EXHIBIT 99.1
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Xxxxxx Xxxxxxx January 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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Computational Materials
$688,209,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2005-WMC1
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 January 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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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shall be deemed superseded and replaced in its entirety by such offering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 January 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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Approximately $688,209,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2005-WMC1
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Countrywide Home Loans Inc.
Servicer
Transaction Highlights
----------------------
Modified
Avg Life to Duration To
Offered Expected Ratings Call / Call /
Classes Description Balance (4) (S&P / Fitch / Moody's) Mty (1)(2) Mty (1)(2)(3) Payment Window To Call / Mty (1)(2)
------- ----------- ----------- ----------------------- ----------- ------------- -----------------------------------
A-1ss Not Offered 425,115,000 AAA/AAA/Aaa ***Not Offered***
A-1mz Floater 106,279,000 AAA/AAA/Aaa 2.41 / 2.62 2.26 / 2.43 03/05 - 05/12 / 03/05 - 09/20
A-2a Floater 166,533,000 AAA/AAA/Aaa 0.70 / 0.70 0.69 / 0.69 03/05 - 07/06 / 03/05 - 07/06
A-2b Floater 185,000,000 AAA/AAA/Aaa 2.99 / 2.99 2.84 / 2.84 07/06 - 09/11 / 07/06 - 09/11
A-2c Floater 37,000,000 AAA/AAA/Aaa 7.18 / 9.40 6.48 / 8.16 09/11 - 05/12 / 09/11 - 06/20
M-1 Floater 39,024,000 AA+/AA+/Aa1 5.00 / 5.54 4.62 / 5.02 08/08 - 05/12 / 08/08 - 09/18
M-2 Floater 35,006,000 AA/AA/Aa2 4.96 / 5.47 4.57 / 4.96 07/08 - 05/12 / 07/08 - 03/18
M-3 Floater 22,382,000 AA-/AA-/Aa3 4.92 / 5.42 4.53 / 4.91 06/08 - 05/12 / 06/08 - 07/17
M-4 Floater 20,085,000 A+/A+/A1 4.91 / 5.38 4.49 / 4.85 05/08 - 05/12 / 05/08 - 01/17
M-5 Floater 18,364,000 A/A/A2 4.90 / 5.34 4.48 / 4.81 05/08 - 05/12 / 05/08 - 07/16
M-6 Floater 17,217,000 A-/A-/A3 4.88 / 5.29 4.45 / 4.76 04/08 - 05/12 / 04/08 - 01/16
B-1 Floater 16,069,000 BBB+/BBB+/Baa1 4.88 / 5.23 4.38 / 4.64 04/08 - 05/12 / 04/08 - 05/15
B-2 Floater 12,625,000 BBB/BBB/Baa2 4.87 / 5.16 4.37 / 4.58 03/08 - 05/12 / 03/08 - 08/14
B-3 Floater 12,625,000 BBB-/BBB-/Baa3 4.86 / 5.04 4.24 / 4.37 03/08 - 05/12 / 03/08 - 12/13
Offered Initial
Classes Subordination Level Benchmark
------- ------------------- -----------
A-1ss 19.85% 1 Mo. LIBOR
A-1mz 19.85% 1 Mo. LIBOR
A-2a 19.85% 1 Mo. LIBOR
A-2b 19.85% 1 Mo. LIBOR
A-2c 19.85% 1 Mo. LIBOR
M-1 16.45% 1 Mo. LIBOR
M-2 13.40% 1 Mo. LIBOR
M-3 11.45% 1 Mo. LIBOR
M-4 9.70% 1 Mo. LIBOR
M-5 8.10% 1 Mo. LIBOR
M-6 6.60% 1 Mo. LIBOR
B-1 5.20% 1 Mo. LIBOR
B-2 4.10% 1 Mo. LIBOR
B-3 3.00% 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
2005-WMC1.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originator: WMC Mortgage Corp.
Servicer: Countrywide Home Loans Inc.
Trustee: Deustche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), Countrywide
Securities Corp. 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-1mz, A-2a, A-2b, A-2c, M-1, M-2,
M-3, M-4, M-5, M-6, B-1, B-2 and B-3
Certificates.
Class A Certificates: The Class A-1ss, A-1mz, A-2a, A-2b and A-2c
Certificates.
Group I Class A Certificates: The Class A-1ss and Class A-1mz Certificates.
Group II Class A Certificates: The Class A-2a, Class A-2b and Class A-2c
Certificates.
Class A Certificate Group: The Group I Class A Certificates and Group II
Class A Certificates, as applicable.
Expected Closing Date: February 24, 2005 through DTC and Euroclear
or Clearstream. The Certificates will be sold
without accrued interest.
Cut-off Date: February 1, 2005
Distribution Dates: The 25th of each month, or if such day is not
a business day, on the next business day,
beginning March 25, 2005.
Final Scheduled Distribution For all Offered Certificates, the
Date: Distribution Date occurring in January 2035.
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 Period: The interest accrual period for the Offered
Certificates 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 Loans: Approximately $663.0 million of Mortgage
Loans with original principal balances that
conform to the original principal balance
limits for one- to four-family residential
mortgage loan guidelines for purchase by
Xxxxxx Xxx.
Group II Mortgage Loans: Approximately $484.8 million of Mortgage
Loans that 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
Xxxxxx Xxx.
Pricing Prepayment Speed: o Fixed Rate Mortgage Loans: CPR starting
at approximately 4% CPR in month 1 and
increasing to 23% CPR in month 16
(19%/15 increase for each month), and
remaining at 23% CPR thereafter
o ARM Mortgage Loans: 28% CPR
Credit Enhancement: The Offered Certificates are credit enhanced
by:
1) Net monthly excess cashflow from the
Mortgage Loans,
2) 3.00% 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 6.00%
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,
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 Percentage: For any Distribution Date, the percentage
obtained by 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.
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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
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring
in March 2008; 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 39.70%.
Trigger Event: Either a Delinquency Trigger Event or a
Cumulative Loss Trigger Event.
Delinquency Trigger Event: A Delinquency Trigger Event is in effect on
any 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 Trigger Event: A Cumulative Loss Trigger Event is in effect
on any 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 3.00 for the first
month, plus an
additional 1/12th of
1.75 for each month
thereafter (e.g.,
approximately 3.875
in Month 43)
Months 49- 60 4.75 for the first
month, plus an
additional 1/12th of
1.50 for each month
thereafter (e.g.,
approximately 5.500
in Month 55)
Months 61- 72 6.25 for the first
month, plus an
additional 1/12th of
0.75 for each month
thereafter (e.g.,
approximately 6.625
in Month 67)
Months 73- thereafter 7.00
Sequential Trigger Event: A Sequential Trigger Event is in effect on
any Distribution Date if, before the 37th
Distribution Date, 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 [3.00]%,
or if, on or after the 37th Distribution
Date, a Trigger Event is in effect.
Initial Subordination Class A: 19.85%
Percentage: Class M-1: 16.45%
Class M-2: 13.40%
Class M-3: 11.45%
Class M-4: 9.70%
Class M-5: 8.10%
Class M-6: 6.60%
Class B-1: 5.20%
Class B-2: 4.10%
Class B-3: 3.00%
Optional Clean-up Call: When the current aggregate principal balance
of the 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.
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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
Group I Class A Certificates The Class A-1ss and A-1mz Certificates will
Pass-Through Rate: accrue interest at a 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.
Group II Class A Certificates The Class A-2a, A-2b and A-2c Certificates
Pass-Through Rate: will accrue interest at a 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 II Cap and
(iii) the WAC Cap.
Class M-1 Pass-Through Rate: The Class M-1 Certificates will accrue
interest at a 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 Pass-Through Rate: The Class M-2 Certificates will accrue
interest at a 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 Pass-Through Rate: The Class M-3 Certificates will accrue
interest at a 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-4 Pass-Through Rate: The Class M-4 Certificates will accrue
interest at a 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-5 Pass-Through Rate: The Class M-5 Certificates will accrue
interest at a 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-6 Pass-Through Rate: The Class M-6 Certificates will accrue
interest at a 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 Pass-Through Rate: The Class B-1 Certificates will accrue
interest at a 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 Pass-Through Rate: The Class B-2 Certificates will accrue
interest at a 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 Pass-Through Rate: The Class B-3 Certificates will accrue
interest at a 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.
WAC Cap: For any distribution date, the weighted
average of the mortgage rates for each
mortgage loan (in each case, less the
applicable Expense Fee Rate) then in effect
on the beginning of the related Due Period,
adjusted, in each case, to accrue on the
basis of a 360-day year and the actual number
of days in the related Interest Accrual
Period.
Loan Group I Cap: For any distribution date, the weighted
average of the mortgage rates for each group
I mortgage loan (in each case, less the
applicable Expense Fee Rate) then in effect
on the beginning of the related Due Period,
adjusted, in each case, to accrue on the
basis of a 360-day year and the actual number
of days in the related Interest Accrual
Period.
Loan Group II Cap: For any distribution date, the weighted
average of the mortgage rates for each group
II mortgage loan (in each case, less the
applicable Expense Fee Rate) then in effect
on the beginning of the related Due Period,
adjusted, in each case, to accrue on the
basis of a 360-day year and the actual number
of days in the related Interest Accrual
Period.
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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
Group I Class A Basis Risk As to any Distribution Date, the supplemental
Carry Forward Amount: interest amount for the Group I Class A
Certificates will equal the sum of:
(i) The excess, if any, of interest that
would otherwise be due on such
Certificates at the Group I Class A
Certificates 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 Group I Class A Basis Risk Carry
Forward Amount remaining unpaid from
prior Distribution Dates; and
(iii) Interest on the amount in clause (ii)
at the related Group I Class A
Certificates Pass-Through Rate (without
regard to the Loan Group I Cap or WAC
Cap).
Group II Class A Basis Risk As to any Distribution Date, the supplemental
Carry Forward Amount: interest amount for each of the Group II
Class A Certificates will equal the sum of:
(i) The excess, if any, of interest that
would otherwise be due on such
Certificates at the Group II Class A
Certificates 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 Group II Class A Basis Risk Carry
Forward Amount remaining unpaid from
prior Distribution Dates; and
(iii) Interest on the amount in clause (ii)
at the related Group II Class A
Certificates Pass-Through Rate (without
regard to the Loan Group II Cap or WAC
Cap).
Class M-1, M-2, M-3, M-4, M-5, As to any Distribution Date, the supplemental
M-6, B-1, B-2 and B-3 Basis interest amount for each of the Class M-1,
Risk Carry Forward Amounts: M-2, M-3, M-4, M-5, M-6, B-1, B-2 and B-3
Certificates will equal the sum of:
(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).
Interest Distributions on On each Distribution Date and after payments
Offered Certificates: of servicing and trustee fees and other
expenses, interest 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, pro rata
to the Group I Class A 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, pro rata to the Group I
Class A 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 M-4 Certificates, its
Accrued Certificate Interest;
(vii) To the Class M-5 Certificates, its
Accrued Certificate Interest;
(viii) To the Class M-6 Certificates, its
Accrued Certificate Interest;
(ix) To the Class B-1 Certificates, its
Accrued Certificate Interest;
(x) To the Class B-2 Certificates, its
Accrued Certificate Interest; and
(xi) To the Class B-3 Certificates, its
Accrued Certificate Interest.
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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 7
Principal Distributions on On each Distribution Date (a) prior to the
Offered Certificates: Stepdown Date or (b) on which a Trigger Event
is in effect, principal 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 M-4 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(vi) to the Class M-5 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(vii) to the Class M-6 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(viii) to the Class B-1 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(ix) to the Class B-2 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero; and
(x) 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 M-4 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-4
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(vi) to the Class M-5 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-5
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(vii) to the Class M-6 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-6
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(viii) 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;
(ix) 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
(x) 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 8
Class A Principal Allocation: Except as described below, the Group II Class
Certificates will receive principal
sequentially; the Class A-2b Certificates
will not receive principal distributions
until the Certificate Principal Balance of
the Class A-2a Certificates has been reduced
to zero, and the Class A-2c Certificates will
not receive principal distributions until the
Certificate Principal Balance of the Class
A-2b 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 Group I Class A 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 Group
I Class A 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
Group I Class A 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 I Class A Certificates are required to
be distributed pro rata between the Class
A-1ss Certificates and the Class A-1mz
Certificates, with the exception that if a
Sequential Trigger Event is in effect,
principal distributions from the Group I
Mortgage Loans will be distributed first, to
the Class A-1ss Certificates until their
Class Certificate balance has been reduced to
zero, and second, to the Class A-1mz
Certificates until their Class Certificate
balance has been reduced to zero.
Any principal distributions allocated to the
Group II Class A Certificates will be
allocated first to the Class A-2a
Certificates, until their Class Certificate
Balance has been reduced to zero, then to the
Class A-2b Certificates, until their Class
Certificate Balance has been reduced to zero,
and then to the Class A-2c 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
to the Class A-2a, Class A-2b and Class A-2c
Certificates.
Group I Class A Interest Rate Beginning on the first Distribution Date, and
Cap: for a period of 32 months thereafter, an
Interest Rate Cap will be entered into by the
Trust for the benefit of the Group I Class A
Certificates.
For its duration, the Group I 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 I Class A Interest Rate Cap Notional
Balance ("the Class Group I Class A Interest
Rate Cap Payment") as described on the
schedule herein.
Group I Class A Interest Rate The Group I Class A Interest Rate Cap Payment
Cap Payment Allocation: shall be available to pay any Basis Risk
Carry Forward Amount due to the Group I Class
A Certificates on a pro rata basis.
Group II Class A Interest Rate Beginning on the first Distribution Date, and
Cap: for a period of 32 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.
--------------------------------------------------------------------------------
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
Group II Class A Interest Rate The Group II Class A Interest Rate Cap
Cap Payment Allocation: Payment shall be available to pay any Basis
Risk Carry Forward Amount due to the Group II
Class A Certificates on a pro rata basis.
Class M Interest Rate Cap: Beginning on the first Distribution Date, and
for a period of 44 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 Rate Cap The Class M Interest Rate Cap Payment shall
Payment Allocation: be available to pay any Basis Risk Carry
Forward Amount due to the Class M-1, Class
M-2, Class M-3, Class M-4, Class M-5 and
Class M-6 Certificates on a pro rata basis.
Class B Interest Rate Cap: Beginning on the first Distribution Date, and
for a period of 44 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 Rate Cap The Class B Interest Rate Cap Payment shall
Payment Allocation: be available to pay any Basis Risk Carry
Forward Amount due to the Class B-1, Class
B-2 and Class B-3 Certificates on a pro rata
basis.
Allocation of Net Monthly For any Distribution Date, any Net Monthly
Excess Cashflow: Excess Cashflow shall be paid as follows:
(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 M-4 Certificates, the
unpaid interest shortfall amount;
(viii) to the Class M-4 Certificates, the
allocated unreimbursed realized loss
amount;
(ix) to the Class M-5 Certificates, the
unpaid interest shortfall amount;
(x) to the Class M-5 Certificates, the
allocated unreimbursed realized loss
amount;
(xi) to the Class M-6 Certificates, the
unpaid interest shortfall amount;
(xii) to the Class M-6 Certificates, the
allocated unreimbursed realized loss
amount;
(xiii) to the Class B-1 Certificates, the
unpaid interest shortfall amount;
(xiv) to the Class B-1 Certificates, the
allocated unreimbursed realized loss
amount;
(xv) to the Class B-2 Certificates, the
unpaid interest shortfall amount;
(xvi) to the Class B-2 Certificates, the
allocated unreimbursed realized loss
amount;
(xvii) to the Class B-3 Certificates, the
unpaid interest shortfall amount;
(xviii) to the Class B-3 Certificates, the
allocated unreimbursed realized loss
amount;
(xix) concurrently, any Group I Class A
Basis Risk Carry Forward Amount to
the Group I Class A Certificates, and
any Group II Class A Basis Risk Carry
Forward Amount to the Group II Class
A Certificates; and
(xx) sequentially, to Classes M-1, M-2,
M-3, M-4, M-5, M-6, B-1, B-2 and B-3
Certificates, in such order, any
Basis Risk Carry Forward Amount for
such classes.
Interest Remittance Amount: For any Distribution Date, the portion of
available funds for such Distribution Date
attributable to interest received or advanced
on the Mortgage Loans.
Accrued Certificate Interest: For any Distribution Date and each class of
Offered 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.
--------------------------------------------------------------------------------
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
Principal Distribution Amount: On any Distribution Date, the sum of (i) the
Basic Principal Distribution Amount and (ii)
the Extra Principal Distribution Amount.
Basic Principal Distribution On any Distribution Date, the excess of (i)
Amount: the aggregate principal remittance amount
over (ii) the Excess Subordinated Amount, if
any.
Net Monthly Excess Cashflow: For any Distribution Date is the amount of
funds available for distribution on such
Distribution Date remaining after making all
distributions of interest and principal on
the certificates.
Extra Principal Distribution For any Distribution Date, the lesser of (i)
Amount: the excess 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 Amount: For any Distribution Date, means the excess,
if any of (i) the overcollateralization and
(ii) the required overcollateralization for
such Distribution Date.
Class A Principal Allocation For any Distribution Date, the percentage
Percentage: equivalent of a fraction, determined as
follows: (i) in the case of the Group I 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 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 Distribution For any Distribution Date, an amount equal to
Amount: the excess 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 60.30% 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
$5,738,786.
Class M-1 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess 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 67.10% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period over
$5,738,786.
Class M-2 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess 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 73.20% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if
any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the
related Due Period over $5,738,786.
Class M-3 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess 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 77.10% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period over
$5,738,786.
--------------------------------------------------------------------------------
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
Class M-4 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess 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 M-4
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 80.60% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if
any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the
related Due Period over $5,738,786.
Class M-5 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess 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 M-4
Certificates (after taking into account the
payment of the Class M-4 Principal
Distribution Amount on such Distribution
Date) and (vi) the Certificate Principal
Balance of the Class M-5 Certificates
immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 83.80% 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
$5,738,786.
Class M-6 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess 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 M-4
Certificates (after taking into account the
payment of the Class M-4 Principal
Distribution Amount on such Distribution
Date), (vi) the Certificate Principal Balance
of the Class M-5 Certificates (after taking
into account the payment of the Class M-5
Principal Distribution Amount on such
Distribution Date) and (vii) the Certificate
Principal Balance of the Class M-6
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 86.80% 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 $5,738,786.
--------------------------------------------------------------------------------
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 B-1 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess 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 M-4
Certificates (after taking into account the
payment of the Class M-4 Principal
Distribution Amount on such Distribution
Date), (vi) the Certificate Principal Balance
of the Class M-5 Certificates (after taking
into account the payment of the Class M-5
Principal Distribution Amount on such
Distribution Date), (vii) the Certificate
Principal Balance of the Class M-6
Certificates (after taking into account the
payment of the Class M-6 Principal
Distribution Amount on such Distribution
Date) and (viii) 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 89.60% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period over
$5,738,786.
Class B-2 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess 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 M-4
Certificates (after taking into account the
payment of the Class M-4 Principal
Distribution Amount on such Distribution
Date), (vi) the Certificate Principal Balance
of the Class M-5 Certificates (after taking
into account the payment of the Class M-5
Principal Distribution Amount on such
Distribution Date), (vii) the Certificate
Principal Balance of the Class M-6
Certificates (after taking into account the
payment of the Class M-6 Principal
Distribution Amount on such Distribution
Date), (viii) 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 (ix) 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 91.80% 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 $5,738,786.
--------------------------------------------------------------------------------
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-3 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess 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 M-4
Certificates (after taking into account the
payment of the Class M-4 Principal
Distribution Amount on such Distribution
Date), (vi) the Certificate Principal Balance
of the Class M-5 Certificates (after taking
into account the payment of the Class M-5
Principal Distribution Amount on such
Distribution Date), (vii) the Certificate
Principal Balance of the Class M-6
Certificates (after taking into account the
payment of the Class M-6 Principal
Distribution Amount on such Distribution
Date), (viii) 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), (ix) 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 (x) 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 94.00% 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
$5,738,786.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the
Prospectus, all Offered Certificates are
ERISA eligible.
SMMEA Eligibility: It is anticipated that none of the Offered
Certificates will be SMMEA eligible.
Prospectus: The Class A-1mz, Class A-2a, Class A-2b,
Class A-2c, Class M-1, Class M-2, Class M-3,
Class M-4, Class M-5, Class M-6, 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 14
Weighted Average Life Sensitivity
To CALL
PPC (%) 50 60 75 100
----------------------------------------------------------------------------------------------------------------------------
A-1mz WAL (yrs) 4.91 4.13 3.30 2.41
First Payment Date 3/25/2005 3/25/2005 3/25/2005 3/25/2005
Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012
Window 1 - 174 1 - 147 1 - 118 1 - 87
----------------------------------------------------------------------------------------------------------------------------
A-2a WAL (yrs) 1.38 1.16 0.93 0.70
First Payment Date 3/25/2005 3/25/2005 3/25/2005 3/25/2005
Expected Final Maturity 1/25/2008 7/25/2007 1/25/2007 7/25/2006
Window 1 - 35 1 - 29 1 - 23 1 - 17
----------------------------------------------------------------------------------------------------------------------------
A-2b WAL (yrs) 6.31 5.27 4.19 2.99
First Payment Date 1/25/2008 7/25/2007 1/25/2007 7/25/2006
Expected Final Maturity 5/25/2018 4/25/2016 1/25/2014 9/25/2011
Window 35 - 159 29 - 134 23 - 107 17 - 79
----------------------------------------------------------------------------------------------------------------------------
A-2c WAL (yrs) 14.38 12.15 9.74 7.18
First Payment Date 5/25/2018 4/25/2016 1/25/2014 9/25/2011
Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012
Window 159 - 174 134 - 147 107 - 118 79 - 87
----------------------------------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 9.61 8.08 6.46 5.00
First Payment Date 10/25/2009 12/25/2008 3/25/2008 8/25/2008
Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012
Window 56 - 174 46 - 147 37 - 118 42 - 87
---------------------------------------------------------------------------------------------------------------------------
M-2 WAL (yrs) 9.61 8.08 6.46 4.96
First Payment Date 10/25/2009 12/25/2008 3/25/2008 7/25/2008
Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012
Window 56 - 174 46 - 147 37 - 118 41 - 87
----------------------------------------------------------------------------------------------------------------------------
M-3 WAL (yrs) 9.61 8.08 6.46 4.92
First Payment Date 10/25/2009 12/25/2008 3/25/2008 6/25/2008
Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012
Window 56 - 174 46 - 147 37 - 118 40 - 87
----------------------------------------------------------------------------------------------------------------------------
M-4 WAL (yrs) 9.61 8.08 6.46 4.91
First Payment Date 10/25/2009 12/25/2008 3/25/2008 5/25/2008
Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012
Window 56 - 174 46 - 147 37 - 118 39 - 87
----------------------------------------------------------------------------------------------------------------------------
M-5 WAL (yrs) 9.61 8.08 6.46 4.90
First Payment Date 10/25/2009 12/25/2008 3/25/2008 5/25/2008
Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012
Window 56 - 174 46 - 147 37 - 118 39 - 87
----------------------------------------------------------------------------------------------------------------------------
M-6 WAL (yrs) 9.61 8.08 6.46 4.88
First Payment Date 10/25/2009 12/25/2008 3/25/2008 4/25/2008
Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012
Window 56 - 174 46 - 147 37 - 118 38 - 87
----------------------------------------------------------------------------------------------------------------------------
B-1 WAL (yrs) 9.61 8.08 6.46 4.88
First Payment Date 10/25/2009 12/25/2008 3/25/2008 4/25/2008
Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012
Window 56 - 174 46 - 147 37 - 118 38 - 87
----------------------------------------------------------------------------------------------------------------------------
B-2 WAL (yrs) 9.61 8.08 6.46 4.87
First Payment Date 10/25/2009 12/25/2008 3/25/2008 3/25/2008
Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012
Window 56 - 174 46 - 147 37 - 118 37 - 87
----------------------------------------------------------------------------------------------------------------------------
B-3 WAL (yrs) 9.61 8.08 6.46 4.86
First Payment Date 10/25/2009 12/25/2008 3/25/2008 3/25/2008
Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012
Window 56 - 174 46 - 147 37 - 118 37 - 87
PPC (%) 125 150 175
--------------------------------------------------------------------------------------------------
A-1mz WAL (yrs) 1.78 1.29 1.04
First Payment Date 3/25/2005 3/25/2005 3/25/2005
Expected Final Maturity 10/25/2010 9/25/2009 10/25/2007
Window 1 - 68 1 - 55 1 - 32
--------------------------------------------------------------------------------------------------
A-2a WAL (yrs) 0.55 0.45 0.38
First Payment Date 3/25/2005 3/25/2005 3/25/2005
Expected Final Maturity 3/25/2006 1/25/2006 11/25/2005
Window 1 - 13 1 - 11 1 - 9
--------------------------------------------------------------------------------------------------
A-2b WAL (yrs) 2.09 1.62 1.34
First Payment Date 3/25/2006 1/25/2006 11/25/2005
Expected Final Maturity 3/25/2010 9/25/2007 3/25/2007
Window 13 - 61 11 - 31 9 - 25
--------------------------------------------------------------------------------------------------
A-2c WAL (yrs) 5.60 3.21 2.37
First Payment Date 3/25/2010 9/25/2007 3/25/2007
Expected Final Maturity 10/25/2010 9/25/2009 10/25/2007
Window 61 - 68 31 - 55 25 - 32
--------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 4.65 4.59 3.51
First Payment Date 3/25/2009 9/25/2009 10/25/2007
Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008
Window 49 - 68 55 - 55 32 - 45
--------------------------------------------------------------------------------------------------
M-2 WAL (yrs) 4.42 4.53 3.75
First Payment Date 11/25/2008 6/25/2009 11/25/2008
Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008
Window 45 - 68 52 - 55 45 - 45
--------------------------------------------------------------------------------------------------
M-3 WAL (yrs) 4.29 4.24 3.75
First Payment Date 9/25/2008 2/25/2009 11/25/2008
Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008
Window 43 - 68 48 - 55 45 - 45
--------------------------------------------------------------------------------------------------
M-4 WAL (yrs) 4.22 4.05 3.65
First Payment Date 8/25/2008 11/25/2008 8/25/2008
Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008
Window 42 - 68 45 - 55 42 - 45
--------------------------------------------------------------------------------------------------
M-5 WAL (yrs) 4.17 3.91 3.48
First Payment Date 7/25/2008 9/25/2008 6/25/2008
Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008
Window 41 - 68 43 - 55 40 - 45
--------------------------------------------------------------------------------------------------
M-6 WAL (yrs) 4.13 3.81 3.35
First Payment Date 6/25/2008 8/25/2008 4/25/2008
Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008
Window 40 - 68 42 - 55 38 - 45
--------------------------------------------------------------------------------------------------
B-1 WAL (yrs) 4.09 3.73 3.26
First Payment Date 5/25/2008 6/25/2008 2/25/2008
Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008
Window 39 - 68 40 - 55 36 - 45
--------------------------------------------------------------------------------------------------
B-2 WAL (yrs) 4.07 3.67 3.19
First Payment Date 4/25/2008 5/25/2008 1/25/2008
Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008
Window 38 - 68 39 - 55 35 - 45
--------------------------------------------------------------------------------------------------
B-3 WAL (yrs) 4.04 3.63 3.14
First Payment Date 4/25/2008 5/25/2008 1/25/2008
Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008
Window 38 - 68 39 - 55 35 - 45
--------------------------------------------------------------------------------
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 MATURITY
PPC (%) 50 60 75 100
-----------------------------------------------------------------------------------------------------------------------------
A-1mz WAL (yrs) 5.19 4.41 3.57 2.62
First Payment Date 3/25/2005 3/25/2005 3/25/2005 3/25/2005
Expected Final Maturity 3/25/2031 12/25/2028 6/25/2025 9/25/2020
Window 1 - 313 1 - 286 1 - 244 1 - 187
-----------------------------------------------------------------------------------------------------------------------------
A-2a WAL (yrs) 1.38 1.16 0.93 0.70
First Payment Date 3/25/2005 3/25/2005 3/25/2005 3/25/2005
Expected Final Maturity 1/25/2008 7/25/2007 1/25/2007 7/25/2006
Window 1 - 35 1 - 29 1 - 23 1 - 17
-----------------------------------------------------------------------------------------------------------------------------
A-2b WAL (yrs) 6.31 5.27 4.19 2.99
First Payment Date 1/25/2008 7/25/2007 1/25/2007 7/25/2006
Expected Final Maturity 5/25/2018 4/25/2016 1/25/2014 9/25/2011
Window 35 - 159 29 - 134 23 - 107 17 - 79
-----------------------------------------------------------------------------------------------------------------------------
A-2c WAL (yrs) 17.49 15.26 12.54 9.40
First Payment Date 5/25/2018 4/25/2016 1/25/2014 9/25/2011
Expected Final Maturity 8/25/2031 4/25/2029 8/25/2025 6/25/2020
Window 159 - 318 134 - 290 107 - 246 79 - 184
-----------------------------------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 10.35 8.81 7.12 5.54
First Payment Date 10/25/2009 12/25/2008 3/25/2008 8/25/2008
Expected Final Maturity 10/25/2028 1/25/2026 5/25/2022 9/25/2018
Window 56 - 284 46 - 251 37 - 207 42 - 163
-----------------------------------------------------------------------------------------------------------------------------
M-2 WAL (yrs) 10.32 8.79 7.10 5.47
First Payment Date 10/25/2009 12/25/2008 3/25/2008 7/25/2008
Expected Final Maturity 1/25/2028 4/25/2025 9/25/2021 3/25/2018
Window 56 - 275 46 - 242 37 - 199 41 - 157
-----------------------------------------------------------------------------------------------------------------------------
M-3 WAL (yrs) 10.29 8.76 7.07 5.42
First Payment Date 10/25/2009 12/25/2008 3/25/2008 6/25/2008
Expected Final Maturity 3/25/2027 5/25/2024 12/25/2020 7/25/2017
Window 56 - 265 46 - 231 37 - 190 40 - 149
-----------------------------------------------------------------------------------------------------------------------------
M-4 WAL (yrs) 10.26 8.73 7.05 5.38
First Payment Date 10/25/2009 12/25/2008 3/25/2008 5/25/2008
Expected Final Maturity 7/25/2026 9/25/2023 4/25/2020 1/25/2017
Window 56 - 257 46 - 223 37 - 182 39 - 143
-----------------------------------------------------------------------------------------------------------------------------
M-5 WAL (yrs) 10.22 8.69 7.04 5.34
First Payment Date 10/25/2009 12/25/2008 3/25/2008 5/25/2008
Expected Final Maturity 10/25/2025 1/25/2023 11/25/2019 7/25/2016
Window 56 - 248 46 - 215 37 - 177 39 - 137
-----------------------------------------------------------------------------------------------------------------------------
M-6 WAL (yrs) 10.16 8.64 7.00 5.29
First Payment Date 10/25/2009 12/25/2008 3/25/2008 4/25/2008
Expected Final Maturity 12/25/2024 3/25/2022 9/25/2019 1/25/2016
Window 56 - 238 46 - 205 37 - 175 38 - 131
-----------------------------------------------------------------------------------------------------------------------------
B-1 WAL (yrs) 10.08 8.56 6.94 5.23
First Payment Date 10/25/2009 12/25/2008 3/25/2008 4/25/2008
Expected Final Maturity 12/25/2023 4/25/2021 12/25/2018 5/25/2015
Window 56 - 226 46 - 194 37 - 166 38 - 123
-----------------------------------------------------------------------------------------------------------------------------
B-2 WAL (yrs) 9.96 8.48 6.84 5.16
First Payment Date 10/25/2009 12/25/2008 3/25/2008 3/25/2008
Expected Final Maturity 9/25/2022 2/25/2020 12/25/2017 8/25/2014
Window 56 - 211 46 - 180 37 - 154 37 - 114
-----------------------------------------------------------------------------------------------------------------------------
B-3 WAL (yrs) 9.78 8.38 6.71 5.04
First Payment Date 10/25/2009 12/25/2008 3/25/2008 3/25/2008
Expected Final Maturity 6/25/2021 11/25/2019 1/25/2017 12/25/2013
Window 56 - 196 46 - 177 37 - 143 37 - 106
PPC (%) 125 150 175
--------------------------------------------------------------------------------------------------------------
A-1mz WAL (yrs) 1.95 1.38 1.04
First Payment Date 3/25/2005 3/25/2005 3/25/2005
Expected Final Maturity 1/25/2018 7/25/2015 10/25/2007
Window 1 - 155 1 - 125 1 - 32
--------------------------------------------------------------------------------------------------------------
A-2a WAL (yrs) 0.55 0.45 0.38
First Payment Date 3/25/2005 3/25/2005 3/25/2005
Expected Final Maturity 3/25/2006 1/25/2006 11/25/2005
Window 1 - 13 1 - 11 1 - 9
--------------------------------------------------------------------------------------------------------------
A-2b WAL (yrs) 2.09 1.62 1.34
First Payment Date 3/25/2006 1/25/2006 11/25/2005
Expected Final Maturity 3/25/2010 9/25/2007 3/25/2007
Window 13 - 61 11 - 31 9 - 25
--------------------------------------------------------------------------------------------------------------
A-2c WAL (yrs) 7.31 4.06 2.37
First Payment Date 3/25/2010 9/25/2007 3/25/2007
Expected Final Maturity 11/25/2017 4/25/2015 10/25/2007
Window 61 - 153 31 - 122 25 - 32
--------------------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 5.07 5.93 5.65
First Payment Date 3/25/2009 2/25/2010 10/25/2007
Expected Final Maturity 10/25/2015 9/25/2013 9/25/2013
Window 49 - 128 60 - 103 32 - 103
--------------------------------------------------------------------------------------------------------------
M-2 WAL (yrs) 4.82 4.94 4.75
First Payment Date 11/25/2008 6/25/2009 4/25/2009
Expected Final Maturity 4/25/2015 5/25/2013 11/25/2011
Window 45 - 122 52 - 99 50 - 81
--------------------------------------------------------------------------------------------------------------
M-3 WAL (yrs) 4.68 4.54 4.16
First Payment Date 9/25/2008 2/25/2009 11/25/2008
Expected Final Maturity 11/25/2014 12/25/2012 7/25/2011
Window 43 - 117 48 - 94 45 - 77
--------------------------------------------------------------------------------------------------------------
M-4 WAL (yrs) 4.59 4.34 3.89
First Payment Date 8/25/2008 11/25/2008 8/25/2008
Expected Final Maturity 6/25/2014 8/25/2012 4/25/2011
Window 42 - 112 45 - 90 42 - 74
--------------------------------------------------------------------------------------------------------------
M-5 WAL (yrs) 4.51 4.18 3.71
First Payment Date 7/25/2008 9/25/2008 6/25/2008
Expected Final Maturity 1/25/2014 4/25/2012 1/25/2011
Window 41 - 107 43 - 86 40 - 71
--------------------------------------------------------------------------------------------------------------
M-6 WAL (yrs) 4.44 4.06 3.56
First Payment Date 6/25/2008 8/25/2008 4/25/2008
Expected Final Maturity 8/25/2013 12/25/2011 9/25/2010
Window 40 - 102 42 - 82 38 - 67
--------------------------------------------------------------------------------------------------------------
B-1 WAL (yrs) 4.37 3.95 3.44
First Payment Date 5/25/2008 6/25/2008 2/25/2008
Expected Final Maturity 2/25/2013 7/25/2011 6/25/2010
Window 39 - 96 40 - 77 36 - 64
--------------------------------------------------------------------------------------------------------------
B-2 WAL (yrs) 4.29 3.84 3.34
First Payment Date 4/25/2008 5/25/2008 1/25/2008
Expected Final Maturity 7/25/2012 2/25/2011 1/25/2010
Window 38 - 89 39 - 72 35 - 59
--------------------------------------------------------------------------------------------------------------
B-3 WAL (yrs) 4.18 3.73 3.23
First Payment Date 4/25/2008 5/25/2008 1/25/2008
Expected Final Maturity 12/25/2011 8/25/2010 8/25/2009
Window 38 - 82 39 - 66 35 - 54
--------------------------------------------------------------------------------
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
CPR Sensitivity
To CALL
CPR (%) 20 25 30
-----------------------------------------------------------------------------------------------------------------------------
A-1mz WAL (yrs) 3.26 2.54 2.01
First Payment Date 3/25/2005 3/25/2005 3/25/2005
Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011
Window 1 - 118 1 - 93 1 - 76
-----------------------------------------------------------------------------------------------------------------------------
A-2a WAL (yrs) 0.90 0.71 0.58
First Payment Date 3/25/2005 3/25/2005 3/25/2005
Expected Final Maturity 1/25/2007 8/25/2006 4/25/2006
Window 1 - 23 1 - 18 1 - 14
-----------------------------------------------------------------------------------------------------------------------------
A-2b WAL (yrs) 4.19 3.23 2.48
First Payment Date 1/25/2007 8/25/2006 4/25/2006
Expected Final Maturity 2/25/2014 3/25/2012 11/25/2010
Window 23 - 108 18 - 85 14 - 69
-----------------------------------------------------------------------------------------------------------------------------
A-2c WAL (yrs) 9.76 7.69 6.28
First Payment Date 2/25/2014 3/25/2012 11/25/2010
Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011
Window 108 - 118 85 - 93 69 - 76
-----------------------------------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 6.45 5.23 4.72
First Payment Date 3/25/2008 7/25/2008 12/25/2008
Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011
Window 37 - 118 41 - 93 46 - 76
-----------------------------------------------------------------------------------------------------------------------------
M-2 WAL (yrs) 6.45 5.20 4.59
First Payment Date 3/25/2008 6/25/2008 9/25/2008
Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011
Window 37 - 118 40 - 93 43 - 76
-----------------------------------------------------------------------------------------------------------------------------
M-3 WAL (yrs) 6.45 5.18 4.52
First Payment Date 3/25/2008 5/25/2008 8/25/2008
Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011
Window 37 - 118 39 - 93 42 - 76
-----------------------------------------------------------------------------------------------------------------------------
M-4 WAL (yrs) 6.45 5.17 4.47
First Payment Date 3/25/2008 5/25/2008 7/25/2008
Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011
Window 37 - 118 39 - 93 41 - 76
-----------------------------------------------------------------------------------------------------------------------------
M-5 WAL (yrs) 6.45 5.16 4.44
First Payment Date 3/25/2008 4/25/2008 6/25/2008
Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011
Window 37 - 118 38 - 93 40 - 76
-----------------------------------------------------------------------------------------------------------------------------
M-6 WAL (yrs) 6.45 5.16 4.41
First Payment Date 3/25/2008 4/25/2008 5/25/2008
Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011
Window 37 - 118 38 - 93 39 - 76
-----------------------------------------------------------------------------------------------------------------------------
B-1 WAL (yrs) 6.45 5.16 4.40
First Payment Date 3/25/2008 4/25/2008 4/25/2008
Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011
Window 37 - 118 38 - 93 38 - 76
-----------------------------------------------------------------------------------------------------------------------------
B-2 WAL (yrs) 6.45 5.14 4.37
First Payment Date 3/25/2008 3/25/2008 4/25/2008
Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011
Window 37 - 118 37 - 93 38 - 76
-----------------------------------------------------------------------------------------------------------------------------
B-3 WAL (yrs) 6.45 5.14 4.37
First Payment Date 3/25/2008 3/25/2008 4/25/2008
Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011
Window 37 - 118 37 - 93 38 - 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 17
CPR Sensitivity
To MATURITY
CPR (%) 20 25 30
-----------------------------------------------------------------------------------------------------------------------------
A-1mz WAL (yrs) 3.52 2.76 2.19
First Payment Date 3/25/2005 3/25/2005 3/25/2005
Expected Final Maturity 7/25/2025 10/25/2021 2/25/2019
Window 1 - 245 1 - 200 1 - 168
-----------------------------------------------------------------------------------------------------------------------------
A-2a WAL (yrs) 0.90 0.71 0.58
First Payment Date 3/25/2005 3/25/2005 3/25/2005
Expected Final Maturity 1/25/2007 8/25/2006 4/25/2006
Window 1 - 23 1 - 18 1 - 14
-----------------------------------------------------------------------------------------------------------------------------
A-2b WAL (yrs) 4.19 3.23 2.48
First Payment Date 1/25/2007 8/25/2006 4/25/2006
Expected Final Maturity 2/25/2014 3/25/2012 11/25/2010
Window 23 - 108 18 - 85 14 - 69
-----------------------------------------------------------------------------------------------------------------------------
A-2c WAL (yrs) 12.76 10.18 8.34
First Payment Date 2/25/2014 3/25/2012 11/25/2010
Expected Final Maturity 1/25/2026 2/25/2022 5/25/2019
Window 108 - 251 85 - 204 69 - 171
-----------------------------------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 7.12 5.80 5.18
First Payment Date 3/25/2008 7/25/2008 12/25/2008
Expected Final Maturity 9/25/2022 7/25/2019 12/25/2016
Window 37 - 211 41 - 173 46 - 142
-----------------------------------------------------------------------------------------------------------------------------
M-2 WAL (yrs) 7.10 5.75 5.03
First Payment Date 3/25/2008 6/25/2008 9/25/2008
Expected Final Maturity 1/25/2022 12/25/2018 6/25/2016
Window 37 - 203 40 - 166 43 - 136
-----------------------------------------------------------------------------------------------------------------------------
M-3 WAL (yrs) 7.07 5.71 4.95
First Payment Date 3/25/2008 5/25/2008 8/25/2008
Expected Final Maturity 4/25/2021 5/25/2018 12/25/2015
Window 37 - 194 39 - 159 42 - 130
-----------------------------------------------------------------------------------------------------------------------------
M-4 WAL (yrs) 7.05 5.68 4.88
First Payment Date 3/25/2008 5/25/2008 7/25/2008
Expected Final Maturity 8/25/2020 11/25/2017 7/25/2015
Window 37 - 186 39 - 153 41 - 125
-----------------------------------------------------------------------------------------------------------------------------
M-5 WAL (yrs) 7.02 5.64 4.83
First Payment Date 3/25/2008 4/25/2008 6/25/2008
Expected Final Maturity 1/25/2020 4/25/2017 2/25/2015
Window 37 - 179 38 - 146 40 - 120
-----------------------------------------------------------------------------------------------------------------------------
M-6 WAL (yrs) 6.99 5.59 4.77
First Payment Date 3/25/2008 4/25/2008 5/25/2008
Expected Final Maturity 9/25/2019 9/25/2016 8/25/2014
Window 37 - 175 38 - 139 39 - 114
-----------------------------------------------------------------------------------------------------------------------------
B-1 WAL (yrs) 6.92 5.54 4.71
First Payment Date 3/25/2008 4/25/2008 4/25/2008
Expected Final Maturity 11/25/2018 1/25/2016 1/25/2014
Window 37 - 165 38 - 131 38 - 107
-----------------------------------------------------------------------------------------------------------------------------
B-2 WAL (yrs) 6.83 5.45 4.62
First Payment Date 3/25/2008 3/25/2008 4/25/2008
Expected Final Maturity 12/25/2017 4/25/2015 6/25/2013
Window 37 - 154 37 - 122 38 - 100
-----------------------------------------------------------------------------------------------------------------------------
B-3 WAL (yrs) 6.69 5.34 4.53
First Payment Date 3/25/2008 3/25/2008 4/25/2008
Expected Final Maturity 1/25/2017 7/25/2014 10/25/2012
Window 37 - 143 37 - 113 38 - 92
--------------------------------------------------------------------------------
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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-1mz Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap
(%) (%) (%) (%) (%) (%) (%)
Period ---------- ---------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ---------- ----------
0 - - - - - - -
1 10.45 10.44 10.44 10.44 9.67 9.67 9.67
2 10.00 10.00 10.00 10.00 9.23 9.23 9.23
3 10.23 10.23 10.23 10.23 9.45 9.45 9.45
4 10.03 10.03 10.03 10.03 9.24 9.24 9.24
5 10.26 10.26 10.26 10.26 9.46 9.46 9.46
6 10.05 10.06 10.06 10.06 9.25 9.25 9.25
7 10.07 10.07 10.07 10.07 9.26 9.26 9.26
8 10.30 10.21 10.21 10.21 9.48 9.48 9.48
9 10.09 10.00 10.00 10.00 9.27 9.27 9.27
10 10.23 10.24 10.24 10.24 9.48 9.48 9.48
11 10.02 10.03 10.03 10.03 9.27 9.27 9.27
12 10.04 10.04 10.04 10.04 9.27 9.27 9.27
13 10.78 10.78 10.78 10.78 9.97 9.97 9.97
14 10.07 10.07 10.07 10.07 9.28 9.28 9.28
15 10.31 10.22 10.22 10.22 9.49 9.49 9.49
16 10.00 10.01 10.01 10.01 9.28 9.28 9.28
17 10.25 10.25 10.25 10.25 9.50 9.50 9.50
18 10.03 - 10.04 10.04 9.29 9.29 9.29
19 10.05 - 10.06 10.06 9.29 9.29 9.29
20 10.30 - 10.31 10.31 9.50 9.50 9.50
21 10.10 - 10.10 10.10 9.29 9.29 9.29
22 10.28 - 10.25 10.25 9.76 9.76 9.76
23 10.03 - 10.00 10.00 9.50 9.50 9.50
24 10.06 - 10.03 10.03 9.50 9.50 9.50
25 10.98 - 10.97 10.97 10.33 10.33 10.33
26 10.12 - 10.09 10.09 9.50 9.50 9.50
27 10.43 - 10.40 10.40 9.76 9.76 9.76
28 10.02 - 10.00 10.00 9.73 9.73 9.73
29 10.37 - 10.35 10.35 10.01 10.01 10.01
30 10.10 - 10.08 10.08 9.72 9.72 9.72
31 10.15 - 10.12 10.12 9.72 9.72 9.72
32 10.51 - 10.49 10.49 10.00 10.00 10.00
33 10.25 - 10.23 10.23 9.73 9.73 9.73
34 10.69 - 10.81 10.81 10.32 10.32 10.32
35 10.41 - 10.52 10.52 10.01 10.01 10.01
36 10.47 - 10.59 10.59 10.01 10.01 10.01
37 58.07 - 58.20 58.20 10.64 10.64 10.64
38 13.82 - 13.94 13.94 10.01 10.01 10.01
39 14.15 - 14.27 14.27 10.31 10.31 10.31
40 14.33 - 14.45 14.45 10.69 10.69 10.69
41 14.68 - 14.81 14.81 10.77 10.77 10.77
42 14.09 - 14.21 14.21 10.44 10.44 10.44
43 13.98 - 14.10 14.10 10.44 10.44 10.44
44 14.33 - 14.45 14.45 10.76 10.76 10.76
M-4 Cap M-5 Cap M-6 Cap B-1 Cap B-2 Cap B-3 Cap
(%) (%) (%) (%) (%) (%)
Period ---------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ----------
0 - - - - - -
1 9.67 9.67 9.67 9.67 9.67 9.67
2 9.23 9.23 9.23 9.23 9.23 9.23
3 9.45 9.45 9.45 9.45 9.45 9.45
4 9.24 9.24 9.24 9.24 9.24 9.24
5 9.46 9.46 9.46 9.46 9.46 9.46
6 9.25 9.25 9.25 9.25 9.25 9.25
7 9.26 9.26 9.26 9.26 9.26 9.26
8 9.48 9.48 9.48 9.48 9.48 9.48
9 9.27 9.27 9.27 9.27 9.27 9.27
10 9.48 9.48 9.48 9.48 9.48 9.48
11 9.27 9.27 9.27 9.27 9.27 9.27
12 9.27 9.27 9.27 9.27 9.27 9.27
13 9.97 9.97 9.97 9.97 9.97 9.97
14 9.28 9.28 9.28 9.28 9.28 9.28
15 9.49 9.49 9.49 9.49 9.49 9.49
16 9.28 9.28 9.28 9.28 9.28 9.28
17 9.50 9.50 9.50 9.50 9.50 9.50
18 9.29 9.29 9.29 9.29 9.29 9.29
19 9.29 9.29 9.29 9.29 9.29 9.29
20 9.50 9.50 9.50 9.50 9.50 9.50
21 9.29 9.29 9.29 9.29 9.29 9.29
22 9.76 9.76 9.76 9.76 9.76 9.76
23 9.50 9.50 9.50 9.50 9.50 9.50
24 9.50 9.50 9.50 9.50 9.50 9.50
25 10.33 10.33 10.33 10.33 10.33 10.33
26 9.50 9.50 9.50 9.50 9.50 9.50
27 9.76 9.76 9.76 9.76 9.76 9.76
28 9.73 9.73 9.73 9.73 9.73 9.73
29 10.01 10.01 10.01 10.01 10.01 10.01
30 9.72 9.72 9.72 9.72 9.72 9.72
31 9.72 9.72 9.72 9.72 9.72 9.72
32 10.00 10.00 10.00 10.00 10.00 10.00
33 9.73 9.73 9.73 9.73 9.73 9.73
34 10.32 10.32 10.32 10.32 10.32 10.32
35 10.01 10.01 10.01 10.01 10.01 10.01
36 10.01 10.01 10.01 10.01 10.01 10.01
37 10.64 10.64 10.64 10.64 10.64 10.64
38 10.01 10.01 10.01 10.01 10.01 10.01
39 10.31 10.31 10.31 10.31 10.31 10.31
40 10.69 10.69 10.69 10.69 10.69 10.69
41 10.77 10.77 10.77 10.77 10.77 10.77
42 10.44 10.44 10.44 10.44 10.44 10.44
43 10.44 10.44 10.44 10.44 10.44 10.44
44 10.76 10.76 10.76 10.76 10.76 10.76
(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 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-1mz Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap
(%) (%) (%) (%) (%) (%) (%)
Period ---------- ---------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ---------- ----------
45 13.78 - 13.90 13.90 10.43 10.43 10.43
46 14.93 - 15.01 15.01 10.78 10.78 10.78
47 14.45 - 14.52 14.52 10.43 10.43 10.43
48 14.44 - 14.52 14.52 10.42 10.42 10.42
49 15.99 - 16.07 16.07 11.54 11.54 11.54
50 14.44 - 14.52 14.52 10.42 10.42 10.42
51 14.92 - 15.00 15.00 10.76 10.76 10.76
52 14.97 - 14.96 14.96 10.87 10.87 10.87
53 15.46 - 15.46 15.46 11.23 11.23 11.23
54 14.96 - 14.96 14.96 10.86 10.86 10.86
55 14.95 - 14.95 14.95 10.86 10.86 10.86
56 15.45 - 15.45 15.45 11.22 11.22 11.22
57 14.95 - 14.95 14.95 10.86 10.86 10.86
58 15.60 - 15.66 15.66 11.37 11.37 11.37
59 15.09 - 15.15 15.15 11.00 11.00 11.00
60 15.09 - 15.15 15.15 11.00 11.00 11.00
61 16.70 - 16.77 16.77 12.17 12.17 12.17
62 15.08 - 15.14 15.14 10.99 10.99 10.99
63 15.58 - 15.64 15.64 11.35 11.35 11.35
64 15.10 - 15.18 15.18 11.02 11.02 11.02
65 15.60 - 15.68 15.68 11.38 11.38 11.38
66 15.10 - 15.17 15.17 11.01 11.01 11.01
67 15.09 - 15.17 15.17 11.01 11.01 11.01
68 15.59 - 15.67 15.67 11.37 11.37 11.37
69 15.08 - 15.16 15.16 11.00 11.00 11.00
70 15.61 - 15.70 15.70 11.39 11.39 11.39
71 15.10 - 15.19 15.19 11.02 11.02 11.02
72 15.10 - 15.18 15.18 11.01 11.01 11.01
73 16.71 - 16.80 16.80 12.19 12.19 12.19
74 15.09 - 15.17 15.17 11.01 11.01 11.01
75 15.59 - 15.68 15.68 11.37 11.37 11.37
76 15.10 - 15.18 15.18 11.01 11.01 11.01
77 15.60 - 15.69 15.69 11.38 11.38 11.38
78 15.09 - 15.18 15.18 11.01 11.01 11.01
79 15.09 - 15.17 15.17 11.00 11.00 11.00
80 15.59 - - 15.67 11.36 11.36 11.36
81 15.08 - - 15.16 10.99 10.99 10.99
82 15.59 - - 15.67 11.37 11.37 11.37
83 15.08 - - 15.17 11.00 11.00 11.00
84 15.08 - - 15.16 10.99 10.99 10.99
85 16.11 - - 16.20 11.74 11.74 11.74
86 15.07 - - 15.15 10.98 10.98 10.98
87 15.57 - - 15.65 11.34 11.34 11.34
88 15.06 - - 15.15 10.97 10.97 10.97
89 15.56 - - 15.65 11.34 11.34 11.34
90 15.05 - - 15.14 10.97 10.97 10.97
M-4 Cap M-5 Cap M-6 Cap B-1 Cap B-2 Cap B-3 Cap
(%) (%) (%) (%) (%) (%)
Period ---------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ----------
45 10.43 10.43 10.43 10.43 10.43 10.43
46 10.78 10.78 10.78 10.78 10.78 10.78
47 10.43 10.43 10.43 10.43 10.43 10.43
48 10.42 10.42 10.42 10.42 10.42 10.42
49 11.54 11.54 11.54 11.54 11.54 11.54
50 10.42 10.42 10.42 10.42 10.42 10.42
51 10.76 10.76 10.76 10.76 10.76 10.76
52 10.87 10.87 10.87 10.87 10.87 10.87
53 11.23 11.23 11.23 11.23 11.23 11.23
54 10.86 10.86 10.86 10.86 10.86 10.86
55 10.86 10.86 10.86 10.86 10.86 10.86
56 11.22 11.22 11.22 11.22 11.22 11.22
57 10.86 10.86 10.86 10.86 10.86 10.86
58 11.37 11.37 11.37 11.37 11.37 11.37
59 11.00 11.00 11.00 11.00 11.00 11.00
60 11.00 11.00 11.00 11.00 11.00 11.00
61 12.17 12.17 12.17 12.17 12.17 12.17
62 10.99 10.99 10.99 10.99 10.99 10.99
63 11.35 11.35 11.35 11.35 11.35 11.35
64 11.02 11.02 11.02 11.02 11.02 11.02
65 11.38 11.38 11.38 11.38 11.38 11.38
66 11.01 11.01 11.01 11.01 11.01 11.01
67 11.01 11.01 11.01 11.01 11.01 11.01
68 11.37 11.37 11.37 11.37 11.37 11.37
69 11.00 11.00 11.00 11.00 11.00 11.00
70 11.39 11.39 11.39 11.39 11.39 11.39
71 11.02 11.02 11.02 11.02 11.02 11.02
72 11.01 11.01 11.01 11.01 11.01 11.01
73 12.19 12.19 12.19 12.19 12.19 12.19
74 11.01 11.01 11.01 11.01 11.01 11.01
75 11.37 11.37 11.37 11.37 11.37 11.37
76 11.01 11.01 11.01 11.01 11.01 11.01
77 11.38 11.38 11.38 11.38 11.38 11.38
78 11.01 11.01 11.01 11.01 11.01 11.01
79 11.00 11.00 11.00 11.00 11.00 11.00
80 11.36 11.36 11.36 11.36 11.36 11.36
81 10.99 10.99 10.99 10.99 10.99 10.99
82 11.37 11.37 11.37 11.37 11.37 11.37
83 11.00 11.00 11.00 11.00 11.00 11.00
84 10.99 10.99 10.99 10.99 10.99 10.99
85 11.74 11.74 11.74 11.74 11.74 11.74
86 10.98 10.98 10.98 10.98 10.98 10.98
87 11.34 11.34 11.34 11.34 11.34 11.34
88 10.97 10.97 10.97 10.97 10.97 10.97
89 11.34 11.34 11.34 11.34 11.34 11.34
90 10.97 10.97 10.97 10.97 10.97 10.97
(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)
A-1mz Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap
(%) (%) (%) (%) (%) (%) (%)
Period ---------- ---------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ---------- ----------
91 15.05 - - 15.13 10.96 10.96 10.96
92 15.54 - - 15.63 11.32 11.32 11.32
93 15.04 - - 15.13 10.95 10.95 10.95
94 15.54 - - 15.63 11.31 11.31 11.31
95 12.62 - - 12.71 10.95 10.95 10.95
96 12.02 - - 12.10 10.94 10.94 10.94
97 13.33 - - 13.43 12.11 12.11 12.11
98 12.07 - - 12.16 10.93 10.93 10.93
99 12.50 - - 12.59 11.29 11.29 11.29
100 12.12 - - 12.21 10.92 10.92 10.92
101 12.56 - - 12.65 11.28 11.28 11.28
102 12.18 - - 12.27 10.92 10.92 10.92
103 12.21 - - 12.30 10.91 10.91 10.91
104 12.65 - - 12.74 11.27 11.27 11.27
105 12.27 - - 12.36 10.90 10.90 10.90
106 12.72 - - 12.81 11.26 11.26 11.26
107 12.34 - - 12.43 10.90 10.90 10.90
108 12.38 - - 12.47 10.89 10.89 10.89
109 13.74 - - 13.84 12.05 12.05 12.05
110 12.45 - - 12.54 10.88 10.88 10.88
111 12.90 - - 13.00 11.24 11.24 11.24
112 12.53 - - 12.62 10.87 10.87 10.87
113 12.99 - - 13.08 11.23 11.23 11.23
114 12.61 - - 12.70 10.87 10.87 10.87
115 12.65 - - 12.75 10.86 10.86 10.86
116 13.12 - - 13.22 11.22 11.22 11.22
117 12.74 - - 12.84 10.85 10.85 10.85
118 13.22 - - 13.32 11.21 11.21 11.21
119 12.84 - - 12.94 10.85 10.85 10.85
120 12.89 - - 12.99 10.84 10.84 10.84
121 14.33 - - 14.44 12.00 12.00 12.00
122 12.99 - - 13.09 10.83 10.83 10.83
123 13.48 - - 13.59 11.19 11.19 11.19
124 13.11 - - 13.20 10.82 10.82 10.82
125 13.60 - - 13.70 11.18 11.18 11.18
126 13.22 - - 13.32 10.82 10.82 10.82
127 13.28 - - 13.38 10.81 10.81 10.81
128 13.79 - - 13.89 11.17 11.17 11.17
129 13.41 - - 13.51 10.80 10.80 10.80
130 13.93 - - 14.03 11.16 11.16 11.16
131 13.55 - - 13.65 10.80 10.80 10.80
132 13.62 - - 13.72 10.79 10.79 10.79
133 14.64 - - 14.74 11.53 11.53 11.53
134 13.77 - - 13.87 10.78 10.78 10.78
135 14.31 - - 14.41 11.14 11.14 11.14
136 13.92 - - 14.02 10.78 10.78 10.78
M-4 Cap M-5 Cap M-6 Cap B-1 Cap B-2 Cap B-3 Cap
(%) (%) (%) (%) (%) (%)
Period ---------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ----------
91 10.96 10.96 10.96 10.96 10.96 10.96
92 11.32 11.32 11.32 11.32 11.32 11.32
93 10.95 10.95 10.95 10.95 10.95 10.95
94 11.31 11.31 11.31 11.31 11.31 11.31
95 10.95 10.95 10.95 10.95 10.95 10.95
96 10.94 10.94 10.94 10.94 10.94 10.94
97 12.11 12.11 12.11 12.11 12.11 12.11
98 10.93 10.93 10.93 10.93 10.93 10.93
99 11.29 11.29 11.29 11.29 11.29 11.29
100 10.92 10.92 10.92 10.92 10.92 10.92
101 11.28 11.28 11.28 11.28 11.28 11.28
102 10.92 10.92 10.92 10.92 10.92 10.92
103 10.91 10.91 10.91 10.91 10.91 10.91
104 11.27 11.27 11.27 11.27 11.27 11.27
105 10.90 10.90 10.90 10.90 10.90 10.90
106 11.26 11.26 11.26 11.26 11.26 11.26
107 10.90 10.90 10.90 10.90 10.90 -
108 10.89 10.89 10.89 10.89 10.89 -
109 12.05 12.05 12.05 12.05 12.05 -
110 10.88 10.88 10.88 10.88 10.88 -
111 11.24 11.24 11.24 11.24 11.24 -
112 10.87 10.87 10.87 10.87 10.87 -
113 11.23 11.23 11.23 11.23 11.23 -
114 10.87 10.87 10.87 10.87 10.87 -
115 10.86 10.86 10.86 10.86 10.86 -
116 11.22 11.22 11.22 11.22 - -
117 10.85 10.85 10.85 10.85 - -
118 11.21 11.21 11.21 11.21 - -
119 10.85 10.85 10.85 10.85 - -
120 10.84 10.84 10.84 10.84 - -
121 12.00 12.00 12.00 12.00 - -
122 10.83 10.83 10.83 10.83 - -
123 11.19 11.19 11.19 11.19 - -
124 10.82 10.82 10.82 10.82 - -
125 11.18 11.18 11.18 - - -
126 10.82 10.82 10.82 - - -
127 10.81 10.81 10.81 - - -
128 11.17 11.17 11.17 - - -
129 10.80 10.80 10.80 - - -
130 11.16 11.16 11.16 - - -
131 10.80 10.80 10.80 - - -
132 10.79 10.79 10.79 - - -
133 11.53 11.53 - - - -
134 10.78 10.78 - - - -
135 11.14 11.14 - - - -
136 10.78 10.78 - - - -
(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)
A-1mz Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap
(%) (%) (%) (%) (%) (%) (%)
Period ---------- ---------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ---------- ----------
137 14.47 - - 14.58 11.13 11.13 11.13
138 14.09 - - 14.19 10.77 10.77 10.77
139 14.17 - - 14.28 10.76 10.76 10.76
140 14.74 - - 14.84 11.12 11.12 11.12
141 14.36 - - 14.46 10.75 10.75 10.75
142 14.93 - - 15.04 11.11 11.11 11.11
143 14.55 - - 14.65 10.75 10.75 10.75
144 14.65 - - 14.75 10.74 10.74 10.74
145 16.33 - - 16.44 11.89 11.89 11.89
146 14.85 - - 14.96 10.73 10.73 10.73
147 15.46 - - 15.57 11.09 11.09 11.09
148 15.07 - - 15.18 10.73 10.73 10.73
149 15.69 - - 15.80 11.08 11.08 11.08
150 15.31 - - 15.41 10.72 10.72 10.72
151 15.43 - - 15.53 10.71 10.71 10.71
152 16.07 - - 16.18 11.07 11.07 -
153 15.68 - - 15.78 10.71 10.71 -
154 16.34 - - 16.45 11.06 11.06 -
155 15.95 - - 16.05 10.70 10.70 -
156 16.09 - - 16.19 10.69 10.69 -
157 17.97 - - 18.09 11.84 11.84 -
158 16.38 - - 16.48 10.69 10.69 -
159 17.08 - - 17.19 11.04 - -
160 16.69 - - 16.79 10.68 - -
161 17.41 - - 17.52 11.03 - -
162 17.01 - - 17.12 10.67 - -
163 17.18 - - 17.29 10.67 - -
164 17.94 - - 18.05 11.02 - -
165 17.54 - - 17.65 10.66 - -
166 18.39 - - 18.50 - - -
167 18.13 - - 18.23 - - -
168 18.48 - - 18.59 - - -
169 20.88 - - 21.00 - - -
170 19.27 - - 19.38 - - -
171 20.37 - - 20.48 - - -
172 20.19 - - 20.30 - - -
173 21.40 - - 21.51 - - -
174 21.26 - - 21.37 - - -
175 21.87 - - 21.98 - - -
176 23.29 - - 23.40 - - -
177 23.27 - - 23.38 - - -
178 38.63 - - 38.89 - - -
179 40.17 - - 40.42 - - -
180 43.50 - - 43.76 - - -
181 50.86 - - 51.13 - - -
182 52.65 - - 52.91 - - -
M-4 Cap M-5 Cap M-6 Cap B-1 Cap B-2 Cap B-3 Cap
(%) (%) (%) (%) (%) (%)
Period ---------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ----------
137 11.13 11.13 - - - -
138 10.77 10.77 - - - -
139 10.76 10.76 - - - -
140 11.12 - - - - -
141 10.75 - - - - -
142 11.11 - - - - -
143 10.75 - - - - -
144 10.74 - - - - -
145 11.89 - - - - -
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 - - - - - -
(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)
A-1mz Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap
(%) (%) (%) (%) (%) (%) (%)
Period ---------- ---------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ---------- ----------
183 61.13 - - 61.39 - - -
184 67.78 - - 68.03 - - -
185 82.41 - - 82.67 - - -
186 97.49 - - 97.74 - - -
187 126.46 - - 126.72 - - -
188 188.29 - - - - - -
189 333.90 - - - - - -
190 * - - - - - -
191 - - - - - - -
M-4 Cap M-5 Cap M-6 Cap B-1 Cap B-2 Cap B-3 Cap
(%) (%) (%) (%) (%) (%)
Period ---------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------ ---------- ---------- ---------- ---------- ---------- ----------
183 - - - - - -
184 - - - - - -
185 - - - - - -
186 - - - - - -
187 - - - - - -
188 - - - - - -
189 - - - - - -
190 - - - - - -
191 - - - - - -
* In Period 190, the Class A-1mz Certificates have an approximate balance of
$5,337 and are paid approximately $37,877 in interest.
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 23
Senior Interest Rate Cap Schedules
Group I Class A Interest Rate Cap Group II Class A Interest Rate Cap
------------------------------------------- --------------------------------------------
Period Notional Balance ($) Strike % Ceiling % Notional Balance ($) Strike % Ceiling %
1 531,394,000.00 6.25 9.60 388,533,000.00 6.40 9.80
2 515,823,047.62 6.25 9.60 377,004,978.77 6.40 9.80
3 500,500,462.18 6.25 9.60 365,677,377.33 6.40 9.80
4 485,417,482.65 6.25 9.60 354,543,480.19 6.40 9.80
5 470,566,001.82 6.25 9.60 343,596,896.36 6.40 9.80
6 455,938,412.64 6.25 9.60 332,831,771.92 6.40 9.80
7 441,528,043.52 6.25 9.60 322,242,781.55 6.40 9.80
8 427,328,991.35 6.25 9.60 311,825,118.45 6.50 9.80
9 413,336,103.75 6.25 9.60 301,574,482.59 6.50 9.80
10 399,544,958.80 6.35 9.60 291,487,067.36 6.50 9.80
11 385,951,905.29 6.35 9.60 281,559,544.51 6.50 9.80
12 372,553,844.67 6.35 9.60 271,789,047.51 6.50 9.80
13 359,349,311.88 6.35 9.60 262,173,235.87 6.50 9.80
14 346,338,543.81 6.35 9.60 252,716,053.92 6.50 9.80
15 333,672,520.78 6.35 9.60 243,508,834.80 6.60 9.80
16 321,342,095.03 6.45 9.60 234,544,954.88 6.60 9.80
17 309,338,363.84 6.45 9.60 225,817,966.47 6.60 9.80
18 297,652,657.55 6.45 9.60 217,321,593.25 6.60 9.80
19 286,276,538.84 6.45 9.60 209,049,725.61 6.60 9.80
20 275,201,794.71 6.45 9.60 200,996,416.26 6.60 9.80
21 264,420,430.46 6.45 9.60 193,155,875.90 6.60 9.80
22 253,924,733.01 7.90 9.60 185,522,494.64 8.25 9.80
23 243,760,774.37 7.90 9.60 178,116,644.58 8.25 9.80
24 233,864,659.15 7.90 9.60 170,905,749.72 8.25 9.80
25 224,229,318.09 7.90 9.60 163,884,664.18 8.25 9.80
26 214,847,868.98 7.90 9.60 157,048,378.33 8.25 9.80
27 205,713,611.64 7.90 9.60 150,392,015.14 8.25 9.80
28 196,820,032.93 8.80 9.60 143,910,835.61 9.15 9.80
29 188,176,728.52 8.80 9.60 137,608,118.51 9.15 9.80
30 179,760,742.11 8.80 9.60 131,471,047.94 9.15 9.80
31 171,566,085.98 8.80 9.60 125,495,258.57 9.15 9.80
32 163,586,930.51 8.80 9.60 119,676,500.49 9.15 9.80
33 155,817,600.04 8.80 9.60 114,010,636.11 9.15 9.80
34 - - - - - -
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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.
--------------------------------------------------------------------------------
Page 24
Subordinate Interest Rate Cap Schedules
Class M Interest Rate Cap Class B Interest Rate Cap
------------------------------------------- --------------------------------------------
Period Notional Balance ($) Strike % Ceiling % Notional Balance ($) Strike % Ceiling %
1 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
2 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
3 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
4 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
5 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
6 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
7 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
8 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
9 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
10 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
11 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
12 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
13 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
14 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
15 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
16 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
17 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
18 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
19 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
20 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
21 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70
22 152,078,000.00 7.20 8.95 41,319,000.00 6.15 7.90
23 152,078,000.00 7.20 8.95 41,319,000.00 6.15 7.90
24 152,078,000.00 7.20 8.95 41,319,000.00 6.15 7.90
25 152,078,000.00 7.20 8.95 41,319,000.00 6.15 7.90
26 152,078,000.00 7.20 8.95 41,319,000.00 6.15 7.90
27 152,078,000.00 7.20 8.95 41,319,000.00 6.15 7.90
28 152,078,000.00 7.90 9.20 41,319,000.00 6.85 8.15
29 152,078,000.00 7.90 9.20 41,319,000.00 6.85 8.15
30 152,078,000.00 7.90 9.20 41,319,000.00 6.85 8.15
31 152,078,000.00 7.90 9.20 41,319,000.00 6.85 8.15
32 152,078,000.00 7.90 9.20 41,319,000.00 6.85 8.15
33 152,078,000.00 7.90 9.20 41,319,000.00 6.85 8.15
34 152,078,000.00 8.60 9.45 41,319,000.00 7.55 8.40
35 152,078,000.00 8.60 9.45 41,319,000.00 7.55 8.40
36 152,078,000.00 8.60 9.45 41,319,000.00 7.55 8.40
37 152,078,000.00 8.60 9.45 41,319,000.00 7.55 8.40
38 152,078,000.00 8.60 9.45 37,858,424.66 7.55 8.40
39 148,635,940.67 8.60 9.45 30,539,641.65 7.55 8.40
40 138,960,365.37 8.60 9.45 29,737,064.86 7.55 8.40
41 129,538,957.47 9.30 9.90 28,955,570.91 8.25 8.85
42 120,365,028.22 9.30 9.90 28,194,605.02 8.25 8.85
43 111,432,065.35 9.30 9.90 27,453,626.99 8.25 8.85
44 102,733,728.43 9.30 9.90 26,732,110.88 8.25 8.85
45 95,803,893.84 9.30 9.90 26,029,544.63 8.25 8.85
46 - - - - - -
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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 25
