.06 189,450,000.00 834,362.97
12-Oct-09 48 39,837,252.06 175,734.90 2,610,792.49 189,450,000.00 811,098.00
12-Nov-09 49 37,389,897.27 164,926.22 2,447,354.79 189,450,000.00 834,314.67
12-Dec-09 50 34,718,191.04 154,794.17 2,671,706.22 189,450,000.00 811,050.55
12-Jan-10 51 32,247,560.70 143,733.31 2,470,630.34 189,450,000.00 811,025.34
12-Feb-10 52 29,765,702.11 133,504.90 2,481,858.59 189,450,000.00 811,002.58
12-Mar-10 53 26,635,749.57 123,230.01 3,129,952.54 189,450,000.00 811,068.10
12-Apr-10 54 24,128,351.70 110,272.00 2,507,397.87 189,450,000.00 834,186.65
12-May-10 55 21,398,005.91 99,891.38 2,730,345.79 189,450,000.00 810,925.26
12-Jun-10 56 18,865,771.86 88,587.74 2,532,234.05 189,450,000.00 834,135.89
12-Jul-10 57 0 78,104.30 18,865,771.86 68,695,420.69 810,875.32
12-Aug-10 58 0 0 0 62,695,108.01 303,514.19
12-Sep-10 59 0 0 0 57,769,154.99 277,003.71
12-Oct-10 60 0 0 0 0 248,189.37
12-Nov-10 61 0 0 0 0 0
12-Dec-10 62 0 0 0 0 0
12-Jan-11 63 0 0 0 0 0
12-Feb-11 64 0 0 0 0 0
12-Mar-11 65 0 0 0 0 0
12-Apr-11 66 0 0 0 0 0
12-May-11 67 0 0 0 0 0
12-Jun-11 68 0 0 0 0 0
12-Jul-11 69 0 0 0 0 0
12-Aug-11 70 0 0 0 0 0
12-Sep-11 71 0 0 0 0 0
12-Oct-11 72 0 0 0 0 0
12-Nov-11 73 0 0 0 0 0
12-Dec-11 74 0 0 0 0 0
12-Jan-12 75 0 0 0 0 0
12-Feb-12 76 0 0 0 0 0
12-Mar-12 77 0 0 0 0 0
12-Apr-12 78 0 0 0 0 0
12-May-12 79 0 0 0 0 0
12-Jun-12 80 0 0 0 0 0
12-Jul-12 81 0 0 0 0 0
12-Aug-12 82 0 0 0 0 0
12-Sep-12 83 0 0 0 0 0
12-Oct-12 84 0 0 0 0 0
12-Nov-12 85 0 0 0 0 0
----------------------------------------------------------------------------------------------------------
Totals 4,622,183,823.93 19,135,841.02 126,750,000.00 10,987,809,683.69 47,638,776.44
----------------------------------------------------------------------------------------------------------
A2 A3 A3 A3
Date Period PRINCIPAL BALANCE INTEREST PRINCIPAL
----------------------------------------------------------------------------------------------
12-Oct-05 0 0 176,000,000.00 0 0
12-Nov-05 1 0 176,000,000.00 777,800.94 0
12-Dec-05 2 0 176,000,000.00 756,223.07 0
12-Jan-06 3 0 176,000,000.00 756,215.11 0
12-Feb-06 4 0 176,000,000.00 756,208.17 0
12-Mar-06 5 0 176,000,000.00 756,233.62 0
12-Apr-06 6 0 176,000,000.00 777,763.12 0
12-May-06 7 0 176,000,000.00 756,183.81 0
12-Jun-06 8 0 176,000,000.00 777,750.62 0
12-Jul-06 9 0 176,000,000.00 756,168.38 0
12-Aug-06 10 0 176,000,000.00 777,737.91 0
12-Sep-06 11 0 176,000,000.00 777,732.12 0
12-Oct-06 12 0 176,000,000.00 756,145.33 0
12-Nov-06 13 0 176,000,000.00 777,719.13 0
12-Dec-06 14 0 176,000,000.00 756,128.65 0
12-Jan-07 15 0 176,000,000.00 756,119.24 0
12-Feb-07 16 0 176,000,000.00 756,110.94 0
12-Mar-07 17 0 176,000,000.00 756,138.39 0
12-Apr-07 18 0 176,000,000.00 777,679.59 0
12-May-07 19 0 176,000,000.00 756,082.15 0
12-Jun-07 20 0 176,000,000.00 777,664.21 0
12-Jul-07 21 0 176,000,000.00 756,063.40 0
12-Aug-07 22 0 176,000,000.00 777,647.54 0
12-Sep-07 23 0 176,000,000.00 777,633.75 0
12-Oct-07 24 0 176,000,000.00 756,023.82 0
12-Nov-07 25 0 176,000,000.00 777,602.78 0
12-Dec-07 26 0 176,000,000.00 755,992.13 0
12-Jan-08 27 0 176,000,000.00 777,571.66 0
12-Feb-08 28 0 176,000,000.00 755,960.14 0
12-Mar-08 29 0 176,000,000.00 755,964.18 0
12-Apr-08 30 0 176,000,000.00 777,519.11 0
12-May-08 31 0 176,000,000.00 755,904.14 0
12-Jun-08 32 0 176,000,000.00 777,480.15 0
12-Jul-08 33 0 176,000,000.00 755,865.06 0
12-Aug-08 34 0 176,000,000.00 777,440.63 0
12-Sep-08 35 0 176,000,000.00 777,423.04 0
12-Oct-08 36 0 176,000,000.00 755,808.76 0
12-Nov-08 37 0 176,000,000.00 777,384.44 0
12-Dec-08 38 0 176,000,000.00 755,770.40 0
12-Jan-09 39 0 176,000,000.00 755,749.99 0
12-Feb-09 40 0 176,000,000.00 755,731.70 0
12-Mar-09 41 0 176,000,000.00 755,786.31 0
12-Apr-09 42 0 176,000,000.00 777,281.84 0
12-May-09 43 0 176,000,000.00 755,669.14 0
12-Jun-09 44 0 176,000,000.00 777,241.31 0
12-Jul-09 45 0 176,000,000.00 755,628.92 0
12-Aug-09 46 0 176,000,000.00 777,200.17 0
12-Sep-09 47 0 176,000,000.00 777,180.71 0
12-Oct-09 48 0 176,000,000.00 755,567.44 0
12-Nov-09 49 0 176,000,000.00 777,135.85 0
12-Dec-09 50 0 176,000,000.00 755,523.36 0
12-Jan-10 51 0 176,000,000.00 755,499.94 0
12-Feb-10 52 0 176,000,000.00 755,478.80 0
12-Mar-10 53 0 176,000,000.00 755,539.66 0
12-Apr-10 54 0 176,000,000.00 777,016.91 0
12-May-10 55 0 176,000,000.00 755,406.96 0
12-Jun-10 56 0 176,000,000.00 776,969.76 0
12-Jul-10 57 120,754,579.31 176,000,000.00 755,360.57 0
12-Aug-10 58 6,000,312.68 176,000,000.00 779,666.99 0
12-Sep-10 59 4,925,953.02 176,000,000.00 779,668.29 0
12-Oct-10 60 57,769,154.99 176,000,000.00 758,189.19 0
12-Nov-10 61 0 176,000,000.00 779,539.34 0
12-Dec-10 62 0 176,000,000.00 757,608.48 0
12-Jan-11 63 0 176,000,000.00 757,583.97 0
12-Feb-11 64 0 176,000,000.00 757,561.69 0
12-Mar-11 65 0 176,000,000.00 757,639.99 0
12-Apr-11 66 0 176,000,000.00 779,416.05 0
12-May-11 67 0 176,000,000.00 757,486.32 0
12-Jun-11 68 0 176,000,000.00 779,367.01 0
12-Jul-11 69 0 176,000,000.00 757,437.46 0
12-Aug-11 70 0 176,000,000.00 779,317.13 0
12-Sep-11 71 0 176,000,000.00 779,293.34 0
12-Oct-11 72 0 176,000,000.00 757,363.86 0
12-Nov-11 73 0 176,000,000.00 779,242.19 0
12-Dec-11 74 0 176,000,000.00 757,312.91 0
12-Jan-12 75 0 176,000,000.00 779,190.16 0
12-Feb-12 76 0 176,000,000.00 757,261.09 0
12-Mar-12 77 0 176,000,000.00 757,272.47 0
12-Apr-12 78 0 90,707,288.65 779,108.93 85,292,711.35
12-May-12 79 0 90,321,502.48 390,451.60 385,786.17
12-Jun-12 80 0 87,506,879.28 399,933.09 2,814,623.20
12-Jul-12 81 0 42,138,269.29 376,645.70 45,368,609.99
12-Aug-12 82 0 16,453,004.75 186,731.10 25,685,264.54
12-Sep-12 83 0 6,916,960.82 72,898.58 9,536,043.94
12-Oct-12 84 0 0 29,772.83 6,916,960.82
12-Nov-12 85 0 0 0 0
----------------------------------------------------------------------------------------------
Totals 189,450,000.00 14,062,043,905.27 61,186,788.73 176,000,000.01
----------------------------------------------------------------------------------------------
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 Xxxx Xxxxxxx, 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
(econometric 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 modelling 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 at 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 Xxxxxxx 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 Xxxxxxx 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 Xxxxxxx 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 Xxxxxxx 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 when required by law, in which
event you may obtain such prospectus from Bear Xxxxxxx.
Settle 10/28/2005
Curve 10/14/2005
Scenario 0 cpr on pool, 100 cpr on those loans that balloon prior to the
start of the A3 class (7 year bond)
A1 A1 A1 A2 A2
Date Period BALANCE INTEREST PRINCIPAL BALANCE INTEREST
---------------------------------------------------------------------------------------------------------------------
12-Oct-05 0 126,750,000.00 0 0 189,450,000.00 0
12-Nov-05 1 125,814,457.58 524,745.00 935,542.42 189,450,000.00 835,030.59
12-Dec-05 2 124,538,890.09 520,871.85 1,275,567.49 189,450,000.00 811,803.73
12-Jan-06 3 123,361,381.01 515,591.00 1,177,509.08 189,450,000.00 811,795.16
12-Feb-06 4 122,178,558.17 510,716.12 1,182,822.85 189,450,000.00 811,787.70
12-Mar-06 5 120,680,120.81 505,819.23 1,498,437.35 189,450,000.00 811,815.09
12-Apr-06 6 119,485,167.94 499,615.70 1,194,952.88 189,450,000.00 834,989.88
12-May-06 7 118,181,701.54 494,668.60 1,303,466.39 189,450,000.00 811,761.47
12-Jun-06 8 116,975,462.87 489,272.24 1,206,238.67 189,450,000.00 834,976.42
12-Jul-06 9 115,658,371.16 484,278.42 1,317,091.71 189,450,000.00 811,744.86
12-Aug-06 10 114,434,846.80 478,825.66 1,223,524.36 189,450,000.00 834,962.74
12-Sep-06 11 113,205,799.84 473,760.27 1,229,046.96 189,450,000.00 834,956.52
12-Oct-06 12 111,867,919.89 468,672.01 1,337,879.96 189,450,000.00 811,720.05
12-Nov-06 13 110,604,469.16 463,133.19 1,263,450.72 189,450,000.00 834,942.53
12-Dec-06 14 109,229,163.37 457,902.50 1,375,305.79 189,450,000.00 811,702.09
12-Jan-07 15 107,953,771.66 452,208.74 1,275,391.71 189,450,000.00 811,691.96
12-Feb-07 16 106,672,613.15 446,928.61 1,281,158.51 189,450,000.00 811,683.03
12-Mar-07 17 105,068,542.95 441,624.62 1,604,070.20 189,450,000.00 811,712.58
12-Apr-07 18 103,774,308.04 434,983.77 1,294,234.91 189,450,000.00 834,899.97
12-May-07 19 102,368,845.46 429,625.64 1,405,462.58 189,450,000.00 811,652.05
12-Jun-07 20 101,019,162.16 423,807.02 1,349,683.30 189,450,000.00 834,883.41
12-Jul-07 21 99,553,877.79 418,219.33 1,465,284.37 189,450,000.00 811,631.85
12-Aug-07 22 97,829,625.57 412,153.05 1,724,252.22 189,450,000.00 834,865.47
12-Sep-07 23 96,059,844.17 405,014.65 1,769,781.40 189,450,000.00 834,850.63
12-Oct-07 24 94,081,504.96 397,687.75 1,978,339.21 189,450,000.00 811,589.26
12-Nov-07 25 81,752,993.05 389,497.43 12,328,511.91 189,450,000.00 834,817.29
12-Dec-07 26 79,741,312.74 338,457.39 2,011,680.31 189,450,000.00 811,314.63
12-Jan-08 27 77,895,348.36 330,129.03 1,845,964.38 189,450,000.00 834,514.83
12-Feb-08 28 76,040,999.91 322,486.74 1,854,348.45 189,450,000.00 811,279.56
12-Mar-08 29 73,629,298.60 314,809.74 2,411,701.31 189,450,000.00 811,283.71
12-Apr-08 30 71,592,531.08 304,825.30 2,036,767.52 189,450,000.00 834,457.15
12-May-08 31 69,354,086.71 296,393.08 2,238,444.37 189,450,000.00 811,218.22
12-Jun-08 32 67,297,854.26 287,125.92 2,056,232.45 189,450,000.00 834,414.43
12-Jul-08 33 61,966,256.61 278,613.12 5,331,597.65 189,450,000.00 811,175.42
12-Aug-08 34 56,256,351.18 256,540.30 5,709,905.43 189,450,000.00 834,261.03
12-Sep-08 35 52,932,738.69 232,901.29 3,323,612.49 189,450,000.00 834,258.69
12-Oct-08 36 6,043,470.14 219,141.54 46,889,268.55 189,450,000.00 811,036.28
12-Nov-08 37 3,826,277.43 25,019.97 2,217,192.71 189,450,000.00 834,395.16
12-Dec-08 38 1,396,435.76 15,840.79 2,429,841.67 189,450,000.00 810,645.38
12-Jan-09 39 0 5,781.24 1,396,435.76 188,608,132.53 810,621.98
12-Feb-09 40 0 0 0 186,359,666.34 806,998.86
12-Mar-09 41 0 0 0 183,495,827.72 797,436.93
12-Apr-09 42 0 0 0 181,224,114.81 808,060.23
12-May-09 43 0 0 0 178,741,016.24 775,336.16
12-Jun-09 44 0 0 0 176,447,701.42 787,078.78
12-Jul-09 45 0 0 0 173,943,499.02 754,858.10
12-Aug-09 46 0 0 0 171,628,387.62 765,910.91
12-Sep-09 47 0 0 0 169,248,238.07 755,697.28
12-Oct-09 48 0 0 0 166,648,740.33 723,995.13
12-Nov-09 49 0 0 0 164,211,599.18 733,727.30
12-Dec-09 50 0 0 0 161,551,283.10 702,406.00
12-Jan-10 51 0 0 0 159,090,965.40 691,003.73
12-Feb-10 52 0 0 0 156,619,466.72 680,459.80
12-Mar-10 53 0 0 0 153,503,296.46 669,943.68
12-Apr-10 54 0 0 0 27,706,369.18 675,742.37
12-May-10 55 0 0 0 24,987,663.35 118,939.45
12-Jun-10 56 0 0 0 21,241,730.35 110,378.09
12-Jul-10 57 0 0 0 7,912,935.63 91,175.56
12-Aug-10 58 0 0 0 5,362,234.65 34,958.68
12-Sep-10 59 0 0 0 2,769,154.99 23,689.26
12-Oct-10 60 0 0 0 0 11,888.50
12-Nov-10 61 0 0 0 0 0
12-Dec-10 62 0 0 0 0 0
12-Jan-11 63 0 0 0 0 0
12-Feb-11 64 0 0 0 0 0
12-Mar-11 65 0 0 0 0 0
12-Apr-11 66 0 0 0 0 0
12-May-11 67 0 0 0 0 0
12-Jun-11 68 0 0 0 0 0
12-Jul-11 69 0 0 0 0 0
12-Aug-11 70 0 0 0 0 0
12-Sep-11 71 0 0 0 0 0
12-Oct-11 72 0 0 0 0 0
12-Nov-11 73 0 0 0 0 0
12-Dec-11 74 0 0 0 0 0
12-Jan-12 75 0 0 0 0 0
12-Feb-12 76 0 0 0 0 0
12-Mar-12 77 0 0 0 0 0
12-Apr-12 78 0 0 0 0 0
12-May-12 79 0 0 0 0 0
12-Jun-12 80 0 0 0 0 0
12-Jul-12 81 0 0 0 0 0
12-Aug-12 82 0 0 0 0 0
12-Sep-12 83 0 0 0 0 0
12-Oct-12 84 0 0 0 0 0
12-Nov-12 85 0 0 0 0 0
---------------------------------------------------------------------------------------------------------------------
Totals 3,567,074,360.66 14,767,687.85 126,750,000.00 10,049,852,023.11 43,562,827.60
---------------------------------------------------------------------------------------------------------------------
A2 A3 A3 A3
Date Period PRINCIPAL BALANCE INTEREST PRINCIPAL
--------------------------------------------------------------------------------------------
12-Oct-05 0 0 176,000,000.00 0 0
12-Nov-05 1 0 176,000,000.00 777,800.94 0
12-Dec-05 2 0 176,000,000.00 756,223.07 0
12-Jan-06 3 0 176,000,000.00 756,215.11 0
12-Feb-06 4 0 176,000,000.00 756,208.17 0
12-Mar-06 5 0 176,000,000.00 756,233.62 0
12-Apr-06 6 0 176,000,000.00 777,763.12 0
12-May-06 7 0 176,000,000.00 756,183.81 0
12-Jun-06 8 0 176,000,000.00 777,750.62 0
12-Jul-06 9 0 176,000,000.00 756,168.38 0
12-Aug-06 10 0 176,000,000.00 777,737.91 0
12-Sep-06 11 0 176,000,000.00 777,732.12 0
12-Oct-06 12 0 176,000,000.00 756,145.33 0
12-Nov-06 13 0 176,000,000.00 777,719.13 0
12-Dec-06 14 0 176,000,000.00 756,128.65 0
12-Jan-07 15 0 176,000,000.00 756,119.24 0
12-Feb-07 16 0 176,000,000.00 756,110.94 0
12-Mar-07 17 0 176,000,000.00 756,138.39 0
12-Apr-07 18 0 176,000,000.00 777,679.59 0
12-May-07 19 0 176,000,000.00 756,082.15 0
12-Jun-07 20 0 176,000,000.00 777,664.21 0
12-Jul-07 21 0 176,000,000.00 756,063.40 0
12-Aug-07 22 0 176,000,000.00 777,647.54 0
12-Sep-07 23 0 176,000,000.00 777,633.75 0
12-Oct-07 24 0 176,000,000.00 756,023.82 0
12-Nov-07 25 0 176,000,000.00 777,602.78 0
12-Dec-07 26 0 176,000,000.00 755,768.70 0
12-Jan-08 27 0 176,000,000.00 777,321.80 0
12-Feb-08 28 0 176,000,000.00 755,736.12 0
12-Mar-08 29 0 176,000,000.00 755,739.97 0
12-Apr-08 30 0 176,000,000.00 777,268.21 0
12-May-08 31 0 176,000,000.00 755,679.13 0
12-Jun-08 32 0 176,000,000.00 777,228.52 0
12-Jul-08 33 0 176,000,000.00 755,639.36 0
12-Aug-08 34 0 176,000,000.00 777,086.02 0
12-Sep-08 35 0 176,000,000.00 777,083.84 0
12-Oct-08 36 0 176,000,000.00 755,510.10 0
12-Nov-08 37 0 176,000,000.00 777,210.62 0
12-Dec-08 38 0 176,000,000.00 755,146.96 0
12-Jan-09 39 841,867.47 176,000,000.00 755,125.21 0
12-Feb-09 40 2,248,466.20 176,000,000.00 755,105.69 0
12-Mar-09 41 2,863,838.62 176,000,000.00 755,161.03 0
12-Apr-09 42 2,271,712.91 176,000,000.00 777,104.20 0
12-May-09 43 2,483,098.57 176,000,000.00 755,039.02 0
12-Jun-09 44 2,293,314.82 176,000,000.00 777,062.16 0
12-Jul-09 45 2,504,202.40 176,000,000.00 754,996.13 0
12-Aug-09 46 2,315,111.40 176,000,000.00 777,019.46 0
12-Sep-09 47 2,380,149.55 176,000,000.00 776,999.27 0
12-Oct-09 48 2,599,497.74 176,000,000.00 754,930.56 0
12-Nov-09 49 2,437,141.15 176,000,000.00 776,952.71 0
12-Dec-09 50 2,660,316.08 176,000,000.00 754,883.56 0
12-Jan-10 51 2,460,317.70 176,000,000.00 754,858.60 0
12-Feb-10 52 2,471,498.68 176,000,000.00 754,836.03 0
12-Mar-10 53 3,116,170.26 176,000,000.00 754,897.73 0
12-Apr-10 54 125,796,927.28 176,000,000.00 776,829.25 0
12-May-10 55 2,718,705.84 176,000,000.00 757,595.98 0
12-Jun-10 56 3,745,933.00 176,000,000.00 779,498.72 0
12-Jul-10 57 13,328,794.72 176,000,000.00 757,495.49 0
12-Aug-10 58 2,550,700.98 176,000,000.00 779,606.53 0
12-Sep-10 59 2,593,079.66 176,000,000.00 779,585.48 0
12-Oct-10 60 2,769,154.99 176,000,000.00 757,654.54 0
12-Nov-10 61 0 176,000,000.00 779,539.34 0
12-Dec-10 62 0 176,000,000.00 757,608.48 0
12-Jan-11 63 0 176,000,000.00 757,583.97 0
12-Feb-11 64 0 176,000,000.00 757,561.69 0
12-Mar-11 65 0 176,000,000.00 757,639.99 0
12-Apr-11 66 0 176,000,000.00 779,416.05 0
12-May-11 67 0 176,000,000.00 757,486.32 0
12-Jun-11 68 0 176,000,000.00 779,367.01 0
12-Jul-11 69 0 176,000,000.00 757,437.46 0
12-Aug-11 70 0 176,000,000.00 779,317.13 0
12-Sep-11 71 0 176,000,000.00 779,293.34 0
12-Oct-11 72 0 176,000,000.00 757,363.86 0
12-Nov-11 73 0 176,000,000.00 779,242.19 0
12-Dec-11 74 0 176,000,000.00 757,312.91 0
12-Jan-12 75 0 176,000,000.00 779,190.16 0
12-Feb-12 76 0 176,000,000.00 757,261.09 0
12-Mar-12 77 0 176,000,000.00 757,272.47 0
12-Apr-12 78 0 90,707,288.65 779,108.93 85,292,711.35
12-May-12 79 0 90,321,502.48 390,451.60 385,786.17
12-Jun-12 80 0 87,506,879.28 399,933.09 2,814,623.20
12-Jul-12 81 0 42,138,269.29 376,645.70 45,368,609.99
12-Aug-12 82 0 16,453,004.75 186,731.10 25,685,264.54
12-Sep-12 83 0 6,916,960.82 72,898.58 9,536,043.94
12-Oct-12 84 0 0 29,772.83 6,916,960.82
12-Nov-12 85 0 0 0 0
--------------------------------------------------------------------------------------------
Totals 189,450,000.02 14,062,043,905.27 61,181,867.78 176,000,000.01
--------------------------------------------------------------------------------------------
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 Xxxx Xxxxxxx, 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
(econometric 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 modelling 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 at 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 Xxxxxxx 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 Xxxxxxx 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 Xxxxxxx 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 Xxxxxxx 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 when required by law, in which
event you may obtain such prospectus from Bear Xxxxxxx.
--------------------------------------------------------------------------------
Bear, Xxxxxxx & Co. Inc. TOP20-MN8 October 14, 2005
scmorris Sensitivity 01:46PM EDT
Page 1 of 1
--------------------------------------------------------------------------------
Settle Date: 10/28/2005 US Treasury Curve Date: 10/14/2005
----------------------------------------------------------
Tranche: A1 (A1)
-------------------------------------------------------------------------------------------------------------
BASE CASE 0CPR ON POOL, 100 CPR ON THOSE LOANS BALLOONING BEFORE A3 LOSS
2.994 2.301 Avg. Life
11/12/2005 11/12/2005 Prin. Start Date
Price 7/12/2010 1/12/2009 Prin. End Date
57 39 Prin. Window Len
100.00 100.00 Pct Prin Returned
-------------------------------------------------------------------------------------------------------------
4.870 5.137 Yield
100.249265 55 85 Spread
2.679 2.107 Duration
-------------------------------------------------------------------------------------------------------------
Tranche: A2 (A2)
-------------------------------------------------------------------------------------------------------------
BASE CASE 0CPR ON POOL, 100 CPR ON THOSE LOANS BALLOONING BEFORE A3 LOSS
4.789 4.376 Avg. Life
7/12/2010 1/12/2009 Prin. Start Date
Price 10/12/2010 10/12/2010 Prin. End Date
4 22 Prin. Window Len
100.00 100.00 Pct Prin Returned
-------------------------------------------------------------------------------------------------------------
5.088 5.072 Yield
100.549368 73 72 Spread
4.136 3.817 Duration
-------------------------------------------------------------------------------------------------------------
Tranche: A3 (A3)
-------------------------------------------------------------------------------------------------------------
BASE CASE 0CPR ON POOL, 100 CPR ON THOSE LOANS BALLOONING BEFORE A3 LOSS
6.614 6.614 Avg. Life
4/12/2012 4/12/2012 Prin. Start Date
Price 10/12/2012 10/12/2012 Prin. End Date
7 7 Prin. Window Len
100.00 100.00 Pct Prin Returned
-------------------------------------------------------------------------------------------------------------
5.220 5.219 Yield
100.152216 80 80 Spread
5.454 5.454 Duration
-------------------------------------------------------------------------------------------------------------
This information should be considered only after reading Bear Xxxxxxx' Statement
Regarding Assumptions as to Securities, Pricing Estimates, and Other Information
("the Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed the Statement. You may obtain
a copy of the Statement from your sales representative. The yield table or
scenario analysis being provided is based on assumptions you provided and is not
to be used as a Bear, Xxxxxxx security evaluation or for pricing purposes.
