TABLE CONTINUED --------------------------------------------------------------- ----------------- LIBOR_1MO=1.12, 800 PSA LIBOR_1MO=, 900 PSA A2 -------------- ------------------------------------------------------------------ Price 96-28.000...
CH03S13FC - STACK PRICE/YIELD
X.X. Xxxxxx Securities Inc.
Settle 11/28/2003
First Payment 12/25/2003
-----------------------------------------------------------------------------------------------------------------------------------
LIBOR_1MO=1.12, 0 PSA LIBOR_1MO=1.12, 100 PSA LIBOR_1MO=1.12, 200 PSA LIBOR_1MO=1.12, 300 PSA
A2
-----------------------------------------------------------------------------------------------------------------------------------
Price 96-28.000 96-28.000 96-28.000 96-28.000
Yield 5.305488 5.434448 5.573739 5.714753
WAL 18.89592 11.00767 7.33700 5.41135
Mod Durn 11.094 7.330 5.367 4.225
Mod Convexity 1.920 0.938 0.518 0.319
Principal Window Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33
Maturity #mos 358 358 358 358
A15
Price 96-10 96-10 96-10 96-10
Yield 5.357864 5.513759 5.682064 5.852351
WAL 18.89592 11.00767 7.33700 5.41135
Mod Durn 11.057 7.298 5.343 4.206
Mod Convexity 1.910 0.931 0.514 0.316
Principal Window Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33
Maturity #mos 358 358 358 358
A16
Price 96-22.125 96-22.125 96-22.125 96-22.125
Yield 5.322531 5.460246 5.608971 5.759506
WAL 18.89592 11.00767 7.33700 5.41135
Mod Durn 11.082 7.320 5.359 4.219
Mod Convexity 1.917 0.936 0.517 0.318
Principal Window Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33
Maturity #mos 358 358 358 358
AX
Price 15-00.000 15-00.000 15-00.000 15-00.000
Yield 36.746965 31.677423 26.519368 21.270154
WAL 19.02657 11.11742 7.43537 5.50336
Mod Durn 2.392 2.355 2.317 2.276
Mod Convexity 0.121 0.117 0.113 0.108
Principal Window NA - NA NA - NA NA - NA NA - NA
Maturity #mos 357 357 357 357
A1
Price 99-07.500 99-07.500 99-07.500 99-07.500
Yield 5.600438 5.618713 5.638432 5.658461
WAL 18.95515 11.00904 7.31622 5.38127
Mod Durn 10.775 7.212 5.316 4.196
Mod Convexity 1.831 0.913 0.511 0.317
Principal Window Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33
Maturity #mos 358 358 358 358
LIBOR_1MO 1.12 1.12 1.12 1.12
-----------------------------------------------------------------------------------------------------------------------------------
TABLE CONTINUED
-----------------------------------------------------------------------------------------------------------------------------------
LIBOR_1MO=1.12, 400 PSA LIBOR_1MO=1.12, 500 PSA LIBOR_1MO=1.12, 600 PSA LIBOR_1MO=1.12, 700 PSA
A2
-----------------------------------------------------------------------------------------------------------------------------------
Price 96-28.000 96-28.000 96-28.000 96-28.000
Yield 5.853592 5.988955 6.120617 6.248744
WAL 4.28031 3.55055 3.04416 2.67280
Mod Durn 3.495 2.992 2.624 2.345
Mod Convexity 0.214 0.153 0.115 0.090
Principal Window Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33
Maturity #mos 358 358 358 358
A15
Price 96-10 96-10 96-10 96-10
Yield 6.019933 6.183265 6.342089 6.496617
WAL 4.28031 3.55055 3.04416 2.67280
Mod Durn 3.480 2.979 2.614 2.336
Mod Convexity 0.212 0.152 0.114 0.089
Principal Window Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Jul33
Maturity #mos 358 358 358 356
A16
Price 96-22.125 96-22.125 96-22.125 96-22.125
Yield 5.907698 6.052164 6.192668 6.329390
WAL 4.28031 3.55055 3.04416 2.67280
Mod Durn 3.490 2.988 2.621 2.342
Mod Convexity 0.213 0.153 0.115 0.090
Principal Window Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33
Maturity #mos 358 358 358 358
AX
Price 15-00.000 15-00.000 15-00.000 15-00.000
Yield 15.927301 10.488581 4.952116 -0.683499
WAL 4.36845 3.63603 3.12754 2.75436
Mod Durn 2.234 2.190 2.144 2.096
Mod Convexity 0.104 0.099 0.094 0.089
Principal Window NA - NA NA - NA NA - NA NA - NA
Maturity #mos 357 357 357 357
A1
Price 99-07.500 99-07.500 99-07.500 99-07.500
Yield 5.678273 5.697683 5.716652 5.735194
WAL 4.24589 3.51390 3.00625 2.63413
Mod Durn 3.472 2.971 2.603 2.322
Mod Convexity 0.213 0.152 0.114 0.089
Principal Window Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33
Maturity #mos 358 358 358 358
LIBOR_1MO 1.12 1.12 1.12 1.12
-----------------------------------------------------------------------------------------------------------------------------------
TABLE CONTINUED
--------------------------------------------------------------------------------
LIBOR_1MO=1.12, 800 PSA LIBOR_1MO=, 900 PSA
A2
--------------------------------------------------------------------------------
Price 96-28.000 96-28.000
Yield 6.372808 6.489254
WAL 2.39116 2.17871
Mod Durn 2.125 1.953
Mod Convexity 0.072 0.061
Principal Window Dec03 - Sep11 Dec03 - Jan10
Maturity #mos 94 74
A15
Price 96-10 96-10
Yield 6.646235 6.786727
WAL 2.39116 2.17871
Mod Durn 2.118 1.947
Mod Convexity 0.072 0.060
Principal Window Dec03 - Sep11 Dec03 - Jan10
Maturity #mos 94 74
A16
Price 96-22.125 96-22.125
Yield 6.461773 6.586045
WAL 2.39116 2.17871
Mod Durn 2.123 1.951
Mod Convexity 0.072 0.060
Principal Window Dec03 - Sep11 Dec03 - Jan10
Maturity #mos 94 74
AX
Price 15-00.000 15-00.000
Yield -6.419070 -12.254696
WAL 2.46858 2.24228
Mod Durn 2.047 1.998
Mod Convexity 0.084 0.079
Principal Window NA - NA NA - NA
Maturity #mos 353 327
A1
Price 99-07.500 99-07.500
Yield 5.753194 5.770125
WAL 2.35252 2.14014
Mod Durn 2.102 1.930
Mod Convexity 0.071 0.060
Principal Window Dec03 - Aug11 Dec03 - Jan10
Maturity #mos 93 74
LIBOR_1MO 1.12 1.12
--------------------------------------------------------------------------------
THIS INFORMATION IS FURNISHED TO YOU SOLELY BY X.X. XXXXXX SECURITIES INC.
("JPMSI") AND NOT BY THE ISSUER OF THE SECURITIES OR ANY OF ITS AFFILIATES.
JPMSI IS NOT ACTING AS AGENT FOR THE ISSUER OR ITS AFFILIATES. THE INFORMATION
CONTAINED HEREIN WILL BE SUPERSEDED IN ITS ENTIRETY BY THE INFORMATION CONTAINED
IN THE FINAL PROSPECTUS AND PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
X.X. XXXXXX SECURITIES INC. SALES REPRESENTATIVE.
CH03S13FC - STACK PRICE/YIELD
X.X. Xxxxxx Securities Inc.
Settle 11/28/2003
First Payment 12/25/2003
-----------------------------------------------------------------------------------------------------------------------------------
0 CPR 10 CPR 20 CPR 30 CPR 40 CPR 50 CPR
A2
-----------------------------------------------------------------------------------------------------------------------------------
Price 96-28.000 96-28.000 96-28.000 96-28.000 96-28.000 96-28.000
Yield 5.305488 5.579174 5.929596 6.349086 6.851986 7.433611
WAL 18.89592 7.45698 4.00355 2.54609 1.76490 1.30744
Mod Durn 11.094 5.300 3.177 2.148 1.548 1.169
Mod Convexity 1.920 0.551 0.212 0.099 0.051 0.030
Principal Window Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Feb09
Maturity #mos 358 358 358 358 358 63
A15
Price 96-10 96-10 96-10 96-10 96-10 96-10
Yield 5.357864 5.688929 6.112786 6.620063 7.227972 7.931554
WAL 18.89592 7.45698 4.00355 2.54609 1.76490 1.30744
Mod Durn 11.057 5.271 3.157 2.134 1.538 1.161
Mod Convexity 1.910 0.546 0.209 0.097 0.050 0.029
Principal Window Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Oct32 Dec03 - Feb09
Maturity #mos 358 358 358 358 347 63
A16
Price 96-22.125 96-22.125 96-22.125 96-22.125 96-22.125 96-22.125
Yield 5.322531 5.614860 5.989142 6.437161 6.974194 7.595442
WAL 18.89592 7.45698 4.00355 2.54609 1.76490 1.30744
Mod Durn 11.082 5.290 3.170 2.143 1.545 1.166
Mod Convexity 1.917 0.549 0.211 0.098 0.051 0.030
Principal Window Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Feb09
Maturity #mos 358 358 358 358 358 63
AX
Price 15-00.000 15-00.000 15-00.000 15-00.000 15-00.000 15-00.000
Yield 36.746965 24.912698 12.384656 -0.973369 -15.348781 -31.012433
WAL 19.02657 7.63027 4.17906 2.72038 1.93747 1.44819
Mod Durn 2.392 2.499 2.624 2.774 2.958 3.190
Mod Convexity 0.121 0.133 0.146 0.164 0.186 0.217
Principal Window NA - NA NA - NA NA - NA NA - NA NA - NA NA - NA
Maturity #mos 357 357 357 357 357 341
A1
Price 99-07.500 99-07.500 99-07.500 99-07.500 99-07.500 99-07.500
Yield 5.600438 5.638863 5.687734 5.746182 5.816309 5.897233
WAL 18.95515 7.47269 4.00865 2.54810 1.76578 1.30790
Mod Durn 10.775 5.284 3.206 2.181 1.576 1.194
Mod Convexity 1.831 0.548 0.215 0.102 0.053 0.031
Principal Window Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Sep33 Dec03 - Feb09
Maturity #mos 358 358 358 358 358 63
LIBOR_1MO 1.12 1.12 1.12 1.12 1.12 1.12
-----------------------------------------------------------------------------------------------------------------------------------
TABLE CONTINUED
-------------------------------------------------------------------------------------------
60 CPR 70 CPR 80 CPR 90 CPR
A2
-------------------------------------------------------------------------------------------
Price 96-28.000 96-28.000 96-28.000 96-28.000
Yield 8.125484 9.003687 10.215171 12.215202
WAL 1.00126 0.77247 0.58796 0.42250
Mod Durn 0.905 0.702 0.536 0.385
Mod Convexity 0.019 0.012 0.007 0.004
Principal Window Dec03 - Oct07 Dec03 - Nov06 Dec03 - Feb06 Dec03 - Jun05
Maturity #mos 47 36 27 19
A15
Price 96-10 96-10 96-10 96-10
Yield 8.769182 9.833138 11.302224 13.730942
WAL 1.00126 0.77247 0.58796 0.42250
Mod Durn 0.898 0.697 0.531 0.381
Mod Convexity 0.018 0.012 0.007 0.004
Principal Window Dec03 - Oct07 Dec03 - Nov06 Dec03 - Feb06 Dec03 - Jun05
Maturity #mos 47 36 27 19
A16
Price 96-22.125 96-22.125 96-22.125 96-22.125
Yield 8.334645 9.273137 10.568179 12.707136
WAL 1.00126 0.77247 0.58796 0.42250
Mod Durn 0.902 0.700 0.534 0.383
Mod Convexity 0.019 0.012 0.007 0.004
Principal Window Dec03 - Oct07 Dec03 - Nov06 Dec03 - Feb06 Dec03 - Jun05
Maturity #mos 47 36 27 19
AX
Price 15-00.000 15-00.000 15-00.000 15-00.000
Yield -48.387338 -68.202000 -91.897269 -123.153590
WAL 1.10942 0.85561 0.65063 0.46656
Mod Durn 3.493 3.906 4.520 5.723
Mod Convexity 0.259 0.320 0.417 0.639
Principal Window NA - NA NA - NA NA - NA NA - NA
Maturity #mos 277 215 163 115
A1
Price 99-07.500 99-07.500 99-07.500 99-07.500
Yield 5.993205 6.114673 6.281600 6.555574
WAL 1.00152 0.77262 0.58805 0.42254
Mod Durn 0.927 0.723 0.554 0.401
Mod Convexity 0.019 0.012 0.008 0.005
Principal Window Dec03 - Oct07 Dec03 - Nov06 Dec03 - Feb06 Dec03 - Jun05
Maturity #mos 47 36 27 19
LIBOR_1MO 1.12 1.12 1.12 1.12
-------------------------------------------------------------------------------------------
THIS INFORMATION IS FURNISHED TO YOU SOLELY BY X.X. XXXXXX SECURITIES INC.
("JPMSI") AND NOT BY THE ISSUER OF THE SECURITIES OR ANY OF ITS AFFILIATES.
JPMSI IS NOT ACTING AS AGENT FOR THE ISSUER OR ITS AFFILIATES. THE INFORMATION
CONTAINED HEREIN WILL BE SUPERSEDED IN ITS ENTIRETY BY THE INFORMATION CONTAINED
IN THE FINAL PROSPECTUS AND PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
X.X. XXXXXX SECURITIES INC. SALES REPRESENTATIVE.
CHASE3S13B A13-Yield
---------------------------------------------------------------------------------------------------
Prepay Speed 50 PSA 100 PSA 300 PSA 400 PSA 500 PSA
Price Price(32nd) Xxxxx Xxxxx Xxxxx Xxxxx Xxxxx
---------------------------------------------------------------------------------------------------
85.0000 85-00 6.21539 6.25 6.64 6.91 7.21
85.1250 85-04 6.20934 6.24 6.63 6.89 7.19
85.2500 85-08 6.20330 6.24 6.62 6.88 7.18
85.3750 85-12 6.19726 6.23 6.61 6.87 7.16
85.5000 85-16 6.19124 6.22 6.60 6.86 7.15
85.6250 85-20 6.18523 6.22 6.59 6.84 7.13
85.7500 85-24 6.17922 6.21 6.58 6.83 7.12
85.8750 85-28 6.17323 6.21 6.57 6.82 7.10
86.0000 86-00 6.16724 6.20 6.56 6.81 7.09
WAL (#yr) 27.91512 25.79 15.86 12.67 10.26
Spread @ Center(bp) 124 136.00 216.00 255.00 294.00
First Princ 11/25/2029 46,106.00 42,302.00 41,419.00 40,780.00
Last Princ 09/25/2033 48,847.00 48,847.00 48,847.00 48,847.00
Mod Durn 24.176 22.96 14.61 11.70 9.54
Maturity (#mo) 358 358.00 358.00 358.00 358.00
Optional Redemption No No No No No
---------------------------------------------------------------------------------------------------
CHASE3S13B A1-Yield
---------------------------------------------------------------------------------------------------
Prepay Speed 50 PSA 100 PSA 300 PSA 400 PSA 500 PSA
Price Price(32nd) Xxxxx Xxxxx Xxxxx Xxxxx Xxxxx
---------------------------------------------------------------------------------------------------
101.5000 101-16 3.33084 3.10 3.04 3.04 3.04
101.6250 101-20 3.28180 3.04 2.97 2.97 2.97
101.7500 101-24 3.23285 2.97 2.90 2.90 2.90
101.8750 101-28 3.18399 2.91 2.83 2.83 2.83
102.0000 102-00 3.13522 2.84 2.76 2.76 2.76
102.1250 102-04 3.08653 2.78 2.70 2.70 2.70
102.2500 102-08 3.03793 2.71 2.63 2.63 2.63
102.3750 102-12 2.98942 2.65 2.56 2.56 2.56
102.5000 102-16 2.94099 2.59 2.49 2.49 2.49
WAL (#yr) 2.69849 2.00 1.87 1.87 1.87
Spread @ Center(bp) 90 99.00 98.00 98.00 98.00
First Princ 12/25/2003 37,980.00 37,980.00 37,980.00 37,980.00
Last Princ 09/25/2008 39,197.00 39,107.00 39,107.00 39,107.00
Mod Durn 2.507 1.89 1.78 1.78 1.78
Maturity (#mo) 58 41.00 38.00 38.00 38.00
Optional Redemption No No No No No
---------------------------------------------------------------------------------------------------
CHASE3S13B A2-Yield
-----------------------------------------------------------------------------------------------------
Prepay Speed 50 PSA 100 PSA 300 PSA 400 PSA 500 PSA
Price Price(32nd) Xxxxx Xxxxx Xxxxx Xxxxx Xxxxx
-----------------------------------------------------------------------------------------------------
99.5000 99-16 4.57165 4.58 4.59 4.59 4.59
99.6250 99-20 4.55335 4.56 4.56 4.56 4.56
99.7500 99-24 4.53509 4.53 4.53 4.53 4.53
99.8750 99-28 4.51685 4.51 4.50 4.50 4.50
100.0000 100-00 4.49864 4.48 4.48 4.48 4.47
100.1250 100-04 4.48046 4.46 4.45 4.45 4.44
100.2500 100-08 4.46230 4.43 4.42 4.42 4.41
100.3750 100-12 4.44418 4.41 4.40 4.40 4.38
100.5000 100-16 4.42608 4.38 4.37 4.37 4.35
WAL (#yr) 8.48673 5.87 5.36 5.36 4.62
Spread @ Center(bp) 60 111.00 121.00 121.00 143.00
First Princ 09/25/2008 39,197.00 39,107.00 39,107.00 39,107.00
Last Princ 02/25/2016 41,085.00 40,933.00 40,933.00 40,354.00
Mod Durn 6.847 5.02 4.64 4.64 4.07
Maturity (#mo) 147 103.00 98.00 98.00 79.00
Optional Redemption No No No No No
-----------------------------------------------------------------------------------------------------
CHASE3S13B A5-Yield
-------------------------------------------------------------------------------------------------
Prepay Speed 50 PSA 100 PSA 300 PSA 400 PSA 500 PSA
Price Price(32nd) Xxxxx Xxxxx Xxxxx Xxxxx Xxxxx
-------------------------------------------------------------------------------------------------
99.5000 99-16 5.07952 5.08 5.13 5.10 5.12
99.6250 99-20 5.05914 5.06 5.07 5.07 5.07
99.7500 99-24 5.03881 5.04 5.01 5.03 5.02
99.8750 99-28 5.01851 5.02 4.95 4.99 4.97
100.0000 100-00 4.99825 4.99 4.89 4.95 4.91
100.1250 100-04 4.97802 4.97 4.83 4.91 4.86
100.2500 100-08 4.95783 4.95 4.77 4.87 4.81
100.3750 100-12 4.93768 4.93 4.71 4.83 4.76
100.5000 100-16 4.91757 4.90 4.65 4.79 4.71
WAL (#yr) 7.91989 6.96 2.26 3.61 2.65
Spread @ Center(bp) 122 140.00 290.00 231.00 271.00
First Princ 12/25/2003 37,980.00 37,980.00 37,980.00 37,980.00
Last Princ 09/25/2016 41,603.00 39,197.00 40,933.00 39,258.00
Mod Durn 6.152 5.60 2.08 3.20 2.42
Maturity (#mo) 154 120.00 41.00 98.00 43.00
Optional Redemption No No No No No
-------------------------------------------------------------------------------------------------
CHASE3S13B A6-Yield
-------------------------------------------------------------------------------------------------
Prepay Speed 50 PSA 100 PSA 300 PSA 400 PSA 500 PSA
Price Price(32nd) Xxxxx Xxxxx Xxxxx Xxxxx Xxxxx
-------------------------------------------------------------------------------------------------
100.5000 100-16 5.16862 5.16 4.90 5.04 4.96
100.6250 100-20 5.14830 5.13 4.84 5.00 4.91
100.7500 100-24 5.12803 5.11 4.78 4.96 4.85
100.8750 100-28 5.10778 5.09 4.72 4.93 4.80
101.0000 101-00 5.08758 5.07 4.66 4.89 4.75
101.1250 101-04 5.06741 5.04 4.60 4.85 4.70
101.2500 101-08 5.04728 5.02 4.54 4.81 4.65
101.3750 101-12 5.02719 5.00 4.48 4.77 4.60
101.5000 101-16 5.00713 4.98 4.42 4.73 4.55
WAL (#yr) 7.91989 6.96 2.26 3.61 2.65
Spread @ Center(bp) 131 148.00 267.00 225.00 255.00
First Princ 12/25/2003 37,980.00 37,980.00 37,980.00 37,980.00
Last Princ 09/25/2016 41,603.00 39,197.00 40,933.00 39,258.00
Mod Durn 6.108 5.56 2.08 3.19 2.42
Maturity (#mo) 154 120.00 41.00 98.00 43.00
Optional Redemption No No No No No
-------------------------------------------------------------------------------------------------
CHASE3S13B A11-Yield
-----------------------------------------------------------------------------------------------------
Prepay Speed 50 PSA 100 PSA 300 PSA 400 PSA 500 PSA
Price Price(32nd) Xxxxx Xxxxx Xxxxx Xxxxx Xxxxx
-----------------------------------------------------------------------------------------------------
103.5000 103-16 4.77857 4.78 4.78 4.74 4.66
103.6250 103-20 4.75393 4.75 4.75 4.71 4.63
103.7500 103-24 4.72933 4.73 4.73 4.69 4.61
103.8750 103-28 4.70478 4.70 4.70 4.66 4.58
104.0000 104-00 4.68027 4.68 4.68 4.64 4.55
104.1250 104-04 4.65580 4.66 4.66 4.61 4.52
104.2500 104-08 4.63137 4.63 4.63 4.58 4.49
104.3750 104-12 4.60699 4.61 4.61 4.56 4.47
104.5000 104-16 4.58266 4.58 4.58 4.53 4.44
WAL (#yr) 5.98853 5.99 5.99 5.60 5.02
Spread @ Center(bp) 129 129.00 129.00 132.00 135.00
First Princ 12/25/2003 37,980.00 37,980.00 37,980.00 37,980.00
Last Princ 10/25/2014 41,937.00 41,876.00 41,054.00 40,476.00
Mod Durn 4.889 4.89 4.89 4.65 4.25
Maturity (#mo) 131 131.00 129.00 102.00 83.00
Optional Redemption No No No No No
-----------------------------------------------------------------------------------------------------