APPENDIX A
FICO DISTRIBUTION
-----------------
-----------------------------------------------------------------------------------------------------------------------------
FICO Total Balance LTV Adjusted Balance[1] WA Loan WAC % Covered by
Amount %[2] Amount %[2] Balance Mortgage Ins.
-----------------------------------------------------------------------------------------------------------------------------
FICO NA 16,621,634 4.52% > 65.0 6,961,867 1.89% 143,289.95 7.751 8.11
0 - 500 7,420,419 2.02% > 65.0 6,252,853 1.70% 78,110 9.518 0.00
500.01 - 550 92,303,898 25.11% > 70.0 76,972,375 20.94% 131,675 8.452 0.97
550.01 - 575 70,909,911 19.29% > 70.0 57,305,162 15.59% 136,103 8.288 0.52
575.01 - 600 26,843,852 7.30% > 70.0 22,070,057 6.01% 111,385 8.425 3.16
600.01 - 620 22,645,039 6.16% > 70.0 19,108,331 5.20% 100,199 8.370 5.56
620.01 - 650 40,734,422 11.08% > 80.0 20,316,187 5.53% 116,052 8.069 6.02
650.01 - 680 36,302,643 9.88% > 80.0 21,478,211 5.84% 110,679 8.322 8.37
680.01 - 700 19,700,140 5.36% > 85.0 10,964,571 2.98% 121,606 7.799 4.25
700.01 - 750 25,901,745 7.05% > 85.0 13,716,067 3.73% 102,785 7.982 6.47
750.01 - 800 7,762,814 2.11% > 85.0 3,871,389 1.05% 90,265 7.735 8.42
800 + 379,368 0.10% > 85.0 0.00% 42,152 8.655 9.56
-----------------------------------------------------------------------------------------------------------------------------
TOTAL 367,525,886 100.00% 259,017,069 70.48% 119,017.45 8.265 3.65
-----------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------
FICO WA FICO WA LTV WA DTI % SFD/ % Owner % Full Doc % Cashout
PUD Occ. Refi
--------------------------------------------------------------------------------------------------
FICO NA 0 54.49 96.33 98.60 2.72 64.45
▇ - ▇▇▇ ▇▇▇ 76.45 93.73 93.08 40.71 41.71
500.01 - 550 530 79.41 87.99 96.76 45.79 69.00
550.01 - 575 563 78.89 92.79 95.55 43.38 60.59
575.01 - 600 588 79.30 90.23 96.38 69.54 50.27
600.01 - 620 611 81.29 81.50 95.28 47.57 46.93
620.01 - 650 637 81.36 89.08 93.35 46.29 51.38
650.01 - 680 666 85.49 80.32 84.26 25.21 26.16
680.01 - 700 690 85.92 77.51 89.99 31.19 26.21
700.01 - 750 724 85.02 76.54 79.14 23.15 18.77
750.01 - 800 764 82.58 69.33 72.98 34.25 11.80
800 + 815 64.14 91.46 42.65 33.47 16.25
--------------------------------------------------------------------------------------------------
TOTAL 600.00 79.84 86.78 92.64 40.51 50.61
--------------------------------------------------------------------------------------------------
FICO: Average 600 Min: 407 Max: 839
---------------- ------------- -------------
LOAN-TO- VALUE (LTV) DISTIBUTION
--------------------------------
-----------------------------------------------------------------------------------------------------------------------------
LTV Total Balance DTI Adjusted Balance[1] WA Loan WAC % Covered by
Amount %[2] Amount %[2] Balance Mortgage Ins.
-----------------------------------------------------------------------------------------------------------------------------
less than 60.00 30,327,363 8.25% > 50 0.00% 82,862 7.998 0.62
60.01 - 70.00 39,080,091 10.63% > 50 0.00% 120,246 8.458 0.82
70.01 - 80.00 117,816,231 32.06% > 50 0.00% 137,155 8.130 0.81
80.01 - 85.00 67,635,574 18.40% > 50 0.00% 125,717 8.244 1.32
85.01 - 90.00 52,022,713 14.15% > 50 0.00% 128,135 8.079 7.60
90.01 - 95.00 32,374,180 8.81% > 50 0.00% 112,021 8.767 21.10
95.01 - 100.00 27,055,239 7.36% > 50 0.00% 92,339 8.687 0.99
100+ 1,214,495 0.33% > 50 0.00% 101,208 8.111 0.00
----------------------------------------------------------------------------------------------------------------------------
TOTAL 367,525,886 100.00% 0.00% 119,017.45 8.265 3.65
----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------
LTV WA FICO WA LTV WA DTI % SFD/ % Owner % Full Doc % Cashout
PUD Occ. Refi
-----------------------------------------------------------------------------------------------------
less than 60.00 605 47.17 92.82 92.82 33.39 65.99
60.01 - 70.00 578 66.15 86.65 92.92 34.39 71.33
70.01 - 80.00 599 77.43 85.62 92.04 35.83 52.65
80.01 - 85.00 561 84.10 89.31 96.38 54.65 61.05
85.01 - 90.00 598 89.07 88.63 89.90 55.36 49.11
90.01 - 95.00 650 94.49 76.12 86.48 27.50 16.56
95.01 - 100.00 674 99.52 87.52 97.58 27.57 12.43
100+ 541 108.09 100.00 100.00 79.62 44.03
-----------------------------------------------------------------------------------------------------
TOTAL 600.00 79.84 86.78 92.64 40.51 50.61
-----------------------------------------------------------------------------------------------------
LTV: Average 79.84 Min: 0.98 Max: 114.82
---------------- ------------ -------------
--------------------------------------
[1] Balance of the collateral cut combined with second qualifier, i.e. (LTV),
FICO, DTI etc. All other cuts except the adjusted balance are only for the main
bucket
[2] Percent of the Aggregate Principal Balance - calculated automatically.
1
APPENDIX A
GEOGRAPHIC CONCENTRATION - TOP 12 STATES
----------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
STATE Total Balance WA Loan WAC % Covered by WA FICO WA LTV WA DTI % SFD/ % Owner
Amount %[2] Balance Mortgage Ins. PUD Occ
--------------------------------------------------------------------------------------------------------------------------------
California 96,015,463 26.12% 184,291 7.886 1.36 591 78.65 88.24 93.94
New York 29,477,859 8.02% 172,385 7.746 14.55 643 78.28 61.62 95.25
Florida 27,431,707 7.46% 114,299 8.518 4.29 611 83.92 91.86 90.54
Texas 26,442,647 7.19% 52,052 8.415 3.63 613 76.97 96.84 94.25
Illinois 17,193,263 4.68% 125,498 8.650 6.75 579 82.96 76.53 91.93
Michigan 17,071,278 4.64% 114,572 8.447 2.62 601 81.55 93.94 88.95
New Jersey 12,425,764 3.38% 159,305 8.005 5.01 605 73.24 74.28 92.21
Washington 11,952,131 3.25% 127,150 8.363 6.08 621 84.5 88.45 91.71
Colorado 9,540,381 2.60% 132,505 8.252 0.00 594 80.99 87.09 94.74
Minnesota 8,540,052 2.32% 167,452 8.104 4.79 593 75.66 88.76 97.24
Virginia 8,469,457 2.30% 156,842 8.332 0.00 581 79.08 94.84 91.37
Maryland 8,176,042 2.22% 173,958 7.948 5.62 592 78.51 97.12 99.5
Other 94,789,841 25.79% 98,126 8.650 1.96 596 81 89.02 90.53
---------------------------------------------------------------------------------------------------------------------------------
TOTAL 367,525,886 100.00% 119,017 826.50% 3.65 600 79.84 86.78 92.64
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------
STATE % Cashout % Full Doc
Refi
---------------------------------------------
California 60.38 39.39
New York 33.90 18.82
Florida 44.40 26.72
Texas 10.78 59.31
Illinois 47.83 42.98
Michigan 48.56 43.67
New Jersey 63.16 35.84
Washington 39.90 33.24
Colorado 50.69 48.03
Minnesota 74.65 36.86
Virginia 76.16 48.68
Maryland 77.89 59.99
Other 52.59 44.80
----------------------------------
TOTAL 50.61 40.51
----------------------------------
PRINCIPAL BALANCE
-----------------
------------------------------------------------------------------------------------------------------------------------------------
Scheduled Principal Total Balance WA Loan WAC % Covered by WA FICO WA LTV WA DTI % SFD/ % Owner
Balance Amount %[2] Balance Mortgage Ins. PUD Occ
------------------------------------------------------------------------------------------------------------------------------------
0 - $50K 24,892,244 6.77% 32,286 9.605 1.01 613.00 73.97 86.05 88.92
$51 - $200K 192,826,093 52.47% 107,604 8.528 3.09 600 80.67 88.88 91.07
$200.1 - $250K 48,601,780 13.22% 225,008 7.820 2.31 600 80.03 89.54 93.45
$250.1 - $300K 39,972,515 10.88% 273,784 7.628 8.34 602 82.22 80.85 96.55
$300.1 - $400K 41,226,910 11.22% 343,558 7.692 6.69 596 79.87 79.25 95.00
$400.1 - $500K 17,705,198 4.82% 453,979 7.620 0.00 581 74.00 89.94 97.47
$500.1 - $600K 1,686,109 0.46% 562,036 7.400 0.00 641 70.88 100.00 100.00
$600.1 - $700K 615,036 0.17% 615,036 7.250 0 700 79.87 0 100
$700.1 - $800K 0.00%
$800.1 - $900K 0.00%
$900.1 - $1000K 0.00%
>$1000K 0.00%
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 367,525,886 100.00% 119,017 8.265 3.65 600.00 79.84 86.78 92.64
------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------
Scheduled Principal % Cashout % Full Doc
Balance Refi
-------------------------------------------------
0 - $50K 24.00 53.89
$51 - $200K 49.15 44.21
$200.1 - $250K 59.34 32.73
$250.1 - $300K 57.15 38.91
$300.1 - $400K 49.69 27.38
$400.1 - $500K 64.26 32.63
$500.1 - $600K 65.14 100.00
$600.1 - $700K 100 0
$700.1 - $800K
$800.1 - $900K
$900.1 - $1000K
>$1000K
-------------------------------------------------
TOTAL 50.61 40.51
-------------------------------------------------
Principal Balance: Average 119,017.45 Min: 550.43 Max: 615,036.01
----------- ------- ----------
DOCUMENTATION TYPE
------------------
-----------------------------------------------------------------------------------------------------------------------------------
Doc Type Total Balance WA Loan WAC % Covered by WA FICO WA LTV WA DTI % SFD/ % Owner % Cashout
Amount %[2] Balance Mortgage Ins. PUD Occ Refi
------------------------------------------------------------------------------------------------------------------------------------
Full Doc 148,873,782 40.51% 106,338 8.111 0.85 590 80.67 89.30 94.91 57.02
Stated Doc 146,498,508 39.86% 139,789 8.381 0.63 602 81.11 86.48 89.96 51.45
Limited Doc 5,649,724 1.54% 128,403 7.841 4.13 634 86.14 84.77 94.08 34.54
NINA 55,344,220 15.06% 114,112 8.306 19.34 637 73.21 80.86 93.64 31.08
Other 11,159,650 3.04% 100,537 8.792 2.55 579 81.85 87.37 91.89 59.16
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL 367,525,886 100.00% 119,017 8.265 3.65 600 79.84 86.78 92.64 50.61
-----------------------------------------------------------------------------------------------------------------------------------
2
APPENDIX A
PROPERTY TYPE
-------------
------------------------------------------------------------------------------------------------------------------------------------
Property Total Balance WA Loan WAC % Covered by WA FICO WA LTV WA DTI % Owner % Cashout % Full
Type Amount %[2] Balance Mortgage Ins. Occ Refi Doc
-----------------------------------------------------------------------------------------------------------------------------------
Single Family 291,727,948 79.38% 115,857 8.284 2.78 596 79.04 94.11 52.74 42.45
PUD 27,204,636 7.40% 151,981 7.989 4.51 605 85.24 92.19 41.84 33.50
Townhouse 1,435,669 0.39% 57,427 9.983 0.00 565 75.89 94.93 56.83 48.64
2 - 4 Family 29,990,788 8.16% 138,846 8.259 8.74 638 81.05 78.73 37.11 26.84
Condo 15,817,674 4.30% 123,576 8.189 8.07 605 83.75 92.63 51.18 41.00
Manufactured 867,848 0.24% 66,758 8.685 7.16 596 76.61 92.57 59.71 55.57
Other 481,323 0.13% 53,480 9.313 25.69 623 73.52 87.04 43.25 43.25
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL 367,525,886 100.00% 119,017 8.265 3.65 600 79.84 92.64 50.61 40.51
-----------------------------------------------------------------------------------------------------------------------------------
PMI - PRIMARY MORTGAGE INSURANCE
--------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Mortgage Total Balance WA Loan WAC % Covered by WA FICO WA LTV WA DTI % Owner % Cashout
Insurance Amount %[2] Balance Mortgage Ins. Occ Refi
-----------------------------------------------------------------------------------------------------------------------------------
Loans >80 LTV w/MI 11,949,751 3.25% 168,306 790.70% 100 649 92.04 92.43 13.48
Loans >80 LTV w/o MI 168,352,450 45.81% 114,760 838.70% 0 602 89.72 92.97 44.24
Other 187,223,685 50.94% 120,789 817.70% 0.78 596 70.17 92.35 58.71
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 367,525,886 100.00% 119,017 826.50% 3.65 600 79.84 92.64 50.61
------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------
Mortgage % Full Is MI down
Insurance Doc to 60 LTV
-------------------------------------------------------
Loans >80 LTV w/MI 8.75
Loans >80 LTV w/o MI 48.73
Other 35.14
-------------------------------------------------------
TOTAL 40.51
-------------------------------------------------------
LOAN BALANCE
------------
------------------------------------------------------------------------------------------------------------------------------------
Loan Purpose Total Balance WA Loan WAC % Covered by WA FICO WA LTV WA DTI % SFD/ % Owner
Amount %[2] Balance Mortgage Ins. PUD Occ
------------------------------------------------------------------------------------------------------------------------------------
Debt Consolidation 0.00%
Refinance - Cashout 186,012,468.30 50.61% 143,087 8.149 0.96 578 76.27 88.84 94.37
Purchase 131,849,329.85 35.87% 98,029 8.34 6.84 635 85.65 82.63 88.85
Refinance - Rate Term 49,664,087.42 13.51% 112,109 8.499 5.28 590 77.77 90.07 96.22
Other 0.00%
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 367,525,886 100.00% 119,017 8.265 3.65 600 79.84 86.78 92.64
------------------------------------------------------------------------------------------------------------------------------------
COLLATERAL TYPE - FIXED/FLOATING
--------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Lien Status Total Balance WA Loan WAC % Covered by WA FICO WA LTV WA DTI % SFD/ % Owner
Amount %[2] Balance Mortgage Ins. PUD Occ
-----------------------------------------------------------------------------------------------------------------------------------
Fixed 221,913,716 30.19% 143,263 8.319 1.76 579 80.48 88.25 93.56
Floating 145,612,169 19.81% 94,615 8.182 6.53 637 78.87 84.53 91.24
2/28 206,966,408 28.16% 146,889 829.70% 1.74 577 80.66 88.60 93.65
3/27 8,998,757 1.22% 134,310 820.20% 1.20 614 81.40 83.87 89.04
Other 151,560,721 20.62% 94,020 822.40% 6.40 635 78.63 84.46 91.47
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL 735,051,771 100.00%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------
Lien Status % Cashout Index Margin
Refi
-----------------------------------------------
Fixed 58.16 0.00 6.26
Floating 39.10 0.00 0.00
2/28 59.26 0.00 6.25
3/27 48.48 0.00 6.81
Other 38.94 0.00 5.67
-----------------------------------------------
TOTAL
-----------------------------------------------
LIEN STATUS
-----------
------------------------------------------------------------------------------------------------------------------------------------
Lien Status Total Balance WA Loan WAC % Covered by WA FICO WA LTV WA DTI % SFD/ % Owner % Cashout
Amount %[2] Balance Mortgage Ins. PUD Occ Refi
------------------------------------------------------------------------------------------------------------------------------------
First Lien 359,029,434 97.69% 126,152 8.181 3.74 599 79.44 87.01 92.85 51.31
Second Lien 8,496,451 2.31% 35,109 11.787 0.00 654 96.80 77.17 83.64 21.27
Third Lien 0.00%
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 367,525,886 100.00% 119,017 8.265 3.65 600 79.84 86.78 92.64 50.61
------------------------------------------------------------------------------------------------------------------------------------
3
APPENDIX A
OCCUPANCY TYPE
--------------
-----------------------------------------------------------------------------------------------------------------------------------
Occupancy Total Balance WA Loan WAC % Covered by WA. FICO WA LTV WA DTI % SFD/ % Owner % Cashout
Type Amount %[2] Balance Mortgage Ins. PUD Occ Refi
-----------------------------------------------------------------------------------------------------------------------------------
Primary
Residence 340,473,903 92.64% 122,121 8.21 3.67 596 79.79 88 100 51.56
Second Home 2,693,515 0.73% 122,432 8.074 6.03 634 74.51 95.28 0 42.01
Investment 24,358,468 6.63% 87,620 9.055 3.05 651 81.14 68.73 0 38.36
Non-owner 0.00%
Other 0.00%
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL 367,525,886 100.00%
-----------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT PENALTY
------------------
----------------------------------------------------------------------------------------------------------------------------
Prepayment Charges Total Balance WA Loan WAC % Covered by WA FICO WA LTV WA DTI WA DTI
Term at Origination Amount %[2] Balance Mortgage Ins.
----------------------------------------------------------------------------------------------------------------------------
0 Months 133,983,486 36.46% 86,777 8.667 5.82 614 75.42
6 Months 0.00%
12 Months 20,537,895 5.59% 209,570 7.923 0.74 577 78.48
24 Months 148,418,450 40.38% 159,418 8.062 2.07 574 81.73
36 Months 59,627,436 16.22% 125,268 8.016 3.58 644 85.28
60 Months 4,449,872 1.21% 123,608 7.882 5.76 623 83.73
Other 508,746 0.14% 169,582 7.694 0.00 629 76.78
----------------------------------------------------------------------------------------------------------------------------
TOTAL 367,525,886 100.00% 119,017 8.265 3.65 600 79.84
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------
Prepayment Charges % SFD/ % Owner % Cashout
Term at Origination PUD Occ Refi
----------------------------------------------------------
0 Months 83.11 91.90 37.72
6 Months
12 Months 82.42 96.30 62.95
24 Months 90.61 94.45 62.14
36 Months 87.16 89.21 46.30
60 Months 86.22 85.98 52.96
Other 71.59 71.59 71.59
----------------------------------------------------------
TOTAL 86.78 92.64 50.61
----------------------------------------------------------
SECTION 32 LOANS
----------------
------------------------------------------------------------------------------------------------------------------------------------
Total Balance WA Loan WAC % Covered by WA FICO WA LTV WA DTI % SFD/ % Owner % Cashout
Amount %[2] Balance Mortgage Ins. PUD Occ Refi
------------------------------------------------------------------------------------------------------------------------------------
Section 32 Loans 367,525,885.57 100% 119,017 8.265 3.65 600 79.84 86.78 92.64 50.61%
------------------------------------------------------------------------------------------------------------------------------------
Total 367,525,885.57 100% 119,017 8.265 3.65 600 79.84 86.78 92.64 50.61%
------------------------------------------------------------------------------------------------------------------------------------
GA, KY % & TOP 5 STATES TOP 5 MSA
----------------------- ---------
------------------------------ ------------------------------
State %[2] MSA %[2]
---- ----
------------------------------ ------------------------------
GEORGIA 1.14%
------------------------------ ------------------------------
KENTUCKY 0.37%
------------------------------ ------------------------------
------------------------------ ------------------------------
------------------------------ ------------------------------
------------------------------ ------------------------------
------------------------------ ------------------------------
------------------------------
TOP 5 ORIGINATORS SERVICES
----------------- --------
--------------------------------- -----------------------------
Originator %[2] Servicer %[2]
---- ----
--------------------------------- -----------------------------
New Century 31.52 ▇▇▇▇▇▇ 100.00%
--------------------------------- -----------------------------
Impac 14.33
--------------------------------- -----------------------------
Mtge Investment
Lending Assoc. 8.16 -----------------------------
---------------------------------
Master Financial Inc. 5.88 -----------------------------
---------------------------------
CIT/Tyco 5.47
---------------------------------
4
APPENDIX A
STRESS ANALYSIS
Rating Agency Base Case Loss Expectations
----------------------------------------------------------------------
Standard & Poors: Analyst Name :
-----------------
----------------------------------------------------------------------
Foreclosure Frequency Loss Severity Cumulative Losses
--------------------------------------------------------------------------------
AA
--------------------------------------------------------------------------------
A
--------------------------------------------------------------------------------
A-
--------------------------------------------------------------------------------
BBB+
--------------------------------------------------------------------------------
BBB
--------------------------------------------------------------------------------
BBB-
--------------------------------------------------------------------------------
B
--------------------------------------------------------------------------------
---------------------------------------------------------------------
▇▇▇▇▇'▇: Analyst Name :
--------
---------------------------------------------------------------------
Foreclosure Frequency Loss Severity Cumulative Losses
--------------------------------------------------------------------------------
AA
--------------------------------------------------------------------------------
A
--------------------------------------------------------------------------------
A-
--------------------------------------------------------------------------------
BBB+
--------------------------------------------------------------------------------
BBB
--------------------------------------------------------------------------------
BBB-
--------------------------------------------------------------------------------
B
--------------------------------------------------------------------------------
Assuming forward LIBOR and Loss Severity depending on MI (see table on the side
for Loss Severity assumption); 100% advance of P&I; 12 month lag for liquidation
losses, Solve for first dollar of principal loss, i.e. breakeven CDR and
corresponding cumulative losses.
-----------------------------------------------------------------
MORTGAGE INSURANCE (MI) COVERAGE LOSS SEVERITY %
-----------------------------------------------------------------
None 50%
-----------------------------------------------------------------
>70% Loans w/ >80 LTV down to 80% 45%
-----------------------------------------------------------------
50 - 70% Loans w/ >80 LTV down to 80 40%
-----------------------------------------------------------------
50 - 70% Loans w/ >80 LTV down to 60 35%
-----------------------------------------------------------------
>70% LTV >80% down to 60% 30%
-----------------------------------------------------------------
---------------------------------------------------------------------
Breakeven CDR Cumulative Losses
------------------------------------------------------------------------------
25 CPR 40 CPR 60 CPR 25 CPR 40 CPR 60 CPR
------------------------------------------------------------------------------
AA
------------------------------------------------------------------------------
A
------------------------------------------------------------------------------
A-
------------------------------------------------------------------------------
BBB+
------------------------------------------------------------------------------
BBB
------------------------------------------------------------------------------
BBB-
------------------------------------------------------------------------------
Default Ramp - 0 to 4.5 CDR over 36 months; and other assumptions remaining same
as breakeven CDR, solve for a multiple of default ramp at first dollar principal
loss for the following prepayment speeds:
-----------------------------------------------------------------------
Multiple of Default Ramp Cumulative Losses
------------------------------------------------------------------------------
25 CPR 40 CPR 60 CPR 25 CPR 40 CPR 60 CPR
------------------------------------------------------------------------------
AA
------------------------------------------------------------------------------
A
------------------------------------------------------------------------------
A-
------------------------------------------------------------------------------
BBB+
------------------------------------------------------------------------------
BBB
------------------------------------------------------------------------------
BBB-
------------------------------------------------------------------------------
5
Please provide loan level data for the following attributes
------------------------------------------------------------------------------
FICO LTV WAC DTI Principal Balance
------------------------------------------------------------------------------
[Banc of America Securities LOGO]
CBASS 2003-CB4
Collateral Summary Report
1. Originators - Total Pool
--------------------------------------------------------------------------------
Number Aggregate Percent
of Current of Loans
Originator Mortgage Principal by Principal
Loans Balance Balance
--------------------------------------------------------------------------------
New Century 686 $115,851,160 31.52%
Impac 342 52,661,818 14.33
M.I.L.A. 291 29,985,911 8.16
Master Financial Inc. 171 21,620,112 5.88
CIT/Tyco 235 20,112,927 5.47
United Capital Markets 78 16,111,732 4.38
First Boston Mtge 91 14,866,980 4.05
Pacific America 206 13,823,018 3.76
Platinum Capital Group 65 12,907,772 3.51
Ocwen 151 11,730,373 3.19
Broadway National Bank 301 11,161,544 3.04
RBMG Inc. 134 9,603,408 2.61
Wilmington Finance, Inc. 49 8,466,317 2.30
South Plains 112 6,254,055 1.70
Radian 30 4,863,220 1.32
▇▇▇▇▇ 32 3,400,964 0.93
BNC Lending 17 3,308,144 0.90
Washington Mutual 7 2,231,951 0.61
Bank of America 28 1,992,386 0.54
Citigroup 6 1,311,896 0.36
WMC Mortgage 6 1,088,323 0.30
First National Bank of Arizona 6 1,035,168 0.28
▇▇▇▇▇▇▇ & Broad 5 626,502 0.17
Long Beach 7 558,957 0.15
First Collateral Corp 11 456,892 0.12
GMAC/RFC 5 239,249 0.07
CS First Boston 2 185,962 0.05
GRP Financial 1 181,018 0.05
Conseco 2 145,516 0.04
National City Mortgage 1 136,605 0.04
Nations Bank 2 131,240 0.04
Guaranty Residential Lending 1 111,260 0.03
Amresco 1 91,560 0.02
Countrywide 1 69,373 0.02
Encore Credit Corp. 1 63,518 0.02
Source One 1 53,603 0.01
▇▇▇▇▇▇▇ ▇▇▇▇▇ 1 37,822 0.01
DLJ 1 29,243 0.01
Altegra 1 18,385 0.01
--------------------------------------------------------------------------------
Total: 3,088 $367,525,886 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information, and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
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offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete, and it should not be relied upon as such. By
accepting this material, the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions, or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
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Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
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any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
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the issuer in connection with the proposed transaction.
================================================================================
Global Structured Finance Page 1 of 2
[Banc of America Securities LOGO]
2. Originators - Group II Pool
--------------------------------------------------------------------------------
Number Aggregate Percent
of Current of Loans
Originator Mortgage Principal by Principal
Loans Balance Balance
--------------------------------------------------------------------------------
New Century 137 $34,738,876 46.61%
Impac 57 11,690,239 15.68
M.I.L.A 41 4,735,849 6.35
Platinum Capital Group 10 3,322,889 4.46
CIT/Tyco 29 3,133,540 4.20
Pacific America 35 2,149,676 2.88
Master Financial Inc. 21 2,083,824 2.80
Ocwen 25 2,017,868 2.71
First Boston Mtge 10 1,594,283 2.14
BNC Lending 5 1,590,912 2.13
RBMG Inc. 17 1,450,724 1.95
Broadway National Bank 37 1,237,546 1.66
Wilmington Finance, Inc. 5 1,027,265 1.38
South Plains 19 976,836 1.31
United Capital Markets 5 825,450 1.11
Bank of America 4 306,237 0.41
▇▇▇▇▇ 4 294,099 0.39
▇▇▇▇▇▇▇ & Broad 2 262,555 0.35
Radian 2 243,197 0.33
Washington Mutual 1 231,681 0.31
WMC Mortgage 1 192,539 0.26
GRP Financial 1 181,018 0.24
Amresco 1 91,560 0.12
CS First Boston 1 53,347 0.07
First Collateral Corp 1 43,998 0.06
DLJ 1 29,243 0.04
GMAC/RFC 1 28,654 0.04
--------------------------------------------------------------------------------
Total: 473 $74,533,909 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information, and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete, and it should not be relied upon as such. By
accepting this material, the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions, or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and/or buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC"), and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not as an agent for
the issuer in connection with the proposed transaction.
================================================================================
Global Structured Finance Page 2 of 2
[Banc of America Securities LOGO]
CBASS 2003-CB4
Collateral Summary Report
1. Originators - Total Pool
--------------------------------------------------------------------------------
Number Aggregate Percent
of Current of Loans
Originator Mortgage Principal by Principal
Loans Balance Balance
--------------------------------------------------------------------------------
New Century 686 $115,851,160.49 31.52%
Impac 342 52,661,817.77 14.33
Mtge Investment Lending Assoc. 291 29,985,910.68 8.16
Master Financial Inc. 171 21,620,112.38 5.88
CIT/Tyco 235 20,112,926.99 5.47
United Capital Markets 78 16,111,732.24 4.38
First Boston Mtge 91 14,866,980.26 4.05
Pacific America 206 13,823,018.23 3.76
Platinum Capital Group 65 12,907,772.38 3.51
Ocwen 151 11,730,372.66 3.19
Broadway National Bank 301 11,161,544.42 3.04
RBMG Inc. 134 9,603,408.46 2.61
Wilmington Finance, Inc. 49 8,466,316.96 2.3
South Plains 112 6,254,055.42 1.7
Radian 30 4,863,219.68 1.32
Other 146 17,505,536.55 4.76
--------------------------------------------------------------------------------
Total: 3,088 $367,525,885.57 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information, and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete, and it should not be relied upon as such. By
accepting this material, the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions, or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and/or buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC"), and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not as an agent for
the issuer in connection with the proposed transaction.
================================================================================
Global Structured Finance Page 1 of 1
[Banc of America Securities LOGO]
CBASS 2003-CB4
Collateral Summary Report
1. Simple Interest vs Actuarial Loans
--------------------------------------------------------------------------------
Simple Interest Loan count Balance Percent of Balance
--------------------------------------------------------------------------------
Actuarial 3,081 $367,246,470.95 99.92%
Simple Interest 7 279,414.62 0.08
--------------------------------------------------------------------------------
Total: 3,088 $367,525,885.57 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information, and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete, and it should not be relied upon as such. By
accepting this material, the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions, or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and/or buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC"), and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not as an agent for
the issuer in connection with the proposed transaction.
================================================================================
Global Structured Finance Page 1 of 1
Global Structured Finance
CBASS 2003-CB4
Current Principal Balance >= $500k
Collateral Summary Report
--------------------------------------------------------------------------------
1. General Pool Characteristics
Pool Size: $2,301,145.04
Loan Count: 4
Cutoff Date: 2003-08-01
Avg. Loan Balance: $575,286.26
Total Orig. Bal.: $2,347,900.00
Avg. Orig. Balance: $586,975.00
W.A. FICO: 657
W.A. Orig. CLTV: 74.54%
W.A. Current CLTV: 73.28%
Earliest Origin. Date: 2002-02-19
Latest Origin. Date: 2003-05-07
Latest Maturity Date: 2033-06-01
W.A. Gross Coupon: 7.360%
W.A. Orig. Term: 283 months
W.A. Rem. Term: 276 months
W.A. Age: 7 months
% over 80 Orig. CLTV: 25.55%
% over 100 Orig. CLTV: 0.00%
% over 80 CLTV not Insured: 25.55%
% with Borrower PMI: 0.00%
% FHA/VA Insured: 0.00%
% Seller Financed: 0.00%
% Second Lien: 0.00%
% with Prepay Penalty: 22.12%
% Simple Interest: 0.00%
% Subperforming: 0.00%
% Section 32: 0.00%
% Balloon: 0.00%
% ARM: 25.55%
W.A. Roll Term: 30 months
W.A. Margin: 6.500%
W.A. Initial Cap (ARMs): 3.000%
W.A. Periodic Cap (ARMs): 1.000%
W.A. Ceiling (ARMs): 12.990%
W.A. Floor (ARMs):
Max. Zipcode Conc.: 26.73%
--------------------------------------------------------------------------------
2. Current Balance
--------------------------------
Current Balance Percent
--------------------------------
500,001 or greater 100.00%
--------------------------------
Total: 100.00%
--------------------------------
Average: $575,286.26
Lowest: $509,090.18
Highest: $615,036.01
--------------------------------------------------------------------------------
3. Original Balance
--------------------------------
Original Balance Percent
--------------------------------
500,001 or greater 100.00%
--------------------------------
Total: 100.00%
--------------------------------
Average: $586,975.00
Lowest: $510,000.00
Highest: $625,000.00
--------------------------------------------------------------------------------
4. Lien Position
--------------------------------
Lien Position Percent
--------------------------------
1 100.00%
--------------------------------
Total: 100.00%
--------------------------------
--------------------------------------------------------------------------------
5. Loan Rate
--------------------------------
Loan Rate Percent
--------------------------------
7.000 or less 51.15%
7.001 - 7.500 26.73
8.501 - 9.000 22.12
--------------------------------
Total: 100.00%
--------------------------------
W.A.: 7.360%
Lowest: 6.750%
Highest: 8.625%
--------------------------------------------------------------------------------
6. Credit Score
--------------------------------
Credit Score Percent
--------------------------------
700 - 749 26.73%
650 - 699 25.60
600 - 649 25.55
550 - 599 22.12
--------------------------------
Total: 100.00%
--------------------------------
W.A.: 657
Lowest: 593
Highest: 700
--------------------------------------------------------------------------------
7. Original CLTV
--------------------------------
Original CLTV Percent
--------------------------------
60.0 or less 25.60%
70.1 - 80.0 48.85
80.1 - 90.0 25.55
--------------------------------
Total: 100.00%
--------------------------------
W.A.: 74.54%
Lowest: 59.52%
Highest: 83.48%
--------------------------------------------------------------------------------
8. Product Type
--------------------------------
Product Type Percent
--------------------------------
21-30 yr Fixed 48.85%
0-15 yr Fixed 25.60
3YR ARM 25.55
--------------------------------
Total: 100.00%
--------------------------------
--------------------------------------------------------------------------------
9. Loan Purpose
--------------------------------
Loan Purpose Percent
--------------------------------
Equity Refinance 74.45%
Rate/Term Refinance 25.55
--------------------------------
Total: 100.00%
--------------------------------
--------------------------------------------------------------------------------
10. Property Type
--------------------------------
Property Type Percent
--------------------------------
Single Family 47.73%
4-Family 26.73
Planned Unit Development 25.55
--------------------------------
Total: 100.00%
--------------------------------
--------------------------------------------------------------------------------
11. State
--------------------------------
State Percent
--------------------------------
New York 26.73%
California 25.60
Colorado 25.55
Virginia 22.12
--------------------------------
Total: 100.00%
--------------------------------
--------------------------------------------------------------------------------
12. Zip Code
--------------------------------
Zip Code Percent
11368 26.73%
93012 25.60
80129 25.55
22124 22.12
--------------------------------
Total: 100.00%
--------------------------------
--------------------------------------------------------------------------------
13. Occupancy Status
--------------------------------
Occupancy Status Percent
--------------------------------
Primary 100.00%
--------------------------------
Total: 100.00%
--------------------------------
--------------------------------------------------------------------------------
14. Documentation
--------------------------------
Documentation Percent
--------------------------------
Full Doc 73.27%
No Doc 26.73
--------------------------------
Total: 100.00%
--------------------------------
--------------------------------------------------------------------------------
15. Prepayment Penalty Term
--------------------------------
Prepayment Penalty Term Percent
--------------------------------
0 77.88%
36 22.12
--------------------------------
Total: 100.00%
--------------------------------
W.A.: 8 months
Lowest: 0 months
Highest: 36 months
--------------------------------------------------------------------------------
16. Remaining Term
--------------------------------
Remaining Term Percent
--------------------------------
121 - 180 25.60%
181 - 240 25.55
301 - 360 48.85
--------------------------------
Total: 100.00%
--------------------------------
W.A.: 276 months
Lowest: 163 months
Highest: 358 months
--------------------------------------------------------------------------------
17. Loan Age
--------------------------------
Loan Age Percent
--------------------------------
1 - 12 74.40%
13 - 24 25.60
--------------------------------
Total: 100.00%
--------------------------------
W.A.: 7 months
Lowest: 2 months
Highest: 17 months
--------------------------------------------------------------------------------
18. Term to Roll (ARMs)
--------------------------------
Term to Roll (ARMs) Percent
--------------------------------
25 - 30 100.00%
--------------------------------
Total: 100.00%
--------------------------------
W.A.: 30 months
Lowest: 30 months
Highest: 30 months
--------------------------------------------------------------------------------
19. Gross Margin (ARMs)
--------------------------------
Gross Margin (ARMs) Percent
--------------------------------
6.01 - 7.00 100.00%
--------------------------------
Total: 100.00%
--------------------------------
W.A.: 6.500%
Lowest: 6.500%
Highest: 6.500%
--------------------------------------------------------------------------------
20. Initial Cap (ARMs)
--------------------------------
Initial Cap (ARMs) Percent
3.00 100.00%
--------------------------------
Total: 100.00%
--------------------------------
W.A.: 3.000%
Lowest: 3.000%
Highest: 3.000%
--------------------------------------------------------------------------------
21. Periodic Cap (ARMs)
--------------------------------
Periodic Cap (ARMs) Percent
--------------------------------
1.00 100.00%
--------------------------------
Total: 100.00%
--------------------------------
W.A.: 1.000%
Lowest: 1.000%
Highest: 1.000%
--------------------------------------------------------------------------------
22. Maximum Rate (ARMs)
--------------------------------
Maximum Rate (ARMs) Percent
--------------------------------
13.00 or less 100.00%
--------------------------------
Total: 100.00%
--------------------------------
W.A.: 12.990%
Lowest: 12.990%
Highest: 12.990%
--------------------------------------------------------------------------------
23. OTSDLQ
--------------------------------
OTSDLQ Percent
--------------------------------
0-29 days 100.00%
--------------------------------
Total: 100.00%
--------------------------------
--------------------------------------------------------------------------------
Banc of America Securities LLC
--------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information, and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete, and it should not be relied upon as such. By
accepting this material, the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions, or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and/or buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC"), and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not as an agent for
the issuer in connection with the proposed transaction.
--------------------------------------------------------------------------------
[Banc of America Securities LOGO]
CBASS 2003-CB4
Collateral Summary Report
1. Originators - Total Pool
--------------------------------------------------------------------------------
Number Aggregate Percent
of Current of Loans
Originator Mortgage Principal by Principal
Loans Balance Balance
--------------------------------------------------------------------------------
New Century 686 $115,851,160.49 31.52%
Impac 342 52,661,817.77 14.33
Mtge Investment Lending Assoc 291 29,985,910.68 8.16
Master Financial Inc. 171 21,620,112.38 5.88
CIT/Tyco 235 20,112,926.99 5.47
United Capital Markets 78 16,111,732.24 4.38
First Boston Mtge 91 14,866,980.26 4.05
Pacific America 206 13,823,018.23 3.76
Platinum Capital Group 65 12,907,772.38 3.51
Ocwen 151 11,730,372.66 3.19
Broadway National Bank 301 11,161,544.42 3.04
RBMG Inc. 134 9,603,408.46 2.61
Wilmington Finance, Inc. 49 8,466,316.96 2.3
South Plains 112 6,254,055.42 1.7
Radian 30 4,863,219.68 1.32
Other 146 17,505,536.55 4.76
--------------------------------------------------------------------------------
Total: 3,088 $367,525,885.57 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private informatio n, and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete, and it should not be relied upon as such. By
accepting this material, the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptio ns regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions, or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and/or buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC"), and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all
--------------------------------------------------------------------------------
Global Structured Finance Page 1 of 2
Global Structured Finance Page 1 of 2
2. Product Types - Total Pool
--------------------------------------------------------------------------------
Number Aggregate Percent
of Current of Loans
Product Types Mortgage Principal by Principal
Loans Balance Balance
--------------------------------------------------------------------------------
1YR ARM 9 $ 726,601.33 0.20%
2YR ARM 1,414 207,302,086.37 56.4
3YR ARM 71 9,759,926.21 2.66
5YR ARM 4 263,889.90 0.07
6MO ARM 46 3,650,154.64 0.99
7YR ARM 5 211,058.02 0.06
0-15 yr Fixed 231 12,458,607.88 3.39
15 /30 Balloon 77 5,937,152.04 1.62
16-20 yr Fixed 130 5,415,321.77 1.47
21-30 yr Fixed 1,096 121,401,777.77 33.03
30+ yr Fixed 4 340,864.38 0.09
5 /24.5 Balloon 1 58,445.26 0.02
--------------------------------------------------------------------------------
Total: 3,088 $367,525,885.57 100.00%
--------------------------------------------------------------------------------
3. Loan Types - Total Pool
--------------------------------------------------------------------------------
Number Aggregate Percent
of Current of Loans
Loan Types Mortgage Principal by Principal
Loans Balance Balance
--------------------------------------------------------------------------------
FIX 1,539 $145,612,169.10 39.62%
ARM 1,549 221,913,716.47 60.38
--------------------------------------------------------------------------------
Total: 3,088 $367,525,885.57 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information, and Banc of
America Securities LLC (the "Underwriter") is not soliciting any actio n based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete, and it should not be relied upon as such. By
accepting this material, the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwritermakes no
representation regarding the reasonableness of such assumptions, or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and/or buy and
sell, the securities mentioned therein or de rivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC"), and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not p repared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not as an agent for
the issuer in connection with the proposed transaction.
--------------------------------------------------------------------------------
Global Structured Finance Page 2 of 2
