EXHIBIT 99.2
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Xxxxxx Xxxxxxx
Securitized Products Group [GRAPHIC OMITTED] July 22, 2004
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Computational Materials
$717,130,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-WMC2
Mortgage Pass-Through Certificates
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 1
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Xxxxxx Xxxxxxx
Securitized Products Group [GRAPHIC OMITTED] July 22, 2004
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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. 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shall be deemed superseded and replaced in its entirety by such offering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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Page 2
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Xxxxxx Xxxxxxx
Securitized Products Group [GRAPHIC OMITTED] July 22, 2004
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Approximately $717,130,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-WMC2
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
HomEq Servicing Corp
Servicer
Transaction Highlights
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Expected Modified
Ratings Avg Life to Duration Initial
Offered (S&P/Fitch/ Call / To Call Mty Payment Window To Subordination
Classes Description Balance(4) Moody's) Mty (1)(2) (1)(2)(3) Call / Mty (1)(2) Level
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A-1 Not Offered 565,874,000 AAA/AAA/Aaa 2.69 / 2.92 ***Not Offered*** 20.25%
A-2 Floater 200,000,000 AAA/AAA/Aaa 2.68 / 2.89 2.58 / 2.77 09/04 - 08/12 / 09/04 - 08/21 20.25%
A-3 Floater 155,750,000 AAA/AAA/Aaa 1.04 / 1.04 1.03 / 1.03 09/04 - 10/06 / 09/04 - 10/06 20.25%
A-4 Floater 59,253,000 AAA/AAA/Aaa 2.91 / 2.91 2.85 / 2.85 10/06 - 10/08 / 10/06 - 10/08 20.25%
A-5 Floater 63,200,000 AAA/AAA/Aaa 6.50 / 7.45 6.12 / 6.91 10/08 - 08/12 / 10/08 - 08/21 20.25%
M-1 Floater 91,643,000 AA/AA/Aa2 5.35 / 5.91 5.06 / 5.52 11/07 - 08/12 / 11/07 - 05/19 13.25%
M-2 Floater 68,732,000 A/A/A2 5.32 / 5.82 4.93 / 5.32 10/07 - 08/12 / 10/07 - 01/18 8.00%
M-3 Floater 22,911,000 A-/A-/A3 5.32 / 5.74 4.89 / 5.22 10/07 - 08/12 / 10/07 - 06/16 6.25%
B-1 Floater 19,638,000 BBB+/BBB+/Baa1 5.30 / 5.66 4.80 / 5.07 09/07 - 08/12 / 09/07 - 08/15 4.75%
B-2 Floater 16,365,000 BBB/BBB/Baa2 5.30 / 5.56 4.79 / 4.98 09/07 - 08/12 / 09/07 - 09/14 3.50%
B-3 Floater 19,638,000 BBB-/BBB-/Baa3 5.28 / 5.34 4.54 / 4.58 09/07 - 08/12 / 09/07 - 09/13 2.00%
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[TABLE CONTINUED]
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Offered
Classes Benchmark
---------------------
A-1 1 Mo. LIBOR
A-2 1 Mo. LIBOR
A-3 1 Mo. LIBOR
A-4 1 Mo. LIBOR
A-5 1 Mo. LIBOR
M-1 1 Mo. LIBOR
M-2 1 Mo. LIBOR
M-3 1 Mo. LIBOR
B-1 1 Mo. LIBOR
B-2 1 Mo. LIBOR
B-3 1 Mo. LIBOR
---------------------
Notes: (1) Certificates are priced to the 10% optional clean-up call.
----- (2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2004-WMC2.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originator: WMC Mortgage Corp.
Servicer: HomEq Servicing Corp.
Trustee: Deutsche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), Xxxxxxxx & Partners, L.P.
and Xxxxxxxx Capital Partners, L.P.
Rating Agencies: Standard & Poor's, Fitch Ratings and Xxxxx'x Investors
Service.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 3
Offered Certificates: The Class A-2, A-3, A-4, A-5, M-1, M-2, M-3, B-1, B-2
and B-3 Certificates.
Class A Certificates: The Class A-1, A-2, A-3, A-4 and A-5 Certificates.
Group II Class A The Class A-2, Class A-3, Class A-4 and Class A-5
Certificates: Certificates.
Group II Class A The Class A-3, Class A-4 and Class A-5 Certificates.
Sequential
Certificates:
Class A Certificate The Class A-1 Certificates and Group II Class A
Group: Certificates, as applicable.
Expected Closing August 19, 2004 through DTC and Euroclear or
Date: Clearstream. The Certificates will be sold without
accrued interest.
Cut-off Date: August 1, 2004
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.
Final Scheduled For the Class A-3 Certificates, the Distribution Date
Distribution Date: occurring in [August 2013], and for all other Offered
Certificates, the Distribution Date occurring in July
2034.
Minimum Denomination: The Offered Certificates will be issued and available in
denominations of $25,000 initial principal balance and
integral multiples of $1 in excess of $25,000.
Due Period: For any Distribution Date, the calendar month preceding
the month in which that Distribution Date occurs.
Interest Accrual The interest accrual period for the Offered Certificates
Period: with respect to any Distribution Date will be the period
beginning with the previous 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 two groups of adjustable and
fixed rate sub-prime residential, first-lien and second-
lien mortgage loans.
Group I Mortgage Approximately $709.6 million of Mortgage Loans with
Loans: original principal balances that conform to the original
principal balance limits for one- to four-family
residential mortgage loan guidelines for purchase by
Freddie Mac.
Group II Mortgage Approximately $599.6 million of Mortgage Loans that
Loans: predominantly have original principal balances that may
or may not conform to the original principal balance
limits for one- to four-family residential mortgage loan
guidelines for purchase by Freddie Mac.
Pricing Prepayment o Fixed Rate Mortgage Loans: CPR starting at
Speed: approximately 1.5333% CPR in month 1 and
increasing to 23% CPR in month 15 (23%/15 increase
for each month), and remaining at 23% CPR
thereafter
o ARM Mortgage Loans: 25% CPR
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 4
Credit Enhancement: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage
Loans,
2) 2.00% overcollateralization (funded upfront). On
and after the Step-down Date, so long as a Trigger
Event is not in effect, the required
overcollateralization will equal 4.00% 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 aggregate
principal balance of the Mortgage Loans as of the
cut-off date, provided, however, that if, on any
distribution date, a Trigger Event exists, the
required overcollateralization will not be reduced
to the applicable percentage of the then Stated
Principal Balance of the mortgage loans but
instead remain the same as the prior period's
required overcollateralization until the
distribution date on which a Trigger Event no
longer exists; and
3) Subordination of distributions on the more
subordinate classes of certificates (if
applicable) to the required distributions on the
more senior classes of certificates.
Senior Enhancement For any Distribution Date, the percentage obtained by
Percentage: dividing (x) the aggregate Certificate Principal Balance
of the subordinate certificates (together with 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 payments of
principal on the Mortgage Loans on the last day of
the related Due Period but prior to principal
distributions to the certificates on the
applicable Distribution Date) is greater than or
equal to approximately 40.50%.
Trigger Event: Either a Delinquency Trigger Event or a Cumulative Loss
Trigger Event.
Delinquency Trigger A Delinquency Trigger Event is in effect on any
Event: Distribution Date if on that Distribution Date the 60
Day+ Rolling Average equals or exceeds 40% of the prior
period's Senior Enhancement Percentage. The 60 Day+
Rolling Average will equal the rolling 3 month average
percentage of Mortgage Loans that are 60 or more days
delinquent.
Cumulative Loss A Cumulative Loss Trigger Event is in effect on any
Trigger Event: Distribution Date 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
aggregate Stated Principal Balance of the mortgage loans
as of the cut-off date exceeds the applicable
percentages described below with respect to such
distribution date:
Months 37- 48 [3.50] for the first month, plus an
additional 1/12th of [1.75] for each
month thereafter (e.g., [4.375] in
Month 43)
Months 49- 60 [5.25] for the first month, plus an
additional 1/12th of [1.25] for each
month thereafter (e.g., [5.875] in
Month 55)
Months 61- 72 [6.50] for the first month, plus an
additional 1/12th of [0.50] for each
month thereafter (e.g., [6.750] in
Month 67)
Months 72- [7.00]
thereafter
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 5
Initial Class A: 20.25%
Subordination Class M-1: 13.25%
Percentage: Class M-2: 8.00%
Class M-3: 6.25%
Class B-1: 4.75%
Class B-2: 3.50%
Class B-3: 2.00%
Optional Clean-up When the current aggregate principal balance of the
Call: Mortgage Loans is less than or equal to 10% of the
aggregate principal balance of the Mortgage Loans as of
the cut-off date.
Step-up Coupons: For all Offered Certificates the coupon will increase
after the optional clean-up call date, should the call
not be exercised. The applicable fixed margin will
increase by 2x on the Class A Certificates and by 1.5x
on all other Certificates after the first distribution
date on which the Optional Clean-up Call is exercisable.
Class A-1 Pass- The Class A-1 Certificates will accrue interest at a
Through 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 Loan Group I Cap and (iii) the WAC Cap.
Class A-2, A-3, A-4 The Class A-2, A-3, A-4 and A-5 Certificates will accrue
and A-5 Pass- interest at a variable rate equal to the least of (i)
Through Rate: one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is
exercisable), (ii) the Loan Group II Cap and (iii) the
WAC Cap.
Class M-1 The Class M-1 Certificates will accrue interest at a
Pass-Through 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 WAC Cap.
Class M-2 The Class M-2 Certificates will accrue interest at a
Pass-Through 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 WAC Cap.
Class M-3 The Class M-3 Certificates will accrue interest at a
Pass-Through 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 WAC Cap.
Class B-1 The Class B-1 Certificates will accrue interest at a
Pass-Through 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 WAC Cap.
Class B-2 The Class B-2 Certificates will accrue interest at a
Pass-Through 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 WAC Cap.
Class B-3 The Class B-3 Certificates will accrue interest at a
Pass-Through 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 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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Page 6
WAC Cap: As to any Distribution Date a per annum rate equal to
the product of (i) the weighted average gross rate of
the Mortgage Loans in effect on the beginning of the
related Due Period less servicing, trustee and other fee
rates, and (ii) a fraction, the numerator of which is 30
and the denominator of which is the actual number of
days in the related Interest Accrual Period.
Loan Group I Cap: As to any Distribution Date, a per annum rate equal to
the product of (i) 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, and (ii) a fraction, the numerator of which is 30
and the denominator of which is the actual number of
days in the related Interest Accrual Period.
Loan Group II Cap: As to any Distribution Date, a per annum rate equal to
the product of (i) 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, and (ii) a fraction, the numerator of which
is 30 and the denominator of which is the actual number
of days in the related Interest Accrual Period.
Class A-1 Basis Risk As to any Distribution Date, the supplemental interest
Carry Forward Amount: amount for the Class A-1 Certificates will equal the sum
of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at the Class
A-1 Pass-Through Rate (without regard to the Loan
Group I Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser of the
Loan Group I Cap or WAC Cap;
(ii) Any Class A-1 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates;
and
(iii) Interest on the amount in clause (ii) at the
related Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap).
Class A-2, A-3, A-4 As to any Distribution Date, the supplemental interest
and A-5 Basis Risk amount for each of the Class A-2, A-3, A-4 and A-5
Carry Forward Amount: Certificates will equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at the Class
A-2, A-3, A-4 and A-5 Pass-Through Rates (without
regard to the Loan Group II Cap or WAC Cap) over
interest due such Certificates at a rate equal to
the lesser of the Loan Group II Cap or WAC Cap;
(ii) Any Class A-2, A-3, A-4 and A-5 Basis Risk Carry
Forward Amount remaining unpaid from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the
related Class A-2, A-3, A-4 and A-5 Pass-Through
Rate (without regard to the Loan Group II Cap or
WAC Cap). Carry Forward Amount: Group II Cap or
WAC Cap).
Class M-1, M-2, M-3, As to any Distribution Date, the supplemental interest
B-1, B-2 and B-3 amount for each of the Class M-1, M-2, M-3, B-1, B-2 and
Basis Risk Carry B-3 Certificates will equal the sum of:
Forward Amounts: (i) The excess, if any, of interest that would
otherwise be due on such Certificates at such
Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap) over interest due
such Certificates at a rate equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for such class
remaining unpaid for such Certificate from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the
Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap).
--------------------------------------------------------------------------------
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 7
Interest On each Distribution Date and after payments of
Distributions on servicing and trustee fees and other expenses, interest
Offered Certificates: distributions from the Interest Remittance Amount will
be allocated as follows:
(i) The portion of the Interest Remittance Amount
attributable to the Group I Mortgage Loans will
be allocated according to the related Accrued
Certificate Interest and any unpaid interest
shortfall amounts for such class, as applicable,
first, to the Class A-1 Certificates and second,
pro rata to the Group II Class A Certificates;
(ii) The portion of the Interest Remittance Amount
attributable to the Group II Mortgage Loans will
be allocated according to the related Accrued
Certificate Interest and any unpaid interest
shortfall amounts for such class, as applicable,
first, pro rata to the Group II Class A
Certificates and second, to the Class A-1
Certificates;
(iii) To the Class M-1 Certificates, its Accrued
Certificate Interest;
(iv) To the Class M-2 Certificates, its Accrued
Certificate Interest;
(v) To the Class M-3 Certificates, its Accrued
Certificate Interest;
(vi) To the Class B-1 Certificates, its Accrued
Certificate Interest;
(vii) To the Class B-2 Certificates, its Accrued
Certificate Interest; and
(viii) To the Class B-3 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.
--------------------------------------------------------------------------------
Page 8
Principal On each Distribution Date (a) prior to the Stepdown Date
Distributions on or (b) on which a Trigger Event is in effect, principal
Offered Certificates: distributions from the Principal 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; and
(vii) to the Class B-3 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; and
(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.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 9
Class A Principal Except as described below, the Group II Class A
Allocation: Sequential Certificates will receive principal
sequentially; the Class A-4 Certificates will not
receive principal distributions until the Certificate
Principal Balance of the Class A-3 Certificates has been
reduced to zero, and the Class A-5 Certificates will not
receive principal distributions until the Certificate
Principal Balance of the Class A-4 Certificates has been
reduced to zero.
All principal distributions to the holders of the Class
A Certificates on any Distribution Date will be
allocated concurrently between the Class A-1
Certificates, on the one hand, and the Group II Class A
Certificates, on the other hand, based on the Class A
Principal Allocation Percentage for the Class A-1
Certificates and the Group II Class A Certificates, as
applicable.
However, if the Class Certificate Balances of the Class
A Certificates in either Class A Certificate Group are
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 Class A certificates in the other Class A
Certificate Group remaining outstanding, in accordance
with the principal distribution allocations described
herein, 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 Group II Class A Certificates will
be made first from payments relating to the Group II
Mortgage Loans.
Any principal distributions allocated to the Group II
Class A Certificates are required to be distributed pro
rata between the Class A-2 Certificates and the Group II
Class A Sequential Certificates. Principal distributions
to the Group II Class A Sequential Certificates will be
allocated first to the Class A-3 Certificates, until
their Class Certificate Balance has been reduced to
zero, then to the Class A-4 Certificates, until their
Class Certificate Balance has been reduced to zero, and
then to the Class A-5 Certificates, until their Class
Certificate Balance has been reduced to zero.
Notwithstanding the above, in the event that all
subordinate classes, including the Class X certificates,
have been reduced to zero, principal distributions to
the Group II Class A Certificates will be distributed
pro rata between the Class A-2, Class A-3, Class A-4 and
Class A-5 Certificates with the exception that if a
Class A-3 Accelerated Amortization Event is also in
effect, principal distributions to the Group II Class A
Certificates will be sequential to the Class A-3
Certificates and then pro rata between the Class A-2,
Class A-4 and Class A-5 Certificates.
Group II Class A Beginning on the first Distribution Date, and for a
Interest Rate Cap: period of 35 months thereafter, an Interest Rate Cap
will be entered into by the Trust for the benefit of the
Group II Class A Certificates.
For its duration, the Group II Class A Interest Rate Cap
pays the Trust the product of (i) the excess, if any, of
the then current 1-month LIBOR rate (not to exceed the
cap ceiling) over the cap strike (on an Actual/360 day
count basis) and (ii) the Group II Class A Interest Rate
Cap Notional Balance ("the Group II Class A Interest
Rate Cap Payment") as described on the schedule herein.
Group II Class A The Group II Class A Interest Rate Cap Payment shall be
Interest Rate Cap available to pay any Basis Risk Carry Forward Amount due
Payment Allocation: to the Class A-2, A-3, A-4 and A-5 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.
--------------------------------------------------------------------------------
Page 10
Class M Interest Beginning on the first Distribution Date, and for a
Rate Cap: period of 50 months thereafter, an Interest Rate Cap
will be entered into by 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 Interest The Class M Interest Rate Cap Payment shall be available
Rate Cap Payment to pay any Basis Risk Carry Forward Amount due to the
Allocation: Class M-1, Class M-2 and Class M-3 Certificates on a pro
rata basis.
Class B Interest Beginning on the first Distribution Date, and for a
Rate Cap: period of 50 months thereafter, an Interest Rate Cap
will be entered into by 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 Interest The Class B Interest Rate Cap Payment shall be available
Rate Cap Payment to pay any Basis Risk Carry Forward Amount due to the
Allocation: Class B-1, Class B-2 and Class B-3 Certificates on a pro
rata basis.
Allocation of Net For any Distribution Date, any Net Monthly Excess
Monthly Excess Cashflow shall be paid as follows:
Cashflow: (i) to the Class M-1 Certificates, the unpaid interest
shortfall amount;
(ii) to the Class M-1 Certificates, the allocated
unreimbursed realized loss amount;
(iii) to the Class M-2 Certificates, the unpaid interest
shortfall amount;
(iv) to the Class M-2 Certificates, the allocated
unreimbursed realized loss amount;
(v) to the Class M-3 Certificates, the unpaid interest
shortfall amount;
(vi) to the Class M-3 Certificates, the allocated
unreimbursed realized loss amount;
(vii) to the Class B-1 Certificates, the unpaid interest
shortfall amount;
(viii)to the Class B-1 Certificates, the allocated
unreimbursed realized loss amount;
(ix) to the Class B-2 Certificates, the unpaid interest
shortfall amount;
(x) to the Class B-2 Certificates, the allocated
unreimbursed realized loss amount;
(xi) to the Class B-3 Certificates, the unpaid interest
shortfall amount;
(xii) to the Class B-3 Certificates, the allocated
unreimbursed realized loss amount;
(xiii)concurrently, any Class A-1 Basis Risk Carry
Forward Amount to the Class A-1 Certificates, and
any Group II Class A Basis Risk Carry Forward
Amount to the Group II Class A Certificates; and
(xiv) sequentially, to Classes M-1, M-2, M-3, B-1, B-2
and B-3 Certificates, in such order, any Basis
Risk Carry Forward Amount for such classes; and
(xv) in the event that a Class A-3 Accelerated
Amortization Event is in effect, to the Class A-3
certificates as additional principal in the amount
equal to the Class A-3 Accelerated Amortization
Amount until their Class Certificate Balance has
been reduced to zero.
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.
--------------------------------------------------------------------------------
Page 11
Accrued Certificate For any Distribution Date and each class of Offered
Interest: Certificates, equals the amount of interest accrued
during the related interest accrual period at the
related Pass-through Rate, reduced by any prepayment
interest shortfalls and shortfalls resulting from the
application of the Servicemembers Civil Relief Act or
similar state law allocated to such class.
Principal On any Distribution Date, the sum of (i) the Basic
Distribution 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.
Net Monthly Excess For any Distribution Date is the amount of funds
Cashflow: available for distribution on such Distribution Date
remaining after making all distributions of interest and
principal on the certificates.
Extra Principal For any Distribution Date, the lesser of (i) the excess
Distribution Amount: of (x) interest collected or advanced with respect to
the Mortgage Loans with due dates in the related Due
Period (less servicing and trustee fees and expenses),
over (y) the sum of interest payable on the Certificates
on such Distribution Date and (ii) the
overcollateralization deficiency amount for such
Distribution Date.
Excess Subordinated For any Distribution Date, means the excess, if any of
Amount: (i) the overcollateralization and (ii) the required
overcollateralization for such Distribution Date.
Class A Principal For any Distribution Date, the percentage equivalent of
Allocation a fraction, determined as follows: (i) in the case of
Percentage: 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 Group II Class A 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.
Class A Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the aggregate 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 59.50% 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 over
$6,545,939.
Class A-3 Accelerated With respect to any Distribution Date beginning with the
Amortization Event: Distribution Date in [August 2011], until the Class
Certificate Balance of the Class A-3 Certificates has
been reduced to zero, a Class A-3 Accelerated
Amortization Event exists if the Class Certificate
Balance of the Class A-3 Certificates (after application
of the Principal Distribution Amount on that
Distribution Date) exceeds a target amount for such
Distribution Date, as set forth on the Class A-3 Target
Balance Schedule attached hereto.
Class A-3 With respect to any Distribution Date, the lesser of (a)
Accelerated the amount of funds remaining after making payments
Amortization Amount: pursuant to clause (xiv) of the Allocation of Net
Monthly Excess Cashflow described above and (b) the
Class Certificate Balance of the Class A-3 certificates
(after application of the related Principal Distribution
Amount on that Distribution Date).
Class M-1 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate 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 73.50% 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 over $6,545,939.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 12
Class M-2 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate 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 84.00% 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 over $6,545,939.
Class M-3 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate 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 87.50% 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 over $6,545,939.
Class B-1 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate 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 90.50% 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 over $6,545,939.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 13
Class B-2 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate 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
over (y) the lesser of (A) the product of (i)
approximately 93.00% 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 over $6,545,939.
Class B-3 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate 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 over (y) the lesser of (A) the
product of (i) approximately 96.00% 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 over $6,545,939.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 14
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus, all
Offered Certificates are ERISA eligible.
SMMEA Eligibility: It is not anticipated that any of the Offered
Certificates will be SMMEA eligible.
Prospectus: The Class A-2, Class A-3, Class A-4, Class A-5, Class
M-1, Class M-2, Class M-3, Class B-1, Class B-2 and
Class B-3 Certificates are being offered pursuant to a
prospectus supplemented by a prospectus supplement
(together, the "Prospectus"). Complete information with
respect to the Offered Certificates and the collateral
securing them is contained in the Prospectus. The
information herein is qualified in its entirety by the
information appearing in the Prospectus. To the extent
that the information herein is inconsistent with the
Prospectus, the Prospectus shall govern in all respects.
Sales of the Offered Certificates may not be consummated
unless the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A
DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN
CONNECTION WITH AN INVESTMENT IN THE OFFERED
CERTIFICATES.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 15
Weighted Average Life Sensitivity
To CALL
-------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
-------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.28 4.49 3.61 2.68 2.03 1.52 1.17
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 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 7/25/2007
Window 1 - 181 1 - 158 1 - 128 1 - 96 1 - 75 1 - 61 1 - 35
A-3 WAL (yrs) 2.03 1.70 1.38 1.04 0.83 0.69 0.58
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 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005
Window 1 - 52 1 - 43 1 - 35 1 - 26 1 - 20 1 - 17 1 - 14
A-4 WAL (yrs) 6.02 5.05 4.04 2.91 2.17 1.77 1.48
First Payment Date 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005
Expected Final Maturity 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006
Window 52 - 101 43 - 85 35 - 68 26 - 50 20 - 32 17 - 26 14 - 22
A-5 WAL (yrs) 12.61 10.81 8.72 6.50 4.85 3.32 2.33
First Payment Date 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006
Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 7/25/2007
Window 101 - 181 85 - 158 68 - 128 50 - 96 32 - 75 26 - 61 22 - 35
M-1 WAL 10.24 8.75 7.05 5.35 4.63 4.64 4.16
First Payment Date 8/25/2009 11/25/2008 1/25/2008 11/25/2007 3/25/2008 7/25/2008 7/25/2007
Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008
Window 60 - 181 51 - 158 41 - 128 39 - 96 43 - 75 47 - 61 35 - 50
M-2 WAL 10.24 8.75 7.05 5.32 4.45 4.09 3.96
First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 12/25/2007 2/25/2008 3/25/2008
Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008
Window 60 - 181 51 - 158 41 - 128 38 - 96 40 - 75 42 - 61 43 - 50
M-3 WAL 10.24 8.75 7.05 5.32 4.39 3.93 3.65
First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 11/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008
Window 60 - 181 51 - 158 41 - 128 38 - 96 39 - 75 40 - 61 41 - 50
B-1 WAL 10.24 8.75 7.05 5.30 4.37 3.87 3.55
First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 11/25/2007 11/25/2007
Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008
Window 60 - 181 51 - 158 41 - 128 37 - 96 38 - 75 39 - 61 39 - 50
B-2 WAL 10.24 8.75 7.05 5.30 4.35 3.83 3.48
First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 10/25/2007 10/25/2007
Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008
Window 60 - 181 51 - 158 41 - 128 37 - 96 38 - 75 38 - 61 38 - 50
B-3 WAL 10.21 8.71 7.02 5.28 4.31 3.78 3.41
First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 9/25/2007 10/25/2007 9/25/2007
Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008
Window 60 - 181 51 - 158 41 - 128 37 - 96 37 - 75 38 - 61 37 - 50
-------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
Weighted Average Life Sensitivity
To MATURITY
-------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
-------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.63 4.80 3.89 2.89 2.20 1.65 1.17
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 11/25/2026 8/25/2021 4/25/2018 8/25/2015 7/25/2007
Window 1 - 328 1 - 307 1 - 267 1 - 204 1 - 164 1 - 132 1 - 35
A-3 WAL (yrs) 2.03 1.70 1.38 1.04 0.83 0.69 0.58
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 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005
Window 1 - 52 1 - 43 1 - 35 1 - 26 1 - 20 1 - 17 1 - 14
A-4 WAL (yrs) 6.02 5.05 4.04 2.91 2.17 1.77 1.48
First Payment Date 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005
Expected Final Maturity 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006
Window 52 - 101 43 - 85 35 - 68 26 - 50 20 - 32 17 - 26 14 - 22
A-5 WAL (yrs) 14.15 12.21 9.96 7.45 5.61 3.92 2.33
First Payment Date 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006
Expected Final Maturity 12/25/2031 3/25/2030 11/25/2026 8/25/2021 4/25/2018 8/25/2015 7/25/2007
Window 101 - 328 85 - 307 68 - 267 50 - 204 32 - 164 26 - 132 22 - 35
M-1 WAL 11.12 9.54 7.76 5.91 5.08 5.00 5.85
First Payment Date 8/25/2009 11/25/2008 1/25/2008 11/25/2007 3/25/2008 7/25/2008 7/25/2007
Expected Final Maturity 8/25/2029 3/25/2027 9/25/2023 5/25/2019 4/25/2016 2/25/2014 1/25/2014
Window 60 - 300 51 - 271 41 - 229 39 - 177 43 - 140 47 - 114 35 - 113
M-2 WAL 11.05 9.46 7.69 5.82 4.85 4.41 4.24
First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 12/25/2007 2/25/2008 3/25/2008
Expected Final Maturity 1/25/2028 7/25/2025 1/25/2022 1/25/2018 3/25/2015 3/25/2013 9/25/2011
Window 60 - 281 51 - 251 41 - 209 38 - 161 40 - 127 42 - 103 43 - 85
M-3 WAL 10.95 9.36 7.60 5.74 4.73 4.20 3.88
First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 11/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 11/25/2025 4/25/2023 1/25/2020 6/25/2016 11/25/2013 2/25/2012 11/25/2010
Window 60 - 255 51 - 224 41 - 185 38 - 142 39 - 111 40 - 90 41 - 75
B-1 WAL 10.84 9.26 7.53 5.66 4.65 4.10 3.75
First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 11/25/2007 11/25/2007
Expected Final Maturity 9/25/2024 2/25/2022 4/25/2019 8/25/2015 4/25/2013 8/25/2011 6/25/2010
Window 60 - 241 51 - 210 41 - 176 37 - 132 38 - 104 39 - 84 39 - 70
B-2 WAL 10.68 9.11 7.40 5.56 4.55 4.00 3.63
First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 10/25/2007 10/25/2007
Expected Final Maturity 4/25/2023 10/25/2020 2/25/2018 9/25/2014 7/25/2012 1/25/2011 12/25/2009
Window 60 - 224 51 - 194 41 - 162 37 - 121 38 - 95 38 - 77 38 - 64
B-3 WAL 10.33 8.82 7.12 5.34 4.37 3.82 3.45
First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 9/25/2007 10/25/2007 9/25/2007
Expected Final Maturity 8/25/2021 5/25/2019 10/25/2016 9/25/2013 10/25/2011 5/25/2010 5/25/2009
Window 60 - 204 51 - 177 41 - 146 37 - 109 37 - 86 38 - 69 37 - 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
CPR Sensitivity
To CALL
------------------------------------------------------------------
CPR (%) 20 25 30
------------------------------------------------------------------
A-2 WAL (yrs) 3.27 2.55 2.01
First Payment Date 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 1 - 117 1 - 93 1 - 76
A-3 WAL (yrs) 1.21 0.96 0.79
First Payment Date 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 3/25/2007 8/25/2006 4/25/2006
Window 1 - 31 1 - 24 1 - 20
A-4 WAL (yrs) 3.65 2.74 2.15
First Payment Date 3/25/2007 8/25/2006 4/25/2006
Expected Final Maturity 10/25/2009 9/25/2008 4/25/2007
Window 31 - 62 24 - 49 20 - 32
A-5 WAL (yrs) 7.97 6.31 4.91
First Payment Date 10/25/2009 9/25/2008 4/25/2007
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 62 - 117 49 - 93 32 - 76
M-1 WAL 6.41 5.22 4.67
First Payment Date 9/25/2007 12/25/2007 3/25/2008
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 37 - 117 40 - 93 43 - 76
M-2 WAL 6.41 5.17 4.48
First Payment Date 9/25/2007 10/25/2007 12/25/2007
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 37 - 117 38 - 93 40 - 76
M-3 WAL 6.41 5.15 4.41
First Payment Date 9/25/2007 10/25/2007 11/25/2007
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 37 - 117 38 - 93 39 - 76
B-1 WAL 6.41 5.15 4.39
First Payment Date 9/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 37 - 117 37 - 93 38 - 76
B-2 WAL 6.41 5.13 4.37
First Payment Date 9/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 37 - 117 37 - 93 38 - 76
B-3 WAL 6.37 5.11 4.33
First Payment Date 9/25/2007 9/25/2007 9/25/2007
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 37 - 117 37 - 93 37 - 76
------------------------------------------------------------------
--------------------------------------------------------------------------------
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
CPR Sensitivity
To MATURITY
------------------------------------------------------------------
CPR (%) 20 25 30
------------------------------------------------------------------
A-2 WAL (yrs) 3.54 2.78 2.20
First Payment Date 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 6/25/2025 8/25/2021 10/25/2018
Window 1 - 250 1 - 204 1 - 170
A-3 WAL (yrs) 1.21 0.96 0.79
First Payment Date 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 3/25/2007 8/25/2006 4/25/2006
Window 1 - 31 1 - 24 1 - 20
A-4 WAL (yrs) 3.65 2.74 2.15
First Payment Date 3/25/2007 8/25/2006 4/25/2006
Expected Final Maturity 10/25/2009 9/25/2008 4/25/2007
Window 31 - 62 24 - 49 20 - 32
A-5 WAL (yrs) 9.19 7.30 5.73
First Payment Date 10/25/2009 9/25/2008 4/25/2007
Expected Final Maturity 6/25/2025 8/25/2021 10/25/2018
Window 62 - 250 49 - 204 32 - 170
M-1 WAL 7.07 5.76 5.12
First Payment Date 9/25/2007 12/25/2007 3/25/2008
Expected Final Maturity 4/25/2022 1/25/2019 6/25/2016
Window 37 - 212 40 - 173 43 - 142
M-2 WAL 7.00 5.65 4.88
First Payment Date 9/25/2007 10/25/2007 12/25/2007
Expected Final Maturity 10/25/2020 9/25/2017 5/25/2015
Window 37 - 194 38 - 157 40 - 129
M-3 WAL 6.93 5.56 4.75
First Payment Date 9/25/2007 10/25/2007 11/25/2007
Expected Final Maturity 1/25/2019 2/25/2016 1/25/2014
Window 37 - 173 38 - 138 39 - 113
B-1 WAL 6.85 5.49 4.68
First Payment Date 9/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 1/25/2018 4/25/2015 5/25/2013
Window 37 - 161 37 - 128 38 - 105
B-2 WAL 6.72 5.38 4.58
First Payment Date 9/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 12/25/2016 6/25/2014 8/25/2012
Window 37 - 148 37 - 118 38 - 96
B-3 WAL 6.46 5.17 4.39
First Payment Date 9/25/2007 9/25/2007 9/25/2007
Expected Final Maturity 10/25/2015 6/25/2013 10/25/2011
Window 37 - 134 37 - 106 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 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
0 -- -- -- -- -- -- -- -- --
1 8.37 8.37 8.37 8.37 8.25 8.25 8.25 8.25 8.25
2 9.59 9.59 9.59 9.59 9.44 9.44 9.44 9.44 9.44
3 9.39 9.39 9.39 9.39 9.24 9.24 9.24 9.24 9.24
4 9.61 9.61 9.61 9.61 9.45 9.45 9.45 9.45 9.45
5 9.41 9.41 9.41 9.41 9.25 9.25 9.25 9.25 9.25
6 9.42 9.42 9.42 9.42 9.25 9.25 9.25 9.25 9.25
7 10.09 10.09 10.09 10.09 9.90 9.90 9.90 9.90 9.90
8 9.43 9.43 9.43 9.43 9.26 9.26 9.26 9.26 9.26
9 9.65 9.65 9.65 9.65 9.46 9.46 9.46 9.46 9.46
10 9.45 9.45 9.45 9.45 9.26 9.26 9.26 9.26 9.26
11 9.67 9.67 9.67 9.67 9.47 9.47 9.47 9.47 9.47
12 9.47 9.47 9.47 9.47 9.26 9.26 9.26 9.26 9.26
13 9.48 9.48 9.48 9.48 9.27 9.27 9.27 9.27 9.27
14 9.69 9.69 9.69 9.69 9.47 9.47 9.47 9.47 9.47
15 9.49 9.49 9.49 9.49 9.27 9.27 9.27 9.27 9.27
16 9.71 9.71 9.71 9.71 9.47 9.47 9.47 9.47 9.47
17 9.51 9.51 9.51 9.51 9.27 9.27 9.27 9.27 9.27
18 9.52 9.52 9.52 9.52 9.27 9.27 9.27 9.27 9.27
19 10.21 10.21 10.21 10.21 9.92 9.92 9.92 9.92 9.92
20 9.54 9.54 9.54 9.54 9.27 9.27 9.27 9.27 9.27
21 9.77 9.77 9.77 9.77 9.48 9.48 9.48 9.48 9.48
22 10.10 10.10 10.10 10.10 9.75 9.75 9.75 9.75 9.75
23 10.37 10.37 10.37 10.37 9.99 9.99 9.99 9.99 9.99
24 10.13 10.13 10.13 10.13 9.75 9.75 9.75 9.75 9.75
25 10.15 10.15 10.15 10.15 9.75 9.75 9.75 9.75 9.75
26 10.42 10.42 10.42 10.42 9.99 9.99 9.99 9.99 9.99
27 10.18 -- 10.18 10.18 9.76 9.76 9.76 9.76 9.76
28 10.74 -- 10.74 10.74 10.26 10.26 10.26 10.26 10.26
29 10.48 -- 10.48 10.48 10.00 10.00 10.00 10.00 10.00
30 10.50 -- 10.50 10.50 10.00 10.00 10.00 10.00 10.00
31 11.43 -- 11.43 11.43 10.84 10.84 10.84 10.84 10.84
32 10.55 -- 10.55 10.55 10.00 10.00 10.00 10.00 10.00
33 10.88 -- 10.88 10.88 10.27 10.27 10.27 10.27 10.27
34 10.86 -- 10.86 10.86 10.43 10.43 10.43 10.23 10.23
35 11.20 -- 11.20 11.20 10.71 10.71 10.71 10.51 10.51
36 10.92 -- 10.92 10.92 10.43 10.43 10.43 10.23 10.23
37 26.13 -- 26.13 26.13 10.43 10.43 10.43 10.23 10.23
38 11.66 -- 11.66 11.66 10.71 10.71 10.71 10.51 10.51
39 11.23 -- 11.23 11.23 10.43 10.43 10.43 10.23 10.23
40 12.25 -- 12.25 12.25 10.75 10.75 10.75 10.75 10.75
41 11.79 -- 11.79 11.79 10.44 10.44 10.44 10.44 10.44
42 11.73 -- 11.73 11.73 10.44 10.44 10.44 10.44 10.44
43 12.54 -- 12.54 12.54 11.08 11.08 11.08 11.08 11.08
44 11.73 -- 11.73 11.73 10.44 10.44 10.44 10.44 10.44
45 12.13 -- 12.13 12.13 10.76 10.76 10.76 10.76 10.76
46 12.35 -- 12.35 12.35 10.45 10.45 10.45 10.45 10.45
[TABLE CONTINUED]
Period B-3 Cap (%)
------ -------------
Actual/360
0 --
1 8.25
2 9.44
3 9.24
4 9.45
5 9.25
6 9.25
7 9.90
8 9.26
9 9.46
10 9.26
11 9.47
12 9.26
13 9.27
14 9.47
15 9.27
16 9.47
17 9.27
18 9.27
19 9.92
20 9.27
21 9.48
22 9.75
23 9.99
24 9.75
25 9.75
26 9.99
27 9.76
28 10.26
29 10.00
30 10.00
31 10.84
32 10.00
33 10.27
34 10.23
35 10.51
36 10.23
37 10.23
38 10.51
39 10.23
40 10.75
41 10.44
42 10.44
43 11.08
44 10.44
45 10.76
46 10.45
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
47 12.76 -- 12.76 12.76 10.78 10.78 10.78 10.78 10.78
48 12.35 -- 12.35 12.35 10.45 10.45 10.45 10.45 10.45
49 12.35 -- 12.35 12.35 10.45 10.45 10.45 10.45 10.45
50 12.76 -- 12.76 12.76 10.78 10.78 10.78 10.78 10.78
51 12.36 -- 12.36 12.36 10.45 10.45 10.45 10.45 10.45
52 13.29 -- -- 13.29 10.75 10.75 10.75 10.75 10.75
53 12.86 -- -- 12.86 10.41 10.41 10.41 10.41 10.41
54 12.86 -- -- 12.86 10.41 10.41 10.41 10.41 10.41
55 14.24 -- -- 14.24 11.52 11.52 11.52 11.52 11.52
56 12.86 -- -- 12.86 10.40 10.40 10.40 10.40 10.40
57 13.30 -- -- 13.30 10.76 10.76 10.76 10.76 10.76
58 13.18 -- -- 13.18 10.60 10.60 10.60 10.60 10.60
59 13.62 -- -- 13.62 10.95 10.95 10.95 10.95 10.95
60 13.18 -- -- 13.18 10.59 10.59 10.59 10.59 10.59
61 13.18 -- -- 13.18 10.59 10.59 10.59 10.59 10.59
62 13.62 -- -- 13.62 10.95 10.95 10.95 10.95 10.95
63 13.18 -- -- 13.18 10.59 10.59 10.59 10.59 10.59
64 13.69 -- -- 13.69 10.99 10.99 10.99 10.99 10.99
65 13.25 -- -- 13.25 10.64 10.64 10.64 10.64 10.64
66 13.25 -- -- 13.25 10.63 10.63 10.63 10.63 10.63
67 14.67 -- -- 14.67 11.77 11.77 11.77 11.77 11.77
68 13.25 -- -- 13.25 10.63 10.63 10.63 10.63 10.63
69 13.69 -- -- 13.69 10.99 10.99 10.99 10.99 10.99
70 13.31 -- -- 13.31 10.67 10.67 10.67 10.67 10.67
71 13.75 -- -- 13.75 11.02 11.02 11.02 11.02 11.02
72 13.30 -- -- 13.30 10.66 10.66 10.66 10.66 10.66
73 13.30 -- -- 13.30 10.66 10.66 10.66 10.66 10.66
74 13.75 -- -- 13.75 11.02 11.02 11.02 11.02 11.02
75 13.30 -- -- 13.30 10.66 10.66 10.66 10.66 10.66
76 13.79 -- -- 13.79 11.04 11.04 11.04 11.04 11.04
77 13.34 -- -- 13.34 10.68 10.68 10.68 10.68 10.68
78 13.34 -- -- 13.34 10.68 10.68 10.68 10.68 10.68
79 14.77 -- -- 14.77 11.83 11.83 11.83 11.83 11.83
80 13.34 -- -- 13.34 10.68 10.68 10.68 10.68 10.68
81 13.79 -- -- 13.79 11.04 11.04 11.04 11.04 11.04
82 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69
83 13.80 -- -- 13.80 11.05 11.05 11.05 11.05 11.05
84 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69
85 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69
86 13.80 -- -- 13.80 11.04 11.04 11.04 11.04 11.04
87 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69
88 12.02 -- -- 12.02 11.04 11.04 11.04 11.04 11.04
89 11.50 -- -- 11.50 10.68 10.68 10.68 10.68 10.68
90 11.52 -- -- 11.52 10.68 10.68 10.68 10.68 10.68
91 12.33 -- -- 12.33 11.42 11.42 11.42 11.42 11.42
92 11.55 -- -- 11.55 10.68 10.68 10.68 10.68 10.68
93 11.96 -- -- 11.96 11.04 11.04 11.04 11.04 11.04
[TABLE CONTINUED]
Period B-3 Cap (%)
------ -----------
Actual/360
47 10.78
48 10.45
49 10.45
50 10.78
51 10.45
52 10.75
53 10.41
54 10.41
55 11.52
56 10.40
57 10.76
58 10.60
59 10.95
60 10.59
61 10.59
62 10.95
63 10.59
64 10.99
65 10.64
66 10.63
67 11.77
68 10.63
69 10.99
70 10.67
71 11.02
72 10.66
73 10.66
74 11.02
75 10.66
76 11.04
77 10.68
78 10.68
79 11.83
80 10.68
81 11.04
82 10.69
83 11.05
84 10.69
85 10.69
86 11.04
87 10.69
88 11.04
89 10.68
90 10.68
91 11.42
92 10.68
93 11.04
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
94 11.59 -- -- 11.59 10.68 10.68 10.68 10.68 10.68
95 12.00 -- -- 12.00 11.04 11.04 11.04 11.04 11.04
96 11.63 -- -- 11.63 10.68 10.68 10.68 10.68 10.68
97 11.65 -- -- 11.65 10.68 10.68 10.68 10.68 10.68
98 12.06 -- -- 12.06 11.03 11.03 11.03 11.03 11.03
99 11.69 -- -- 11.69 10.68 10.68 10.68 10.68 10.68
100 12.11 -- -- 12.11 11.03 11.03 11.03 11.03 11.03
101 11.74 -- -- 11.74 10.67 10.67 10.67 10.67 10.67
102 11.76 -- -- 11.76 10.67 10.67 10.67 10.67 10.67
103 13.05 -- -- 13.05 11.82 11.82 11.82 11.82 11.82
104 11.81 -- -- 11.81 10.67 10.67 10.67 10.67 10.67
105 12.23 -- -- 12.23 11.03 11.03 11.03 11.03 11.03
106 11.86 -- -- 11.86 10.67 10.67 10.67 10.67 10.67
107 12.28 -- -- 12.28 11.03 11.03 11.03 11.03 11.03
108 11.92 -- -- 11.92 10.67 10.67 10.67 10.67 10.67
109 11.94 -- -- 11.94 10.67 10.67 10.67 10.67 10.67
110 12.37 -- -- 12.37 11.02 11.02 11.02 11.02 11.02
111 12.00 -- -- 12.00 10.67 10.67 10.67 10.67 10.67
112 12.43 -- -- 12.43 11.02 11.02 11.02 11.02 11.02
113 12.06 -- -- 12.06 10.67 10.67 10.67 10.67 10.67
114 12.10 -- -- 12.10 10.67 10.67 10.67 10.67 10.67
115 13.43 -- -- 13.43 11.81 11.81 11.81 11.81 11.81
116 12.16 -- -- 12.16 10.66 10.66 10.66 10.66 10.66
117 12.60 -- -- 12.60 11.02 11.02 11.02 11.02 11.02
118 12.23 -- -- 12.23 10.66 10.66 10.66 10.66 10.66
119 12.68 -- -- 12.68 11.02 11.02 11.02 11.02 11.02
120 12.31 -- -- 12.31 10.66 10.66 10.66 10.66 10.66
121 12.34 -- -- 12.34 10.66 10.66 10.66 10.66 10.66
122 12.80 -- -- 12.80 11.02 11.02 11.02 11.02 11.02
123 12.42 -- -- 12.42 10.66 10.66 10.66 10.66 10.66
124 12.88 -- -- 12.88 11.01 11.01 11.01 11.01 --
125 12.51 -- -- 12.51 10.66 10.66 10.66 10.66 --
126 12.55 -- -- 12.55 10.66 10.66 10.66 10.66 --
127 13.94 -- -- 13.94 11.80 11.80 11.80 11.80 --
128 12.64 -- -- 12.64 10.66 10.66 10.66 10.66 --
129 13.11 -- -- 13.11 11.01 11.01 11.01 11.01 --
130 12.74 -- -- 12.74 10.66 10.66 10.66 10.66 --
131 13.21 -- -- 13.21 11.01 11.01 11.01 11.01 --
132 12.84 -- -- 12.84 10.65 10.65 10.65 10.65 --
133 12.89 -- -- 12.89 10.65 10.65 10.65 10.65 --
134 13.37 -- -- 13.37 11.01 11.01 11.01 11.01 --
135 13.00 -- -- 13.00 10.65 10.65 10.65 -- --
136 13.49 -- -- 13.49 11.01 11.01 11.01 -- --
137 13.11 -- -- 13.11 10.65 10.65 10.65 -- --
138 13.17 -- -- 13.17 10.65 10.65 10.65 -- --
139 14.14 -- -- 14.14 11.39 11.39 11.39 -- --
140 13.29 -- -- 13.29 10.65 10.65 10.65 -- --
[TABLE CONTINUED]
Period B-3 Cap (%)
------ -----------
Actual/360
94 10.68
95 11.04
96 10.68
97 10.68
98 11.03
99 10.68
100 11.03
101 10.67
102 10.67
103 11.82
104 10.67
105 11.03
106 10.67
107 11.03
108 10.67
109 10.67
110 11.02
111 10.67
112 --
113 --
114 --
115 --
116 --
117 --
118 --
119 --
120 --
121 --
122 --
123 --
124 --
125 --
126 --
127 --
128 --
129 --
130 --
131 --
132 --
133 --
134 --
135 --
136 --
137 --
138 --
139 --
140 --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
--------------------------------------------------------------------------------
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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
**
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
141 13.80 -- -- 13.80 11.01 11.01 11.01 -- --
142 13.42 -- -- 13.42 10.65 10.65 10.65 -- --
143 13.94 -- -- 13.94 11.00 11.00 11.00 -- --
144 13.56 -- -- 13.56 10.65 10.65 10.65 -- --
145 13.63 -- -- 13.63 10.65 10.65 -- -- --
146 14.16 -- -- 14.16 11.00 11.00 -- -- --
147 13.78 -- -- 13.78 10.65 10.65 -- -- --
148 14.32 -- -- 14.32 11.00 11.00 -- -- --
149 13.93 -- -- 13.93 10.65 10.65 -- -- --
150 14.02 -- -- 14.02 10.65 10.65 -- -- --
151 15.61 -- -- 15.61 11.79 11.79 -- -- --
152 14.18 -- -- 14.18 10.65 10.65 -- -- --
153 14.75 -- -- 14.75 11.00 11.00 -- -- --
154 14.36 -- -- 14.36 10.65 10.65 -- -- --
155 14.94 -- -- 14.94 11.00 11.00 -- -- --
156 14.55 -- -- 14.55 10.65 10.65 -- -- --
157 14.65 -- -- 14.65 10.65 10.65 -- -- --
158 15.24 -- -- 15.24 11.00 11.00 -- -- --
159 14.85 -- -- 14.85 10.64 10.64 -- -- --
160 15.45 -- -- 15.45 11.00 11.00 -- -- --
161 15.06 -- -- 15.06 10.64 10.64 -- -- --
162 15.17 -- -- 15.17 10.64 10.64 -- -- --
163 16.92 -- -- 16.92 11.78 11.78 -- -- --
164 15.40 -- -- 15.40 10.64 10.64 -- -- --
165 16.04 -- -- 16.04 11.00 -- -- -- --
166 15.64 -- -- 15.64 10.64 -- -- -- --
167 16.30 -- -- 16.30 11.00 -- -- -- --
168 15.90 -- -- 15.90 10.64 -- -- -- --
169 16.03 -- -- 16.03 10.64 -- -- -- --
170 16.71 -- -- 16.71 11.00 -- -- -- --
171 16.31 -- -- 16.31 10.64 -- -- -- --
172 17.00 -- -- 17.00 11.00 -- -- -- --
173 16.60 -- -- 16.60 10.64 -- -- -- --
174 16.76 -- -- 16.76 10.64 -- -- -- --
175 18.72 -- -- 18.72 11.78 -- -- -- --
176 17.07 -- -- 17.07 10.64 -- -- -- --
177 17.98 -- -- 17.98 11.02 -- -- -- --
178 18.05 -- -- 18.05 10.72 -- -- -- --
179 18.93 -- -- 18.93 -- -- -- -- --
180 18.66 -- -- 18.66 -- -- -- -- --
181 19.02 -- -- 19.02 -- -- -- -- --
182 20.05 -- -- 20.05 -- -- -- -- --
183 19.81 -- -- 19.81 -- -- -- -- --
184 20.93 -- -- 20.93 -- -- -- -- --
185 20.73 -- -- 20.73 -- -- -- -- --
186 21.24 -- -- 21.24 -- -- -- -- --
187 23.29 -- -- 23.29 -- -- -- -- --
[TABLE CONTINUED]
Period B-3 Cap (%)
------ -----------
Actual/360
141 --
142 --
143 --
144 --
145 --
146 --
147 --
148 --
149 --
150 --
151 --
152 --
153 --
154 --
155 --
156 --
157 --
158 --
159 --
160 --
161 --
162 --
163 --
164 --
165 --
166 --
167 --
168 --
169 --
170 --
171 --
172 --
173 --
174 --
175 --
176 --
177 --
178 --
179 --
180 --
181 --
182 --
183 --
184 --
185 --
186 --
187 --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
188 22.38 -- -- 22.38 -- -- -- -- --
189 23.80 -- -- 23.80 -- -- -- -- --
190 23.74 -- -- 23.74 -- -- -- -- --
191 25.33 -- -- 25.33 -- -- -- -- --
192 25.36 -- -- 25.36 -- -- -- -- --
193 26.30 -- -- 26.30 -- -- -- -- --
194 28.25 -- -- 28.25 -- -- -- -- --
195 28.49 -- -- 28.49 -- -- -- -- --
196 30.78 -- -- 30.78 -- -- -- -- --
197 31.25 -- -- 31.25 -- -- -- -- --
198 32.91 -- -- 32.91 -- -- -- -- --
199 38.54 -- -- 38.54 -- -- -- -- --
200 37.00 -- -- 37.00 -- -- -- -- --
201 40.89 -- -- 40.89 -- -- -- -- --
202 42.61 -- -- 42.61 -- -- -- -- --
203 47.81 -- -- 47.81 -- -- -- -- --
204 50.74 -- -- 50.74 -- -- -- -- --
205 56.35 -- -- 56.35 -- -- -- -- --
206 65.70 -- -- 65.70 -- -- -- -- --
207 73.25 -- -- 73.25 -- -- -- -- --
208 89.72 -- -- 89.72 -- -- -- -- --
209 107.30 -- -- 107.30 -- -- -- -- --
210 - -- -- - -- -- -- -- --
[TABLE CONTINUED]
Period B-3 Cap (%)
------ -----------
Actual/360
188 --
189 --
190 --
191 --
192 --
193 --
194 --
195 --
196 --
197 --
198 --
199 --
200 --
201 --
202 --
203 --
204 --
205 --
206 --
207 --
208 --
209 --
210 --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
--------------------------------------------------------------------------------
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
Interest Rate Cap Schedules
Group II Class A Cap Class M Cap Class B Cap
------------------------- ------------------------- -------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 478,203,000.00 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
2 465,818,501.84 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
3 453,558,017.77 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
4 441,415,577.28 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
5 429,386,100.70 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
6 417,465,041.91 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
7 405,648,752.72 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
8 393,934,391.43 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
9 382,319,896.29 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
10 370,803,973.14 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
11 359,386,179.94 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
12 348,069,626.54 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
13 336,855,893.05 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
14 325,874,297.31 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
15 315,154,032.74 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
16 304,688,908.71 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
17 294,472,899.45 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
18 284,500,092.88 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
19 274,764,723.33 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
20 265,261,158.41 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
21 255,983,904.90 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
22 246,928,012.58 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25
23 238,128,331.15 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25
24 229,537,389.15 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25
25 221,150,238.30 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25
26 212,962,066.36 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25
27 204,968,174.35 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25
28 197,163,974.00 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50
29 189,544,999.09 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50
30 182,106,862.09 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50
31 174,845,289.34 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50
32 167,756,109.75 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50
33 160,835,250.46 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50
34 154,079,335.66 8.95 10.55 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75
35 147,485,118.41 8.95 10.55 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75
36 141,047,484.09 8.95 10.55 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75
37 -- -- -- 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75
38 -- -- -- 183,286,000.00 7.70 9.50 46,514,073.88 6.15 7.75
39 -- -- -- 171,830,767.37 7.70 9.50 45,382,748.93 6.15 7.75
40 -- -- -- 160,631,068.12 8.35 9.50 44,294,767.04 6.80 7.95
41 -- -- -- 149,697,351.25 8.35 9.50 43,232,623.72 6.80 7.95
42 -- -- -- 139,023,337.24 8.35 9.50 42,195,708.92 6.80 7.95
43 -- -- -- 135,661,573.30 8.35 9.50 41,183,426.99 6.80 7.95
44 -- -- -- 132,406,260.56 8.35 9.50 40,195,196.27 6.80 7.95
45 -- -- -- 129,228,303.50 8.35 9.50 39,230,448.79 6.80 7.95
46 -- -- -- 126,125,875.19 8.95 9.50 38,288,629.92 7.40 7.95
47 -- -- -- 123,097,191.68 8.95 9.50 37,369,198.10 7.40 7.95
48 -- -- -- 120,140,510.98 8.95 9.50 36,471,624.51 7.40 7.95
49 -- -- -- 117,254,132.08 8.95 9.50 35,595,392.79 7.40 7.95
50 -- -- -- 114,436,394.06 8.95 9.50 34,739,998.70 7.40 7.95
51 -- -- -- 111,685,674.98 8.95 9.50 33,904,949.87 7.40 7.95
52 -- -- -- -- -- -- -- -- --
--------------------------------------------------------------------------------
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
-------------------------------------------------
Class A-3 Target Balance Schedule
-------------------------------------------------
Distribution Date Month Target Balance ($)
----------------------- -----------------
August 2011 $15,960,164.63
September 2011 $14,577,517.26
October 2011 $13,201,843.34
November 2011 $11,833,105.47
December 2011 $10,471,266.42
January 2012 $9,116,289.19
February 2012 $7,768,136.95
March 2012 $6,426,773.07
April 2012 $5,092,161.11
May 2012 $3,764,264.83
June 2012 $2,443,048.18
July 2012 $1,128,475.28
August 2012 and thereafter --
-------------------------------------------------
--------------------------------------------------------------------------------
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
Securitized Products Group [GRAPHIC OMITTED] July 22, 2004
--------------------------------------------------------------------------------
Computational Materials
$717,130,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-WMC2
Mortgage Pass-Through 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.
--------------------------------------------------------------------------------
Page 1
--------------------------------------------------------------------------------
Xxxxxx Xxxxxxx
Securitized Products Group [GRAPHIC OMITTED] July 22, 2004
--------------------------------------------------------------------------------
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).
--------------------------------------------------------------------------------
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 2
--------------------------------------------------------------------------------
Xxxxxx Xxxxxxx
Securitized Products Group [GRAPHIC OMITTED] July 22, 2004
--------------------------------------------------------------------------------
Approximately $717,130,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-WMC2
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
HomEq Servicing Corp
Servicer
Transaction Highlights
----------------------------------------------------------------------------------------------------------------------------
Expected Modified
Ratings Avg Life to Duration Initial
Offered (S&P/Fitch/ Call / To Call Mty Payment Window To Subordination
Classes Description Balance(4) Xxxxx'x) Mty (1)(2) (1)(2)(3) Call / Mty (1)(2) Level
----------------------------------------------------------------------------------------------------------------------------
A-1 Not Offered 565,874,000 AAA/AAA/Aaa 2.69 / 2.92 ***Not Offered*** 20.25%
A-2 Floater 200,000,000 AAA/AAA/Aaa 2.68 / 2.89 2.58 / 2.77 09/04 - 08/12 / 09/04 - 08/21 20.25%
A-3 Floater 155,750,000 AAA/AAA/Aaa 1.04 / 1.04 1.03 / 1.03 09/04 - 10/06 / 09/04 - 10/06 20.25%
A-4 Floater 59,253,000 AAA/AAA/Aaa 2.91 / 2.91 2.85 / 2.85 10/06 - 10/08 / 10/06 - 10/08 20.25%
A-5 Floater 63,200,000 AAA/AAA/Aaa 6.50 / 7.45 6.12 / 6.91 10/08 - 08/12 / 10/08 - 08/21 20.25%
M-1 Floater 91,643,000 AA/AA/Aa2 5.35 / 5.91 5.06 / 5.52 11/07 - 08/12 / 11/07 - 05/19 13.25%
M-2 Floater 68,732,000 A/A/A2 5.32 / 5.82 4.93 / 5.32 10/07 - 08/12 / 10/07 - 01/18 8.00%
M-3 Floater 22,911,000 A-/A-/A3 5.32 / 5.74 4.89 / 5.22 10/07 - 08/12 / 10/07 - 06/16 6.25%
B-1 Floater 19,638,000 BBB+/BBB+/Baa1 5.30 / 5.66 4.80 / 5.07 09/07 - 08/12 / 09/07 - 08/15 4.75%
B-2 Floater 16,365,000 BBB/BBB/Baa2 5.30 / 5.56 4.79 / 4.98 09/07 - 08/12 / 09/07 - 09/14 3.50%
B-3 Floater 19,638,000 BBB-/BBB-/Baa3 5.28 / 5.34 4.54 / 4.58 09/07 - 08/12 / 09/07 - 09/13 2.00%
----------------------------------------------------------------------------------------------------------------------------
[TABLE CONTINUED]
---------------------
Offered
Classes Benchmark
---------------------
A-1 1 Mo. LIBOR
A-2 1 Mo. LIBOR
A-3 1 Mo. LIBOR
A-4 1 Mo. LIBOR
A-5 1 Mo. LIBOR
M-1 1 Mo. LIBOR
M-2 1 Mo. LIBOR
M-3 1 Mo. LIBOR
B-1 1 Mo. LIBOR
B-2 1 Mo. LIBOR
B-3 1 Mo. LIBOR
---------------------
Notes: (1) Certificates are priced to the 10% optional clean-up call.
----- (2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2004-WMC2.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originator: WMC Mortgage Corp.
Servicer: HomEq Servicing Corp.
Trustee: Deutsche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), Xxxxxxxx & Partners, L.P.
and Xxxxxxxx Capital Partners, L.P.
Rating Agencies: Standard & Poor's, Fitch Ratings and Xxxxx'x Investors
Service.
--------------------------------------------------------------------------------
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 3
Offered Certificates: The Class A-2, A-3, A-4, A-5, M-1, M-2, M-3, B-1, B-2
and B-3 Certificates.
Class A Certificates: The Class A-1, A-2, A-3, A-4 and A-5 Certificates.
Group II Class A The Class A-2, Class A-3, Class A-4 and Class A-5
Certificates: Certificates.
Group II Class A The Class A-3, Class A-4 and Class A-5 Certificates.
Sequential
Certificates:
Class A Certificate The Class A-1 Certificates and Group II Class A
Group: Certificates, as applicable.
Expected Closing August 19, 2004 through DTC and Euroclear or
Date: Clearstream. The Certificates will be sold without
accrued interest.
Cut-off Date: August 1, 2004
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.
Final Scheduled For the Class A-3 Certificates, the Distribution Date
Distribution Date: occurring in [August 2013], and for all other Offered
Certificates, the Distribution Date occurring in July
2034.
Minimum Denomination: The Offered Certificates will be issued and available in
denominations of $25,000 initial principal balance and
integral multiples of $1 in excess of $25,000.
Due Period: For any Distribution Date, the calendar month preceding
the month in which that Distribution Date occurs.
Interest Accrual The interest accrual period for the Offered Certificates
Period: with respect to any Distribution Date will be the period
beginning with the previous 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 two groups of adjustable and
fixed rate sub-prime residential, first-lien and second-
lien mortgage loans.
Group I Mortgage Approximately $709.6 million of Mortgage Loans with
Loans: original principal balances that conform to the original
principal balance limits for one- to four-family
residential mortgage loan guidelines for purchase by
Freddie Mac.
Group II Mortgage Approximately $599.6 million of Mortgage Loans that
Loans: predominantly have original principal balances that may
or may not conform to the original principal balance
limits for one- to four-family residential mortgage loan
guidelines for purchase by Freddie Mac.
Pricing Prepayment o Fixed Rate Mortgage Loans: CPR starting at
Speed: approximately 1.5333% CPR in month 1 and
increasing to 23% CPR in month 15 (23%/15 increase
for each month), and remaining at 23% CPR
thereafter
o ARM Mortgage Loans: 25% CPR
--------------------------------------------------------------------------------
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 4
Credit Enhancement: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage
Loans,
2) 2.00% overcollateralization (funded upfront). On
and after the Step-down Date, so long as a Trigger
Event is not in effect, the required
overcollateralization will equal 4.00% 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 aggregate
principal balance of the Mortgage Loans as of the
cut-off date, provided, however, that if, on any
distribution date, a Trigger Event exists, the
required overcollateralization will not be reduced
to the applicable percentage of the then Stated
Principal Balance of the mortgage loans but
instead remain the same as the prior period's
required overcollateralization until the
distribution date on which a Trigger Event no
longer exists; and
3) Subordination of distributions on the more
subordinate classes of certificates (if
applicable) to the required distributions on the
more senior classes of certificates.
Senior Enhancement For any Distribution Date, the percentage obtained by
Percentage: dividing (x) the aggregate Certificate Principal Balance
of the subordinate certificates (together with 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 payments of
principal on the Mortgage Loans on the last day of
the related Due Period but prior to principal
distributions to the certificates on the
applicable Distribution Date) is greater than or
equal to approximately 40.50%.
Trigger Event: Either a Delinquency Trigger Event or a Cumulative Loss
Trigger Event.
Delinquency Trigger A Delinquency Trigger Event is in effect on any
Event: Distribution Date if on that Distribution Date the 60
Day+ Rolling Average equals or exceeds 40% of the prior
period's Senior Enhancement Percentage. The 60 Day+
Rolling Average will equal the rolling 3 month average
percentage of Mortgage Loans that are 60 or more days
delinquent.
Cumulative Loss A Cumulative Loss Trigger Event is in effect on any
Trigger Event: Distribution Date 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
aggregate Stated Principal Balance of the mortgage loans
as of the cut-off date exceeds the applicable
percentages described below with respect to such
distribution date:
Months 37- 48 [3.25] for the first month, plus an
additional 1/12th of [1.75] for each
month thereafter (e.g., [4.125] in
Month 43)
Months 49- 60 [5.00] for the first month, plus an
additional 1/12th of [1.25] for each
month thereafter (e.g., [5.625] in
Month 55)
Months 61- 72 [6.25] for the first month, plus an
additional 1/12th of [0.50] for each
month thereafter (e.g., [6.500] in
Month 67)
Months 72- [6.75]
thereafter
--------------------------------------------------------------------------------
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 5
Initial Class A: 20.25%
Subordination Class M-1: 13.25%
Percentage: Class M-2: 8.00%
Class M-3: 6.25%
Class B-1: 4.75%
Class B-2: 3.50%
Class B-3: 2.00%
Optional Clean-up When the current aggregate principal balance of the
Call: Mortgage Loans is less than or equal to 10% of the
aggregate principal balance of the Mortgage Loans as of
the cut-off date.
Step-up Coupons: For all Offered Certificates the coupon will increase
after the optional clean-up call date, should the call
not be exercised. The applicable fixed margin will
increase by 2x on the Class A Certificates and by 1.5x
on all other Certificates after the first distribution
date on which the Optional Clean-up Call is exercisable.
Class A-1 Pass- The Class A-1 Certificates will accrue interest at a
Through 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 Loan Group I Cap and (iii) the WAC Cap.
Class A-2, A-3, A-4 The Class A-2, A-3, A-4 and A-5 Certificates will accrue
and A-5 Pass- interest at a variable rate equal to the least of (i)
Through Rate: one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is
exercisable), (ii) the Loan Group II Cap and (iii) the
WAC Cap.
Class M-1 The Class M-1 Certificates will accrue interest at a
Pass-Through 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 WAC Cap.
Class M-2 The Class M-2 Certificates will accrue interest at a
Pass-Through 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 WAC Cap.
Class M-3 The Class M-3 Certificates will accrue interest at a
Pass-Through 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 WAC Cap.
Class B-1 The Class B-1 Certificates will accrue interest at a
Pass-Through 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 WAC Cap.
Class B-2 The Class B-2 Certificates will accrue interest at a
Pass-Through 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 WAC Cap.
Class B-3 The Class B-3 Certificates will accrue interest at a
Pass-Through 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 WAC Cap.
--------------------------------------------------------------------------------
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 6
WAC Cap: As to any Distribution Date a per annum rate equal to
the product of (i) the weighted average gross rate of
the Mortgage Loans in effect on the beginning of the
related Due Period less servicing, trustee and other fee
rates, and (ii) a fraction, the numerator of which is 30
and the denominator of which is the actual number of
days in the related Interest Accrual Period.
Loan Group I Cap: As to any Distribution Date, a per annum rate equal to
the product of (i) 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, and (ii) a fraction, the numerator of which is 30
and the denominator of which is the actual number of
days in the related Interest Accrual Period.
Loan Group II Cap: As to any Distribution Date, a per annum rate equal to
the product of (i) 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, and (ii) a fraction, the numerator of which
is 30 and the denominator of which is the actual number
of days in the related Interest Accrual Period.
Class A-1 Basis Risk As to any Distribution Date, the supplemental interest
Carry Forward Amount: amount for the Class A-1 Certificates will equal the sum
of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at the Class
A-1 Pass-Through Rate (without regard to the Loan
Group I Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser of the
Loan Group I Cap or WAC Cap;
(ii) Any Class A-1 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates;
and
(iii) Interest on the amount in clause (ii) at the
related Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap).
Class A-2, A-3, A-4 As to any Distribution Date, the supplemental interest
and A-5 Basis Risk amount for each of the Class A-2, A-3, A-4 and A-5
Carry Forward Amount: Certificates will equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at the Class
A-2, A-3, A-4 and A-5 Pass-Through Rates (without
regard to the Loan Group II Cap or WAC Cap) over
interest due such Certificates at a rate equal to
the lesser of the Loan Group II Cap or WAC Cap;
(ii) Any Class A-2, A-3, A-4 and A-5 Basis Risk Carry
Forward Amount remaining unpaid from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the
related Class A-2, A-3, A-4 and A-5 Pass-Through
Rate (without regard to the Loan Group II Cap or
WAC Cap). Carry Forward Amount: Group II Cap or
WAC Cap).
Class M-1, M-2, M-3, As to any Distribution Date, the supplemental interest
B-1, B-2 and B-3 amount for each of the Class M-1, M-2, M-3, B-1, B-2 and
Basis Risk Carry B-3 Certificates will equal the sum of:
Forward Amounts: (i) The excess, if any, of interest that would
otherwise be due on such Certificates at such
Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap) over interest due
such Certificates at a rate equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for such class
remaining unpaid for such Certificate from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the
Certificates' applicable Pass-Through Rate
(without regard to the WAC Cap).
--------------------------------------------------------------------------------
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 7
Interest On each Distribution Date and after payments of
Distributions on servicing and trustee fees and other expenses, interest
Offered Certificates: distributions from the Interest Remittance Amount will
be allocated as follows:
(i) The portion of the Interest Remittance Amount
attributable to the Group I Mortgage Loans will
be allocated according to the related Accrued
Certificate Interest and any unpaid interest
shortfall amounts for such class, as applicable,
first, to the Class A-1 Certificates and second,
pro rata to the Group II Class A Certificates;
(ii) The portion of the Interest Remittance Amount
attributable to the Group II Mortgage Loans will
be allocated according to the related Accrued
Certificate Interest and any unpaid interest
shortfall amounts for such class, as applicable,
first, pro rata to the Group II Class A
Certificates and second, to the Class A-1
Certificates;
(iii) To the Class M-1 Certificates, its Accrued
Certificate Interest;
(iv) To the Class M-2 Certificates, its Accrued
Certificate Interest;
(v) To the Class M-3 Certificates, its Accrued
Certificate Interest;
(vi) To the Class B-1 Certificates, its Accrued
Certificate Interest;
(vii) To the Class B-2 Certificates, its Accrued
Certificate Interest; and
(viii) To the Class B-3 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.
--------------------------------------------------------------------------------
Page 8
Principal On each Distribution Date (a) prior to the Stepdown Date
Distributions on or (b) on which a Trigger Event is in effect, principal
Offered Certificates: distributions from the Principal 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; and
(vii) to the Class B-3 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; and
(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.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 9
Class A Principal Except as described below, the Group II Class A
Allocation: Sequential Certificates will receive principal
sequentially; the Class A-4 Certificates will not
receive principal distributions until the Certificate
Principal Balance of the Class A-3 Certificates has been
reduced to zero, and the Class A-5 Certificates will not
receive principal distributions until the Certificate
Principal Balance of the Class A-4 Certificates has been
reduced to zero.
All principal distributions to the holders of the Class
A Certificates on any Distribution Date will be
allocated concurrently between the Class A-1
Certificates, on the one hand, and the Group II Class A
Certificates, on the other hand, based on the Class A
Principal Allocation Percentage for the Class A-1
Certificates and the Group II Class A Certificates, as
applicable.
However, if the Class Certificate Balances of the Class
A Certificates in either Class A Certificate Group are
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 Class A certificates in the other Class A
Certificate Group remaining outstanding, in accordance
with the principal distribution allocations described
herein, 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 Group II Class A Certificates will
be made first from payments relating to the Group II
Mortgage Loans.
Any principal distributions allocated to the Group II
Class A Certificates are required to be distributed pro
rata between the Class A-2 Certificates and the Group II
Class A Sequential Certificates. Principal distributions
to the Group II Class A Sequential Certificates will be
allocated first to the Class A-3 Certificates, until
their Class Certificate Balance has been reduced to
zero, then to the Class A-4 Certificates, until their
Class Certificate Balance has been reduced to zero, and
then to the Class A-5 Certificates, until their Class
Certificate Balance has been reduced to zero.
Notwithstanding the above, in the event that all
subordinate classes, including the Class X certificates,
have been reduced to zero, principal distributions to
the Group II Class A Certificates will be distributed
pro rata between the Class A-2, Class A-3, Class A-4 and
Class A-5 Certificates with the exception that if a
Class A-3 Accelerated Amortization Event is also in
effect, principal distributions to the Group II Class A
Certificates will be sequential to the Class A-3
Certificates and then pro rata between the Class A-2,
Class A-4 and Class A-5 Certificates.
Group II Class A Beginning on the first Distribution Date, and for a
Interest Rate Cap: period of 35 months thereafter, an Interest Rate Cap
will be entered into by the Trust for the benefit of the
Group II Class A Certificates.
For its duration, the Group II Class A Interest Rate Cap
pays the Trust the product of (i) the excess, if any, of
the then current 1-month LIBOR rate (not to exceed the
cap ceiling) over the cap strike (on an Actual/360 day
count basis) and (ii) the Group II Class A Interest Rate
Cap Notional Balance ("the Group II Class A Interest
Rate Cap Payment") as described on the schedule herein.
Group II Class A The Group II Class A Interest Rate Cap Payment shall be
Interest Rate Cap available to pay any Basis Risk Carry Forward Amount due
Payment Allocation: to the Class A-2, A-3, A-4 and A-5 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.
--------------------------------------------------------------------------------
Page 10
Class M Interest Beginning on the first Distribution Date, and for a
Rate Cap: period of 50 months thereafter, an Interest Rate Cap
will be entered into by 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 Interest The Class M Interest Rate Cap Payment shall be available
Rate Cap Payment to pay any Basis Risk Carry Forward Amount due to the
Allocation: Class M-1, Class M-2 and Class M-3 Certificates on a pro
rata basis.
Class B Interest Beginning on the first Distribution Date, and for a
Rate Cap: period of 50 months thereafter, an Interest Rate Cap
will be entered into by 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 Interest The Class B Interest Rate Cap Payment shall be available
Rate Cap Payment to pay any Basis Risk Carry Forward Amount due to the
Allocation: Class B-1, Class B-2 and Class B-3 Certificates on a pro
rata basis.
Allocation of Net For any Distribution Date, any Net Monthly Excess
Monthly Excess Cashflow shall be paid as follows:
Cashflow: (i) to the Class M-1 Certificates, the unpaid interest
shortfall amount;
(ii) to the Class M-1 Certificates, the allocated
unreimbursed realized loss amount;
(iii) to the Class M-2 Certificates, the unpaid interest
shortfall amount;
(iv) to the Class M-2 Certificates, the allocated
unreimbursed realized loss amount;
(v) to the Class M-3 Certificates, the unpaid interest
shortfall amount;
(vi) to the Class M-3 Certificates, the allocated
unreimbursed realized loss amount;
(vii) to the Class B-1 Certificates, the unpaid interest
shortfall amount;
(viii)to the Class B-1 Certificates, the allocated
unreimbursed realized loss amount;
(ix) to the Class B-2 Certificates, the unpaid interest
shortfall amount;
(x) to the Class B-2 Certificates, the allocated
unreimbursed realized loss amount;
(xi) to the Class B-3 Certificates, the unpaid interest
shortfall amount;
(xii) to the Class B-3 Certificates, the allocated
unreimbursed realized loss amount;
(xiii)concurrently, any Class A-1 Basis Risk Carry
Forward Amount to the Class A-1 Certificates, and
any Group II Class A Basis Risk Carry Forward
Amount to the Group II Class A Certificates; and
(xiv) sequentially, to Classes M-1, M-2, M-3, B-1, B-2
and B-3 Certificates, in such order, any Basis
Risk Carry Forward Amount for such classes; and
(xv) in the event that a Class A-3 Accelerated
Amortization Event is in effect, to the Class A-3
certificates as additional principal in the amount
equal to the Class A-3 Accelerated Amortization
Amount until their Class Certificate Balance has
been reduced to zero.
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.
--------------------------------------------------------------------------------
Page 11
Accrued Certificate For any Distribution Date and each class of Offered
Interest: Certificates, equals the amount of interest accrued
during the related interest accrual period at the
related Pass-through Rate, reduced by any prepayment
interest shortfalls and shortfalls resulting from the
application of the Servicemembers Civil Relief Act or
similar state law allocated to such class.
Principal On any Distribution Date, the sum of (i) the Basic
Distribution 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.
Net Monthly Excess For any Distribution Date is the amount of funds
Cashflow: available for distribution on such Distribution Date
remaining after making all distributions of interest and
principal on the certificates.
Extra Principal For any Distribution Date, the lesser of (i) the excess
Distribution Amount: of (x) interest collected or advanced with respect to
the Mortgage Loans with due dates in the related Due
Period (less servicing and trustee fees and expenses),
over (y) the sum of interest payable on the Certificates
on such Distribution Date and (ii) the
overcollateralization deficiency amount for such
Distribution Date.
Excess Subordinated For any Distribution Date, means the excess, if any of
Amount: (i) the overcollateralization and (ii) the required
overcollateralization for such Distribution Date.
Class A Principal For any Distribution Date, the percentage equivalent of
Allocation a fraction, determined as follows: (i) in the case of
Percentage: 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 Group II Class A 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.
Class A Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the aggregate 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 59.50% 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 over
$6,545,939.
Class A-3 Accelerated With respect to any Distribution Date beginning with the
Amortization Event: Distribution Date in [August 2011], until the Class
Certificate Balance of the Class A-3 Certificates has
been reduced to zero, a Class A-3 Accelerated
Amortization Event exists if the Class Certificate
Balance of the Class A-3 Certificates (after application
of the Principal Distribution Amount on that
Distribution Date) exceeds a target amount for such
Distribution Date, as set forth on the Class A-3 Target
Balance Schedule attached hereto.
Class A-3 With respect to any Distribution Date, the lesser of (a)
Accelerated the amount of funds remaining after making payments
Amortization Amount: pursuant to clause (xiv) of the Allocation of Net
Monthly Excess Cashflow described above and (b) the
Class Certificate Balance of the Class A-3 certificates
(after application of the related Principal Distribution
Amount on that Distribution Date).
Class M-1 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate 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 73.50% 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 over $6,545,939.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 12
Class M-2 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate 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 84.00% 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 over $6,545,939.
Class M-3 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate 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 87.50% 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 over $6,545,939.
Class B-1 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate 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 90.50% 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 over $6,545,939.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 13
Class B-2 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate 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
over (y) the lesser of (A) the product of (i)
approximately 93.00% 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 over $6,545,939.
Class B-3 Principal For any Distribution Date, an amount equal to the excess
Distribution Amount: of (x) the sum of (i) the aggregate 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 over (y) the lesser of (A) the
product of (i) approximately 96.00% 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 over $6,545,939.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 14
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus, all
Offered Certificates are ERISA eligible.
SMMEA Eligibility: It is not anticipated that any of the Offered
Certificates will be SMMEA eligible.
Prospectus: The Class A-2, Class A-3, Class A-4, Class A-5, Class
M-1, Class M-2, Class M-3, Class B-1, Class B-2 and
Class B-3 Certificates are being offered pursuant to a
prospectus supplemented by a prospectus supplement
(together, the "Prospectus"). Complete information with
respect to the Offered Certificates and the collateral
securing them is contained in the Prospectus. The
information herein is qualified in its entirety by the
information appearing in the Prospectus. To the extent
that the information herein is inconsistent with the
Prospectus, the Prospectus shall govern in all respects.
Sales of the Offered Certificates may not be consummated
unless the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A
DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN
CONNECTION WITH AN INVESTMENT IN THE OFFERED
CERTIFICATES.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 15
Weighted Average Life Sensitivity
To CALL
-------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
-------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.28 4.49 3.61 2.68 2.03 1.52 1.17
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 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 7/25/2007
Window 1 - 181 1 - 158 1 - 128 1 - 96 1 - 75 1 - 61 1 - 35
A-3 WAL (yrs) 2.03 1.70 1.38 1.04 0.83 0.69 0.58
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 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005
Window 1 - 52 1 - 43 1 - 35 1 - 26 1 - 20 1 - 17 1 - 14
A-4 WAL (yrs) 6.02 5.05 4.04 2.91 2.17 1.77 1.48
First Payment Date 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005
Expected Final Maturity 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006
Window 52 - 101 43 - 85 35 - 68 26 - 50 20 - 32 17 - 26 14 - 22
A-5 WAL (yrs) 12.61 10.81 8.72 6.50 4.85 3.32 2.33
First Payment Date 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006
Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 7/25/2007
Window 101 - 181 85 - 158 68 - 128 50 - 96 32 - 75 26 - 61 22 - 35
M-1 WAL 10.24 8.75 7.05 5.35 4.63 4.64 4.16
First Payment Date 8/25/2009 11/25/2008 1/25/2008 11/25/2007 3/25/2008 7/25/2008 7/25/2007
Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008
Window 60 - 181 51 - 158 41 - 128 39 - 96 43 - 75 47 - 61 35 - 50
M-2 WAL 10.24 8.75 7.05 5.32 4.45 4.09 3.96
First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 12/25/2007 2/25/2008 3/25/2008
Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008
Window 60 - 181 51 - 158 41 - 128 38 - 96 40 - 75 42 - 61 43 - 50
M-3 WAL 10.24 8.75 7.05 5.32 4.39 3.93 3.65
First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 11/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008
Window 60 - 181 51 - 158 41 - 128 38 - 96 39 - 75 40 - 61 41 - 50
B-1 WAL 10.24 8.75 7.05 5.30 4.37 3.87 3.55
First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 11/25/2007 11/25/2007
Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008
Window 60 - 181 51 - 158 41 - 128 37 - 96 38 - 75 39 - 61 39 - 50
B-2 WAL 10.24 8.75 7.05 5.30 4.35 3.83 3.48
First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 10/25/2007 10/25/2007
Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008
Window 60 - 181 51 - 158 41 - 128 37 - 96 38 - 75 38 - 61 38 - 50
B-3 WAL 10.21 8.71 7.02 5.28 4.31 3.78 3.41
First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 9/25/2007 10/25/2007 9/25/2007
Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008
Window 60 - 181 51 - 158 41 - 128 37 - 96 37 - 75 38 - 61 37 - 50
-------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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
Weighted Average Life Sensitivity
To MATURITY
-------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
--------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.63 4.80 3.89 2.89 2.20 1.65 1.17
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 11/25/2026 8/25/2021 4/25/2018 8/25/2015 7/25/2007
Window 1 - 328 1 - 307 1 - 267 1 - 204 1 - 164 1 - 132 1 - 35
A-3 WAL (yrs) 2.03 1.70 1.38 1.04 0.83 0.69 0.58
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 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005
Window 1 - 52 1 - 43 1 - 35 1 - 26 1 - 20 1 - 17 1 - 14
A-4 WAL (yrs) 6.02 5.05 4.04 2.91 2.17 1.77 1.48
First Payment Date 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005
Expected Final Maturity 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006
Window 52 - 101 43 - 85 35 - 68 26 - 50 20 - 32 17 - 26 14 - 22
A-5 WAL (yrs) 14.15 12.21 9.96 7.45 5.61 3.92 2.33
First Payment Date 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006
Expected Final Maturity 12/25/2031 3/25/2030 11/25/2026 8/25/2021 4/25/2018 8/25/2015 7/25/2007
Window 101 - 328 85 - 307 68 - 267 50 - 204 32 - 164 26 - 132 22 - 35
M-1 WAL 11.12 9.54 7.76 5.91 5.08 5.00 5.85
First Payment Date 8/25/2009 11/25/2008 1/25/2008 11/25/2007 3/25/2008 7/25/2008 7/25/2007
Expected Final Maturity 8/25/2029 3/25/2027 9/25/2023 5/25/2019 4/25/2016 2/25/2014 1/25/2014
Window 60 - 300 51 - 271 41 - 229 39 - 177 43 - 140 47 - 114 35 - 113
M-2 WAL 11.05 9.46 7.69 5.82 4.85 4.41 4.24
First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 12/25/2007 2/25/2008 3/25/2008
Expected Final Maturity 1/25/2028 7/25/2025 1/25/2022 1/25/2018 3/25/2015 3/25/2013 9/25/2011
Window 60 - 281 51 - 251 41 - 209 38 - 161 40 - 127 42 - 103 43 - 85
M-3 WAL 10.95 9.36 7.60 5.74 4.73 4.20 3.88
First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 11/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 11/25/2025 4/25/2023 1/25/2020 6/25/2016 11/25/2013 2/25/2012 11/25/2010
Window 60 - 255 51 - 224 41 - 185 38 - 142 39 - 111 40 - 90 41 - 75
B-1 WAL 10.84 9.26 7.53 5.66 4.65 4.10 3.75
First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 11/25/2007 11/25/2007
Expected Final Maturity 9/25/2024 2/25/2022 4/25/2019 8/25/2015 4/25/2013 8/25/2011 6/25/2010
Window 60 - 241 51 - 210 41 - 176 37 - 132 38 - 104 39 - 84 39 - 70
B-2 WAL 10.68 9.11 7.40 5.56 4.55 4.00 3.63
First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 10/25/2007 10/25/2007
Expected Final Maturity 4/25/2023 10/25/2020 2/25/2018 9/25/2014 7/25/2012 1/25/2011 12/25/2009
Window 60 - 224 51 - 194 41 - 162 37 - 121 38 - 95 38 - 77 38 - 64
B-3 WAL 10.33 8.82 7.12 5.34 4.37 3.82 3.45
First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 9/25/2007 10/25/2007 9/25/2007
Expected Final Maturity 8/25/2021 5/25/2019 10/25/2016 9/25/2013 10/25/2011 5/25/2010 5/25/2009
Window 60 - 204 51 - 177 41 - 146 37 - 109 37 - 86 38 - 69 37 - 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
CPR Sensitivity
To CALL
------------------------------------------------------------------
CPR (%) 20 25 30
------------------------------------------------------------------
A-2 WAL (yrs) 3.27 2.55 2.01
First Payment Date 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 1 - 117 1 - 93 1 - 76
A-3 WAL (yrs) 1.21 0.96 0.79
First Payment Date 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 3/25/2007 8/25/2006 4/25/2006
Window 1 - 31 1 - 24 1 - 20
A-4 WAL (yrs) 3.65 2.74 2.15
First Payment Date 3/25/2007 8/25/2006 4/25/2006
Expected Final Maturity 10/25/2009 9/25/2008 4/25/2007
Window 31 - 62 24 - 49 20 - 32
A-5 WAL (yrs) 7.97 6.31 4.91
First Payment Date 10/25/2009 9/25/2008 4/25/2007
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 62 - 117 49 - 93 32 - 76
M-1 WAL 6.41 5.22 4.67
First Payment Date 9/25/2007 12/25/2007 3/25/2008
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 37 - 117 40 - 93 43 - 76
M-2 WAL 6.41 5.17 4.48
First Payment Date 9/25/2007 10/25/2007 12/25/2007
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 37 - 117 38 - 93 40 - 76
M-3 WAL 6.41 5.15 4.41
First Payment Date 9/25/2007 10/25/2007 11/25/2007
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 37 - 117 38 - 93 39 - 76
B-1 WAL 6.41 5.15 4.39
First Payment Date 9/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 37 - 117 37 - 93 38 - 76
B-2 WAL 6.41 5.13 4.37
First Payment Date 9/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 37 - 117 37 - 93 38 - 76
B-3 WAL 6.37 5.11 4.33
First Payment Date 9/25/2007 9/25/2007 9/25/2007
Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010
Window 37 - 117 37 - 93 37 - 76
-----------------------------------------------------------------
-------------------------------------------------------------------------------
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
CPR Sensitivity
To MATURITY
------------------------------------------------------------------
CPR (%) 20 25 30
------------------------------------------------------------------
A-2 WAL (yrs) 3.54 2.78 2.20
First Payment Date 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 6/25/2025 8/25/2021 10/25/2018
Window 1 - 250 1 - 204 1 - 170
A-3 WAL (yrs) 1.21 0.96 0.79
First Payment Date 9/25/2004 9/25/2004 9/25/2004
Expected Final Maturity 3/25/2007 8/25/2006 4/25/2006
Window 1 - 31 1 - 24 1 - 20
A-4 WAL (yrs) 3.65 2.74 2.15
First Payment Date 3/25/2007 8/25/2006 4/25/2006
Expected Final Maturity 10/25/2009 9/25/2008 4/25/2007
Window 31 - 62 24 - 49 20 - 32
A-5 WAL (yrs) 9.19 7.30 5.73
First Payment Date 10/25/2009 9/25/2008 4/25/2007
Expected Final Maturity 6/25/2025 8/25/2021 10/25/2018
Window 62 - 250 49 - 204 32 - 170
M-1 WAL 7.07 5.76 5.12
First Payment Date 9/25/2007 12/25/2007 3/25/2008
Expected Final Maturity 4/25/2022 1/25/2019 6/25/2016
Window 37 - 212 40 - 173 43 - 142
M-2 WAL 7.00 5.65 4.88
First Payment Date 9/25/2007 10/25/2007 12/25/2007
Expected Final Maturity 10/25/2020 9/25/2017 5/25/2015
Window 37 - 194 38 - 157 40 - 129
M-3 WAL 6.93 5.56 4.75
First Payment Date 9/25/2007 10/25/2007 11/25/2007
Expected Final Maturity 1/25/2019 2/25/2016 1/25/2014
Window 37 - 173 38 - 138 39 - 113
B-1 WAL 6.85 5.49 4.68
First Payment Date 9/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 1/25/2018 4/25/2015 5/25/2013
Window 37 - 161 37 - 128 38 - 105
B-2 WAL 6.72 5.38 4.58
First Payment Date 9/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 12/25/2016 6/25/2014 8/25/2012
Window 37 - 148 37 - 118 38 - 96
B-3 WAL 6.46 5.17 4.39
First Payment Date 9/25/2007 9/25/2007 9/25/2007
Expected Final Maturity 10/25/2015 6/25/2013 10/25/2011
Window 37 - 134 37 - 106 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 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
0 -- -- -- -- -- -- -- -- --
1 8.37 8.37 8.37 8.37 8.25 8.25 8.25 8.25 8.25
2 9.59 9.59 9.59 9.59 9.44 9.44 9.44 9.44 9.44
3 9.39 9.39 9.39 9.39 9.24 9.24 9.24 9.24 9.24
4 9.61 9.61 9.61 9.61 9.45 9.45 9.45 9.45 9.45
5 9.41 9.41 9.41 9.41 9.25 9.25 9.25 9.25 9.25
6 9.42 9.42 9.42 9.42 9.25 9.25 9.25 9.25 9.25
7 10.09 10.09 10.09 10.09 9.90 9.90 9.90 9.90 9.90
8 9.43 9.43 9.43 9.43 9.26 9.26 9.26 9.26 9.26
9 9.65 9.65 9.65 9.65 9.46 9.46 9.46 9.46 9.46
10 9.45 9.45 9.45 9.45 9.26 9.26 9.26 9.26 9.26
11 9.67 9.67 9.67 9.67 9.47 9.47 9.47 9.47 9.47
12 9.47 9.47 9.47 9.47 9.26 9.26 9.26 9.26 9.26
13 9.48 9.48 9.48 9.48 9.27 9.27 9.27 9.27 9.27
14 9.69 9.69 9.69 9.69 9.47 9.47 9.47 9.47 9.47
15 9.49 9.49 9.49 9.49 9.27 9.27 9.27 9.27 9.27
16 9.71 9.71 9.71 9.71 9.47 9.47 9.47 9.47 9.47
17 9.51 9.51 9.51 9.51 9.27 9.27 9.27 9.27 9.27
18 9.52 9.52 9.52 9.52 9.27 9.27 9.27 9.27 9.27
19 10.21 10.21 10.21 10.21 9.92 9.92 9.92 9.92 9.92
20 9.54 9.54 9.54 9.54 9.27 9.27 9.27 9.27 9.27
21 9.77 9.77 9.77 9.77 9.48 9.48 9.48 9.48 9.48
22 10.10 10.10 10.10 10.10 9.75 9.75 9.75 9.75 9.75
23 10.37 10.37 10.37 10.37 9.99 9.99 9.99 9.99 9.99
24 10.13 10.13 10.13 10.13 9.75 9.75 9.75 9.75 9.75
25 10.15 10.15 10.15 10.15 9.75 9.75 9.75 9.75 9.75
26 10.42 10.42 10.42 10.42 9.99 9.99 9.99 9.99 9.99
27 10.18 -- 10.18 10.18 9.76 9.76 9.76 9.76 9.76
28 10.74 -- 10.74 10.74 10.26 10.26 10.26 10.26 10.26
29 10.48 -- 10.48 10.48 10.00 10.00 10.00 10.00 10.00
30 10.50 -- 10.50 10.50 10.00 10.00 10.00 10.00 10.00
31 11.43 -- 11.43 11.43 10.84 10.84 10.84 10.84 10.84
32 10.55 -- 10.55 10.55 10.00 10.00 10.00 10.00 10.00
33 10.88 -- 10.88 10.88 10.27 10.27 10.27 10.27 10.27
34 10.86 -- 10.86 10.86 10.43 10.43 10.43 10.23 10.23
35 11.20 -- 11.20 11.20 10.71 10.71 10.71 10.51 10.51
36 10.92 -- 10.92 10.92 10.43 10.43 10.43 10.23 10.23
37 26.13 -- 26.13 26.13 10.43 10.43 10.43 10.23 10.23
38 11.66 -- 11.66 11.66 10.71 10.71 10.71 10.51 10.51
39 11.23 -- 11.23 11.23 10.43 10.43 10.43 10.23 10.23
40 12.25 -- 12.25 12.25 10.75 10.75 10.75 10.75 10.75
41 11.79 -- 11.79 11.79 10.44 10.44 10.44 10.44 10.44
42 11.73 -- 11.73 11.73 10.44 10.44 10.44 10.44 10.44
43 12.54 -- 12.54 12.54 11.08 11.08 11.08 11.08 11.08
44 11.73 -- 11.73 11.73 10.44 10.44 10.44 10.44 10.44
45 12.13 -- 12.13 12.13 10.76 10.76 10.76 10.76 10.76
46 12.35 -- 12.35 12.35 10.45 10.45 10.45 10.45 10.45
[TABLE CONTINUED]
Period B-3 Cap (%)
------ -----------
Actual/360
0 --
1 8.25
2 9.44
3 9.24
4 9.45
5 9.25
6 9.25
7 9.90
8 9.26
9 9.46
10 9.26
11 9.47
12 9.26
13 9.27
14 9.47
15 9.27
16 9.47
17 9.27
18 9.27
19 9.92
20 9.27
21 9.48
22 9.75
23 9.99
24 9.75
25 9.75
26 9.99
27 9.76
28 10.26
29 10.00
30 10.00
31 10.84
32 10.00
33 10.27
34 10.23
35 10.51
36 10.23
37 10.23
38 10.51
39 10.23
40 10.75
41 10.44
42 10.44
43 11.08
44 10.44
45 10.76
46 10.45
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
-------------------------------------------------------------------------------
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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
47 12.76 -- 12.76 12.76 10.78 10.78 10.78 10.78 10.78
48 12.35 -- 12.35 12.35 10.45 10.45 10.45 10.45 10.45
49 12.35 -- 12.35 12.35 10.45 10.45 10.45 10.45 10.45
50 12.76 -- 12.76 12.76 10.78 10.78 10.78 10.78 10.78
51 12.36 -- 12.36 12.36 10.45 10.45 10.45 10.45 10.45
52 13.29 -- -- 13.29 10.75 10.75 10.75 10.75 10.75
53 12.86 -- -- 12.86 10.41 10.41 10.41 10.41 10.41
54 12.86 -- -- 12.86 10.41 10.41 10.41 10.41 10.41
55 14.24 -- -- 14.24 11.52 11.52 11.52 11.52 11.52
56 12.86 -- -- 12.86 10.40 10.40 10.40 10.40 10.40
57 13.30 -- -- 13.30 10.76 10.76 10.76 10.76 10.76
58 13.18 -- -- 13.18 10.60 10.60 10.60 10.60 10.60
59 13.62 -- -- 13.62 10.95 10.95 10.95 10.95 10.95
60 13.18 -- -- 13.18 10.59 10.59 10.59 10.59 10.59
61 13.18 -- -- 13.18 10.59 10.59 10.59 10.59 10.59
62 13.62 -- -- 13.62 10.95 10.95 10.95 10.95 10.95
63 13.18 -- -- 13.18 10.59 10.59 10.59 10.59 10.59
64 13.69 -- -- 13.69 10.99 10.99 10.99 10.99 10.99
65 13.25 -- -- 13.25 10.64 10.64 10.64 10.64 10.64
66 13.25 -- -- 13.25 10.63 10.63 10.63 10.63 10.63
67 14.67 -- -- 14.67 11.77 11.77 11.77 11.77 11.77
68 13.25 -- -- 13.25 10.63 10.63 10.63 10.63 10.63
69 13.69 -- -- 13.69 10.99 10.99 10.99 10.99 10.99
70 13.31 -- -- 13.31 10.67 10.67 10.67 10.67 10.67
71 13.75 -- -- 13.75 11.02 11.02 11.02 11.02 11.02
72 13.30 -- -- 13.30 10.66 10.66 10.66 10.66 10.66
73 13.30 -- -- 13.30 10.66 10.66 10.66 10.66 10.66
74 13.75 -- -- 13.75 11.02 11.02 11.02 11.02 11.02
75 13.30 -- -- 13.30 10.66 10.66 10.66 10.66 10.66
76 13.79 -- -- 13.79 11.04 11.04 11.04 11.04 11.04
77 13.34 -- -- 13.34 10.68 10.68 10.68 10.68 10.68
78 13.34 -- -- 13.34 10.68 10.68 10.68 10.68 10.68
79 14.77 -- -- 14.77 11.83 11.83 11.83 11.83 11.83
80 13.34 -- -- 13.34 10.68 10.68 10.68 10.68 10.68
81 13.79 -- -- 13.79 11.04 11.04 11.04 11.04 11.04
82 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69
83 13.80 -- -- 13.80 11.05 11.05 11.05 11.05 11.05
84 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69
85 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69
86 13.80 -- -- 13.80 11.04 11.04 11.04 11.04 11.04
87 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69
88 12.02 -- -- 12.02 11.04 11.04 11.04 11.04 11.04
89 11.50 -- -- 11.50 10.68 10.68 10.68 10.68 10.68
90 11.52 -- -- 11.52 10.68 10.68 10.68 10.68 10.68
91 12.33 -- -- 12.33 11.42 11.42 11.42 11.42 11.42
92 11.55 -- -- 11.55 10.68 10.68 10.68 10.68 10.68
93 11.96 -- -- 11.96 11.04 11.04 11.04 11.04 11.04
[TABLE CONTINUED]
Period B-3 Cap (%)
------ -----------
Actual/360
47 10.78
48 10.45
49 10.45
50 10.78
51 10.45
52 10.75
53 10.41
54 10.41
55 11.52
56 10.40
57 10.76
58 10.60
59 10.95
60 10.59
61 10.59
62 10.95
63 10.59
64 10.99
65 10.64
66 10.63
67 11.77
68 10.63
69 10.99
70 10.67
71 11.02
72 10.66
73 10.66
74 11.02
75 10.66
76 11.04
77 10.68
78 10.68
79 11.83
80 10.68
81 11.04
82 10.69
83 11.05
84 10.69
85 10.69
86 11.04
87 10.69
88 11.04
89 10.68
90 10.68
91 11.42
92 10.68
93 11.04
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
94 11.59 -- -- 11.59 10.68 10.68 10.68 10.68 10.68
95 12.00 -- -- 12.00 11.04 11.04 11.04 11.04 11.04
96 11.63 -- -- 11.63 10.68 10.68 10.68 10.68 10.68
97 11.65 -- -- 11.65 10.68 10.68 10.68 10.68 10.68
98 12.06 -- -- 12.06 11.03 11.03 11.03 11.03 11.03
99 11.69 -- -- 11.69 10.68 10.68 10.68 10.68 10.68
100 12.11 -- -- 12.11 11.03 11.03 11.03 11.03 11.03
101 11.74 -- -- 11.74 10.67 10.67 10.67 10.67 10.67
102 11.76 -- -- 11.76 10.67 10.67 10.67 10.67 10.67
103 13.05 -- -- 13.05 11.82 11.82 11.82 11.82 11.82
104 11.81 -- -- 11.81 10.67 10.67 10.67 10.67 10.67
105 12.23 -- -- 12.23 11.03 11.03 11.03 11.03 11.03
106 11.86 -- -- 11.86 10.67 10.67 10.67 10.67 10.67
107 12.28 -- -- 12.28 11.03 11.03 11.03 11.03 11.03
108 11.92 -- -- 11.92 10.67 10.67 10.67 10.67 10.67
109 11.94 -- -- 11.94 10.67 10.67 10.67 10.67 10.67
110 12.37 -- -- 12.37 11.02 11.02 11.02 11.02 11.02
111 12.00 -- -- 12.00 10.67 10.67 10.67 10.67 10.67
112 12.43 -- -- 12.43 11.02 11.02 11.02 11.02 11.02
113 12.06 -- -- 12.06 10.67 10.67 10.67 10.67 10.67
114 12.10 -- -- 12.10 10.67 10.67 10.67 10.67 10.67
115 13.43 -- -- 13.43 11.81 11.81 11.81 11.81 11.81
116 12.16 -- -- 12.16 10.66 10.66 10.66 10.66 10.66
117 12.60 -- -- 12.60 11.02 11.02 11.02 11.02 11.02
118 12.23 -- -- 12.23 10.66 10.66 10.66 10.66 10.66
119 12.68 -- -- 12.68 11.02 11.02 11.02 11.02 11.02
120 12.31 -- -- 12.31 10.66 10.66 10.66 10.66 10.66
121 12.34 -- -- 12.34 10.66 10.66 10.66 10.66 10.66
122 12.80 -- -- 12.80 11.02 11.02 11.02 11.02 11.02
123 12.42 -- -- 12.42 10.66 10.66 10.66 10.66 10.66
124 12.88 -- -- 12.88 11.01 11.01 11.01 11.01 --
125 12.51 -- -- 12.51 10.66 10.66 10.66 10.66 --
126 12.55 -- -- 12.55 10.66 10.66 10.66 10.66 --
127 13.94 -- -- 13.94 11.80 11.80 11.80 11.80 --
128 12.64 -- -- 12.64 10.66 10.66 10.66 10.66 --
129 13.11 -- -- 13.11 11.01 11.01 11.01 11.01 --
130 12.74 -- -- 12.74 10.66 10.66 10.66 10.66 --
131 13.21 -- -- 13.21 11.01 11.01 11.01 11.01 --
132 12.84 -- -- 12.84 10.65 10.65 10.65 10.65 --
133 12.89 -- -- 12.89 10.65 10.65 10.65 10.65 --
134 13.37 -- -- 13.37 11.01 11.01 11.01 11.01 --
135 13.00 -- -- 13.00 10.65 10.65 10.65 -- --
136 13.49 -- -- 13.49 11.01 11.01 11.01 -- --
137 13.11 -- -- 13.11 10.65 10.65 10.65 -- --
138 13.17 -- -- 13.17 10.65 10.65 10.65 -- --
139 14.14 -- -- 14.14 11.39 11.39 11.39 -- --
140 13.29 -- -- 13.29 10.65 10.65 10.65 -- --
[TABLE CONTINUED]
Period B-3 Cap (%)
------ -----------
Actual/360
94 10.68
95 11.04
96 10.68
97 10.68
98 11.03
99 10.68
100 11.03
101 10.67
102 10.67
103 11.82
104 10.67
105 11.03
106 10.67
107 11.03
108 10.67
109 10.67
110 11.02
111 10.67
112 --
113 --
114 --
115 --
116 --
117 --
118 --
119 --
120 --
121 --
122 --
123 --
124 --
125 --
126 --
127 --
128 --
129 --
130 --
131 --
132 --
133 --
134 --
135 --
136 --
137 --
138 --
139 --
140 --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
141 13.80 -- -- 13.80 11.01 11.01 11.01 -- --
142 13.42 -- -- 13.42 10.65 10.65 10.65 -- --
143 13.94 -- -- 13.94 11.00 11.00 11.00 -- --
144 13.56 -- -- 13.56 10.65 10.65 10.65 -- --
145 13.63 -- -- 13.63 10.65 10.65 -- -- --
146 14.16 -- -- 14.16 11.00 11.00 -- -- --
147 13.78 -- -- 13.78 10.65 10.65 -- -- --
148 14.32 -- -- 14.32 11.00 11.00 -- -- --
149 13.93 -- -- 13.93 10.65 10.65 -- -- --
150 14.02 -- -- 14.02 10.65 10.65 -- -- --
151 15.61 -- -- 15.61 11.79 11.79 -- -- --
152 14.18 -- -- 14.18 10.65 10.65 -- -- --
153 14.75 -- -- 14.75 11.00 11.00 -- -- --
154 14.36 -- -- 14.36 10.65 10.65 -- -- --
155 14.94 -- -- 14.94 11.00 11.00 -- -- --
156 14.55 -- -- 14.55 10.65 10.65 -- -- --
157 14.65 -- -- 14.65 10.65 10.65 -- -- --
158 15.24 -- -- 15.24 11.00 11.00 -- -- --
159 14.85 -- -- 14.85 10.64 10.64 -- -- --
160 15.45 -- -- 15.45 11.00 11.00 -- -- --
161 15.06 -- -- 15.06 10.64 10.64 -- -- --
162 15.17 -- -- 15.17 10.64 10.64 -- -- --
163 16.92 -- -- 16.92 11.78 11.78 -- -- --
164 15.40 -- -- 15.40 10.64 10.64 -- -- --
165 16.04 -- -- 16.04 11.00 -- -- -- --
166 15.64 -- -- 15.64 10.64 -- -- -- --
167 16.30 -- -- 16.30 11.00 -- -- -- --
168 15.90 -- -- 15.90 10.64 -- -- -- --
169 16.03 -- -- 16.03 10.64 -- -- -- --
170 16.71 -- -- 16.71 11.00 -- -- -- --
171 16.31 -- -- 16.31 10.64 -- -- -- --
172 17.00 -- -- 17.00 11.00 -- -- -- --
173 16.60 -- -- 16.60 10.64 -- -- -- --
174 16.76 -- -- 16.76 10.64 -- -- -- --
175 18.72 -- -- 18.72 11.78 -- -- -- --
176 17.07 -- -- 17.07 10.64 -- -- -- --
177 17.98 -- -- 17.98 11.02 -- -- -- --
178 18.05 -- -- 18.05 10.72 -- -- -- --
179 18.93 -- -- 18.93 -- -- -- -- --
180 18.66 -- -- 18.66 -- -- -- -- --
181 19.02 -- -- 19.02 -- -- -- -- --
182 20.05 -- -- 20.05 -- -- -- -- --
183 19.81 -- -- 19.81 -- -- -- -- --
184 20.93 -- -- 20.93 -- -- -- -- --
185 20.73 -- -- 20.73 -- -- -- -- --
186 21.24 -- -- 21.24 -- -- -- -- --
187 23.29 -- -- 23.29 -- -- -- -- --
[TABLE CONTINUED]
Period B-3 Cap (%)
------ -----------
Actual/360
141 --
142 --
143 --
144 --
145 --
146 --
147 --
148 --
149 --
150 --
151 --
152 --
153 --
154 --
155 --
156 --
157 --
158 --
159 --
160 --
161 --
162 --
163 --
164 --
165 --
166 --
167 --
168 --
169 --
170 --
171 --
172 --
173 --
174 --
175 --
176 --
177 --
178 --
179 --
180 --
181 --
182 --
183 --
184 --
185 --
186 --
187 --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%)
------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
188 22.38 -- -- 22.38 -- -- -- -- --
189 23.80 -- -- 23.80 -- -- -- -- --
190 23.74 -- -- 23.74 -- -- -- -- --
191 25.33 -- -- 25.33 -- -- -- -- --
192 25.36 -- -- 25.36 -- -- -- -- --
193 26.30 -- -- 26.30 -- -- -- -- --
194 28.25 -- -- 28.25 -- -- -- -- --
195 28.49 -- -- 28.49 -- -- -- -- --
196 30.78 -- -- 30.78 -- -- -- -- --
197 31.25 -- -- 31.25 -- -- -- -- --
198 32.91 -- -- 32.91 -- -- -- -- --
199 38.54 -- -- 38.54 -- -- -- -- --
200 37.00 -- -- 37.00 -- -- -- -- --
201 40.89 -- -- 40.89 -- -- -- -- --
202 42.61 -- -- 42.61 -- -- -- -- --
203 47.81 -- -- 47.81 -- -- -- -- --
204 50.74 -- -- 50.74 -- -- -- -- --
205 56.35 -- -- 56.35 -- -- -- -- --
206 65.70 -- -- 65.70 -- -- -- -- --
207 73.25 -- -- 73.25 -- -- -- -- --
208 89.72 -- -- 89.72 -- -- -- -- --
209 107.30 -- -- 107.30 -- -- -- -- --
210 -- -- -- -- -- -- -- -- --
[TABLE CONTINUED]
Period B-3 Cap (%)
------ -----------
Actual/360
188 --
189 --
190 --
191 --
192 --
193 --
194 --
195 --
196 --
197 --
198 --
199 --
200 --
201 --
202 --
203 --
204 --
205 --
206 --
207 --
208 --
209 --
210 --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
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
Interest Rate Cap Schedules
Group II Class A Cap Class M Cap Class B Cap
------------------------- -------------------------- -------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 478,203,000.00 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
2 465,818,501.84 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
3 453,558,017.77 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
4 441,415,577.28 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
5 429,386,100.70 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
6 417,465,041.91 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
7 405,648,752.72 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
8 393,934,391.43 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
9 382,319,896.29 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
10 370,803,973.14 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
11 359,386,179.94 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
12 348,069,626.54 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
13 336,855,893.05 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
14 325,874,297.31 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
15 315,154,032.74 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
16 304,688,908.71 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
17 294,472,899.45 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
18 284,500,092.88 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
19 274,764,723.33 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
20 265,261,158.41 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
21 255,983,904.90 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80
22 246,928,012.58 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25
23 238,128,331.15 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25
24 229,537,389.15 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25
25 221,150,238.30 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25
26 212,962,066.36 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25
27 204,968,174.35 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25
28 197,163,974.00 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50
29 189,544,999.09 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50
30 182,106,862.09 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50
31 174,845,289.34 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50
32 167,756,109.75 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50
33 160,835,250.46 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50
34 154,079,335.66 8.95 10.55 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75
35 147,485,118.41 8.95 10.55 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75
36 141,047,484.09 8.95 10.55 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75
37 -- -- -- 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75
38 -- -- -- 183,286,000.00 7.70 9.50 46,514,073.88 6.15 7.75
39 -- -- -- 171,830,767.37 7.70 9.50 45,382,748.93 6.15 7.75
40 -- -- -- 160,631,068.12 8.35 9.50 44,294,767.04 6.80 7.95
41 -- -- -- 149,697,351.25 8.35 9.50 43,232,623.72 6.80 7.95
42 -- -- -- 139,023,337.24 8.35 9.50 42,195,708.92 6.80 7.95
43 -- -- -- 135,661,573.30 8.35 9.50 41,183,426.99 6.80 7.95
44 -- -- -- 132,406,260.56 8.35 9.50 40,195,196.27 6.80 7.95
45 -- -- -- 129,228,303.50 8.35 9.50 39,230,448.79 6.80 7.95
46 -- -- -- 126,125,875.19 8.95 9.50 38,288,629.92 7.40 7.95
47 -- -- -- 123,097,191.68 8.95 9.50 37,369,198.10 7.40 7.95
48 -- -- -- 120,140,510.98 8.95 9.50 36,471,624.51 7.40 7.95
49 -- -- -- 117,254,132.08 8.95 9.50 35,595,392.79 7.40 7.95
50 -- -- -- 114,436,394.06 8.95 9.50 34,739,998.70 7.40 7.95
51 -- -- -- 111,685,674.98 8.95 9.50 33,904,949.87 7.40 7.95
52 -- -- -- -- -- -- -- -- --
--------------------------------------------------------------------------------
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
-------------------------------------------------
Class A-3 Target Balance Schedule
-------------------------------------------------
Distribution Date Month Target Balance ($)
----------------------- ------------------
August 2011 $15,960,164.63
September 2011 $14,577,517.26
October 2011 $13,201,843.34
November 2011 $11,833,105.47
December 2011 $10,471,266.42
January 2012 $9,116,289.19
February 2012 $7,768,136.95
March 2012 $6,426,773.07
April 2012 $5,092,161.11
May 2012 $3,764,264.83
June 2012 $2,443,048.18
July 2012 $1,128,475.28
August 2012 and thereafter --
-------------------------------------------------
--------------------------------------------------------------------------------
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
