EXHIBIT 99.1
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6
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
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Computational Materials
$628,329,900
(Approximate)
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Mortgage Loan Trust
Series 2005-2AR
Mortgage Pass-Through Certificates
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
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Page 1
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
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COMPUTATIONAL MATERIALS DISCLAIMER
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. Any such
offer to buy or sell any security or instrument or to engage in a transaction
would be made only after a prospective participant had completed its own
independent investigation of the transaction and received all information it
required to make its own investment decision, including, where applicable, a
review of any offering circular or memorandum describing such security or
instrument which would contain material information not contained herein and
to which prospective participants are referred. In the event of any such
offering, this information shall be deemed superseded and replaced in its
entirety by such offering circular or memorandum. No representation or
warranty can be given with respect to the accuracy or completeness of the
information herein, or that any future offer of securities or transactions
would conform to the terms hereof. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and its affiliates disclaim
any and all liability relating to this information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ is not offering and does not purport to offer
tax, regulatory, accounting or legal advice and this information should not
and cannot be relied upon as such. Prior to entering into any proposed
transaction, recipients should determine, in consultation with their own
legal, tax, regulatory and accounting advisors, the economic risks and merits,
as well as the legal, tax, regulatory and accounting characteristics and
consequences, of the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are
difficult to predict and may depend upon events outside the issuer's or
counterparty's control. Actual events may differ from those assumed and
changes to any assumptions may have a material impact on any projections or
estimates. Other events which were not taken into account may occur and may
significantly affect the analysis. Certain assumptions may have been made for
modeling purposes only to simplify the presentation and/or calculation of any
projections or estimates, and ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ does not purport that any such
assumptions will reflect actual future events. Accordingly, there can be no
assurance that estimated returns or projections will be realized or that
actual returns or performance results will not be materially different than
those estimated herein. Any such estimated returns and projections should be
viewed as hypothetical. Recipients should conduct their own analysis, using
such assumptions as they deem appropriate, and should fully consider other
available information in making a decision regarding these transactions. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and each recipient hereof are
deemed to agree that both ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and such recipient (and their
respective employees, representatives, and other agents) may disclose to any
and all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax
treatment of the transaction described herein ("tax structure") and all
materials of any kind (including opinions or other tax analyses) that are
provided to such person relating to such tax treatment and tax structure,
except where confidentiality is reasonably necessary to comply with securities
laws (including, where applicable, confidentiality regarding the identity of
an issuer of securities or its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited
by law or the terms thereof. Unless noted herein, neither ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ or
any issuer of securities has taken or will take any action in any jurisdiction
that would permit a public offering of Notes, or possession or distribution of
any offering material in relation thereto, in any country or jurisdiction
where action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations
under any transaction. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ does not undertake or have any
responsibility to notify you of any changes to the attached information.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated, its affiliates and others associated with
it may have positions in, and may effect transactions in, securities and
instruments of issuers mentioned herein and may also perform or seek to
perform investment banking services for the issuers of such securities and
instruments. Additional information is available upon request.
With respect to any UK recipients, this communication is directed only to
those persons who are market counterparties or intermediate customers (as
defined in the UK Financial Services Authority's rules)
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
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$628,329,900 (Approximate)
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Mortgage Capital Series 2005-2AR
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Capital I Inc.
Depositor
▇▇▇▇▇ Fargo Bank, National Association
Master Servicer
Transaction Highlights
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Initial
Offered Expected Ratings Avg Life to Payment Window Call/ Subordination
Classes Description Balance(3) (S&P / Moody's ) Call/ Mty(1)(2) Mty (1)(2) Level Benchmark
------- ----------- ---------- ---------------- -------------- ------------------- ----- ---------
A Floater(4) $587,781,900 AAA/Aaa 3.22 / 3.24 1 - 181 / 1 - 360 7.950% 1 Mo. LIBOR
X WAC IO(5)(6) $628,329,900 AAA/Aaa 7.950% N/A
Information Not Provided Hereby
A-R Residual $100 AAA/Aaa 7.950% N/A
B-1 Floater(7) $28,416,000 AA/NR 5.98 / 6.04 1 - 181 / 1 - 360 3.500% 1 Mo. LIBOR
B-2 Floater(8) $7,662,000 A/NR 5.98 / 6.04 1 - 181 / 1 - 360 2.300% 1 Mo. LIBOR
B-3 Floater(9) $4,470,000 BBB/NR 5.98 / 6.04 1 - 181 / 1 - 360 1.600% 1 Mo. LIBOR
B-4 Net WAC(10) $4,470,000 BB/NR 0.900% N/A
B-5 Net WAC(10) $3,512,000 B/NR Information Not Provided Hereby 0.350% N/A
B-6 Net WAC(10) $2,235,549 NR/NR 0.000% N/A
Notes: (1) Certificates are priced to a 1% Optional Termination.
------ (2) Based on 100% PPC on the fixed rate loans and 25% CPR on the
adjustable rate loans as described herein.
(3) Bond sizes subject to a variance of plus or minus 5%.
(4) The Class A Certificates will have a per annum interest rate
equal to the least of (i) One-Month LIBOR plus [ ] bps, (ii)
the Net WAC Cap (as described herein) and (iii) 11.00%.
(5) The balance shown with respect to the Class X Certificates is a
notional balance. Such class is a class of interest-only
certificates and will not be entitled to distributions of
principal.
(6) The notional amount of the Class X Certificates for any
Distribution Date is equal to the aggregate class principal
balance of the Class A, Class B-1, Class B-2, and Class B-3
Certificates.
(7) The Class B-1 Certificates will have a per annum interest rate
equal to the least of (i) One-Month LIBOR plus [ ] bps, (ii)
the Net WAC Cap and (iii) 11.00%.
(8) The Class B-2 Certificates will have a per annum interest rate
equal to the least of (i) One-Month LIBOR plus [ ] bps, (ii)
the Net WAC Cap and (iii) 11.00%.
(9) The Class B-3 Certificates will have a per annum interest rate
equal to the least of (i) One-Month LIBOR plus [ ] bps, (ii)
the Net WAC Cap and (iii) 11.00%.
(10) The Class B-4, Class B-5 and Class B-6 Certificates will have
a per annum interest rate equal to the Net WAC Cap.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
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Issuer: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Mortgage Loan Trust 2005-2AR.
Depositor: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Capital I Inc.
Originators: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Mortgage Capital 65.79%
GreenPoint 14.85%
Others 19.36%
Servicers: Option One 69.49%
GreenPoint 14.85%
Others 15.66%
Master Servicer/ ▇▇▇▇▇ Fargo Bank, National Association
Securities Administrator:
Trustee: Deutsche Bank National Trust Company.
Managers: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ (sole lead manager)
Rating Agencies: Standard & Poor's and ▇▇▇▇▇'▇ Investors Service are expected to rate the Certificates
as set forth on page 1 of this Preliminary Term Sheet.
Offered Certificates: The Class A, Class B-1, Class B-2, and Class B-3 Certificates.
Senior Certificates: The Class A, Class A-R and Class X Certificates.
LIBOR Certificates: The Class A, Class B-1, Class B-2, and Class B-3 Certificates.
Notional Certificates: The Class X Certificates.
Subordinate Certificates: The Class B-1, Class B-2, Class B-3, Class B-4, Class B-5 and Class B-6 Certificates.
Expected Closing Date: March 31, 2005 through DTC, and upon request only, through Euroclear or Clearstream.
Cut-off Date: March 1, 2005.
Prepayment Assumption: Adjustable Rate Loans: 25% CPR
Fixed Rate Loans: 100% PPC (8% to 24% CPR over 12 months)
Accrued Interest: The Class A, Class B-1, Class B-2 and Class B-3 Certificates will settle flat.
Accrual Period: The interest accrual period (the "Accrual Period") with respect to the Class A, Class
B-1, Class B-2 and Class B-3 Certificates for a given Distribution Date will be the
period beginning on the 25th day of the month (or, in the case of the first
Distribution Date, the Closing Date) and ending on the 24th day of the month (on a
30/360 basis) in which the Distribution Date occurs.
Distribution Dates: The 25th of each month, or if such day is not a business day, on the next business day,
beginning April 25, 2005.
Final Scheduled The Distribution Date occurring in April 2035.
Distribution Date:
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
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Mortgage Loans: As of the Cut-off Date, the Mortgage Loans consist of 1,532 fixed and adjustable rate
residential, first-lien mortgage loans. The principal balance of the Mortgage Loans as
of the Cut-off Date will be approximately $638,547,550.
Clean-Up Call: The terms of the transaction allow for a purchase of the Mortgage Loans resulting in
the retirement of the Certificates once the aggregate principal balance of the Mortgage
Loans is equal to 1% or less of aggregate principal balance of the Mortgage Loans as of
the Cut-off Date (the "Clean-Up Call Date").
Credit Enhancement: Senior/subordinate, shifting interest structure.
Credit enhancement for the Senior Certificates will consist of the subordination of the
Subordinate Certificates (total subordination initially [7.95]%).
Credit enhancement for the Class B-1 Certificates will consist of the subordination of
the Class B-2, Class B-3, Class B-4, Class B-5 and Class B-6 Certificates (total
subordination initially [3.50]%).
Credit enhancement for the Class B-2 Certificates will consist of the subordination of
the Class B-3, Class B-4, Class B-5 and Class B-6 Certificates (total subordination
initially [2.30]%).
Credit enhancement for the Class B-3 Certificates will consist of the subordination of
the Class B-4, Class B-5 and Class B-6 Certificates (total subordination initially
[1.60]%).
Class A Interest Rate Beginning on the first Distribution Date, and for a period of 185 months thereafter,
Cap: an Interest Rate Cap will be entered into by the Trust for the benefit of the Class
A Certificates.
For its duration, the Class A Interest Rate Cap pays the Trust the product of (i) the
excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling)
over the cap strike (on a 30/360 day count basis), (ii) the Class A Interest Rate Cap
Notional Balance as described on the schedule herein and (iii) 100 ("the Class A
Interest Rate Cap Payment").
Class A Interest Rate Cap The Class A Interest Rate Cap Payment shall be available to pay any Class A Net
Payment Allocation: WAC Shortfall due to the Class A Certificates
Class B-1 Interest Rate Beginning on the first Distribution Date, and for a period of 185 months thereafter, an
Cap: Interest Rate Cap will be entered into by the Trust for the benefit of the Class B-1
Certificates.
For its duration, the Class B-1 Interest Rate Cap pays the Trust the product of (i) the
excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling)
over the cap strike (on a 30/360 day count basis), (ii) the Class B-1 Interest Rate Cap
Notional Balance as described on the schedule herein and (iii) 100 ("the Class B-1
Interest Rate Cap Payment").
Class B-1 Interest Rate The Class B-1 Interest Rate Cap Payment shall be available to pay any Class B-1 Net
Cap Payment Allocation: WAC Shortfall due to the Class B-1 Certificates.
Class B-2 Interest Rate Beginning on the first Distribution Date, and for a period of 185 months thereafter, an
Cap: Interest Rate Cap will be entered into by the Trust for the benefit of the Class B-2
Certificates.
For its duration, the Class B-2 Interest Rate Cap pays the Trust the product of (i) the
excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling)
over the cap strike (on a 30/360 day count basis), (ii) the Class B-2 Interest Rate Cap
Notional Balance as described on the schedule herein and (iii) 100 ("the Class B-2
Interest Rate Cap Payment").
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
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Class B-2 Interest Rate The Class B-2 Interest Rate Cap Payment shall be available to pay any Class B-2 Net
Cap Payment Allocation: WAC Shortfall due to the Class B-2 Certificates.
Class B-3 Interest Rate Beginning on the first Distribution Date, and for a period of 185 months thereafter,
Cap: an Interest Rate Cap will be entered into by the Trust for the benefit of the Class B-3
Certificates.
For its duration, the Class B-3 Interest Rate Cap pays the Trust the product of (i) the
excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling)
over the cap strike (on a 30/360 day count basis), (ii) the Class B-3 Interest Rate Cap
Notional Balance as described on the schedule herein and (iii) 100 ("the Class B-3
Interest Rate Cap Payment").
Class B-3 Interest Rate The Class B-3 Interest Rate Cap Payment shall be available to pay any Class B-3 Net
Cap Payment Allocation: WAC Shortfall due to the Class B-3 Certificates.
Net WAC Cap: The weighted average of the net mortgage rates for the Mortgage Loans ("Net WAC Cap").
Class A Net WAC If on any Distribution Date, the Certificate Interest Rate of the Class A Certificates
Shortfall: is subject to the Net WAC Cap, such Certificates will, to the extent described below,
be entitled to payment of an amount equal to the sum of (i) the excess of (a) interest
accrued at the respective Certificate Formula Rate over (b) the amount of interest
received on such Certificates based on the Net WAC Cap, plus (ii) the unpaid portion of
any such excess from previous Distribution Dates (and any interest thereon at the then
applicable Certificate Formula Rate) (a "Class A Net WAC Shortfall").
Class B-1 Net WAC If on any Distribution Date, the Certificate Interest Rate of the Class B-1 Certificates
Shortfall: is subject to the Net WAC Cap, such Certificates will, to the extent described below,
be entitled to payment of an amount equal to the sum of (i) the excess of (a) interest
accrued at the respective Certificate Formula Rate over (b) the amount of interest
received on such Certificates based on the Net WAC Cap, plus (ii) the unpaid portion of
any such excess from previous Distribution Dates (and any interest thereon at the then
applicable Certificate Formula Rate) (a "Class B-1 Net WAC Shortfall").
Class B-2 Net WAC If on any Distribution Date, the Certificate Interest Rate of the Class B-2 Certificates
Shortfall: is subject to the Net WAC Cap, such Certificates will, to the extent described below,
be entitled to payment of an amount equal to the sum of (i) the excess of (a) interest
accrued at the respective Certificate Formula Rate over (b) the amount of interest
received on such Certificates based on the Net WAC Cap, plus (ii) the unpaid portion of
any such excess from previous Distribution Dates (and any interest thereon at the then
applicable Certificate Formula Rate) (a "Class B-2 Net WAC Shortfall").
Class B-3 Net WAC If on any Distribution Date, the Certificate Interest Rate of the Class B-3 Certificates
Shortfall: is subject to the Net WAC Cap, such Certificates will, to the extent described below,
be entitled to payment of an amount equal to the sum of (i) the excess of (a) interest
accrued at the respective Certificate Formula Rate over (b) the amount of interest
received on such Certificates based on the Net WAC Cap, plus (ii) the unpaid portion of
any such excess from previous Distribution Dates (and any interest thereon at the then
applicable Certificate Formula Rate) (a "Class B-3 Net WAC Shortfall").
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
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Certificate Interest Rate: The LIBOR Certificates will have a Certificate Interest Rate equal to the lesser of (i)
the related Certificate Formula Rate and (ii) the Net WAC Cap.
Certificate Formula Rate: The LIBOR Certificates will have a Certificate Formula Rate equal to the lesser of (i)
one-month LIBOR plus the related margin and (ii) 11.00%.
Reserve Fund: As of the Closing Date, the "Reserve Fund" will be established on behalf of the LIBOR
Certificates. The Reserve Fund will be funded by an initial deposit of funds on the
Closing Date, and thereafter, by amounts otherwise distributable to the Class X
Certificates to the extent of any of the related Net WAC Shortfall amounts for a
related Distribution Date remaining after allocation of any payments made with respect
to the related interest rate cap. The Reserve Fund will not be an asset of the REMIC.
On any Distribution Date, the LIBOR Certificates will be entitled to receive payments
from the Reserve Fund in an amount equal to the related Net WAC Shortfall amount for
such Distribution Date remaining after allocation of payments made under the related
interest rate cap, to the extent available. Any amounts remaining in the Reserve Fund
after such distribution will be distributed to the Class X Certificates.
Shifting Interest: Until the Distribution Date occurring in April 2012, the Subordinate Certificates will
be locked out from receipt of prepayment principal (unless the Senior Certificates are
paid down to zero or the credit enhancement provided by the Subordinate Certificates
has doubled prior to such date as described below). After such time and subject to
standard collateral performance triggers (as described in the prospectus supplement),
the Subordinate Certificates will receive an increasing portion of unscheduled
principal prepayments. Unscheduled principal prepayments will be allocated to the
Subordinate Certificates based on the following percentages:
April 2005 - March 2012 0% Pro Rata Share
April 2012 - March 2013 30% Pro Rata Share
April 2013 - March 2014 40% Pro Rata Share
April 2014 - March 2015 60% Pro Rata Share
April 2015 - March 2016 80% Pro Rata Share
April 2016 and after 100% Pro Rata Share
Notwithstanding the foregoing, if the credit enhancement provided by the Subordinate
Certificates is twice that initially calculated, all principal (scheduled principal,
prepayments and recoveries) will be paid pro-rata between the Senior Certificate (other
than the Class X Certificates) and Subordinate Certificates (subject to performance
triggers). However, if prior to the Distribution Date in April 2008, the credit
enhancement provided by the Subordinate Certificates is twice that initially calculated
(subject to performance triggers on such Distribution Date), then the Subordinate
Certificates will be entitled to only 50% of their pro-rata share of principal
prepayments.
Any principal not allocated to the Subordinate Certificates will be allocated to the
Senior Certificates. In the event the applicable current senior percentage (equal to
the aggregate principal balance of the Senior Certificates, divided by the aggregate
class principal balance of the Mortgage Loans) exceeds the initial senior percentage
(equal to the aggregate principal balance of the Senior Certificates as of the Closing
Date, divided by the sum of the aggregate principal balance of the Mortgage Loans as of
the Cut-off Date), the Senior Certificates (other than the Class X Certificates) will
receive all unscheduled prepayments from the Mortgage Loans, regardless of any
prepayment percentages as described above.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
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Allocation of Realized Any realized losses on the Mortgage Loans will be allocated as follows: first, to
Losses: the Subordinate Certificates in reverse order of their numerical Class designations, in
each case until the respective class principal balance thereof has been reduced to
zero; thereafter, to the Class A Certificates in reduction of their principal balance,
until the class principal balance thereof has been reduced to zero.
Certificate Priority of With respect to any Distribution Date, available funds from the Mortgage Loans will be
Distributions: distributed in the following order of priority:
1) Senior Certificates, accrued and unpaid interest at the related Certificate
Interest Rate, from the Mortgage Loans; provided, however, the amount of
interest otherwise distributable to the Class X Certificates shall first be
deposited in the Reserve Fund.
2) Class A-R Certificates, principal allocable to such class.
3) Class A Certificates, principal allocable to such class.
4) Class B-1 Certificates, accrued and unpaid interest at the related Certificate
Interest Rate.
5) Class B-1 Certificates, principal allocable to such class.
6) Class B-2 Certificates, accrued and unpaid interest at the related Certificate
Interest Rate.
7) Class B-2 Certificates, principal allocable to such class.
8) Class B-3 Certificates, accrued and unpaid interest at the related Certificate
Interest Rate.
9) Class B-3 Certificates, principal allocable to such class.
10) Class A Certificates, the related Net WAC Shortfall amount from the Reserve
Fund, remaining unpaid after application of the amounts received under the
Class A Interest Rate Cap.
11) Class B-1, the related Net WAC Shortfall Amount from the Reserve Fund,
remaining unpaid after application of the amounts received under the Class B-1
Interest Rate Cap.
12) Class B-2, the related Net WAC Shortfall Amount from the Reserve Fund,
remaining unpaid after application of the amounts received under the Class B-2
Interest Rate Cap.
13) Class B-3, the related Net WAC Shortfall Amount from the Reserve Fund,
remaining unpaid after application of the amounts received under the Class B-3
Interest Rate Cap.
14) Class X Certificates, the excess amounts related to the Class X Certificates,
from the Reserve Fund.
15) Class B-4, Class B-5 and Class B-6 Certificates, in sequential order, first
accrued and unpaid interest at the related Certificate Interest Rate and then
the respective shares of principal allocable to such classes.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus, all Offered Certificates are ERISA
eligible.
SMMEA Eligibility: It is anticipated that the Senior Certificates and the Class B-1 Certificates will be
SMMEA eligible.
Prospectus: The Class A, Class B-1, Class B-2, and Class B-3 Certificates are being offered
pursuant to a prospectus supplemented by a prospectus supplement (together, the
"Prospectus"). Complete information with respect to the Offered Certificates and the
collateral securing them is contained in the Prospectus. The information herein is
qualified in its entirety by the information appearing in the Prospectus. To the
extent that the information herein is inconsistent with the Prospectus, the
Prospectus shall govern in all respects. Sales of the Offered Certificates may not be
consummated unless the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT
SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
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Page 8
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
Weighted Average Life Sensitivity
To Call
------------------------------------------------------------------------------------------------------------------------
Prepay ARM (CPR%) 10 15 20 25 35 40 50
Speed Fixed (PPC%) 60 75 85 100 125 150 200
------------------------------------------------------------------------------------------------------------------------
A WAL (yrs) 7.09 5.16 4.03 3.22 2.24 1.87 1.36
Principal Window 1 - 323 1 - 271 1 - 221 1 - 181 1 - 132 1 - 111 1 - 81
------------------------------------------------------------------------------------------------------------------------
B-1 WAL (yrs) 12.32 9.13 7.16 5.98 4.61 4.06 3.20
Principal Window 1 - 323 1 - 271 1 - 221 1 - 181 1 - 132 1 - 111 1 - 81
------------------------------------------------------------------------------------------------------------------------
B-2 WAL (yrs) 12.32 9.13 7.16 5.98 4.61 4.06 3.20
Principal Window 1 - 323 1 - 271 1 - 221 1 - 181 1 - 132 1 - 111 1 - 81
------------------------------------------------------------------------------------------------------------------------
B-3 WAL (yrs) 12.32 9.13 7.16 5.98 4.61 4.06 3.20
Principal Window 1 - 323 1 - 271 1 - 221 1 - 181 1 - 132 1 - 111 1 - 81
------------------------------------------------------------------------------------------------------------------------
Weighted Average Life Sensitivity
To Maturity
------------------------------------------------------------------------------------------------------------------------
Prepay ARM (CPR%) 10 15 20 25 35 40 50
Speed Fixed (PPC%) 60 75 85 100 125 150 200
------------------------------------------------------------------------------------------------------------------------
A WAL (yrs) 7.10 5.19 4.06 3.24 2.26 1.89 1.37
Principal Window 1 - 360 1 - 360 1 - 360 1 - 360 1 - 359 1 - 359 1 - 356
------------------------------------------------------------------------------------------------------------------------
B-1 WAL (yrs) 12.35 9.19 7.22 6.04 4.67 4.11 3.25
Principal Window 1 - 360 1 - 360 1 - 360 1 - 360 1 - 360 1 - 360 1 - 357
------------------------------------------------------------------------------------------------------------------------
B-2 WAL (yrs) 12.35 9.19 7.22 6.04 4.67 4.11 3.25
Principal Window 1 - 360 1 - 360 1 - 360 1 - 360 1 - 360 1 - 360 1 - 357
------------------------------------------------------------------------------------------------------------------------
B-3 WAL (yrs) 12.35 9.19 7.22 6.04 4.67 4.11 3.25
Principal Window 1 - 360 1 - 360 1 - 360 1 - 360 1 - 360 1 - 360 1 - 357
------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 9
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
Schedule of Effective Net WAC Cap Rates /(1)(2)/
Class A Class B-1 Class B-2 Class B-3 Class A Class B-1 Class B-2 Class B-3
Effective Effective Effective Effective Effective Effective Effective Effective
Period Cap (%) Cap (%) Cap (%) Cap (%) Period Cap (%) Cap (%) Cap (%) Cap (%)
------ --------- --------- --------- --------- ------ --------- --------- --------- ---------
30/360 30/360 30360 30360 30/360 30/360 30360 30360
0 - - - - 25 9.50 9.50 9.50 9.50
1 3.12 3.40 3.75 4.45 26 9.50 9.50 9.50 9.50
2 8.50 8.50 8.50 8.50 27 9.50 9.50 9.50 9.50
3 8.50 8.50 8.50 8.50 28 9.50 9.50 9.50 9.50
4 8.50 8.50 8.50 8.50 29 9.50 9.50 9.50 9.50
5 8.50 8.50 8.50 8.50 30 9.50 9.50 9.50 9.50
6 8.50 8.50 8.50 8.50 31 9.50 9.50 9.50 9.50
7 8.50 8.50 8.50 8.50 32 9.50 9.50 9.50 9.50
8 8.50 8.50 8.50 8.50 33 9.50 9.50 9.50 9.50
9 8.50 8.50 8.50 8.50 34 9.50 9.50 9.50 9.50
10 8.50 8.50 8.50 8.50 35 9.50 9.50 9.50 9.50
11 8.50 8.50 8.50 8.50 36 9.50 9.50 9.50 9.50
12 8.50 8.50 8.50 8.50 37 10.50 10.50 10.50 10.50
13 8.50 8.50 8.50 8.50 38 10.50 10.50 10.50 10.50
14 8.50 8.50 8.50 8.50 39 10.50 10.50 10.50 10.50
15 8.50 8.50 8.50 8.50 40 10.50 10.50 10.50 10.50
16 8.50 8.50 8.50 8.50 41 10.50 10.50 10.50 10.50
17 8.50 8.50 8.50 8.50 42 10.50 10.50 10.50 10.50
18 8.50 8.50 8.50 8.50 43 10.50 10.50 10.50 10.50
19 8.50 8.50 8.50 8.50 44 10.50 10.50 10.50 10.50
20 8.50 8.50 8.50 8.50 45 10.50 10.50 10.50 10.50
21 8.50 8.50 8.50 8.50 46 10.50 10.50 10.50 10.50
22 8.50 8.50 8.50 8.50 47 10.50 10.50 10.50 10.50
23 8.50 8.50 8.50 8.50 48 10.50 10.50 10.50 10.50
49 and
24 8.50 8.50 8.50 8.50 thereafter 11.00 11.00 11.00 11.00
1 Beginning in period 2, calculated as (a) Net WAC Cap plus (b) the
proceeds from the related Interest Rate Cap divided by the beginning
period balances of the related LIBOR Certificates plus (c) any Reserve
Fund Deposits from the Class X Certificate divided by the beginning
period balances of the related LIBOR Certificates.
2 Run to maturity assuming 100% PPC on the Fixed Rate Loans and 25% CPR on
the Adjustable Rate Loans, no losses and all indices are 20%, beginning
in period 2.
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
Interest Rate Cap Schedules
Class A Interest Rate Cap
----------------------------------------------------------------------------------------------------------------------
Class A Class A
Interest Rate Interest Rate
Period Cap Notional Strike % Ceiling % Period Cap Strike % Ceiling %
Balance ($) Notional
Balance ($)
1 5,877,819.00 10.000% 10.000% 48 1,719,748.62 7.767% 10.230%
2 5,742,436.37 5.100% 8.230% 49 1,678,445.86 7.767% 10.730%
3 5,608,111.03 5.140% 8.230% 50 1,638,128.12 7.767% 10.730%
4 5,474,828.23 5.205% 8.230% 51 1,598,772.00 7.767% 10.730%
5 5,342,569.52 5.393% 8.230% 52 1,560,354.70 7.768% 10.730%
6 5,211,375.69 5.427% 8.230% 53 1,522,853.91 7.769% 10.730%
7 5,081,240.75 5.461% 8.230% 54 1,486,236.97 7.771% 10.730%
8 4,952,197.99 5.473% 8.230% 55 1,450,494.49 7.775% 10.730%
9 4,824,306.60 5.476% 8.230% 56 1,415,605.33 7.783% 10.730%
10 4,697,906.72 5.503% 8.230% 57 1,381,548.92 8.245% 10.730%
11 4,574,285.05 5.581% 8.230% 58 1,348,255.90 8.578% 10.730%
12 4,453,557.63 5.581% 8.230% 59 1,315,760.27 8.763% 10.730%
13 4,335,698.53 5.581% 8.230% 60 1,284,030.33 8.787% 10.730%
14 4,220,639.97 5.581% 8.230% 61 1,253,059.63 8.791% 10.730%
15 4,108,315.73 5.582% 8.230% 62 1,222,828.93 8.791% 10.730%
16 3,998,661.37 5.610% 8.230% 63 1,193,321.01 8.791% 10.730%
17 3,891,613.71 5.664% 8.230% 64 1,164,518.68 8.791% 10.730%
18 3,787,112.95 5.664% 8.230% 65 1,136,405.18 8.792% 10.730%
19 3,685,096.85 5.664% 8.230% 66 1,108,964.12 8.794% 10.730%
20 3,585,506.69 5.664% 8.230% 67 1,082,179.85 8.794% 10.730%
21 3,488,285.11 5.670% 8.230% 68 1,056,036.42 8.794% 10.730%
22 3,393,378.29 5.697% 8.230% 69 1,030,518.58 8.794% 10.730%
23 3,300,726.40 5.751% 8.230% 70 1,005,611.48 8.795% 10.730%
24 3,210,280.48 5.751% 8.230% 71 981,300.03 8.795% 10.730%
25 3,121,986.90 5.751% 9.230% 72 957,570.61 8.795% 10.730%
26 3,035,794.76 5.751% 9.230% 73 934,409.40 8.795% 10.730%
27 2,951,654.38 5.754% 9.230% 74 911,802.85 8.796% 10.730%
28 2,869,517.75 5.782% 9.230% 75 889,737.78 8.799% 10.730%
29 2,789,336.87 5.836% 9.230% 76 868,201.80 8.799% 10.730%
30 2,711,066.61 5.839% 9.230% 77 847,181.81 8.799% 10.730%
31 2,634,661.72 5.843% 9.230% 78 826,665.52 8.800% 10.730%
32 2,565,954.63 5.870% 9.230% 79 806,641.05 8.802% 10.730%
33 2,498,951.45 6.249% 9.230% 80 787,096.43 8.804% 10.730%
34 2,433,510.06 6.562% 9.230% 81 768,020.21 9.018% 10.730%
35 2,369,665.70 7.659% 9.230% 82 749,379.37 9.055% 10.730%
36 2,307,263.21 7.681% 9.230% 83 731,183.96 9.233% 10.730%
37 2,246,413.82 7.681% 10.230% 84 713,410.26 9.248% 10.730%
38 2,192,542.82 7.681% 10.230% 85 696,063.51 9.248% 10.730%
39 2,139,955.34 7.745% 10.230% 86 679,133.54 9.249% 10.730%
40 2,088,634.84 7.752% 10.230% 87 662,610.42 9.249% 10.730%
41 2,038,537.09 7.757% 10.230% 88 646,484.43 9.250% 10.730%
42 1,989,634.08 7.757% 10.230% 89 630,746.11 9.250% 10.730%
43 1,941,896.45 7.758% 10.230% 90 615,386.22 9.251% 10.730%
44 1,895,296.55 7.759% 10.230% 91 600,395.72 9.251% 10.730%
45 1,849,807.40 7.765% 10.230% 92 585,765.81 9.252% 10.730%
46 1,805,404.43 7.766% 10.230% 93 571,487.88 9.252% 10.730%
47 1,762,060.33 7.767% 10.230% 94 557,553.52 9.253% 10.730%
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 11
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
Class A Interest Rate Cap (Continued)
----------------------------------------------------------------------------------------------------------------------
Class A Class A
Interest Rate Interest Rate
Period Cap Notional Strike % Ceiling % Period Cap Strike % Ceiling %
Balance(S) Notional
Balance ($)
95 543,954.55 9.253% 10.730% 141 170,581.56 9.608% 10.730%
96 530,682.95 9.254% 10.730% 142 166,229.52 9.610% 10.730%
97 517,730.92 9.254% 10.730% 143 161,985.14 9.612% 10.730%
98 505,090.81 9.255% 10.730% 144 157,845.79 9.614% 10.730%
99 492,755.18 9.255% 10.730% 145 153,808.94 9.617% 10.730%
100 480,716.77 9.256% 10.730% 146 149,872.08 9.619% 10.730%
101 468,968.46 9.257% 10.730% 147 146,032.79 9.621% 10.730%
102 457,503.34 9.257% 10.730% 148 142,288.71 9.623% 10.730%
103 446,314.63 9.258% 10.730% 149 138,637.50 9.625% 10.730%
104 435,395.73 9.259% 10.730% 150 135,076.91 9.628% 10.730%
105 424,740.19 9.259% 10.730% 151 131,604.75 9.630% 10.730%
106 414,341.72 9.260% 10.730% 152 128,218.85 9.632% 10.730%
107 404,193.18 9.261% 10.730% 153 124,917.11 9.635% 10.730%
108 394,289.60 9.261% 10.730% 154 121,697.49 9.637% 10.730%
109 384,625.12 9.262% 10.730% 155 118,557.98 9.640% 10.730%
110 375,194.02 9.263% 10.730% 156 115,496.64 9.642% 10.730%
111 365,990.73 9.266% 10.730% 157 112,511.55 9.644% 10.730%
112 357,009.77 9.267% 10.730% 158 109,600.86 9.647% 10.730%
113 348,245.71 9.268% 10.730% 159 106,762.75 9.650% 10.730%
114 339,693.50 9.268% 10.730% 160 103,995.45 9.652% 10.730%
115 331,337.06 9.269% 10.730% 161 101,297.23 9.655% 10.730%
116 323,182.47 9.270% 10.730% 162 98,666.41 9.657% 10.730%
117 315,223.79 9.287% 10.730% 163 96,101.33 9.660% 10.730%
118 307,430.82 9.290% 10.730% 164 93,600.40 9.663% 10.730%
119 299,755.07 9.568% 10.730% 165 91,162.04 9.666% 10.730%
120 292,227.84 9.570% 10.730% 166 88,784.73 9.668% 10.730%
121 284,882.03 9.572% 10.730% 167 86,466.97 9.671% 10.730%
122 277,716.35 9.573% 10.730% 168 84,207.30 9.674% 10.730%
123 270,726.45 9.575% 10.730% 169 82,004.30 9.677% 10.730%
124 263,908.07 9.577% 10.730% 170 79,856.59 9.680% 10.730%
125 257,257.07 9.578% 10.730% 171 77,762.80 9.683% 10.730%
126 250,769.41 9.580% 10.730% 172 75,721.63 9.686% 10.730%
127 244,441.13 9.582% 10.730% 173 73,731.77 9.689% 10.730%
128 238,268.39 9.583% 10.730% 174 71,791.97 9.692% 10.730%
129 232,247.43 9.585% 10.730% 175 69,902.89 9.695% 10.730%
130 226,374.56 9.587% 10.730% 176 68,061.36 9.698% 10.730%
131 220,646.22 9.589% 10.730% 177 66,270.91 9.701% 10.730%
132 215,058.89 9.591% 10.730% 178 64,555.26 9.701% 10.730%
133 209,609.16 9.592% 10.730% 179 62,885.58 9.702% 10.730%
134 204,293.71 9.594% 10.730% 180 61,259.96 9.702% 10.730%
135 199,109.28 9.596% 10.730% 181 59,675.59 9.702% 10.730%
136 194,052.69 9.598% 10.730% 182 58,130.66 9.702% 10.730%
137 189,120.86 9.600% 10.730% 183 56,624.21 9.702% 10.730%
138 184,310.74 9.602% 10.730% 184 55,155.30 9.703% 10.730%
139 179,619.39 9.604% 10.730% 185 53,723.02 9.703% 10.730%
140 175,043.94 9.606% 10.730% 186 -- -- --
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 12
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
Class B-1 Interest Rate Cap
----------------------------------------------------------------------------------------------------------------------
Class B-1 Class B-1
Interest Rate Interest Rate
Period Cap Notional Strike % Ceiling % Period Cap Strike % Ceiling %
Balance(S) Notional
Balance ($)
1 284,160.00 10.000% 10.000% 48 199,777.32 7.487% 9.950%
2 284,060.99 4.820% 7.950% 49 194,979.32 7.487% 10.450%
3 283,960.98 4.860% 7.950% 50 190,295.75 7.487% 10.450%
4 283,859.90 4.925% 7.950% 51 185,723.88 7.487% 10.450%
5 283,757.83 5.113% 7.950% 52 181,261.07 7.488% 10.450%
6 283,655.40 5.147% 7.950% 53 176,904.74 7.489% 10.450%
7 283,552.11 5.181% 7.950% 54 172,651.07 7.491% 10.450%
8 283,448.05 5.193% 7.950% 55 168,498.99 7.495% 10.450%
9 283,343.30 5.196% 7.950% 56 164,446.03 7.503% 10.450%
10 283,237.96 5.223% 7.950% 57 160,489.82 7.965% 10.450%
11 283,132.05 5.301% 7.950% 58 156,622.28 8.298% 10.450%
12 283,025.74 5.301% 7.950% 59 152,847.37 8.483% 10.450%
13 282,918.84 5.301% 7.950% 60 149,161.42 8.507% 10.450%
14 282,811.36 5.301% 7.950% 61 145,563.66 8.511% 10.450%
15 282,703.29 5.302% 7.950% 62 142,051.86 8.511% 10.450%
16 282,594.63 5.330% 7.950% 63 138,624.02 8.511% 10.450%
17 282,485.39 5.384% 7.950% 64 135,278.16 8.511% 10.450%
18 282,375.70 5.384% 7.950% 65 132,012.31 8.512% 10.450%
19 282,265.40 5.384% 7.950% 66 128,824.57 8.514% 10.450%
20 282,154.50 5.384% 7.950% 67 125,713.14 8.514% 10.450%
21 282,042.99 5.390% 7.950% 68 122,676.14 8.514% 10.450%
22 281,931.04 5.417% 7.950% 69 119,711.82 8.514% 10.450%
23 281,818.24 5.471% 7.950% 70 116,818.45 8.515% 10.450%
24 281,704.94 5.471% 7.950% 71 113,994.27 8.515% 10.450%
25 281,591.02 5.471% 8.950% 72 111,237.71 8.515% 10.450%
26 281,476.47 5.471% 8.950% 73 108,547.15 8.515% 10.450%
27 281,361.29 5.474% 8.950% 74 105,921.02 8.516% 10.450%
28 281,245.53 5.502% 8.950% 75 103,357.80 8.519% 10.450%
29 281,129.12 5.556% 8.950% 76 100,856.04 8.519% 10.450%
30 281,012.18 5.559% 8.950% 77 98,414.22 8.519% 10.450%
31 280,894.71 5.563% 8.950% 78 96,030.91 8.520% 10.450%
32 277,486.36 5.590% 8.950% 79 93,704.73 8.522% 10.450%
33 274,118.73 5.969% 8.950% 80 91,434.30 8.524% 10.450%
34 270,780.11 6.282% 8.950% 81 89,218.28 8.738% 10.450%
35 267,478.06 7.379% 8.950% 82 87,052.84 8.775% 10.450%
36 264,198.70 7.401% 8.950% 83 84,939.14 8.953% 10.450%
37 260,958.22 7.401% 9.950% 84 82,874.43 8.968% 10.450%
38 254,700.21 7.401% 9.950% 85 80,859.32 8.968% 10.450%
39 248,591.30 7.465% 9.950% 86 78,892.62 8.969% 10.450%
40 242,629.57 7.472% 9.950% 87 76,973.19 8.969% 10.450%
41 236,809.89 7.477% 9.950% 88 75,099.89 8.970% 10.450%
42 231,128.99 7.477% 9.950% 89 73,271.62 8.970% 10.450%
43 225,583.47 7.478% 9.950% 90 71,487.31 8.971% 10.450%
44 220,170.12 7.479% 9.950% 91 69,745.92 8.971% 10.450%
45 214,885.81 7.485% 9.950% 92 68,046.41 8.972% 10.450%
46 209,727.66 7.486% 9.950% 93 66,387.79 8.972% 10.450%
47 204,692.53 7.487% 9.950% 94 64,769.09 8.973% 10.450%
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 13
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
Class B-1 Interest Rate Cap (Continued)
----------------------------------------------------------------------------------------------------------------------
Class B-1 Class B-1
Interest Rate Interest Rate
Period Cap Notional Strike % Ceiling % Period Cap Strike % Ceiling %
Balance(S) Notional
Balance ($)
95 63,189.34 8.973% 10.450% 141 19,815.88 9.328% 10.450%
96 61,647.63 8.974% 10.450% 142 19,310.32 9.330% 10.450%
97 60,143.03 8.974% 10.450% 143 18,817.26 9.332% 10.450%
98 58,674.67 8.975% 10.450% 144 18,336.41 9.334% 10.450%
99 57,241.69 8.975% 10.450% 145 17,867.46 9.337% 10.450%
100 55,843.22 8.976% 10.450% 146 17,410.13 9.339% 10.450%
101 54,478.46 8.977% 10.450% 147 16,964.13 9.341% 10.450%
102 53,146.60 8.977% 10.450% 148 16,529.19 9.343% 10.450%
103 51,846.85 8.978% 10.450% 149 16,105.04 9.345% 10.450%
104 50,578.43 8.979% 10.450% 150 15,691.42 9.348% 10.450%
105 49,340.62 8.979% 10.450% 151 15,288.07 9.350% 10.450%
106 48,132.66 8.980% 10.450% 152 14,894.75 9.352% 10.450%
107 46,953.74 8.981% 10.450% 153 14,511.19 9.355% 10.450%
108 45,803.27 8.981% 10.450% 154 14,137.18 9.357% 10.450%
109 44,680.59 8.982% 10.450% 155 13,772.48 9.360% 10.450%
110 43,585.01 8.983% 10.450% 156 13,416.85 9.362% 10.450%
111 42,515.89 8.986% 10.450% 157 13,070.08 9.364% 10.450%
112 41,472.60 8.987% 10.450% 158 12,731.96 9.367% 10.450%
113 40,454.51 8.988% 10.450% 159 12,402.26 9.370% 10.450%
114 39,461.03 8.988% 10.450% 160 12,080.80 9.372% 10.450%
115 38,490.29 8.989% 10.450% 161 11,767.35 9.375% 10.450%
116 37,543.00 8.990% 10.450% 162 11,461.74 9.377% 10.450%
117 36,618.47 9.007% 10.450% 163 11,163.76 9.380% 10.450%
118 35,713.19 9.010% 10.450% 164 10,873.24 9.383% 10.450%
119 34,821.52 9.288% 10.450% 165 10,589.98 9.386% 10.450%
120 33,947.11 9.290% 10.450% 166 10,313.82 9.388% 10.450%
121 33,093.77 9.292% 10.450% 167 10,044.57 9.391% 10.450%
122 32,261.36 9.293% 10.450% 168 9,782.07 9.394% 10.450%
123 31,449.37 9.295% 10.450% 169 9,526.16 9.397% 10.450%
124 30,657.30 9.297% 10.450% 170 9,276.67 9.400% 10.450%
125 29,884.67 9.298% 10.450% 171 9,033.44 9.403% 10.450%
126 29,131.03 9.300% 10.450% 172 8,796.32 9.406% 10.450%
127 28,395.89 9.302% 10.450% 173 8,565.17 9.409% 10.450%
128 27,678.83 9.303% 10.450% 174 8,339.83 9.412% 10.450%
129 26,979.39 9.305% 10.450% 175 8,120.38 9.415% 10.450%
130 26,297.16 9.307% 10.450% 176 7,906.46 9.418% 10.450%
131 25,631.72 9.309% 10.450% 177 7,698.47 9.421% 10.450%
132 24,982.66 9.311% 10.450% 178 7,499.16 9.421% 10.450%
133 24,349.58 9.312% 10.450% 179 7,305.20 9.422% 10.450%
134 23,732.10 9.314% 10.450% 180 7,116.36 9.422% 10.450%
135 23,129.84 9.316% 10.450% 181 6,932.31 9.422% 10.450%
136 22,542.44 9.318% 10.450% 182 6,752.84 9.422% 10.450%
137 21,969.52 9.320% 10.450% 183 6,577.84 9.422% 10.450%
138 21,410.75 9.322% 10.450% 184 6,407.20 9.423% 10.450%
139 20,865.77 9.324% 10.450% 185 6,240.82 9.423% 10.450%
140 20,334.26 9.326% 10.450% 186 -- -- --
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 14
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
Class B-2 Interest Rate Cap
----------------------------------------------------------------------------------------------------------------------
Class B-2 Class B-2
Interest Rate Interest Rate
Period Cap Notional Strike % Ceiling % Period Cap Strike % Ceiling %
Balance(S) Notional
Balance ($)
1 76,620.00 10.000% 10.000% 48 53,867.32 7.137% 9.600%
2 76,593.30 4.470% 7.600% 49 52,573.60 7.137% 10.100%
3 76,566.34 4.510% 7.600% 50 51,310.74 7.137% 10.100%
4 76,539.08 4.575% 7.600% 51 50,078.00 7.137% 10.100%
5 76,511.56 4.763% 7.600% 52 48,874.66 7.138% 10.100%
6 76,483.94 4.797% 7.600% 53 47,700.03 7.139% 10.100%
7 76,456.09 4.831% 7.600% 54 46,553.09 7.141% 10.100%
8 76,428.03 4.843% 7.600% 55 45,433.53 7.145% 10.100%
9 76,399.79 4.846% 7.600% 56 44,340.71 7.153% 10.100%
10 76,371.39 4.873% 7.600% 57 43,273.96 7.615% 10.100%
11 76,342.83 4.951% 7.600% 58 42,231.13 7.948% 10.100%
12 76,314.16 4.951% 7.600% 59 41,213.28 8.133% 10.100%
13 76,285.34 4.951% 7.600% 60 40,219.41 8.157% 10.100%
14 76,256.36 4.951% 7.600% 61 39,249.32 8.161% 10.100%
15 76,227.22 4.952% 7.600% 62 38,302.41 8.161% 10.100%
16 76,197.92 4.980% 7.600% 63 37,378.14 8.161% 10.100%
17 76,168.46 5.034% 7.600% 64 36,475.97 8.161% 10.100%
18 76,138.89 5.034% 7.600% 65 35,595.38 8.162% 10.100%
19 76,109.15 5.034% 7.600% 66 34,735.85 8.164% 10.100%
20 76,079.24 5.034% 7.600% 67 33,896.89 8.164% 10.100%
21 76,049.18 5.040% 7.600% 68 33,078.01 8.164% 10.100%
22 76,018.99 5.067% 7.600% 69 32,278.72 8.164% 10.100%
23 75,988.58 5.121% 7.600% 70 31,498.56 8.165% 10.100%
24 75,958.03 5.121% 7.600% 71 30,737.05 8.165% 10.100%
25 75,927.31 5.121% 8.600% 72 29,993.78 8.165% 10.100%
26 75,896.42 5.121% 8.600% 73 29,268.31 8.165% 10.100%
27 75,865.37 5.124% 8.600% 74 28,560.21 8.166% 10.100%
28 75,834.15 5.152% 8.600% 75 27,869.07 8.169% 10.100%
29 75,802.76 5.206% 8.600% 76 27,194.50 8.169% 10.100%
30 75,771.23 5.209% 8.600% 77 26,536.10 8.169% 10.100%
31 75,739.56 5.213% 8.600% 78 25,893.47 8.170% 10.100%
32 74,820.54 5.240% 8.600% 79 25,266.25 8.172% 10.100%
33 73,912.50 5.619% 8.600% 80 24,654.06 8.174% 10.100%
34 73,012.29 5.932% 8.600% 81 24,056.53 8.388% 10.100%
35 72,121.93 7.029% 8.600% 82 23,472.65 8.425% 10.100%
36 71,237.70 7.051% 8.600% 83 22,902.72 8.603% 10.100%
37 70,363.94 7.051% 9.600% 84 22,346.00 8.618% 10.100%
38 68,676.56 7.051% 9.600% 85 21,802.65 8.618% 10.100%
39 67,029.37 7.115% 9.600% 86 21,272.36 8.619% 10.100%
40 65,421.87 7.122% 9.600% 87 20,754.81 8.619% 10.100%
41 63,852.67 7.127% 9.600% 88 20,249.70 8.620% 10.100%
42 62,320.89 7.127% 9.600% 89 19,756.73 8.620% 10.100%
43 60,825.61 7.128% 9.600% 90 19,275.61 8.621% 10.100%
44 59,365.97 7.129% 9.600% 91 18,806.07 8.621% 10.100%
45 57,941.13 7.135% 9.600% 92 18,347.82 8.622% 10.100%
46 56,550.30 7.136% 9.600% 93 17,900.59 8.622% 10.100%
47 55,192.64 7.137% 9.600% 94 17,464.13 8.623% 10.100%
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 15
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
Class B-2 Interest Rate Cap (Continued)
----------------------------------------------------------------------------------------------------------------------
Class B-2 Class B-2
Interest Rate Interest Rate
Period Cap Notional Strike % Ceiling % Period Cap Strike % Ceiling %
Balance(S) Notional
Balance ($)
95 17,038.17 8.623% 10.100% 141 5,343.09 8.978% 10.100%
96 16,622.47 8.624% 10.100% 142 5,206.77 8.980% 10.100%
97 16,216.78 8.624% 10.100% 143 5,073.83 8.982% 10.100%
98 15,820.85 8.625% 10.100% 144 4,944.17 8.984% 10.100%
99 15,434.47 8.625% 10.100% 145 4,817.72 8.987% 10.100%
100 15,057.39 8.626% 10.100% 146 4,694.41 8.989% 10.100%
101 14,689.40 8.627% 10.100% 147 4,574.15 8.991% 10.100%
102 14,330.28 8.627% 10.100% 148 4,456.88 8.993% 10.100%
103 13,979.82 8.628% 10.100% 149 4,342.51 8.995% 10.100%
104 13,637.81 8.629% 10.100% 150 4,230.99 8.998% 10.100%
105 13,304.05 8.629% 10.100% 151 4,122.23 9.000% 10.100%
106 12,978.34 8.630% 10.100% 152 4,016.17 9.002% 10.100%
107 12,660.46 8.631% 10.100% 153 3,912.75 9.005% 10.100%
108 12,350.25 8.631% 10.100% 154 3,811.90 9.007% 10.100%
109 12,047.53 8.632% 10.100% 155 3,713.57 9.010% 10.100%
110 11,752.12 8.633% 10.100% 156 3,617.68 9.012% 10.100%
111 11,463.85 8.636% 10.100% 157 3,524.18 9.014% 10.100%
112 11,182.54 8.637% 10.100% 158 3,433.00 9.017% 10.100%
113 10,908.03 8.638% 10.100% 159 3,344.11 9.020% 10.100%
114 10,640.15 8.638% 10.100% 160 3,257.43 9.022% 10.100%
115 10,378.40 8.639% 10.100% 161 3,172.91 9.025% 10.100%
116 10,122.98 8.640% 10.100% 162 3,090.51 9.027% 10.100%
117 9,873.69 8.657% 10.100% 163 3,010.16 9.030% 10.100%
118 9,629.59 8.660% 10.100% 164 2,931.83 9.033% 10.100%
119 9,389.16 8.938% 10.100% 165 2,855.45 9.036% 10.100%
120 9,153.39 8.940% 10.100% 166 2,780.99 9.038% 10.100%
121 8,923.30 8.942% 10.100% 167 2,708.39 9.041% 10.100%
122 8,698.85 8.943% 10.100% 168 2,637.61 9.044% 10.100%
123 8,479.91 8.945% 10.100% 169 2,568.60 9.047% 10.100%
124 8,266.34 8.947% 10.100% 170 2,501.33 9.050% 10.100%
125 8,058.01 8.948% 10.100% 171 2,435.75 9.053% 10.100%
126 7,854.80 8.950% 10.100% 172 2,371.81 9.056% 10.100%
127 7,656.58 8.952% 10.100% 173 2,309.48 9.059% 10.100%
128 7,463.23 8.953% 10.100% 174 2,248.72 9.062% 10.100%
129 7,274.64 8.955% 10.100% 175 2,189.55 9.065% 10.100%
130 7,090.68 8.957% 10.100% 176 2,131.87 9.068% 10.100%
131 6,911.25 8.959% 10.100% 177 2,075.79 9.071% 10.100%
132 6,736.24 8.961% 10.100% 178 2,022.05 9.071% 10.100%
133 6,565.54 8.962% 10.100% 179 1,969.75 9.072% 10.100%
134 6,399.05 8.964% 10.100% 180 1,918.83 9.072% 10.100%
135 6,236.66 8.966% 10.100% 181 1,869.21 9.072% 10.100%
136 6,078.27 8.968% 10.100% 182 1,820.81 9.072% 10.100%
137 5,923.79 8.970% 10.100% 183 1,773.63 9.072% 10.100%
138 5,773.13 8.972% 10.100% 184 1,727.62 9.073% 10.100%
139 5,626.18 8.974% 10.100% 185 1,682.75 9.073% 10.100%
140 5,482.86 8.976% 10.100% 186 -- -- --
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 16
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
Class B-3 Interest Rate Cap
----------------------------------------------------------------------------------------------------------------------
Class B-3 Class B-3
Interest Rate Interest Rate
Period Cap Notional Strike % Ceiling % Period Cap Strike % Ceiling %
Balance(S) Notional
Balance ($)
1 44,700.00 10.000% 10.000% 48 31,426.12 6.437% 8.900%
2 44,684.42 3.770% 6.900% 49 30,671.37 6.437% 9.400%
3 44,668.69 3.810% 6.900% 50 29,934.61 6.437% 9.400%
4 44,652.79 3.875% 6.900% 51 29,215.43 6.437% 9.400%
5 44,636.74 4.063% 6.900% 52 28,513.41 6.438% 9.400%
6 44,620.62 4.097% 6.900% 53 27,828.13 6.439% 9.400%
7 44,604.38 4.131% 6.900% 54 27,159.00 6.441% 9.400%
8 44,588.01 4.143% 6.900% 55 26,505.86 6.445% 9.400%
9 44,571.53 4.146% 6.900% 56 25,868.31 6.453% 9.400%
10 44,554.96 4.173% 6.900% 57 25,245.97 6.915% 9.400%
11 44,538.30 4.251% 6.900% 58 24,637.58 7.248% 9.400%
12 44,521.57 4.251% 6.900% 59 24,043.77 7.433% 9.400%
13 44,504.76 4.251% 6.900% 60 23,463.95 7.457% 9.400%
14 44,487.85 4.251% 6.900% 61 22,898.00 7.461% 9.400%
15 44,470.85 4.252% 6.900% 62 22,345.57 7.461% 9.400%
16 44,453.76 4.280% 6.900% 63 21,806.36 7.461% 9.400%
17 44,436.57 4.334% 6.900% 64 21,280.03 7.461% 9.400%
18 44,419.32 4.334% 6.900% 65 20,766.29 7.462% 9.400%
19 44,401.97 4.334% 6.900% 66 20,264.85 7.464% 9.400%
20 44,384.52 4.334% 6.900% 67 19,775.40 7.464% 9.400%
21 44,366.98 4.340% 6.900% 68 19,297.66 7.464% 9.400%
22 44,349.37 4.367% 6.900% 69 18,831.36 7.464% 9.400%
23 44,331.63 4.421% 6.900% 70 18,376.21 7.465% 9.400%
24 44,313.81 4.421% 6.900% 71 17,931.95 7.465% 9.400%
25 44,295.88 4.421% 7.900% 72 17,498.33 7.465% 9.400%
26 44,277.87 4.421% 7.900% 73 17,075.09 7.465% 9.400%
27 44,259.75 4.424% 7.900% 74 16,661.99 7.466% 9.400%
28 44,241.54 4.452% 7.900% 75 16,258.78 7.469% 9.400%
29 44,223.23 4.506% 7.900% 76 15,865.23 7.469% 9.400%
30 44,204.83 4.509% 7.900% 77 15,481.12 7.469% 9.400%
31 44,186.35 4.513% 7.900% 78 15,106.21 7.470% 9.400%
32 43,650.20 4.540% 7.900% 79 14,740.29 7.472% 9.400%
33 43,120.45 4.919% 7.900% 80 14,383.14 7.474% 9.400%
34 42,595.27 5.232% 7.900% 81 14,034.55 7.688% 9.400%
35 42,075.83 6.329% 7.900% 82 13,693.91 7.725% 9.400%
36 41,559.97 6.351% 7.900% 83 13,361.41 7.903% 9.400%
37 41,050.23 6.351% 8.900% 84 13,036.62 7.918% 9.400%
38 40,065.81 6.351% 8.900% 85 12,719.64 7.918% 9.400%
39 39,104.84 6.415% 8.900% 86 12,410.26 7.919% 9.400%
40 38,167.03 6.422% 8.900% 87 12,108.32 7.919% 9.400%
41 37,251.56 6.427% 8.900% 88 11,813.64 7.920% 9.400%
42 36,357.92 6.427% 8.900% 89 11,526.05 7.920% 9.400%
43 35,485.58 6.428% 8.900% 90 11,245.37 7.921% 9.400%
44 34,634.03 6.429% 8.900% 91 10,971.43 7.921% 9.400%
45 33,802.77 6.435% 8.900% 92 10,704.09 7.922% 9.400%
46 32,991.37 6.436% 8.900% 93 10,443.18 7.922% 9.400%
47 32,199.31 6.437% 8.900% 94 10,188.55 7.923% 9.400%
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 17
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
Class B-3 Interest Rate Cap (Continued)
----------------------------------------------------------------------------------------------------------------------
Class B-3 Class B-3
Interest Rate Interest Rate
Period Cap Notional Strike % Ceiling % Period Cap Strike % Ceiling %
Balance(S) Notional
Balance ($)
95 9,940.05 7.923% 9.400% 141 3,117.15 8.278% 9.400%
96 9,697.53 7.924% 9.400% 142 3,037.62 8.280% 9.400%
97 9,460.84 7.924% 9.400% 143 2,960.06 8.282% 9.400%
98 9,229.86 7.925% 9.400% 144 2,884.42 8.284% 9.400%
99 9,004.45 7.925% 9.400% 145 2,810.65 8.287% 9.400%
100 8,784.46 7.926% 9.400% 146 2,738.71 8.289% 9.400%
101 8,569.78 7.927% 9.400% 147 2,668.56 8.291% 9.400%
102 8,360.27 7.927% 9.400% 148 2,600.14 8.293% 9.400%
103 8,155.81 7.928% 9.400% 149 2,533.42 8.295% 9.400%
104 7,956.28 7.929% 9.400% 150 2,468.35 8.298% 9.400%
105 7,761.56 7.929% 9.400% 151 2,404.90 8.300% 9.400%
106 7,571.54 7.930% 9.400% 152 2,343.03 8.302% 9.400%
107 7,386.09 7.931% 9.400% 153 2,282.69 8.305% 9.400%
108 7,205.12 7.931% 9.400% 154 2,223.86 8.307% 9.400%
109 7,028.51 7.932% 9.400% 155 2,166.49 8.310% 9.400%
110 6,856.17 7.933% 9.400% 156 2,110.55 8.312% 9.400%
111 6,687.99 7.936% 9.400% 157 2,056.00 8.314% 9.400%
112 6,523.88 7.937% 9.400% 158 2,002.81 8.317% 9.400%
113 6,363.73 7.938% 9.400% 159 1,950.95 8.320% 9.400%
114 6,207.45 7.938% 9.400% 160 1,900.38 8.322% 9.400%
115 6,054.74 7.939% 9.400% 161 1,851.07 8.325% 9.400%
116 5,905.73 7.940% 9.400% 162 1,803.00 8.327% 9.400%
117 5,760.30 7.957% 9.400% 163 1,756.12 8.330% 9.400%
118 5,617.89 7.960% 9.400% 164 1,710.42 8.333% 9.400%
119 5,477.63 8.238% 9.400% 165 1,665.87 8.336% 9.400%
120 5,340.08 8.240% 9.400% 166 1,622.42 8.338% 9.400%
121 5,205.84 8.242% 9.400% 167 1,580.07 8.341% 9.400%
122 5,074.90 8.243% 9.400% 168 1,538.78 8.344% 9.400%
123 4,947.17 8.245% 9.400% 169 1,498.52 8.347% 9.400%
124 4,822.57 8.247% 9.400% 170 1,459.27 8.350% 9.400%
125 4,701.03 8.248% 9.400% 171 1,421.01 8.353% 9.400%
126 4,582.48 8.250% 9.400% 172 1,383.71 8.356% 9.400%
127 4,466.84 8.252% 9.400% 173 1,347.35 8.359% 9.400%
128 4,354.04 8.253% 9.400% 174 1,311.90 8.362% 9.400%
129 4,244.01 8.255% 9.400% 175 1,277.38 8.365% 9.400%
130 4,136.69 8.257% 9.400% 176 1,243.73 8.368% 9.400%
131 4,032.02 8.259% 9.400% 177 1,211.01 8.371% 9.400%
132 3,929.92 8.261% 9.400% 178 1,179.66 8.371% 9.400%
133 3,830.33 8.262% 9.400% 179 1,149.15 8.372% 9.400%
134 3,733.20 8.264% 9.400% 180 1,119.44 8.372% 9.400%
135 3,638.46 8.266% 9.400% 181 1,090.49 8.372% 9.400%
136 3,546.06 8.268% 9.400% 182 1,062.26 8.372% 9.400%
137 3,455.93 8.270% 9.400% 183 1,034.73 8.372% 9.400%
138 3,368.03 8.272% 9.400% 184 1,007.89 8.373% 9.400%
139 3,282.31 8.274% 9.400% 185 981.72 8.373% 9.400%
140 3,198.70 8.276% 9.400% 186 -- -- --
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 18
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------
COLLATERAL STATISTICS
---------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------
DESCRIPTION OF THE TOTAL COLLATERAL
---------------------------------------------------------------------------------------------------------------
Collateral Summary
---------------------------------------------------------------------------------------------------------------
Balances and percentages are based on the Cut-off Date scheduled balances of such Mortgage Loans (except in the
case of FICO, which is determined at origination).
Summary Statistics Range (if applicable)
------------------ ---------------------
Number of Mortgage Loans: 1,532
Aggregate Current Principal Balance: $638,547,550 $24,142 - 2,000,000
Average Current Principal Balance: $416,806
Aggregate Original Principal Balance: $639,777,469 $24,300 - 2,000,000
Average Original Principal Balance: $417,609
Fully Amortizing Mortgage Loans: 21.26 %
Interest Only Loans: 78.74%
1st Lien: 100.00%
Wtd. Avg. Gross Coupon: 5.549% 3.250% - 9.625%
Wtd. Avg. Original Term (months): 351 180 - 360
Wtd. Avg. Remaining Term (months): 347 173 - 360
Wtd. Avg. Remaining IO Term (months):1 76 20 - 120
Wtd. Avg. Margin for Adjustable Loans: 2.237% 0.750% - 4.375%
Wtd. Avg. Maximum Mortgage Rate for Adjustable Loans: 11.261% 8.500% - 18.000%
Wtd. Avg. Minimum Mortgage Rate for Adjustable Loans: 2.238% 0.750% - 4.375%
Wtd. Avg. Original LTV: 72.70% 19.46% -- 100.00%
Wtd. Avg. Borrower FICO: 711 524 - 822
Geographic Distribution (Top 5): CA 53.92%
FL 4.87%
NY 4.34%
VA 3.67%
CO 2.65%
---------------------------------------------------------------------------------------------------------------
1 Includes Interest-Only Loans only
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 19
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
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-----------------------------------------------------------------------------------------------------------
Product Type
-----------------------------------------------------------------------------------------------------------
WEIGHTED
% OF AVERAGE
NUMBER OF TOTAL TOTAL WEIGHTED ORIGINAL
MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT
PRODUCT TYPE LOANS BALANCE ($) BALANCE COUPON (%) SCORE LTV (%)
-----------------------------------------------------------------------------------------------------------
1-Month Arms 46 29,096,248.11 4.56 4.894 692 71.88
6-Month Arms 162 63,215,668.37 9.90 4.662 711 72.96
2-Year Arms 1 953,087.11 0.15 7.000 692 75.00
3-Year Arms 458 199,197,564.93 31.20 5.318 710 74.56
5-Year Arms 339 119,172,863.95 18.66 5.743 706 75.85
7-Year Arms 136 51,780,057.70 8.11 5.727 706 72.17
10-Year Arms 91 31,013,366.19 4.86 5.772 732 70.72
Fixed 15 Year 63 32,765,220.54 5.13 5.540 741 64.03
Fixed 20 Year 1 373,324.13 0.06 5.750 675 75.76
Fixed 30 Year 235 110,980,148.79 17.38 6.277 711 69.37
-----------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-----------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------
Index Type
-----------------------------------------------------------------------------------------------------------
WEIGHTED
% OF AVERAGE
NUMBER OF TOTAL TOTAL WEIGHTED ORIGINAL
MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT
INDEX TYPE LOANS BALANCE ($) BALANCE COUPON (%) SCORE LTV (%)
-----------------------------------------------------------------------------------------------------------
Fixed Rate 299 144,118,693.46 22.57 6.108 718 68.17
Treasury - 1 Year 9 2,358,803.30 0.37 5.696 692 81.74
Libor - 1 Month 46 29,096,248.11 4.56 4.894 692 71.88
Libor - 6 Month 724 272,692,278.67 42.71 5.369 711 74.30
Libor - 1 Year 454 190,281,526.28 29.80 5.483 709 73.85
-----------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-----------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
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Page 20
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
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-----------------------------------------------------------------------------------------------------------
Original Mortgage Loan Principal Balance ($)
-----------------------------------------------------------------------------------------------------------
WEIGHTED
% OF AVERAGE
ORIGINAL MORTGAGE NUMBER OF TOTAL TOTAL WEIGHTED ORIGINAL
LOAN PRINCIPAL MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT
BALANCE ($) LOANS BALANCE ($) BALANCE COUPON (%) SCORE LTV (%)
-----------------------------------------------------------------------------------------------------------
0.01 - 100,000.00 55 4,136,943.05 0.65 5.762 724 69.48
100,000.01 - 200,000.00 296 44,860,867.75 7.03 5.544 711 75.81
200,000.01 - 300,000.00 208 52,500,025.43 8.22 5.450 710 75.53
300,000.01 - 400,000.00 299 108,123,154.04 16.93 5.489 711 75.39
400,000.01 - 500,000.00 295 133,563,668.07 20.92 5.499 715 74.79
500,000.01 - 600,000.00 150 82,277,423.68 12.89 5.594 712 74.28
600,000.01 - 700,000.00 83 53,198,996.30 8.33 5.527 709 71.79
700,000.01 - 800,000.00 34 25,774,376.25 4.04 5.497 716 66.86
800,000.01 - 900,000.00 25 21,342,729.56 3.34 5.555 723 66.57
900,000.01 - 1,000,000.00 36 35,389,827.19 5.54 5.419 717 70.79
1,000,000.01 - 1,500,000.00 33 44,040,494.74 6.90 5.926 701 66.27
1,500,000.01 >= 18 33,339,043.76 5.22 5.681 690 63.81
-----------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-----------------------------------------------------------------------------------------------------------
Minimum: 24,300.00
Maximum: 2,000,000.00
Average: 417,609.31
Total: 639,777,468.79
-----------------------------------------------------------------------------------------------------------
Current Mortgage Loan Principal Balance ($)
-----------------------------------------------------------------------------------------------------------
WEIGHTED
% OF AVERAGE
CURRENT MORTGAGE NUMBER OF TOTAL TOTAL WEIGHTED ORIGINAL
LOAN MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT
PRINCIPAL BALANCE ($) LOANS BALANCE ($) BALANCE COUPON (%) SCORE LTV (%)
-----------------------------------------------------------------------------------------------------------
0.01 - 100,000.00 55 4,136,943.05 0.65 5.762 724 69.48
100,000.01 - 200,000.00 297 45,044,231.97 7.05 5.543 711 75.82
200,000.01 - 300,000.00 208 52,500,025.43 8.22 5.450 710 75.53
300,000.01 - 400,000.00 299 108,336,459.25 16.97 5.490 711 75.36
400,000.01 - 500,000.00 294 133,166,998.64 20.85 5.499 715 74.81
500,000.01 - 600,000.00 151 82,877,260.35 12.98 5.600 712 74.32
600,000.01 - 700,000.00 82 52,599,159.63 8.24 5.518 710 71.69
700,000.01 - 800,000.00 34 25,774,376.25 4.04 5.497 716 66.86
800,000.01 - 900,000.00 25 21,342,729.56 3.34 5.555 723 66.57
900,000.01 - 1,000,000.00 36 35,389,827.19 5.54 5.419 717 70.79
1,000,000.01 - 1,500,000.00 33 44,040,494.74 6.90 5.926 701 66.27
1,500,000.01 >= 18 33,339,043.76 5.22 5.681 690 63.81
-----------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-----------------------------------------------------------------------------------------------------------
Minimum: 24,141.87
Maximum: 2,000,000.00
Average: 416,806.49
Total: 638,547,549.82
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 21
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------
Remaining Term to Stated Maturity
-----------------------------------------------------------------------------------------------------------
WEIGHTED
% OF AVERAGE
NUMBER OF TOTAL TOTAL WEIGHTED ORIGINAL
REMAINING TERM TO MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
STATED MATURITY LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-----------------------------------------------------------------------------------------------------------
171 - 175 20 10,731,920.09 1.68 5.560 740 64.13
176 - 180 43 22,033,300.45 3.45 5.530 742 63.99
236 - 240 1 373,324.13 0.06 5.750 675 75.76
296 - 300 1 49,609.76 0.01 8.000 602 50.00
316 - 320 1 285,338.88 0.04 9.625 720 90.00
321 - 325 1 208,934.17 0.03 8.375 662 90.00
331 - 335 1 102,103.10 0.02 8.625 765 86.67
336 - 340 6 1,187,353.06 0.19 8.189 661 88.98
341 - 345 4 794,031.43 0.12 7.882 670 91.52
346 - 350 10 2,196,063.05 0.34 5.141 707 75.93
351 - 355 194 65,465,377.76 10.25 5.284 705 74.59
356 - 360 1,250 535,120,193.94 83.80 5.570 710 72.90
-----------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-----------------------------------------------------------------------------------------------------------
Minimum: 173
Maximum: 360
Weighted Average: 347
-----------------------------------------------------------------------------------------------------------
Mortgage Rates (%)
-----------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
MORTGAGE RATES (%) LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-----------------------------------------------------------------------------------------------------------
3.001 - 3.500 9 2,555,235.51 0.40 3.436 735 74.18
3.501 - 4.000 26 11,122,471.87 1.74 3.849 728 73.27
4.001 - 4.500 81 28,292,567.71 4.43 4.403 714 74.26
4.501 - 5.000 250 107,987,161.90 16.91 4.827 712 73.73
5.001 - 5.500 441 169,807,960.91 26.59 5.346 714 71.95
5.501 - 6.000 435 185,628,728.58 29.07 5.806 710 72.66
6.001 - 6.500 195 97,145,095.02 15.21 6.274 708 71.56
6.501 - 7.000 59 26,773,016.63 4.19 6.763 704 71.45
7.001 - 7.500 23 7,039,713.96 1.10 7.257 705 83.48
7.501 - 8.000 4 278,631.89 0.04 7.841 661 75.12
8.001 - 8.500 5 1,189,516.09 0.19 8.412 660 91.92
8.501 - 9.000 2 195,462.39 0.03 8.744 725 87.85
9.001 - 9.500 1 246,648.48 0.04 9.125 654 94.99
9.501 - 10.000 1 285,338.88 0.04 9.625 720 90.00
-----------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-----------------------------------------------------------------------------------------------------------
Minimum: 3.250%
Maximum: 9.625%
Weighted Average: 5.549%
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 22
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Original Loan-to-Value Ratio (%)
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
ORIGINAL LOAN-TO- MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
VALUE RATIO (%) LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
<= 30.00 12 2,849,211.10 0.45 5.608 741 26.49
30.01 - 35.00 12 2,615,199.30 0.41 5.157 711 33.09
35.01 - 40.00 14 6,355,936.98 1.00 5.317 724 38.10
40.01 - 45.00 18 5,452,504.54 0.85 5.071 749 42.68
45.01 - 50.00 27 11,291,145.10 1.77 5.441 727 48.68
50.01 - 55.00 29 11,748,064.96 1.84 5.306 726 52.73
55.01 - 60.00 69 40,480,931.27 6.34 5.708 715 58.26
60.01 - 65.00 122 77,370,375.25 12.12 5.668 706 63.44
65.01 - 70.00 155 85,400,371.96 13.37 5.688 701 69.00
70.01 - 75.00 141 66,594,353.15 10.43 5.604 708 73.79
75.01 - 80.00 814 299,748,735.69 46.94 5.435 713 79.67
80.01 - 85.00 14 3,042,456.61 0.48 5.565 712 84.56
85.01 - 90.00 45 12,026,251.70 1.88 6.165 709 89.82
90.01 - 95.00 27 6,317,462.60 0.99 6.584 717 94.99
95.01 - 100.00 33 7,254,549.61 1.14 5.282 740 99.66
-------------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-------------------------------------------------------------------------------------------------------------
Minimum: 19.46%
Maximum: 100.00%
Weighted Average by Current Balance: 72.70%
-------------------------------------------------------------------------------------------------------------
FICO Score
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
FICO SCORE LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
Below 600 5 975,649.23 0.15 5.306 571 64.16
601 - 625 27 12,686,330.38 1.99 5.747 618 70.29
626 - 650 94 38,483,823.61 6.03 5.562 640 71.13
651 - 675 234 90,182,663.02 14.12 5.636 665 73.66
676 - 700 321 147,863,833.81 23.16 5.598 688 73.35
701 - 725 267 112,674,129.66 17.65 5.534 712 72.22
726 - 750 214 91,958,403.97 14.40 5.471 737 72.99
751 - 775 204 79,592,387.61 12.46 5.458 763 74.38
776 - 800 128 53,295,689.36 8.35 5.584 786 69.27
801 - 825 38 10,834,639.17 1.70 5.232 809 72.01
-------------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-------------------------------------------------------------------------------------------------------------
Minimum: 524
Maximum: 822
Weighted Average: 711
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 23
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Geographic Distribution by Balance
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
GEOGRAPHIC NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
DISTRIBUTION BY MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
BALANCE LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
California 699 344,326,912.40 53.92 5.532 709 72.41
Florida 89 31,080,729.06 4.87 5.546 714 72.43
New York 51 27,742,302.83 4.34 5.752 722 70.57
Virginia 55 23,428,310.94 3.67 5.315 712 75.74
Colorado 52 16,925,409.82 2.65 5.639 714 72.26
Maryland 40 15,418,968.53 2.41 5.388 692 74.43
Arizona 59 14,895,864.93 2.33 5.559 710 78.90
Nevada 35 13,939,565.72 2.18 5.931 720 72.73
New Jersey 39 13,686,068.03 2.14 5.679 711 71.22
Massachusetts 28 12,867,378.25 2.02 5.866 729 72.85
Other 385 124,236,039.31 19.46 5.514 713 72.71
-------------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-------------------------------------------------------------------------------------------------------------
Number of States Represented (including DC): 46
-------------------------------------------------------------------------------------------------------------
Occupancy
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
OCCUPANCY LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
Primary 1,305 561,921,843.49 88.00 5.541 710 73.04
Investment 169 55,457,985.75 8.69 5.681 721 70.78
Second Home 58 21,167,720.58 3.31 5.418 722 68.54
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-------------------------------------------------------------------------------------------------------------
Documentation Level
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
DOCUMENTATION MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
LEVEL LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
Limited 733 337,712,245.99 52.89 5.607 706 74.33
Full/Alt 460 164,632,516.72 25.78 5.294 709 74.32
No Documentation 178 71,281,054.00 11.16 5.860 723 65.22
Lite 106 36,034,666.26 5.64 5.412 739 69.42
No Ratio 55 28,887,066.85 4.52 5.728 722 66.97
------------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Purpose
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
PURPOSE LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
Purchase 790 305,351,620.34 47.82 5.491 722 77.10
Refinance - Cashout 518 243,327,528.14 38.11 5.646 700 68.22
Refinance - Rate Term 224 89,868,401.34 14.07 5.485 706 69.85
-------------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 24
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Property Type
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
PROPERTY TYPE LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
Single Family Residence 958 404,332,188.21 63.32 5.558 709 72.13
PUD 353 148,809,469.68 23.30 5.536 712 74.15
Condominium 137 50,278,399.13 7.87 5.421 719 73.00
2-4 Family 80 33,824,725.86 5.30 5.701 717 73.22
Co-op 4 1,302,766.94 0.20 5.241 746 58.38
-------------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Prepayment Penalty Term
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
PREPAYMENT MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
PENALTY TERM LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
0 1,095 460,225,437.80 72.07 5.531 714 72.84
4 8 5,386,066.30 0.84 6.038 758 73.14
6 21 12,313,560.50 1.93 5.979 700 68.18
7 12 7,386,163.80 1.16 5.248 696 73.30
8 4 2,241,294.59 0.35 5.792 754 62.10
12 6 4,522,651.33 0.71 5.957 708 56.12
24 4 1,023,675.01 0.16 6.042 708 76.11
36 236 98,038,144.18 15.35 5.434 705 73.15
42 5 720,307.40 0.11 5.513 702 80.00
48 3 1,292,500.00 0.20 5.749 728 72.64
60 138 45,397,748.91 7.11 5.786 695 73.30
-------------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Conforming Balance
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
CONFORMING MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
BALANCE LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
Non-Conforming Balance 860 498,620,536.06 78.09 5.567 711 72.02
Conforming Balance 672 139,927,013.76 21.91 5.485 710 75.10
-------------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 25
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Remaining Interest Only Term
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
REMAINING NUMBER OF % OF TOTAL WEIGHTED ORIGINAL
INTEREST ONLY MORTGAGE TOTAL CURRENT CURRENT AVERAGE FICO SUBJECT LTV
TERM LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
N/A 287 135,754,590.24 21.26 5.926 714 68.87
17 - 21 2 489,605.50 0.08 5.529 662 70.97
27 - 31 18 5,064,636.92 0.79 5.762 678 77.70
32 - 36 374 158,301,843.39 24.79 5.254 713 75.58
42 - 46 2 826,750.00 0.13 5.879 651 77.42
47 - 51 20 5,931,103.85 0.93 4.467 706 79.04
52 - 56 103 32,674,236.90 5.12 5.671 703 78.17
57 - 61 121 42,766,172.85 6.70 5.763 712 76.59
67 - 71 1 599,992.28 0.09 6.000 680 75.00
77 - 81 88 30,530,620.45 4.78 5.616 694 75.90
82 - 86 36 14,787,683.00 2.32 5.673 731 67.21
102 - 106 1 674,992.77 0.11 6.375 710 74.92
107 - 111 6 947,400.00 0.15 5.563 732 79.77
112 - 116 170 70,731,142.00 11.08 5.135 712 73.43
117 - 121 303 138,466,779.67 21.68 5.637 711 69.62
-------------------------------------------------------------------------------------------------------------
Total: 1,532 638,547,549.82 100.00 5.549 711 72.70
-------------------------------------------------------------------------------------------------------------
Non Zero Minimum: 20
Maximum: 120
Non Zero Weighted Average: 76
-------------------------------------------------------------------------------------------------------------
Maximum Mortgage Rates of Adjustable Rate Loans (%)
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
MAXIMUM NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
MORTGAGE RATES MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
(%) LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
8.001 - 9.000 16 5,852,301.09 1.18 3.852 722 78.31
9.001 - 10.000 40 12,902,419.81 2.61 4.286 727 74.07
10.001 - 11.000 472 181,190,757.11 36.65 5.082 709 75.35
11.001 - 12.000 603 247,188,573.85 49.99 5.518 708 73.00
12.001 - 13.000 93 44,424,124.84 8.98 6.322 707 73.41
13.001 - 14.000 8 2,420,679.66 0.49 7.258 718 83.08
17.001 - 18.000 1 450,000.00 0.09 4.875 735 50.85
-------------------------------------------------------------------------------------------------------------
Total: 1,233 494,428,856.36 100.00 5.386 709 74.02
-------------------------------------------------------------------------------------------------------------
Minimum: 8.500%
Maximum: 18.000%
Weighted Average: 11.261%
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 26
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Minimum Mortgage Rates of Adjustable Rate Loans (%)
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
MINIMUM NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
MORTGAGE RATES MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
(%) LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
0.001 - 1.000 3 1,839,430.12 0.37 3.608 703 71.07
1.001 - 2.000 252 84,057,951.09 17.00 5.105 729 72.25
2.001 - 3.000 950 394,089,266.15 79.71 5.442 705 74.47
3.001 - 4.000 25 13,643,459.24 2.76 5.731 701 71.74
4.001 - 5.000 3 798,749.76 0.16 5.737 706 80.00
-------------------------------------------------------------------------------------------------------------
Total: 1,233 494,428,856.36 100.00 5.386 709 74.02
-------------------------------------------------------------------------------------------------------------
Minimum: 0.750%
Maximum: 4.375%
Weighted Average: 2.238%
-------------------------------------------------------------------------------------------------------------
Gross Margin of Adjustable Rate Loans (%)
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
NUMBER OF % OF TOTAL WEIGHTED ORIGINAL
MORTGAGE TOTAL CURRENT CURRENT AVERAGE FICO SUBJECT LTV
GROSS MARGIN (%) LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
0.001 - 1.000 3 1,839,430.12 0.37 3.608 703 71.07
1.001 - 2.000 254 84,363,404.75 17.06 5.108 729 72.26
2.001 - 3.000 948 393,783,812.49 79.64 5.441 705 74.47
3.001 - 4.000 25 13,643,459.24 2.76 5.731 701 71.74
4.001 - 5.000 3 798,749.76 0.16 5.737 706 80.00
-------------------------------------------------------------------------------------------------------------
Total: 1,233 494,428,856.36 100.00 5.386 709 74.02
-------------------------------------------------------------------------------------------------------------
Minimum: 0.750%
Maximum: 4.375%
Weighted Average: 2.237%
-------------------------------------------------------------------------------------------------------------
Months to Next Rate Adjustment of Adjustable Rate Loans
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
MONTHS TO NEXT RATE MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
ADJUSTMENT LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
0 - 5 197 89,115,670.30 18.02 4.747 703 72.42
6 -11 11 3,196,246.18 0.65 4.424 738 78.07
18 - 23 2 1,002,696.87 0.20 7.049 688 73.76
24 - 29 5 1,230,700.31 0.25 5.795 704 76.17
30 - 35 451 196,153,864.62 39.67 5.308 710 74.59
36 - 41 2 1,813,000.00 0.37 6.034 694 70.00
48 - 53 13 2,590,484.34 0.52 5.883 692 81.22
54 - 59 321 114,622,679.61 23.18 5.740 707 75.85
60 - 65 5 1,959,700.00 0.40 5.706 680 68.80
72 - 77 2 390,082.08 0.08 4.693 713 53.06
78 - 83 133 51,340,365.86 10.38 5.733 706 72.33
102 - 107 1 68,000.00 0.01 7.750 760 80.00
108 - 113 2 386,885.93 0.08 5.647 718 89.65
114 - 119 88 30,558,480.26 6.18 5.769 732 70.46
-------------------------------------------------------------------------------------------------------------
Total: 1,233 494,428,856.36 100.00 5.386 709 74.02
-------------------------------------------------------------------------------------------------------------
Minimum: 1
Maximum: 119
Weighted Average: 43
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 27
------------------------------------------------------------------------------
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ March 23, 2005
Securitized Products Group ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Initial Periodic Cap of Adjustable Rate Loans (%)
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
INITIAL PERIODIC MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
CAP (%) LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
1.000 174 74,358,457.59 15.04 4.776 706 72.43
2.000 8 3,157,947.74 0.64 5.186 717 79.95
3.000 1 953,087.11 0.19 7.000 692 75.00
5.000 350 128,057,250.54 25.90 5.525 699 78.23
6.000 692 280,743,501.25 56.78 5.490 715 72.55
6.025 1 1,443,720.70 0.29 6.625 677 75.00
N/A 7 5,714,891.43 1.16 4.657 693 68.68
-------------------------------------------------------------------------------------------------------------
Total: 1,233 494,428,856.36 100.00 5.386 709 74.02
-------------------------------------------------------------------------------------------------------------
Minimum: 1.000%
Maximum: 6.025%
Weighted Average: 4.946%
-------------------------------------------------------------------------------------------------------------
Periodic Cap of Adjustable Rate Loans (%)
-------------------------------------------------------------------------------------------------------------
WEIGHTED
AVERAGE
NUMBER OF TOTAL % OF TOTAL WEIGHTED ORIGINAL
PERIODIC MORTGAGE CURRENT CURRENT AVERAGE FICO SUBJECT LTV
CAP (%) LOANS BALANCE ($) BALANCE COUPON (%) SCORE (%)
-------------------------------------------------------------------------------------------------------------
1.000 324 126,836,623.59 25.65 5.100 702 75.29
2.000 874 350,109,360.65 70.81 5.529 712 73.56
2.250 4 1,295,500.00 0.26 4.931 722 82.75
6.000 24 10,472,480.69 2.12 4.521 708 75.54
N/A 7 5,714,891.43 1.16 4.657 693 68.68
-------------------------------------------------------------------------------------------------------------
Total: 1,233 494,428,856.36 100.00 5.386 709 74.02
-------------------------------------------------------------------------------------------------------------
Minimum: 1.000%
Maximum: 6.000%
Weighted Average: 1.827%
------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of
securities, instruments or transactions will conform to the terms hereof.
Please refer to the important information and qualifications on the second
page hereof when reviewing this information.
------------------------------------------------------------------------------
Page 28
[GRAPHIC OMITTED] Pool Data MSM 2005-2AR
Pool Summary North Carolina
--------------------------------------------------------------------------------------------------------------------------
Total Issue Balance (USD) 0 % of State 43.12
--------------------------------------------------------------------------------------------------------------------------
Original Mortgage Pool Balance (USD) 639,777,468.79 WA FICO 712
--------------------------------------------------------------------------------------------------------------------------
Current Mortgage Pool Balance (USD) 638,547,549.82 - Minimum FICO 621
--------------------------------------------------------------------------------------------------------------------------
Total Number of Loans 1,532 - Maximum FICO 816
--------------------------------------------------------------------------------------------------------------------------
Average Loan Balance (USD) 416,806.49 WA LTV 72.41
--------------------------------------------------------------------------------------------------------------------------
1st lien (%age) 100 - Minimum LTV 29.15
--------------------------------------------------------------------------------------------------------------------------
2nd lien (%age) 0 - Maximum LTV 100
--------------------------------------------------------------------------------------------------------------------------
WA FICO 711 Highest Zip-Code Density (% of State) 2.877
--------------------------------------------------------------------------------------------------------------------------
- Minimum FICO 524 Zip-Code with Highest Density 94558
--------------------------------------------------------------------------------------------------------------------------
- Maximum FICO 822
--------------------------------------------------------------------------------------------------------------------------
WA LTV 72.7 South Carolina
--------------------------------------------------------------------------------------------------------------------------
- Minimum LTV 19.46 % of State 56.88
--------------------------------------------------------------------------------------------------------------------------
- Maximum LTV 100 WA FICO 707
--------------------------------------------------------------------------------------------------------------------------
WA DTI 36.25 Minimum FICO 600
--------------------------------------------------------------------------------------------------------------------------
- Minimum DTI 3.28 Maximum FICO 813
--------------------------------------------------------------------------------------------------------------------------
- Maximum DTI 100.56 WA LTV 72.41
--------------------------------------------------------------------------------------------------------------------------
WA Age (Months) 3 Minimum LTV 25.83
--------------------------------------------------------------------------------------------------------------------------
WA Remaining Term (Months) 347 Maximum LTV 95
--------------------------------------------------------------------------------------------------------------------------
Aquired Loans 0.0% Highest Zip-Code Density (% of State) 2.27
--------------------------------------------------------------------------------------------------------------------------
North California (% of Pool) 23.254 Zip-Code with Highest Density 90024
--------------------------------------------------------------------------------------------------------------------------
South California (% of Pool) 30.669
--------------------------------------------------------------------------------------------------------------------------
Mortgage Type WALTV WA FICO Balance
-----------------------------------------------------------------------------------------------------
10-Year Arms 70.723 732 31,013,366.19
-----------------------------------------------------------------------------------------------------
1-Month Arms 71.876 692 29,096,248.11
-----------------------------------------------------------------------------------------------------
2-Year Arms 75.000 692 953,087.11
-----------------------------------------------------------------------------------------------------
3-Year Arms 74.556 710 199,197,564.93
-----------------------------------------------------------------------------------------------------
5-Year Arms 75.851 706 119,172,863.95
-----------------------------------------------------------------------------------------------------
6-Month Arms 72.962 711 63,215,668.37
-----------------------------------------------------------------------------------------------------
7-Year Arms 72.166 706 51,780,057.70
-----------------------------------------------------------------------------------------------------
Fixed 15 Year 64.034 741 32,765,220.54
-----------------------------------------------------------------------------------------------------
Fixed 20 Year 75.760 675 373,324.13
-----------------------------------------------------------------------------------------------------
Fixed 30 Year 69.366 711 110,980,148.79
-----------------------------------------------------------------------------------------------------
-----------------------------------------
Classification Total Check
-----------------------------------------
Mortgage Type - x
Loan-to-Value - x
FICO - x
Purpose - x
Occupancy - x
Loan Balance - x
Property Type - x
Documentation Type - x
Fixed Period - x
Debt-to-Income Ratio - x
Geographic Distribution - x
-----------------------------------------
--------------------------------
Per Annum Fees
--------------------------------
Servicer Fees
Cost of Carry
--------------------------------
-----------------------------------------------------------------------------------------------------
LTV WALTV WA FICO Balance
-----------------------------------------------------------------------------------------------------
0.01 - 20.00 19.460 779 123,563.00
-----------------------------------------------------------------------------------------------------
20.01 - 25.00 24.265 699 488,192.37
-----------------------------------------------------------------------------------------------------
25.01 - 30.00 27.363 748 2,237,455.73
-----------------------------------------------------------------------------------------------------
30.01 - 35.00 33.090 711 2,615,199.30
-----------------------------------------------------------------------------------------------------
35.01 - 40.00 38.101 724 6,355,936.98
-----------------------------------------------------------------------------------------------------
40.01 - 45.00 42.680 749 5,452,504.54
-----------------------------------------------------------------------------------------------------
45.01 - 50.00 48.683 727 11,291,145.10
-----------------------------------------------------------------------------------------------------
50.01 - 55.00 52.735 726 11,748,064.96
-----------------------------------------------------------------------------------------------------
55.01 - 60.00 58.258 715 40,480,931.27
-----------------------------------------------------------------------------------------------------
60.01 - 65.00 63.442 706 77,370,375.25
-----------------------------------------------------------------------------------------------------
65.01 - 70.00 69.002 701 85,400,371.96
-----------------------------------------------------------------------------------------------------
70.01 - 75.00 73.790 708 66,594,353.15
-----------------------------------------------------------------------------------------------------
75.01 - 80.00 79.667 713 299,748,735.69
-----------------------------------------------------------------------------------------------------
80.01 - 85.00 84.556 712 3,042,456.61
-----------------------------------------------------------------------------------------------------
85.01 - 90.00 89.816 709 12,026,251.70
-----------------------------------------------------------------------------------------------------
90.01 - 95.00 94.988 717 6,317,462.60
-----------------------------------------------------------------------------------------------------
95.01 - 100.00 99.664 740 7,254,549.61
-----------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------
FICO WALTV WA FICO Balance
-----------------------------------------------------------------------------------------------------
521 - 540 95.416 530 243,649.23
-----------------------------------------------------------------------------------------------------
561 - 580 31.110 576 350,000.00
-----------------------------------------------------------------------------------------------------
581 - 600 74.503 592 382,000.00
-----------------------------------------------------------------------------------------------------
601 - 620 72.964 615 8,259,544.89
-----------------------------------------------------------------------------------------------------
621 - 640 69.360 632 23,778,591.84
-----------------------------------------------------------------------------------------------------
641 - 660 73.600 651 43,090,164.33
-----------------------------------------------------------------------------------------------------
661 - 680 73.210 671 90,549,027.75
-----------------------------------------------------------------------------------------------------
681 - 700 73.372 690 123,539,322.01
-----------------------------------------------------------------------------------------------------
701 - 720 73.116 710 91,605,712.42
-----------------------------------------------------------------------------------------------------
721 - 740 72.208 731 82,340,900.05
-----------------------------------------------------------------------------------------------------
741 - 760 74.042 750 61,559,815.02
-----------------------------------------------------------------------------------------------------
761 - 780 71.900 770 62,619,238.43
-----------------------------------------------------------------------------------------------------
781 - 800 69.981 789 39,394,944.68
-----------------------------------------------------------------------------------------------------
801 - 820 71.774 808 10,518,639.17
-----------------------------------------------------------------------------------------------------
820 + 80.000 822 316,000.00
-----------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
LTV MIG% WA FICO Balance with MIG Pledged Asset %
--------------------------------------------------------------------------------------------------------------------------
0.01 - 20.00 0.00 779 0 0.00
--------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 0.00 699 0 0.00
--------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00 0.00 748 0 0.00
--------------------------------------------------------------------------------------------------------------------------
30.01 - 35.00 0.00 711 0 0.00
--------------------------------------------------------------------------------------------------------------------------
35.01 - 40.00 0.00 724 0 0.00
--------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 0.00 749 0 0.00
--------------------------------------------------------------------------------------------------------------------------
45.01 - 50.00 0.44 727 0 0.44
--------------------------------------------------------------------------------------------------------------------------
50.01 - 55.00 0.00 726 0 0.00
--------------------------------------------------------------------------------------------------------------------------
55.01 - 60.00 0.00 715 0 0.00
--------------------------------------------------------------------------------------------------------------------------
60.01 - 65.00 0.00 706 0 0.00
--------------------------------------------------------------------------------------------------------------------------
65.01 - 70.00 0.00 701 0 0.00
--------------------------------------------------------------------------------------------------------------------------
70.01 - 75.00 0.00 708 0 0.00
--------------------------------------------------------------------------------------------------------------------------
75.01 - 80.00 0.09 713 0 0.00
--------------------------------------------------------------------------------------------------------------------------
80.01 - 85.00 100.00 712 0 0.00
--------------------------------------------------------------------------------------------------------------------------
85.01 - 90.00 95.60 709 0 2.62
--------------------------------------------------------------------------------------------------------------------------
90.01 - 95.00 97.68 717 0 0.00
--------------------------------------------------------------------------------------------------------------------------
95.01 - 100.00 42.34 740 0 57.66
--------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------
Purpose WALTV WA FICO Balance
-----------------------------------------------------------------------------------------------------
Purchase 77.104 722 305,351,620.34
-----------------------------------------------------------------------------------------------------
Refinance - Cashout 68.217 700 243,327,528.14
-----------------------------------------------------------------------------------------------------
Refinance - Rate Term 69.851 706 89,868,401.34
-----------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------
Occupancy WALTV WA FICO Balance
-----------------------------------------------------------------------------------------------------
Primary 73.042 710 561,921,843.49
-----------------------------------------------------------------------------------------------------
Investment 70.785 721 55,457,985.75
-----------------------------------------------------------------------------------------------------
Second Home 68.543 722 21,167,720.58
-----------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------
Loan Balance WALTV WA FICO Balance
-----------------------------------------------------------------------------------------------------
<200000 75.515 710 47,581,175.02
-----------------------------------------------------------------------------------------------------
200000 - 400000 75.484 712 158,036,484.68
-----------------------------------------------------------------------------------------------------
400000 - 600000 74.542 714 216,244,258.99
-----------------------------------------------------------------------------------------------------
> 600000 68.204 708 216,685,631.13
-----------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------
Property Type WALTV WA FICO Balance
-----------------------------------------------------------------------------------------------------
Single Family Residence 72.128 709 404,332,188.21
-----------------------------------------------------------------------------------------------------
Planned Unit Development 74.149 712 148,809,469.68
-----------------------------------------------------------------------------------------------------
Condo 72.999 719 50,278,399.13
-----------------------------------------------------------------------------------------------------
2-4 Family 73.216 717 33,824,725.86
-----------------------------------------------------------------------------------------------------
Co-op 58.383 746 1,302,766.94
-----------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------
Documentation Type WALTV WA FICO Balance
-----------------------------------------------------------------------------------------------------
Limited 74.325 706 337,712,245.99
-----------------------------------------------------------------------------------------------------
Full 74.167 703 118,092,630.76
-----------------------------------------------------------------------------------------------------
No Documentation 65.216 723 71,281,054.00
-----------------------------------------------------------------------------------------------------
Alternative 74.699 723 46,539,885.96
-----------------------------------------------------------------------------------------------------
Lite 69.424 739 36,034,666.26
-----------------------------------------------------------------------------------------------------
No Ratio 66.967 722 28,887,066.85
-----------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------
Fixed Period (Months) WALTV WA FICO Balance
-----------------------------------------------------------------------------------------------------
0 68.170 718 144,118,693.46
-----------------------------------------------------------------------------------------------------
1 71.876 692 29,096,248.11
-----------------------------------------------------------------------------------------------------
6 72.962 711 63,215,668.37
-----------------------------------------------------------------------------------------------------
24 75.000 692 953,087.11
-----------------------------------------------------------------------------------------------------
34 76.240 606 215,000.00
-----------------------------------------------------------------------------------------------------
36 74.554 710 198,982,564.93
-----------------------------------------------------------------------------------------------------
60 75.851 706 119,172,863.95
-----------------------------------------------------------------------------------------------------
84 72.166 706 51,780,057.70
-----------------------------------------------------------------------------------------------------
120 70.723 732 31,013,366.19
-----------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------
DTI WALTV WA FICO Balance
-----------------------------------------------------------------------------------------------------
N/A 65.771 722 100,776,236.45
-----------------------------------------------------------------------------------------------------
0.01 - 5.00 56.670 746 136,000.00
-----------------------------------------------------------------------------------------------------
5.01 - 10.00 65.475 711 6,639,267.54
-----------------------------------------------------------------------------------------------------
10.01 - 15.00 68.613 744 11,430,515.22
-----------------------------------------------------------------------------------------------------
15.01 - 20.00 69.893 709 14,300,456.94
-----------------------------------------------------------------------------------------------------
20.01 - 25.00 69.114 723 25,806,039.04
-----------------------------------------------------------------------------------------------------
25.01 - 30.00 74.276 704 55,756,998.49
-----------------------------------------------------------------------------------------------------
30.01 - 35.00 74.674 711 100,783,737.38
-----------------------------------------------------------------------------------------------------
35.01 - 40.00 74.334 707 152,925,729.27
-----------------------------------------------------------------------------------------------------
40.01 - 45.00 74.991 704 100,989,602.41
-----------------------------------------------------------------------------------------------------
45.01 - 50.00 75.340 708 48,315,574.57
-----------------------------------------------------------------------------------------------------
50.01 - 55.00 76.861 732 9,895,358.93
-----------------------------------------------------------------------------------------------------
55.01 >= 71.694 707 10,792,033.58
-----------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------
Geographic Distribution WALTV WA FICO Balance
-----------------------------------------------------------------------------------------------------
Alabama 70.175 716 3,552,082.40
-----------------------------------------------------------------------------------------------------
Arizona 78.897 710 14,895,864.93
-----------------------------------------------------------------------------------------------------
Arkansas 91.649 706 314,200.00
-----------------------------------------------------------------------------------------------------
California 72.407 709 344,326,912.40
-----------------------------------------------------------------------------------------------------
Colorado 72.256 714 16,925,409.82
-----------------------------------------------------------------------------------------------------
Connecticut 62.040 698 6,483,171.20
-----------------------------------------------------------------------------------------------------
Delaware 65.923 753 1,394,000.00
-----------------------------------------------------------------------------------------------------
District of Columbia 69.237 718 5,423,948.60
-----------------------------------------------------------------------------------------------------
Florida 72.432 714 31,080,729.06
-----------------------------------------------------------------------------------------------------
Georgia 75.384 722 12,419,449.54
-----------------------------------------------------------------------------------------------------
Hawaii 71.498 716 4,159,300.00
-----------------------------------------------------------------------------------------------------
Idaho 79.866 719 580,902.46
-----------------------------------------------------------------------------------------------------
Illinois 66.945 708 10,832,851.29
-----------------------------------------------------------------------------------------------------
Indiana 70.427 707 893,964.00
-----------------------------------------------------------------------------------------------------
Kansas 61.499 697 1,165,038.24
-----------------------------------------------------------------------------------------------------
Kentucky 68.828 747 726,548.41
-----------------------------------------------------------------------------------------------------
Louisiana 66.424 646 348,973.25
-----------------------------------------------------------------------------------------------------
Maine 80.000 638 771,693.00
-----------------------------------------------------------------------------------------------------
Maryland 74.426 692 15,418,968.53
-----------------------------------------------------------------------------------------------------
Massachusetts 72.854 729 12,867,378.25
-----------------------------------------------------------------------------------------------------
Michigan 73.366 710 8,363,048.46
-----------------------------------------------------------------------------------------------------
Minnesota 74.597 716 7,288,548.37
-----------------------------------------------------------------------------------------------------
Mississippi 89.950 723 366,904.34
-----------------------------------------------------------------------------------------------------
Missouri 76.581 698 4,715,495.19
-----------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------
Montana 80.000 739 188,000.00
-----------------------------------------------------------------------------------------------------
Nebraska 73.386 730 431,321.69
-----------------------------------------------------------------------------------------------------
Nevada 72.733 720 13,939,565.72
-----------------------------------------------------------------------------------------------------
New Jersey 71.217 711 13,686,068.03
-----------------------------------------------------------------------------------------------------
New Mexico 74.245 813 744,400.00
-----------------------------------------------------------------------------------------------------
New York 70.573 722 27,742,302.83
-----------------------------------------------------------------------------------------------------
North Carolina 68.337 712 7,824,344.86
-----------------------------------------------------------------------------------------------------
Ohio 73.272 739 2,136,330.65
-----------------------------------------------------------------------------------------------------
Oklahoma 72.854 673 1,445,707.00
-----------------------------------------------------------------------------------------------------
Oregon 77.652 721 2,459,375.03
-----------------------------------------------------------------------------------------------------
Pennsylvania 71.484 714 7,813,976.49
-----------------------------------------------------------------------------------------------------
Rhode Island 80.000 647 184,000.00
-----------------------------------------------------------------------------------------------------
South Carolina 72.776 695 3,320,390.86
-----------------------------------------------------------------------------------------------------
South Dakota 77.908 677 576,176.26
-----------------------------------------------------------------------------------------------------
Tennessee 80.405 760 2,331,020.61
-----------------------------------------------------------------------------------------------------
Texas 77.054 715 12,667,043.50
-----------------------------------------------------------------------------------------------------
Utah 81.207 698 891,262.00
-----------------------------------------------------------------------------------------------------
Vermont 53.915 724 593,000.00
-----------------------------------------------------------------------------------------------------
Virginia 75.741 712 23,428,310.94
-----------------------------------------------------------------------------------------------------
Washington 78.267 708 9,760,200.98
-----------------------------------------------------------------------------------------------------
Wisconsin 73.665 709 1,069,370.63
-----------------------------------------------------------------------------------------------------
American Home Cendant Greenpoint ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ MSDW-CC Aggregate
---------------------------------------------------------------------------------------------------
FICO avg 718.9 695.1 699.5 711.3 736.9 711.2
------------------
FICO stdev 41.12 56.11 35.32 44.84 52.84 46.79
------------------
FICO <640 % 0.5 15.9 3.5 4.6 2.7 4.8
------------------
FICO <680% 23.3 46.7 27 25.4 9.6 25.4
------------------
CLTV avg 79.26 77.11 93.01 77.42 76.34 79.68
------------------
CLTV >80% 43.6 20.1 86.4 35.3 36.4 42.3
------------------
SS CLTV % 86.42 93.65 95.03 89.18 83.38 90.17
------------------
Full Doc % 7.4 7.3 15.6 23.5 0 18.5
------------------
Loan Bal avg 536,734.08 352,387.84 357,858.72 454,158.91 324,861.04 416,806.49
------------------
% Jumbo 94.89 73.93 73.87 81.9 53.89 78.09
------------------
DTI % 37.89 32.73 35.62 36.24 38.95 36.25
------------------
Purch % 54.3 63.4 67.8 40.4 55.3 47.8
------------------
Cash Out % 41.8 32.5 15.1 45.5 25.2 38.1
------------------
Fxd % 100 0 2.2 28.2 0 22.6
------------------
3 yr ARM >= % 0 100 90.6 51.2 100 62.8
------------------
WAC avg 6.373 5.529 5.505 5.535 5.41 5.549
------------------
WAC stdev 0.434 0.358 0.840 0.738 0.451 0.719
------------------
1st Lien % 100 100 100 100 100 100
------------------
MI % 2 13.8 3.2 3.5 0.1 3.8
------------------
CA % 60.5 32.8 69.7 57.7 14 53.9
------------------
Invt Prop % 14.2 10.2 3.7 9.9 5.1 8.7
------------------
IO % 48.4 58.7 95.3 75.7 100 78.7
------------------
IO non-Full Doc % 40.9 53.6 81 58.1 100 64.5
------------------
Multi-Fam % 13.5 5.0 2.5 5.8 3.0 5.3
------------------
Prim Occ % 85.3 82.6 96.2 87.8 81.1 88
------------------
Originator/ Source % Bal. WA LTV WA CLTV WA SS CLTV FICO WAC Purch Invt Prop %
---------------------------------------------------------------------------------------------------------------------------------
American Home 3.70 70.61 79.26 86.42 719 6.373 54.33 14.21
---------------------------------------------------------------------------------------------------------------------------------
Cendant Conduit 6.40 76.00 77.11 93.65 695 5.529 63.41 10.23
---------------------------------------------------------------------------------------------------------------------------------
Greenpoint 14.85 79.57 93.01 95.03 699 5.505 67.78 3.66
---------------------------------------------------------------------------------------------------------------------------------
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 65.79 71.26 77.42 89.18 711 5.535 40.37 9.86
---------------------------------------------------------------------------------------------------------------------------------
MSDW CC - Conduit 9.26 70.44 76.34 83.38 737 5.410 55.35 5.10
---------------------------------------------------------------------------------------------------------------------------------
Total: 100.00 72.70 79.68 90.17 711 5.549 47.82 8.69
---------------------------------------------------------------------------------------------------------------------------------
Originator/ Source CA% 1st Lien % with S.2nd Full Doc DTI % IO% MI %
-------------------------------------------------------------------------------------------------------
American Home 60.46 100 57.55 7.44 37.89 48.35 1.97
-------------------------------------------------------------------------------------------------------
Cendant Conduit 32.76 100 7.26 7.27 32.73 58.69 13.82
-------------------------------------------------------------------------------------------------------
Greenpoint 69.70 100 85.11 15.56 35.62 95.30 3.22
-------------------------------------------------------------------------------------------------------
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 57.67 100 40.62 23.47 36.24 75.67 3.54
-------------------------------------------------------------------------------------------------------
MSDW CC - Conduit 14.02 100 45.74 0.00 38.95 100.00 0.08
-------------------------------------------------------------------------------------------------------
Total: 53.92 100 46.19 18.49 36.25 78.74 3.78
-------------------------------------------------------------------------------------------------------
Occupancy % Bal. ▇▇▇▇▇ ▇▇▇▇▇▇ WA SS CLTV WAFICO WAC Purch %
----------------------------------------------------------------------------------------------------------
Investor/2nd Home 12.00 70.17 73.38 83.42 721 5.608 56.68
----------------------------------------------------------------------------------------------------------
Primary Occup 88.00 73.04 80.54 90.56 710 5.541 46.61
----------------------------------------------------------------------------------------------------------
Total: 100.00 72.70 79.68 90.17 711 5.549 47.82
----------------------------------------------------------------------------------------------------------
Occupancy Invt Prop % CA% 1st Lien % % with S.2nd Full Doc IO% DTI % MI %
-------------------------------------------------------------------------------------------------------------------------------
Investor/2nd Home 72.38 48.75 100 21.34 10.43 36.15 78.12 4.35
-------------------------------------------------------------------------------------------------------------------------------
Primary Occup 0.00 54.63 100 49.58 19.59 36.27 78.82 3.70
-------------------------------------------------------------------------------------------------------------------------------
Total: 8.69 53.92 100 46.19 18.49 36.25 78.74 3.78
-------------------------------------------------------------------------------------------------------------------------------
Documentation % Bal. ▇▇▇▇▇ ▇▇▇▇▇▇ WA SS CLTV WAFICO WAC Purch % Invt Prop %
--------------------------------------------------------------------------------------------------------------------------------
Full 18.49 74.17 83.86 92.39 703 5.314 49.70 6.21
--------------------------------------------------------------------------------------------------------------------------------
Non-Full 81.51 72.36 78.73 89.50 713 5.603 47.39 9.25
--------------------------------------------------------------------------------------------------------------------------------
Total: 100.00 72.70 79.68 90.17 711 5.549 47.82 8.69
--------------------------------------------------------------------------------------------------------------------------------
Documentation CA% 1st Lien % % with S.2nd Full Doc IO% DTI % MI %
-------------------------------------------------------------------------------------------------------
Full 46.36 100 57.39 100.00 36.34 77.12 2.54
-------------------------------------------------------------------------------------------------------
Non-Full 55.64 100 43.65 0.00 36.23 79.11 4.06
-------------------------------------------------------------------------------------------------------
Total: 53.92 100 46.19 18.49 36.25 78.74 3.78
-------------------------------------------------------------------------------------------------------
Interest Only % Bal. ▇▇▇▇▇ ▇▇▇▇▇▇ WA SS CLTV WAFICO WAC Purch % Invt Prop %
--------------------------------------------------------------------------------------------------------------------------------
2 or 3-yr IO 25.65 75.64 85.16 93.25 711 5.269 55.52 5.36
--------------------------------------------------------------------------------------------------------------------------------
Other IO 53.09 72.81 79.99 90.35 710 5.533 49.94 10.35
--------------------------------------------------------------------------------------------------------------------------------
Non-IO 21.26 68.87 72.30 79.98 714 5.926 33.23 8.55
--------------------------------------------------------------------------------------------------------------------------------
Total: 100.00 72.70 79.68 90.17 711 5.549 47.82 8.69
--------------------------------------------------------------------------------------------------------------------------------
Interest Only CA% 1st Lien % % with S.2nd Full Doc % IO% DTI % MI %
-----------------------------------------------------------------------------------------------------
2 or 3-yr IO 62.35 100 60.94 15.20 36.68 100 2.94
-----------------------------------------------------------------------------------------------------
Other IO 51.52 100 47.78 19.52 36.28 100 3.05
-----------------------------------------------------------------------------------------------------
Non-IO 49.75 100 24.42 19.90 35.56 0.00 6.60
-----------------------------------------------------------------------------------------------------
Total: 53.92 100 46.19 18.49 36.25 78.74 3.78
-----------------------------------------------------------------------------------------------------
FICO % Bal. ▇▇▇▇▇ ▇▇▇▇▇▇ WA SS CLTV WAFICO WAC Purch % Invt Prop %
------------------------------------------------------------------------------------------------------------------------------
0 - 600 0.15 64.16 66.03 90.63 571 5.306 24.97 0.00
------------------------------------------------------------------------------------------------------------------------------
601 - 640 5.02 70.29 73.99 84.13 628 5.666 19.10 1.25
------------------------------------------------------------------------------------------------------------------------------
641 - 680 20.93 73.34 79.54 88.93 664 5.628 35.20 9.50
------------------------------------------------------------------------------------------------------------------------------
681 - 700 19.35 73.37 81.42 90.53 690 5.579 42.01 6.06
------------------------------------------------------------------------------------------------------------------------------
701 >= 54.55 72.46 79.68 90.81 745 5.498 57.42 10.01
------------------------------------------------------------------------------------------------------------------------------
Total: 100.00 72.70 79.68 90.17 711 5.549 47.82 8.69
------------------------------------------------------------------------------------------------------------------------------
FICO CA% 1st Lien % % with S.2nd Full Doc % IO % DTI % MI %
------------------------------------------------------------------------------------------------------
0 - 600 21.52 100 17.63 50.60 41.29 88.55 0.00
------------------------------------------------------------------------------------------------------
601 - 640 44.59 100 27.67 40.34 35.38 70.37 4.04
------------------------------------------------------------------------------------------------------
641 - 680 60.76 100 45.20 19.92 37.35 81.21 3.02
------------------------------------------------------------------------------------------------------
681 - 700 53.22 100 53.49 17.72 36.61 82.28 2.45
------------------------------------------------------------------------------------------------------
701 >= 52.50 100 45.76 16.12 35.71 77.28 4.52
------------------------------------------------------------------------------------------------------
Total: 53.92 100 46.19 18.49 36.25 78.74 3.78
------------------------------------------------------------------------------------------------------
Lien Position % Bal. ▇▇▇▇▇ ▇▇▇▇▇▇ WA SS CLTV WAFICO WAC Purch % Invt Prop %
------------------------------------------------------------------------------------------------------------------------------
1st Lien 100.00 72.70 79.68 90.17 711 5.549 47.82 8.69
------------------------------------------------------------------------------------------------------------------------------
2nd Lien 0.00 0.00 0.00 0.00 0 0.000 0 0.00
------------------------------------------------------------------------------------------------------------------------------
Total: 100.00 72.70 79.68 90.17 711 5.549 47.82 8.69
------------------------------------------------------------------------------------------------------------------------------
Lien Position CA% 1st Lien % % with S.2nd Full Doc % IO % DTI % MI %
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1st Lien 53.92 100 46.19 18.49 36.25 78.74 3.78
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2nd Lien 0.00 0 0.00 0.00 0.00 0.00 0.00
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Total: 53.92 100 46.19 18.49 36.25 78.74 3.78
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