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XXXXXX XXXXXXX March 31, 2003
Securitized Products Group
[XXXXXX XXXXXXX LOGO]
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COMPUTATIONAL MATERIALS
$359,436,000
APPROXIMATELY
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC.
SERIES 2003-NC4
MORTGAGE PASS-THROUGH CERTIFICATES
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This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information 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 trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International 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.
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XXXXXX XXXXXXX March 31, 2003
Securitized Products Group
[XXXXXX XXXXXXX LOGO]
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APPROXIMATELY $359,436,000
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC., SERIES 2003-NC4
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC.
DEPOSITOR
THE PROVIDENT BANK
SERVICER
TRANSACTION HIGHLIGHTS
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AVG LIFE TO MODIFIED
OFFERED EXPECTED RATINGS CALL / DURATION TO CALL PAYMENT WINDOW TO CALL /
CLASSES DESCRIPTION BALANCE (S&P/FITCH/ XXXXX'X) MTY(1)(2) / MTY(1)(2)(3) MTY(1)(2)
====================================================================================================================================
A-1 Not Offered 389,313,000 *****Not Offered*****
A-2 Floater 235,597,000 AAA/AAA/Aaa 2.91 / 3.24 2.81 / 3.09 05/03 - 04/11 / 05/03 - 11/20
M-1 Floater 41,153,000 AA/AA/Aa2 5.33 / 5.88 5.02 / 5.46 07/06 - 04/11 / 07/06 - 09/17
M-2 Floater 41,914,000 A/A/A2 5.31 / 5.80 4.83 / 5.19 06/06 - 04/11 / 06/06 - 08/16
M-3 Floater 13,337,000 A-/A-/A3 5.30 / 5.70 4.77 / 5.06 05/06 - 04/11 / 05/06 - 10/14
B-1 Floater 11,431,000 BBB+/BBB+/Baa1 5.30 / 5.60 4.61 / 4.82 05/06 - 04/11 / 05/06 - 10/13
B-2 Floater 7,621,000 BBB/BBB/Baa2 5.30 / 5.46 4.53 / 4.65 05/06 - 04/11 / 05/06 - 09/12
B-3 Floater 8,383,000 BBB-/BBB-/Baa3 5.21 / 5.23 4.48 / 4.49 05/06 - 04/11 / 05/06 - 09/11
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INITIAL
OFFERED SUBORDINATION
CLASSES LEVEL BENCHMARK
================================================================================
A-1
A-2 18.00% 1 Mo. LIBOR
M-1 12.60% 1 Mo. LIBOR
M-2 7.10% 1 Mo. LIBOR
M-3 5.35% 1 Mo. LIBOR
B-1 3.85% 1 Mo. LIBOR
B-2 2.85% 1 Mo. LIBOR
B-3 1.75% 1 Mo. LIBOR
Notes: (1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
ISSUER: Xxxxxx Xxxxxxx Xxxx Xxxxxx Capital I Inc. Trust
2003-NC4.
DEPOSITOR: Xxxxxx Xxxxxxx Xxxx Xxxxxx Capital I Inc.
ORIGINATOR: NC Capital Corporation
SERVICER: The Provident Bank
TRUSTEE: Deutsche Bank National Trust Company.
MANAGERS: Xxxxxx Xxxxxxx (lead manager), Xxxxxxxx Capital
Partners, L.P. and The Xxxxxxxx Capital Group, L.P.
RATING AGENCIES: Standard & Poor's, Fitch Ratings and Xxxxx'x Investors
Service.
OFFERED CERTIFICATES: Classes A-2, M-1, M-2, M-3, B-1, B-2 and
B-3 Certificates.
EXPECTED CLOSING DATE: April 29, 2003 through DTC and Euroclear
or Clearstream. The Certificates will be sold without
accrued interest.
DISTRIBUTION DATES: The 25th of each month, or if such day is not a business
day, on the next business day, beginning May 25, 2003.
FINAL SCHEDULED
DISTRIBUTION DATE: The Distribution Date occurring in April 2033.
DUE PERIOD: For any Distribution Date, the period commencing on the
second day of the month preceding the month in which
such Distribution Date occurs and ending on the first
day of the month in which such Distribution Date occurs.
INTEREST ACCRUAL
PERIOD: The interest accrual period for the Offered Certificates
with respect to any Distribution Date will be the period
beginning with the previous Distribution Date (or, in
the case of the first Distribution Date, the Closing
Date) and ending on the day prior to the current
Distribution Date (on an actual/360 day count basis).
MORTGAGE LOANS: The Trust will consist of two groups of adjustable and
fixed rate sub-prime residential mortgage loans.
GROUP I MORTGAGE
LOANS: Approximately $474.8 million of Mortgage Loans with
original principal balances that conform to the original
principal balance limits for one- to four-family
residential mortgage loan guidelines for purchase by
Freddie Mac.
GROUP II MORTGAGE
LOANS: Approximately $287.3 million of Mortgage Loans that
predominantly have original principal balances that do
not conform to the original principal balance limits for
one- to four-family residential mortgage loan guidelines
for purchase by Freddie Mac.
PRICING PREPAYMENT
SPEED: o Fixed Rate Mortgage Loans: CPR starting at
approximately 1.5333% CPR in month 1 and increasing to
23% CPR in month 15 (23%/15 CPR increase for each
month), and remaining at 23% CPR thereafter
o ARM Mortgage Loans: CPR of 25%
CREDIT ENHANCEMENT: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage Loans,
2) 1.75% overcollateralization (funded upfront). On and
after the Step-down Date, so long as a Trigger Event is
not in effect, the required overcollateralization will
equal 3.50% of the aggregate principal balance of the
Mortgage Loans as of the last day of the applicable Due
Period, subject to a 0.50% floor, based on the aggregate
principal balance of the Mortgage Loans as of the
cut-off date, and
3) Subordination of distributions on the more
subordinate classes of certificates (if applicable) to
the required distributions on the more senior classes of
certificates.
SENIOR ENHANCEMENT
PERCENTAGE: For any Distribution Date, the percentage obtained by
dividing (x) the aggregate Certificate Principal Balance
of the subordinate certificates (together with any
overcollateralization and taking into account the
distributions of the Principal Distribution Amount for
such Distribution Date) by (y) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period.
STEP-DOWN DATE: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in May 2006; and
(b) The Distribution Date on which the aggregate
balance of the Class A Certificates is reduced
to zero; and
(y) The first Distribution Date on which the Senior
Enhancement Percentage (calculated for this purpose
only after taking into account payments of principal
on the Mortgage Loans on the last day of the related
Due Period but prior to principal distributions to
the certificates on the applicable Distribution
Date) is greater than or equal to approximately
36.00%.
TRIGGER EVENT: A Trigger Event is in effect on any Distribution Date if
(i) on that Distribution Date the 60 Day+ Rolling
Average equals or exceeds 40% of the prior period's
Senior Enhancement Percentage and (ii) may include other
trigger events related to the performance of the
Mortgage Loans. The 60 Day+ Rolling Average will equal
the rolling 3 month average percentage of Mortgage Loans
that are 60 or more days delinquent.
INITIAL SUBORDINATION
PERCENTAGE: Class A: 18.00%
Class M-1: 12.60%
Class M-2: 7.10%
Class M-3: 5.35%
Class B-1: 3.85%
Class B-2: 2.85%
Class B-3: 1.75%
OPTIONAL CLEAN-UP
CALL: When the current aggregate principal balance of the
Mortgage Loans is less than or equal to 10% of the
aggregate principal balance of the Mortgage Loans as of
the cut-off date. The applicable fixed margin will
increase by 2x on the Class A Certificates and by 1.5x
on all other Certificates on and after the first
distribution date on which the Optional Clean-up Call is
exercisable.
STEP-UP COUPONS: For all Offered Certificates the coupon will increase
after the optional clean-up call date, should the call
not be exercised.
CLASS A-1 PASS-THROUGH
RATE: The Class A-1 Certificates will accrue interest at a
variable rate equal to the least of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable), (ii)
the Loan Group I Cap and (iii) the WAC Cap.
CLASS A-2 PASS-THROUGH
RATE: The Class A-2 Certificates will accrue interest at a
variable rate equal to the least of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable), (ii)
the Loan Group II Cap and (iii) the WAC Cap.
CLASS M-1 PASS-THROUGH
RATE: The Class M-1 Certificates will accrue interest at a
variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS M-2 PASS-THROUGH
RATE: The Class M-2 Certificates will accrue interest at a
variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS M-3 PASS-THROUGH
RATE: The Class M-3 Certificates will accrue interest at a
variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS B-1 PASS-THROUGH
RATE: The Class B-1 Certificates will accrue interest at a
variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS B-2 PASS-THROUGH
RATE: The Class B-2 Certificates will accrue interest at a
variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS B-3 PASS-THROUGH
RATE: The Class B-3 Certificates will accrue interest at a
variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
WAC CAP: As to any Distribution Date a per annum rate equal to
the product of (i) the weighted average gross rate of
the Mortgage Loans in effect on the beginning of the
related Due Period less servicing, trustee and other fee
rates, and (ii) a fraction, the numerator of which is 30
and the denominator of which is the actual number of
days in the related Interest Accrual Period.
LOAN GROUP I CAP: As to any Distribution Date, a per annum rate equal to
the product of (i) weighted average gross rate of the
Group I Mortgage Loans in effect on the beginning of the
related Due Period less servicing, trustee and other fee
rates, and (ii) a fraction, the numerator of which is 30
and the denominator of which is the actual number of
days in the related Interest Accrual Period.
LOAN GROUP II CAP: As to any Distribution Date, a per annum rate equal to
the product of (i) weighted average gross rate of the
Group II Mortgage Loans in effect on the beginning of
the related Due Period less servicing, trustee and other
fee rates, and (ii) a fraction, the numerator of which
is 30 and the denominator of which is the actual number
of days in the related Interest Accrual Period.
CLASS A-1 BASIS RISK
CARRY FORWARD AMOUNT: As to any Distribution Date, the supplemental interest
amount for the Class A-1 Certificates will equal the sum
of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at the
Class A-1 Pass-Through Rate (without regard to
the Loan Group I Cap or WAC Cap) over interest
due such Certificates at a rate equal to the
lesser of the Loan Group I Cap or WAC Cap;
(ii) Any Class A-1 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates;
and
(iii) Interest on the amount in clause (ii) at the
related Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap).
CLASS A-2 BASIS RISK
CARRY FORWARD AMOUNT: As to any Distribution Date, the supplemental interest
amount for the Class A-2 Certificates will equal the sum
of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at the
Class A-2 Pass-Through Rate (without regard to
the Loan Group II Cap or WAC Cap) over interest
due such Certificates at a rate equal to the
lesser of the Loan Group II Cap or WAC Cap;
(ii) Any Class A-2 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates;
and
(iii) Interest on the amount in clause (ii) at the
related Class A-2 Pass-Through Rate (without
regard to the Loan Group II Cap or WAC Cap).
CLASS M-1, M-2, M-3, As to any Distribution Date, the supplemental interest
B-1, B-2 AND B-3 BASIS amount for each of the Class M-1, M-2, M-3, B-1, B-2 and
RISK CARRY FORWARD B-3 Certificates will equal the sum of:
AMOUNTS: (i) The excess, if any, of interest that would
otherwise be due on such Certificates at such
Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap) over interest
due such Certificates at a rate equal to the WAC
Cap;
(ii) Any Basis Risk Carry Forward Amount for such
class remaining unpaid for such Certificate from
prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the
Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap).
INTEREST
DISTRIBUTIONS ON
OFFERED CERTIFICATES: On each Distribution Date and after payments of
servicing and trustee fees and other expenses, interest
distributions from the Interest Remittance Amount will
be allocated as follows:
(i) The portion of the Interest Remittance Amount
attributable to the Group I Mortgage Loans will
be allocated according to the related Accrued
Certificate Interest and any unpaid interest
shortfall amounts for such class, as applicable,
first, to the Class A-1 Certificates and second,
to the Class A-2 Certificates;
(ii) The portion of the Interest Remittance Amount
attributable to the Group II Mortgage Loans will
be allocated according to the related Accrued
Certificate Interest and any unpaid interest
shortfall amounts for such class, as applicable,
first, to the Class A-2 Certificates and second,
to the Class A-1 Certificates;
(iii) To the Class M-1 Certificates, its Accrued
Certificate Interest;
(iv) To the Class M-2 Certificates, its Accrued
Certificate Interest;
(v) To the Class M-3 Certificates, its Accrued
Certificate Interest;
(vi) To the Class B-1 Certificates, its Accrued
Certificate Interest;
(vii) To the Class B-2 Certificates, its Accrued
Certificate Interest, and
(viii) To the Class B-3 Certificates, its Accrued
Certificate Interest.
PRINCIPAL DISTRIBUTIONS
ON OFFERED
CERTIFICATES: On each Distribution Date (a) prior to the Stepdown Date
or (b) on which a Trigger Event is in effect, principal
distributions from the Principal Distribution Amount
will be allocated as follows:
(i) to the Class A Certificates, allocated between
the Class A Certificates as described below,
until the Certificate Principal Balances thereof
have been reduced to zero;
(ii) to the Class M-1 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(iv) to the Class M-3 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(v) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(vi) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero; and
(vii) to the Class B-3 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero.
On each Distribution Date (a) on or after the Stepdown
Date and (b) on which a Trigger Event is not in effect,
the principal distributions from the Principal
Distribution Amount will be allocated as follows:
(i) to the Class A Certificates, the lesser of the
Principal Distribution Amount and the Class A
Principal Distribution Amount, allocated between
the Class A Certificates as described below,
until the Certificate Principal Balances thereof
have been reduced to zero;
(ii) to the Class M-1 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class M-1 Principal Distribution Amount, until
the Certificate Principal Balance thereof has
been reduced to zero;
(iii) to the Class M-2 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class M-2 Principal Distribution Amount, until
the Certificate Principal Balance thereof has
been reduced to zero;
(iv) to the Class M-3 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class M-3 Principal Distribution Amount, until
the Certificate Principal Balance thereof has
been reduced to zero;
(v) to the Class B-1 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class B-1 Principal Distribution Amount, until
the Certificate Principal Balance thereof has
been reduced to zero;
(vi) to the Class B-2 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class B-2 Principal Distribution Amount, until
the Certificate Principal Balance thereof has
been reduced to zero; and
(vii) to the Class B-3 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class B-3 Principal Distribution Amount, until
the Certificate Principal Balance thereof has
been reduced to zero.
All principal distributions to the Class A Certificates
on any Distribution Date will be allocated between the
Class A-1 Certificates and the Class A-2 Certificates on
a pro rata basis based on the Class A Principal
Allocation Percentage for each such class on such
Distribution Date; provided, however, that if the
Certificate Principal Balance of either class of Class A
Certificates is reduced to zero, then the remaining
amount of principal distributions distributable to the
class of Class A Certificates on such Distribution Date
and all subsequent Distribution Dates, will be
distributed to the remaining outstanding Class A
Certificates until the Certificate Principal Balance
thereof has been reduced to zero.
INTEREST RATE CAP: Beginning on the first Distribution Date, and for a
period of 35 months thereafter, an Interest Rate Cap
will be pledged to the Trust for the benefit of the
Class A-2 Certificates.
For the first 24 months if the 1-month LIBOR rate
exceeds 6.75%, the Interest Rate Cap pays the Trust the
product of (i) the difference between the then current
1-month LIBOR rate and 6.75% (on an Actual/360 day count
basis) up to a maximum of 137.5bps and (ii) the Interest
Rate Cap Notional Balance ("the Interest Rate Cap
Payment") as described herein. For the next 12 months if
the 1-month LIBOR rate exceeds 7.125%, the Interest Rate
Cap pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate and 7.125%
(on an Actual/360 day count basis) up to a maximum of
100bps and (ii) the Interest Rate Cap Notional Balance
("the Interest Rate Cap Payment") as described herein.
INTEREST RATE CAP
PAYMENT ALLOCATION: The Interest Rate Cap Payment shall be available to pay
any Basis Risk Carry Forward Amount due to the Class A-2
Certificates.
ALLOCATION OF NET
MONTHLY EXCESS
CASHFLOW: For any Distribution Date, any Net Monthly Excess
Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, the unpaid
interest shortfall amount;
(ii) to the Class M-1 Certificates, the allocated
unreimbursed realized loss amount;
(iii) to the Class M-2 Certificates, the unpaid
interest shortfall amount;
(iv) to the Class M-2 Certificates, the allocated
unreimbursed realized loss amount;
(v) to the Class M-3 Certificates, the unpaid
interest shortfall amount;
(vi) to the Class M-3 Certificates, the allocated
unreimbursed realized loss amount;
(vii) to the Class B-1 Certificates, the unpaid
interest shortfall amount;
(viii) to the Class B-1 Certificates, the allocated
unreimbursed realized loss amount;
(ix) to the Class B-2 Certificates, the unpaid
interest shortfall amount;
(x) to the Class B-2 Certificates, the allocated
unreimbursed realized loss amount;
(xi) to the Class B-3 Certificates, the unpaid
interest shortfall amount;
(xii) to the Class B-3 Certificates, the allocated
unreimbursed realized loss amount;
(xiii) concurrently, any Class A-1 Basis Risk Carry
Forward Amount to the Class A-1 Certificates,
and any Class A-2 Basis Risk Carry Forward
Amount to the Class A-2 Certificates; and
(xiv) sequentially, to Classes M-1, M-2, M-3, B-1, B-2
and B-3 Certificates, in such order, any Basis
Risk Carry Forward Amount for such classes.
INTEREST REMITTANCE
AMOUNT: For any Distribution Date, the portion of available
funds for such Distribution Date attributable to
interest received or advanced on the Mortgage Loans.
ACCRUED CERTIFICATE
INTEREST: For any Distribution Date and each class of Offered
Certificates, equals the amount of interest accrued
during the related interest accrual period at the
related Pass-through Rate, reduced by any prepayment
interest shortfalls and shortfalls resulting from the
application of the Soldiers' and Sailors' Civil Relief
Act of 1940 or similar state law allocated to such
class.
PRINCIPAL DISTRIBUTION
AMOUNT: On any Distribution Date, the sum of (i) the Basic
Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
BASIC PRINCIPAL
DISTRIBUTION AMOUNT: On any Distribution Date, the excess of (i) the
aggregate principal remittance amount over (ii) the
Excess Subordinated Amount, if any.
NET MONTHLY EXCESS
CASHFLOW: For any Distribution Date is the amount of funds
available for distribution on such Distribution Date
remaining after making all distributions of interest and
principal on the certificates.
EXTRA PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, the lesser of (i) the excess
of (x) interest collected or advanced with respect to
the Mortgage Loans with due dates in the related Due
Period (less servicing and trustee fees and expenses),
over (y) the sum of interest payable on the Certificates
on such Distribution Date and (ii) the
overcollateralization deficiency amount for such
Distribution Date.
EXCESS SUBORDINATED
AMOUNT: For any Distribution Date, means the excess, if any of
(i) the overcollateralization and (ii) the required
overcollateralization for such Distribution Date.
CLASS A PRINCIPAL
ALLOCATION PERCENTAGE: For any Distribution Date, the percentage equivalent of
a fraction, determined as follows: (i) in the case of
the Class A-1 Certificates the numerator of which is (x)
the portion of the principal remittance amount for such
Distribution Date that is attributable to principal
received or advanced on the Group I Mortgage Loans and
the denominator of which is (y) the principal remittance
amount for such Distribution Date and (ii) in the case
of the Class A-2 Certificates, the numerator of which is
(x) the portion of the principal remittance amount for
such Distribution Date that is attributable to principal
received or advanced on the Group II Mortgage Loans and
the denominator of which is (y) the principal remittance
amount for such Distribution Date.
CLASS A PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the excess
of (x) the aggregate Certificate Principal Balance of
the Class A Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the product
of (i) approximately 64.00% and (ii) the aggregate
principal balance of the Mortgage Loans as of the last
day of the related Due Period and (B) the excess, if
any, of the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period over
$3,810,430.
CLASS M-1 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date) and (ii)
the Certificate Principal Balance of the Class M-1
Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 74.80% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period over $3,810,430.
CLASS M-2 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of
the Class M-1 Principal Distribution Amount on such
Distribution Date) and (iii) the Certificate Principal
Balance of the Class M-2 Certificates immediately prior
to such Distribution Date over (y) the lesser of (A) the
product of (i) approximately 85.80% and (ii) the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related Due
Period over $3,810,430.
CLASS M-3 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of
the Class M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal
Distribution Amount on such Distribution Date) and (iv)
the Certificate Principal Balance of the Class M-3
Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 89.30% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period over $3,810,430.
CLASS B-1 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of
the Class M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal
Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the payment of
the Class M-3 Principal Distribution Amount on such
Distribution Date) and (v) the Certificate Principal
Balance of the Class B-1 Certificates immediately prior
to such Distribution Date over (y) the lesser of (A) the
product of (i) approximately 92.30% and (ii) the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related Due
Period over $3,810,430.
CLASS B-2 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of
the Class M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal
Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the payment of
the Class M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate Principal
Balance of the Class B-1 Certificates (after taking into
account the payment of the Class B-1 Principal
Distribution Amount on such Distribution Date) and (vi)
the Certificate Principal Balance of the Class B-2
Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 94.30% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period over $3,810,430.
CLASS B-3 PRINCIPAL
DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of
the Class M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal
Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the payment of
the Class M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate Principal
Balance of the Class B-1 Certificates (after taking into
account the payment of the Class B-1 Principal
Distribution Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class B-2
Certificates (after taking into account the payment of
the Class B-2 Principal Distribution Amount on such
Distribution Date) and (vii) the Certificate Principal
Balance of the Class B-3 Certificates immediately prior
to such Distribution Date over (y) the lesser of (A) the
product of (i) approximately 96.50% and (ii) the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related Due
Period over $3,810,430.
TRUST TAX STATUS: REMIC.
ERISA ELIGIBILITY: Subject to the considerations in the Prospectus, all
Offered Certificates are ERISA eligible.
SMMEA ELIGIBILITY: It is not anticipated that any of the Offered
Certificates will be SMMEA eligible.
PROSPECTUS: The Class A-2, Class M-1, Class M-2, Class M-3, Class
B-1, Class B-2 and Class B-3 Certificates are being
offered pursuant to a prospectus supplemented by a
prospectus supplement (together, the "Prospectus").
Complete information with respect to the Offered
Certificates and the collateral securing them is
contained in the Prospectus. The information herein is
qualified in its entirety by the information appearing
in the Prospectus. To the extent that the information
herein is inconsistent with the Prospectus, the
Prospectus shall govern in all respects. Sales of the
Offered Certificates may not be consummated unless the
purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A
DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN
CONNECTION WITH AN INVESTMENT IN THE OFFERED
CERTIFICATES.
TO MATURITY
-----------
PERCENTAGE OF CLASS A-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
April 2004 99 81 75 69 63
April 2005 97 62 51 41 32
April 2006 96 46 33 22 12
April 2007 94 36 27 20 12
April 2008 93 29 21 14 10
April 2009 91 23 16 10 7
April 2010 89 19 12 7 5
April 2011 87 15 9 5 4
April 2012 84 12 7 4 3
April 2013 82 10 5 3 2
April 2014 79 8 4 2 0
April 2015 76 7 3 2 0
April 2016 73 5 3 1 0
April 2017 69 4 2 0 0
April 2018 65 4 2 0 0
April 2019 61 3 1 0 0
April 2020 57 2 0 0 0
April 2021 53 2 0 0 0
April 2022 48 2 0 0 0
April 2023 43 1 0 0 0
April 2024 38 1 0 0 0
April 2025 34 0 0 0 0
April 2026 31 0 0 0 0
April 2027 27 0 0 0 0
April 2028 23 0 0 0 0
April 2029 18 0 0 0 0
April 2030 14 0 0 0 0
April 2031 9 0 0 0 0
April 2032 3 0 0 0 0
April 2033 0 0 0 0 0
Average Life to Maturity
(years) 17.85 4.25 3.24 2.55 2.02
Average Life to Call (1)
(years) 17.82 3.87 2.91 2.27 1.78
(1) 10% Optional Clean-Up Call
TO MATURITY
-----------
PERCENTAGE OF CLASS M-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
April 2004 100 100 100 100 100
April 2005 100 100 100 100 100
April 2006 100 100 100 100 100
April 2007 100 87 65 47 76
April 2008 100 70 48 32 21
April 2009 100 57 36 22 13
April 2010 100 45 27 15 8
April 2011 100 36 20 10 5
April 2012 100 29 15 7 1
April 2013 100 23 11 5 0
April 2014 100 19 8 2 0
April 2015 100 15 6 0 0
April 2016 100 12 4 0 0
April 2017 100 9 1 0 0
April 2018 100 7 0 0 0
April 2019 100 6 0 0 0
April 2020 100 4 0 0 0
April 2021 100 2 0 0 0
April 2022 100 0 0 0 0
April 2023 100 0 0 0 0
April 2024 100 0 0 0 0
April 2025 95 0 0 0 0
April 2026 86 0 0 0 0
April 2027 75 0 0 0 0
April 2028 64 0 0 0 0
April 2029 53 0 0 0 0
April 2030 40 0 0 0 0
April 2031 27 0 0 0 0
April 2032 12 0 0 0 0
April 2033 0 0 0 0 0
Average Life to Maturity
(years) 26.04 7.76 5.88 4.99 4.74
Average Life to Call (1)
(years) 25.92 7.06 5.33 4.54 4.38
(1) 10% Optional Clean-Up Call
TO MATURITY
-----------
PERCENTAGE OF CLASS M-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
April 2004 100 100 100 100 100
April 2005 100 100 100 100 100
April 2006 100 100 100 100 100
April 2007 100 87 65 47 33
April 2008 100 70 48 32 21
April 2009 100 57 36 22 13
April 2010 100 45 27 15 8
April 2011 100 36 20 10 2
April 2012 100 29 15 7 0
April 2013 100 23 11 2 0
April 2014 100 19 8 0 0
April 2015 100 15 4 0 0
April 2016 100 12 1 0 0
April 2017 100 9 0 0 0
April 2018 100 7 0 0 0
April 2019 100 4 0 0 0
April 2020 100 1 0 0 0
April 2021 100 0 0 0 0
April 2022 100 0 0 0 0
April 2023 100 0 0 0 0
April 2024 100 0 0 0 0
April 2025 95 0 0 0 0
April 2026 86 0 0 0 0
April 2027 75 0 0 0 0
April 2028 64 0 0 0 0
April 2029 53 0 0 0 0
April 2030 40 0 0 0 0
April 2031 27 0 0 0 0
April 2032 12 0 0 0 0
April 2033 0 0 0 0 0
Average Life to Maturity
(years) 26.04 7.68 5.80 4.81 4.34
Average Life to Call (1)
(years) 25.92 7.06 5.31 4.42 4.02
(1) 10% Optional Clean-Up Call
TO MATURITY
-----------
PERCENTAGE OF CLASS M-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
April 2004 100 100 100 100 100
April 2005 100 100 100 100 100
April 2006 100 100 100 100 100
April 2007 100 87 65 47 33
April 2008 100 70 48 32 21
April 2009 100 57 36 22 13
April 2010 100 45 27 15 4
April 2011 100 36 20 10 0
April 2012 100 29 15 0 0
April 2013 100 23 11 0 0
April 2014 100 19 4 0 0
April 2015 100 15 0 0 0
April 2016 100 12 0 0 0
April 2017 100 9 0 0 0
April 2018 100 1 0 0 0
April 2019 100 0 0 0 0
April 2020 100 0 0 0 0
April 2021 100 0 0 0 0
April 2022 100 0 0 0 0
April 2023 100 0 0 0 0
April 2024 100 0 0 0 0
April 2025 95 0 0 0 0
April 2026 86 0 0 0 0
April 2027 75 0 0 0 0
April 2028 64 0 0 0 0
April 2029 53 0 0 0 0
April 2030 40 0 0 0 0
April 2031 27 0 0 0 0
April 2032 12 0 0 0 0
April 2033 0 0 0 0 0
Average Life to Maturity
(years) 26.03 7.56 5.70 4.68 4.13
Average Life to Call (1)
(years) 25.92 7.06 5.30 4.36 3.87
(1) 10% Optional Clean-Up Call
TO MATURITY
-----------
PERCENTAGE OF CLASS B-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
April 2004 100 100 100 100 100
April 2005 100 100 100 100 100
April 2006 100 100 100 100 100
April 2007 100 87 65 47 33
April 2008 100 70 48 32 21
April 2009 100 57 36 22 13
April 2010 100 45 27 15 0
April 2011 100 36 20 3 0
April 2012 100 29 15 0 0
April 2013 100 23 5 0 0
April 2014 100 19 0 0 0
April 2015 100 15 0 0 0
April 2016 100 8 0 0 0
April 2017 100 0 0 0 0
April 2018 100 0 0 0 0
April 2019 100 0 0 0 0
April 2020 100 0 0 0 0
April 2021 100 0 0 0 0
April 2022 100 0 0 0 0
April 2023 100 0 0 0 0
April 2024 100 0 0 0 0
April 2025 95 0 0 0 0
April 2026 86 0 0 0 0
April 2027 75 0 0 0 0
April 2028 64 0 0 0 0
April 2029 53 0 0 0 0
April 2030 40 0 0 0 0
April 2031 27 0 0 0 0
April 2032 9 0 0 0 0
April 2033 0 0 0 0 0
Average Life to Maturity
(years) 26.01 7.44 5.60 4.59 4.02
Average Life to Call (1)
(years) 25.92 7.06 5.30 4.34 3.82
(1) 10% Optional Clean-Up Call
TO MATURITY
-----------
PERCENTAGE OF CLASS B-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
April 2004 100 100 100 100 100
April 2005 100 100 100 100 100
April 2006 100 100 100 100 100
April 2007 100 87 65 47 33
April 2008 100 70 48 32 21
April 2009 100 57 36 22 0
April 2010 100 45 27 8 0
April 2011 100 36 20 0 0
April 2012 100 29 7 0 0
April 2013 100 23 0 0 0
April 2014 100 19 0 0 0
April 2015 100 7 0 0 0
April 2016 100 0 0 0 0
April 2017 100 0 0 0 0
April 2018 100 0 0 0 0
April 2019 100 0 0 0 0
April 2020 100 0 0 0 0
April 2021 100 0 0 0 0
April 2022 100 0 0 0 0
April 2023 100 0 0 0 0
April 2024 100 0 0 0 0
April 2025 95 0 0 0 0
April 2026 86 0 0 0 0
April 2027 75 0 0 0 0
April 2028 64 0 0 0 0
April 2029 53 0 0 0 0
April 2030 40 0 0 0 0
April 2031 27 0 0 0 0
April 2032 0 0 0 0 0
April 2033 0 0 0 0 0
Average Life to Maturity
(years) 25.97 7.27 5.46 4.47 3.89
Average Life to Call (1)
(years) 25.92 7.06 5.30 4.33 3.78
(1) 10% Optional Clean-Up Call
TO MATURITY
-----------
PERCENTAGE OF CLASS B-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
April 2004 100 100 100 100 100
April 2005 100 100 100 100 100
April 2006 100 100 100 100 100
April 2007 100 87 65 47 33
April 2008 100 70 48 32 8
April 2009 100 57 36 11 0
April 2010 100 45 24 0 0
April 2011 100 36 6 0 0
April 2012 100 29 0 0 0
April 2013 100 15 0 0 0
April 2014 100 3 0 0 0
April 2015 100 0 0 0 0
April 2016 100 0 0 0 0
April 2017 100 0 0 0 0
April 2018 100 0 0 0 0
April 2019 100 0 0 0 0
April 2020 100 0 0 0 0
April 2021 100 0 0 0 0
April 2022 100 0 0 0 0
April 2023 100 0 0 0 0
April 2024 100 0 0 0 0
April 2025 95 0 0 0 0
April 2026 86 0 0 0 0
April 2027 75 0 0 0 0
April 2028 64 0 0 0 0
April 2029 53 0 0 0 0
April 2030 40 0 0 0 0
April 2031 23 0 0 0 0
April 2032 0 0 0 0 0
April 2033 0 0 0 0 0
Average Life to Maturity
(years) 25.88 6.96 5.23 4.26 3.73
Average Life to Call (1)
(years) 25.87 6.94 5.21 4.25 3.72
(1) 10% Optional Clean-Up Call
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- -----------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
0 -- -- -- -- -- -- --
1 9.73 8.15 8.15 8.15 8.15 8.15 8.15
2 8.46 6.90 6.90 6.90 6.90 6.90 6.90
3 8.78 7.19 7.19 7.19 7.19 7.19 7.19
4 8.57 6.98 6.98 6.98 6.98 6.98 6.98
5 8.58 6.98 6.98 6.98 6.98 6.98 6.98
6 8.82 7.21 7.21 7.21 7.21 7.21 7.21
7 8.59 6.98 6.98 6.98 6.98 6.98 6.98
8 8.83 7.21 7.21 7.21 7.21 7.21 7.21
9 8.60 6.98 6.98 6.98 6.98 6.98 6.98
10 8.60 6.98 6.98 6.98 6.98 6.98 6.98
11 9.11 7.46 7.46 7.46 7.46 7.46 7.46
12 8.62 6.98 6.98 6.98 6.98 6.98 6.98
13 8.86 7.21 7.21 7.21 7.21 7.21 7.21
14 8.63 6.98 6.98 6.98 6.98 6.98 6.98
15 8.88 7.21 7.21 7.21 7.21 7.21 7.21
16 8.64 6.98 6.98 6.98 6.98 6.98 6.98
17 8.65 6.98 6.98 6.98 6.98 6.98 6.98
18 8.90 7.21 7.21 7.21 7.21 7.21 7.21
19 8.67 6.98 6.98 6.98 6.98 6.98 6.98
20 8.92 7.21 7.21 7.21 7.21 7.21 7.21
21 8.68 6.98 6.98 6.98 6.98 6.98 6.98
22 9.09 7.22 7.22 7.22 7.22 7.22 7.22
23 10.43 8.79 8.79 8.79 8.79 8.79 8.79
24 9.56 7.94 7.94 7.94 7.94 7.94 7.94
25 9.47 8.21 8.21 8.21 8.21 8.21 8.21
26 9.21 7.94 7.94 7.94 7.94 7.94 7.94
27 9.50 8.21 8.21 8.21 8.21 8.21 8.21
28 9.67 8.18 8.18 8.18 8.18 8.18 8.18
29 10.07 8.90 8.90 8.90 8.90 8.90 8.90
30 10.39 9.20 9.20 9.20 9.20 9.20 9.20
31 10.10 8.90 8.90 8.90 8.90 8.90 8.90
32 10.42 9.19 9.19 9.19 9.19 9.19 9.19
33 10.14 8.90 8.90 8.90 8.90 8.90 8.90
34 10.65 9.15 9.15 9.15 9.15 9.15 9.15
35 12.10 10.93 10.93 10.93 10.93 10.93 10.93
36 11.05 9.87 9.87 9.87 9.87 9.87 9.87
37 23.06 10.20 10.20 10.20 10.20 10.20 10.20
38 11.58 9.87 9.87 9.87 9.87 9.87 9.87
39 11.91 10.19 10.19 10.19 10.19 10.19 10.19
40 11.96 10.12 10.12 10.12 10.12 10.12 10.12
41 12.26 10.83 10.83 10.83 10.83 10.83 10.83
42 12.67 11.19 11.19 11.19 11.19 11.19 11.19
43 12.26 10.83 10.83 10.83 10.83 10.83 10.83
44 12.67 11.19 11.19 11.19 11.19 11.19 11.19
45 12.26 10.83 10.83 10.83 10.83 10.83 10.83
46 12.59 11.00 11.00 11.00 11.00 11.00 11.00
47 14.19 12.71 12.71 12.71 12.71 12.71 12.71
48 12.82 11.48 11.48 11.48 11.48 11.48 11.48
49 13.25 11.86 11.86 11.86 11.86 11.86 11.86
50 12.82 11.48 11.48 11.48 11.48 11.48 11.48
51 13.24 11.86 11.86 11.86 11.86 11.86 11.86
52 12.83 11.49 11.49 11.49 11.49 11.49 11.49
53 12.83 11.49 11.49 11.49 11.49 11.49 11.49
54 13.26 11.87 11.87 11.87 11.87 11.87 11.87
55 12.83 11.48 11.48 11.48 11.48 11.48 11.48
56 13.26 11.87 11.87 11.87 11.87 11.87 11.87
57 12.83 11.48 11.48 11.48 11.48 11.48 11.48
58 12.84 11.49 11.49 11.49 11.49 11.49 11.49
59 13.72 12.28 12.28 12.28 12.28 12.28 12.28
60 12.84 11.49 11.49 11.49 11.49 11.49 11.49
61 13.26 11.87 11.87 11.87 11.87 11.87 11.87
62 12.84 11.48 11.48 11.48 11.48 11.48 11.48
63 13.26 11.87 11.87 11.87 11.87 11.87 11.87
64 12.83 11.48 11.48 11.48 11.48 11.48 11.48
65 12.83 11.48 11.48 11.48 11.48 11.48 11.48
66 13.26 11.86 11.86 11.86 11.86 11.86 11.86
67 12.83 11.48 11.48 11.48 11.48 11.48 11.48
68 13.26 11.86 11.86 11.86 11.86 11.86 11.86
69 12.83 11.47 11.47 11.47 11.47 11.47 11.47
70 12.83 11.47 11.47 11.47 11.47 11.47 11.47
71 14.21 12.70 12.70 12.70 12.70 12.70 12.70
72 12.83 11.47 11.47 11.47 11.47 11.47 11.47
73 13.26 11.85 11.85 11.85 11.85 11.85 11.85
74 12.83 11.47 11.47 11.47 11.47 11.47 11.47
75 13.26 11.85 11.85 11.85 11.85 11.85 11.85
76 12.83 11.46 11.46 11.46 11.46 11.46 11.46
77 12.83 11.46 11.46 11.46 11.46 11.46 11.46
78 13.26 11.84 11.84 11.84 11.84 11.84 11.84
79 12.83 11.46 11.46 11.46 11.46 11.46 11.46
80 13.26 11.84 11.84 11.84 11.84 11.84 11.84
81 12.83 11.46 11.46 11.46 11.46 11.46 11.46
82 12.83 11.46 11.46 11.46 11.46 11.46 11.46
83 12.96 12.68 12.68 12.68 12.68 12.68 12.68
84 11.32 11.45 11.45 11.45 11.45 11.45 11.45
85 11.72 11.84 11.84 11.84 11.84 11.84 11.84
86 11.36 11.45 11.45 11.45 11.45 11.45 11.45
87 11.75 11.83 11.83 11.83 11.83 11.83 11.83
88 11.39 11.45 11.45 11.45 11.45 11.45 11.45
89 11.40 11.45 11.45 11.45 11.45 11.45 11.45
90 11.80 11.83 11.83 11.83 11.83 11.83 11.83
91 11.44 11.45 11.45 11.45 11.45 11.45 11.45
92 11.84 11.83 11.83 11.83 11.83 11.83 11.83
93 11.48 11.44 11.44 11.44 11.44 11.44 11.44
94 11.50 11.44 11.44 11.44 11.44 11.44 11.44
95 12.75 12.67 12.67 12.67 12.67 12.67 12.67
96 11.54 11.44 11.44 11.44 11.44 11.44 11.44
97 11.94 11.82 11.82 11.82 11.82 11.82 11.82
98 11.58 11.44 11.44 11.44 11.44 11.44 11.44
99 11.99 11.82 11.82 11.82 11.82 11.82 11.82
100 11.62 11.44 11.44 11.44 11.44 11.44 11.44
101 11.65 11.44 11.44 11.44 11.44 11.44 11.44
102 12.06 11.82 11.82 11.82 11.82 11.82 11.82
103 11.70 11.43 11.43 11.43 11.43 11.43 11.43
104 12.11 11.81 11.81 11.81 11.81 11.81 --
105 11.75 11.43 11.43 11.43 11.43 11.43 --
106 11.77 11.43 11.43 11.43 11.43 11.43 --
107 12.62 12.22 12.22 12.22 12.22 12.22 --
108 11.83 11.43 11.43 11.43 11.43 11.43 --
109 12.25 11.81 11.81 11.81 11.81 11.81 --
110 11.89 11.43 11.43 11.43 11.43 11.43 --
111 12.32 11.81 11.81 11.81 11.81 11.81 --
112 11.95 11.43 11.43 11.43 11.43 11.43 --
113 11.98 11.43 11.43 11.43 11.43 11.43 --
114 12.42 11.81 11.81 11.81 11.81 11.81 --
115 12.05 11.42 11.42 11.42 11.42 11.42 --
116 12.49 11.80 11.80 11.80 11.80 -- --
117 12.12 11.42 11.42 11.42 11.42 -- --
118 12.16 11.42 11.42 11.42 11.42 -- --
119 13.50 12.64 12.64 12.64 12.64 -- --
120 12.23 11.42 11.42 11.42 11.42 -- --
121 12.68 11.80 11.80 11.80 11.80 -- --
122 12.31 11.42 11.42 11.42 11.42 -- --
123 12.76 11.80 11.80 11.80 11.80 -- --
124 12.39 11.42 11.42 11.42 11.42 -- --
125 12.44 11.42 11.42 11.42 11.42 -- --
126 12.90 11.80 11.80 11.80 11.80 -- --
127 12.53 11.42 11.42 11.42 11.42 -- --
128 13.00 11.80 11.80 11.80 11.80 -- --
129 12.62 11.41 11.41 11.41 11.41 -- --
130 12.67 11.41 11.41 11.41 -- -- --
131 14.09 12.64 12.64 12.64 -- -- --
132 12.78 11.41 11.41 11.41 -- -- --
133 13.26 11.79 11.79 11.79 -- -- --
134 12.89 11.41 11.41 11.41 -- -- --
135 13.37 11.79 11.79 11.79 -- -- --
136 13.00 11.41 11.41 11.41 -- -- --
137 13.06 11.41 11.41 11.41 -- -- --
138 13.56 11.79 11.79 11.79 -- -- --
139 13.19 11.41 11.41 11.41 -- -- --
140 13.69 11.79 11.79 11.79 -- -- --
141 13.32 11.41 11.41 -- -- -- --
142 13.38 11.41 11.41 -- -- -- --
143 14.90 12.63 12.63 -- -- -- --
144 13.53 11.41 11.41 -- -- -- --
145 14.05 11.79 11.79 -- -- -- --
146 13.68 11.41 11.41 -- -- -- --
147 14.21 11.79 11.79 -- -- -- --
148 13.83 11.41 11.41 -- -- -- --
149 13.91 11.41 11.41 -- -- -- --
150 14.46 11.79 11.79 -- -- -- --
151 14.08 11.41 11.41 -- -- -- --
152 14.65 11.79 11.79 -- -- -- --
153 14.26 11.41 11.41 -- -- -- --
154 14.36 11.41 11.41 -- -- -- --
155 15.45 12.19 12.19 -- -- -- --
156 14.55 11.41 11.41 -- -- -- --
157 15.14 11.79 11.79 -- -- -- --
158 14.76 11.41 11.41 -- -- -- --
159 15.36 11.79 11.79 -- -- -- --
160 14.97 11.41 11.41 -- -- -- --
161 15.08 11.41 11.41 -- -- -- --
162 15.71 11.79 11.79 -- -- -- --
163 15.32 11.41 11.41 -- -- -- --
164 15.95 11.79 -- -- -- -- --
165 15.56 11.41 -- -- -- -- --
166 15.69 11.41 -- -- -- -- --
167 17.52 12.63 -- -- -- -- --
168 15.96 11.41 -- -- -- -- --
169 16.64 11.79 -- -- -- -- --
170 16.24 11.41 -- -- -- -- --
171 16.93 11.79 -- -- -- -- --
172 16.54 11.41 -- -- -- -- --
173 16.69 11.41 -- -- -- -- --
174 17.41 11.79 -- -- -- -- --
175 17.02 11.41 -- -- -- -- --
176 17.76 11.79 -- -- -- -- --
177 17.36 11.41 -- -- -- -- --
178 17.62 -- -- -- -- -- --
179 19.83 -- -- -- -- -- --
180 18.22 -- -- -- -- -- --
181 19.16 -- -- -- -- -- --
182 18.89 -- -- -- -- -- --
183 19.90 -- -- -- -- -- --
184 19.65 -- -- -- -- -- --
185 20.07 -- -- -- -- -- --
186 21.20 -- -- -- -- -- --
187 21.00 -- -- -- -- -- --
188 22.23 -- -- -- -- -- --
189 22.07 -- -- -- -- -- --
190 22.67 -- -- -- -- -- --
191 25.82 -- -- -- -- -- --
192 24.02 -- -- -- -- -- --
193 25.61 -- -- -- -- -- --
194 25.60 -- -- -- -- -- --
195 27.35 -- -- -- -- -- --
196 27.42 -- -- -- -- -- --
197 28.47 -- -- -- -- -- --
198 30.63 -- -- -- -- -- --
199 30.95 -- -- -- -- -- --
200 33.50 -- -- -- -- -- --
201 34.09 -- -- -- -- -- --
202 35.99 -- -- -- -- -- --
203 40.81 -- -- -- -- -- --
204 40.72 -- -- -- -- -- --
205 45.18 -- -- -- -- -- --
206 47.30 -- -- -- -- -- --
207 53.37 -- -- -- -- -- --
208 57.05 -- -- -- -- -- --
209 63.92 -- -- -- -- -- --
210 75.38 -- -- -- -- -- --
211 85.35 -- -- -- -- -- --
212 106.89 -- -- -- -- -- --
213 132.29 -- -- -- -- -- --
214 185.53 -- -- -- -- -- --
215 350.52 -- -- -- -- -- --
216 * -- -- -- -- -- --
* In Period 216 the A-2 Class has a balance of $37,853 and is paid $101,862 in
interest.
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
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