▇▇▇▇▇▇ BROTHERS
$270,574,004
(APPROXIMATE)
SASCO 2002-10H
AURORA LOAN SERVICES, MASTER SERVICER
LASALLE BANK, TRUSTEE
---------------------------------------------------------------------------------------------------------------------------
Original WAL at Payment
Approx. Fixed Principal Pricing (2) Window Enhancement Ratings
Class Size Coupon Type (To Maturity) (To Maturity) Percentage Fitch / S&P
---------------------------------------------------------------------------------------------------------------------------
1A $239,672,000 7.00% Senior PT 3.29 06/02-11/31 2.75% AAA / AAA
1AP $ 4,821,708 0.00% Ratio Strip PO 3.35 06/02-11/31 2.75% AAA / AAA
1AX $ 6,262,133 7.00% Senior IO 3.36 06/02-11/31 2.75% AAA / AAA
---------------------------------------------------------------------------------------------------------------------------
2A $ 19,232,000 7.00% Senior PT 3.29 06/02-12/31 2.75% AAA / AAA
2AP $ 334,196 0.00% Ratio Strip PO 3.35 06/02-12/31 2.75% AAA / AAA
2AX $ 506,939 7.00% Senior IO 3.37 06/02-12/31 2.75% AAA / AAA
---------------------------------------------------------------------------------------------------------------------------
B1 $ 4,072,000 7.00% Subordinate 5.89 06/02-11/31 1.25% AA / None
B2 $ 1,764,000 7.00% Subordinate 5.89 06/02-11/31 0.60% A / None
B3 $ 678,000 7.00% Subordinate 5.89 06/02-11/31 0.35% BBB / None
B4 $ 407,000 7.00% Subordinate 5.89 06/02-11/31 0.20% BB / None
B5 $ 271,000 7.00% Subordinate 5.89 06/02-11/31 0.10% B / None
B6 $ 275,541 7.00% Subordinate 5.89 06/02-11/31 N/A None / None
---------------------------------------------------------------------------------------------------------------------------
R $ 100 7.00% Residual 0.07 06/02-06/02 2.75% AAA / AAA
---------------------------------------------------------------------------------------------------------------------------
(1) Classes B1, B2, B3, B4, B5 and B6 are Subordinate Certificates.
(2) Pricing speed is 25% CPR.
COLLATERAL SUMMARY:
-------------------
TOTAL NUMBER OF LOANS 1,956
TOTAL OUTSTANDING LOAN BALANCE $ 271,527,546
AVERAGE LOAN PRINCIPAL BALANCE $ 138,817
FIXED RATE 100.0%
WEIGHTED AVERAGE COUPON 7.6%
WEIGHTED AVERAGE ORIGINAL TERM (MO.) 359.4
WEIGHTED AVERAGE REMAINING TERM (MO.) 354.2
WEIGHTED AVERAGE LOAN AGE (MO.) 5.2
WEIGHTED AVERAGE ORIGINAL LTV 101.6%
NON-ZERO WEIGHTED AVERAGE FICO 736
NON-ZERO WEIGHTED AVERAGE DTI 34.0%
PROPERTY TYPE
Single Family 78.0%
Planned Unit Development 15.7%
Condo 6.1%
Townhouse 0.3%
DOCUMENTATION TYPE
Full Documentation 99.8%
Alternate Documentation 0.2%
PMI, CLTV > 80% 100.0%
GEOGRAPHIC DISTRIBUTION
(Other states account individually for less than
5% of the Cut-off Date principal balance)
NC 9.0%
CA 8.6%
TX 6.3%
FL 5.0%
OCCUPANCY STATUS
Primary Home 100.0%
LOAN PURPOSE
Purchase 98.2%
Rate/Term Refinance 1.2%
Cash Out Refinance 0.6%
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell an d
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
1
▇▇▇▇▇▇ BROTHERS
Deal Overview:
--------------
o The collateral pool is comprised of two groups of fixed rate, first lien,
fully amortizing mortgage loans.
o Collateral Group 1 is composed of loans which conform to the underwriting
guidelines of ▇▇▇▇▇▇ ▇▇▇ and Freddie Mac.
o Collateral Group 2 is composed of loans which do not conform to the
underwriting guidelines of ▇▇▇▇▇▇ ▇▇▇ and Freddie Mac.
o The trust will issue 13 classes of Certificates: 10 classes will be
publicly offered and 3 classes will be privately offered (Classes B4, B5
and B6 will be offered privately).
o Classes 1AP and 2AP are Principal-Only Certificates. They will receive no
payments of interest.
o Classes 1AX and 2AX are Interest-Only Certificates. They will receive no
payments of principal.
o The trust will issue 6 classes of Subordinate Certificates. Losses from
the both collateral groups will be applied to the Subordinate
Certificates in reverse order of priority.
o The servicer maintains a 5% CLEAN UP CALL on the collateral.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell an d
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
2
▇▇▇▇▇▇ BROTHERS
Specific Terms of the Offering:
-------------------------------
Cut-Off Date: May 1, 2002
Expected Settlement Date: May 29, 2002
Distribution Dates: 25th of each month, or the next business day after the 25th day of the month if the
25th is not a business day, beginning on June 25, 2002.
Issuer: Structured Asset Securities Corp. ("SASCO")
Master Servicer: Aurora Loan Services ("ALS")
Servicers: ALS, Bank of America, Cendant, Commercial Federal, Countrywide, GreenPoint, GMAC,
Washington Mutual, ▇▇▇▇▇ Fargo
Trustee: LaSalle Bank
Rating Agencies: S&P: AAA certificates only
Fitch: All certificates
Day Count: 30/360
Delay Days: 24 Day Delay: All Classes.
Registration: Book-entry form through DTC
SMMEA Eligibility: The Senior Certificates and the Class B1 Certificates will be SMMEA eligible.
ERISA Eligibility: The Senior Certificates (with the exception of the Class R) will be ERISA
eligible.
Tax Status: REMIC for Federal income tax purposes.
5% Optional Termination: The transaction may be called by the Servicer when the aggregate outstanding
mortgage balance is less than 5% of the Cut-Off Date collateral loan balance.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell an d
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
3
▇▇▇▇▇▇ BROTHERS
Terms of the Offering -Interest Rates:
--------------------------------------
Interest Rates: CLASS 1A is a senior certificate and will accrue interest at a rate of 7.00%.
CLASS 1AP is a principal-only certificate. It will not be entitled to payments of interest.
CLASS 2A is a senior certificate and will accrue interest at a rate of 7.00%.
CLASS 2AP is a principal-only certificate. It will not be entitled to payments of interest.
CLASS 1AX is an interest-only certificate. They will accrue interest at a fixed rate of
7.00%. The notional balance of the Class will be equal to (1) the product of (a) the
weighted average of the Net Mortgage Rates of the Collateral Group 1 Non-Discount loans
at the beginning of the related Due Period minus 7.00% and (b) the principal balance of
the Collateral Group 1 Non-Discount loans at the beginning of the related Due Period
divided by (2) 7.00%
CLASS 2AX is an interest-only certificate. They will accrue interest at a fixed rate of
7.00%. The notional balance of the Class will be equal to (1) the product of (a) the
weighted average of the Net Mortgage Rates of the Collateral Group 2 Non-Discount loans
at the beginning of the related Due Period minus 7.00% and (b) the principal balance of
the Collateral Group 2 Non-Discount loans at the beginning of the related Due Period
divided by (2) 7.00%
CLASSES B1, B2, B3, B4, B5 and B6 will accrue interest at a rate of 7.00%.
Credit Enhancement: Subordination of the lower rated classes.
Loss Allocation: Losses allocable to both collateral groups will be applied reverse sequentially as
follows: B6, B5, B4, B3, B2 and then B1. The allocation of losses to a class will
result in a writedown of its principal amount and is referred to as an "Applied
Loss Amount".
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell an d
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
4
▇▇▇▇▇▇ BROTHERS
TERMS OF THE OFFERING - DISTRIBUTION OF PRINCIPAL:
--------------------------------------------------
Senior Principal
Prepayment Shift %:
---------------- --------------------------
Period Senior Principal
Prepayment Shift %
---------------- --------------------------
1-60 100%*
61-72 70%
73-84 60%
85-96 40%
97-108 20%
109 + 0%
---------------- --------------------------
*Shifting Interest Structure Not withstanding the Senior Principal
with 5-year lockout Prepayment Shift %, if the Total
Subordinate Percentage more than doubles
based on the initial cut-off date Total
Subordinate Percentage during the first 36
months of the transaction, the senior
certificates will be entitled to 50% of the
Group Subordinate bonds percentage of
prepayments, subject to cumulative loss and
delinquency tests. After month 36, if the
Total Subordinate Percentage more than
doubles based on the initial Total
Subordinate Percentage of as of the cut-off
date, the senior certificates will only be
entitled to prepayments based on the Group
Senior percentage, subject to cumulative
loss and delinquency tests.
Subordinate Certificates For any Class of Subordinate Certificates,
Lockout of Prepayments other than the B6, on any distribution date
and Recoveries: for which the credit support percentage of
that Class is less than its original credit
support percentage, no distributions of
prepayments or recoveries allocable to
principal will be made to any Class of lower
priority than it. The amount otherwise
distributable to such classes of lower
priority shall be allocated pro rata among
the remaining Classes of Subordinate
Certificates.
Credit Support Percentage: For any Class of Certificates, on any
distribution date, the sum of the Class
Percentages of each Class of lower priority
(before applying distributions for that
date).
Class Percentage: For any Class of Certificates, on any
distribution date, the percentage equivalent
of a fraction, the numerator of which is the
outstanding balance of that Class,
immediately prior to that distribution date
and the denominator of which is the
aggregate class principal amount of all
Classes of Certificates immediately prior to
that date.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell an d
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
5
▇▇▇▇▇▇ BROTHERS
Terms of the Offering - Distribution of Principal (cont.):
----------------------------------------------------------
Group Senior Percentage: For each Collateral Group, on any
distribution date, the percentage equivalent
of a fraction, the numerator of which is the
sum of the class principal amounts of each
class of senior certificates (excluding the
respective AX and AP Certificates) and the
denominator of which is the related Non-AP
balance of the Collateral Group for the
immediately preceding distribution date.
Group Subordinate Percentage: For each Collateral Group, on any
distribution date, one minus its Senior
Percentage.
Total Subordinate Percentage: On any distribution
date, the percentage equivalent of a
fraction, the numerator of which is the sum
of the class principal amounts of each class
of Subordinate Certificates and the
denominator of which is the Non-PO balance
of the Collateral for the immediately
preceding distribution date.
Group Senior Prepayment For each Collateral Group, on any
Percentage: distribution date, the sum of
(1) the Group Senior Percentage and (2) the
product of (a) the Senior Principal
Prepayment Shift Percentage for that
distribution date multiplied by (b) the
related Group Subordinate Percentage for
that distribution date.
Group Subordinate For each Collateral Group, on any
Prepayment Percentage: distribution date, one minus its Group
Senior Prepayment Percentage.
Group AP Percentage: For each Collateral Group, on any
distribution date, the percentage equivalent
of a fraction, the numerator of which is
7.00% minus the Net Mortgage Rate for the
discount mortgage loans from each respective
Collateral Group and the denominator of
which is 7.00%.
Group AP Principal For each Collateral Group, on any
Distribution Amount: distribution date, the sum of (1) the
related Group AP Percentage of scheduled
principal collections and (2) the related
Group AP Percentage of unscheduled principal
collections.
Group Senior Principal For each Collateral Group, on any
Distribution Amount: distribution date, the sum of (1) the
product of (a) the related Group Senior
Percentage and (b) the related non-AP
portion of scheduled principal collections
and (2) the product of (a) the related
Senior Prepayment Percentage and (b) the
related non-AP portion of unscheduled
principal collections.
Group Subordinate Principal For each Collateral Group, on any
Distribution Amount: distribution date, the sum of (1) the
product of (a) the related Group
Subordinate Percentage and (b) the non-AP
portion of scheduled principal collections;
and (2) the product of (a) the related
Subordinate Prepayment Percentage and (b)
the non-AP portion of unscheduled principal
collections.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell an d
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
6
Terms of the Offering - Distribution of Principal (cont.):
----------------------------------------------------------
Group 1 Payment Priorities: For Collateral Group 1, on any distribution date,
- The Senior Principal Distribution Amount will be paid sequentially to the R
Certificate and the 1A Certificate, in that order, until reduced to zero.
- The Group 1 AP Principal Distribution Amount will be allocated to the 1AP
Certificate until it is reduced to zero.
Group 2 Payment Priorities: For Collateral Group 2, on any distribution date,
- The Senior Principal Distribution Amount will be paid first to the 2A
Certificate, until it is reduced to zero.
- The Group 2 AP Principal Distribution Amount will be allocated to the 2AP
Certificate until it is reduced to zero.
Subordinate Class Payment Priorities:
- The Group 1 and Group 2 Subordinate Principal Distribution Amount will be
allocated to the B1, B2, B3, B4, B5 and B6 Certificates on a pro-rata basis
until they are reduced to zero
Prepayment Sensitivity:
---------------------------------------------------------------------------------------------------------------------------
0 CPR 12.5 CPR 25 CPR 37.5 CPR 50 CPR
------------------------------------------------------------------------------------------------------------------
Payment Payment Payment Payment Payment
WAL Window WAL Window WAL Window WAL Window WAL Window
Class (yrs.) (To Mat.) (yrs.) (To Mat.) (yrs.) (To Mat.) (yrs.) (To Mat.) (yrs.) (To Mat.)
---------------------------------------------------------------------------------------------------------------------------
1A 19.89 06/02-11/31 6.44 06/02-11/31 3.29 06/02-11/31 2.05 06/02-11/31 1.40 06/02-11/31
1AP 19.64 06/02-11/31 6.52 06/02-11/31 3.35 06/02-11/31 2.11 06/02-11/31 1.45 06/02-11/31
1AX 20.04 06/02-11/31 6.58 06/02-11/31 3.36 06/02-11/31 2.11 06/02-11/31 1.45 06/02-11/31
2A 19.98 06/02-12/31 6.45 06/02-12/31 3.29 06/02-12/31 2.05 06/02-12/31 1.40 06/02-12/31
2AP 19.67 06/02-12/31 6.52 06/02-12/31 3.35 06/02-12/31 2.11 06/02-12/31 1.45 06/02-12/31
2AX 20.17 06/02-12/31 6.60 06/02-12/31 3.37 06/02-12/31 2.11 06/02-12/31 1.45 06/02-12/31
B1 19.89 06/02-11/31 10.86 06/02-11/31 5.89 06/02-11/31 4.17 06/02-11/31 3.20 06/02-11/31
B2 19.89 06/02-11/31 10.86 06/02-11/31 5.89 06/02-11/31 4.17 06/02-11/31 3.20 06/02-11/31
B3 19.89 06/02-11/31 10.86 06/02-11/31 5.89 06/02-11/31 4.17 06/02-11/31 3.20 06/02-11/31
B4 19.89 06/02-11/31 10.86 06/02-11/31 5.89 06/02-11/31 4.17 06/02-11/31 3.20 06/02-11/31
B5 19.89 06/02-11/31 10.86 06/02-11/31 5.89 06/02-11/31 4.17 06/02-11/31 3.20 06/02-11/31
B6 19.89 06/02-11/31 10.86 06/02-11/31 5.89 06/02-11/31 4.17 06/02-11/31 3.20 06/02-11/31
R 0.07 06/02-06/02 0.07 06/02-06/02 0.07 06/02-06/02 0.07 06/02-06/02 0.07 06/02-06/02
---------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------
Contacts
----- ---------------------------------- ---------------------------------- ----------------------------------
MBS Trading ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ (▇▇▇) ▇▇▇-▇▇▇▇
▇▇▇▇▇▇▇▇▇ ▇▇▇▇▇▇▇ (▇▇▇) ▇▇▇-▇▇▇▇
Residential Finance ▇▇▇ ▇▇▇▇▇ (▇▇▇) ▇▇▇-▇▇▇▇
▇▇▇▇▇ ▇▇▇ (▇▇▇) ▇▇▇-▇▇▇▇
Will Dorado (▇▇▇) ▇▇▇-▇▇▇▇
----- ---------------------------------- ---------------------------------- ----------------------------------
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell an d
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
7
