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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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COMPUTATIONAL MATERIALS
$643,408,000
APPROXIMATELY
CDC MORTGAGE CAPITAL TRUST
SERIES 2004-HE3
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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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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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shall be deemed superseded and replaced in its entirety by such offering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. Xxxxxx
Xxxxxxx 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. Xxxxxx Xxxxxxx 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 Xxxxxx Xxxxxxx 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, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx 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 Xxxxxx Xxxxxxx 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. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & 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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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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APPROXIMATELY $643,408,000
CDC MORTGAGE CAPITAL TRUST SERIES 2004-HE3
CDC MORTGAGE CAPITAL INC.
SELLER
COUNTRYWIDE HOME LOANS SERVICING LP
SERVICER
TRANSACTION HIGHLIGHTS
----------------------
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MODIFIED
AVG LIFE TO DURATION TO
OFFERED EXPECTED RATINGS CALL / CALL / PAYMENT WINDOW TO CALL /
CLASSES DESCRIPTION BALANCE $ (FITCH/MOODY'S/ S&P) MTY(1)(2) MTY(1)(2)(3) MTY(1)(2)
====================================================================================================================================
A-1(4) Floater 304,567,000 AAA/Aaa/AAA 2.75 / 2.98 2.66 / 2.85 09/04 - 08/12 / 09/04 - 02/22
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A-2 Floater 232,705,000 AAA/Aaa/AAA 2.75 / 2.98 2.66 / 2.85 09/04 - 08/12 / 09/04 - 03/22
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M-1 Floater 41,861,000 AA /Aa2/ AA 5.33 / 5.88 5.05 / 5.50 11/07 - 08/12 / 11/07 - 02/19
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M-2 Floater 32,962,000 A /A2/A 5.31 / 5.79 4.93 / 5.31 10/07 - 08/12 / 10/07 - 10/17
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M-3 Floater 9,559,000 A- /A3/ A- 5.30 / 5.70 4.89 / 5.21 09/07 - 08/12 / 09/07 - 02/16
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B-1 Floater 8,240,000 BBB+/Baa1/ BBB+ 5.30 / 5.63 4.82 / 5.07 09/07 - 08/12 / 09/07 - 05/15
------------------------------------------------------------------------------------------------------------------------------------
B-2 Floater 6,922,000 BBB/Baa2/ BBB 5.30 / 5.53 4.79 / 4.97 09/07 - 08/12 / 09/07 - 07/14
------------------------------------------------------------------------------------------------------------------------------------
B-3 Floater 6,592,000 BBB-/Baa3/ BBB- 5.29 / 5.38 4.52 / 4.58 09/07 - 08/12 / 09/07 - 08/13
------------------------------------------------------------------------------------------------------------------------------------
B-4 Not Offered ****** Not Offered ******
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OFFERED INITIAL FINAL LEGAL
CLASSES SUBORDINATION LEVEL BENCHMARK MATURITY
======================================================================
A-1(4) 18.50% 1 M LIBOR 11/2034
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A-2 18.50% 1 M LIBOR 11/2034
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M-1 12.15% 1 M LIBOR 11/2034
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M-2 7.15% 1 M LIBOR 11/2034
----------------------------------------------------------------------
M-3 5.70% 1 M LIBOR 11/2034
----------------------------------------------------------------------
B-1 4.45% 1 M LIBOR 11/2034
----------------------------------------------------------------------
B-2 3.40% 1 M LIBOR 11/2034
----------------------------------------------------------------------
B-3 2.40% 1 M LIBOR 11/2034
----------------------------------------------------------------------
B-4
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Notes: (1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assume pricing at par.
(4) The Class A-1 Certificates are insured by FSA.
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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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Securitized Products Group [XXXXXX XXXXXXX LOGO]
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TRANSACTION HIGHLIGHTS (CONT'D)
-------------------------------
ISSUER: CDC Mortgage Capital Trust Series 2004-HE3
DEPOSITOR: Xxxxxx Xxxxxxx ABS Capital I Inc.
SELLER: CDC Mortgage Capital Inc.
ORIGINAL LOAN SELLERS: Aames Capital Corporation
Accredited Home Lenders, Inc.
Aegis Mortgage Corporation
BNC Mortgage, Inc.
Chapel Mortgage Corporation
The CIT Group / Consumer Finance Inc.
(and its affiliates)
Encore Credit Corp.
First Banc Mortgage, Inc.
Homeowners Loan Corp.
Impac Funding Corporation (and its affiliate, Novelle
Financial Services, Inc.)
Lenders Direct Capital Corporation
Master Financial, Inc.
Ownit Mortgage Solutions, Inc.
People's Choice Home Loan, Inc.
SERVICER: Countrywide Home Loans Servicing LP
CLASS A-1 INSURER: Financial Security Assurance Inc.
TRUSTEE: JPMorgan Chase Bank
MANAGERS: Xxxxxx Xxxxxxx (lead manager); CDC Securities,
Countrywide Securities Corporation (co-managers).
RATING AGENCIES: Fitch Inc., Xxxxx'x Investors Service Inc. and
Standard & Poor's Ratings Services
CLASS A CERTIFICATES: Class A-1 and A-2 Certificates
CLASS M CERTIFICATES: Class M-1, M-2 and M-3 Certificates
CLASS B CERTIFICATES: Class B-1, B-2, B-3 and B-4 Certificates
OFFERED CERTIFICATES: Class A, M, B-1, B-2 and B-3 Certificates
EXPECTED PRICING DATE: On or about July 14, 2004
EXPECTED CLOSING DATE: August 26, 2004 through DTC, Euroclear and
Clearstream, Luxembourg. The Offered Certificates and
the Class B-4 Certificates will be settled without
accrued interest.
DISTRIBUTION DATES: The 25th of each month, or if such day is not a
business day, on the next business day, beginning
September 27, 2004.
PREPAYMENT PERIOD: For any Distribution Date, the calendar month
preceding the calendar month in which such
Distribution Date occurs.
CUT-OFF DATE: August 1, 2004, for any Mortgage Loan in the mortgage
pool transferred to the Trust on the Closing Date.
For any Mortgage Loan subsequently transferred to the
Trust during the Pre-Funding Period (as described
below), the first day of the month in which such loan
was transferred to the Trust.
CLASS A-1 INSURANCE: Financial Security Assurance Inc., a AAA/Aaa/AAA
rated surety bond provider, guarantees timely
interest and ultimate principal to the Class A-1
Certificateholders.
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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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TRANSACTION HIGHLIGHTS (CONT'D)
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DUE PERIOD FOR MORTGAGE For any Distribution Date, the period commencing on
LOANS: the second day of the calendar month preceding the
calendar month in which such Distribution Date occurs
and ending on the first day of the calendar month in
which such Distribution Date occurs.
INTEREST ACCRUAL PERIOD The interest accrual period for the Offered
FOR THE OFFERED Certificates and the B-4 Certificates with respect to
CERTIFICATES AND THE any Distribution Date will be the period beginning
CLASS B-4 CERTIFICATES: with the immediately preceding Distribution Date (or,
in the case of the first Distribution Date, the
Closing Date) and ending on the day prior to the
current Distribution Date (on an actual/360 day count
basis).
MORTGAGE LOANS: The Trust will consist of approximately $659,229,209
of fixed and adjustable rate, sub-prime, first-lien,
and second-lien residential mortgage loans. The
information on the Mortgage Loans described herein is
based on the Cut-Off Date pool of approximately
$531,404,446. It is expected that up to approximately
$128 million of Mortgage Loans may be purchased by
the trust for a period of up to 3 months after the
closing date (the "Pre-Funding Period").
GROUP I MORTGAGE LOANS: At the Cut-Off Date, approximately $301,240,732 of
Mortgage Loans with original principal balances that
conform to the original principal balance limits for
one- to four-family residential mortgage loans
guidelines for purchase by Freddie Mac.
GROUP II MORTGAGE LOANS: At the Cut-Off Date, approximately $230,163,715 of
Mortgage Loans with original principal balances that
may or may not conform to the original principal
balance limits for one- to four-family residential
mortgage loans guidelines for purchase by Freddie
Mac.
PREFUNDING: On the Closing Date, approximately $127,824,763 from
the sale of the Offered Certificates and the Class
B-4 Certificates (the "Pre-Funded Amount") will be
deposited with the Trustee into two separate accounts
(the "Pre-Funding Accounts") and be used by the Trust
to purchase additional Mortgage Loans during the
Pre-Funding Period for each of the related loan
groups.
PRICING PREPAYMENT SPEED: o Fixed Rate Mortgage Loans: CPR starting at
approximately 1.5333% CPR in month 1 and increasing
to 23% CPR in month 15 (23%/15 CPR increase for each
month), and remaining at 23% CPR thereafter.
o Adjustable Rate Mortgage Loans: CPR of 25%.
CREDIT ENHANCEMENT: The Offered Certificates and Class B-4 Certificates
are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage
Loans;
2) 1.40% overcollateralization (funded upfront )
based on the sum of the aggregate principal
balance as of the Cut-Off Date of the Mortgage
Loans acquired by the Trust on the Closing Date
and the Pre-Funded Amount. After the Step-down
Date, so long as a Trigger Event is not in
effect, the required overcollateralization will
equal 2.80% of the aggregate principal balance
of the Mortgage Loans as of the last day of the
applicable Due Period, subject to a 0.50% floor,
based on the sum of the aggregate principal
balance as of the Cut-Off Date of the Mortgage
Loans acquired by the Trust on the Closing Date
and the Pre-Funded Amount;
3) Subordination of distributions on the more
subordinate classes of certificates to the
required distributions on the more senior
classes of certificates; and
4) An insurance policy issued by Financial Security
Assurance Inc. for the benefit of the holders of
the Class A-1 Certificates only.
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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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Securitized Products Group [XXXXXX XXXXXXX LOGO]
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TRANSACTION HIGHLIGHTS (CONT'D)
-------------------------------
SENIOR ENHANCEMENT For any Distribution Date, the percentage obtained by
PERCENTAGE: dividing (x) the aggregate Certificate Principal
Balance of the subordinate certificates (including
any overcollateralization and taking into account the
distributions of the Principal Distribution Amount
for such Distribution Date) by (y) the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period.
STEP-DOWN DATE: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in
September 2007; and
(b) The Distribution Date on which the
aggregate balance of the Class A
Certificates is reduced to zero; and
(y) the first Distribution Date on which the Senior
Enhancement Percentage (calculated for this
purpose only after taking into account scheduled
and unscheduled payments of principal on the
Mortgage Loans on the last day of the related
Due Period but prior to any applications of
Principal Distribution to the Offered
Certificates and the Class B-4 Certificates on
the applicable Distribution Date) is greater
than or equal to approximately 37.00%.
TRIGGER EVENT: A Delinquency Trigger Event is in effect on any
Distribution Date if the quotient (expressed as a
percentage) of (x) the three month rolling daily
average of 60+ day Delinquent Loans as of the last
day of the Due Period, over (y) the aggregate
principal balance of the Mortgage Loans equals or
exceeds 42.25% of the prior period's Senior
Enhancement Percentage.
A Loss Trigger Event is in effect if the aggregate
amount of realized losses incurred since the Cut-Off
Date through the last day of the related Prepayment
Period divided by the sum of the aggregate principal
balance as of the Cut-Off Date of the Mortgage Loans
acquired by the Trust on the Closing Date and the
Pre-Funded Amount exceeds the applicable percentages
described below with respect to such Distribution
Date:
Distribution Date Occurring In Loss Percentage
September 2004 to August 2007 [N/A]
September 2007 to August 2008 [2.75]%
September 2008 to August 2009 [4.50]%
September 2009 to August 2010 [5.75]%
September 2010 to August 2011 [6.50]%
September 2011 and Thereafter [6.75]%
INITIAL SUBORDINATION Class A: 18.50%
PERCENTAGE: Class M-1: 12.15%
Class M-2: 7.15%
Class M-3: 5.70%
Class B-1: 4.45%
Class B-2: 3.40%
Class B-3: 2.40%
Class B-4: 1.40%
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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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Securitized Products Group [XXXXXX XXXXXXX LOGO]
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TRANSACTION HIGHLIGHTS (CONT'D)
-------------------------------
OPTIONAL CLEAN-UP CALL: If the Class X certificates are 100% owned, directly
or indirectly, by CDC Mortgage Capital Inc. or any of
its affiliates, the servicer may exercise a clean-up
call when the current aggregate principal balance of
the Mortgage Loans is less than or equal to 10% of
the sum of the aggregate principal balance as of the
Cut-Off Date of the Mortgage Loans acquired by the
Trust on the Closing Date and the Pre-Funded Amount.
If the Class X certificates are not 100% owned,
directly or indirectly, by CDC Mortgage Capital Inc.
or any of its affiliates, then the majority owner of
the Class X certificates may exercise a clean-up call
when the current aggregate principal balance of the
Mortgage Loans is less than or equal to 10% of the
sum of the aggregate principal balance as of the
Cut-Off Date of the Mortgage Loans acquired by the
Trust on the Closing Date and the Pre-Funded Amount.
STEP-UP COUPONS: For the Offered Certificates and the Class B-4
Certificates, the coupon will increase after the
Optional Clean-up Call Date, should the call not be
exercised. The applicable coupon for the Class A
Certificates will increase by 2 times its initial
margin and the coupons for the Class M and Class B
Certificates will each increase by 1.5 times their
respective initial margins.
CLASS A-1 PASS-THROUGH The Class A-1 Certificates will accrue interest at a
RATE: variable rate equal to the least of (i) one-month
LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable), (ii) the Net WAC Cap and (iii) the
Loan Group I Cap.
CLASS A-2 PASS-THROUGH The Class A-2 Certificates will accrue interest at a
RATE: variable rate equal to the least of (i) one-month
LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable), (ii) the Net WAC Cap and (iii) the
Loan Group II Cap.
CLASS M-1 PASS-THROUGH The Class M-1 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month
LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the Net WAC Cap.
CLASS M-2 PASS-THROUGH The Class M-2 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month
LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the Net WAC Cap.
CLASS M-3 PASS-THROUGH The Class M-3 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month
LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the Net WAC Cap.
CLASS B-1 PASS-THROUGH The Class B-1 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month
LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the Net WAC Cap.
CLASS B-2 PASS-THROUGH The Class B-2 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month
LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the Net WAC Cap.
CLASS B-3 PASS-THROUGH The Class B-3 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month
LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) the Net WAC Cap.
CLASS B-4 PASS-THROUGH The Class B-4 Certificates will accrue interest at a
RATE: variable rate equal to the lesser of (i) one-month
LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable) and (ii) 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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TRANSACTION HIGHLIGHTS (CONT'D)
-------------------------------
NET WAC CAP: As to any Distribution Date, a per annum rate (on an
actual/360 basis) equal to the weighted average gross
rate of the Mortgage Loans in effect on the beginning
of the related Due Period less servicing and trustee
fee, and in regards to the A-1 Certificates only, the
FSA fee rate.
LOAN GROUP I CAP: As to any Distribution Date, a per annum rate (on an
actual/360 basis) equal to the weighted average gross
rate of the Group I Mortgage Loans in effect on the
beginning of the related Due Period less servicing,
trustee, and other fee rates (including the FSA fee
rate).
LOAN GROUP II CAP: As to any Distribution Date, a per annum rate (on an
actual/360 basis) equal to the weighted average gross
rate of the Group II Mortgage Loans in effect on the
beginning of the related Due Period less servicing,
trustee, and other fee rates.
INTEREST DISTRIBUTIONS On each Distribution Date and after payment of fees
ON OFFERED CERTIFICATES and reimbursements to the Servicer, FSA and the
AND THE CLASS B-4 Trustee, interest distributions from the Interest
CERTIFICATES: Remittance Amount will be allocated as follows:
(i) concurrently, with equal priority of payments;
(A) payable from the remaining Interest
Remittance Amount relating to the Group I Mortgage
Loans and, to the extent such amount is less than the
Accrued Certificate Interest for the Class A-1
Certificates, from the amounts remaining with respect
to the Group II Mortgage Loans for that Distribution
Date after giving effect to the payment of the
Accrued Certificate Interest for the Class A-2
Certificates, for that Distribution Date, to the
Class A-1 Certificates its Accrued Certificate
Interest and any Unpaid Interest Shortfalls.
(B) payable from the remaining Interest
Remittance Amount relating to the Group II Mortgage
Loans and, to the extent such amount is less than the
Accrued Certificate Interest for the Class A-2
Certificates, from the amounts remaining with respect
to the Group I Mortgage Loans for that Distribution
Date after giving effect to the payment of the
Accrued Certificate Interest for the Class A-1
Certificates, for that Distribution Date, to the
Class A-2 Certificates, its Accrued Certificate
Interest and any Unpaid Interest Shortfalls;
(ii) payable from the remaining Interest Remittance
Amount for all Groups, to the Class M-1 Certificates,
its Accrued Certificate Interest;
(iii) payable from the remaining Interest Remittance
Amount for all Groups, to the Class M-2 Certificates,
its Accrued Certificate Interest;
(iv) payable from the remaining Interest Remittance
Amount for all Groups, to the Class M-3 Certificates,
its Accrued Certificate Interest;
(v) payable from the remaining Interest Remittance
Amount for all Groups, to the Class B-1 Certificates,
its Accrued Certificate Interest;
(vi) payable from the remaining Interest Remittance
Amount for all Groups, to the Class B-2 Certificates,
its Accrued Certificate Interest;
(vii) payable from the remaining Interest Remittance
Amount for all Groups, to the Class B-3 Certificates,
its Accrued Certificate Interest; and
(viii) payable from the remaining Interest Remittance
Amount for all Groups, to the Class B-4 Certificates,
its Accrued Certificate Interest.
--------------------------------------------------------------------------------
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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TRANSACTION HIGHLIGHTS (CONT'D)
-------------------------------
PRINCIPAL DISTRIBUTIONS On each Distribution Date (a) prior to the Stepdown
ON OFFERED CERTIFICATES Date or (b) on which a Trigger Event is in effect,
AND CLASS B-4 principal distributions from the Principal
CERTIFICATES: Distribution Amount will be allocated as follows:
(i) to the Class A Certificates, allocated between
the Class A Certificates as described below, until
the Certificate Principal Balances thereof have been
reduced to zero;
(ii) to the Class M-1 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(iv) to the Class M-3 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(v) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(vi) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero;
(vii) to the Class B-3 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero; and
(viii) to the Class B-4 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero.
On each Distribution Date (a) on or after the
Stepdown Date and (b) on which a Trigger Event is not
in effect, the principal distributions from the
Principal Distribution Amount will be allocated as
follows:
(i) to the Class A Certificates, the lesser of the
Principal Distribution Amount and the Class A
Principal Distribution Amount, allocated between the
Class A Certificates as described below, until the
Certificate Principal Balances thereof have been
reduced to zero;
(ii) to the Class M-1 Certificates, the lesser of the
remaining Principal Distribution Amount and the Class
M-1 Principal Distribution Amount, until the
Certificate Principal Balance thereof has been
reduced to zero;
(iii) to the Class M-2 Certificates, the lesser of
the remaining Principal Distribution Amount and the
Class M-2 Principal Distribution Amount, until the
Certificate Principal Balance thereof has been
reduced to zero;
(iv) to the Class M-3 Certificates, the lesser of the
remaining Principal Distribution Amount and the Class
M-3 Principal Distribution Amount, until the
Certificate Principal Balance thereof has been
reduced to zero;
(v) to the Class B-1 Certificates, the lesser of the
remaining Principal Distribution Amount and the Class
B-1 Principal Distribution Amount, until the
Certificate Principal Balance thereof has been
reduced to zero;
(vi) to the Class B-2 Certificates, the lesser of the
remaining Principal Distribution Amount and the Class
B-2 Principal Distribution Amount, until the
Certificate Principal Balance thereof has been
reduced to zero;
(vii) to the Class B-3 Certificates, the lesser of
the remaining Principal Distribution Amount and the
Class B-3 Principal Distribution Amount, until the
Certificate Principal Balance thereof has been
reduced to zero; and
(viii)to the Class B-4 Certificates, the lesser of
the remaining Principal Distribution Amount and the
Class B-4 Principal Distribution Amount, until the
Certificate Principal Balance thereof has been
reduced to zero.
All principal distributions to the Class A
Certificates on any Distribution Date will be
allocated between the Class A-1 and Class A-2
Certificates on a pro rata basis based on the Class A
Principal Allocation Percentage for each such group
on such Distribution Date; however, if the Class
--------------------------------------------------------------------------------
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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TRANSACTION HIGHLIGHTS (CONT'D)
-------------------------------
Certificate Balances of either Class A Certificates
is reduced to zero, then the remaining amount of
principal distributions distributable to the Class A
Certificates on that Distribution Date, and the
amount of those principal distributions distributable
on all subsequent Distribution Dates, will be
distributed to the holders of the remaining Class A
Certificates, until their Class Certificate Balances
have been reduced to zero. Any payments of principal
to the Class A-1 Certificates will be made first from
payments relating to the Group I Mortgage Loans, and
any payments of principal to the Class A-2
Certificates will be made first from payments
relating to the Group II Mortgage Loans.
CLASS A-2 CERTIFICATES Beginning on the first Distribution Date, and for a
INTEREST RATE CAP: period of 31 months thereafter, an Interest Rate Cap
will be pledged to the Trust for the benefit of the
Class A-2 Certificates.
For its duration, the Class A-2 Interest Rate Cap
pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate (not to
exceed the cap ceiling) and the cap strike (on an
actual/360 day count basis) and (ii) the Class A-2
Interest Rate Cap Notional Balance ("the Class A-2
Interest Rate Cap Payment") as described on the
schedule herein.
CLASS A-2 CERTIFICATES The Class A-2 Interest Rate Cap Payment shall be
INTEREST RATE CAP available to pay any Basis Risk Carry Forward Amount
PAYMENT ALLOCATION: due to the Class A-2 Certificates.
CLASS M CERTIFICATES Beginning on the first Distribution Date, and for a
INTEREST RATE CAP: period of 36 months thereafter, an Interest Rate Cap
will be pledged to the Trust for the benefit of the
Class M Certificates.
For its duration, the Class M 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 an actual/360
day count basis) and (ii) the Class M Interest Rate
Cap Notional Balance ("the Class M Interest Rate Cap
Payment") as described on the schedule herein.
CLASS M CERTIFICATES The Class M Interest Rate Cap Payment shall be
INTEREST RATE CAP available to pay any Basis Risk Carry Forward Amount
PAYMENT ALLOCATION: due to the Class M-1, Class M-2 and Class M-3
Certificates on a pro rata basis.
CLASS B CERTIFICATES Beginning on the first Distribution Date, and for a
INTEREST RATE CAP: period of 36 months thereafter, an Interest Rate Cap
will be pledged to the Trust for the benefit of the
Class B Certificates.
For its duration, the Class B 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 an actual/360
day count basis) and (ii) the Class B Interest Rate
Cap Notional Balance ("the Class B Interest Rate Cap
Payment") as described on the schedule herein.
CLASS B CERTIFICATES The Class B Interest Rate Cap Payment shall be
INTEREST RATE CAP available to pay any Basis Risk Carry Forward Amount
PAYMENT ALLOCATION: due to the Class B-1, Class B-2, Class B-3 and Class
B-4 Certificates on a pro rata basis.
--------------------------------------------------------------------------------
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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TRANSACTION HIGHLIGHTS (CONT'D)
-------------------------------
ALLOCATION OF NET MONTHLY For any Distribution Date, any Net Monthly Excess
EXCESS CASHFLOW: Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, their Unpaid
Interest Shortfall;
(ii) to the Class M-1 Certificates, their realized
loss amount reimbursement;
(iii) to the Class M-2 Certificates, their Unpaid
Interest Shortfall;
(iv) to the Class M-2 Certificates, their realized
loss amount reimbursement;
(v) to the Class M-3 Certificates, their Unpaid
Interest Shortfall;
(vi) to the Class M-3 Certificates, their realized
loss amount reimbursement
(vii) to the Class B-1 Certificates, their Unpaid
Interest Shortfall;
(viii) to the Class B-1 Certificates, their realized
loss amount reimbursement;
(ix) to the Class B-2 Certificates, their Unpaid
Interest Shortfall;
(x) to the Class B-2 Certificates, their realized
loss amount reimbursement;
(xi) to the Class B-3 Certificates, their Unpaid
Interest Shortfall;
(xii) to the Class B-3 Certificates, their realized
loss amount reimbursement;
(xiii) to the Class B-4 Certificates, their Unpaid
Interest Shortfall;
(xiv) to the Class B-4 Certificates, their realized
loss amount reimbursement;
(xv) (A) from any available Class A-2 Interest Rate
Cap Payments, to the Class A-2 Certificates up to its
respective unpaid Basis Risk Carry Forward Amount,
(B) from any available Class M Interest Rate Cap
Payments, concurrently to the Class M-1, Class M-2
and Class M-3 Certificates up to their respective
unpaid Basis Risk Carry Forward Amounts, and (C) from
any available Class B Interest Rate Cap Payments,
concurrently to the Class B-1, Class B-2, Class B-3
and Class B-4 Certificates up to their respective
unpaid Basis Risk Carry Forward Amounts;
(xvi) pro rata, to the Class A-1 and A-2
Certificates, any Basis Risk Carry Forward Amount for
such classes remaining unpaid; and
(xvii) sequentially, to the Class M-1, M-2, M-3, B-1,
B-2, B-3 and B-4 Certificates, in such order, any
Basis Risk Carry Forward Amount for such classes
remaining unpaid.
CLASS A, M, AND B BASIS As to any Distribution Date, the supplemental
RISK CARRY FORWARD interest amount for the Class A, M-1, M-2, M-3, B-1,
AMOUNT: B-2, B-3 and B-4 Certificates equals the sum of:
(i) the excess, if any, of interest that would
otherwise be due on such Certificates at the
respective Pass-Through Rate (without regard to the
Net WAC Cap or the Loan Group I Cap or the Loan Group
II Cap, as applicable) over interest due such
Certificates at a rate equal to the lesser of (a) the
Net WAC Cap and (b) with respect to the Class A
Certificates only, the Loan Group I Cap or the Loan
Group II Cap, as applicable;
(ii) any respective Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates; and
(iii) interest on the amount in clause (ii) at the
respective Pass-Through Rate (without regard to the
Net WAC Cap or the Loan Group I Cap or the Loan Group
II Cap, as applicable ).
PRE-FUNDING ACCOUNT Any funds in the Pre-Funding Accounts not used to
PAYMENT: purchase additional Mortgage Loans during the
Pre-Funding Period will be paid first to the related
class of Class A Certificates and second to the other
Certificates on a pro rata basis.
INTEREST REMITTANCE For any Distribution Date, the portion of available
AMOUNT: funds for such Distribution Date attributable to
interest received or advanced on the Mortgage Loans.
--------------------------------------------------------------------------------
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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TRANSACTION HIGHLIGHTS (CONT'D)
-------------------------------
ACCRUED CERTIFICATE For any Distribution Date and each class of Offered
INTEREST: Certificates and Class B-4 Certificates, equals the
amount of interest accrued during the related
interest accrual period at the related Pass-Through
Rate, reduced by that class share of prepayment
interest shortfalls and any shortfalls resulting from
the application of the Servicemembers Civil Relief
Act or similar state or local law.
PRINCIPAL DISTRIBUTION On any Distribution Date, the sum of (i) the Basic
AMOUNT: Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
BASIC PRINCIPAL On any Distribution Date, the excess of (i) the
DISTRIBUTION AMOUNT: aggregate Principal Remittance Amount over (ii) the
Excess Subordinated Amount, if any.
PRINCIPAL REMITTANCE On any Distribution Date, the sum of (i) all
AMOUNT: scheduled payments of principal collected or advanced
on the Mortgage Loans during the prior Due Period,
(ii) the principal portion of all partial and full
prepayments received during the month prior to the
month during which such Distribution Date occurs,
(iii) the principal portion of all net liquidation
proceeds and net insurance proceeds received during
the month prior to the month during which such
Distribution Date occurs, (iv) the principal portion
of repurchased Mortgage Loans with respect to such
Distribution Date, (v) the principal portion of
substitution adjustments received in connection with
the substitution of a Mortgage Loan with respect to
such Distribution Date, and (vi) the principal
portion of the termination price if the Optional
Clean Up Call is exercised.
NET MONTHLY EXCESS For any Distribution Date is the amount of funds
CASHFLOW: available for distribution on such Distribution Date
remaining after making all payments of interest and
principal to the Certificates.
EXTRA PRINCIPAL For any Distribution Date, the lesser of (i) the
DISTRIBUTION AMOUNT: excess of (x) interest collected or advanced on the
Mortgage Loans during the related Due Period (less
fees and reimbursements owed to the Servicer, the
Trustee and FSA), over (y) the sum of interest
distribution on the Certificates on such Distribution
Date and (ii) the amount by which the
overcollateralization is deficient for such
Distribution Date.
EXCESS SUBORDINATED For any Distribution Date, means the excess, if any
AMOUNT: of (i) the overcollateralization over (ii) the
required overcollateralization for such Distribution
Date.
CLASS A PRINCIPAL For any Distribution Date, an amount equal to the
DISTRIBUTION AMOUNT: excess of (x) the Certificate Principal Balance of
the Class A Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 63.00% and (ii) the
aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related
Due Period minus approximately $3,296,146.
CLASS A PRINCIPAL For any Distribution Date, the percentage equivalent
ALLOCATION PERCENTAGE: of a fraction, determined as follows: (i) in the case
of the Class A-1 Certificates the numerator of which
is (x) the portion of the Principal Remittance Amount
for such Distribution Date that is attributable to
principal received or advanced on the Group I
Mortgage Loans and the denominator of which is (y)
the Principal Remittance Amount for such Distribution
Date and (ii) in the case of the Class A-2
Certificates, the numerator of which is (x) the
portion of the Principal Remittance Amount for such
Distribution Date that is attributable to principal
received or advanced on the Group II Mortgage Loans
and the denominator of which is (y) the Principal
Remittance Amount for such Distribution Date.
--------------------------------------------------------------------------------
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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Securitized Products Group [XXXXXX XXXXXXX LOGO]
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TRANSACTION HIGHLIGHTS (CONT'D)
-------------------------------
CLASS M-1 PRINCIPAL For any Distribution Date, an amount equal to the
DISTRIBUTION AMOUNT: excess of (x) the sum of (i) the Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A
Principal Distribution Amount on such Distribution
Date) and (ii) the Certificate Principal Balance of
the Class M-1 Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 75.70% and (ii) the
aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related
Due Period minus approximately $3,296,146.
CLASS M-2 PRINCIPAL For any Distribution Date, an amount equal to the
DISTRIBUTION AMOUNT: excess of (x) the sum of (i) the Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A
Principal Distribution Amount on such Distribution
Date), (ii) the Certificate Principal Balance of the
Class M-1 Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date) and (iii) the
Certificate Principal Balance of the Class M-2
Certificates immediately prior to such Distribution
Date over (y) the lesser of (A) the product of (i)
approximately 85.70% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of
the related Due Period and (B) the excess, if any, of
the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period minus
approximately $3,296,146.
CLASS M-3 PRINCIPAL For any Distribution Date, an amount equal to the
DISTRIBUTION AMOUNT: excess of (x) the sum of (i) the Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A
Principal Distribution Amount on such Distribution
Date), (ii) the Certificate Principal Balance of the
Class M-1 Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment
of the Class M-2 Principal Distribution Amount on
such Distribution Date), and (iv) the Certificate
Principal Balance of the Class M-3 Certificates
immediately prior to such Distribution Date over (y)
the lesser of (A) the product of (i) approximately
88.60% and (ii) the aggregate principal balance of
the Mortgage Loans as of the last day of the related
Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period minus
approximately $3,296,146.
CLASS B-1 PRINCIPAL For any Distribution Date, an amount equal to the
DISTRIBUTION AMOUNT: excess of (x) the sum of (i) the Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A
Principal Distribution Amount on such Distribution
Date), (ii) the Certificate Principal Balance of the
Class M-1 Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment
of the Class M-2 Principal Distribution Amount on
such Distribution Date), (iv) the Certificate
Principal Balance of the Class M-3 Certificates
(after taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date), and (v) the Certificate Principal
Balance of the Class B-1 Certificates immediately
prior to such Distribution Date over (y) the lesser
of (A) the product of (i) approximately 91.10% and
(ii) the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period
and (B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period minus
approximately $3,296,146.
--------------------------------------------------------------------------------
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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Securitized Products Group [XXXXXX XXXXXXX LOGO]
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TRANSACTION HIGHLIGHTS (CONT'D)
-------------------------------
CLASS B-2 PRINCIPAL For any Distribution Date, an amount equal to the
DISTRIBUTION AMOUNT: excess of (x) the sum of (i) the Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A
Principal Distribution Amount on such Distribution
Date), (ii) the Certificate Principal Balance of the
Class M-1 Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment
of the Class M-2 Principal Distribution Amount on
such Distribution Date), (iv) the Certificate
Principal Balance of the Class M-3 Certificates
(after taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate Principal
Balance of the Class B-1 Certificates (after taking
into account the payment of the Class B-1 Principal
Distribution Amount on such Distribution Date) and
(vi) the Certificate Principal Balance of the Class
B-2 Certificates immediately prior to such
Distribution Date and over (y) the lesser of (A) the
product of (i) approximately 93.20% and (ii) the
aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related
Due Period minus approximately $3,296,146.
CLASS B-3 PRINCIPAL For any Distribution Date, an amount equal to the
DISTRIBUTION AMOUNT: excess of (x) the sum of (i) the Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A
Principal Distribution Amount on such Distribution
Date), (ii) the Certificate Principal Balance of the
Class M-1 Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment
of the Class M-2 Principal Distribution Amount on
such Distribution Date), (iv) the Certificate
Principal Balance of the Class M-3 Certificates
(after taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate Principal
Balance of the Class B-1 Certificates (after taking
into account the payment of the Class B-1 Principal
Distribution Amount on such Distribution Date), (vi)
the Certificate Principal Balance of the Class B-2
Certificates (after taking into account the payment
of the Class B-2 Principal Distribution Amount on
such Distribution Date) and (vii) the Certificate
Principal Balance of the Class B-3 Certificates
immediately prior to such Distribution Date and over
(y) the lesser of (A) the product of (i)
approximately 95.20% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of
the related Due Period and (B) the excess, if any, of
the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period minus
approximately $3,296,146.
CLASS B-4 PRINCIPAL For any Distribution Date, an amount equal to the
DISTRIBUTION AMOUNT: excess of (x) the sum of (i) the Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A
Principal Distribution Amount on such Distribution
Date), (ii) the Certificate Principal Balance of the
Class M-1 Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the payment
of the Class M-2 Principal Distribution Amount on
such Distribution Date), (iv) the Certificate
Principal Balance of the Class M-3 Certificates
(after taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate Principal
Balance of the Class B-1 Certificates (after taking
into account the payment of the Class B-1 Principal
Distribution Amount on such Distribution Date), (vi)
the Certificate Principal Balance of the Class B-2
Certificates (after taking into account the payment
of the Class B-2 Principal Distribution Amount on
such Distribution Date), (vii) the Certificate
Principal Balance of the Class B-3 Certificates
(after taking into account the payment of the Class
B-3 Principal Distribution Amount on such
Distribution Date) and (viii) the Certificate
Principal Balance of the Class B-4 Certificates
immediately prior to such Distribution Date and over
(y) the lesser of (A) the product of (i)
approximately 97.20% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of
the related Due Period and
--------------------------------------------------------------------------------
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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Securitized Products Group [XXXXXX XXXXXXX LOGO]
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TRANSACTION HIGHLIGHTS (CONT'D)
-------------------------------
(B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day of
the related Due Period minus approximately
$3,296,146.
TRUST TAX STATUS: REMIC.
ERISA ELIGIBILITY: Subject to the considerations in the Prospectus, the
Offered Certificates are ERISA eligible.
SMMEA ELIGIBILITY: It is anticipated that none of the Offered
Certificates will be SMMEA eligible.
PROSPECTUS: The Offered 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.
--------------------------------------------------------------------------------
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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SENSITIVITY ANALYSIS
--------------------
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TO 10% CALL
---------------------------------------------------------------------------------------------------------------------------
% OF PPC 50 60 75 100 125 150 175
------------------------------------------------------------------------------------------------------------------------------------
A-1 WAL 5.38 4.56 3.69 2.75 2.11 1.62 1.24
FIRST PAYMENT DATE 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004
EXPECTED FINAL MATURITY 12/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 11/25/2008
WINDOW 1 - 184 1 - 158 1 - 128 1 - 96 1 - 75 1 - 61 1 - 51
------------------------------------------------------------------------------------------------------------------------------------
A-2 WAL 5.41 4.59 3.70 2.75 2.10 1.61 1.24
FIRST PAYMENT DATE 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004
EXPECTED FINAL MATURITY 12/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 11/25/2008
WINDOW 1 - 184 1 - 158 1 - 128 1 - 96 1 - 75 1 - 61 1 - 51
------------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.28 8.74 7.05 5.33 4.55 4.42 4.25
FIRST PAYMENT DATE 8/25/2009 11/25/2008 1/25/2008 11/25/2007 2/25/2008 6/25/2008 11/25/2008
EXPECTED FINAL MATURITY 12/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 11/25/2008
WINDOW 60 - 184 51 - 158 41 - 128 39 - 96 42 - 75 46 - 61 51 - 51
------------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.28 8.74 7.05 5.31 4.42 4.01 3.97
FIRST PAYMENT DATE 8/25/2009 11/25/2008 1/25/2008 10/25/2007 11/25/2007 1/25/2008 3/25/2008
EXPECTED FINAL MATURITY 12/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 11/25/2008
WINDOW 60 - 184 51 - 158 41 - 128 38 - 96 39 - 75 41 - 61 43 - 51
------------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.28 8.74 7.05 5.30 4.37 3.88 3.69
FIRST PAYMENT DATE 8/25/2009 11/25/2008 1/25/2008 9/25/2007 11/25/2007 12/25/2007 1/25/2008
EXPECTED FINAL MATURITY 12/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 11/25/2008
WINDOW 60 - 184 51 - 158 41 - 128 37 - 96 39 - 75 40 - 61 41 - 51
------------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.28 8.74 7.05 5.30 4.34 3.84 3.60
FIRST PAYMENT DATE 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 11/25/2007 12/25/2007
EXPECTED FINAL MATURITY 12/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 11/25/2008
WINDOW 60 - 184 51 - 158 41 - 128 37 - 96 38 - 75 39 - 61 40 - 51
------------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.28 8.74 7.05 5.30 4.34 3.81 3.54
FIRST PAYMENT DATE 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 10/25/2007 11/25/2007
EXPECTED FINAL MATURITY 12/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 11/25/2008
WINDOW 60 - 184 51 - 158 41 - 128 37 - 96 38 - 75 38 - 61 39 - 51
------------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.28 8.74 7.05 5.29 4.32 3.78 3.49
FIRST PAYMENT DATE 8/25/2009 11/25/2008 1/25/2008 9/25/2007 9/25/2007 10/25/2007 10/25/2007
EXPECTED FINAL MATURITY 12/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 11/25/2008
WINDOW 60 - 184 51 - 158 41 - 128 37 - 96 37 - 75 38 - 61 38 - 51
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SENSITIVITY ANALYSIS(CONT)
--------------------------
--------------------------------------------------------------------------------------------------------------------------------
TO MATURITY
----------------------------------------------------------------------------------------------------------------------
% OF PPC 50 60 75 100 125 150 175
--------------------------------------------------------------------------------------------------------------------------------
A-1 WAL 5.73 4.90 3.98 2.98 2.29 1.77 1.29
FIRST PAYMENT DATE 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004
EXPECTED FINAL MATURITY 12/25/2031 3/25/2030 12/25/2026 2/25/2022 8/25/2018 1/25/2016 1/25/2014
WINDOW 1 - 328 1 - 307 1 - 268 1 - 210 1 - 168 1 - 137 1 - 113
--------------------------------------------------------------------------------------------------------------------------------
A-2 WAL 5.78 4.94 4.01 2.98 2.29 1.76 1.28
FIRST PAYMENT DATE 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004
EXPECTED FINAL MATURITY 1/25/2032 4/25/2030 2/25/2027 3/25/2022 8/25/2018 12/25/2015 1/25/2014
WINDOW 1 - 329 1 - 308 1 - 270 1 - 211 1 - 168 1 - 136 1 - 113
--------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.15 9.55 7.76 5.88 4.99 4.77 5.48
FIRST PAYMENT DATE 8/25/2009 11/25/2008 1/25/2008 11/25/2007 2/25/2008 6/25/2008 11/25/2008
EXPECTED FINAL MATURITY 6/25/2029 1/25/2027 7/25/2023 2/25/2019 2/25/2016 12/25/2013 5/25/2012
WINDOW 60 - 298 51 - 269 41 - 227 39 - 174 42 - 138 46 - 112 51 - 93
--------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 11.07 9.47 7.68 5.79 4.80 4.33 4.22
FIRST PAYMENT DATE 8/25/2009 11/25/2008 1/25/2008 10/25/2007 11/25/2007 1/25/2008 3/25/2008
EXPECTED FINAL MATURITY 12/25/2027 5/25/2025 12/25/2021 10/25/2017 1/25/2015 1/25/2013 8/25/2011
WINDOW 60 - 280 51 - 249 41 - 208 38 - 158 39 - 125 41 - 101 43 - 84
--------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.96 9.35 7.58 5.70 4.69 4.14 3.89
FIRST PAYMENT DATE 8/25/2009 11/25/2008 1/25/2008 9/25/2007 11/25/2007 12/25/2007 1/25/2008
EXPECTED FINAL MATURITY 8/25/2025 12/25/2022 10/25/2019 2/25/2016 8/25/2013 12/25/2011 9/25/2010
WINDOW 60 - 252 51 - 220 41 - 182 37 - 138 39 - 108 40 - 88 41 - 73
--------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.85 9.25 7.49 5.63 4.61 4.05 3.77
FIRST PAYMENT DATE 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 11/25/2007 12/25/2007
EXPECTED FINAL MATURITY 7/25/2024 12/25/2021 11/25/2018 5/25/2015 1/25/2013 6/25/2011 4/25/2010
WINDOW 60 - 239 51 - 208 41 - 171 37 - 129 38 - 101 39 - 82 40 - 68
--------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.70 9.10 7.37 5.53 4.53 3.96 3.66
FIRST PAYMENT DATE 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 10/25/2007 11/25/2007
EXPECTED FINAL MATURITY 3/25/2023 9/25/2020 10/25/2017 7/25/2014 5/25/2012 12/25/2010 11/25/2009
WINDOW 60 - 223 51 - 193 41 - 158 37 - 119 38 - 93 38 - 76 39 - 63
--------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.44 8.88 7.17 5.38 4.39 3.84 3.53
FIRST PAYMENT DATE 8/25/2009 11/25/2008 1/25/2008 9/25/2007 9/25/2007 10/25/2007 10/25/2007
EXPECTED FINAL MATURITY 9/25/2021 5/25/2019 9/25/2016 8/25/2013 9/25/2011 5/25/2010 5/25/2009
WINDOW 60 - 205 51 - 177 41 - 145 37 - 108 37 - 85 38 - 69 38 - 57
--------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SENSITIVITY ANALYSIS (CONT)
---------------------------
----------------------------------------------------------------- ----------------------------------------------------------------
TO 10% CALL TO MATURITY
---------------------------------------------------------- ----------------------------------------------------------
% OF CPR 20 25 30 % OF CPR 20 25 30
----------------------------------------------------------------- ----------------------------------------------------------------
A-1 WAL 3.32 2.61 2.08 A-1 WAL 3.6 2.84 2.27
FIRST PAYMENT DATE 9/25/2004 9/25/2004 9/25/2004 FIRST PAYMENT DATE 9/25/2004 9/25/2004 9/25/2004
EXPECTED FINAL MATURITY 5/25/2014 5/25/2012 12/25/2010 EXPECTED FINAL MATURITY 6/25/2025 8/25/2021 9/25/2018
WINDOW 1 - 117 1 - 93 1 - 76 WINDOW 1 - 250 1 - 204 1 - 169
----------------------------------------------------------------- ----------------------------------------------------------------
A-2 A-2
WAL 3.34 2.62 2.09 WAL 3.63 2.85 2.28
FIRST PAYMENT DATE 9/25/2004 9/25/2004 9/25/2004 FIRST PAYMENT DATE 9/25/2004 9/25/2004 9/25/2004
EXPECTED FINAL MATURITY 5/25/2014 5/25/2012 12/25/2010 EXPECTED FINAL MATURITY 8/25/2025 10/25/2021 10/25/2018
WINDOW 1 - 117 1 - 93 1 - 76 WINDOW 1 - 252 1 - 206 1 - 170
----------------------------------------------------------------- ----------------------------------------------------------------
M-1 M-1
WAL 6.41 5.19 4.59 WAL 7.08 5.73 5.04
FIRST PAYMENT DATE 9/25/2007 11/25/2007 2/25/2008 FIRST PAYMENT DATE 9/25/2007 11/25/2007 2/25/2008
EXPECTED FINAL MATURITY 5/25/2014 5/25/2012 12/25/2010 EXPECTED FINAL MATURITY 3/25/2022 10/25/2018 4/25/2016
WINDOW 37 - 117 39 - 93 42 - 76 WINDOW 37 - 211 39 - 170 42 - 140
----------------------------------------------------------------- ----------------------------------------------------------------
M-2 M-2
WAL 6.41 5.16 4.45 WAL 7.00 5.63 4.84
FIRST PAYMENT DATE 9/25/2007 10/25/2007 11/25/2007 FIRST PAYMENT DATE 9/25/2007 10/25/2007 11/25/2007
EXPECTED FINAL MATURITY 5/25/2014 5/25/2012 12/25/2010 EXPECTED FINAL MATURITY 8/25/2020 6/25/2017 2/25/2015
WINDOW 37 - 117 38 - 93 39 - 76 WINDOW 37 - 192 38 - 154 39 - 126
----------------------------------------------------------------- ----------------------------------------------------------------
M-3 M-3
WAL 6.41 5.15 4.40 WAL 6.90 5.54 4.72
FIRST PAYMENT DATE 9/25/2007 10/25/2007 11/25/2007 FIRST PAYMENT DATE 9/25/2007 10/25/2007 11/25/2007
EXPECTED FINAL MATURITY 5/25/2014 5/25/2012 12/25/2010 EXPECTED FINAL MATURITY 8/25/2018 10/25/2015 10/25/2013
WINDOW 37 - 117 38 - 93 39 - 76 WINDOW 37 - 168 38 - 134 39 - 110
----------------------------------------------------------------- ----------------------------------------------------------------
B-1 B-1
WAL 6.41 5.14 4.37 WAL 6.82 5.47 4.64
FIRST PAYMENT DATE 9/25/2007 9/25/2007 10/25/2007 FIRST PAYMENT DATE 9/25/2007 9/25/2007 10/25/2007
EXPECTED FINAL MATURITY 5/25/2014 5/25/2012 12/25/2010 EXPECTED FINAL MATURITY 9/25/2017 1/25/2015 2/25/2013
WINDOW 37 - 117 37 - 93 38 - 76 WINDOW 37 - 157 37 - 125 38 - 102
----------------------------------------------------------------- ----------------------------------------------------------------
B-2 B-2
WAL 6.41 5.13 4.37 WAL 6.71 5.37 4.56
FIRST PAYMENT DATE 9/25/2007 9/25/2007 10/25/2007 FIRST PAYMENT DATE 9/25/2007 9/25/2007 10/25/2007
EXPECTED FINAL MATURITY 5/25/2014 5/25/2012 12/25/2010 EXPECTED FINAL MATURITY 9/25/2016 3/25/2014 6/25/2012
WINDOW 37 - 117 37 - 93 38 - 76 WINDOW 37 - 145 37 - 115 38 - 94
----------------------------------------------------------------- ----------------------------------------------------------------
B-3 B-3
WAL 6.41 5.13 4.35 WAL 6.52 5.22 4.42
FIRST PAYMENT DATE 9/25/2007 9/25/2007 9/25/2007 FIRST PAYMENT DATE 9/25/2007 9/25/2007 9/25/2007
EXPECTED FINAL MATURITY 5/25/2014 5/25/2012 12/25/2010 EXPECTED FINAL MATURITY 8/25/2015 5/25/2013 10/25/2011
WINDOW 37 - 117 37 - 93 37 - 76 WINDOW 37 - 132 37 - 105 37 - 86
----------------------------------------------------------------- ---------------------------------------------------------------
--------------------------------------------------------------------------------
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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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP % A-2 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ ----------- ----------- --------- --------- --------- --------- --------- ---------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
1(3) 5.71(3) 8.44(3) 8.33(3) 8.33(3) 8.33(3) 8.33(3) 8.33(3) 8.33(3)
2(3) 6.08(3) 8.81(3) 8.69(3) 8.69(3) 8.69(3) 8.69(3) 8.69(3) 8.69(3)
3(3) 6.26(3) 8.98(3) 8.86(3) 8.86(3) 8.86(3) 8.86(3) 8.86(3) 8.86(3)
4 6.86 9.59 9.46 9.46 9.46 9.46 9.46 9.46
5 6.64 9.37 9.23 9.23 9.23 9.23 9.23 9.23
6 6.64 9.37 9.23 9.23 9.23 9.23 9.23 9.23
7 7.36 10.10 9.94 9.94 9.94 9.94 9.94 9.94
8 6.65 9.38 9.23 9.23 9.23 9.23 9.23 9.23
9 6.88 9.61 9.45 9.45 9.45 9.45 9.45 9.45
10 6.66 9.39 9.23 9.23 9.23 9.23 9.23 9.23
11 6.88 9.61 9.45 9.45 9.45 9.45 9.45 9.45
12 6.66 9.39 9.23 9.23 9.23 9.23 9.23 9.23
13 6.67 9.40 9.23 9.23 9.23 9.23 9.23 9.23
14 6.90 9.63 9.45 9.45 9.45 9.45 9.45 9.45
15 6.68 9.41 9.23 9.23 9.23 9.23 9.23 9.23
16 6.91 9.64 9.45 9.45 9.45 9.45 9.45 9.45
17 6.69 9.42 9.23 9.23 9.23 9.23 9.23 9.23
18 6.70 9.43 9.23 9.23 9.23 9.23 9.23 9.23
19 7.43 10.16 9.94 9.94 9.94 9.94 9.94 9.94
20 6.71 9.44 9.23 9.23 9.23 9.23 9.23 9.23
21 8.00 10.16 10.23 10.23 10.23 10.23 10.23 10.23
22 8.11 9.70 9.46 9.46 9.46 9.46 9.46 9.46
23 8.50 10.10 9.83 9.83 9.83 9.83 9.83 9.83
24 8.35 9.94 9.67 9.67 9.67 9.67 9.67 9.67
25 8.38 10.02 9.71 9.71 9.71 9.71 9.71 9.71
26 8.68 10.31 9.99 9.99 9.99 9.99 9.99 9.99
27 8.89 10.27 10.07 10.07 10.07 10.07 10.07 10.07
28 9.38 10.49 10.18 10.18 10.18 10.18 10.18 10.18
29 9.14 10.25 9.93 9.93 9.93 9.93 9.93 9.93
30 9.20 10.31 9.98 9.98 9.98 9.98 9.98 9.98
31 10.23 11.35 10.96 10.96 10.96 10.96 10.96 10.96
32 9.28 10.40 10.03 10.03 10.03 10.03 10.03 10.03
33 10.22 10.01 10.80 10.80 10.80 10.80 10.80 10.80
34 10.10 10.12 10.01 10.01 10.01 10.01 10.01 10.01
35 10.53 10.55 10.40 10.40 10.40 10.40 10.40 10.40
36 10.27 10.30 10.13 10.13 10.13 10.13 10.13 10.13
37 20.52 20.57 10.15 10.15 10.15 10.15 10.15 10.15
38 11.94 11.98 10.15 10.15 10.15 10.15 10.15 10.15
39 12.05 11.82 10.22 10.22 10.22 10.22 10.22 10.22
40 12.59 12.59 10.84 10.84 10.84 10.84 10.84 10.84
41 12.20 12.21 10.55 10.55 10.55 10.55 10.55 10.55
(1) Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
(3) A Prefunding period exists for Periods 1 through 3
--------------------------------------------------------------------------------
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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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP % A-2 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ ----------- ----------- --------- --------- --------- --------- --------- ---------
42 12.26 12.27 10.60 10.60 10.60 10.60 10.60 10.60
43 13.12 13.15 11.35 11.35 11.35 11.35 11.35 11.35
44 12.29 12.31 10.63 10.63 10.63 10.63 10.63 10.63
45 12.97 12.86 11.20 11.20 11.20 11.20 11.20 11.20
46 12.63 12.62 10.95 10.95 10.95 10.95 10.95 10.95
47 13.08 13.08 11.35 11.35 11.35 11.35 11.35 11.35
48 12.69 12.68 11.00 11.00 11.00 11.00 11.00 11.00
49 12.69 12.69 11.01 11.01 11.01 11.01 11.01 11.01
50 13.13 13.13 11.39 11.39 11.39 11.39 11.39 11.39
51 12.76 12.75 11.07 11.07 11.07 11.07 11.07 11.07
52 13.19 13.17 11.44 11.44 11.44 11.44 11.44 11.44
53 12.77 12.76 11.09 11.09 11.09 11.09 11.09 11.09
54 12.78 12.77 11.09 11.09 11.09 11.09 11.09 11.09
55 14.15 14.13 12.28 12.28 12.28 12.28 12.28 12.28
56 12.79 12.78 11.10 11.10 11.10 11.10 11.10 11.10
57 13.28 13.30 11.54 11.54 11.54 11.54 11.54 11.54
58 12.86 12.88 11.18 11.18 11.18 11.18 11.18 11.18
59 13.30 13.32 11.56 11.56 11.56 11.56 11.56 11.56
60 12.88 12.90 11.19 11.19 11.19 11.19 11.19 11.19
61 12.88 12.90 11.19 11.19 11.19 11.19 11.19 11.19
62 13.31 13.34 11.57 11.57 11.57 11.57 11.57 11.57
63 12.89 12.92 11.21 11.21 11.21 11.21 11.21 11.21
64 13.32 13.35 11.58 11.58 11.58 11.58 11.58 11.58
65 12.89 12.92 11.21 11.21 11.21 11.21 11.21 11.21
66 12.89 12.92 11.21 11.21 11.21 11.21 11.21 11.21
67 14.27 14.31 12.41 12.41 12.41 12.41 12.41 12.41
68 12.88 12.92 11.20 11.20 11.20 11.20 11.20 11.20
69 13.32 13.36 11.58 11.58 11.58 11.58 11.58 11.58
70 12.89 12.93 11.21 11.21 11.21 11.21 11.21 11.21
71 13.32 13.37 11.58 11.58 11.58 11.58 11.58 11.58
72 12.88 12.93 11.21 11.21 11.21 11.21 11.21 11.21
73 12.58 12.63 11.21 11.21 11.21 11.21 11.21 11.21
74 12.04 12.09 11.58 11.58 11.58 11.58 11.58 11.58
75 11.67 11.72 11.21 11.21 11.21 11.21 11.21 11.21
76 12.07 12.13 11.58 11.58 11.58 11.58 11.58 11.58
77 11.69 11.75 11.21 11.21 11.21 11.21 11.21 11.21
78 11.70 11.76 11.21 11.21 11.21 11.21 11.21 11.21
79 12.98 13.04 12.41 12.41 12.41 12.41 12.41 12.41
80 11.73 11.79 11.21 11.21 11.21 11.21 11.21 11.21
81 12.14 12.20 11.58 11.58 11.58 11.58 11.58 11.58
82 11.76 11.82 11.21 11.21 11.21 11.21 11.21 11.21
(1) Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
(3) A Prefunding period exists for Periods 1 through 3
--------------------------------------------------------------------------------
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 20
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP % A-2 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ ----------- ----------- --------- --------- --------- --------- --------- ---------
83 12.16 12.23 11.58 11.58 11.58 11.58 11.58 11.58
84 11.78 11.85 11.21 11.21 11.21 11.21 11.21 11.21
85 11.80 11.86 11.21 11.21 11.21 11.21 11.21 11.21
86 12.21 12.27 11.58 11.58 11.58 11.58 11.58 11.58
87 11.83 11.89 11.20 11.20 11.20 11.20 11.20 11.20
88 12.24 12.30 11.58 11.58 11.58 11.58 11.58 11.58
89 11.86 11.92 11.20 11.20 11.20 11.20 11.20 11.20
90 11.88 11.94 11.20 11.20 11.20 11.20 11.20 11.20
91 12.72 12.78 11.97 11.97 11.97 11.97 11.97 11.97
92 11.91 11.97 11.20 11.20 11.20 11.20 11.20 11.20
93 12.33 12.39 11.57 11.57 11.57 11.57 11.57 11.57
94 11.95 12.01 11.20 11.20 11.20 11.20 11.20 11.20
95 12.37 12.43 11.57 11.57 11.57 11.57 11.57 11.57
96 11.99 12.05 11.19 11.19 11.19 11.19 11.19 11.19
97 12.01 12.07 11.19 11.19 11.19 11.19 11.19 11.19
98 12.43 12.49 11.57 11.57 11.57 11.57 11.57 11.57
99 12.05 12.11 11.19 11.19 11.19 11.19 11.19 11.19
100 12.48 12.54 11.56 11.56 11.56 11.56 11.56 11.56
101 12.09 12.15 11.19 11.19 11.19 11.19 11.19 11.19
102 12.12 12.18 11.19 11.19 11.19 11.19 11.19 11.19
103 13.45 13.51 12.39 12.39 12.39 12.39 12.39 12.39
104 12.17 12.22 11.19 11.19 11.19 11.19 11.19 11.19
105 12.60 12.66 11.56 11.56 11.56 11.56 11.56 11.56
106 12.22 12.27 11.19 11.19 11.19 11.19 11.19 11.19
107 12.65 12.71 11.56 11.56 11.56 11.56 11.56 11.56
108 12.27 12.32 11.18 11.18 11.18 11.18 11.18 11.18
109 12.30 12.35 11.18 11.18 11.18 11.18 11.18 11.18
110 12.74 12.79 11.55 11.55 11.55 11.55 11.55 11.55
111 12.35 12.41 11.18 11.18 11.18 11.18 11.18 0.00
112 12.80 12.85 11.55 11.55 11.55 11.55 11.55 0.00
113 12.41 12.47 11.18 11.18 11.18 11.18 11.18 0.00
114 12.44 12.50 11.18 11.18 11.18 11.18 11.18 0.00
115 13.82 13.87 12.38 12.38 12.38 12.38 12.38 0.00
116 12.51 12.56 11.18 11.18 11.18 11.18 11.18 0.00
117 12.96 13.02 11.55 11.55 11.55 11.55 11.55 0.00
118 12.58 12.63 11.18 11.18 11.18 11.18 11.18 0.00
119 13.04 13.09 11.55 11.55 11.55 11.55 11.55 0.00
120 12.65 12.70 11.17 11.17 11.17 11.17 11.17 0.00
121 12.69 12.74 11.17 11.17 11.17 11.17 11.17 0.00
122 13.15 13.21 11.55 11.55 11.55 11.55 0.00 0.00
123 12.77 12.82 11.17 11.17 11.17 11.17 0.00 0.00
(1) Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
(3) A Prefunding period exists for Periods 1 through 3
--------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP % A-2 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ ----------- ----------- --------- --------- --------- --------- --------- ---------
124 13.24 13.29 11.54 11.54 11.54 11.54 0.00 0.00
125 12.85 12.90 11.17 11.17 11.17 11.17 0.00 0.00
126 12.89 12.94 11.17 11.17 11.17 11.17 0.00 0.00
127 14.33 14.38 12.37 12.37 12.37 12.37 0.00 0.00
128 12.98 13.03 11.17 11.17 11.17 11.17 0.00 0.00
129 13.46 13.51 11.54 11.54 11.54 11.54 0.00 0.00
130 13.07 13.12 11.17 11.17 11.17 11.17 0.00 0.00
131 13.56 13.61 11.54 11.54 11.54 11.54 0.00 0.00
132 13.17 13.22 11.17 11.17 11.17 0.00 0.00 0.00
133 13.22 13.27 11.17 11.17 11.17 0.00 0.00 0.00
134 13.72 13.77 11.54 11.54 11.54 0.00 0.00 0.00
135 13.33 13.38 11.16 11.16 11.16 0.00 0.00 0.00
136 13.84 13.88 11.54 11.54 11.54 0.00 0.00 0.00
137 13.44 13.49 11.16 11.16 11.16 0.00 0.00 0.00
138 13.50 13.55 11.16 11.16 11.16 0.00 0.00 0.00
139 14.50 14.55 11.93 11.93 11.93 0.00 0.00 0.00
140 13.62 13.67 11.16 11.16 11.16 0.00 0.00 0.00
141 14.15 14.19 11.53 11.53 0.00 0.00 0.00 0.00
142 13.75 13.80 11.16 11.16 0.00 0.00 0.00 0.00
143 14.28 14.32 11.53 11.53 0.00 0.00 0.00 0.00
144 13.89 13.93 11.16 11.16 0.00 0.00 0.00 0.00
145 13.96 14.00 11.16 11.16 0.00 0.00 0.00 0.00
146 14.50 14.54 11.53 11.53 0.00 0.00 0.00 0.00
147 14.10 14.14 11.16 11.16 0.00 0.00 0.00 0.00
148 14.65 14.69 11.53 11.53 0.00 0.00 0.00 0.00
149 14.26 14.30 11.16 11.16 0.00 0.00 0.00 0.00
150 14.34 14.38 11.16 11.16 0.00 0.00 0.00 0.00
151 15.97 16.01 12.35 12.35 0.00 0.00 0.00 0.00
152 14.50 14.54 11.16 11.16 0.00 0.00 0.00 0.00
153 15.08 15.12 11.53 11.53 0.00 0.00 0.00 0.00
154 14.68 14.72 11.16 11.16 0.00 0.00 0.00 0.00
155 15.26 15.30 11.53 11.53 0.00 0.00 0.00 0.00
156 14.86 14.90 11.16 11.16 0.00 0.00 0.00 0.00
157 14.96 14.99 11.16 11.16 0.00 0.00 0.00 0.00
158 15.56 15.60 11.53 11.53 0.00 0.00 0.00 0.00
159 15.16 15.19 11.16 11.16 0.00 0.00 0.00 0.00
160 15.77 15.81 11.53 11.53 0.00 0.00 0.00 0.00
161 15.37 15.40 11.16 11.16 0.00 0.00 0.00 0.00
162 15.48 15.51 11.16 0.00 0.00 0.00 0.00 0.00
163 17.26 17.30 12.35 0.00 0.00 0.00 0.00 0.00
164 15.70 15.74 11.16 0.00 0.00 0.00 0.00 0.00
(1) Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
(3) A Prefunding period exists for Periods 1 through 3
--------------------------------------------------------------------------------
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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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP % A-2 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ ----------- ----------- --------- --------- --------- --------- --------- ---------
165 16.35 16.38 11.53 0.00 0.00 0.00 0.00 0.00
166 15.94 15.98 11.16 0.00 0.00 0.00 0.00 0.00
167 16.61 16.64 11.53 0.00 0.00 0.00 0.00 0.00
168 16.20 16.23 11.16 0.00 0.00 0.00 0.00 0.00
169 16.33 16.36 11.16 0.00 0.00 0.00 0.00 0.00
170 17.01 17.04 11.53 0.00 0.00 0.00 0.00 0.00
171 16.60 16.63 11.16 0.00 0.00 0.00 0.00 0.00
172 17.31 17.33 11.53 0.00 0.00 0.00 0.00 0.00
173 16.89 16.92 11.16 0.00 0.00 0.00 0.00 0.00
174 17.04 17.07 11.16 0.00 0.00 0.00 0.00 0.00
175 19.05 19.07 12.35 0.00 0.00 0.00 0.00 0.00
176 17.37 17.40 11.16 0.00 0.00 0.00 0.00 0.00
177 18.13 18.15 11.54 0.00 0.00 0.00 0.00 0.00
178 17.83 17.86 0.00 0.00 0.00 0.00 0.00 0.00
179 18.73 18.76 0.00 0.00 0.00 0.00 0.00 0.00
180 18.43 18.46 0.00 0.00 0.00 0.00 0.00 0.00
181 18.76 18.79 0.00 0.00 0.00 0.00 0.00 0.00
182 19.74 19.77 0.00 0.00 0.00 0.00 0.00 0.00
183 19.46 19.49 0.00 0.00 0.00 0.00 0.00 0.00
184 20.51 20.54 0.00 0.00 0.00 0.00 0.00 0.00
185 20.25 20.28 0.00 0.00 0.00 0.00 0.00 0.00
186 20.69 20.72 0.00 0.00 0.00 0.00 0.00 0.00
187 22.63 22.66 0.00 0.00 0.00 0.00 0.00 0.00
188 21.67 21.71 0.00 0.00 0.00 0.00 0.00 0.00
189 22.97 23.00 0.00 0.00 0.00 0.00 0.00 0.00
190 22.82 22.85 0.00 0.00 0.00 0.00 0.00 0.00
191 24.24 24.27 0.00 0.00 0.00 0.00 0.00 0.00
192 24.16 24.19 0.00 0.00 0.00 0.00 0.00 0.00
193 24.92 24.95 0.00 0.00 0.00 0.00 0.00 0.00
194 26.62 26.65 0.00 0.00 0.00 0.00 0.00 0.00
195 26.68 26.71 0.00 0.00 0.00 0.00 0.00 0.00
196 28.62 28.65 0.00 0.00 0.00 0.00 0.00 0.00
197 28.83 28.86 0.00 0.00 0.00 0.00 0.00 0.00
198 30.09 30.12 0.00 0.00 0.00 0.00 0.00 0.00
199 34.89 34.91 0.00 0.00 0.00 0.00 0.00 0.00
200 33.10 33.13 0.00 0.00 0.00 0.00 0.00 0.00
201 36.09 36.12 0.00 0.00 0.00 0.00 0.00 0.00
202 37.03 37.05 0.00 0.00 0.00 0.00 0.00 0.00
203 40.78 40.80 0.00 0.00 0.00 0.00 0.00 0.00
204 42.32 42.35 0.00 0.00 0.00 0.00 0.00 0.00
205 45.73 45.76 0.00 0.00 0.00 0.00 0.00 0.00
(1) Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
(3) A Prefunding period exists for Periods 1 through 3
--------------------------------------------------------------------------------
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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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP % A-2 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ ----------- ----------- --------- --------- --------- --------- --------- ---------
206 51.52 51.55 0.00 0.00 0.00 0.00 0.00 0.00
207 54.96 54.99 0.00 0.00 0.00 0.00 0.00 0.00
208 63.47 63.49 0.00 0.00 0.00 0.00 0.00 0.00
209 69.86 69.89 0.00 0.00 0.00 0.00 0.00 0.00
210 81.36 81.39 0.00 0.00 0.00 0.00 0.00 0.00
211 108.44 108.46 0.00 0.00 0.00 0.00 0.00 0.00
212 123.89 123.91 0.00 0.00 0.00 0.00 0.00 0.00
213 175.98 176.01 0.00 0.00 0.00 0.00 0.00 0.00
214 277.05 277.07 0.00 0.00 0.00 0.00 0.00 0.00
215 * * 0.00 0.00 0.00 0.00 0.00 0.00
* In period 215, the Class A-1 has an approximate balance of $10,822 and is paid
approximately $16,388 in interest and the Class A-2 has an approximate balance
of $37,069 and is paid approximately $56,135 in interest.
(1) Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
(3) A Prefunding period exists for Periods 1 through 3
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 24
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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
INTEREST RATE CAP SCHEDULES
Class M Certificates Interest Class B Certificates Interest
Class A-2 Interest Rate Cap Rate Cap Rate Cap
------------------------------------ ------------------------------------ ------------------------------------
Class A-2 Interest Class M Interest Class B Interest
Rate Cap Notional Strike Ceiling Rate Cap Notional Strike Ceiling Rate Cap Notional Strike Ceiling
Balance ($) (%) (%) Balance ($) (%) (%) Balance ($) (%) (%)
1 232,705,000.00 6.40 9.05 1 84,382,000.00 5.60 8.25 1 28,346,000.00 3.80 6.45
2 228,003,544.17 6.40 9.05 2 84,382,000.00 5.60 8.25 2 28,346,000.00 3.80 6.45
3 222,961,636.92 6.40 9.05 3 84,382,000.00 5.60 8.25 3 28,346,000.00 3.80 6.45
4 217,580,261.51 6.40 9.05 4 84,382,000.00 5.60 8.25 4 28,346,000.00 3.80 6.45
5 211,860,578.77 6.40 9.05 5 84,382,000.00 5.60 8.25 5 28,346,000.00 3.80 6.45
6 206,180,919.04 6.40 9.05 6 84,382,000.00 5.60 8.25 6 28,346,000.00 3.80 6.45
7 200,539,950.14 6.40 9.05 7 84,382,000.00 5.60 8.25 7 28,346,000.00 3.80 6.45
8 194,936,749.46 6.40 9.05 8 84,382,000.00 5.60 8.25 8 28,346,000.00 3.80 6.45
9 189,370,798.79 6.40 9.05 9 84,382,000.00 5.60 8.25 9 28,346,000.00 3.80 6.45
10 183,842,051.22 6.40 9.05 10 84,382,000.00 5.60 8.25 10 28,346,000.00 3.80 6.45
11 178,350,775.13 6.40 9.05 11 84,382,000.00 5.60 8.25 11 28,346,000.00 3.80 6.45
12 172,898,306.15 6.40 9.05 12 84,382,000.00 5.60 8.25 12 28,346,000.00 3.80 6.45
13 167,531,362.84 6.40 9.05 13 84,382,000.00 5.60 8.25 13 28,346,000.00 3.80 6.45
14 162,276,602.04 6.40 9.05 14 84,382,000.00 5.60 8.25 14 28,346,000.00 3.80 6.45
15 157,138,351.69 6.40 9.05 15 84,382,000.00 5.60 8.25 15 28,346,000.00 3.80 6.45
16 152,119,807.99 6.40 9.05 16 84,382,000.00 5.60 8.25 16 28,346,000.00 3.80 6.45
17 147,220,211.59 6.40 9.05 17 84,382,000.00 5.60 8.25 17 28,346,000.00 3.80 6.45
18 142,436,845.74 6.40 9.05 18 84,382,000.00 5.60 8.25 18 28,346,000.00 3.80 6.45
19 137,766,974.01 6.40 9.05 19 84,382,000.00 5.60 8.25 19 28,346,000.00 3.80 6.45
20 133,207,916.89 6.40 9.05 20 84,382,000.00 5.60 8.25 20 28,346,000.00 3.80 6.45
21 128,757,057.96 6.40 9.05 21 84,382,000.00 5.60 8.25 21 28,346,000.00 3.80 6.45
22 124,412,193.81 8.05 9.60 22 84,382,000.00 7.20 8.75 22 28,346,000.00 5.40 6.95
23 120,173,347.31 8.05 9.60 23 84,382,000.00 7.20 8.75 23 28,346,000.00 5.40 6.95
24 116,035,300.87 8.05 9.60 24 84,382,000.00 7.20 8.75 24 28,346,000.00 5.40 6.95
25 111,995,668.58 8.05 9.60 25 84,382,000.00 7.20 8.75 25 28,346,000.00 5.40 6.95
26 108,052,092.64 8.05 9.60 26 84,382,000.00 7.20 8.75 26 28,346,000.00 5.40 6.95
27 104,202,070.62 8.05 9.60 27 84,382,000.00 7.20 8.75 27 28,346,000.00 5.40 6.95
28 100,443,395.05 8.95 10.00 28 84,382,000.00 7.95 9.05 28 28,346,000.00 6.15 7.25
29 96,773,910.38 8.95 10.00 29 84,382,000.00 7.95 9.05 29 28,346,000.00 6.15 7.25
30 93,191,511.76 8.95 10.00 30 84,382,000.00 7.95 9.05 30 28,346,000.00 6.15 7.25
31 89,694,143.84 8.95 10.00 31 84,382,000.00 7.95 9.05 31 28,346,000.00 6.15 7.25
32 86,279,799.60 8.95 10.00 32 84,382,000.00 7.95 9.05 32 28,346,000.00 6.15 7.25
33 84,382,000.00 7.95 9.05 33 28,346,000.00 6.15 7.25
34 84,382,000.00 8.80 9.15 34 28,346,000.00 7.00 7.35
35 84,382,000.00 8.80 9.15 35 28,346,000.00 7.00 7.35
36 84,382,000.00 8.80 9.15 36 28,346,000.00 7.00 7.35
37 84,382,000.00 8.80 9.15 37 28,346,000.00 7.00 7.35
--------------------------------------------------------------------------------
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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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TOTAL POOL COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PRODUCT TYPES LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------- ----- ----------- ------- -------- -------- ------- ----------
Fixed - 10 Year 1 98,111 0.02 5.500 117 50.00 713
Fixed - 15 Year 68 7,112,445 1.34 7.450 177 70.62 646
Fixed - 20 Year 38 3,387,931 0.64 8.111 237 76.20 633
Fixed - 25 Year 6 695,643 0.13 9.111 297 81.00 559
Fixed - 30 Year 514 96,260,572 18.11 6.779 356 76.75 651
Fixed Balloon - 15/30 94 4,637,742 0.87 10.287 176 95.10 647
ARM - 6 Month 1 236,025 0.04 7.750 356 90.00 601
ARM - 2 Year/6 Month 1,906 320,463,999 60.31 7.598 356 81.85 606
ARM - 3 Year/6 Month 190 34,228,881 6.44 7.072 356 81.15 617
ARM - 5 Year/6 Month 24 5,058,187 0.95 6.420 356 84.41 654
Interest Only 10 YR - Fixed - 30 Year 1 272,000 0.05 7.000 357 75.56 634
Interest Only 2 YR - ARM - 2 Year/6 Month LIBOR 88 22,389,279 4.21 6.623 357 82.23 665
Interest Only 3 YR - ARM - 3 Year/6 Month LIBOR 23 5,578,839 1.05 6.559 357 80.51 664
Interest Only 5 YR - Fixed - 30 Year 25 7,093,447 1.33 6.890 357 79.24 681
Interest Only 5 YR - ARM - 2 Year/6 Month LIBOR 80 18,789,276 3.54 6.768 356 84.10 657
Interest Only 5 YR - ARM - 3 Year/6 Month LIBOR 15 3,187,670 0.60 6.512 356 86.49 655
Interest Only 5 YR - ARM - 5 Year/6 Month LIBOR 6 1,914,400 0.36 6.277 357 79.07 682
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TOTAL POOL COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
ORIGINATOR LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
---------- ----- ----------- ------- -------- -------- ------- ----------
Encore 696 143,282,462 26.96 6.826 352 78.69 618
Impac 427 90,352,180 17.00 7.020 354 79.40 631
Home Owners 724 90,214,489 16.98 8.773 351 81.66 596
BNC 297 59,826,522 11.26 7.013 355 83.57 625
Chapel 223 40,976,646 7.71 7.310 349 80.90 647
Lenders Direct 237 34,264,291 6.45 7.299 344 83.29 637
First Banc 179 26,910,744 5.06 7.256 347 83.04 629
Peoples Choice 99 17,524,812 3.30 7.225 356 83.35 640
Master Financial 67 11,635,760 2.19 7.006 356 82.28 656
CIT 83 9,544,968 1.80 6.780 354 82.32 646
Ownit 29 3,805,555 0.72 8.118 351 84.46 585
Aames 10 1,631,554 0.31 7.342 338 84.37 623
Accredited 6 912,657 0.17 7.039 349 71.31 612
Aegis 3 521,804 0.10 7.568 349 77.84 632
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
----------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
LIEN POSITION LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------- ----- ----------- ------- -------- -------- ------- ----------
1st Lien 2,953 525,637,819 98.91 7.292 353 80.71 623
2nd Lien 127 5,766,627 1.09 10.628 229 97.54 663
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 27
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TOTAL POOL COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF GROSS MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
INTEREST RATES (%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------------ ----- ----------- ------- -------- -------- ------- ----------
3.000 - 3.999 2 415,654 0.08 3.890 357 56.35 704
4.000 - 4.999 28 6,857,524 1.29 4.961 354 71.85 681
5.000 - 5.999 323 76,506,998 14.40 5.740 352 75.55 662
6.000 - 6.999 754 165,302,948 31.11 6.564 354 80.61 643
7.000 - 7.999 779 142,300,108 26.78 7.505 354 82.54 614
8.000 - 8.999 568 83,361,292 15.69 8.516 351 83.57 594
9.000 - 9.999 359 39,581,659 7.45 9.478 350 82.47 569
10.000 - 10.999 201 13,899,303 2.62 10.404 324 80.09 570
11.000 - 11.999 56 2,745,628 0.52 11.409 280 85.79 593
12.000 - 12.999 7 347,127 0.07 12.513 210 99.09 634
13.000 - 13.999 3 86,206 0.02 13.351 177 95.59 610
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
-----------------------------------------------------------------------------------------------------------------------------------
Minimum: 3.890%
Maximum: 13.500%
Weighted Average: 7.328%
--------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TOTAL POOL COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF CUT-OFF DATE MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PRINCIPAL BALANCES ($) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
---------------------- ----- ----------- ------- -------- -------- ------- ----------
0.01 - 25,000.00 23 458,299 0.09 11.094 189 91.27 641
25,000.01 - 50,000.00 194 7,934,989 1.49 9.902 298 82.87 612
50,000.01 - 75,000.00 341 21,160,155 3.98 8.871 336 80.17 605
75,000.01 - 100,000.00 373 32,835,234 6.18 8.099 348 79.29 608
100,000.01 - 125,000.00 343 38,684,198 7.28 7.752 348 80.82 613
125,000.01 - 150,000.00 297 40,813,048 7.68 7.692 352 80.04 608
150,000.01 - 175,000.00 251 40,740,671 7.67 7.400 353 81.36 616
175,000.01 - 200,000.00 263 49,341,703 9.29 7.304 353 81.92 622
200,000.01 - 225,000.00 198 42,070,765 7.92 7.207 354 79.61 614
225,000.01 - 250,000.00 160 38,114,968 7.17 7.224 353 80.64 623
250,000.01 - 275,000.00 133 34,987,680 6.58 6.929 354 80.18 623
275,000.01 - 300,000.00 108 31,065,605 5.85 6.990 351 80.86 623
300,000.01 - 325,000.00 93 29,141,309 5.48 6.988 355 81.22 630
325,000.01 - 350,000.00 81 27,346,654 5.15 6.844 357 83.61 638
350,000.01 - 375,000.00 41 14,875,444 2.80 6.800 356 80.83 629
375,000.01 - 400,000.00 50 19,401,282 3.65 6.994 357 82.91 640
400,000.01 - 425,000.00 34 14,006,181 2.64 6.518 357 84.55 655
425,000.01 - 450,000.00 34 14,925,265 2.81 6.806 356 82.42 642
450,000.01 - 475,000.00 12 5,579,352 1.05 6.374 357 78.40 641
475,000.01 - 500,000.00 22 10,814,767 2.04 6.593 356 82.15 660
500,000.01 - 525,000.00 8 4,152,057 0.78 7.423 356 79.59 651
525,000.01 - 550,000.00 3 1,642,192 0.31 6.942 355 70.48 657
550,000.01 - 575,000.00 6 3,373,364 0.63 6.820 356 78.97 635
575,000.01 - 600,000.00 1 597,588 0.11 5.990 356 80.00 714
600,000.01 or greater 11 7,341,676 1.38 6.407 357 72.77 634
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
----------------------------------------------------------------------------------------------------------------------------------
Minimum: $9,989
Maximum: $765,704
Average: $172,534
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 29
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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TOTAL POOL COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
ORIGINAL TERM MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE FICO
(MONTHS) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
-------- ----- ----------- ------- -------- ------------- --- -----
120 1 98,111 0.02 5.500 117 50.00 713
180 162 11,750,186 2.21 8.570 177 80.28 647
240 38 3,387,931 0.64 8.111 237 76.20 633
300 6 695,643 0.13 9.111 297 81.00 559
360 2,873 515,472,576 97.00 7.293 356 80.95 623
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 355
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
RANGE OF REMAINING MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE FICO
TERMS (MONTHS) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
-------------- ----- ----------- ------- -------- ------------- --- -----
109 - 120 1 98,111 0.02 5.500 117 50.00 713
169 - 180 162 11,750,186 2.21 8.570 177 80.28 647
229 - 240 38 3,387,931 0.64 8.111 237 76.20 633
289 - 300 6 695,643 0.13 9.111 297 81.00 559
337 - 348 5 641,379 0.12 6.945 347 73.97 638
349 - 360 2,868 514,831,197 96.88 7.293 356 80.95 623
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 117
Maximum: 359
Weighted Average: 352
--------------------------------------------------------------------------------
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 30
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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TOTAL POOL COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
RANGE OR ORIGINAL NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
COMBINED LTV RATIOS MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE FICO
(%) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
------------------- ----- ----------- ------- -------- ------------- --- -----
30.00 or less 14 1,153,835 0.22 6.817 325 25.09 670
30.01 - 40.00 17 1,898,496 0.36 6.954 348 36.71 618
40.01 - 50.00 72 11,078,061 2.08 6.875 332 45.48 625
50.01 - 60.00 124 19,468,515 3.66 7.014 347 56.38 610
60.01 - 70.00 314 55,218,044 10.39 7.298 352 66.41 598
70.01 - 80.00 1,101 200,727,552 37.77 7.119 354 78.22 623
80.01 - 90.00 915 161,978,176 30.48 7.455 353 87.82 618
90.01 - 100.00 523 79,881,768 15.03 7.776 346 96.33 652
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 11.11%
Maximum: 100.00%
Weighted Average: 80.90%
% OF
MORTGAGE
POOL BY WEIGHTED WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF GROSS MARGINS MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED LTV AVERAGE FICO
(%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) (%) SCORE
------------------- ----- ----------- ------- -------- -------- --- -----
Fixed Rate Loans 747 119,557,890 22.50 7.012 335 77.23 651
5.000 or less 193 39,499,222 7.43 6.836 356 82.29 631
5.001 - 5.500 302 60,290,341 11.35 6.749 356 82.32 628
5.501 - 6.000 433 92,661,186 17.44 6.728 357 82.11 632
6.001 - 6.500 333 61,881,009 11.64 7.254 356 82.26 618
6.501 - 7.000 376 69,299,983 13.04 7.615 357 80.52 607
7.001 - 7.500 165 29,149,234 5.49 8.028 357 82.15 608
7.501 - 8.000 116 14,944,262 2.81 8.524 357 82.96 594
8.001 - 8.500 138 18,338,244 3.45 9.002 357 83.29 582
8.501 - 9.000 112 12,406,776 2.33 9.484 357 82.70 561
9.001 or greater 165 13,376,300 2.52 10.081 357 80.33 553
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
----------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 2.250%
Non-Fixed Rate Maximum: 10.750%
Non-Fixed Rate Weighted Average: 6.384%
--------------------------------------------------------------------------------
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 31
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TOTAL POOL COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF MINIMUM MORTGAGE RATES MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
(%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------------------------- -------- --------- --------- -------- ---- -------- -------
Fixed Rate Loans 747 119,557,890 22.50 7.012 335 77.23 651
5.000 or less 18 4,960,844 0.93 4.948 357 75.31 664
5.001 - 5.500 47 11,388,455 2.14 5.451 357 76.28 662
5.501 - 6.000 172 41,690,293 7.85 5.899 357 79.14 656
6.001 - 6.500 235 53,237,103 10.02 6.367 356 81.51 649
6.501 - 7.000 340 70,530,378 13.27 6.815 356 82.38 632
7.001 - 7.500 303 56,703,680 10.67 7.329 356 84.20 614
7.501 - 8.000 327 58,618,690 11.03 7.808 356 82.76 599
8.001 - 8.500 237 35,297,137 6.64 8.289 356 83.06 587
8.501 - 9.000 240 36,310,924 6.83 8.783 357 83.96 587
9.001 - 9.500 155 18,921,148 3.56 9.280 357 82.66 569
9.501 - 10.000 127 13,690,675 2.58 9.762 357 80.19 546
10.001 -10.500 88 7,234,467 1.36 10.269 357 76.82 544
10.501 - 11.000 31 2,181,813 0.41 10.700 356 74.90 558
11.001 - 11.500 12 822,113 0.15 11.184 357 70.33 527
11.501 - 12.000 1 258,835 0.05 11.540 358 70.00 546
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
-----------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 3.890%
Non-Fixed Rate Maximum: 11.540%
Non-Fixed Rate Weighted Average: 7.407%
--------------------------------------------------------------------------------
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 32
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TOTAL POOL COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF MINIMUM LOAN RATES MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
(%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
--------------------------- ----- ----------- ------- -------- -------- ------- ----------
Fixed Rate Loans 747 119,557,890 22.50 7.012 335 77.23 651
13.000 or less 470 105,046,911 19.77 6.170 357 79.44 649
13.001 - 13.500 271 56,241,439 10.58 6.753 356 82.11 633
13.501 - 14.000 380 74,426,798 14.01 7.208 356 83.18 621
14.001 - 14.500 319 54,695,119 10.29 7.707 356 83.96 607
14.501 - 15.000 310 53,188,022 10.01 8.219 356 83.58 597
15.001 - 15.500 214 28,597,101 5.38 8.810 357 83.86 571
15.501 - 16.000 197 23,694,034 4.46 9.277 357 82.11 556
16.001 - 16.500 106 9,858,655 1.86 9.877 357 78.85 548
16.501 - 17.000 40 3,541,293 0.67 10.220 356 75.84 541
17.001 - 17.500 16 1,441,284 0.27 10.646 357 70.10 524
17.501 - 18.000 4 596,624 0.11 10.622 354 62.99 557
18.001 - 18.500 5 260,442 0.05 11.235 354 66.89 537
18.501 - 19.000 1 258,835 0.05 11.540 358 70.00 546
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
------------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 10.000%
Non-Fixed Rate Maximum: 18.540%
Non-Fixed Rate Weighted Average: 13.919%
--------------------------------------------------------------------------------
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 33
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TOTAL POOL COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
INITIAL PERIODIC CAP (%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------------------ ----- ----------- ------- -------- -------- ------- ----------
Fixed Rate Loans 747 119,557,890 22.50 7.012 335 77.23 651
1.000 22 3,502,611 0.66 8.042 354 84.19 628
1.500 307 61,106,002 11.50 7.206 355 79.96 605
2.000 691 127,621,100 24.02 7.395 357 82.86 615
3.000 1,302 216,441,598 40.73 7.501 357 81.87 617
3.500 1 238,402 0.04 7.750 356 95.00 614
5.000 9 2,524,845 0.48 6.305 356 87.97 681
6.000 1 412,000 0.08 6.000 357 80.00 657
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
------------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 1.000%
Non-Fixed Rate Maximum: 6.000%
Non-Fixed Rate Weighted Average: 2.466%
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
SUBSEQUENT PERIODIC CAP (%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
-------------------------- ----- ----------- ------- -------- -------- ------- ----------
Fixed Rate Loans 747 119,557,890 22.50 7.012 335 77.23 651
1.000 1,782 295,835,216 55.67 7.579 356 82.54 616
1.500 473 98,572,523 18.55 7.021 356 80.38 613
2.000 76 17,048,168 3.21 6.967 358 81.15 610
3.000 2 390,649 0.07 7.588 353 76.22 570
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
-----------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 1.000%
Non-Fixed Rate Maximum: 3.000%
Non-Fixed Rate Weighted Average: 1.163%
--------------------------------------------------------------------------------
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 34
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TOTAL POOL COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
NEXT RATE ADJUSTMENT DATES LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
-------------------------- ----- ----------- ------- -------- -------- ------- ----------
Fixed Rate Loans 747 119,557,890 22.50 7.012 335 77.23 651
Oct-04 1 236,025 0.04 7.750 356 90.00 601
Sep-05 4 574,717 0.11 7.540 349 71.45 644
Oct-05 7 1,185,052 0.22 6.949 350 80.08 646
Nov-05 56 9,569,171 1.80 7.553 351 82.95 600
Dec-05 39 6,373,456 1.20 7.718 352 79.57 611
Jan-06 164 23,112,860 4.35 7.463 353 84.06 620
Feb-06 120 19,442,789 3.66 7.625 354 83.43 616
Mar-06 170 30,811,421 5.80 7.613 355 85.08 618
Apr-06 367 62,809,521 11.82 7.748 356 82.62 599
May-06 596 103,336,951 19.45 7.485 357 80.94 620
Jun-06 547 103,500,829 19.48 7.284 358 81.18 611
Jul-06 5 1,068,202 0.20 7.266 359 79.91 623
Aug-06 1 174,334 0.03 7.500 348 80.00 600
Sep-06 2 528,425 0.10 6.994 349 89.45 627
Oct-06 2 480,385 0.09 6.562 350 58.02 633
Nov-06 4 456,932 0.09 8.163 351 86.55 565
Dec-06 3 553,484 0.10 6.648 352 82.43 599
Jan-07 23 4,534,629 0.85 6.938 353 78.36 629
Feb-07 21 3,295,531 0.62 7.445 354 79.99 613
Mar-07 19 3,868,991 0.73 6.919 355 80.25 620
Apr-07 27 4,951,338 0.93 6.952 356 80.78 625
May-07 78 14,549,794 2.74 6.999 357 84.49 625
Jun-07 47 9,459,132 1.78 6.757 358 80.09 636
Oct-08 1 79,313 0.01 8.625 350 95.00 628
Nov-08 3 556,394 0.10 6.442 352 83.27 652
Jan-09 5 911,153 0.17 6.714 354 89.03 661
Feb-09 1 274,216 0.05 7.350 354 95.00 630
Mar-09 1 228,841 0.04 5.990 355 83.64 672
Apr-09 1 294,200 0.06 7.750 356 79.99 695
May-09 11 3,099,179 0.58 6.282 357 82.08 667
Jun-09 7 1,529,291 0.29 5.865 358 78.62 654
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
------------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Weighted Average: June 2006
--------------------------------------------------------------------------------
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 35
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TOTAL POOL COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
GEOGRAPHIC DISTRIBUTION OF MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
MORTGAGED PROPERTIES LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
-------------------- ----- ----------- ------- -------- -------- ------- ----------
California 1,022 240,520,124 45.26 6.839 352 78.77 629
Florida 429 56,624,795 10.66 7.637 349 83.74 623
New York 169 39,638,393 7.46 7.339 353 80.20 645
Illinois 134 23,664,705 4.45 7.238 352 81.88 619
Maryland 89 16,379,249 3.08 7.993 355 78.99 587
Nevada 66 12,165,012 2.29 7.540 355 81.42 618
Michigan 89 9,916,651 1.87 7.887 354 84.85 608
Arizona 72 9,765,907 1.84 7.621 350 86.52 617
Virginia 54 8,985,853 1.69 8.109 354 83.87 602
Massachusetts 34 7,656,592 1.44 7.669 357 76.73 598
Minnesota 41 7,036,719 1.32 7.404 355 82.59 604
Washington 44 6,998,993 1.32 7.180 355 85.49 647
Colorado 41 6,690,007 1.26 7.332 350 85.38 634
Georgia 58 6,277,664 1.18 8.671 353 84.86 601
Texas 53 5,822,066 1.10 7.733 347 84.08 640
Other 685 73,261,717 13.79 8.151 349 83.27 609
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 50
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
OCCUPANCY TYPE LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
-------------- ----- ----------- ------- -------- -------- ------- ----------
Primary 2,851 496,545,991 93.44 7.331 352 81.00 620
Non-Owner Occupied 211 31,871,533 6.00 7.304 350 78.71 665
Second Home 18 2,986,923 0.56 7.205 353 87.09 677
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 36
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TOTAL POOL COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PROPERTY TYPE LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------- ----- ----------- ------- -------- -------- ------- ----------
Single Family Residence 2,500 413,465,979 77.81 7.390 351 80.95 618
2-4 Family 207 49,218,964 9.26 7.086 351 77.73 651
Planned Unit Development 191 40,190,076 7.56 7.129 354 83.23 631
Condominium 177 28,082,794 5.28 7.135 353 82.32 639
Manufactured Housing 5 446,633 0.08 6.811 351 75.78 647
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
------------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
AGGREGATE POOL BY WEIGHTED WEIGHTED WEIGHTED
CUT-OFF AGGREGATE AVERAGE AVERAGE AVERAGE
NUMBER OF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
LOAN PURPOSE LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------ ----- ----------- ------- -------- -------- ------- ----------
Refinance - Cashout 2,034 346,815,911 65.26 7.407 352 79.21 610
Purchase 800 138,900,563 26.14 7.204 352 84.98 659
Refinance - Rate/Term 246 45,687,973 8.60 7.113 351 81.25 617
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
------------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
DOCUMENTATION LEVEL LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------------- ----- ----------- ------- -------- -------- ------- ----------
Full Documentation 1,789 284,088,869 53.46 7.344 352 81.35 612
Stated Documentation 1,168 219,788,429 41.36 7.345 350 80.21 638
Limited/Alternate Documentation 104 22,970,615 4.32 7.043 354 81.83 619
No Ratio 19 4,556,533 0.86 6.997 357 81.24 655
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 37
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TOTAL POOL COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PREPAYMENT PENALTY TERM LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------- ----- ----------- ------- -------- -------- ------- ----------
No Prepayment Penalty 475 84,544,827 15.91 7.416 352 82.16 634
6 Months 5 621,081 0.12 7.455 354 87.57 635
12 Months 97 23,542,865 4.43 7.057 350 79.61 630
24 Months 1,770 299,095,115 56.28 7.528 355 81.82 613
36 Months 708 120,989,682 22.77 6.814 344 78.08 639
60 Months 25 2,610,877 0.49 7.844 315 75.23 627
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
------------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
RANGE OF CREDIT SCORES LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
---------------------- ----- ----------- ------- -------- -------- ------- ----------
500 - 525 219 32,955,807 6.20 8.759 355 74.81 513
526 - 550 299 45,807,878 8.62 8.278 355 75.77 539
551 - 575 323 48,871,805 9.20 7.853 354 78.51 563
576 - 600 389 63,650,053 11.98 7.611 350 80.70 589
601 - 625 437 75,846,994 14.27 7.253 352 81.73 613
626 - 650 507 90,984,695 17.12 7.081 351 83.18 637
651 - 675 390 68,746,898 12.94 6.909 351 83.87 663
676 - 700 245 47,697,725 8.98 6.641 351 82.82 688
701 - 725 123 25,060,032 4.72 6.597 344 81.40 711
726 - 750 78 17,046,573 3.21 6.689 347 83.16 738
751 - 775 48 10,840,468 2.04 6.263 353 79.15 761
776 - 800 19 3,494,905 0.66 6.405 353 72.74 788
Above 800 3 400,613 0.08 6.111 357 64.02 806
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,080 531,404,446 100.00 7.328 352 80.90 623
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 807
Weighted Average: 623
--------------------------------------------------------------------------------
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 38
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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PRODUCT TYPES LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------- ----- ----------- ------- -------- -------- ------- ----------
Fixed - 10 Year 1 98,111 0.03 5.500 117 50.00 713
Fixed - 15 Year 47 5,375,596 1.78 7.230 176 68.98 654
Fixed - 20 Year 27 2,593,140 0.86 7.685 236 74.51 635
Fixed - 25 Year 4 589,568 0.20 8.692 297 79.38 556
Fixed - 30 Year 313 54,388,939 18.05 6.636 357 73.46 652
Fixed Balloon - 15/30 56 2,237,006 0.74 10.526 177 93.84 650
ARM - 6 Month 1 236,025 0.08 7.750 356 90.00 601
ARM - 2 Year/6 Month 1,216 186,275,776 61.84 7.576 356 81.80 605
ARM - 3 Year/6 Month 135 22,050,297 7.32 7.117 356 80.73 607
Interest Only 10 YR - Fixed - 30 Year 1 272,000 0.09 7.000 357 75.56 634
Interest Only 2 YR - ARM - 2 Year/6 Month LIBOR 52 10,803,604 3.59 6.609 357 81.99 660
Interest Only 3 YR - ARM - 3 Year/6 Month LIBOR 14 3,052,040 1.01 6.594 357 80.95 672
Interest Only 5 YR - Fixed - 30 Year 9 2,392,897 0.79 6.841 357 80.32 676
Interest Only 5 YR - ARM - 2 Year/6 Month LIBOR 44 8,902,983 2.96 6.795 356 83.86 657
Interest Only 5 YR - ARM - 3 Year/6 Month LIBOR 10 1,972,750 0.65 6.612 356 90.87 672
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
------------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
ORIGINATOR LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
---------- ----- ----------- ------- -------- -------- ------- ----------
Encore 470 87,869,780 29.17 6.802 350 77.22 619
Home Owners 432 50,351,943 16.71 8.781 350 81.36 601
Impac 259 47,932,447 15.91 6.955 352 77.78 623
BNC 205 36,101,273 11.98 7.061 355 83.39 618
Chapel 139 21,738,285 7.22 7.330 350 80.38 641
Lenders Direct 146 18,913,766 6.28 7.289 345 83.45 631
First Banc 115 15,479,125 5.14 7.329 347 83.50 626
Peoples Choice 43 6,947,107 2.31 7.286 356 83.67 625
Master Financial 38 6,354,218 2.11 6.909 355 83.05 656
CIT 56 5,782,286 1.92 6.771 354 82.26 639
Ownit 18 2,328,615 0.77 8.164 354 84.71 588
Accredited 3 660,604 0.22 7.054 349 71.23 608
Aames 5 536,430 0.18 7.599 312 85.04 648
Aegis 1 244,855 0.08 8.600 359 72.06 607
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
-----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 39
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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE FICO
LIEN POSITION LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
------------- ----- ----------- ------- -------- ------------- --- -----
1st Lien 1,858 298,643,496 99.14 7.280 352 79.95 620
2nd Lien 72 2,597,236 0.86 10.815 217 97.46 660
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
----------------------------------------------------------------------------------------------------------------------------------
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
RANGE OF GROSS MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE FICO
INTEREST RATES (%) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
------------------ ----- ----------- ------- -------- ------------- --- -----
3.000 - 3.999 1 258,352 0.09 3.890 357 61.06 710
4.000 - 4.999 18 3,821,666 1.27 4.956 351 66.73 675
5.000 - 5.999 221 43,774,016 14.53 5.759 349 72.30 660
6.000 - 6.999 514 96,402,829 32.00 6.577 352 80.36 638
7.000 - 7.999 498 81,911,583 27.19 7.514 354 82.55 607
8.000 - 8.999 318 43,800,101 14.54 8.523 350 83.30 593
9.000 - 9.999 206 21,647,009 7.19 9.470 353 81.52 575
10.000 - 10.999 114 7,822,849 2.60 10.417 324 79.44 575
11.000 - 11.999 32 1,538,671 0.51 11.436 284 81.84 581
12.000 - 12.999 5 177,449 0.06 12.628 190 100.00 632
13.000 - 13.999 3 86,206 0.03 13.351 177 95.59 610
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 3.890%
Maximum: 13.500%
Weighted Average: 7.311%
--------------------------------------------------------------------------------
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 40
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
RANGE OF CUT-OFF DATE MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE FICO
PRINCIPAL BALANCES ($) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
---------------------- ----- ----------- ------- -------- ------------- --- -----
0.01 - 25,000.00 16 326,897 0.11 10.943 190 87.99 643
25,000.01 - 50,000.00 131 5,328,209 1.77 9.872 296 83.65 621
50,000.01 - 75,000.00 190 11,815,902 3.92 8.705 338 77.58 606
75,000.01 - 100,000.00 241 21,255,786 7.06 7.879 350 77.92 612
100,000.01 - 125,000.00 230 25,963,782 8.62 7.618 348 80.49 616
125,000.01 - 150,000.00 210 28,780,376 9.55 7.555 351 79.54 609
150,000.01 - 175,000.00 175 28,390,886 9.42 7.262 352 81.16 622
175,000.01 - 200,000.00 188 35,242,016 11.70 7.244 356 81.24 621
200,000.01 - 225,000.00 143 30,442,915 10.11 6.962 354 78.27 619
225,000.01 - 250,000.00 117 27,887,493 9.26 7.113 354 80.04 620
250,000.01 - 275,000.00 90 23,621,579 7.84 6.851 352 79.48 620
275,000.01 - 300,000.00 87 25,022,587 8.31 6.995 350 80.49 623
300,000.01 - 325,000.00 67 21,016,753 6.98 6.757 354 81.20 636
325,000.01 - 350,000.00 24 7,964,181 2.64 6.655 357 82.69 643
350,000.01 - 375,000.00 8 2,889,533 0.96 6.685 356 81.75 631
375,000.01 - 400,000.00 7 2,712,237 0.90 7.272 357 76.02 644
400,000.01 - 425,000.00 4 1,663,707 0.55 7.498 358 88.75 660
425,000.01 - 450,000.00 1 439,035 0.15 6.250 355 85.00 685
475,000.01 - 500,000.00 1 476,858 0.16 5.625 357 80.00 637
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
----------------------------------------------------------------------------------------------------------------------------------
Minimum:$12,963
Maximum: $476,858
Average: $156,083
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 41
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
ORIGINAL TERM MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE FICO
(MONTHS) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
-------- ----- ----------- ------- -------- ------------- --- -----
120 1 98,111 0.03 5.500 117 50.00 713
180 103 7,612,602 2.53 8.198 176 76.29 653
240 27 2,593,140 0.86 7.685 236 74.51 635
300 4 589,568 0.20 8.692 297 79.38 556
360 1,795 290,347,311 96.38 7.282 356 80.27 619
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 354
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
RANGE OF REMAINING MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE FICO
TERMS (MONTHS) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
-------------- ----- ----------- ------- -------- ------------- --- -----
109 - 120 1 98,111 0.03 5.500 117 50.00 713
169 - 180 103 7,612,602 2.53 8.198 176 76.29 653
229 - 240 27 2,593,140 0.86 7.685 236 74.51 635
289 - 300 4 589,568 0.20 8.692 297 79.38 556
337 - 348 3 440,149 0.15 6.891 346 81.51 643
349 - 360 1,792 289,907,162 96.24 7.283 356 80.26 619
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 117
Maximum: 359
Weighted Average: 351
--------------------------------------------------------------------------------
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 42
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY WEIGHTED WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF ORIGINAL MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED LTV AVERAGE FICO
COMBINED LTV RATIOS (%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) (%) SCORE
----------------------- ----- ----------- ------- -------- -------- --- -----
30.00 or less 12 1,054,270 0.35 6.628 327 25.56 681
30.01 - 40.00 13 1,533,251 0.51 6.808 349 36.72 625
40.01 - 50.00 61 9,198,977 3.05 6.833 333 45.34 630
50.01 - 60.00 105 14,826,433 4.92 7.080 344 56.38 608
60.01 - 70.00 257 40,053,105 13.30 7.326 351 66.42 598
70.01 - 80.00 525 88,357,189 29.33 6.907 353 77.77 624
80.01 - 90.00 613 98,468,024 32.69 7.546 353 87.85 612
90.01 - 100.00 344 47,749,484 15.85 7.755 347 96.60 649
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 16.51%
Maximum: 100.00%
Weighted Average: 80.11%
% OF
MORTGAGE
POOL BY WEIGHTED WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF GROSS MARGINS MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED LTV AVERAGE FICO
(%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) (%) SCORE
---------------------- ----- ----------- ------- -------- -------- --- -----
Fixed Rate Loans 458 67,947,257 22.56 6.876 331 74.08 651
5.000 or less 128 24,229,071 8.04 6.725 356 82.66 626
5.001 - 5.500 195 35,084,186 11.65 6.752 356 81.07 620
5.501 - 6.000 263 45,720,759 15.18 6.782 357 82.79 626
6.001 - 6.500 211 35,952,673 11.93 7.239 356 82.93 613
6.501 - 7.000 250 41,459,116 13.76 7.655 357 79.38 602
7.001 - 7.500 100 16,402,062 5.44 7.975 356 81.94 612
7.501 - 8.000 80 9,341,240 3.10 8.577 357 82.02 591
8.001 - 8.500 82 10,505,812 3.49 8.952 357 84.90 596
8.501 - 9.000 66 6,687,637 2.22 9.445 357 83.53 577
9.001 or greater 97 7,910,918 2.63 10.048 357 79.79 556
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
----------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 3.250%
Non-Fixed Rate Maximum: 10.750%
Non-Fixed Rate Weighted Average: 6.401%
--------------------------------------------------------------------------------
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 43
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF MINIMUM MORTGAGE MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
RATES (%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------------------- ----- ----------- ------- -------- -------- ------- ----------
Fixed Rate Loans 458 67,947,257 22.56 6.876 331 74.08 651
5.000 or less 11 2,648,997 0.88 4.999 356 72.44 663
5.001 - 5.500 26 4,776,701 1.59 5.543 356 75.00 662
5.501 - 6.000 102 20,304,725 6.74 5.854 357 76.86 646
6.001 - 6.500 151 28,192,006 9.36 6.350 356 81.55 645
6.501 - 7.000 254 45,822,523 15.21 6.816 356 83.02 627
7.001 - 7.500 199 33,869,667 11.24 7.320 356 83.59 606
7.501 - 8.000 217 35,134,073 11.66 7.804 356 83.58 599
8.001 - 8.500 141 18,564,010 6.16 8.285 357 82.26 582
8.501 - 9.000 130 19,248,449 6.39 8.771 357 84.11 589
9.001 - 9.500 94 11,481,259 3.81 9.296 357 82.42 579
9.501 - 10.000 74 7,160,042 2.38 9.755 357 79.08 551
10.001 -10.500 45 3,882,149 1.29 10.255 357 77.18 553
10.501 - 11.000 19 1,473,640 0.49 10.698 356 73.26 565
11.001 - 11.500 8 476,399 0.16 11.233 356 64.84 520
11.501 - 12.000 1 258,835 0.09 11.540 358 70.00 546
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
-----------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 3.890%
Non-Fixed Rate Maximum: 11.540%
Non-Fixed Rate Weighted Average: 7.430%
--------------------------------------------------------------------------------
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 44
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF MAXIMUM LOAN MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
RATES (%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
--------------------- ----- ----------- ------- -------- -------- ------- ----------
Fixed Rate Loans 458 67,947,257 22.56 6.876 331 74.08 651
13.000 or less 301 55,313,369 18.36 6.229 357 78.87 643
13.001 - 13.500 178 31,171,285 10.35 6.734 356 81.44 625
13.501 - 14.000 257 44,809,255 14.87 7.157 356 83.37 616
14.001 - 14.500 205 32,419,386 10.76 7.661 356 83.76 602
14.501 - 15.000 204 32,094,877 10.65 8.192 356 84.32 601
15.001 - 15.500 130 16,542,673 5.49 8.871 357 83.55 577
15.501 - 16.000 103 11,995,176 3.98 9.262 357 82.30 557
16.001 - 16.500 54 4,999,558 1.66 9.904 357 78.34 559
16.501 - 17.000 25 2,189,581 0.73 10.186 356 74.16 544
17.001 - 17.500 7 786,892 0.26 10.656 357 67.93 522
17.501 - 18.000 3 529,263 0.18 10.586 353 61.46 563
18.001 - 18.500 4 183,323 0.06 11.270 353 61.38 529
18.501 - 19.000 1 258,835 0.09 11.540 358 70.00 546
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
------------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 10.550%
Non-Fixed Rate Maximum: 18.540%
Non-Fixed Rate Weighted Average: 13.957%
--------------------------------------------------------------------------------
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 45
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
INITIAL PERIODIC CAP (%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------------------ ----- ----------- ------- -------- -------- ------- ----------
Fixed Rate Loans 458 67,947,257 22.56 6.876 331 74.08 651
1.000 16 2,519,735 0.84 7.931 354 85.42 630
1.500 202 36,561,009 12.14 7.102 355 79.33 608
2.000 444 72,909,312 24.20 7.467 357 83.46 612
3.000 809 120,995,745 40.17 7.510 357 81.55 612
5.000 1 307,674 0.10 7.875 355 95.00 611
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
------------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 1.000%
Non-Fixed Rate Maximum: 5.000%
Non-Fixed Rate Weighted Average: 2.433%
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
SUBSEQUENT PERIODIC CAP (%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
--------------------------- ----- ----------- ------- -------- -------- ------- ----------
Fixed Rate Loans 458 67,947,257 22.56 6.876 331 74.08 651
1.000 1,113 165,814,216 55.04 7.600 356 82.68 612
1.500 308 56,994,041 18.92 7.048 356 79.98 612
2.000 50 10,245,217 3.40 6.947 358 79.12 607
3.000 1 240,000 0.08 8.490 354 73.85 521
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
-----------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 1.000%
Non-Fixed Rate Maximum: 3.000%
Non-Fixed Rate Weighted Average: 1.168%
--------------------------------------------------------------------------------
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 46
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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
NEXT RATE ADJUSTMENT DATES LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
-------------------------- ----- ----------- ------- -------- -------- ------- ----------
Fixed Rate Loans 458 67,947,257 22.56 6.876 331 74.08 651
Oct-04 1 236,025 0.08 7.750 356 90.00 601
Sep-05 4 574,717 0.19 7.540 349 71.45 644
Oct-05 5 753,425 0.25 7.379 350 80.13 620
Nov-05 36 5,245,071 1.74 7.498 351 82.72 606
Dec-05 25 3,838,389 1.27 7.815 352 81.90 599
Jan-06 96 12,758,460 4.24 7.409 353 85.29 624
Feb-06 79 11,470,576 3.81 7.749 354 83.32 599
Mar-06 109 16,558,157 5.50 7.656 355 83.72 605
Apr-06 234 36,930,230 12.26 7.621 356 82.69 602
May-06 363 56,018,097 18.60 7.552 357 80.41 614
Jun-06 358 61,259,855 20.34 7.256 358 81.39 613
Jul-06 4 717,802 0.24 7.870 359 79.86 598
Aug-06 1 174,334 0.06 7.500 348 80.00 600
Sep-06 2 528,425 0.18 6.994 349 89.45 627
Oct-06 2 480,385 0.16 6.562 350 58.02 633
Nov-06 3 353,395 0.12 7.906 351 88.47 574
Dec-06 2 338,835 0.11 6.203 352 77.64 623
Jan-07 15 2,285,060 0.76 7.065 353 76.62 596
Feb-07 18 2,818,654 0.94 7.318 354 79.88 616
Mar-07 11 2,170,781 0.72 7.190 355 79.24 598
Apr-07 18 3,064,374 1.02 6.823 356 82.00 618
May-07 51 8,366,327 2.78 7.036 357 84.95 617
Jun-07 35 6,352,101 2.11 6.926 358 80.81 636
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
------------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Weighted Average: May 2006
--------------------------------------------------------------------------------
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 47
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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
GEOGRAPHIC DISTRIBUTION OF MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
MORTGAGED PROPERTIES LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
-------------------------- ----- ----------- ------- -------- -------- ------- ----------
California 640 127,678,656 42.38 6.854 351 76.70 624
Florida 276 35,458,130 11.77 7.490 349 84.12 625
New York 82 17,155,529 5.69 7.322 351 78.02 633
Illinois 92 16,044,023 5.33 7.213 352 82.61 615
Maryland 56 9,860,965 3.27 7.898 354 78.38 590
Nevada 40 6,908,534 2.29 7.155 356 81.56 641
Michigan 54 6,016,746 2.00 7.774 355 85.04 607
Virginia 37 5,936,016 1.97 8.090 353 83.68 594
Arizona 41 5,187,445 1.72 7.399 348 83.83 616
Minnesota 30 4,918,684 1.63 7.457 354 82.32 600
Washington 30 4,705,297 1.56 7.155 356 85.64 645
Massachusetts 20 4,102,253 1.36 7.723 356 78.60 605
Georgia 37 3,764,140 1.25 8.526 351 85.76 609
Colorado 22 3,435,482 1.14 7.390 352 85.73 627
Ohio 33 3,410,489 1.13 7.402 354 82.07 626
Other 440 46,658,342 15.49 8.037 348 83.25 614
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 49
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
OCCUPANCY TYPE LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
-------------- ----- ----------- ------- -------- -------- ------- ----------
Primary 1,791 281,638,289 93.49 7.312 351 80.25 618
Non-Owner Occupied 130 18,482,485 6.14 7.297 348 77.64 660
Second Home 9 1,119,958 0.37 7.185 346 84.05 657
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 48
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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PROPERTY TYPE LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------- ----- ----------- ------- -------- -------- ------- ----------
Single Family Residence 1,578 235,934,510 78.32 7.394 351 80.26 616
2-4 Family 132 29,106,188 9.66 6.942 348 75.86 643
Condominium 117 18,333,614 6.09 7.019 353 82.17 635
Planned Unit Development 100 17,583,293 5.84 7.116 353 83.04 623
Manufactured Housing 3 283,126 0.09 6.950 351 75.13 647
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
------------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
AGGREGATE POOL BY WEIGHTED WEIGHTED WEIGHTED
CUT-OFF AGGREGATE AVERAGE AVERAGE AVERAGE
NUMBER OF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
LOAN PURPOSE LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------ ----- ----------- ------- -------- -------- ------- ----------
Refinance - Cashout 1,290 201,269,420 66.81 7.388 351 78.12 609
Purchase 471 71,216,743 23.64 7.205 352 85.60 652
Refinance - Rate/Term 169 28,754,569 9.55 7.036 348 80.41 621
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
------------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
DOCUMENTATION LEVEL LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------------- ----- ----------- ------- -------- -------- ------- ----------
Full Documentation 1,134 167,157,583 55.49 7.308 352 80.57 611
Stated Documentation 722 119,918,734 39.81 7.349 349 79.23 633
Limited/Alternate Documentation 64 12,212,918 4.05 7.014 353 81.88 614
No Ratio 10 1,951,498 0.65 7.054 357 83.04 657
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 49
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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PREPAYMENT PENALTY TERM LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------- ----- ----------- ------- -------- -------- ------- ----------
No Prepayment Penalty 283 44,246,852 14.69 7.450 350 81.72 623
6 Months 3 322,428 0.11 7.923 352 85.31 617
12 Months 57 11,822,279 3.92 7.151 347 78.05 631
24 Months 1,112 169,903,654 56.40 7.504 355 81.67 612
36 Months 475 74,945,519 24.88 6.814 341 75.91 636
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
------------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
RANGE OF CREDIT SCORES LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
---------------------- ----- ----------- ------- -------- -------- ------- ----------
500 - 525 105 14,612,866 4.85 8.597 354 72.67 513
526 - 550 180 27,812,375 9.23 8.181 355 74.96 539
551 - 575 221 32,085,773 10.65 7.757 354 78.15 562
576 - 600 263 39,445,806 13.09 7.624 350 80.37 589
601 - 625 302 48,251,853 16.02 7.237 352 80.89 613
626 - 650 315 51,485,174 17.09 7.096 350 82.64 637
651 - 675 227 34,886,393 11.58 6.933 352 84.00 663
676 - 700 153 25,180,868 8.36 6.608 349 82.42 688
701 - 725 76 11,941,934 3.96 6.501 335 78.86 710
726 - 750 42 6,659,016 2.21 6.586 332 81.08 737
751 - 775 29 5,641,391 1.87 6.305 355 77.00 762
776 - 800 14 2,836,669 0.94 6.076 357 70.88 787
Above 800 3 400,613 0.13 6.111 357 64.02 806
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,930 301,240,732 100.00 7.311 351 80.11 620
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 807
Weighted Average: 620
--------------------------------------------------------------------------------
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 50
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PRODUCT TYPES LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------- ----- ----------- ------- -------- -------- ------- ----------
Fixed - 15 Year 21 1,736,848 0.75 8.132 177 75.67 623
Fixed - 20 Year 11 794,791 0.35 9.503 238 81.73 626
Fixed - 25 Year 2 106,075 0.05 11.436 298 90.00 581
Fixed - 30 Year 201 41,871,633 18.19 6.964 356 81.03 650
Fixed Balloon - 15/30 38 2,400,735 1.04 10.064 176 96.27 644
ARM - 2 Year/6 Month 690 134,188,223 58.30 7.627 356 81.93 608
ARM - 3 Year/6 Month 55 12,178,585 5.29 6.990 356 81.92 636
ARM - 5 Year/6 Month 24 5,058,187 2.20 6.420 356 84.41 654
Interest Only 2 YR - ARM - 2 Year/6 Month LIBOR 36 11,585,675 5.03 6.636 357 82.46 670
Interest Only 3 YR - ARM - 3 Year/6 Month LIBOR 9 2,526,799 1.10 6.517 358 79.97 654
Interest Only 5 YR - Fixed - 30 Year 16 4,700,550 2.04 6.914 357 78.69 684
Interest Only 5 YR - ARM - 2 Year/6 Month LIBOR 36 9,886,294 4.30 6.743 356 84.32 657
Interest Only 5 YR - ARM - 3 Year/6 Month LIBOR 5 1,214,920 0.53 6.351 356 79.40 627
Interest Only 5 YR - ARM - 5 Year/6 Month LIBOR 6 1,914,400 0.83 6.277 357 79.07 682
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
------------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
ORIGINATOR LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
---------- ----- ----------- ------- -------- -------- ------- ----------
Encore 226 55,412,683 24.08 6.863 355 81.01 616
Impac 168 42,419,733 18.43 7.094 356 81.24 640
Home Owners 292 39,862,546 17.32 8.764 352 82.05 590
BNC 92 23,725,250 10.31 6.940 355 83.85 635
Chapel 84 19,238,361 8.36 7.287 348 81.50 653
Lenders Direct 91 15,350,526 6.67 7.310 343 83.10 644
First Banc 64 11,431,619 4.97 7.157 347 82.41 633
Peoples Choice 56 10,577,705 4.60 7.185 355 83.15 649
Master Financial 29 5,281,542 2.29 7.123 357 81.35 655
CIT 27 3,762,682 1.63 6.794 353 82.42 656
Ownit 11 1,476,940 0.64 8.045 346 84.07 581
Aames 5 1,095,125 0.48 7.216 351 84.05 611
Aegis 2 276,949 0.12 6.655 340 82.96 654
Accredited 3 252,053 0.11 6.999 349 71.54 623
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
-----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 51
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE FICO
LIEN POSITION LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
------------- ----- ----------- ------- -------- ------------- --- -----
1st Lien 1,095 226,994,323 98.62 7.308 354 81.71 626
2nd Lien 55 3,169,391 1.38 10.474 239 97.60 666
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
-----------------------------------------------------------------------------------------------------------------------------------
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
RANGE OF GROSS MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE FICO
INTEREST RATES (%) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
------------------- ----- ----------- ------- -------- ------------- --- -----
3.000 - 3.999 1 157,301 0.07 3.890 357 48.62 693
4.000 - 4.999 10 3,035,858 1.32 4.969 357 78.29 688
5.000 - 5.999 102 32,732,982 14.22 5.715 356 79.91 664
6.000 - 6.999 240 68,900,120 29.94 6.545 356 80.95 650
7.000 - 7.999 281 60,388,525 26.24 7.494 354 82.52 622
8.000 - 8.999 250 39,561,191 17.19 8.508 352 83.87 595
9.000 - 9.999 153 17,934,650 7.79 9.488 348 83.62 562
10.000 - 10.999 87 6,076,453 2.64 10.388 325 80.93 563
11.000 - 11.999 24 1,206,957 0.52 11.374 276 90.83 610
12.000 - 12.999 2 169,679 0.07 12.394 230 98.15 636
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
-----------------------------------------------------------------------------------------------------------------------------------
Minimum: 3.890%
Maximum: 12.400%
Weighted Average: 7.351%
--------------------------------------------------------------------------------
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 52
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
RANGE OF CUT-OFF DATE MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE FICO
PRINCIPAL BALANCES(%) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
--------------------- ----- ----------- ------- -------- ------------- --- -----
0.01 - 25,000.00 7 131,402 0.06 11.469 187 99.44 637
25,000.01 - 50,000.00 63 2,606,780 1.13 9.962 304 81.25 593
50,000.01 - 75,000.00 151 9,344,252 4.06 9.080 333 83.43 605
75,000.01 - 100,000.00 132 11,579,448 5.03 8.504 344 81.81 602
100,000.01 - 125,000.00 113 12,720,417 5.53 8.025 349 81.48 606
125,000.01 - 150,000.00 87 12,032,672 5.23 8.020 353 81.24 606
150,000.01 - 175,000.00 76 12,349,786 5.37 7.718 354 81.81 604
175,000.01 - 200,000.00 75 14,099,687 6.13 7.454 348 83.64 626
200,000.01 - 225,000.00 55 11,627,850 5.05 7.847 356 83.13 601
225,000.01 - 250,000.00 43 10,227,475 4.44 7.525 353 82.27 631
250,000.01 - 275,000.00 43 11,366,101 4.94 7.090 357 81.65 630
275,000.01 - 300,000.00 21 6,043,018 2.63 6.971 356 82.37 626
300,000.01 - 325,000.00 26 8,124,556 3.53 7.585 357 81.25 615
325,000.01 - 350,000.00 57 19,382,472 8.42 6.922 356 83.99 636
350,000.01 - 375,000.00 33 11,985,912 5.21 6.827 356 80.61 629
375,000.01 - 400,000.00 43 16,689,045 7.25 6.949 357 84.03 640
400,000.01 - 425,000.00 30 12,342,474 5.36 6.385 357 83.98 655
425,000.01 - 450,000.00 33 14,486,230 6.29 6.823 356 82.34 641
450,000.01 - 475,000.00 12 5,579,352 2.42 6.374 357 78.40 641
475,000.01 - 500,000.00 21 10,337,909 4.49 6.638 356 82.25 661
500,000.01 - 525,000.00 8 4,152,057 1.80 7.423 356 79.59 651
525,000.01 - 550,000.00 3 1,642,192 0.71 6.942 355 70.48 657
550,000.01 - 575,000.00 6 3,373,364 1.47 6.820 356 78.97 635
575,000.01 - 600,000.00 1 597,588 0.26 5.990 356 80.00 714
600,000.01 or greater 11 7,341,676 3.19 6.407 357 72.77 634
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
----------------------------------------------------------------------------------------------------------------------------------
Minimum:$9,989
Maximum: $765,704
Average: $200,142
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 53
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
ORIGINAL TERM MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE FICO
(MONTHS) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
------------------- ----- ----------- ------- -------- ------------- --- -----
180 59 4,137,584 1.80 9.253 177 87.62 635
240 11 794,791 0.35 9.503 238 81.73 626
300 2 106,075 0.05 11.436 298 90.00 581
360 1,078 225,125,266 97.81 7.307 356 81.82 627
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 180
Maximum: 360
Weighted Average: 356
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
RANGE OF REMAINING MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE FICO
TERMS (MONTHS) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
-------------- ----- ----------- ------- -------- ------------- --- -----
169 - 180 59 4,137,584 1.80 9.253 177 87.62 635
229 - 240 11 794,791 0.35 9.503 238 81.73 626
289 - 300 2 106,075 0.05 11.436 298 90.00 581
337 - 348 2 201,230 0.09 7.064 348 57.47 626
349 - 360 1,076 224,924,035 97.72 7.307 356 81.84 627
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 171
Maximum: 359
Weighted Average: 353
--------------------------------------------------------------------------------
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 54
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
RANGE OF ORIGINAL MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE FICO
COMBINED LTV RATIOS (%) LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
------------------------ ----- ----------- ------- -------- ------------- --- -----
30.00 or less 2 99,566 0.04 8.819 295 20.17 550
30.01 - 40.00 4 365,245 0.16 7.565 340 36.68 590
40.01 - 50.00 11 1,879,084 0.82 7.080 324 46.14 598
50.01 - 60.00 19 4,642,081 2.02 6.801 357 56.36 617
60.01 - 70.00 57 15,164,939 6.59 7.223 356 66.36 597
70.01 - 80.00 576 112,370,364 48.82 7.285 355 78.58 622
80.01 - 90.00 302 63,510,152 27.59 7.314 353 87.77 628
90.01 - 100.00 179 32,132,285 13.96 7.806 344 95.94 657
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 11.11%
Maximum: 100.00%
Weighted Average: 81.93%
% OF
MORTGAGE
POOL BY WEIGHTED WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF GROSS MARGINS MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED LTV AVERAGE FICO
(%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) (%) SCORE
---------------------- ----- ----------- ------- -------- -------- --- -----
Fixed Rate Loans 289 51,610,632 22.42 7.191 340 81.38 651
5.000 or less 65 15,270,151 6.63 7.012 356 81.71 639
5.001 - 5.500 107 25,206,155 10.95 6.745 356 84.05 639
5.501 - 6.000 170 46,940,427 20.39 6.676 356 81.44 638
6.001 - 6.500 122 25,928,336 11.27 7.276 356 81.33 624
6.501 - 7.000 126 27,840,866 12.10 7.556 357 82.23 613
7.001 - 7.500 65 12,747,173 5.54 8.097 357 82.42 603
7.501 - 8.000 36 5,603,022 2.43 8.435 357 84.53 599
8.001 - 8.500 56 7,832,432 3.40 9.070 357 81.13 562
8.501 - 9.000 46 5,719,139 2.48 9.529 357 81.74 543
9.001 or greater 68 5,465,382 2.37 10.129 358 81.10 548
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
----------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 2.250%
Non-Fixed Rate Maximum: 10.650%
Non-Fixed Rate Weighted Average: 6.363%
--------------------------------------------------------------------------------
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 55
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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY WEIGHTED WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF MINIMUM MORTGAGE MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED LTV AVERAGE FICO
RATES (%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) (%) SCORE
---------------------- ----- ----------- ------- -------- -------- --- -----
Fixed Rate Loans 289 51,610,632 22.42 7.191 340 81.38 651
5.000 or less 7 2,311,847 1.00 4.890 357 78.61 666
5.001 - 5.500 21 6,611,755 2.87 5.384 357 77.19 663
5.501 - 6.000 70 21,385,569 9.29 5.943 357 81.30 666
6.001 - 6.500 84 25,045,097 10.88 6.386 356 81.47 654
6.501 - 7.000 86 24,707,855 10.73 6.814 356 81.20 640
7.001 - 7.500 104 22,834,013 9.92 7.341 356 85.11 627
7.501 - 8.000 110 23,484,617 10.20 7.813 356 81.52 598
8.001 - 8.500 96 16,733,127 7.27 8.294 356 83.96 592
8.501 - 9.000 110 17,062,475 7.41 8.797 356 83.79 585
9.001 - 9.500 61 7,439,889 3.23 9.254 357 83.01 554
9.501 - 10.000 53 6,530,633 2.84 9.768 357 81.41 541
10.001 -10.500 43 3,352,319 1.46 10.285 357 76.39 533
10.501 - 11.000 12 708,173 0.31 10.707 357 78.31 544
11.001 - 11.500 4 345,714 0.15 11.116 358 77.91 535
---------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
---------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 3.890%
Non-Fixed Rate Maximum: 11.150%
Non-Fixed Rate Weighted Average: 7.378%
--------------------------------------------------------------------------------
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 56
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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY WEIGHTED WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF MAXIMUM LOAN MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED LTV AVERAGE FICO
RATES (%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) (%) SCORE
--------------------- ----- ----------- ------- -------- -------- --- -----
Fixed Rate Loans 289 51,610,632 22.42 7.191 340 81.38 651
13.000 or less 169 49,733,542 21.61 6.104 357 80.07 656
13.001 - 13.500 93 25,070,154 10.89 6.777 356 82.95 644
13.501 - 14.000 123 29,617,543 12.87 7.286 356 82.88 630
14.001 - 14.500 114 22,275,733 9.68 7.775 356 84.25 616
14.501 - 15.000 106 21,093,144 9.16 8.259 356 82.45 590
15.001 - 15.500 84 12,054,427 5.24 8.727 357 84.29 563
15.501 - 16.000 94 11,698,858 5.08 9.293 357 81.92 555
16.001 - 16.500 52 4,859,097 2.11 9.849 357 79.38 536
16.501 - 17.000 15 1,351,712 0.59 10.274 357 78.55 536
17.001 - 17.500 9 654,392 0.28 10.634 357 72.70 526
17.501 - 18.000 1 67,361 0.03 10.900 356 75.00 513
18.001 - 18.500 1 77,119 0.03 11.150 357 80.00 557
---------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
---------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 10.000%
Non-Fixed Rate Maximum: 18.150%
Non-Fixed Rate Weighted Average: 13.868%
--------------------------------------------------------------------------------
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 57
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XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
INITIAL PERIODIC CAP (%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------------------ ----- ----------- ------- -------- -------- ------- ----------
Fixed Rate Loans 289 51,610,632 22.42 7.191 340 81.38 651
1.000 6 982,876 0.43 8.328 354 81.03 625
1.500 105 24,544,993 10.66 7.360 356 80.89 601
2.000 247 54,711,788 23.77 7.298 357 82.07 619
3.000 493 95,445,852 41.47 7.490 357 82.29 623
3.500 1 238,402 0.10 7.750 356 95.00 614
5.000 8 2,217,171 0.96 6.087 356 86.99 690
6.000 1 412,000 0.18 6.000 357 80.00 657
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
------------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 1.000%
Non-Fixed Rate Maximum: 6.000%
Non-Fixed Rate Weighted Average: 2.509%
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
SUBSEQUENT PERIODIC CAP (%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
--------------------------- ----- ----------- ------- -------- -------- ------- ----------
Fixed Rate Loans 289 51,610,632 22.42 7.191 340 81.38 651
1.000 669 130,021,000 56.49 7.552 356 82.35 622
1.500 165 41,578,482 18.06 6.985 356 80.93 614
2.000 26 6,802,951 2.96 6.996 358 84.20 613
3.000 1 150,649 0.07 6.150 351 80.00 647
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
-----------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 1.000%
Non-Fixed Rate Maximum: 3.000%
Non-Fixed Rate Weighted Average: 1.156%
--------------------------------------------------------------------------------
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 58
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
NEXT RATE ADJUSTMENT DATES LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
-------------------------- ----- ----------- ------- -------- -------- ------- ----------
Fixed Rate Loans 289 51,610,632 22.42 7.191 340 81.38 651
Oct-05 2 431,628 0.19 6.198 350 80.00 692
Nov-05 20 4,324,100 1.88 7.620 351 83.23 592
Dec-05 14 2,535,066 1.10 7.571 352 76.04 629
Jan-06 68 10,354,400 4.50 7.530 353 82.54 615
Feb-06 41 7,972,214 3.46 7.446 354 83.60 641
Mar-06 61 14,253,264 6.19 7.562 355 86.66 632
Apr-06 133 25,879,291 11.24 7.930 356 82.52 594
May-06 233 47,318,855 20.56 7.406 357 81.57 626
Jun-06 189 42,240,975 18.35 7.324 358 80.87 609
Jul-06 1 350,400 0.15 6.030 359 80.00 674
Nov-06 1 103,537 0.04 9.040 352 80.00 535
Dec-06 1 214,650 0.09 7.350 352 90.00 561
Jan-07 8 2,249,569 0.98 6.809 353 80.13 662
Feb-07 3 476,877 0.21 8.194 354 80.61 597
Mar-07 8 1,698,210 0.74 6.573 355 81.55 648
Apr-07 9 1,886,965 0.82 7.160 356 78.79 637
May-07 27 6,183,467 2.69 6.949 357 83.85 636
Jun-07 12 3,107,030 1.35 6.414 358 78.62 635
Oct-08 1 79,313 0.03 8.625 350 95.00 628
Nov-08 3 556,394 0.24 6.442 352 83.27 652
Jan-09 5 911,153 0.40 6.714 354 89.03 661
Feb-09 1 274,216 0.12 7.350 354 95.00 630
Mar-09 1 228,841 0.10 5.990 355 83.64 672
Apr-09 1 294,200 0.13 7.750 356 79.99 695
May-09 11 3,099,179 1.35 6.282 357 82.08 667
Jun-09 7 1,529,291 0.66 5.865 358 78.62 654
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
------------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Weighted Average: June 2006
--------------------------------------------------------------------------------
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 59
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
GEOGRAPHIC DISTRIBUTION OF MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
MORTGAGED PROPERTIES LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
-------------------------- ----- ----------- ------- -------- -------- ------- ----------
California 382 112,841,468 49.03 6.821 354 81.11 635
New York 87 22,482,864 9.77 7.353 354 81.86 655
Florida 153 21,166,665 9.20 7.883 348 83.10 619
Illinois 42 7,620,682 3.31 7.291 353 80.35 628
Maryland 33 6,518,284 2.83 8.136 357 79.91 581
Nevada 26 5,256,478 2.28 8.046 355 81.23 589
Arizona 31 4,578,461 1.99 7.873 351 89.56 619
Michigan 35 3,899,905 1.69 8.061 352 84.56 610
Massachusetts 14 3,554,339 1.54 7.608 357 74.57 591
Texas 28 3,288,468 1.43 8.162 354 85.69 644
Colorado 19 3,254,525 1.41 7.270 347 85.01 642
Virginia 17 3,049,838 1.33 8.147 356 84.26 617
Georgia 21 2,513,523 1.09 8.887 355 83.50 588
Washington 14 2,293,696 1.00 7.231 354 85.18 651
Pennsylvania 21 2,191,015 0.95 8.505 348 85.28 582
Other 227 25,653,504 11.15 8.258 351 83.15 604
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 48
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
OCCUPANCY TYPE LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
-------------- ----- ----------- ------- -------- -------- ------- ----------
Primary 1,060 214,907,702 93.37 7.355 353 81.98 623
Non-Owner Occupied 81 13,389,048 5.82 7.313 352 80.20 672
Second Home 9 1,866,965 0.81 7.217 357 88.91 688
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 60
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PROPERTY TYPE LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------- ----- ----------- ------- -------- -------- ------- ----------
Single Family Residence 922 177,531,469 77.13 7.385 352 81.88 620
Planned Unit Development 91 22,606,783 9.82 7.139 355 83.37 637
2-4 Family 75 20,112,776 8.74 7.295 355 80.44 663
Condominium 60 9,749,180 4.24 7.354 351 82.59 646
Manufactured Housing 2 163,507 0.07 6.572 351 76.91 647
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
------------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
AGGREGATE POOL BY WEIGHTED WEIGHTED WEIGHTED
CUT-OFF AGGREGATE AVERAGE AVERAGE AVERAGE
NUMBER OF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
LOAN PURPOSE LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------ ----- ----------- ------- -------- -------- ------- ----------
Refinance - Cashout 744 145,546,491 63.24 7.433 353 80.73 610
Purchase 329 67,683,820 29.41 7.202 352 84.33 666
Refinance - Rate/Term 77 16,933,404 7.36 7.243 355 82.68 610
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
------------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
DOCUMENTATION LEVEL LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------------- ----- ----------- ------- -------- -------- ------- ----------
Full Documentation 655 116,931,286 50.80 7.395 353 82.46 612
Stated Documentation 446 99,869,696 43.39 7.340 353 81.38 643
Limited/Alternate Documentation 40 10,757,698 4.67 7.076 355 81.78 625
No Ratio 9 2,605,036 1.13 6.955 357 79.89 654
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 61
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2004
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PREPAYMENT PENALTY TERM LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------- ----- ----------- ------- -------- -------- ------- ----------
No Prepayment Penalty 192 40,297,975 17.51 7.380 354 82.65 646
6 Months 2 298,653 0.13 6.950 356 90.00 653
12 Months 40 11,720,586 5.09 6.961 352 81.18 629
24 Months 658 129,191,461 56.13 7.560 355 82.01 614
36 Months 233 46,044,163 20.00 6.813 347 81.60 644
60 Months 25 2,610,877 1.13 7.844 315 75.23 627
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
------------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
RANGE OF CREDIT SCORES LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
---------------------- ----- ----------- ------- -------- -------- ------- ----------
500 - 525 114 18,342,941 7.97 8.889 356 76.51 513
526 - 550 119 17,995,503 7.82 8.428 354 77.02 539
551 - 575 102 16,786,031 7.29 8.037 354 79.18 563
576 - 600 126 24,204,247 10.52 7.591 351 81.22 588
601 - 625 135 27,595,141 11.99 7.280 352 83.20 613
626 - 650 192 39,499,521 17.16 7.063 353 83.89 637
651 - 675 163 33,860,505 14.71 6.884 350 83.74 663
676 - 700 92 22,516,857 9.78 6.678 354 83.27 688
701 - 725 47 13,118,098 5.70 6.685 352 83.71 711
726 - 750 36 10,387,558 4.51 6.756 357 84.49 738
751 - 775 19 5,199,077 2.26 6.218 350 81.48 760
776 - 800 5 658,236 0.29 7.825 335 80.78 789
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,150 230,163,715 100.00 7.351 353 81.93 627
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 793
Weighted Average: 627
--------------------------------------------------------------------------------
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 62
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 12, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
FOR ADDITIONAL INFORMATION PLEASE CALL:
-----------------------------------------------------------
XXXXXX XXXXXXX
-----------------------------------------------------------
ASSET BACKED FINANCE
--------------------
Xxx Xxx 000-000-0000
Xxxxxx Xxxx 000-000-0000
Xxxx Xxxxx 000-000-0000
ABS SYNDICATE & TRADING
-----------------------
Xxx Xxxxxx 000-000-0000
Xxxx Xxxxx 000-000-0000
Xxxxxxx Xxxxxxxx 000-000-0000
-----------------------------------------------------------
RATING AGENCY CONTACTS
-----------------------------------------------------------
STANDARD & POOR'S
-----------------
Xxxxx Xxxxx 000-000-0000
XXXXX'X
-------
Xxxxxx Xxxxxxxxxxx 000-000-0000
FITCH
-----
Xxx Xxxxxxxx 000-000-0000
--------------------------------------------------------------------------------
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 63
