EXHIBIT 99.3
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Xxxxxx Xxxxxxx Xxxx 1, 2004
Securitized Products Group [Xxxxxx Xxxxxxx LOGO]
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Computational Materials
$782,790,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-HE4
Mortgage Pass-Through Certificates
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The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 1
The information herein 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 trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates 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. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 2
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Xxxxxx Xxxxxxx Xxxx 1, 2004
Securitized Products Group [Xxxxxx Xxxxxxx LOGO]
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Approximately $782,790,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-HE4
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Chase Manhattan Mortgage Corporation
Countrywide Home Loans Inc.
HomEq Servicing Corp.
Servicer
Transaction Highlights
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Modified
Avg Life to Duration
Offered Expected Ratings Call / To Call / Payment Window To Call /
Classes Description Balance(4) (S&P/Fitch/Moody's) Mty(1)(2) Mty(1)(2)(3) Mty(1)(2)
====================================================================================================================================
A-1 Not Offered 629,111,000 *****Not Offered*****
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A-2 Floater [150,000,000] AAA/AAA/Aaa 2.74 / 2.99 2.67 / 2.89 07/04 - 06/12 / 07/04 - 12/21
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A-3 Floater [287,568,000] AAA/AAA/Aaa 1.50 / 1.50 1.50 / 1.50 07/04 - 05/08 / 07/04 - 05/08
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A-4 Floater [100,300,000] AAA/AAA/Aaa 6.29 / 7.24 6.01 / 6.82 05/08 - 06/12 / 05/08 - 12/21
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M-1 Floater 90,045,000 AA/AA/Aa2 5.32 / 5.86 5.09 / 5.56 09/07 - 06/12 / 09/07 - 01/19
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M-2 Floater 75,637,000 A/A/A2 5.30 / 5.78 4.97 / 5.36 08/07 - 06/12 / 08/07 - 09/17
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M-3 Floater 25,213,000 A-/A-/A3 5.29 / 5.69 4.91 / 5.24 07/07 - 06/12 / 07/07 - 01/16
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B-1 Floater 18,009,000 BBB+/BBB+/Baa1 5.28 / 5.61 4.82 / 5.07 07/07 - 06/12 / 07/07 - 03/15
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B-2 Floater 18,009,000 BBB/BBB/Baa2 5.28 / 5.50 4.78 / 4.95 07/07 - 06/12 / 07/07 - 05/14
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B-3 Floater 18,009,000 BBB-/BBB-/Baa3 5.24 / 5.29 4.53 / 4.56 07/07 - 06/12 / 07/07 - 04/13
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Initial
Offered Subordination
Classes Level(5) Benchmark
============================================
A-1
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A-2 19.00% 1 Mo. LIBOR
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A-3 19.00% 1 Mo. LIBOR
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A-4 19.00% 1 Mo. LIBOR
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M-1 12.75% 1 Mo. LIBOR
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M-2 7.50% 1 Mo. LIBOR
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M-3 5.75% 1 Mo. LIBOR
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B-1 4.50% 1 Mo. LIBOR
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B-2 3.25% 1 Mo. LIBOR
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B-3 2.00% 1 Mo. LIBOR
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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%.
(5) Subordination levels to be finalized.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust
2004-HE4.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originators: Aames Capital Corporation, Accredited Home
Lenders, Inc. and NC Capital Corporation.
Servicer: Chase Manhattan Mortgage Corporation,
Countrywide Home Loans Inc. and HomEq Servicing
Corp.
Trustee: Deutsche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), Countrywide
Securities Corp. and Xxxxxxxx Capital Partners,
L.P.
Rating Agencies: Standard & Poor's, Fitch Ratings and Xxxxx'x
Investors Service.
Offered Certificates: The Class A-2, A-3, A-4, M-1, M-2, M-3, B-1,
B-2 and B-3 Certificates.
Class A Certificates: The Class A-1, A-2, A-3 and A-4 Certificates.
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 3
Group II Class A The Class A-2, Class A-3 and Class A-4
Certificates: Certificates.
Group II Class A Sequential The Class A-3 and Class A-4 Certificates.
Certificates:
Expected Closing Date: June 29, 2004 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 July 25, 2004.
Final Scheduled
Distribution Date: The Distribution Date occurring in May 2034.
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 $776.7 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 $664.0 million of Mortgage Loans
that predominantly have original principal
balances that may or may 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) 2.00% 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
4.00% 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 For any Distribution Date, the percentage
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
July 2007; 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 38.00%.
Trigger Event: Either a Delinquency Trigger Event or a
Cumulative Loss Trigger Event.
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 4
Delinquency Trigger Event: A Delinquency Trigger Event is in effect on any
Distribution Date if on that Distribution Date
the 60 Day+ Rolling Average equals or exceeds
[40%] of the prior period's Senior Enhancement
Percentage. The 60 Day+ Rolling Average will
equal the rolling 3 month average percentage of
Mortgage Loans that are 60 or more days
delinquent.
Cumulative Loss Trigger A
Event: Cumulative Loss Trigger Event is in effect on
any Distribution Date if the aggregate amount
of Realized Losses incurred since the
cut-off date through the last day of the
related Prepayment Period divided by the
aggregate Stated Principal Balance of the
mortgage loans as of the cut-off date exceeds
the applicable percentages described below with
respect to such distribution date:
Months 37- 48 [3.25] for the first month,
plus an additional 1/12th of
[1.50] for each month
thereafter (e.g., [4.000] in
Month 43)
Months 49- 60 [4.75] for the first month,
plus an additional 1/12th of
[1.25] for each month
thereafter (e.g., [5.375] in
Month 55)
Months 61- 72 [6.00] for the first month,
plus an additional 1/12th of
[0.50] for each month
thereafter (e.g., [6.250] in
Month 67)
Months 72-
thereafter [6.50]
Initial Subordination Class A: 19.00%
Percentage: Class M-1: 12.75%
Class M-2: 7.50%
Class M-3: 5.75%
Class B-1: 4.50%
Class B-2: 3.25%
Class B-3: 2.00%
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.
Step-up Coupons: For all Offered Certificates the coupon will
increase after the optional clean-up call date,
should the call not be exercised. The
applicable fixed margin will increase by 2x on
the Class A Certificates and by 1.5x on all
other Certificates after the first distribution
date on which the Optional Clean-up Call is
exercisable.
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, A-3 and A-4
Pass-Through Rate: The Class A-2, A-3 and A-4 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.
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 5
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, A-3 and A-4
Basis Risk Carry Forward
Amount: As to any Distribution Date, the supplemental
interest amount for each of the Class A-2, A-3
and A-4 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, A-3 and
A-4 Pass-Through Rates (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, A-3 and A-4 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, A-3 and A-4
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
B-1, B-2 and B-3 Basis Risk interest amount for each of the Class M-1, M-2,
Carry Forward Amounts: M-3, B-1, B-2 and B-3 Certificates will equal
the sum of:
(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).
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 6
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, pro
rata to the Group II Class A
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, pro rata
to the Group II Class A 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.
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 7
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.
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 8
Class A Principal
Allocation: Except as described below, the Class A-3 and
Class A-4 Certificates will receive principal
sequentially, and the Class A-4 Certificates
will not receive principal distributions until
the Certificate Principal Balance of the Class
A-3 Certificates has been reduced to zero.
All principal distributions to the holders of
the Class A Certificates on any Distribution
Date will be allocated concurrently between the
Class A-1 Certificates, on the one hand, and
the Group II Class A Certificates, on the other
hand, based on the Class A Principal Allocation
Percentage for the Class A-1 Certificates and
the Group II Class A Certificates, as
applicable.
However, if the Class Certificate Balances of
the Class A Certificates in either Class A
Certificate Group are reduced to zero, then the
remaining amount of principal distributions
distributable to the Class A Certificates on
that Distribution Date, and the amount of those
principal distributions distributable on all
subsequent Distribution Dates, will be
distributed to the holders of the Class A
certificates in the other Class A Certificate
Group remaining outstanding, in accordance with
the principal distribution allocations
described herein, until their Class Certificate
Balances have been reduced to zero. Any
payments of principal to the Class A-1
Certificates will be made first from payments
relating to the Group I Mortgage Loans, and any
payments of principal to the Group II Class A
Certificates will be made first from payments
relating to the Group II Mortgage Loans.
Any principal distributions allocated to the
Group II Class A Certificates are required to
be distributed pro rata between the Class A-2
Certificates and the Group II Class A
Sequential Certificates. Principal
distributions to the Group II Class A
Sequential Certificates will be allocated first
to the Class A-3 Certificates, until their
Class Certificate Balance has been reduced to
zero, and then to the Class A-4 Certificates,
until their Class Certificate Balance has been
reduced to zero.
Notwithstanding the above, in the event that
all subordinate classes, including the Class X
certificates, have been reduced to zero,
principal distributions to the Group II Class A
Certificates will be distributed pro rata
between the Class A-2, Class A-3 and Class A-4
Certificates.
Group II Class A Interest Beginning on the first Distribution Date, and
Rate Cap: for a period of 35 months thereafter, an
Interest Rate Cap will be entered into by the
Trust for the benefit of the Group II Class A
Certificates.
For its duration, the Group II Class A Interest
Rate Cap pays the Trust the product of (i) the
excess, if any, of the then current 1-month
LIBOR rate (not to exceed the cap ceiling) over
the cap strike (on an Actual/360 day count
basis) and (ii) the Group II Class A Interest
Rate Cap Notional Balance ("the Group II Class
A Interest Rate Cap Payment") as described on
the schedule herein.
Group II Class A Interest The Group II Class A Interest Rate Cap Payment
Rate Cap Payment shall be available to pay any Basis Risk Carry
Allocation: Forward Amount due to the Class A-2, A-3 and
A-4 Certificates on a pro rata basis.
Class M Interest Rate
Cap: Beginning on the first Distribution Date, and
for a period of 43 months thereafter, an
Interest Rate Cap will be pledged to the Trust
for the benefit of the Class M Certificates.
For its duration, the Class M Interest Rate Cap
pays the Trust the product of (i) the
difference between the then current 1-month
LIBOR rate (not to exceed the cap ceiling) and
the cap strike (on an Actual/360 day count
basis) and (ii) the Class M Interest Rate Cap
Notional Balance ("the Class M Interest Rate
Cap Payment") as described on the schedule
herein.
Class M Interest Rate The Class M Interest Rate Cap Payment shall be
Cap Payment Allocation: available to pay any Basis Risk Carry Forward
Amount due to the Class M-1, Class M-2 and
Class M-3 Certificates on a pro rata basis.
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 9
Class B Interest Rate Cap: Beginning on the first Distribution Date, and
for a period of 43 months thereafter, an
Interest Rate Cap will be pledged to the Trust
for the benefit of the Class B Certificates.
For its duration, the Class B Interest Rate Cap
pays the Trust the product of (i) the
difference between the then current 1-month
LIBOR rate (not to exceed the cap ceiling) and
the cap strike (on an Actual/360 day count
basis) and (ii) the Class B Interest Rate Cap
Notional Balance ("the Class B Interest Rate
Cap Payment") as described on the schedule
herein.
Class B Interest Rate
Cap Payment Allocation: The Class B Interest Rate Cap Payment shall be
available to pay any Basis Risk Carry Forward
Amount due to the Class B-1, Class B-2 and
Class B-3 Certificates on a pro rata basis.
Allocation of Net For any Distribution Date, any Net Monthly
Monthly Excess Excess Cashflow shall be paid as follows:
Cashflow: (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 Group II Class A
Basis Risk Carry Forward Amount to the
Group II Class A Certificates; and
(xiv) sequentially, to Classes M-1, M-2,
M-3, B-1, B-2 and B-3 Certificates, in
such order, any unpaid Basis Risk
Carry Forward Amount for such classes.
Interest Remittance For any Distribution Date, the portion of
Amount: 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 Servicemembers Civil Relief
Act or similar state law allocated to such
class.
Principal Distribution On any Distribution Date, the sum of (i) the
Amount: 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 For any Distribution Date, the lesser of (i)
Distribution Amount: 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.
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 10
Class A Principal Allocation For any Distribution Date, the percentage
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
Group II Class A 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 For any Distribution Date, an amount equal to
Distribution Amount: 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 62.00% 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 $7,203,578.
Class M-1 Principal For any Distribution Date, an amount equal to
Distribution Amount: 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 74.50% 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 $7,203,578.
Class M-2 Principal For any Distribution Date, an amount equal to
Distribution Amount: 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 85.00% 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 $7,203,578.
Class M-3 Principal For any Distribution Date, an amount equal to
Distribution Amount: 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 88.50% 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 $7,203,578.
Class B-1 Principal For any Distribution Date, an amount equal to
Distribution Amount: 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 91.00% 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 $7,203,578.
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 11
Class B-2 Principal For any Distribution Date, an amount equal to
Distribution Amount: 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 93.50% 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 $7,203,578.
Class B-3 Principal For any Distribution Date, an amount equal to
Distribution Amount: 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 96.00% 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 $7,203,578.
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 12
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 A-3, Class A-4, 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.
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 13
Weighted Average Life Sensitivity
To CALL
----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
----------------------------------------------------------------------------------------------------------------------------------
A-2 WAL 5.33 4.53 3.67 2.74 2.10 1.61 1.23
First Payment Date 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 9/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 1 - 183 1 - 157 1 - 128 1 - 96 1 - 75 1 - 61 1 - 51
----------------------------------------------------------------------------------------------------------------------------------
A-3 WAL 2.96 2.50 2.02 1.50 1.18 0.97 0.82
First Payment Date 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 2/25/2012 12/25/2010 9/25/2009 5/25/2008 1/25/2007 8/25/2006 4/25/2006
Window 1 - 92 1 - 78 1 - 63 1 - 47 1 - 31 1 - 26 1 - 22
----------------------------------------------------------------------------------------------------------------------------------
A-4 WAL 12.14 10.36 8.41 6.29 4.75 3.43 2.41
First Payment Date 2/25/2012 12/25/2010 9/25/2009 5/25/2008 1/25/2007 8/25/2006 4/25/2006
Expected Final Maturity 9/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 92 - 183 78 - 157 63 - 128 47 - 96 31 - 75 26 - 61 22 - 51
----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.18 8.66 7.01 5.32 4.56 4.47 4.24
First Payment Date 6/25/2009 8/25/2008 11/25/2007 9/25/2007 12/25/2007 4/25/2008 9/25/2008
Expected Final Maturity 9/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 60 - 183 50 - 157 41 - 128 39 - 96 42 - 75 46 - 61 51 - 51
----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.18 8.66 7.01 5.30 4.42 4.03 4.00
First Payment Date 6/25/2009 8/25/2008 11/25/2007 8/25/2007 9/25/2007 11/25/2007 1/25/2008
Expected Final Maturity 9/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 60 - 183 50 - 157 41 - 128 38 - 96 39 - 75 41 - 61 43 - 51
----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.18 8.66 7.01 5.29 4.36 3.88 3.69
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 9/25/2007 10/25/2007 11/25/2007
Expected Final Maturity 9/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 60 - 183 50 - 157 41 - 128 37 - 96 39 - 75 40 - 61 41 - 51
----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.18 8.66 7.01 5.28 4.33 3.83 3.59
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 8/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 9/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 60 - 183 50 - 157 41 - 128 37 - 96 38 - 75 39 - 61 40 - 51
----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.18 8.66 7.01 5.28 4.33 3.80 3.53
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 8/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 9/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 60 - 183 50 - 157 41 - 128 37 - 96 38 - 75 38 - 61 39 - 51
----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.12 8.61 6.97 5.24 4.28 3.76 3.45
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 7/25/2007 8/25/2007 8/25/2007
Expected Final Maturity 9/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 60 - 183 50 - 157 41 - 128 37 - 96 37 - 75 38 - 61 38 - 51
----------------------------------------------------------------------------------------------------------------------------------
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 14
Weighted Average Life Sensitivity
To MATURITY
-----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
-----------------------------------------------------------------------------------------------------------------------------------
A-2 WAL 5.70 4.88 3.98 2.99 2.30 1.78 1.28
First Payment Date 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 10/25/2031 1/25/2030 11/25/2026 12/25/2021 6/25/2018 11/25/2015 12/25/2013
Window 1 - 328 1 - 307 1 - 269 1 - 210 1 - 168 1 - 137 1 - 114
-----------------------------------------------------------------------------------------------------------------------------------
A-3 WAL 2.96 2.50 2.02 1.50 1.18 0.97 0.82
First Payment Date 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 2/25/2012 12/25/2010 9/25/2009 5/25/2008 1/25/2007 8/25/2006 4/25/2006
Window 1 - 92 1 - 78 1 - 63 1 - 47 1 - 31 1 - 26 1 - 22
-----------------------------------------------------------------------------------------------------------------------------------
A-4 WAL 13.54 11.71 9.60 7.24 5.54 4.08 2.60
First Payment Date 2/25/2012 12/25/2010 9/25/2009 5/25/2008 1/25/2007 8/25/2006 4/25/2006
Expected Final Maturity 10/25/2031 1/25/2030 11/25/2026 12/25/2021 6/25/2018 11/25/2015 12/25/2013
Window 92 - 328 78 - 307 63 - 269 47 - 210 31 - 168 26 - 137 22 - 114
-----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.04 9.47 7.71 5.86 5.01 4.82 5.73
First Payment Date 6/25/2009 8/25/2008 11/25/2007 9/25/2007 12/25/2007 4/25/2008 11/25/2008
Expected Final Maturity 4/25/2029 11/25/2026 6/25/2023 1/25/2019 12/25/2015 11/25/2013 9/25/2012
Window 60 - 298 50 - 269 41 - 228 39 - 175 42 - 138 46 - 113 53 - 99
-----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.97 9.39 7.64 5.78 4.81 4.35 4.27
First Payment Date 6/25/2009 8/25/2008 11/25/2007 8/25/2007 9/25/2007 11/25/2007 1/25/2008
Expected Final Maturity 10/25/2027 4/25/2025 11/25/2021 9/25/2017 12/25/2014 12/25/2012 7/25/2011
Window 60 - 280 50 - 250 41 - 209 38 - 159 39 - 126 41 - 102 43 - 85
-----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.85 9.28 7.53 5.69 4.69 4.15 3.90
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 9/25/2007 10/25/2007 11/25/2007
Expected Final Maturity 7/25/2025 12/25/2022 10/25/2019 1/25/2016 8/25/2013 11/25/2011 8/25/2010
Window 60 - 253 50 - 222 41 - 184 37 - 139 39 - 110 40 - 89 41 - 74
-----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.74 9.17 7.44 5.61 4.60 4.05 3.77
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 8/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 3/25/2024 9/25/2021 8/25/2018 3/25/2015 11/25/2012 4/25/2011 2/25/2010
Window 60 - 237 50 - 207 41 - 170 37 - 129 38 - 101 39 - 82 40 - 68
-----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.57 9.01 7.31 5.50 4.52 3.95 3.65
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 8/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 12/25/2022 7/25/2020 8/25/2017 5/25/2014 4/25/2012 10/25/2010 9/25/2009
Window 60 - 222 50 - 193 41 - 158 37 - 119 38 - 94 38 - 76 39 - 63
-----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.21 8.69 7.03 5.29 4.32 3.79 3.48
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 7/25/2007 8/25/2007 8/25/2007
Expected Final Maturity 3/25/2021 11/25/2018 3/25/2016 4/25/2013 5/25/2011 2/25/2010 2/25/2009
Window 60 - 201 50 - 173 41 - 141 37 - 106 37 - 83 38 - 68 38 - 56
-----------------------------------------------------------------------------------------------------------------------------------
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 15
CPR Sensitivity
To CALL
------------------------------------------------------------------------------------------------------------------------
CPR (%) 20 25 30
------------------------------------------------------------------------------------------------------------------------
A-2 WAL 3.24 2.54 2.01
First Payment Date 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 1 - 116 1 - 92 1 - 75
------------------------------------------------------------------------------------------------------------------------
A-3 WAL 1.74 1.34 1.09
First Payment Date 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 2/25/2009 2/25/2008 12/25/2006
Window 1 - 56 1 - 44 1 - 30
------------------------------------------------------------------------------------------------------------------------
A-4 WAL 7.55 5.97 4.64
First Payment Date 2/25/2009 2/25/2008 12/25/2006
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 56 - 116 44 - 92 30 - 75
------------------------------------------------------------------------------------------------------------------------
M-1 WAL 6.32 5.14 4.59
First Payment Date 7/25/2007 10/25/2007 1/25/2008
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 37 - 116 40 - 92 43 - 75
------------------------------------------------------------------------------------------------------------------------
M-2 WAL 6.32 5.10 4.42
First Payment Date 7/25/2007 8/25/2007 10/25/2007
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 37 - 116 38 - 92 40 - 75
------------------------------------------------------------------------------------------------------------------------
M-3 WAL 6.32 5.08 4.35
First Payment Date 7/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 37 - 116 38 - 92 39 - 75
------------------------------------------------------------------------------------------------------------------------
B-1 WAL 6.32 5.08 4.33
First Payment Date 7/25/2007 7/25/2007 8/25/2007
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 37 - 116 37 - 92 38 - 75
------------------------------------------------------------------------------------------------------------------------
B-2 WAL 6.32 5.07 4.32
First Payment Date 7/25/2007 7/25/2007 8/25/2007
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 37 - 116 37 - 92 38 - 75
------------------------------------------------------------------------------------------------------------------------
B-3 WAL 6.28 5.03 4.27
First Payment Date 7/25/2007 7/25/2007 7/25/2007
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 37 - 116 37 - 92 37 - 75
------------------------------------------------------------------------------------------------------------------------
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 16
CPR Sensitivity
To MATURITY
------------------------------------------------------------------------------------------------------------------------
CPR (%) 20 25 30
------------------------------------------------------------------------------------------------------------------------
A-2 WAL 3.52 2.76 2.19
First Payment Date 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 4/25/2025 6/25/2021 7/25/2018
Window 1 - 250 1 - 204 1 - 169
------------------------------------------------------------------------------------------------------------------------
A-3 WAL 1.74 1.34 1.09
First Payment Date 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 2/25/2009 2/25/2008 12/25/2006
Window 1 - 56 1 - 44 1 - 30
------------------------------------------------------------------------------------------------------------------------
A-4 WAL 8.61 6.84 5.36
First Payment Date 2/25/2009 2/25/2008 12/25/2006
Expected Final Maturity 4/25/2025 6/25/2021 7/25/2018
Window 56 - 250 44 - 204 30 - 169
------------------------------------------------------------------------------------------------------------------------
M-1 WAL 6.98 5.68 5.03
First Payment Date 7/25/2007 10/25/2007 1/25/2008
Expected Final Maturity 12/25/2021 7/25/2018 1/25/2016
Window 37 - 210 40 - 169 43 - 139
------------------------------------------------------------------------------------------------------------------------
M-2 WAL 6.91 5.58 4.82
First Payment Date 7/25/2007 8/25/2007 10/25/2007
Expected Final Maturity 6/25/2020 4/25/2017 1/25/2015
Window 37 - 192 38 - 154 40 - 127
------------------------------------------------------------------------------------------------------------------------
M-3 WAL 6.81 5.48 4.68
First Payment Date 7/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 6/25/2018 8/25/2015 8/25/2013
Window 37 - 168 38 - 134 39 - 110
------------------------------------------------------------------------------------------------------------------------
B-1 WAL 6.72 5.40 4.60
First Payment Date 7/25/2007 7/25/2007 8/25/2007
Expected Final Maturity 6/25/2017 10/25/2014 12/25/2012
Window 37 - 156 37 - 124 38 - 102
------------------------------------------------------------------------------------------------------------------------
B-2 WAL 6.60 5.29 4.50
First Payment Date 7/25/2007 7/25/2007 8/25/2007
Expected Final Maturity 6/25/2016 1/25/2014 4/25/2012
Window 37 - 144 37 - 115 38 - 94
------------------------------------------------------------------------------------------------------------------------
B-3 WAL 6.34 5.08 4.31
First Payment Date 7/25/2007 7/25/2007 7/25/2007
Expected Final Maturity 3/25/2015 12/25/2012 6/25/2011
Window 37 - 129 37 - 102 37 - 84
------------------------------------------------------------------------------------------------------------------------
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 17
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 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 Actual/360 Actual/360
0 -- -- -- -- -- -- --
1 11.24 11.24 11.24 10.25 10.25 10.25 10.25 10.25 10.25
2 10.01 10.01 10.01 9.04 9.04 9.04 9.04 9.04 9.04
3 10.03 10.03 10.03 9.05 9.05 9.05 9.05 9.05 9.05
4 10.26 10.26 10.26 9.27 9.27 9.27 9.27 9.27 9.27
5 10.05 10.05 10.05 9.06 9.06 9.06 9.06 9.06 9.06
6 10.27 10.27 10.27 9.27 9.27 9.27 9.27 9.27 9.27
7 10.06 10.06 10.06 9.06 9.06 9.06 9.06 9.06 9.06
8 10.07 10.07 10.07 9.06 9.06 9.06 9.06 9.06 9.06
9 10.78 10.78 10.78 9.74 9.74 9.74 9.74 9.74 9.74
10 10.08 10.08 10.08 9.06 9.06 9.06 9.06 9.06 9.06
11 10.30 10.30 10.30 9.27 9.27 9.27 9.27 9.27 9.27
12 10.09 10.09 10.09 9.06 9.06 9.06 9.06 9.06 9.06
13 10.32 10.32 10.32 9.27 9.27 9.27 9.27 9.27 9.27
14 10.10 10.10 10.10 9.06 9.06 9.06 9.06 9.06 9.06
15 10.11 10.11 10.11 9.06 9.06 9.06 9.06 9.06 9.06
16 10.34 10.34 10.34 9.27 9.27 9.27 9.27 9.27 9.27
17 10.13 10.13 10.13 9.06 9.06 9.06 9.06 9.06 9.06
18 10.36 10.36 10.36 9.27 9.27 9.27 9.27 9.27 9.27
19 10.15 10.15 10.15 9.06 9.06 9.06 9.06 9.06 9.06
20 10.16 10.16 10.16 9.06 9.06 9.06 9.06 9.06 9.06
21 10.89 10.89 10.89 9.75 9.75 9.75 9.75 9.75 9.75
22 10.53 10.53 10.53 9.52 9.52 9.52 9.52 9.52 9.52
23 10.81 10.81 10.81 9.77 9.77 9.77 9.77 9.77 9.77
24 10.56 10.56 10.56 9.52 9.52 9.52 9.52 9.52 9.52
25 10.83 10.83 10.83 9.77 9.77 9.77 9.77 9.77 9.77
26 10.59 10.59 10.59 9.52 9.52 9.52 9.52 9.52 9.52
27 10.61 10.61 10.61 9.52 9.52 9.52 9.52 9.52 9.52
28 10.51 10.51 10.51 10.16 10.16 10.16 10.16 10.16 10.16
29 10.24 10.24 10.24 9.88 9.88 9.88 9.88 9.88 9.88
30 10.55 10.55 10.55 10.16 10.16 10.16 10.16 10.16 10.16
31 10.28 10.28 10.28 9.88 9.88 9.88 9.88 9.88 9.88
32 10.31 10.31 10.31 9.89 9.89 9.89 9.89 9.89 9.89
33 11.43 11.43 11.43 10.91 10.91 10.91 10.91 10.91 10.91
34 10.68 10.68 10.68 10.19 10.19 10.19 10.19 10.19 10.19
35 11.03 11.03 11.03 10.50 10.50 10.50 10.50 10.50 10.50
36 10.74 10.74 10.74 10.19 10.19 10.19 10.19 10.19 10.19
37 25.74 25.74 25.74 10.49 10.49 10.49 10.49 10.49 10.49
38 11.54 11.54 11.54 10.19 10.19 10.19 10.19 10.19 10.19
39 11.61 11.61 11.61 10.30 10.30 10.30 10.29 10.29 10.29
40 12.66 12.66 12.66 10.55 10.55 10.55 10.55 10.55 10.55
41 12.19 12.19 12.19 10.22 10.22 10.22 10.22 10.22 10.22
42 12.58 12.58 12.58 10.55 10.55 10.55 10.55 10.55 10.55
43 12.18 12.18 12.18 10.21 10.21 10.21 10.21 10.21 10.21
44 12.18 12.18 12.18 10.22 10.22 10.22 10.22 10.22 10.22
45 13.16 13.16 13.16 10.76 10.76 10.76 10.76 10.76 10.76
46 12.64 12.64 12.64 10.40 10.40 10.40 10.40 10.40 10.40
47 13.06 13.06 13.06 10.74 10.74 10.74 10.74 10.74 10.74
(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%
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 18
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 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 Actual/360 Actual/360
48 12.64 -- 12.64 10.39 10.39 10.39 10.39 10.39 10.39
49 13.06 -- 13.06 10.74 10.74 10.74 10.74 10.74 10.74
50 12.64 -- 12.64 10.39 10.39 10.39 10.39 10.39 10.39
51 12.76 -- 12.76 10.49 10.49 10.49 10.49 10.49 10.49
52 13.20 -- 13.20 10.85 10.85 10.85 10.85 10.85 10.85
53 12.77 -- 12.77 10.50 10.50 10.50 10.50 10.50 10.50
54 13.20 -- 13.20 10.85 10.85 10.85 10.85 10.85 10.85
55 12.77 -- 12.77 10.50 10.50 10.50 10.50 10.50 10.50
56 12.77 -- 12.77 10.50 10.50 10.50 10.50 10.50 10.50
57 14.23 -- 14.23 11.69 11.69 11.69 11.69 11.69 11.69
58 12.97 -- 12.97 10.63 10.63 10.63 10.63 10.63 10.63
59 13.40 -- 13.40 10.98 10.98 10.98 10.98 10.98 10.98
60 12.97 -- 12.97 10.63 10.63 10.63 10.63 10.63 10.63
61 13.40 -- 13.40 10.98 10.98 10.98 10.98 10.98 10.98
62 12.97 -- 12.97 10.63 10.63 10.63 10.63 10.63 10.63
63 12.97 -- 12.97 10.63 10.63 10.63 10.63 10.63 10.63
64 13.40 -- 13.40 10.98 10.98 10.98 10.98 10.98 10.98
65 12.96 -- 12.96 10.62 10.62 10.62 10.62 10.62 10.62
66 13.40 -- 13.40 10.98 10.98 10.98 10.98 10.98 10.98
67 12.96 -- 12.96 10.62 10.62 10.62 10.62 10.62 10.62
68 12.96 -- 12.96 10.62 10.62 10.62 10.62 10.62 10.62
69 14.35 -- 14.35 11.76 11.76 11.76 11.76 11.76 11.76
70 12.96 -- 12.96 10.62 10.62 10.62 10.62 10.62 10.62
71 13.39 -- 13.39 10.97 10.97 10.97 10.97 10.97 10.97
72 12.96 -- 12.96 10.61 10.61 10.61 10.61 10.61 10.61
73 13.39 -- 13.39 10.97 10.97 10.97 10.97 10.97 10.97
74 12.96 -- 12.96 10.61 10.61 10.61 10.61 10.61 10.61
75 12.96 -- 12.96 10.61 10.61 10.61 10.61 10.61 10.61
76 13.39 -- 13.39 10.96 10.96 10.96 10.96 10.96 10.96
77 12.96 -- 12.96 10.61 10.61 10.61 10.61 10.61 10.61
78 13.39 -- 13.39 10.96 10.96 10.96 10.96 10.96 10.96
79 12.96 -- 12.96 10.61 10.61 10.61 10.61 10.61 10.61
80 12.95 -- 12.95 10.61 10.61 10.61 10.61 10.61 10.61
81 14.34 -- 14.34 11.74 11.74 11.74 11.74 11.74 11.74
82 12.95 -- 12.95 10.60 10.60 10.60 10.60 10.60 10.60
83 13.39 -- 13.39 10.96 10.96 10.96 10.96 10.96 10.96
84 12.95 -- 12.95 10.60 10.60 10.60 10.60 10.60 10.60
85 13.38 -- 13.38 10.95 10.95 10.95 10.95 10.95 10.95
86 12.95 -- 12.95 10.60 10.60 10.60 10.60 10.60 10.60
87 12.95 -- 12.95 10.60 10.60 10.60 10.60 10.60 10.60
88 12.22 -- 12.22 10.95 10.95 10.95 10.95 10.95 10.95
89 11.16 -- 11.16 10.60 10.60 10.60 10.60 10.60 10.60
90 11.55 -- 11.55 10.95 10.95 10.95 10.95 10.95 10.95
91 11.19 -- 11.19 10.59 10.59 10.59 10.59 10.59 10.59
92 11.21 -- 11.21 10.59 10.59 10.59 10.59 10.59 10.59
93 12.00 -- 12.00 11.32 11.32 11.32 11.32 11.32 11.32
94 11.25 -- 11.25 10.59 10.59 10.59 10.59 10.59 10.59
95 11.64 -- 11.64 10.94 10.94 10.94 10.94 10.94 10.94
(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%
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 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 Actual/360 Actual/360
96 11.28 -- 11.28 10.59 10.59 10.59 10.59 10.59 10.59
97 11.68 -- 11.68 10.94 10.94 10.94 10.94 10.94 10.94
98 11.32 -- 11.32 10.59 10.59 10.59 10.59 10.59 10.59
99 11.34 -- 11.34 10.59 10.59 10.59 10.59 10.59 10.59
100 11.74 -- 11.74 10.94 10.94 10.94 10.94 10.94 10.94
101 11.39 -- 11.39 10.59 10.59 10.59 10.59 10.59 10.59
102 11.79 -- 11.79 10.94 10.94 10.94 10.94 10.94 10.94
103 11.43 -- 11.43 10.58 10.58 10.58 10.58 10.58 10.58
104 11.45 -- 11.45 10.58 10.58 10.58 10.58 10.58 10.58
105 12.71 -- 12.71 11.72 11.72 11.72 11.72 11.72 11.72
106 11.50 -- 11.50 10.58 10.58 10.58 10.58 10.58 10.58
107 11.91 -- 11.91 10.93 10.93 10.93 10.93 10.93 10.93
108 11.55 -- 11.55 10.58 10.58 10.58 10.58 10.58 10.58
109 11.97 -- 11.97 10.93 10.93 10.93 10.93 10.93 --
110 11.61 -- 11.61 10.58 10.58 10.58 10.58 10.58 --
111 11.64 -- 11.64 10.58 10.58 10.58 10.58 10.58 --
112 12.05 -- 12.05 10.93 10.93 10.93 10.93 10.93 --
113 11.69 -- 11.69 10.58 10.58 10.58 10.58 10.58 --
114 12.12 -- 12.12 10.93 10.93 10.93 10.93 10.93 --
115 11.76 -- 11.76 10.58 10.58 10.58 10.58 10.58 --
116 11.79 -- 11.79 10.57 10.57 10.57 10.57 10.57 --
117 13.09 -- 13.09 11.71 11.71 11.71 11.71 11.71 --
118 11.85 -- 11.85 10.57 10.57 10.57 10.57 10.57 --
119 12.29 -- 12.29 10.93 10.93 10.93 10.93 10.93 --
120 11.92 -- 11.92 10.57 10.57 10.57 10.57 10.57 --
121 12.36 -- 12.36 10.92 10.92 10.92 10.92 10.92 --
122 12.00 -- 12.00 10.57 10.57 10.57 10.57 -- --
123 12.04 -- 12.04 10.57 10.57 10.57 10.57 -- --
124 12.48 -- 12.48 10.92 10.92 10.92 10.92 -- --
125 12.12 -- 12.12 10.57 10.57 10.57 10.57 -- --
126 12.56 -- 12.56 10.92 10.92 10.92 10.92 -- --
127 12.20 -- 12.20 10.57 10.57 10.57 10.57 -- --
128 12.24 -- 12.24 10.57 10.57 10.57 10.57 -- --
129 13.61 -- 13.61 11.70 11.70 11.70 11.70 -- --
130 12.33 -- 12.33 10.57 10.57 10.57 10.57 -- --
131 12.79 -- 12.79 10.92 10.92 10.92 10.92 -- --
132 12.43 -- 12.43 10.57 10.57 10.57 -- -- --
133 12.90 -- 12.90 10.92 10.92 10.92 -- -- --
134 12.53 -- 12.53 10.57 10.57 10.57 -- -- --
135 12.58 -- 12.58 10.57 10.57 10.57 -- -- --
136 13.06 -- 13.06 10.92 10.92 10.92 -- -- --
137 12.69 -- 12.69 10.56 10.56 10.56 -- -- --
138 13.17 -- 13.17 10.92 10.92 10.92 -- -- --
139 12.81 -- 12.81 10.56 10.56 10.56 -- -- --
140 12.87 -- 12.87 10.56 10.56 10.56 -- -- --
141 13.82 -- 13.82 11.29 11.29 11.29 -- -- --
142 12.99 -- 12.99 10.56 10.56 10.56 -- -- --
143 13.49 -- 13.49 10.92 10.92 -- -- -- --
(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%
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 20
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 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 Actual/360 Actual/360
144 13.12 -- 13.12 10.56 10.56 -- -- -- --
145 13.63 -- 13.63 10.92 10.92 -- -- -- --
146 13.26 -- 13.26 10.56 10.56 -- -- -- --
147 13.33 -- 13.33 10.56 10.56 -- -- -- --
148 13.85 -- 13.85 10.92 10.92 -- -- -- --
149 13.48 -- 13.48 10.56 10.56 -- -- -- --
150 14.01 -- 14.01 10.92 10.92 -- -- -- --
151 13.64 -- 13.64 10.56 10.56 -- -- -- --
152 13.72 -- 13.72 10.56 10.56 -- -- -- --
153 15.28 -- 15.28 11.69 11.69 -- -- -- --
154 13.89 -- 13.89 10.56 10.56 -- -- -- --
155 14.45 -- 14.45 10.92 10.92 -- -- -- --
156 14.07 -- 14.07 10.56 10.56 -- -- -- --
157 14.64 -- 14.64 10.92 10.92 -- -- -- --
158 14.26 -- 14.26 10.56 10.56 -- -- -- --
159 14.36 -- 14.36 10.56 10.56 -- -- -- --
160 14.94 -- 14.94 10.92 10.92 -- -- -- --
161 14.57 -- 14.57 10.56 10.56 -- -- -- --
162 15.16 -- 15.16 10.92 10.92 -- -- -- --
163 14.78 -- 14.78 10.57 10.57 -- -- -- --
164 14.89 -- 14.89 10.57 -- -- -- -- --
165 16.62 -- 16.62 11.70 -- -- -- -- --
166 15.13 -- 15.13 10.57 -- -- -- -- --
167 15.76 -- 15.76 10.92 -- -- -- -- --
168 15.38 -- 15.38 10.57 -- -- -- -- --
169 16.02 -- 16.02 10.92 -- -- -- -- --
170 15.64 -- 15.64 10.57 -- -- -- -- --
171 15.77 -- 15.77 10.57 -- -- -- -- --
172 16.44 -- 16.44 10.92 -- -- -- -- --
173 16.06 -- 16.06 10.57 -- -- -- -- --
174 16.74 -- 16.74 10.92 -- -- -- -- --
175 16.36 -- 16.36 10.57 -- -- -- -- --
176 16.51 -- 16.51 10.57 -- -- -- -- --
177 18.46 -- 18.46 11.71 -- -- -- -- --
178 16.84 -- 16.84 10.57 -- -- -- -- --
179 17.61 -- 17.61 -- -- -- -- -- --
180 17.32 -- 17.32 -- -- -- -- -- --
181 18.21 -- 18.21 -- -- -- -- -- --
182 17.94 -- 17.94 -- -- -- -- -- --
183 18.28 -- 18.28 -- -- -- -- -- --
184 19.26 -- 19.26 -- -- -- -- -- --
185 19.03 -- 19.03 -- -- -- -- -- --
186 20.09 -- 20.09 -- -- -- -- -- --
187 19.88 -- 19.88 -- -- -- -- -- --
188 20.36 -- 20.36 -- -- -- -- -- --
189 22.32 -- 22.32 -- -- -- -- -- --
190 21.43 -- 21.43 -- -- -- -- -- --
191 22.77 -- 22.77 -- -- -- -- -- --
(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%
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 21
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 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 Actual/360 Actual/360
192 22.70 -- 22.70 -- -- -- -- -- --
193 24.19 -- 24.19 -- -- -- -- -- --
194 24.20 -- 24.20 -- -- -- -- -- --
195 25.06 -- 25.06 -- -- -- -- -- --
196 26.88 -- 26.88 -- -- -- -- -- --
197 27.08 -- 27.08 -- -- -- -- -- --
198 29.20 -- 29.20 -- -- -- -- -- --
199 29.59 -- 29.59 -- -- -- -- -- --
200 31.09 -- 31.09 -- -- -- -- -- --
201 36.31 -- 36.31 -- -- -- -- -- --
202 34.76 -- 34.76 -- -- -- -- -- --
203 38.27 -- 38.27 -- -- -- -- -- --
204 39.71 -- 39.71 -- -- -- -- -- --
205 44.33 -- 44.33 -- -- -- -- -- --
206 46.75 -- 46.75 -- -- -- -- -- --
207 51.50 -- 51.50 -- -- -- -- -- --
208 59.43 -- 59.43 -- -- -- -- -- --
209 65.34 -- 65.34 -- -- -- -- -- --
210 78.49 -- 78.49 -- -- -- -- -- --
211 91.21 -- 91.21 -- -- -- -- -- --
212 114.95 -- 114.95 -- -- -- -- -- --
213 173.81 -- 173.81 -- -- -- -- -- --
214 251.68 -- 251.68 -- -- -- -- -- --
215 * -- * -- -- -- -- -- --
216 -- -- -- -- -- -- -- -- --
* In Period 215 the Class A-2 has a balance of $32,504.65 and is paid $40,179.37
in interest, and the Class A-4 has a balance of $84,050.09 and is paid
$103,895.28 in interest
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 22
Interest Rate Cap Schedules
Group II Class A Cap Class M Cap
------------------------------------------- -------------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 537,868,000.00 6.25 9.75 190,895,000.00 5.40 8.10
2 525,515,849.03 6.25 9.75 190,895,000.00 5.40 8.10
3 513,144,843.59 6.25 9.75 190,895,000.00 5.40 8.10
4 500,750,623.78 6.25 9.75 190,895,000.00 5.40 8.10
5 488,329,974.09 6.25 9.75 190,895,000.00 5.40 8.10
6 475,880,970.84 6.25 9.75 190,895,000.00 5.40 8.10
7 463,402,981.81 6.25 9.75 190,895,000.00 5.40 8.10
8 450,896,658.76 6.25 9.75 190,895,000.00 5.40 8.10
9 438,363,922.53 6.25 9.75 190,895,000.00 5.40 8.10
10 425,807,940.63 6.25 9.75 190,895,000.00 5.40 8.10
11 413,233,097.16 6.25 9.75 190,895,000.00 5.40 8.10
12 400,646,735.53 6.25 9.75 190,895,000.00 5.40 8.10
13 388,073,448.05 6.25 9.75 190,895,000.00 5.40 8.10
14 375,797,353.10 6.25 9.75 190,895,000.00 5.40 8.10
15 363,811,468.61 6.25 9.75 190,895,000.00 5.40 8.10
16 352,108,975.92 6.25 9.75 190,895,000.00 5.40 8.10
17 340,683,215.96 6.25 9.75 190,895,000.00 5.40 8.10
18 329,527,685.55 6.25 9.75 190,895,000.00 5.40 8.10
19 318,636,033.74 6.25 9.75 190,895,000.00 5.40 8.10
20 308,002,058.26 6.25 9.75 190,895,000.00 5.40 8.10
21 297,619,723.11 6.25 10.25 190,895,000.00 5.40 8.10
22 287,483,106.44 7.55 10.25 190,895,000.00 6.60 8.55
23 277,594,839.42 7.55 10.25 190,895,000.00 6.60 8.55
24 267,940,461.76 7.55 10.25 190,895,000.00 6.60 8.55
25 258,514,477.79 7.55 10.25 190,895,000.00 6.60 8.55
26 249,311,520.45 7.55 10.25 190,895,000.00 6.60 8.55
27 240,326,348.28 7.55 10.25 190,895,000.00 6.60 8.55
28 231,553,842.48 8.40 10.00 190,895,000.00 7.35 8.95
29 222,989,013.25 8.40 10.00 190,895,000.00 7.35 8.95
30 214,626,969.00 8.40 10.00 190,895,000.00 7.35 8.95
31 206,462,942.05 8.40 10.00 190,895,000.00 7.35 8.95
32 198,492,297.53 8.40 10.00 190,895,000.00 7.35 8.95
33 190,710,489.61 8.40 10.00 190,895,000.00 7.35 8.95
34 183,114,950.98 9.35 10.40 190,895,000.00 8.20 9.25
35 175,699,108.17 9.35 10.40 190,895,000.00 8.20 9.25
36 168,458,991.00 9.35 10.40 190,895,000.00 8.20 9.25
37 -- -- -- 190,895,000.00 8.20 9.25
38 -- -- -- 189,313,572.45 8.20 9.25
39 -- -- -- 176,422,411.64 8.20 9.25
40 -- -- -- 163,838,195.26 9.00 9.25
41 -- -- -- 151,553,671.34 9.00 9.25
42 -- -- -- 145,257,391.33 9.00 9.25
43 -- -- -- 141,752,135.72 9.00 9.25
44 -- -- -- 138,330,405.69 9.00 9.25
45 -- -- -- -- -- --
Class B Cap
------------------------------------------
Period
1 Balance ($) Strike % Ceiling %
2 54,027,000.00 3.70 6.40
3 54,027,000.00 3.70 6.40
4 54,027,000.00 3.70 6.40
5 54,027,000.00 3.70 6.40
6 54,027,000.00 3.70 6.40
7 54,027,000.00 3.70 6.40
8 54,027,000.00 3.70 6.40
9 54,027,000.00 3.70 6.40
10 54,027,000.00 3.70 6.40
11 54,027,000.00 3.70 6.40
12 54,027,000.00 3.70 6.40
13 54,027,000.00 3.70 6.40
14 54,027,000.00 3.70 6.40
15 54,027,000.00 3.70 6.40
16 54,027,000.00 3.70 6.40
17 54,027,000.00 3.70 6.40
18 54,027,000.00 3.70 6.40
19 54,027,000.00 3.70 6.40
20 54,027,000.00 3.70 6.40
21 54,027,000.00 3.70 6.40
22 54,027,000.00 3.70 6.40
23 54,027,000.00 4.90 6.85
24 54,027,000.00 4.90 6.85
25 54,027,000.00 4.90 6.85
26 54,027,000.00 4.90 6.85
27 54,027,000.00 4.90 6.85
28 54,027,000.00 4.90 6.85
29 54,027,000.00 5.65 7.25
30 54,027,000.00 5.65 7.25
31 54,027,000.00 5.65 7.25
32 54,027,000.00 5.65 7.25
33 54,027,000.00 5.65 7.25
34 54,027,000.00 5.65 7.25
35 54,027,000.00 6.50 7.55
36 54,027,000.00 6.50 7.55
37 54,027,000.00 6.50 7.55
38 54,027,000.00 6.50 7.55
39 45,326,937.90 6.50 7.55
40 44,234,463.03 6.50 7.55
41 43,168,000.53 7.30 7.55
42 42,126,935.76 7.30 7.55
43 41,110,668.60 7.30 7.55
44 40,118,613.03 7.30 7.55
45 39,150,196.86 7.30 7.55
-- -- --
The information herein 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 trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 23
