--------------------------------------------------------------------------------
GMACM HOME EQUITY LOAN TRUST 2003-HE2
--------------------------------------------------------------------------------
[OBJECT OMITTED]
[GRAPHIC OMITTED] BEAR, XXXXXXX & CO. INC.
ATLANTA o BOSTON o CHICAGO ASSET-BACKED SECURITIES GROUP
DALLAS o LOS ANGELES o NEW YORK o SAN FRANCISCO 000 Xxxxxxx Xxxxxx
FRANKFORT o GENEVA o HONG KONG New York, N.Y. 10179
LONDON o PARIS o TOKYO (000) 000-0000; (000) 000-0000 fax
--------------------------------------------------------------------------------
GMACM HOME EQUITY LOAN TRUST 2003-HE2: COMPUTATIONAL MATERIALS - MARCH 12, 2003
--------------------------------------------------------------------------------
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER
INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by Xxxx Xxxxxxx, not as agent for any issuer, and
although it may be based on data supplied to it by an issuer, the issuer has not
participated in its preparation and makes no representations regarding its
accuracy or completeness. Should you receive Information that refers to the
"Statement Regarding Assumptions and Other Information," please refer to this
statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to significant
factors that may prove not to be as assumed. You should understand the
assumptions and evaluate whether they are appropriate for your purposes.
Performance results are based on mathematical models that use inputs to
calculate results. As with all models, results may vary significantly depending
upon the value of the inputs given. Inputs to these models include but are not
limited to: prepayment expectations (economic prepayment models, single expected
lifetime prepayments or a vector of periodic prepayments), interest rate
assumptions (parallel and nonparallel changes for different maturity
instruments), collateral assumptions (actual pool level data, aggregated pool
level data, reported factors or imputed factors), volatility assumptions
(historically observed or implied current) and reported information (paydown
factors, rate resets, and trustee statements). Models used in any analysis may
be proprietary making the results difficult for any third party to reproduce.
Contact your registered representative for detailed explanations of any modeling
techniques employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of these
securities should be tested as assumptions different from those included in the
Information. The assumptions underlying the Information, including structure and
collateral, may be modified from time to time to reflect changed circumstances.
Any investment decision should be based only on the data in the prospectus and
the prospectus supplement or private placement memorandum (Offering Documents)
and the then current version of the Information. Any information herein
regarding the collateral or the securities supersedes any prior information
regarding the collateral or the securities and will be superseded by information
regarding the collateral and/or the securities contained in the Offering
Documents and any subsequent information regarding the collateral or the
securities. Offering Documents contain data that is current as of their
publication dates and after publication may no longer be complete or current and
any subsequent information regarding the collateral or the securities. Contact
your registered representative for Offering Documents, current Information or
additional materials, including other models for performance analysis, which are
likely to produce different results, and any further explanation regarding the
Information.
Any pricing estimates Bear Xxxxxxx has supplied at your request (a) represent
our view, at the time determined, of the investment value of the securities
between the estimated bid and offer levels, the spread between which may be
significant due to market volatility or illiquidity, (b) do not constitute a bid
by any person for any security, (c) may not constitute prices at which the
securities could have been purchased or sold in any market, (d) have not been
confirmed by actual trades, may vary from the value Bear Xxxxxxx assigns any
such security while in its inventory, and may not take into account the size of
a position you have in the security, and (e) may have been derived from matrix
pricing that uses data relating to other securities whose prices are more
readily ascertainable to produce a hypothetical price based on the estimated
yield spread relationship between the securities.
General Information: The data underlying the Information has been obtained from
sources that we believe are reliable, but we do not guarantee the accuracy of
the underlying data or computations based thereon. Bear Xxxxxxx and/or
individuals employed thereby may have positions in these securities while the
Information is circulating or during such period may engage in transactions with
the issuer or its affiliates. We act as principal in transactions with you, and
accordingly, you must determine the appropriateness for you of such transactions
and address any legal, tax, or accounting considerations applicable to you. Bear
Xxxxxxx shall not be a fiduciary or advisor unless we have agreed in writing to
receive compensation specifically to act in such capacities. If you are subject
to ERISA, the Information is being furnished on the condition that it will not
form a primary basis for any investment decision. The Information is not a
solicitation of any transaction in securities which may be made only by
prospectus when required by law, in which event you may obtain such prospectus
from Bear Xxxxxxx.
_______________________________________________________________________________
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
$[634,646,000] (APPROXIMATE)
ISSUER: GMACM Home Equity Loan Trust 2003-HE2.
OFFERED SECURITIES: GMACM Home Equity Loan-Backed Term Notes, Series
2003-HE2.
DEPOSITOR: Residential Asset Mortgage Products, Inc.
SELLER AND SERVICER: GMAC Mortgage Corporation ("GMACM"), a Pennsylvania
corporation, originated or acquired most of the mortgage
loans. The remainder of the mortgage loans were
originated or acquired by GMAC Bank, a federal savings
bank and an affiliate of GMACM. GMACM will be the
seller of some of the initial mortgage loans and some of
the subsequent mortgage loans. The remainder of the
initial mortgage loans and some of the subsequent
mortgage loans will be sold to the depositor by a trust
established by an affiliate of GMACM, which in turn
acquired the mortgage loans from GMACM. GMACM will also
be the servicer of the mortgage loans. The Servicer
will be obligated to service the mortgage loans pursuant
to the servicing agreement to be dated as of the closing
date, among the servicer, the issuer and the indenture
trustee.
INDENTURE TRUSTEE: Xxxxx Fargo Bank Minnesota, N.A. (the "Indenture
Trustee").
OWNER TRUSTEE: Wilmington Trust Company.
CREDIT ENHANCER: Financial Guaranty Insurance Company ("FGIC", or the
"Credit Enhancer").
LEAD UNDERWRITER: Bear, Xxxxxxx & Co. Inc. (sole underwriter for Class
A-IO)
CO-UNDERWRITERS: GMAC Commercial Holding Capital Markets Corp., Xxxxxx
Brothers and RBS Greenwich Capital.
CUT-OFF DATE: March 1, 2003.
CLOSING DATE: March [26], 2003.
THE NOTES: Approximately $[634,646,000] Home
Equity Loan-Backed Term Notes, Series
2003-HE2, are being offered (the "Notes").
The notes will be issued pursuant to an
indenture to be dated as of March [26],
2003, between the Issuer and the Indenture
Trustee.
CHARACTERISTICS OF THE NOTES (A),(B),(C),(D)
-------------------- --------------- ----------- -------- --------- -------- -------- ---------------
AVG LIFE PRINCIPAL PRINCIPALFINAL
OFFERED INITIAL NOTE TO CALL LOCKOUT WINDOW SCH. RATINGS
SECURITIES BALANCE COUPON (YEARS) (MONTHS) (MONTHS) MATURITY (XXXXX'X/S&P)
DATE
(G)(H)
-------------------- --------------- ----------- -------- --------- -------- -------- ---------------
-------------------- --------------- ----------- -------- --------- -------- -------- ---------------
Class A-1 notes $[366,447,000] Floating [1.00] None [24] [12/25/15] Aaa / AAA
(e)(f)
Class A-2 notes $[161,627,000] Fixed (e) [3.00] [23] [32] [6/25/25] Aaa / AAA
Class A-3 notes $[20,875,000] Fixed (e) [5.00] [54] [12] [10/25/26] Aaa / AAA
Class A-4 notes $[22,233,000] Fixed (c)(e) [5.50] [65] [1] [4/25/33] Aaa / AAA
Class A-5 notes $[63,464,000] Fixed (c)(e) [5.00] [36] [30] [4/25/33] Aaa / AAA
Class A-IO notes $[84,000,000] Fixed (j) n/a n/a n/a [9/25/05] Aaa / AAA
(i)
-------------------- --------------- ----------- -------- --------- -------- -------- ---------------
-------------------- --------------- ----------- -------- --------- -------- -------- ---------------
TOTAL NOTES $[634,646,000]
-------------------- --------------- ----------- -------- --------- -------- -------- ---------------
(a) Subject to a 5% variance. (b) 100% P&I guarantee by FGIC.
(c) The notes are priced to 10% clean-up call. The coupon on the [Class A-4
notes and Class A-5] notes will increase by 0.50% per annum if the 10%
clean-up call is not exercised.
(d) Prepayment Assumption is a ramp of 12% to 35% CPR for months 1-12; 35%
CPR for months 13-24; 35% to 30% CPR for months 25-36; and 30% CPR for
months 37 and greater. The Pricing Speed will be 100% of that ramp.
(e) The note rates for the [Class A-1 notes through Class A-5 notes] are
subject to a cap equal to the weighted average of the net loan rates on
the mortgage loans, adjusted for the interest payable on the Class A-IO
notes.
(f) For the Class A-1 notes, the lesser of (i) One-Month LIBOR plus the
applicable margin, (ii) the net wac cap described in Note (e) above and
(iii) [12.00]% per annum, based on an actual/360 day count.
(g) For the Class A-1 notes, Class A-2 notes and Class A-3 notes, it was
assumed that no losses, delinquencies or prepayments occur on the
mortgage loans and that the required overcollateralization amount is $0.
For the Class A-4 notes and Class A-5 notes, it was assumed that the
final scheduled maturity date would be the payment date in the sixth
month following the maturity date of the mortgage loan with the latest
maturity date. For the Class A-IO notes, the final scheduled maturity
refers to the final payment of interest, as this class is not entitled
to principal.
(h) Due to losses and prepayments on the mortgage loans, the actual final
payment date on each class of notes may occur substantially earlier or,
except for the Class A-4 notes, Class A-5 notes and Class A-IO notes,
later than the dates listed above.
(i) Notional balance: as described in the definition of Notional Amount set
forth below. (j) [7.00]% per annum, payable monthly, until the 30th
payment date; thereafter 0.00% per annum.
OFFERING: The notes will be issued publicly from the Depositor's shelf
registration.
FORM OF REGISTRATION: Book-entry form, same day funds through DTC and Euroclear.
THE TRUST: The depositor will establish the GMACM Home Equity Loan Trust
2003-HE2, a Delaware business trust, to issue the notes. The assets of the
trust will include the mortgage loans and related assets. In addition to
the mortgage loans conveyed to the trust on the closing date, the property
of the trust will include cash on deposit in certain accounts, including
the pre-funding account and other collections on the mortgage loans. The
trust will also include a financial guarantee insurance policy provided by
the Credit Enhancer, which will guarantee certain payments on the notes.
Payments of interest and principal on the notes will be made from payments
received in connection with the mortgage loans and the financial guarantee
insurance policy to the extent described herein.
THE MORTGAGE LOAN POOL: Unless we indicate otherwise, the statistical
information we present in these computational materials is approximate and
reflects the initial pool of mortgage loans as of the cut-off date. The
initial pool of mortgage loans will consist of closed-end, fixed rate, home
equity loans expected to have an aggregate outstanding principal balance as
of the cut-off date of $[475,985,178.50].
Approximately [84.50]% of the initial mortgage loans (by aggregate
principal balance as of the cut-off date) are secured by second mortgages
or deeds of trust and the remainder are secured by first mortgages or deeds
of trust. The initial mortgage loans provide for substantially equal
payments in an amount sufficient to amortize the principal balance of the
mortgage loans over their terms, except for some of the initial mortgage
loans which have balloon amounts due at maturity.
PRE-FUNDING FEATURE: On the closing date, approximately $[158,660,821.50] will
be deposited into an account designated the "pre-funding account". This
amount will be funded from the proceeds of the sale of the notes. During
the pre-funding period, funds on deposit in the pre-funding account will be
used by the issuer to buy mortgage loans from the sellers from time to
time.
The pre-funding period will be the period from the closing date to the
earliest of (i) the date on which the amount on deposit in the pre-funding
account is less than $50,000, (ii) June [24], 2003 and (iii) the occurrence
of a servicer default under the servicing agreement.
The mortgage loans sold to the trust after the closing date will conform to
certain specified characteristics.
Amounts on deposit in the pre-funding account will be invested in permitted
investments as specified in the Indenture. Any amounts remaining in the
pre-funding account at the end of the pre-funding period will be used to
make principal payments on the notes other than the Class A-IO notes.
CAPITALIZED INTEREST ACCOUNT: On the closing date, if required by the enhancer,
part of the proceeds of the sale of the notes will be deposited into an
account designated the "capitalized interest account," which will be held
by the indenture trustee. Amounts on deposit in the capitalized interest
account will be withdrawn on each payment date during the pre-funding
period to cover any shortfall in interest payments on the notes due to the
pre-funding feature during the pre-funding period. Any amounts remaining in
the capitalized interest account at the end of the pre-funding period will
be paid to GMACM. PREPAYMENT PRICING SPEED ASSUMPTION: The base case
prepayment assumption is set forth in the table below. This transaction
will price at 100% of the base case prepayment assumption.
Prepayment Speed (CPR) Months
---------------------------------------------------
12% to 35% ramp 1 to 12
35% 13 to 24
35% to 30% ramp 25 to 36
30% 37 and greater
PAYMENT DATE: The 25th day of each month, or, if that day is not a business day,
the next business day, beginning on April 25, 2003.
PAYMENT DELAY: With respect to the Class A-2, Class A- 3, Class A- 4, Class A-5
and Class A-IO notes, 24 days. With respect to the Class A-1 notes, 0 days.
NOTE RATE: The Class A-1 note rate will be equal to the least of (a) 1-month
LIBOR + [ ]% per annum, (b) the Net WAC Cap Rate and (c) [12.00]% per
annum.
Interest will accrue on the Class A-1 notes from and including the
preceding payment date (or from the closing date in the case of the first
payment date) to and including the day prior to the then current payment
date at their respective note rate based on the actual number of days
elapsed during the accrual period and an assumed year of 360 days.
Interest will accrue on the Class A-2, Class A-3, Class A-4, Class A-5 and
Class A-IO notes at a fixed rate during the month prior to the month of the
related payment date (or from the cut-off date to the end of such month in
the case of the first payment date) based on an assumed year of 360 days,
consisting of 12 30-day months.
The Note Rates for the [Class A-1 through Class A-5 notes] are subject to
the Net WAC Cap Rate.
NET MORTGAGE RATE: With respect to any mortgage loan, the per annum mortgage
rate thereon minus (i) the per annum rates at which the servicing fee is
paid and (ii) the rate at which the premium for the certificate guaranty
insurance policy is paid; provided, that for purposes of this calculation,
the rate at which the premium for the certificate guaranty insurance policy
is paid shall be multiplied by a fraction equal to (x) the principal
balance of the notes over (y) the aggregate principal balance of the
mortgage loans.
NET WAC CAP RATE: The Net WAC Cap Rate, with respect to any payment date, will
be equal to the weighted average of the Net Mortgage Rate in effect for
such payment date, adjusted for the interest payable on the Class A-IO
notes. The Net WAC Cap Rate for the Class A-1 notes will be further
adjusted to reflect an actual/360-day basis interest accrual.
PAYMENTS ON THE NOTES: On each monthly payment date, the indenture trustee will
make distributions to noteholders. The amounts available for distribution
will include:
o collections of monthly payments of principal and interest on the mortgage
loans, including prepayments and other unscheduled collections plus o
amounts from any draws on the policy, minus o fees and expenses of the
trust.
Payments to noteholders will be made from amounts available for
distribution in the following order:
o To pay to the credit enhancer the accrued and unpaid premium for the policy
and any previously unpaid premiums, with interest thereon;
o To pay accrued and unpaid interest due on the notes, pro rata;
o To pay principal on the notes, other than the Class A-IO notes, in an
amount equal to the principal collection distribution amount for such
payment date;
o To pay principal on the notes, other than the Class A-IO notes, in an
amount equal to the liquidation loss distribution amounts for such payment
date, together with any liquidation loss distribution amounts remaining
undistributed from any preceding payment date;
o To reimburse the credit enhancer for unreimbursed draws on the policy, with
interest thereon;
o To the extent of remaining available funds, to pay as additional principal
on the notes, other than the Class A-IO notes, [on and after the payment
date in October 2003,] any amount necessary to increase the amount of
overcollateralization to the required overcollateralization level;
o To pay the credit enhancer any other amounts owed to it pursuant to the
insurance agreement, with interest thereon;
o To pay any amount of interest shortfalls arising on such payment date due
to the weighted average net loan rate cap on the note rate for any class
limited by such cap;
o To pay any amount of interest shortfalls due to the weighted average net
loan rate cap on the note rate for any class previously unpaid, with
interest thereon;
o To pay the indenture trustee any unpaid expenses and other reimbursable
amounts owed to the indenture trustee; and
o To pay any remaining amount to the certificates.
PRINCIPAL PAYMENTS: Payments of principal are allocated first to the Class A-5
notes in the amount of the Class A-5 Lockout Distribution Amount and then
to the Class A-1, Class A-2, Class A-3, Class A-4 and Class A-5 notes
sequentially in such order until the outstanding principal balance of each
such Class has been reduced to zero.
NOTIONAL AMOUNT: With respect to the Class A-IO Certificates immediately prior
to any payment date, the lesser of: (a) the then outstanding pool balance
and (b) the applicable amount set forth below:
Payment Date Notional Amount
---------------------------------------------------
April 2003 through September 2003 $84,000,000
October 2003 through March 2004 $76,000,000
April 2004 through September 2004 $68,000,000
October 2004 through March 2005 $56,000,000
April 2005 through September 2005 $48,000,000
CLASSA-5 LOCKOUT DISTRIBUTION AMOUNT: For any monthly payment date, the product
of (x) the Class A-5 Lockout Percentage for that monthly payment date and
(y) the Class A-5 Pro Rata Distribution Amount for that monthly payment
date.
CLASSA-5 LOCKOUT PERCENTAGE: For each monthly payment date, the applicable
percentage set forth below:
Payment Date Lockout Percentage
------------------------------------------------------
April 2003 through March 2006 0%
April 2006 through March 2008 45%
April 2008 through March 2009 80%
April 2009 through March 2010 100%
April 2010 and thereafter 300%
CLASSA-5 PRO RATA DISTRIBUTION AMOUNT: For any monthly payment date, an amount
equal to the product of (x) a fraction, the numerator of which is the
principal balance of the Class A-5 notes immediately prior to that monthly
payment date and the denominator of which is the aggregate principal
balance of the notes (not including the notional balance of the Class A-IO
notes) immediately prior to that monthly payment date and (y) the principal
distribution amount for that monthly payment date.
CREDIT ENHANCEMENT: The credit enhancement provided for the benefit of the
noteholders will consist of:
o excess interest;
o overcollateralization; and
o the financial guaranty
insurance policy.
Excess Interest. The weighted average mortgage loan rate is generally expected
to be higher than the sum of (a) the servicing fee, (b) the weighted
average note rate and (c) the credit enhancer premium. On each payment
date, excess interest generated during the related collection period will
be available to cover losses and build overcollateralization on such
payment date.
Overcollateralization: After the sixth monthly payment date, excess interest
will be applied, to the extent available, to make accelerated payments of
principal to the securities then entitled to receive payments of principal.
Such application will cause the aggregate principal balance of the notes to
amortize more rapidly than the mortgage loans, resulting in
overcollateralization. Prior to the Stepdown Date, the "Required
Overcollateralization Amount" will be equal to at least [1.25]% of the
original Pool Balance (including amounts in the pre-funding account as of
the closing date). On and after the Stepdown Date, the "Required
Overcollateralization Amount" will be equal to the product of a formula
specified in the Indenture which generally will depend upon the performance
of the mortgage loans.
Note Insurance Policy: The credit enhancer will unconditionally and irrevocably
guarantee: (a) the timely payment of interest, (b) the amount of any losses
not covered by excess interest or overcollateralization, and (c) the
payment of principal due on the notes on the applicable final scheduled
maturity date. The insurance policy is not cancelable for any reason.
STEPDOWN DATE: The Stepdown Date is the payment date (subject to the
satisfaction of certain loss criteria) occurring on the later of:
(1) the Payment Date in October 2005 (i.e. on the 31st Payment Date); and
(2) the first Payment Date on which the current Pool Balance has been
reduced to an amount equal to 50% of the original Pool Balance
(including amounts in the pre-funding account as of the closing date).
SERVICING FEE: The primary compensation to be paid to the Servicer in respect of
its servicing activities will be [0.50]% per annum, payable monthly.
ADVANCING: There is generally no required advancing of delinquent principal or
interest by the Servicer, the Trustees, the credit enhancer or any other
entity provided, however, that the Servicer may advance interest at their
discretion.
OPTIONAL REDEMPTION: A principal payment may be made to redeem the notes upon
the exercise by the servicer of its option to purchase the mortgage loans
in the Trust after the aggregate principal balance of the mortgage loans is
reduced to an amount less than 10% of the initial aggregate principal
balance of the mortgage loans plus the initial amount deposited in the
pre-funding account. The purchase price payable by the servicer for the
mortgage loans will be the sum of:
o the aggregate outstanding principal balance of the mortgage loans, and
the fair market value of real estate acquired by foreclosure, plus
accrued and unpaid interest thereon at the weighted average of the net
loan rates of the mortgage loans through the day preceding the payment
date of this purchase; and
o all amounts due and owing the enhancer.
TAX STATUS: The notes will represent ownership of regular interests in a real
estate mortgage investment conduit and will be treated as representing
ownership of debt for federal income tax purposes. For federal income tax
purposes, each class of Class R certificates will be the sole residual
interest in a real estate mortgage investment conduit.
ERISAELIGIBILITY: The notes may be purchased by employee benefit plans that are
subject to ERISA.
SMMEATREATMENT: The notes will not constitute "mortgage related securities" for
purposes of SMMEA.
RISK FACTORS: The Prospectus Supplement includes certain risk factors that
should be considered in connection with the purchase of the notes.
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF
THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT
---------------------------------------------------------------------------
COLLATERAL SUMMARY
INITIAL MORTGAGE LOANS
(AS OF THE CUT-OFF DATE)
INITIAL MORTGAGE LOANS
CUT-OFF DATE 3/1/03
TOTAL OUTSTANDING BALANCE: $475,985,178.50
NUMBER OF LOANS: 13,404
AVERAGE REMAINING BALANCE: $35,510.68 (range: $2,263.13 -
$309,848.07)
WA MORTGAGE LOAN RATE: 7.807% (range: 4.500% - 13.250%)
ORIGINAL WEIGHTED AVERAGE TERM: 203 months
REMAINING WEIGHTED AVERAGE TERM: 201 months
LIEN POSITION: 84.50% second, 15.50% first.
WA CLTV RATIO: 74.86% (range: 3.57% - 100.00%)
WA FICO SCORE: 702
WA DTI RATIO: 37.55%
WA JUNIOR RATIO: 24.13%
DOCUMENTATION (>1%): 96.45% standard,
2.06% family first direct,
0.34% super express,
0.31% select,
0.27% GM expanded family,
0.24% no documentation,
0.15% no income verification,
0.13% streamlined,
0.06% express.
LOAN PURPOSE: 53.08% debt consolidation,
28.95% cash out,
5.96% rate and term refinance,
5.74% purchase,
4.20% home improvement,
2.07% other.
PROPERTY TYPE: 83.85% single family,
8.30% planned unit development,
6.10% condominium, 1.16% two to
four family, 0.59% manufactured
housing.
OWNER OCCUPANCY: 99.44% owner occupied, 0.56% second
home.
GEOGRAPHIC DISTRIBUTION (STATES CA (35.32%), NY (6.18%), FL (6.17%),
TX >= 5.00%) (5.26%).
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF
THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT
INITIAL MORTGAGE LOANS CHARACTERISTICS
Set forth below is a description of certain characteristics of the initial
aggregate HELs as of the cut-off date. Unless otherwise specified, all principal
balances of the initial aggregate HELs are as of the cut-off date and are
rounded to the nearest dollar. All percentages are approximate percentages by
aggregate principal balance as of the cut-off date (except as indicated
otherwise).
PROPERTY TYPE
PERCENTAGE OF
NUMBER OF INITIAL MORTGAGE
INITIAL CUT-OFF DATE LOANS BY CUT-OFF
PROPERTY TYPE MORTGAGE LOANS BALANCE DATE BALANCE
Single Family 11,200 $399,118,223.04 83.85%
Planned Unit Development 1,064 39,524,100.98 8.30
Condominium 898 29,041,697.58 6.10
Two to Four Family 146 5,510,040.30 1.16
Manufactured Housing 96 2,791,116.60 0.59
--- ------------ ----
TOTAL 13,404 $475,985,178.50 100.00%
---------------------------------------------------------------------------------------------
PRINCIPAL BALANCES
PERCENTAGE OF
NUMBER OF INITIAL MORTGAGE
INITIAL CUT-OFF DATE LOANS BY CUT-OFF
RANGE OF PRINCIPAL BALANCES MORTGAGE LOANS BALANCE DATE BALANCE
$0.01 to $25,000.00
5,328 $102,504,780.91 21.54%
$25,000.01 to $50,000.00
5,982 220,546,436.42 46.33
$50,000.01 to $75,000.00
1,452 89,149,637.69 18.73
$75,000.01 to $100,000.00
499 43,720,674.27 9.19
$100,000.01 to $125,000.00
57 6,377,898.88 1.34
$125,000.01 to $150,000.00
61 8,495,877.35 1.78
$150,000.01 to $175,000.00
7 1,156,007.44 0.24
$175,000.01 to $200,000.00
10 1,915,009.01 0.40
$200,000.01 to $225,000.00
2 444,445.19 0.09
$225,000.01 to $250,000.00
2 496,699.63 0.10
$250,000.01 to $275,000.00
1 270,000.00 0.06
$275,000.01 to $300,000.00
2 597,863.64 0.13
$300,000.01 to $400,000.00 1 309,848.07 0.07
-- ---------- ----
TOTAL 13,404 $475,985,178.50 100.00%
The average principal balance of the initial aggregate HELs as of the cut-off
date is approximately $35,510.68.
---------------------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE COLLATERAL
CONTAINED IN THE PROSPECTUS SUPPLEMENT
----------------------------------------------------------------------------------------------
COMBINED LOAN-TO-VALUE RATIOS
PERCENTAGE OF
NUMBER OF INITIAL MORTGAGE
RANGE OF COMBINED INITIAL MORTGAGE CUT-OFF DATE LOANS BY CUT-OFF
LOAN-TO-VALUE RATIOS (%) LOANS BALANCE DATE BALANCE
0.01% to 40.00%
1,117 $40,167,226.95 8.44%
40.01% to 50.00%
470 17,810,551.31 3.74
50.01% to 60.00%
756 29,337,637.63 6.16
60.01% to 70.00%
1,239 47,472,937.80 9.97
70.01% to 80.00%
3,070 115,734,070.49 24.31
80.01% to 90.00%
4,473 146,449,951.81 30.77
90.01% to 100.00% 2,279 79,012,802.51 16.60
------ ------------- -----
TOTAL 13,404 $475,985,178.50 100.00%
---------------------------------------------------------------------------------------------
The minimum and maximum combined loan-to-value ratios of the initial aggregate
HELs as of the cut-off date are approximately 3.57% and 100.00%, respectively,
and the weighted average combined loan-to-value ratio of the initial aggregate
HELs as of the cut-off date is approximately 74.86%.
GEOGRAPHICAL DISTRIBUTIONS
PERCENTAGE OF
NUMBER OF INITIAL MORTGAGE
INITIAL CUT-OFF DATE LOANS BY CUT-OFF
LOCATION MORTGAGE LOANS BALANCE DATE BALANCE
California 4,226 $168,128,594.00 35.32%
New York 705 29,428,575.75 6.18
Florida 922 29,345,437.71 6.17
Texas 667 25,053,589.51 5.26
New Jersey 661 23,662,449.55 4.97
Pennsylvania 543 18,790,356.30 3.95
Michigan 544 16,443,478.44 3.45
Virginia 393 14,568,577.35 3.06
Arizona 346 10,730,203.66 2.25
Illinois 309 9,861,548.86 2.07
Other 4,088 129,972,367.37 27.31
------ -------------- -----
TOTAL 13,404 $475,985,178.50 100.00%
"Other" includes states and the District of Columbia with under 2.00%
concentrations individually.
---------------------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE COLLATERAL
CONTAINED IN THE PROSPECTUS SUPPLEMENT
----------------------------------------------------------------------------------------------
JUNIOR RATIOS(1)(2)(3)
PERCENTAGE OF
NUMBER OF INITIAL MORTGAGE
INITIAL MORTGAGE CUT-OFF DATE LOANS BY CUT-OFF
RANGE OF JUNIOR RATIOS (%) LOANS BALANCE DATE BALANCE
0.000% to 5.000%
75 $993,171.08 0.25%
5.001% to 10.000%
1,292 25,797,084.32 6.41
10.001% to 15.000%
2,939 77,565,336.52 19.29
15.001% to 20.000%
2,724 90,171,086.49 22.42
20.001% to 25.000%
1,660 66,228,063.79 16.47
25.001% to 30.000%
1,042 43,536,277.66 10.82
30.001% to 35.000%
646 30,007,133.71 7.46
35.001% to 40.000%
418 21,140,272.40 5.26
40.001% to 45.000%
278 14,813,459.54 3.68
45.001% to 50.000%
165 8,370,184.22 2.08
50.001% to 55.000%
121 5,973,229.12 1.49
55.001% to 60.000%
88 4,189,663.69 1.04
60.001% to 65.000%
62 4,315,451.40 1.07
65.001% to 70.000%
51 2,765,701.56 0.69
70.001% to 75.000%
36 2,179,302.98 0.54
75.001% to 80.000%
19 1,068,465.45 0.27
80.001% to 85.000%
21 1,244,148.08 0.31
85.001% to 90.000%
12 884,007.11 0.22
90.001% to 95.000%
14 765,960.58 0.19
95.001% to 100.000% 4 183,232.32 0.05
-- ---------- ----
TOTAL
11,667 $402,191,232.02 100.00%
-------------------------------------------------------------------------------
(1) The junior ratio of a mortgage loan is the ratio (expressed as a percentage)
of the outstanding balance of such mortgage loan to the sum of such outstanding
balance and the outstanding balance of any senior mortgage computed as of the
date such mortgage loan is underwritten.
(2) The weighted average junior ratio of the initial aggregate HELs secured by
second liens as of the cut-off date is approximately 24.13%. (3) Includes only
the initial aggregate HELs secured by second liens.
LOAN RATES
PERCENTAGE OF
INITIAL MORTGAGE
NUMBER OF INITIAL CUT-OFF DATE LOANS BY CUT-OFF
RANGE OF LOAN RATES (%) MORTGAGE LOANS BALANCE DATE BALANCE
4.001% to 5.000%
6 $54,971.54 0.01%
5.001% to 6.000%
61 2,181,107.72 0.46
6.001% to 7.000%
3,511 135,978,560.74 28.57
7.001% to 8.000%
5,313 196,854,514.05 41.36
8.001% to 9.000%
2,342 75,690,667.65 15.90
9.001% to 10.000%
993 31,146,065.83 6.54
10.001% to 11.000%
671 19,611,003.83 4.12
11.001% to 12.000%
407 12,267,920.81 2.58
12.001% to 13.000%
99 2,186,003.58 0.46
13.001% to 14.000% 1 14,362.75 0.00
-- --------- ----
TOTAL 13,404 $475,985,178.50 100.00%
The weighted average loan rate of the initial aggregate HELs as of the cut-off
date is approximately 7.807%.
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF
THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT
MONTHS REMAINING TO SCHEDULED MATURITY
PERCENTAGE OF
NUMBER OF INITIAL MORTGAGE
INITIAL CUT-OFF DATE LOANS BY CUT-OFF
RANGE OF REMAINING TERM MORTGAGE LOANS BALANCE DATE BALANCE
0 to 60
551 $13,689,620.47 2.88%
61 to 120
3,391 101,383,146.64 21.30
121 to 180
5,659 198,974,355.62 41.80
181 to 240
390 15,619,477.75 3.28
241 to 300 3,413 146,318,578.02 30.74
- ------ -------------- -----
TOTAL 13,404 $475,985,178.50 100.00%
The weighted average months remaining to scheduled maturity as of the cut-off
date is approximately 201 months.
LIEN PRIORITY
PERCENTAGE OF
NUMBER OF INITIAL MORTGAGE
INITIAL CUT-OFF DATE LOANS BY CUT-OFF
LIEN POSITION MORTGAGE LOANS BALANCE DATE BALANCE
Second
11,667 $402,191,232.02 84.50%
First
-
1,737 73,793,946.48 15.50
----- -------------- -----
TOTAL 13,404 $475,985,178.50 100.00%
DEBT-TO-INCOME RATIOS
PERCENTAGE OF
NUMBER OF INITIAL MORTGAGE
INITIAL CUT-OFF DATE LOANS BY CUT-OFF
RANGE OF DEBT-TO-INCOME RATIOS (%) MORTGAGE LOANS BALANCE DATE BALANCE
0.001% to10.000%
73 $2,553,725.79 0.54%
10.001% to20.000%
681 23,925,650.38 5.03
20.001% to30.000%
2,297 78,779,578.91 16.55
30.001% to40.000%
4,384 152,498,764.21 32.04
40.001% to50.000%
5,183 188,348,336.16 39.57
50.001% to60.000%
758 29,099,347.35 6.11
60.001% + 28 779,775.70 0.16
--- ---------- ----
TOTAL 13,404 $475,985,178.50 100.00%
Of the available debt-to-income ratios, the weighted average debt-to-income
ratio of the initial aggregate HELs as of the cut-off date is approximately
37.55%.
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE COLLATERAL
CONTAINED IN THE PROSPECTUS SUPPLEMENT
----------------------------------------------------------------------------------------------
DOCUMENTATION TYPE
PERCENTAGE OF
INITIAL MORTGAGE
NUMBER OF INITIAL CUT-OFF DATE LOANS BY CUT-OFF
DOCUMENTATION TYPE MORTGAGE LOANS BALANCE DATE BALANCE
Standard 12,928 $459,074,121.73 96.45%
Family First Direct 271 9,819,923.47 2.06
Super Express 52 1,598,234.15 0.34
Select 34 1,455,422.02 0.31
GM Expanded Family 35 1,276,343.99 0.27
No Documentation 41 1,166,025.55 0.24
No Income Verification 17 716,579.29 0.15
Streamline 18 603,851.97 0.13
Express 8 274,676.33 0.06
-- ---------- ----
TOTAL 13,404 $475,985,178.50 100.00%
---------------------------------------------------------------------------------------------
OCCUPANCY TYPES
PERCENTAGE OF
NUMBER OF INITIAL MORTGAGE
OCCUPANCY (AS INDICATED BY INITIAL MORTGAGE CUT-OFF DATE LOANS BY CUT-OFF
BORROWER) LOANS BALANCE DATE BALANCE
Owner Occupied
13,323 $473,319,381.96 99.44%
Second Home 81 2,665,796.54 0.56
--- ------------ ----
TOTAL 13,404 $475,985,178.50 100.00%
---------------------------------------------------------------------------------------------
LOAN PURPOSE
PERCENTAGE OF
NUMBER OF INITIAL MORTGAGE
INITIAL MORTGAGE CUT-OFF DATE LOANS BY CUT-OFF
LOAN PURPOSE LOANS BALANCE DATE BALANCE
Debt Consolidation 6,904 $252,657,251.14 53.08%
Cash Out 4,164 137,817,872.32 28.95
Rate & Term Refinance 735 28,358,653.67 5.96
Purchase 795 27,308,535.89 5.74
Home Improvement 526 19,997,764.21 4.20
Other 280 9,845,101.27 2.07
---- ------------- ----
TOTAL 13,404 $475,985,178.50 100.00%
----------------------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE COLLATERAL
CONTAINED IN THE PROSPECTUS SUPPLEMENT
----------------------------------------------------------------------------------------------
ORIGINATION YEAR
PERCENTAGE OF
NUMBER OF INITIAL MORTGAGE
INITIAL MORTGAGE CUT-OFF DATE LOANS BY CUT-OFF
ORIGINATION YEAR LOANS BALANCE DATE BALANCE
2003
3,848 $139,052,737.00 29.21%
2002
9,554 336,896,490.43 70.78
2001
1 23,331.86 0.00*
2000 1 12,619.21 0.00*
-- --------- -----
TOTAL 13,404 $475,985,178.50 100.00%
----------------------------------------------------------------------------------------------
* Less than 0.01% but greater than 0.001%.
CREDIT SCORES AS OF THE DATE OF ORIGINATION
PERCENTAGE OF
NUMBER OF INITIAL MORTGAGE
RANGE OF CREDIT SCORES AS OF THE INITIAL MORTGAGE CUT-OFF DATE LOANS BY CUT-OFF
DATE OF ORIGINATION OF THE LOANS LOANS BALANCE DATE BALANCE
560 to 579
1 $14,915.80 0.00%
580 to 599
391 11,536,970.46 2.42
600 to 619
542 15,725,827.02 3.30
620 to 639
1,072 34,424,703.05 7.23
640 to 659
1,529 52,811,464.86 11.10
660 to 679
1,618 56,536,026.26 11.88
680 to 699
1,532 55,273,751.78 11.61
700 to 719
1,617 61,365,170.60 12.89
720 to 739
1,567 58,363,140.31 12.26
740 to 759
1,329 49,002,695.53 10.30
760 to 779
1,191 43,360,509.54 9.11
780 to 799
808 29,825,188.99 6.27
800 to 819
179 6,587,872.15 1.38
820 to 839
6 323,802.95 0.07
880 to 899
8 351,889.00 0.07
n/a 14 481,250.20 0.10
--- ---------- ----
TOTAL 13,404 $475,985,178.50 100.00%
Of the available credit scores, the weighted average credit score of the
borrower of the initial aggregate HELs as of the cut-off date is approximately
702.
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT
SENSITIVITY TABLES
CLASS A-1 (TO CALL)
--------------------------------------------------------------------------------------
% OF PRICING PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------------
------------------
Average Life (years) 6.12 1.75 1.26 1.00 0.83 0.72
MODIFIED DURATION (YEARS) 5.75 1.71 1.24 0.98 0.82 0.71
FIRST PRINCIPAL PAYMENT 04/25/20004/25/20004/25/200304/25/20004/25/20004/25/2003
LAST PRINCIPAL PAYMENT 10/25/20103/25/20011/25/200503/25/20011/25/20007/25/2004
PRINCIPAL LOCKOUT (MONTHS) 0 0 0 0 0 0
PRINCIPAL WINDOW (MONTHS) 151 48 32 24 20 16
ILLUSTRATIVE YIELD @ PAR (ACT/360)1.39% 1.40% 1.40% 1.40% 1.40% 1.40%
--------------------------------------------------------------------------------------
CLASS A-2 (TO CALL)
--------------------------------------------------------------------------------------
% OF PRICING PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------------
------------------
Average Life (years) 16.33 6.36 4.18 3.00 2.29 1.84
MODIFIED DURATION (YEARS) 13.06 5.75 3.90 2.85 2.19 1.78
FIRST PRINCIPAL PAYMENT 10/25/20103/25/20011/25/200503/25/20011/25/20007/25/2004
LAST PRINCIPAL PAYMENT 01/25/20210/25/20111/25/200910/25/20007/25/20009/25/2005
PRINCIPAL LOCKOUT (MONTHS) 150 47 31 23 19 15
PRINCIPAL WINDOW (MONTHS) 100 68 49 32 21 15
ILLUSTRATIVE YIELD @ PAR (30/360) 2.63% 2.61% 2.60% 2.58% 2.56% 2.55%
--------------------------------------------------------------------------------------
CLASS A-3 (TO CALL)
--------------------------------------------------------------------------------------
% OF PRICING PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------------
------------------
Average Life (years) 20.83 9.58 7.09 5.00 3.62 2.72
MODIFIED DURATION (YEARS) 14.29 7.94 6.14 4.49 3.34 2.54
FIRST PRINCIPAL PAYMENT 01/25/20210/25/20111/25/200910/25/20007/25/20009/25/2005
LAST PRINCIPAL PAYMENT 01/25/20210/25/20105/25/201009/25/20002/25/20002/25/2006
PRINCIPAL LOCKOUT (MONTHS) 249 114 79 54 39 29
PRINCIPAL WINDOW (MONTHS) 1 1 7 12 8 6
ILLUSTRATIVE YIELD @ PAR (30/360) 3.71% 3.70% 3.69% 3.67% 3.65% 3.63%
--------------------------------------------------------------------------------------
CLASS A-4 (TO CALL)
--------------------------------------------------------------------------------------
% OF PRICING PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------------
------------------
Average Life (years) 20.83 9.58 7.16 5.50 4.25 3.15
MODIFIED DURATION (YEARS) 13.51 7.71 6.05 4.80 3.81 2.89
FIRST PRINCIPAL PAYMENT 01/25/20210/25/20105/25/201009/25/20002/25/20002/25/2006
LAST PRINCIPAL PAYMENT 01/25/20210/25/20105/25/201009/25/20007/25/20008/25/2006
PRINCIPAL LOCKOUT (MONTHS) 249 114 85 65 46 34
PRINCIPAL WINDOW (MONTHS) 1 1 1 1 6 7
ILLUSTRATIVE YIELD @ PAR (30/360) 4.32% 4.30% 4.29% 4.28% 4.26% 4.24%
--------------------------------------------------------------------------------------
CLASS A-5 (TO CALL)
--------------------------------------------------------------------------------------
% OF PRICING PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------------
------------------
Average Life (years) 8.95 6.73 5.97 5.00 4.15 3.39
MODIFIED DURATION (YEARS) 7.45 5.85 5.27 4.50 3.79 3.15
FIRST PRINCIPAL PAYMENT 04/25/20004/25/20004/25/200604/25/20004/25/20004/25/2006
LAST PRINCIPAL PAYMENT 01/25/20210/25/20105/25/201009/25/20007/25/20008/25/2006
PRINCIPAL LOCKOUT (MONTHS) 36 36 36 36 36 36
PRINCIPAL WINDOW (MONTHS) 214 79 50 30 16 5
ILLUSTRATIVE YIELD @ PAR (30/360) 3.56% 3.56% 3.55% 3.54% 3.53% 3.52%
--------------------------------------------------------------------------------------
CLASS A-IO (TO CALL)
--------------------------------------------------------------------------------------
% CPR 58% 59% 60% 61% 62% 63%
--------------------------------------------------------------------------------------
---------
Modified Duration (years) 1.11 1.11 1.10 1.10 1.09 1.08
ILLUSTRATIVE YIELD 3.75% 3.75% 1.62% 1.62% -0.64% -3.06%
--------------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT
SENSITIVITY TABLES
CLASS A-1 (TO MATURITY)
---------------------------------------------------------------------------------
% OF PRICING PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------------------------
------------------
Average Life (years) 6.12 1.75 1.26 1.00 0.83 0.72
MODIFIED DURATION (YEARS) 5.75 1.71 1.24 0.98 0.82 0.71
FIRST PRINCIPAL PAYMENT 04/25/20004/25/2004/25/20004/25/20004/25/20004/25/2003
LAST PRINCIPAL PAYMENT 10/25/20103/25/2011/25/20003/25/20011/25/20007/25/2004
PRINCIPAL LOCKOUT (MONTHS) 0 0 0 0 0 0
PRINCIPAL WINDOW (MONTHS) 151 48 32 24 20 16
ILLUSTRATIVE YIELD @ PAR (ACT/361.39% 1.40% 1.40% 1.40% 1.40% 1.40%
---------------------------------------------------------------------------------
---------
CLASS A-2 (TO MATURITY)
---------------------------------------------------------------------------------
% OF PRICING PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------------------------
---------
Average Life (years) 16.40 6.40 4.18 3.00 2.29 1.84
MODIFIED DURATION (YEARS) 13.10 5.79 3.90 2.85 2.19 1.78
FIRST PRINCIPAL PAYMENT 10/25/20103/25/2011/25/20003/25/20011/25/20007/25/2004
LAST PRINCIPAL PAYMENT 04/25/20211/25/2011/25/20010/25/20007/25/20009/25/2005
PRINCIPAL LOCKOUT (MONTHS) 150 47 31 23 19 15
PRINCIPAL WINDOW (MONTHS) 115 81 49 32 21 15
ILLUSTRATIVE YIELD @ PAR (30/3602.63% 2.61% 2.60% 2.58% 2.56% 2.55%
---------------------------------------------------------------------------------
CLASS A-3 (TO MATURITY)
---------------------------------------------------------------------------------
% OF PRICING PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------------------------
---------
Average Life (years) 22.74 11.70 8.18 5.00 3.62 2.72
MODIFIED DURATION (YEARS) 15.13 9.34 6.93 4.49 3.34 2.54
FIRST PRINCIPAL PAYMENT 04/25/20211/25/2011/25/20010/25/20007/25/20009/25/2005
LAST PRINCIPAL PAYMENT 08/25/20201/25/2009/25/20110/25/20002/25/20002/25/2006
PRINCIPAL LOCKOUT (MONTHS) 264 127 79 54 39 29
PRINCIPAL WINDOW (MONTHS) 17 27 35 13 8 6
ILLUSTRATIVE YIELD @ PAR (30/3603.71% 3.70% 3.69% 3.67% 3.65% 3.63%
---------------------------------------------------------------------------------
CLASS A-4 (TO MATURITY)
---------------------------------------------------------------------------------
% OF PRICING PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------------------------
---------
Average Life (years) 24.06 14.98 11.48 7.93 4.45 3.16
MODIFIED DURATION (YEARS) 14.74 10.78 8.84 6.52 3.97 2.90
FIRST PRINCIPAL PAYMENT 08/25/20201/25/2009/25/20110/25/20002/25/20002/25/2006
LAST PRINCIPAL PAYMENT 11/25/20211/25/2012/25/20103/25/20105/25/20010/25/2006
PRINCIPAL LOCKOUT (MONTHS) 280 153 113 66 46 34
PRINCIPAL WINDOW (MONTHS) 16 83 64 78 16 9
ILLUSTRATIVE YIELD @ PAR (30/3604.36% 4.46% 4.47% 4.43% 4.29% 4.24%
---------------------------------------------------------------------------------
CLASS A-5 (TO MATURITY)
---------------------------------------------------------------------------------
% OF PRICING PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------------------------
---------
Average Life (years) 8.95 6.79 6.27 5.90 5.50 4.59
MODIFIED DURATION (YEARS) 7.45 5.89 5.49 5.20 4.88 4.14
FIRST PRINCIPAL PAYMENT 04/25/20004/25/2004/25/20004/25/20004/25/20004/25/2006
LAST PRINCIPAL PAYMENT 09/25/20208/25/2010/25/20112/25/20110/25/20101/25/2011
PRINCIPAL LOCKOUT (MONTHS) 36 36 36 36 36 36
PRINCIPAL WINDOW (MONTHS) 258 197 139 105 79 58
ILLUSTRATIVE YIELD @ PAR (30/3603.56% 3.56% 3.57% 3.62% 3.66% 3.66%
---------------------------------------------------------------------------------
****************************************************************
Bear Xxxxxxx is not responsible for any recommendation, solicitation,
offer or agreement or any information about any transaction, customer
account or account activity contained in this communication.
***********************************************************************
