FOR EXTERNAL USE
[GRAPHIC OMITTED]
▇▇▇▇▇▇ BROTHERS MORTGAGE BACKED SECURITIES
$298,577,529
(APPROXIMATE OFFERED)
SASCO 2003-33H
AURORA LOAN SERVICES, MASTER SERVICER
CITIBANK, N.A, TRUSTEE
-------- ------------ ------------ ---------------- -------------- ------------------ ------------ --------------
Expected
WAL at Payment Initial Ratings:
Approx. Security Pricing (2) Window (2) Loss ▇▇▇▇▇'▇ /
Class(1) Size ($) Coupon Description (To Maturity) (To Maturity) Coverage S&P / Fitch
--------- ------------ ------------ ---------------- -------------- ------------------ ------------ --------------
1A1 $252,303,000 5.50% Senior PT 4.08 11/03 - 08/33 3.05% Aaa/AAA/AAA
1A-IO Notional 1.00% Ratio Strip IO 4.19 11/03 - 04/33 3.05% Aaa/AAA/AAA
1A-PO $ 3,475,429 0.00% Ratio Strip PO 4.15 11/03 - 08/33 3.05% Aaa/AAA/AAA
1B1 $ 2,506,000 5.50% Subordinate 7.01 11/03 - 07/33 2.10% Aa2/AA/AA
1B2 $ 2,243,000 5.50% Subordinate 7.01 11/03 - 07/33 1.25% A2/A/A
-------- ------------ ------------ ---------------- -------------- ------------------ ------------ --------------
2A1 $ 36,027,000 4.50% Senior PT 2.80 11/03 - 06/08 3.05% Aaa/AAA/AAA
2A-IO Notional 1.00% Senior IO 2.80 11/03 - 06/08 3.05% Aaa/AAA/AAA
2B1 $ 353,000 Variable(4) Subordinate 4.31 11/03 - 06/08 2.10% Aa2/AA/AA
2B2 $ 316,000 Variable(4) Subordinate 4.31 11/03 - 06/08 1.25% A2/A/A
-------- ------------ ------------ ---------------- -------------- ------------------ ------------ --------------
B3 (3) $ 1,354,000 Variable(5) Subordinate 6.68 11/03 - 07/33 0.80% Baa2/BBB/BBB
B4 (3) $ 753,000 Variable(5) Subordinate 6.68 11/03 - 06/33 0.55% Ba2/BB/BB
B5 (3) $ 601,000 Variable(5) Subordinate 6.68 11/03 - 06/33 0.35% B2/B/B
B6 (3) $ 1,055,088 Variable(5) Subordinate 6.68 11/03 - 07/33 0.00% Not Rated
-------- ------------ ------------ ---------------- -------------- ------------------ ------------ --------------
R $ 100 5.50% Residual 0.07 11/03 - 11/03 3.05% Aaa/AAA/AAA
-------- ------------ ------------ ---------------- -------------- ------------------ ------------ --------------
(1) Classes B4, B5, and B6 (shaded in gray) will be privately offered.
(2) Pricing speed is 20% CPR.
(3) Crossed between both Collateral Pools.
(4) Net mortgage rate certificates, based on the net mortgage rate of
Collateral Pool 2.
(5) The coupon of this class is a weighted average of the underlying
subordinate rates, as described herein.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
1
FOR EXTERNAL USE
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▇▇▇▇▇▇ BROTHERS MORTGAGE BACKED SECURITIES
Deal Overview:
--------------
.. The collateral is comprised of two pools of first lien, fully
amortizing mortgage loans:
. Collateral Pool 1 is composed of fixed rate loans; and
. Collateral Pool 2 is composed of 5 year Hybrid ARMs that are
indexed to 6-month LIBOR.
.. The trust will issue 14 classes of Certificates: 11 classes will be
publicly offered and 3 classes will be privately offered (Classes B4,
B5 and B6 will be offered privately).
.. Class 1A1 and Class R are each Senior Certificates and will receive
cash flows from Collateral Pool 1.
.. Class 2A1 is a Senior Certificate and will receive cash flows from
Collateral Pool 2.
.. Class 1A-PO is a Senior Principal-Only Certificate and will receive no
payments of interest. It shall receive cash flows from Collateral Pool
1.
.. Class 1A-IO is a Senior Interest-Only Certificate and will receive no
payments of principal. It shall receive cash flows from Collateral Pool
1.
.. Class 2A-IO is a Senior Interest-Only Certificate and will receive no
payments of principal. It shall receive cash flows from Collateral Pool
2.
.. The trust will issue 8 classes of subordinate certificates:
. Class 1B1 and 1B2, which will receive cash flows from
Collateral Pool 1.
. Class 2B1 and Class 2B2, which receive cash flows from
Collateral Pool 2.
. Class B3, Class B4, Class B5 and Class B6, each
cross-collateralized between Collateral Pools 1 and 2.
.. Realized Losses from Collateral Pool 1 will be applied to Class B6,
Class B5, Class B4, Class B3, Class 1B2 and Class 1B1, in that order,
until their principal balances are reduced to zero.
.. Realized Losses from Collateral Pool 2 will be applied to Class B6,
Class B5, Class B4, Class B3, Class 2B2 and Class 2B1, in that order,
until their principal balances are reduced to zero.
.. ALS maintains a 5% Clean up Call on the collateral on an aggregate
basis.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
2
FOR EXTERNAL USE
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▇▇▇▇▇▇ BROTHERS MORTGAGE BACKED SECURITIES
Specific Terms of the Offering:
-------------------------------
Cut-Off Date: October 1, 2003
Expected Settlement Date: October 31, 2003
Distribution Dates: 25th of each month, or the next business day after
the 25th day of the month if the 25th is not a
business day, beginning on November 25, 2003.
Issuer: Structured Asset Securities Corp. ("SASCO")
Master Servicer: Aurora Loan Services ("ALS")
Servicers: ALS, Commercial Federal, GMAC, SunTrust, and
▇▇▇▇▇▇▇▇▇▇
Trustee: Citibank, N.A
Rating Agencies: ▇▇▇▇▇'▇: All certificates except Class B6
S&P: All certificates except Class B6
Fitch: All certificates except Class B6
Day Count: 30/360: All Classes
Delay Days: 24 Day Delay: All Classes
Registration: Book-entry form through DTC
SMMEA Eligibility: The Senior Certificates and the Class 1B1 and
Class 2B1 Certificates will be SMMEA eligible.
ERISA Eligibility: The Senior Certificates (with the exception of the
Class R Certificate) will be ERISA eligible.
Tax Status: REMIC for Federal income tax purposes.
5% Optional Termination: The transaction may be called by ALS as Master
Servicer when the aggregate outstanding mortgage
balance is less than 5% of the Cut-Off Date
aggregate collateral loan balance.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
3
FOR EXTERNAL USE
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▇▇▇▇▇▇ BROTHERS MORTGAGE BACKED SECURITIES
Terms of the Offering -Interest Rates:
--------------------------------------
Interest Rates: Ratio Strip Target Rate
Collateral Pool 1--5.50%
Discount Mortgage Loans. With respect to
Collateral Pool 1, a Discount Mortgage Loan is a
loan with a Net WAC less than the relevant Ratio
Strip Target Rate.
Class 1A1 is a senior certificate and will accrue
interest a rate of 5.50%.
Class 1A-PO is a senior principal-only
certificate. It will not be entitled to payments
of interest. The balance of Class 1A-PO is the sum
of the relevant PO Percentage of the Discount
Mortgage Loans in Collateral Pool 1.
Class 1A-IO is a senior interest only certificate
and will accrue interest at a fixed rate of 1.00%.
The notional balance of Class 1A-IO for any
payment period equals 1) the difference between
the Net WAC of the non-Discount Mortgage Loans in
Collateral Pool 1 for that period and 5.50%,
multiplied by 2) the outstanding principal balance
of the non-Discount Mortgage Loans in Collateral
Pool 1, divided by 3) 1.00%.
Class 2A1 is a senior certificate and will accrue
interest at a rate equal to the lesser of (1)
4.50% and (2) the Net WAC of Collateral Pool 2.
Class 2A-IO is a senior interest only certificate
and will accrue interest at a fixed rate of 1.00%.
Its notional balance for any payment period equals
1) the difference between the Net WAC of
Collateral Pool 2 and the Class 2A1 Certificate
rate, if any, multiplied by 2) the outstanding
principal balance of the Class 2A1 Certificates,
divided by 3) 1.00%.
Class R is a senior certificate and will accrue
interest at a rate of 5.50%.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
4
FOR EXTERNAL USE
[GRAPHIC OMITTED]
▇▇▇▇▇▇ BROTHERS MORTGAGE BACKED SECURITIES
Terms of the Offering -Interest Rates (cont.):
----------------------------------------------
Classes 1B1 and 1B2 will bear interest at a rate
of 5.50%.
Classes 2B1 and 2B2 will accrue interest at a rate
equal to the Net WAC of Collateral Pool 2.
Classes B3, B4, B5 and B6 are cross-collateralized
subordinates for payments of principal, interest
and allocation of losses. The Class B3, B4, B5 and
B6 will bear interest at a per annum rate equal to
the weighted average of the Underlying Subordinate
Rates weighted by the corresponding Modified Group
Subordinate Amounts.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
5
FOR EXTERNAL USE
[GRAPHIC OMITTED]
▇▇▇▇▇▇ BROTHERS MORTGAGE BACKED SECURITIES
Terms of the Offering - Subordinate Calculations:
-------------------------------------------------
The Modified Group Subordinate Amounts are
calculated as follows:
Pool 1 Modified Group Subordinate Amount:
-----------------------------------------
Total Collateral Pool 1 collateral, less (i) the
current principal balance of the Class 1A1, Class
1A-PO and Class R Certificates, (ii) the current
principal balance of the Class 1B1 and (iii) the
current principal balance of the Class 1B2.
Pool 2 Modified Group Subordinate Amount:
-----------------------------------------
Total Collateral Pool 2 collateral, less (i) the
current principal balance of the Class 2A1
Certificates, (ii) the current principal balance
of the Class 2B1 and (iii) the current principal
balance of the Class 2B2.
The underlying subordinate rates are calculated as
follows:
Pool 1 Underlying Subordinate Rate:
-----------------------------------
The Pool 1 Underlying Subordinate Rate will be
equal to 5.50%.
Pool 2 Underlying Subordinate Rate:
-----------------------------------
The Pool 2 Underlying Subordinate Rate will be
equal to the Net WAC of Mortgage Pool 2.
The Group Subordinate Amounts are calculated as
follows:
Pool 1 Subordinate Amount:
--------------------------
Total Collateral Pool 1 collateral less the
current principal balance of the Class 1A1, Class
1A-PO and Class R Certificates.
Pool 2 Subordinate Amount:
--------------------------
Total Collateral Pool 2 collateral less the
current principal balance of the Class 2A1
Certificates.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
6
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▇▇▇▇▇▇ BROTHERS MORTGAGE BACKED SECURITIES
Terms of the Offering -Credit Enhancement:
------------------------------------------
Credit Enhancement: Subordination of the lower rated classes.
Subordinate Certificates On any distribution date for which the Credit
Lockout of Prepayments Support Percentage of the 1B1 or 2B1 Certificates
and Recoveries is less than its original Credit Support
Percentage, no distributions of prepayments or
recoveries allocable to principal will be made
to the Class 1B2 or 2B2, respectively. Likewise,
among the Class B3, B4, B5, and B6 Certificates,
on any distribution date for which the Credit
Support Percentage for any such Class is less than
its original Credit Support Percentage, no
distributions of prepayments or recoveries
allocable to principal will be made to any Class
of lower priority than it.
Credit Support Percentage: The Credit Support Percentage for a Class of
Subordinate Certificates (other than the Class
1B2, Class 2B2 and Class B6 Certificates) for any
Distribution Date shall be calculated as follows.
The Credit Support Percentage with respect to the
Class 1B1 or Class 2B1 Certificates will equal a
fraction, expressed as a percentage, the numerator
of which is the excess of (i) the Pool Balance of
the related Collateral Pool over (ii) the
aggregate Certificate Principal Amount of the Pool
1 Senior Certificates and the Class 1B1
Certificates or the aggregate Certificate
Principal Amount of the Pool 2 Senior Certificates
and Class 2B1 Certificates, as applicable, and the
denominator of which is the Pool Balance of the
related Collateral Pool. The Credit Support
Percentage with respect to the Class B3, Class B4
or Class B5 Certificates will equal a fraction,
expressed as a percentage, the numerator of which
is the aggregate Certificate Principal Amount of
any Class or Classes of Subordinate Certificates
having a higher numerical class designation than
such Class and the denominator of which is the sum
of the Pool Balances of Pool 1 and Pool 2.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
7
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[GRAPHIC OMITTED]
▇▇▇▇▇▇ BROTHERS MORTGAGE BACKED SECURITIES
Terms of the Offering - Distribution of Principal:
--------------------------------------------------
Shifting Interest Structure with 5 year lockout*
Collateral Pool 1 Subordinate Test % = Pool 1 Subordinate Amount / Collateral
Pool 1 collateral balance.
Collateral Pool 2 Subordinate Test % = Pool 2 Subordinate Amount / Collateral
Pool 2 collateral balance.
.. *For each Collateral Pool, if the corresponding Pool Subordinate Test %
for ANY Collateral Pool is less than 2 times the original Pool
Subordinate Test %:
-------------------------------- --------------------
Distribution Dates (months) Shift Percentage
-------------------------------- --------------------
1 - 60 100%
-------------------------------- --------------------
61 - 72 70%
-------------------------------- --------------------
73 - 84 60%
-------------------------------- --------------------
85 - 96 40%
-------------------------------- --------------------
97 - 108 20%
-------------------------------- --------------------
109+ 0%
-------------------------------- --------------------
.. *For each Collateral Pool, if the corresponding Pool Subordinate Test %
for ALL Collateral Pools are greater than or equal to 2 times the
original Pool Subordinate Test %:
-------------------------------- --------------------
Distribution Dates (months) Shift Percentage
-------------------------------- --------------------
1 - 36 50%
-------------------------------- --------------------
37+ 0%
-------------------------------- --------------------
(*If the respective AAA loss coverage for all groups doubles based on the
initial cut-off date loss coverage during the first 36 months of the
transaction, the respective Senior certificates will be entitled to 50% of the
Subordinate certificates' percentage of pre-payments, subject to cumulative loss
and delinquency tests. After month 36, if the respective AAA loss coverage for
all groups doubles based on the initial loss coverage as of the cut-off date,
the respective Senior certificates will be entitled to pre-payments based on the
respective Collateral Pool Senior certificate percentage only, subject to
cumulative loss and delinquency tests).
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
8
FOR EXTERNAL USE
[GRAPHIC OMITTED]
▇▇▇▇▇▇ BROTHERS MORTGAGE BACKED SECURITIES
Terms of the Offering - Distribution of Principal (cont.):
----------------------------------------------------------
Pool Senior Percentage: For Collateral Pool 1, on any distribution date,
the percentage equivalent of a fraction, the
numerator of which is the sum of the Class 1A1
and Class R principal balances and the
denominator of which is the non-PO Collateral
Pool 1 balance for the immediately preceding
distribution date. For Collateral Pool 2, the
percentage equivalent of a fraction, the
numerator of which is the Class 2A1 principal
balance and the denominator of which is the
Collateral Pool 2 balance for the immediately
preceding distribution date.
Pool Subordinate Percentage: For each Collateral Pool, on any distribution
date, one minus its Senior Percentage.
Pool Senior Prepayment For each Collateral Pool, on any distribution
Percentage: date, the sum of (1) the Pool Senior Percentage
and (2) the product of (a) the Senior Principal
Prepayment Shift Percentage for that distribution
date multiplied by (b) the related Pool
Subordinate Percentage for that distribution date.
Pool Subordinate For each Collateral Pool, on any distribution
Prepayment Percentage: date, one minus its Pool Senior Prepayment
Percentage.
Pool Senior Principal For each Collateral Pool, on any distribution
Distribution Amount: date, the sum of (1) the product of (a) the
related Pool Senior Percentage and (b) the related
scheduled principal collections (for Collateral
Pool 1, the related non-PO portion of such
collections) and (2) the product of (a) the
related Senior Prepayment Percentage and (b) the
related unscheduled principal collections (for
Collateral Pool 1, the related non-PO portion of
such collections).
Pool Subordinate Principal For each Collateral Pool, on any distribution
Distribution Amount: date, the sum of (1) the product of (a) the
related Pool Subordinate Percentage and (b) the
related scheduled principal collections (for
Collateral Pool 1, the related non-PO portion of
such collections); and (2) the product of (a) the
related Subordinate Prepayment Percentage and (b)
the related unscheduled principal collections (for
Collateral Pool 1, the related non-PO portion of
such collections).
PO Percentage: For Collateral Pool 1, with respect to each
Discount Mortgage Loan in such pool on each
Distribution Date, the percentage equivalent of a
fraction, the numerator of which is the Ratio
Strip Target Rate minus the Net Mortgage Rate of
such Discount Mortgage Loan and the denominator of
which is the Ratio Strip Target Rate.
Pool PO Principal For Collateral Pool 1, on each Distribution Date,
Distribution Amount: the sum of the following with respect to the
Discount Mortgage Loans:
(1) The relevant PO Percentage of scheduled
principal collections and
(2) The relevant PO Percentage of unscheduled
principal collections.
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
9
FOR EXTERNAL USE
[GRAPHIC OMITTED]
▇▇▇▇▇▇ BROTHERS MORTGAGE BACKED SECURITIES
Principal Paydown Rules:
------------------------
I. Pay Senior PDA concurrently as follows:
------------------------------------------
Pool 1 Senior PDA:
1) Pay Class R until reduced to zero.
2) Pay Class 1A1 until reduced to zero.
Pool 1 PO PDA:
1) Pay Class 1A-PO until reduced to zero.
Pool 2 Senior PDA:
1) Pay Class 2A1 until reduced to zero.
II. Pay Subordinate PDA as follows*:
------------------------------------
*Subject to credit support tests
Pool 1 Subordinate PDA:
1) Pay Class 1B1 and 1B2 on a pro-rata basis an amount equal to the
product of (a) the Pool 1 Subordinate PDA and (b) a fraction, the
numerator of which is the current balance of Class 1B1 and Class 1B2,
and the denominator of which is the sum of the aggregate current
balance of Class 1B1, Class 1B2 and the Pool 1 Modified Group
Subordinate Amount, until reduced to zero.
Pool 2 Subordinate PDA:
1) Pay Class 2B1 and 2B2 on a pro-rata basis an amount equal to the
product of (a) the Pool 2 Subordinate PDA and (b) a fraction, the
numerator which is the current balance of Class 2B1 and Class 2B2, and
the denominator of which is the sum of the aggregate current balance of
Class 2B1, Class 2B2 and the Pool 2 Modified Group Subordinate Amount,
until reduced to zero.
III. Pay all remaining Subordinate PDA without regard to mortgage group as
--------------------------------------------------------------------------
follows*:
---------
*Subject to credit support tests
1) Pay to Class B3, B4, B5 and B6 on a pro-rata basis, until reduced to
zero.
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
10
FOR EXTERNAL USE
[GRAPHIC OMITTED]
▇▇▇▇▇▇ BROTHERS MORTGAGE BACKED SECURITIES
Prepayment Sensitivity:
-----------------------
0% CPR 10% CPR 20% CPR 30% CPR 40% CPR
Class WAL Window WAL Window WAL Window WAL Window WAL Window
------------------------------------------------------------------------------------------------------------------------------------
1A1 18.93 1 - 358 7.47 1 - 358 4.08 1 - 358 2.64 1 - 357 1.87 1 - 353
1A-IO 19.14 1 - 354 7.67 1 - 354 4.19 1 - 354 2.72 1 - 354 1.94 1 - 349
1A-PO 18.58 1 - 358 7.53 1 - 358 4.15 1 - 358 2.70 1 - 355 1.93 1 - 324
1B1 18.93 1 - 358 12.33 1 - 358 7.01 1 - 357 5.03 1 - 353 3.92 1 - 319
1B2 18.93 1 - 358 12.33 1 - 358 7.01 1 - 357 5.03 1 - 353 3.92 1 - 318
2A1 4.52 1 - 56 3.56 1 - 56 2.80 1 - 56 2.19 1 - 56 1.72 1 - 56
2A-IO 4.52 1 - 56 3.56 1 - 56 2.80 1 - 56 2.19 1 - 56 1.72 1 - 56
2B1 4.52 1 - 56 4.52 1 - 56 4.31 1 - 56 3.87 1 - 56 3.41 1 - 56
2B2 4.52 1 - 56 4.52 1 - 56 4.31 1 - 56 3.87 1 - 56 3.41 1 - 56
B3 17.15 1 - 358 11.37 1 - 358 6.68 1 - 357 4.88 1 - 352 3.85 1 - 314
B4 17.15 1 - 358 11.37 1 - 358 6.68 1 - 356 4.88 1 - 351 3.85 1 - 308
B5 17.15 1 - 358 11.37 1 - 358 6.68 1 - 356 4.88 1 - 350 3.85 1 - 305
B6 17.15 1 - 358 11.37 1 - 358 6.68 1 - 357 4.88 1 - 352 3.85 1 - 312
------------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------
Contacts
----------------------------------------------------------------------
MBS Trading ▇▇▇▇▇▇▇▇▇ ▇▇▇▇▇▇▇ (▇▇▇) ▇▇▇-▇▇▇▇
ABS/MBS Finance ▇▇▇▇ ▇▇▇▇▇▇ (▇▇▇) ▇▇▇-▇▇▇▇
▇▇▇▇▇ ▇▇▇▇▇▇▇▇ (▇▇▇) ▇▇▇-▇▇▇▇
ABS/MBS Structuring Sei-▇▇▇▇▇ ▇▇▇▇ (▇▇▇) ▇▇▇-▇▇▇▇
----------------------------------------------------------------------
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
11
FOR EXTERNAL USE
[GRAPHIC OMITTED]
▇▇▇▇▇▇ BROTHERS MORTGAGE BACKED SECURITIES
Collateral Summary:
Fixed 5/24 Hybrid ARMS
Pool 1 Pool 2
Total Number of Loans 1,977 217
Total Outstanding Loan Balance $ 263,825,792 $ 37,160,826
Average Loan Principal Balance $ 133,448 $ 171,248
Range of Loan Principal Balance $23,582 - $456,702 $53,399 - $559,710
Weighted Average coupon 5.998% 6.248%
Range of Coupons 4.750% - 8.250% 5.500% - 7.250%
Weighted Average Margin N/A 2.757%
Range of Margins N/A 2.750% - 5.000%
Weighted Average Initial Periodic Cap N/A 5.000%
Weighted Average Periodic Cap N/A 1.034%
Weighted Average Maximum Rate N/A 11.248%
Weighted Average Floor N/A 2.757%
Weighted Average Original Term (mo.) 360 360
Weighted Average Remaining Term (mo.) 354 356
Range of Remaining Term (mo.) 170 - 359 350 - 358
Weighted Average Original LTV 101.65% 101.60%
Range of Original LTV 93.51% - 103.00% 90.00% - 103.00%
Weighted Average FICO 743 723
Weighted Average Next Reset Date N/A June 2008
Lien Position
First 100.00% 100.00%
Second 0.00% 0.00%
Geographic Distribution
(Other states account individually PA - 6.30% NC - 26.71%
for less than 5% of the Cut-off Date MI - 6.30% MD - 14.94%
principal balance) NC - 6.23% MI - 11.74%
SC - 5.87% GA - 7.79%
VA - 5.72%
TX - 5.43%
Occupancy Status
Primary Home 100.00% 100.00%
Investment 0.00% 0.00%
Second Home 0.00% 0.00%
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by ▇▇▇▇▇▇ Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. ▇▇▇▇▇▇ Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
12
