EXHIBIT 99.1
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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COMPUTATIONAL MATERIALS
$692,904,000
(APPROXIMATELY)
CDC MORTGAGE CAPITAL TRUST
SERIES 2004-HE4
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 October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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COMPUTATIONAL MATERIALS DISCLAIMER
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 2
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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APPROXIMATELY $692,904,000
CDC MORTGAGE CAPITAL TRUST SERIES 2004-HE4
CDC MORTGAGE CAPITAL INC.
SELLER
COUNTRYWIDE HOME LOANS SERVICING LP
SERVICER
TRANSACTION HIGHLIGHTS
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MODIFIED
EXPECTED RATINGS AVG LIFE DURATION
OFFERED (FITCH/MOODY'S/ TO CALL / TO CALL / PAYMENT WINDOW TO
CLASSES DESCRIPTION BALANCE $ S&P) MTY(1)(2) MTY(1)(2)(3) TO CALL / MTY(1)(2)
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A-1 Floater [200,000,000] AAA/Aaa/AAA 2.75 / 2.99 2.61 / 2.80 12/04 - 11/12 / 12/04 - 05/22
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A-2 Floater [200,000,000] AAA/Aaa/AAA 1.00 / 1.00 0.99 / 0.99 12/04 - 12/06 / 12/04 - 12/06
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A-3 Floater [100,000,000] AAA/Aaa/AAA 3.01 / 3.01 2.91 / 2.91 12/06 - 06/09 / 12/06 - 06/09
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A-4 Floater [82,210,000] AAA/Aaa/AAA 6.72 / 7.80 6.19 / 7.03 06/09 - 11/12 / 06/09 - 05/22
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M-1 Floater 47,897,000 AA /Aa2/ AA 5.33 / 5.86 4.94 / 5.36 02/08 - 11/12 / 02/08 - 04/19
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M-2 Floater 35,124,000 A /A2/A 5.30 / 5.76 4.84 / 5.19 12/07 - 11/12 / 12/07 - 10/17
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M-3 Floater 9,579,000 A- /A3/ A- 5.29 / 5.65 4.80 / 5.07 12/07 - 11/12 / 12/07 - 11/15
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B-1 Floater 8,160,000 BBB+/Baa1/ BBB+ 5.29 / 5.56 4.73 / 4.93 12/07 - 11/12 / 12/07 - 01/15
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B-2 Floater 5,677,000 BBB/Baa2/ BBB 5.29 / 5.45 4.72 / 4.84 12/07 - 11/12 / 12/07 - 03/14
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B-3 Floater 4,257,000 BBB-/Baa3/ BBB- 5.28 / 5.32 4.52 / 4.55 12/07 - 11/12 / 12/07 - 05/13
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B-4 Not Offered ****** Not Offered ******
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INITIAL FINAL
OFFERED SUBORDINATION LEGAL
CLASSES LEVEL BENCHMARK MATURITY
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A-1 17.95% 1 M LIBOR 02/2035
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A-2 17.95% 1 M LIBOR 02/2035
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A-3 17.95% 1 M LIBOR 02/2035
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A-4 17.95% 1 M LIBOR 02/2035
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M-1 11.20% 1 M LIBOR 02/2035
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M-2 6.25% 1 M LIBOR 02/2035
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M-3 4.90% 1 M LIBOR 02/2035
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B-1 3.75% 1 M LIBOR 02/2035
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B-2 2.95% 1 M LIBOR 02/2035
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B-3 2.35% 1 M LIBOR 02/2035
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B-4
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Notes: (1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assume pricing at par.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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TRANSACTION HIGHLIGHTS (CONT'D)
ISSUER: CDC Mortgage Capital Trust Series 2004-HE4
DEPOSITOR: Xxxxxx Xxxxxxx ABS Capital I Inc.
SELLER: CDC Mortgage Capital Inc.
ORIGINAL LOAN SELLERS: Aegis Mortgage Corporation
Allstate Home Loans, Inc.
BNC Mortgage, Inc.
Chapel Mortgage Corporation
Encore Credit Corp.
First Banc Mortgage, Inc.
Homeowners Loan Corp.
Home Loan Corp.
Impac Funding Corporation (and its affiliate,
Novelle Financial Services, Inc.)
Lenders Direct Capital Corporation
Master Financial, Inc.
People's Choice Home Loan, Inc.
SERVICER: Countrywide Home Loans Servicing LP
TRUSTEE: Deutsche Bank National Trust Company.
MANAGERS: Xxxxxx Xxxxxxx (lead manager); Banc of America
Securities LLC, CDC Securities, Countrywide
Securities Corporation (co-managers).
RATING AGENCIES: Fitch Inc., Xxxxx'x Investors Service Inc. and
Standard & Poor's Ratings Services
CLASS A CERTIFICATES: Class A-1, A-2, A-3 and A-4 Certificates
CLASS A SEQUENTIAL CERTIFICATES: Class A-2, A-3 and A-4 Certificates
CLASS M CERTIFICATES: Class M-1, M-2 and M-3 Certificates
CLASS B CERTIFICATES: Class B-1, B-2, B-3 and B-4 Certificates
OFFERED CERTIFICATES: Class A, M, B-1, B-2 and B-3 Certificates
EXPECTED PRICING DATE: On or about October 26, 2004
EXPECTED CLOSING DATE: November 24, 2004 through DTC, Euroclear and
Clearstream, Luxembourg. The Offered
Certificates and the Class B-4 Certificates
will be settled without accrued interest.
DISTRIBUTION DATES: The 25th of each month, or if such day is not
a business day, on the next business day,
beginning December 27, 2004.
CUT-OFF DATE: November 1, 2004, for any Mortgage Loan in the
mortgage pool transferred to the Trust on the
Closing Date. For any Mortgage Loan
subsequently transferred to the Trust during
the Pre-Funding Period (as described below),
the first day of the month in which such loan
was transferred to the Trust.
DUE PERIOD FOR MORTGAGE LOANS: For any Distribution Date, the period
commencing on the second day of the calendar
month preceding the calendar month in which
such Distribution Date occurs and ending on
the first day of the calendar month in which
such Distribution Date occurs.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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TRANSACTION HIGHLIGHTS (CONT'D)
PREPAYMENT PERIOD: With respect to any Distribution Date, the
period commencing on the 16th day of the month
prior to the month in which the related
Distribution Date occurs (or, on the Cut-off
Date, in connection with the first Prepayment
Period) and ending on the 15th day of the
month in which such Distribution Date occurs
INTEREST ACCRUAL PERIOD FOR The interest accrual period for the Offered
THE OFFERED CERTIFICATES AND Certificates and the B-4 Certificates with
THE CLASS B-4 CERTIFICATES: respect to any Distribution Date will be the
period beginning with the immediately
preceding Distribution Date (or, in the case
of the first Distribution Date, the Closing
Date) and ending on the day prior to the
current Distribution Date (on an actual/360
day count basis).
MORTGAGE LOANS: The Trust will consist of approximately
$709,579,321 of fixed and adjustable rate,
sub-prime, first-lien, and second-lien
residential mortgage loans. The information on
the Mortgage Loans described herein is based
on the Cut-Off Date pool of approximately
$585,967,785. It is expected that up to
approximately $123.6 million of Mortgage Loans
may be purchased by the trust for a period of
up to 3 months after the closing date (the
"Pre-Funding Period").
PREFUNDING: On the Closing Date, approximately
$123,611,536 from the sale of the Offered
Certificates and the Class B-4 Certificates
(the "Pre-Funded Amount") will be deposited
with the Trustee into an account (the
"Pre-Funding Account") and be used by the
Trust to purchase additional Mortgage Loans
during the Pre-Funding Period for the Mortgage
Loan Pool.
PRICING PREPAYMENT SPEED: o Fixed Rate Mortgage Loans: CPR starting at
approximately 1.5333% CPR in month 1 and
increasing to 23% CPR in month 15 (23%/15
CPR increase for each month), and
remaining at 23% CPR thereafter.
o Adjustable Rate Mortgage Loans: CPR of
25%.
CREDIT ENHANCEMENT: The Offered Certificates and Class B-4
Certificates are credit enhanced by:
1) Net monthly excess cashflow from the
Mortgage Loans;
2) 1.35% overcollateralization (funded
upfront ) based on the sum of the
aggregate principal balance as of the
Cut-Off Date of the Mortgage Loans
acquired by the Trust on the Closing Date
and the Pre-Funded Amount. After the
Step-down Date, so long as a Trigger Event
is not in effect, the required
overcollateralization will equal 2.70% of
the aggregate principal balance of the
Mortgage Loans as of the last day of the
applicable Due Period, subject to a 0.50%
floor, based on the sum of the aggregate
principal balance as of the Cut-Off Date
of the Mortgage Loans acquired by the
Trust on the Closing Date and the
Pre-Funded Amount; and
3) Subordination of distributions on the more
subordinate classes of certificates 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 (including any
overcollateralization and taking into account
the distributions of the Principal
Distribution Amount for such Distribution
Date) by (y) the aggregate principal balance
of the Mortgage Loans as of the last day of
the related Due Period.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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TRANSACTION HIGHLIGHTS (CONT'D)
STEP-DOWN DATE: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in
December 2007; and
(b) The Distribution Date on which the
aggregate balance of the Class A
Certificates is reduced to zero; and
(y) the first Distribution Date on which the
Senior Enhancement Percentage (calculated
for this purpose only after taking into
account scheduled and unscheduled
payments of principal on the Mortgage
Loans on the last day of the related Due
Period but prior to any applications of
Principal Distribution to the Offered
Certificates and the Class B-4
Certificates on the applicable
Distribution Date) is greater than or
equal to approximately 35.90%.
TRIGGER EVENT: A Delinquency Trigger Event is in effect on
any Distribution Date if the quotient
(expressed as a percentage) of (x) the three
month rolling daily average of 60+ day
Delinquent Loans as of the last day of the Due
Period, over (y) the aggregate principal
balance of the Mortgage Loans equals or
exceeds [42.25]% of the prior period's Senior
Enhancement Percentage.
A Loss Trigger Event is in effect if the
aggregate amount of realized losses incurred
since the Cut-Off Date through the last day of
the related Prepayment Period divided by the
sum of the aggregate principal balance as of
the Cut-Off Date of the Mortgage Loans
acquired by the Trust on the Closing Date and
the Pre-Funded Amount exceeds the applicable
percentages described below with respect to
such Distribution Date:
Loss
Distribution Date Occurring In Percentage
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December 2004 to November 2007 [N/A]
December 2007 to November 2008 [2.75]%
December 2008 to November 2009 [4.50]%
December 2009 to November 2010 [5.75]%
December 2010 to November 2011 [6.50]%
December 2011 and Thereafter [6.75]%
INITIAL SUBORDINATION Class A: 17.95%
PERCENTAGE: Class M-1: 11.20%
Class M-2: 6.25%
Class M-3: 4.90%
Class B-1: 3.75%
Class B-2: 2.95%
Class B-3: 2.35%
Class B-4: 1.35%
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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TRANSACTION HIGHLIGHTS (CONT'D)
OPTIONAL CLEAN-UP CALL: If the Class X certificates are 100% owned,
directly or indirectly, by CDC Mortgage
Capital Inc. or any of its affiliates, the
servicer may exercise a clean-up call when the
current aggregate principal balance of the
Mortgage Loans is less than or equal to 10% of
the sum of the aggregate principal balance as
of the Cut-Off Date of the Mortgage Loans
acquired by the Trust on the Closing Date and
the Pre-Funded Amount.
If the Class X certificates are not 100%
owned, directly or indirectly, by CDC Mortgage
Capital Inc. or any of its affiliates, then
the majority owner of the Class X certificates
may exercise a clean-up call when the current
aggregate principal balance of the Mortgage
Loans is less than or equal to 10% of the sum
of the aggregate principal balance as of the
Cut-Off Date of the Mortgage Loans acquired by
the Trust on the Closing Date and the
Pre-Funded Amount, provided, however, that CDC
Mortgage Capital Inc. or any of its
affiliates, may only participate in the
exercise of the clean-up call by the majority
owners of the Class X certificates if CDC
Mortgage Capital Inc. or any of its
affiliates, is not the majority owner of the
Class X Certificates, either directly or
indirectly
STEP-UP COUPONS: For the Offered Certificates and the Class B-4
Certificates, the coupon will increase after
the Optional Clean-up Call Date, should the
call not be exercised. The applicable coupon
for the Class A Certificates will increase by
2 times its initial margin and the coupons for
the Class M and Class B Certificates will each
increase by 1.5 times their respective initial
margins.
CLASS A-1 PASS-THROUGH RATE: The Class A-1 Certificates 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) and
(ii) the Net WAC Cap.
CLASS A-2 PASS-THROUGH RATE: The Class A-2 Certificates 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) and
(ii) the Net WAC Cap.
CLASS A-3 PASS-THROUGH RATE: The Class A-3 Certificates 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) and
(ii) the Net WAC Cap.
CLASS A-4 PASS-THROUGH RATE: The Class A-4 Certificates 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) and
(ii) the Net 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 Net 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 Net 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 Net 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 Net 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 Net WAC Cap.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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TRANSACTION HIGHLIGHTS (CONT'D)
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 Net WAC Cap.
CLASS B-4 PASS-THROUGH RATE: The Class B-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 Net WAC Cap.
NET WAC CAP: As to any Distribution Date, a per annum rate
(on an actual/360 basis) equal to the weighted
average gross rate of the Mortgage Loans in
effect on the beginning of the related Due
Period less servicing and trustee fee.
INTEREST DISTRIBUTIONS ON On each Distribution Date and after payment of
OFFERED CERTIFICATES AND THE fees and reimbursements to the Servicer and
CLASS B-4 CERTIFICATES: the Trustee, interest distributions from the
Interest Remittance Amount will be allocated
as follows:
(i) payable from the remaining Interest
Remittance Amount , on a pro rata
basis, to the Class A Certificates;
(ii) payable from the remaining Interest
Remittance Amount, to the Class M-1
Certificates, its Accrued Certificate
Interest;
(iii) payable from the remaining Interest
Remittance Amount, to the Class M-2
Certificates, its Accrued Certificate
Interest;
(iv) payable from the remaining Interest
Remittance Amount, to the Class M-3
Certificates, its Accrued Certificate
Interest;
(v) payable from the remaining Interest
Remittance Amount, to the Class B-1
Certificates, its Accrued Certificate
Interest;
(vi) payable from the remaining Interest
Remittance Amount, to the Class B-2
Certificates, its Accrued Certificate
Interest;
(vii) payable from the remaining Interest
Remittance Amount, to the Class B-3
Certificates, its Accrued Certificate
Interest; and
(viii) payable from the remaining Interest
Remittance Amount, to the Class B-4
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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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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TRANSACTION HIGHLIGHTS (CONT'D)
PRINCIPAL DISTRIBUTIONS ON On each Distribution Date (a) prior to the
OFFERED CERTIFICATES AND Stepdown Date or (b) on which a Trigger Event
CLASS B-4 CERTIFICATES: 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 B-1 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(vi) to the Class B-2 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(vii) to the Class B-3 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero; and
(viii) to the Class B-4 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero.
On each Distribution Date (a) on or after the
Stepdown Date and (b) on which a Trigger Event
is not in effect, the principal distributions
from the Principal Distribution Amount will be
allocated as follows:
(i) to the Class A Certificates, the
lesser of the Principal Distribution
Amount and the Class A Principal
Distribution Amount, allocated
between the Class A Certificates as
described below, until the
Certificate Principal Balances
thereof have been reduced to zero;
(ii) to the Class M-1 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-1
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(iii) to the Class M-2 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-2
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(iv) to the Class M-3 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-3
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(v) to the Class B-1 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-1
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(vi) to the Class B-2 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-2
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(vii) to the Class B-3 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-3
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero; and
(viii) to the Class B-4 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-4
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero.
--------------------------------------------------------------------------------
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
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TRANSACTION HIGHLIGHTS (CONT'D)
CLASS A PRINCIPAL ALLOCATION: All principal distributions to the Class A
Certificates on any Distribution Date will be
allocated between the Class A-1 and Class A
Sequential Certificates on a pro rata basis.
Any principal distributions allocated to the
Class A Sequential Certificates are required
to be distributed first to the Class A-2
Certificates, until their Class Certificate
Balance has been reduced to zero, then to the
Class A-3 Certificates, until their Class
Certificate Balance has been reduced to zero,
and then to the Class A-4 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 Class A
Sequential Certificates will be distributed
pro rata between the Class A-2, Class A-3 and
Class A-4 Certificates.
CLASS A CERTIFICATES INTEREST Beginning on the first Distribution Date, and
RATE CAP: for a period of 32 months thereafter, an
Interest Rate Cap will be pledged to the Trust
for the benefit of the Class A Certificates.
For its duration, the Class A Interest Rate
Cap pays the Trust the product of (i) the
difference between the then current 1-month
LIBOR rate (not to exceed the cap ceiling) and
the cap strike (on an actual/360 day count
basis) and (ii) the Class A Interest Rate Cap
Notional Balance ("the Class A Interest Rate
Cap Payment") as described on the schedule
herein.
CLASS A CERTIFICATES INTEREST The Class A Interest Rate Cap Payment shall be
RATE CAP PAYMENT ALLOCATION: available to pay any Basis Risk Carry Forward
Amount due to the Class A Certificates on a
pro rata basis.
CLASS M CERTIFICATES INTEREST Beginning on the first Distribution Date, and
RATE CAP: for a period of 32 months thereafter, an
Interest Rate Cap will be pledged to the Trust
for the benefit of the Class M Certificates.
For its duration, the Class M Interest Rate
Cap pays the Trust the product of (i) the
excess if any of the then current 1-month
LIBOR rate (not to exceed the cap ceiling)
over the cap strike (on an actual/360 day
count basis) and (ii) the Class M Interest
Rate Cap Notional Balance ("the Class M
Interest Rate Cap Payment") as described on
the schedule herein.
CLASS M CERTIFICATES INTEREST The Class M Interest Rate Cap Payment shall be
RATE CAP PAYMENT ALLOCATION: available to pay any Basis Risk Carry Forward
Amount due to the Class M-1, Class M-2 and
Class M-3 Certificates on a pro rata basis.
CLASS B CERTIFICATES INTEREST Beginning on the first Distribution Date, and
RATE CAP: for a period of 32 months thereafter, an
Interest Rate Cap will be pledged to the Trust
for the benefit of the Class B Certificates.
For its duration, the Class B Interest Rate
Cap pays the Trust the product of (i) the
excess if any of the then current 1-month
LIBOR rate (not to exceed the cap ceiling)
over the cap strike (on an actual/360 day
count basis) and (ii) the Class B Interest
Rate Cap Notional Balance ("the Class B
Interest Rate Cap Payment") as described on
the schedule herein.
CLASS B CERTIFICATES INTEREST The Class B Interest Rate Cap Payment shall be
RATE CAP PAYMENT ALLOCATION: available to pay any Basis Risk Carry Forward
Amount due to the Class B-1, Class B-2, Class
B-3 and Class B-4 Certificates on a pro rata
basis.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 10
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
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TRANSACTION HIGHLIGHTS (CONT'D)
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, their
Unpaid Interest Shortfall;
(ii) to the Class M-1 Certificates, their
realized loss amount reimbursement;
(iii) to the Class M-2 Certificates, their
Unpaid Interest Shortfall;
(iv) to the Class M-2 Certificates, their
realized loss amount reimbursement;
(v) to the Class M-3 Certificates, their
Unpaid Interest Shortfall;
(vi) to the Class M-3 Certificates, their
realized loss amount reimbursement
(vii) to the Class B-1 Certificates, their
Unpaid Interest Shortfall;
(viii) to the Class B-1 Certificates, their
realized loss amount reimbursement;
(ix) to the Class B-2 Certificates, their
Unpaid Interest Shortfall;
(x) to the Class B-2 Certificates, their
realized loss amount reimbursement;
(xi) to the Class B-3 Certificates, their
Unpaid Interest Shortfall;
(xii) to the Class B-3 Certificates, their
realized loss amount reimbursement;
(xiii) to the Class B-4 Certificates, their
Unpaid Interest Shortfall;
(xiv) to the Class B-4 Certificates, their
realized loss amount reimbursement;
(xv) (A) from any available Class A
Interest Rate Cap Payments,
concurrently to the Class A
Certificates up to their respective
unpaid Basis Risk Carry Forward
Amount, (B) from any available Class
M Interest Rate Cap Payments,
concurrently to the Class M-1, Class
M-2 and Class M-3 Certificates up to
their respective unpaid Basis Risk
Carry Forward Amounts, and (C) from
any available Class B Interest Rate
Cap Payments, concurrently to the
Class B-1, Class B-2, Class B-3 and
Class B-4 Certificates up to their
respective unpaid Basis Risk Carry
Forward Amounts;
(xvi) pro rata, to the Class A-1 and Class
A Sequential Certificates, any Basis
Risk Carry Forward Amount for such
classes remaining unpaid; and
(xvii) sequentially, to the Class M-1, M-2,
M-3, B-1, B-2, B-3 and B-4
Certificates, in such order, any
Basis Risk Carry Forward Amount for
such classes remaining unpaid.
CLASS A, M, AND B BASIS RISK As to any Distribution Date, the supplemental
CARRY FORWARD AMOUNT: interest amount for the Class A, M-1, M-2,
M-3, B-1, B-2, B-3 and B-4 Certificates equals
the sum of:
(i) the excess, if any, of interest that
would otherwise be due on such
Certificates at the respective
Pass-Through Rate (without regard to
the Net WAC Cap) over interest due
such Certificates at a rate equal to
the Net WAC Cap;
(ii) any respective Basis Risk Carry
Forward Amount remaining unpaid from
prior Distribution Dates; and
(iii) interest on the amount in clause (ii)
at the respective Pass-Through Rate
(without regard to the Net WAC Cap).
PRE-FUNDING ACCOUNT PAYMENT: Any funds in the Pre-Funding Accounts not used
to purchase additional Mortgage Loans during
the Pre-Funding Period will be paid to the
Class A-1 and Class A Sequential Certificates
on a pro rata basis.
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 and Class B-4
Certificates, equals the amount of interest
accrued during the related interest accrual
period at the related Pass-Through Rate,
reduced by that class share of prepayment
interest shortfalls and any shortfalls
resulting from the application of the
Servicemembers Civil Relief Act or similar
state or local law.
--------------------------------------------------------------------------------
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
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TRANSACTION HIGHLIGHTS (CONT'D)
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.
PRINCIPAL REMITTANCE AMOUNT: On any Distribution Date, the sum of (i) all
scheduled payments of principal collected or
advanced on the Mortgage Loans during the
prior Due Period, (ii) the principal portion
of all partial and full prepayments received
during the month prior to the month during
which such Distribution Date occurs, (iii) the
principal portion of all net liquidation
proceeds and net insurance proceeds received
during the month prior to the month during
which such Distribution Date occurs, (iv) the
principal portion of repurchased Mortgage
Loans with respect to such Distribution Date,
(v) the principal portion of substitution
adjustments received in connection with the
substitution of a Mortgage Loan with respect
to such Distribution Date, and (vi) the
principal portion of the termination price if
the Optional Clean Up Call is exercised.
NET MONTHLY EXCESS CASHFLOW: For any Distribution Date is the amount of
funds available for distribution on such
Distribution Date remaining after making all
payments of interest and principal to the
Certificates.
EXTRA PRINCIPAL DISTRIBUTION For any Distribution Date, the lesser of (i)
AMOUNT: the excess of (x) interest collected or
advanced on the Mortgage Loans during the
related Due Period (less fees and
reimbursements owed to the Servicer and the
Trustee), over (y) the sum of interest
distribution on the Certificates on such
Distribution Date and (ii) the amount by which
the overcollateralization is deficient for
such Distribution Date.
EXCESS SUBORDINATED AMOUNT: For any Distribution Date, means the excess,
if any of (i) the overcollateralization over
(ii) the required overcollateralization for
such Distribution Date.
CLASS A PRINCIPAL DISTRIBUTION For any Distribution Date, an amount equal to
AMOUNT: the excess of (x) the Certificate Principal
Balance of the Class A Certificates
immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 64.10% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B)
the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last
day of the related Due Period minus
approximately $3,547,897.
CLASS M-1 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date) and (ii) the
Certificate Principal Balance of the Class M-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 77.60% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period minus approximately
$3,547,897.
CLASS M-2 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal
Distribution Amount on such Distribution Date)
and (iii) the Certificate Principal Balance of
the Class M-2 Certificates immediately prior
to such Distribution Date over (y) the lesser
of (A) the product of (i) approximately 87.50%
and (ii) the aggregate principal balance of
the Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period minus approximately
$3,547,897.
--------------------------------------------------------------------------------
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
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TRANSACTION HIGHLIGHTS (CONT'D)
CLASS M-3 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal
Distribution Amount on such Distribution
Date), (iii) the Certificate Principal Balance
of the Class M-2 Certificates (after taking
into account the payment of the Class M-2
Principal Distribution Amount on such
Distribution Date), and (iv) the Certificate
Principal Balance of the Class M-3
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 90.20% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period minus approximately
$3,547,897.
CLASS B-1 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal
Distribution Amount on such Distribution
Date), (iii) the Certificate Principal Balance
of the Class M-2 Certificates (after taking
into account the payment of the Class M-2
Principal Distribution Amount on such
Distribution Date), (iv) the Certificate
Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal
Distribution Amount on such Distribution
Date), and (v) the Certificate Principal
Balance of the Class B-1 Certificates
immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 92.50% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B)
the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last
day of the related Due Period minus
approximately $3,547,897.
CLASS B-2 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the
CertificatePrincipal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal
Distribution Amount on such Distribution
Date), (iii) the Certificate Principal Balance
of the Class M-2 Certificates (after taking
into account the payment of the Class M-2
Principal Distribution Amount on such
Distribution Date), (iv) the Certificate
Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal
Distribution Amount on such Distribution
Date), (v) the Certificate Principal Balance
of the Class B-1 Certificates (after taking
into account the payment of the Class B-1
Principal Distribution Amount on such
Distribution Date) and (vi) the Certificate
Principal Balance of the Class B-2
Certificates immediately prior to such
Distribution Date and over (y) the lesser of
(A) the product of (i) approximately 94.10%
and (ii) the aggregate principal balance of
the Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period minus approximately
$3,547,897.
--------------------------------------------------------------------------------
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
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TRANSACTION HIGHLIGHTS (CONT'D)
CLASS B-3 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal
Distribution Amount on such Distribution
Date), (iii) the Certificate Principal Balance
of the Class M-2 Certificates (after taking
into account the payment of the Class M-2
Principal Distribution Amount on such
Distribution Date), (iv) the Certificate
Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal
Distribution Amount on such Distribution
Date), (v) the Certificate Principal Balance
of the Class B-1 Certificates (after taking
into account the payment of the Class B-1
Principal Distribution Amount on such
Distribution Date), (vi) the Certificate
Principal Balance of the Class B-2
Certificates (after taking into account the
payment of the Class B-2 Principal
Distribution Amount on such Distribution Date)
and (vii) the Certificate Principal Balance of
the Class B-3 Certificates immediately prior
to such Distribution Date and over (y) the
lesser of (A) the product of (i) approximately
95.30% 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 minus
approximately $3,547,897.
CLASS B-4 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal
Distribution Amount on such Distribution
Date), (iii) the Certificate Principal Balance
of the Class M-2 Certificates (after taking
into account the payment of the Class M-2
Principal Distribution Amount on such
Distribution Date), (iv) the Certificate
Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal
Distribution Amount on such Distribution
Date), (v) the Certificate Principal Balance
of the Class B-1 Certificates (after taking
into account the payment of the Class B-1
Principal Distribution Amount on such
Distribution Date), (vi) the Certificate
Principal Balance of the Class B-2
Certificates (after taking into account the
payment of the Class B-2 Principal
Distribution Amount on such Distribution
Date), (vii) the Certificate Principal Balance
of the Class B-3 Certificates (after taking
into account the payment of the Class B-3
Principal Distribution Amount on such
Distribution Date) and (viii) the Certificate
Principal Balance of the Class B-4
Certificates immediately prior to such
Distribution Date and over (y) the lesser of
(A) the product of (i) approximately 97.30%
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 minus approximately
$3,547,897.
TRUST TAX STATUS: REMIC.
ERISA ELIGIBILITY: Subject to the considerations in the
Prospectus, the Offered Certificates are ERISA
eligible.
SMMEA ELIGIBILITY: It is anticipated that none of the Offered
Certificates will be SMMEA eligible.
--------------------------------------------------------------------------------
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
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
TRANSACTION HIGHLIGHTS (CONT'D)
PROSPECTUS: The Offered Certificates are being offered
pursuant to a prospectus supplemented by a
prospectus supplement (together, the
"Prospectus"). Complete information with
respect to the Offered Certificates and the
collateral securing them is contained in the
Prospectus. The information herein is
qualified in its entirety by the information
appearing in the Prospectus. To the extent
that the information herein is inconsistent
with the Prospectus, the Prospectus shall
govern in all respects. Sales of the Offered
Certificates may not be consummated unless the
purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS
FOR A DESCRIPTION OF INFORMATION THAT SHOULD
BE CONSIDERED IN CONNECTION WITH AN INVESTMENT
IN THE OFFERED CERTIFICATES.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 15
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Securitized Products Group [XXXXXX XXXXXXX LOGO]
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SENSITIVITY ANALYSIS
-----------------------------------------------------------------------------------------------------------------------------------
TO 10% CALL
-----------------------------------------------------------------------------------------------------------------------------
% of PPC 50 60 75 100 125 150 175
----- --------------------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
A-1 WAL 5.44 4.61 3.72 2.75 2.11 1.61 1.24
First Payment Date 12/25/2004 12/25/2004 12/25/2004 12/25/2004 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 3/25/2020 2/25/2018 8/25/2015 11/25/2012 2/25/2011 12/25/2009 1/25/2009
Window 1 - 184 1 - 159 1 - 129 1 - 96 1 - 75 1 - 61 1 - 50
----- --------------------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
A-2 WAL 1.94 1.64 1.32 1.00 0.80 0.66 0.56
First Payment Date 12/25/2004 12/25/2004 12/25/2004 12/25/2004 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 12/25/2008 4/25/2008 8/25/2007 12/25/2006 7/25/2006 3/25/2006 12/25/2005
Window 1 - 49 1 - 41 1 - 33 1 - 25 1 - 20 1 - 16 1 - 13
----- --------------------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
A-3 WAL 6.13 5.15 4.12 3.01 2.21 1.80 1.50
First Payment Date 12/25/2008 4/25/2008 8/25/2007 12/25/2006 7/25/2006 3/25/2006 12/25/2005
Expected Final Maturity 12/25/2013 7/25/2012 1/25/2011 6/25/2009 10/25/2007 3/25/2007 10/25/2006
Window 49 - 109 41 - 92 33 - 74 25 - 55 20 - 35 16 - 28 13 - 23
----- --------------------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
A-4 WAL 13.10 11.20 9.04 6.72 5.16 3.71 2.55
First Payment Date 12/25/2013 7/25/2012 1/25/2011 6/25/2009 10/25/2007 3/25/2007 10/25/2006
Expected Final Maturity 3/25/2020 2/25/2018 8/25/2015 11/25/2012 2/25/2011 12/25/2009 1/25/2009
Window 109 - 184 92 - 159 74 - 129 55 - 96 35 - 75 28 - 61 23 - 50
----- --------------------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
M-1 WAL 10.31 8.77 7.06 5.33 4.54 4.37 4.17
First Payment Date 12/25/2009 2/25/2009 4/25/2008 2/25/2008 4/25/2008 8/25/2008 1/25/2009
Expected Final Maturity 3/25/2020 2/25/2018 8/25/2015 11/25/2012 2/25/2011 12/25/2009 1/25/2009
Window 61 - 184 51 - 159 41 - 129 39 - 96 41 - 75 45 - 61 50 - 50
----- --------------------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
M-2 WAL 10.31 8.77 7.06 5.30 4.40 3.98 3.88
First Payment Date 12/25/2009 2/25/2009 4/25/2008 12/25/2007 2/25/2008 3/25/2008 5/25/2008
Expected Final Maturity 3/25/2020 2/25/2018 8/25/2015 11/25/2012 2/25/2011 12/25/2009 1/25/2009
Window 61 - 184 51 - 159 41 - 129 37 - 96 39 - 75 40 - 61 42 - 50
----- --------------------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
M-3 WAL 10.31 8.77 7.06 5.29 4.35 3.86 3.63
First Payment Date 12/25/2009 2/25/2009 4/25/2008 12/25/2007 1/25/2008 2/25/2008 4/25/2008
Expected Final Maturity 3/25/2020 2/25/2018 8/25/2015 11/25/2012 2/25/2011 12/25/2009 1/25/2009
Window 61 - 184 51 - 159 41 - 129 37 - 96 38 - 75 39 - 61 41 - 50
----- --------------------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
B-1 WAL 10.31 8.77 7.06 5.29 4.33 3.82 3.55
First Payment Date 12/25/2009 2/25/2009 4/25/2008 12/25/2007 1/25/2008 2/25/2008 2/25/2008
Expected Final Maturity 3/25/2020 2/25/2018 8/25/2015 11/25/2012 2/25/2011 12/25/2009 1/25/2009
Window 61 - 184 51 - 159 41 - 129 37 - 96 38 - 75 39 - 61 39 - 50
----- --------------------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
B-2 WAL 10.31 8.77 7.06 5.29 4.33 3.79 3.49
First Payment Date 12/25/2009 2/25/2009 4/25/2008 12/25/2007 12/25/2007 1/25/2008 2/25/2008
Expected Final Maturity 3/25/2020 2/25/2018 8/25/2015 11/25/2012 2/25/2011 12/25/2009 1/25/2009
Window 61 - 184 51 - 159 41 - 129 37 - 96 37 - 75 38 - 61 39 - 50
----- --------------------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
B-3 WAL 10.30 8.76 7.06 5.28 4.30 3.77 3.47
First Payment Date 12/25/2009 2/25/2009 4/25/2008 12/25/2007 12/25/2007 1/25/2008 1/25/2008
Expected Final Maturity 3/25/2020 2/25/2018 8/25/2015 11/25/2012 2/25/2011 12/25/2009 1/25/2009
Window 61 - 184 51 - 159 41 - 129 37 - 96 37 - 75 38 - 61 38 - 50
-----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 16
--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SENSITIVITY ANALYSIS(CONT)
-----------------------------------------------------------------------------------------------------------------------------------
TO MATURITY
----------------------------------------------------------------------------------------------------------------------------
% of PPC 50 60 75 100 125 150 175
------ ------------------------ ------------- -------------- ------------- ------------- ------------- -------------- -------------
A-1 WAL 5.80 4.95 4.01 2.99 2.29 1.76 1.29
First Payment Date 12/25/2004 12/25/2004 12/25/2004 12/25/2004 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 5/25/2032 8/25/2030 5/25/2027 5/25/2022 10/25/2018 3/25/2016 4/25/2014
Window 1 - 330 1 - 309 1 - 270 1 - 210 1 - 167 1 - 136 1 - 113
------ ------------------------ ------------- -------------- ------------- ------------- ------------- -------------- -------------
A-2 WAL 1.94 1.64 1.32 1.00 0.80 0.66 0.56
First Payment Date 12/25/2004 12/25/2004 12/25/2004 12/25/2004 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 12/25/2008 4/25/2008 8/25/2007 12/25/2006 7/25/2006 3/25/2006 12/25/2005
Window 1 - 49 1 - 41 1 - 33 1 - 25 1 - 20 1 - 16 1 - 13
------ ------------------------ ------------- -------------- ------------- ------------- ------------- -------------- -------------
A-3 WAL 6.13 5.15 4.12 3.01 2.21 1.80 1.50
First Payment Date 12/25/2008 4/25/2008 8/25/2007 12/25/2006 7/25/2006 3/25/2006 12/25/2005
Expected Final Maturity 12/25/2013 7/25/2012 1/25/2011 6/25/2009 10/25/2007 3/25/2007 10/25/2006
Window 49 - 109 41 - 92 33 - 74 25 - 55 20 - 35 16 - 28 13 - 23
------ ------------------------ ------------- -------------- ------------- ------------- ------------- -------------- -------------
A-4 WAL 14.78 12.75 10.42 7.80 6.03 4.40 2.81
First Payment Date 12/25/2013 7/25/2012 1/25/2011 6/25/2009 10/25/2007 3/25/2007 10/25/2006
Expected Final Maturity 5/25/2032 8/25/2030 5/25/2027 5/25/2022 10/25/2018 3/25/2016 4/25/2014
Window 109 - 330 92 - 309 74 - 270 55 - 210 35 - 167 28 - 136 23 - 113
------ ------------------------ ------------- -------------- ------------- ------------- ------------- -------------- -------------
M-1 WAL 11.17 9.55 7.75 5.86 4.97 4.72 5.32
First Payment Date 12/25/2009 2/25/2009 4/25/2008 2/25/2008 4/25/2008 8/25/2008 1/25/2009
Expected Final Maturity 8/25/2029 3/25/2027 8/25/2023 4/25/2019 3/25/2016 1/25/2014 6/25/2012
Window 61 - 297 51 - 268 41 - 225 39 - 173 41 - 136 45 - 110 50 - 91
------ ------------------------ ------------- -------------- ------------- ------------- ------------- -------------- -------------
M-2 WAL 11.07 9.45 7.65 5.76 4.76 4.27 4.13
First Payment Date 12/25/2009 2/25/2009 4/25/2008 12/25/2007 2/25/2008 3/25/2008 5/25/2008
Expected Final Maturity 11/25/2027 4/25/2025 10/25/2021 10/25/2017 1/25/2015 2/25/2013 9/25/2011
Window 61 - 276 51 - 245 41 - 203 37 - 155 39 - 122 40 - 99 42 - 82
------ ------------------------ ------------- -------------- ------------- ------------- ------------- -------------- -------------
M-3 WAL 10.92 9.30 7.53 5.65 4.64 4.08 3.82
First Payment Date 12/25/2009 2/25/2009 4/25/2008 12/25/2007 1/25/2008 2/25/2008 4/25/2008
Expected Final Maturity 3/25/2025 8/25/2022 7/25/2019 11/25/2015 7/25/2013 11/25/2011 8/25/2010
Window 61 - 244 51 - 213 41 - 176 37 - 132 38 - 104 39 - 84 41 - 69
------ ------------------------ ------------- -------------- ------------- ------------- ------------- -------------- -------------
B-1 WAL 10.78 9.17 7.42 5.56 4.55 3.99 3.70
First Payment Date 12/25/2009 2/25/2009 4/25/2008 12/25/2007 1/25/2008 2/25/2008 2/25/2008
Expected Final Maturity 12/25/2023 5/25/2021 7/25/2018 1/25/2015 11/25/2012 5/25/2011 3/25/2010
Window 61 - 229 51 - 198 41 - 164 37 - 122 38 - 96 39 - 78 39 - 64
------ ------------------------ ------------- -------------- ------------- ------------- ------------- -------------- -------------
B-2 WAL 10.60 9.01 7.28 5.45 4.46 3.88 3.58
First Payment Date 12/25/2009 2/25/2009 4/25/2008 12/25/2007 12/25/2007 1/25/2008 2/25/2008
Expected Final Maturity 7/25/2022 1/25/2020 5/25/2017 3/25/2014 3/25/2012 10/25/2010 10/25/2009
Window 61 - 212 51 - 182 41 - 150 37 - 112 37 - 88 38 - 71 39 - 59
------ ------------------------ ------------- -------------- ------------- ------------- ------------- -------------- -------------
B-3 WAL 10.37 8.82 7.10 5.32 4.33 3.79 3.49
First Payment Date 12/25/2009 2/25/2009 4/25/2008 12/25/2007 12/25/2007 1/25/2008 1/25/2008
Expected Final Maturity 3/25/2021 12/25/2018 4/25/2016 5/25/2013 7/25/2011 4/25/2010 5/25/2009
Window 61 - 196 51 - 169 41 - 137 37 - 102 37 - 80 38 - 65 38 - 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 17
--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SENSITIVITY ANALYSIS (CONT)
------------------------------------------------------------------------------------------------------------------------------------
TO 10% CALL TO MATURITY
------------------------------------------------------------- -----------------------------------------------------------
% of CPR 20 25 30 % of CPR 20 25 30
----- ------------------------ ----------- ------------ ----------- ---------------------------- ----------- ---------- ----------
A-1 WAL 3.37 2.64 2.11 A-1 WAL 3.66 2.88 2.30
First Payment Date 12/25/2004 12/25/2004 12/25/2004 First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 9/25/2014 8/25/2012 3/25/2011 Expected Final Maturity 12/25/2025 1/25/2022 2/25/2019
Window 1 - 118 1 - 93 1 - 76 Window 1 - 253 1 - 206 1 - 171
----- ------------------------ ----------- ------------ ----------- ---------------------------- ----------- ---------- ----------
A-2 WAL 1.17 0.93 0.77 A-2 WAL 1.17 0.93 0.77
First Payment Date 12/25/2004 12/25/2004 12/25/2004 First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 5/25/2007 11/25/2006 6/25/2006 Expected Final Maturity 5/25/2007 11/25/2006 6/25/2006
Window 1 - 30 1 - 24 1 - 19 Window 1 - 30 1 - 24 1 - 19
----- ------------------------ ----------- ------------ ----------- ---------------------------- ----------- ---------- ----------
A-3 WAL 3.74 2.87 2.21 A-3 WAL 3.74 2.87 2.21
First Payment Date 5/25/2007 11/25/2006 6/25/2006 First Payment Date 5/25/2007 11/25/2006 6/25/2006
Expected Final Maturity 6/25/2010 4/25/2009 10/25/2007 Expected Final Maturity 6/25/2010 4/25/2009 10/25/2007
Window 30 - 67 24 - 53 19 - 35 Window 30 - 67 24 - 53 19 - 35
----- ------------------------ ----------- ------------ ----------- ---------------------------- ----------- ---------- ----------
A-4 WAL 8.27 6.52 5.25 A-4 WAL 9.59 7.61 6.14
First Payment Date 6/25/2010 4/25/2009 10/25/2007 First Payment Date 6/25/2010 4/25/2009 10/25/2007
Expected Final Maturity 9/25/2014 8/25/2012 3/25/2011 Expected Final Maturity 12/25/2025 1/25/2022 2/25/2019
Window 67 - 118 53 - 93 35 - 76 Window 67 - 253 53 - 206 35 - 171
----- ------------------------ ----------- ------------ ----------- ---------------------------- ----------- ---------- ----------
M-1 WAL 6.45 5.20 4.58 M-1 WAL 7.10 5.74 5.02
First Payment Date 12/25/2007 2/25/2008 4/25/2008 First Payment Date 12/25/2007 2/25/2008 4/25/2008
Expected Final Maturity 9/25/2014 8/25/2012 3/25/2011 Expected Final Maturity 5/25/2022 12/25/2018 6/25/2016
Window 37 - 118 39 - 93 41 - 76 Window 37 - 210 39 - 169 41 - 139
----- ------------------------ ----------- ------------ ----------- ---------------------------- ----------- ---------- ----------
M-2 WAL 6.45 5.17 4.44 M-2 WAL 7.01 5.63 4.82
First Payment Date 12/25/2007 1/25/2008 2/25/2008 First Payment Date 12/25/2007 1/25/2008 2/25/2008
Expected Final Maturity 9/25/2014 8/25/2012 3/25/2011 Expected Final Maturity 7/25/2020 6/25/2017 3/25/2015
Window 37 - 118 38 - 93 39 - 76 Window 37 - 188 38 - 151 39 - 124
----- ------------------------ ----------- ------------ ----------- ---------------------------- ----------- ---------- ----------
M-3 WAL 6.45 5.16 4.39 M-3 WAL 6.89 5.52 4.69
First Payment Date 12/25/2007 12/25/2007 1/25/2008 First Payment Date 12/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 9/25/2014 8/25/2012 3/25/2011 Expected Final Maturity 5/25/2018 8/25/2015 9/25/2013
Window 37 - 118 37 - 93 38 - 76 Window 37 - 162 37 - 129 38 - 106
----- ------------------------ ----------- ------------ ----------- ---------------------------- ----------- ---------- ----------
B-1 WAL 6.45 5.15 4.38 B-1 WAL 6.79 5.43 4.60
First Payment Date 12/25/2007 12/25/2007 1/25/2008 First Payment Date 12/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 9/25/2014 8/25/2012 3/25/2011 Expected Final Maturity 6/25/2017 11/25/2014 1/25/2013
Window 37 - 118 37 - 93 38 - 76 Window 37 - 151 37 - 120 38 - 98
----- ------------------------ ----------- ------------ ----------- ---------------------------- ----------- ---------- ----------
B-2 WAL 6.45 5.15 4.38 B-2 WAL 6.65 5.32 4.51
First Payment Date 12/25/2007 12/25/2007 12/25/2007 First Payment Date 12/25/2007 12/25/2007 12/25/2007
Expected Final Maturity 9/25/2014 8/25/2012 3/25/2011 Expected Final Maturity 5/25/2016 12/25/2013 4/25/2012
Window 37 - 118 37 - 93 37 - 76 Window 37 - 138 37 - 109 37 - 89
----- ------------------------ ----------- ------------ ----------- ---------------------------- ----------- ---------- ----------
B-3 WAL 6.44 5.14 4.35 B-3 WAL 6.49 5.19 4.38
First Payment Date 12/25/2007 12/25/2007 12/25/2007 First Payment Date 12/25/2007 12/25/2007 12/25/2007
Expected Final Maturity 9/25/2014 8/25/2012 3/25/2011 Expected Final Maturity 5/25/2015 3/25/2013 8/25/2011
Window 37 - 118 37 - 93 37 - 76 Window 37 - 126 37 - 100 37 - 81
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP % A-2 % A-3 CAP % A-4 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ --------- ----- --------- --------- --------- --------- --------- --------- --------- ---------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
1 (3) (3) (3) (3) (3) (3) (3) (3) (3) (3)
2 (3) (3) (3) (3) (3) (3) (3) (3) (3) (3)
3 (3) (3) (3) (3) (3) (3) (3) (3) (3) (3)
4 10.07 10.07 10.07 10.07 9.94 9.94 9.94 9.94 9.94 9.94
5 9.34 9.34 9.34 9.34 9.22 9.22 9.22 9.22 9.22 9.22
6 9.57 9.57 9.57 9.57 9.44 9.44 9.44 9.44 9.44 9.44
7 9.35 9.35 9.35 9.35 9.22 9.22 9.22 9.22 9.22 9.22
8 9.58 9.58 9.58 9.58 9.44 9.44 9.44 9.44 9.44 9.44
9 9.36 9.36 9.36 9.36 9.22 9.22 9.22 9.22 9.22 9.22
10 9.36 9.36 9.36 9.36 9.22 9.22 9.22 9.22 9.22 9.22
11 9.59 9.59 9.59 9.59 9.44 9.44 9.44 9.44 9.44 9.44
12 9.37 9.37 9.37 9.37 9.22 9.22 9.22 9.22 9.22 9.22
13 9.60 9.60 9.60 9.60 9.44 9.44 9.44 9.44 9.44 9.44
14 9.38 9.38 9.38 9.38 9.22 9.22 9.22 9.22 9.22 9.22
15 9.38 9.38 9.38 9.38 9.22 9.22 9.22 9.22 9.22 9.22
16 10.13 10.13 10.13 10.13 9.94 9.94 9.94 9.94 9.94 9.94
17 9.39 9.39 9.39 9.39 9.22 9.22 9.22 9.22 9.22 9.22
18 9.63 9.63 9.63 9.63 9.44 9.44 9.44 9.44 9.44 9.44
19 9.41 9.41 9.41 9.41 9.22 9.22 9.22 9.22 9.22 9.22
20 9.64 9.64 9.64 9.64 9.44 9.44 9.44 9.44 9.44 9.44
21 9.64 9.64 9.64 9.64 9.43 9.43 9.43 9.43 9.43 9.43
22 9.58 9.58 9.58 9.58 9.47 9.47 9.47 9.47 9.47 9.47
23 9.88 9.88 9.88 9.88 9.75 9.75 9.75 9.75 9.75 9.75
24 9.60 9.60 9.60 9.60 9.47 9.47 9.47 9.47 9.47 9.47
25 9.90 9.90 9.90 9.90 9.75 9.75 9.75 9.75 9.75 9.75
26 9.62 - 9.62 9.62 9.47 9.47 9.47 9.47 9.47 9.47
27 9.72 - 9.72 9.72 9.56 9.56 9.56 9.56 9.56 9.56
28 10.86 - 10.86 10.86 10.67 10.67 10.67 10.67 10.67 10.67
29 9.85 - 9.85 9.85 9.69 9.69 9.69 9.69 9.69 9.69
30 10.18 - 10.18 10.18 9.99 9.99 9.99 9.99 9.99 9.99
31 9.88 - 9.88 9.88 9.69 9.69 9.69 9.69 9.69 9.69
32 10.21 - 10.21 10.21 9.99 9.99 9.99 9.99 9.99 9.99
33 10.07 - 10.07 10.07 9.84 9.84 9.84 9.84 9.84 9.84
34 10.66 - 10.66 10.66 10.17 10.17 10.17 10.17 10.17 10.17
35 11.04 - 11.04 11.04 10.51 10.51 10.51 10.51 10.51 10.51
36 10.70 - 10.70 10.70 10.17 10.17 10.17 10.17 10.17 10.17
37 21.51 - 21.51 21.51 10.51 10.51 10.51 10.51 10.51 10.51
38 11.88 - 11.88 11.88 10.17 10.17 10.17 10.17 10.17 10.17
39 11.97 - 11.97 11.97 10.29 10.29 10.29 10.29 10.29 10.29
40 13.59 - 13.59 13.59 11.80 11.80 11.80 11.80 11.80 11.80
41 12.67 - 12.67 12.67 11.04 11.04 11.04 11.04 11.04 11.04
(1) Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
(3) A Prefunding period exists for Periods 1 through 3
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 19
--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP % A-2 % A-3 CAP % A-4 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ --------- ----- --------- --------- --------- --------- --------- --------- --------- ---------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
42 13.09 - 13.09 13.09 11.41 11.41 11.41 11.41 11.41 11.41
43 12.67 - 12.67 12.67 11.04 11.04 11.04 11.04 11.04 11.04
44 13.09 - 13.09 13.09 11.41 11.41 11.41 11.41 11.41 11.41
45 12.74 - 12.74 12.74 11.11 11.11 11.11 11.11 11.11 11.11
46 13.02 - 13.02 13.02 11.38 11.38 11.38 11.38 11.38 11.38
47 13.45 - 13.45 13.45 11.76 11.76 11.76 11.76 11.76 11.76
48 13.02 - 13.02 13.02 11.38 11.38 11.38 11.38 11.38 11.38
49 13.45 - 13.45 13.45 11.75 11.75 11.75 11.75 11.75 11.75
50 13.02 - 13.02 13.02 11.37 11.37 11.37 11.37 11.37 11.37
51 13.05 - 13.05 13.05 11.41 11.41 11.41 11.41 11.41 11.41
52 14.53 - 14.53 14.53 12.71 12.71 12.71 12.71 12.71 12.71
53 13.13 - 13.13 13.13 11.48 11.48 11.48 11.48 11.48 11.48
54 13.56 - 13.56 13.56 11.86 11.86 11.86 11.86 11.86 11.86
55 13.13 - 13.13 13.13 11.48 11.48 11.48 11.48 11.48 11.48
56 13.57 - - 13.57 11.86 11.86 11.86 11.86 11.86 11.86
57 13.16 - - 13.16 11.51 11.51 11.51 11.51 11.51 11.51
58 13.21 - - 13.21 11.56 11.56 11.56 11.56 11.56 11.56
59 13.66 - - 13.66 11.95 11.95 11.95 11.95 11.95 11.95
60 13.22 - - 13.22 11.56 11.56 11.56 11.56 11.56 11.56
61 13.66 - - 13.66 11.95 11.95 11.95 11.95 11.95 11.95
62 13.22 - - 13.22 11.56 11.56 11.56 11.56 11.56 11.56
63 13.23 - - 13.23 11.57 11.57 11.57 11.57 11.57 11.57
64 14.65 - - 14.65 12.81 12.81 12.81 12.81 12.81 12.81
65 13.23 - - 13.23 11.57 11.57 11.57 11.57 11.57 11.57
66 13.67 - - 13.67 11.96 11.96 11.96 11.96 11.96 11.96
67 13.23 - - 13.23 11.57 11.57 11.57 11.57 11.57 11.57
68 13.67 - - 13.67 11.96 11.96 11.96 11.96 11.96 11.96
69 13.23 - - 13.23 11.57 11.57 11.57 11.57 11.57 11.57
70 13.23 - - 13.23 11.57 11.57 11.57 11.57 11.57 11.57
71 13.57 - - 13.57 11.96 11.96 11.96 11.96 11.96 11.96
72 12.06 - - 12.06 11.57 11.57 11.57 11.57 11.57 11.57
73 12.47 - - 12.47 11.96 11.96 11.96 11.96 11.96 11.96
74 12.08 - - 12.08 11.57 11.57 11.57 11.57 11.57 11.57
75 12.10 - - 12.10 11.57 11.57 11.57 11.57 11.57 11.57
76 13.41 - - 13.41 12.81 12.81 12.81 12.81 12.81 12.81
77 12.13 - - 12.13 11.57 11.57 11.57 11.57 11.57 11.57
78 12.54 - - 12.54 11.96 11.96 11.96 11.96 11.96 11.96
79 12.15 - - 12.15 11.57 11.57 11.57 11.57 11.57 11.57
80 12.57 - - 12.57 11.96 11.96 11.96 11.96 11.96 11.96
81 12.18 - - 12.18 11.57 11.57 11.57 11.57 11.57 11.57
82 12.19 - - 12.19 11.57 11.57 11.57 11.57 11.57 11.57
(1) Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
(3) A Prefunding period exists for Periods 1 through 3
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 20
--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP % A-2 % A-3 CAP % A-4 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ --------- ----- --------- --------- --------- --------- --------- --------- --------- ---------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
83 12.62 - - 12.62 11.96 11.96 11.96 11.96 11.96 11.96
84 12.22 - - 12.22 11.57 11.57 11.57 11.57 11.57 11.57
85 12.65 - - 12.65 11.95 11.95 11.95 11.95 11.95 11.95
86 12.25 - - 12.25 11.57 11.57 11.57 11.57 11.57 11.57
87 12.27 - - 12.27 11.57 11.57 11.57 11.57 11.57 11.57
88 13.13 - - 13.13 12.36 12.36 12.36 12.36 12.36 12.36
89 12.30 - - 12.30 11.57 11.57 11.57 11.57 11.57 11.57
90 12.73 - - 12.73 11.95 11.95 11.95 11.95 11.95 11.95
91 12.34 - - 12.34 11.56 11.56 11.56 11.56 11.56 11.56
92 12.77 - - 12.77 11.95 11.95 11.95 11.95 11.95 11.95
93 12.38 - - 12.38 11.56 11.56 11.56 11.56 11.56 11.56
94 12.39 - - 12.39 11.56 11.56 11.56 11.56 11.56 11.56
95 12.83 - - 12.83 11.95 11.95 11.95 11.95 11.95 11.95
96 12.44 - - 12.44 11.56 11.56 11.56 11.56 11.56 11.56
97 12.87 - - 12.87 11.95 11.95 11.95 11.95 11.95 11.95
98 12.48 - - 12.48 11.56 11.56 11.56 11.56 11.56 11.56
99 12.50 - - 12.50 11.56 11.56 11.56 11.56 11.56 11.56
100 13.86 - - 13.86 12.80 12.80 12.80 12.80 12.80 12.80
101 12.54 - - 12.54 11.56 11.56 11.56 11.56 11.56 11.56
102 12.99 - - 12.99 11.94 11.94 11.94 11.94 11.94 11.94
103 12.59 - - 12.59 11.56 11.56 11.56 11.56 11.56 11.56
104 13.04 - - 13.04 11.94 11.94 11.94 11.94 11.94 11.94
105 12.64 - - 12.64 11.55 11.55 11.55 11.55 11.55 -
106 12.67 - - 12.67 11.55 11.55 11.55 11.55 11.55 -
107 13.12 - - 13.12 11.94 11.94 11.94 11.94 11.94 -
108 12.72 - - 12.72 11.55 11.55 11.55 11.55 11.55 -
109 13.18 - - 13.18 11.94 11.94 11.94 11.94 11.94 -
110 12.78 - - 12.78 11.55 11.55 11.55 11.55 11.55 -
111 12.81 - - 12.81 11.55 11.55 11.55 11.55 11.55 -
112 14.22 - - 14.22 12.79 12.79 12.79 12.79 12.79 -
113 12.87 - - 12.87 11.55 11.55 11.55 11.55 11.55 -
114 13.34 - - 13.34 11.93 11.93 11.93 11.93 - -
115 12.94 - - 12.94 11.55 11.55 11.55 11.55 - -
116 13.41 - - 13.41 11.93 11.93 11.93 11.93 - -
117 13.01 - - 13.01 11.55 11.55 11.55 11.55 - -
118 13.05 - - 13.05 11.55 11.55 11.55 11.55 - -
119 13.52 - - 13.52 11.93 11.93 11.93 11.93 - -
120 13.12 - - 13.12 11.55 11.55 11.55 11.55 - -
121 13.60 - - 13.60 11.93 11.93 11.93 11.93 - -
122 13.20 - - 13.20 11.55 11.55 11.55 11.55 - -
123 13.24 - - 13.24 11.55 11.55 11.55 11.55 - -
(1) Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
(3) A Prefunding period exists for Periods 1 through 3
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 21
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP % A-2 % A-3 CAP % A-4 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ --------- ----- --------- --------- --------- --------- --------- --------- --------- ---------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
124 14.70 - - 14.70 12.78 12.78 12.78 12.78 - -
125 13.32 - - 13.32 11.54 11.54 11.54 - - -
126 13.81 - - 13.81 11.93 11.93 11.93 - - -
127 13.41 - - 13.41 11.54 11.54 11.54 - - -
128 13.91 - - 13.91 11.93 11.93 11.93 - - -
129 13.51 - - 13.51 11.54 11.54 11.54 - - -
130 13.56 - - 13.56 11.54 11.54 11.54 - - -
131 14.06 - - 14.06 11.93 11.93 11.93 - - -
132 13.66 - - 13.66 11.54 11.54 11.54 - - -
133 14.17 - - 14.17 11.93 11.93 11.93 - - -
134 13.77 - - 13.77 11.54 11.54 11.54 - - -
135 13.82 - - 13.82 11.54 11.54 - - - -
136 14.84 - - 14.84 12.34 12.34 - - - -
137 13.94 - - 13.94 11.54 11.54 - - - -
138 14.46 - - 14.46 11.93 11.93 - - - -
139 14.06 - - 14.06 11.54 11.54 - - - -
140 14.59 - - 14.59 11.93 11.93 - - - -
141 14.19 - - 14.19 11.54 11.54 - - - -
142 14.25 - - 14.25 11.54 11.54 - - - -
143 14.80 - - 14.80 11.93 11.93 - - - -
144 14.39 - - 14.39 11.54 11.54 - - - -
145 14.95 - - 14.95 11.92 11.92 - - - -
146 14.54 - - 14.54 11.54 11.54 - - - -
147 14.62 - - 14.62 11.54 11.54 - - - -
148 16.27 - - 16.27 12.78 12.78 - - - -
149 14.77 - - 14.77 11.54 11.54 - - - -
150 15.35 - - 15.35 11.92 11.92 - - - -
151 14.94 - - 14.94 11.54 11.54 - - - -
152 15.53 - - 15.53 11.92 11.92 - - - -
153 15.12 - - 15.12 11.54 11.54 - - - -
154 15.21 - - 15.21 11.54 11.54 - - - -
155 15.81 - - 15.81 11.93 11.93 - - - -
156 15.40 - - 15.40 11.54 11.54 - - - -
157 16.01 - - 16.01 11.93 11.93 - - - -
158 15.60 - - 15.60 11.54 - - - - -
159 15.70 - - 15.70 11.54 - - - - -
160 17.50 - - 17.50 12.78 - - - - -
161 15.92 - - 15.92 11.54 - - - - -
162 16.57 - - 16.57 11.93 - - - - -
163 16.15 - - 16.15 11.54 - - - - -
164 16.81 - - 16.81 11.93 - - - - -
(1) Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
(3) A Prefunding period exists for Periods 1 through 3
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 22
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP % A-2 % A-3 CAP % A-4 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ --------- ----- --------- --------- --------- --------- --------- --------- --------- ---------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
165 16.39 - - 16.39 11.54 - - - - -
166 16.51 - - 16.51 11.54 - - - - -
167 17.20 - - 17.20 11.93 - - - - -
168 16.77 - - 16.77 11.54 - - - - -
169 17.47 - - 17.47 11.93 - - - - -
170 17.05 - - 17.05 11.54 - - - - -
171 17.19 - - 17.19 11.55 - - - - -
172 19.20 - - 19.20 12.78 - - - - -
173 17.49 - - 17.49 11.55 - - - - -
174 18.23 - - 18.23 11.93 - - - - -
175 17.80 - - 17.80 11.55 - - - - -
176 18.60 - - 18.60 11.94 - - - - -
177 18.29 - - 18.29 - - - - - -
178 18.96 - - 18.96 - - - - - -
179 19.92 - - 19.92 - - - - - -
180 19.61 - - 19.61 - - - - - -
181 20.63 - - 20.63 - - - - - -
182 20.35 - - 20.35 - - - - - -
183 20.75 - - 20.75 - - - - - -
184 22.65 - - 22.65 - - - - - -
185 21.65 - - 21.65 - - - - - -
186 22.89 - - 22.89 - - - - - -
187 22.68 - - 22.68 - - - - - -
188 24.04 - - 24.04 - - - - - -
189 23.89 - - 23.89 - - - - - -
190 24.57 - - 24.57 - - - - - -
191 26.15 - - 26.15 - - - - - -
192 26.12 - - 26.12 - - - - - -
193 27.90 - - 27.90 - - - - - -
194 27.98 - - 27.98 - - - - - -
195 29.06 - - 29.06 - - - - - -
196 33.50 - - 33.50 - - - - - -
197 31.59 - - 31.59 - - - - - -
198 34.20 - - 34.20 - - - - - -
199 34.81 - - 34.81 - - - - - -
200 37.98 - - 37.98 - - - - - -
201 38.99 - - 38.99 - - - - - -
202 41.60 - - 41.60 - - - - - -
203 46.16 - - 46.16 - - - - - -
204 48.34 - - 48.34 - - - - - -
205 54.55 - - 54.55 - - - - - -
(1) Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
(3) A Prefunding period exists for Periods 1 through 3
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 23
--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-1 CAP % A-2 % A-3 CAP % A-4 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ --------- ----- --------- --------- --------- --------- --------- --------- --------- ---------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
206 58.32 - - 58.32 - - - - - -
207 65.36 - - 65.36 - - - - - -
208 82.62 - - 82.62 - - - - - -
209 87.35 - - 87.35 - - - - - -
210 109.46 - - 109.46 - - - - - -
211 135.59 - - 135.59 - - - - - -
212 196.77 - - 196.77 - - - - - -
213 326.05 - - 326.05 - - - - - -
214 * - - * - - - - - -
* In period 214, the Class A-1Certificate has an approximate beginning
balance of $11,717 and is paid approximately $33,058 in interest and the
Class A-4 Certificate has an approximate beginning balance of $22,392 and
is paid approximately $63,175 in interest.
(1) Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
(3) A Prefunding period exists for Periods 1 through 3
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 24
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
INTEREST RATE CAP SCHEDULES
Class A Interest Rate Cap Class M Certificates Interest Rate Cap Class B Certificates Interest Rate Cap
----------------------------------- -------------------------------------- --------------------------------------
Class A Interest Class M Interest Class B Interest
Rate Cap Notional Strike Ceiling Rate Cap Notional Strike Ceiling Rate Cap Notional Strike Ceiling
Balance ($) (%) (%) Balance ($) (%) (%) Balance ($) (%) (%)
1 582,210,000.00 6.50 9.00 1 92,600,000.00 5.80 8.30 1 25,190,000.00 4.10 6.60
2 569,937,367.12 6.50 9.00 2 92,600,000.00 5.80 8.30 2 25,190,000.00 4.10 6.60
3 556,911,406.81 6.50 9.00 3 92,600,000.00 5.80 8.30 3 25,190,000.00 4.10 6.60
4 543,124,638.18 6.50 9.00 4 92,600,000.00 5.80 8.30 4 25,190,000.00 4.10 6.60
5 528,569,925.87 6.50 9.00 5 92,600,000.00 5.80 8.30 5 25,190,000.00 4.10 6.60
6 514,151,018.23 6.50 9.00 6 92,600,000.00 5.80 8.30 6 25,190,000.00 4.10 6.60
7 499,864,546.48 6.50 9.00 7 92,600,000.00 5.80 8.30 7 25,190,000.00 4.10 6.60
8 485,708,053.86 6.50 9.00 8 92,600,000.00 5.80 8.30 8 25,190,000.00 4.10 6.60
9 471,679,979.73 6.50 9.00 9 92,600,000.00 5.80 8.30 9 25,190,000.00 4.10 6.60
10 457,779,729.68 6.50 9.00 10 92,600,000.00 5.80 8.30 10 25,190,000.00 4.10 6.60
11 444,007,372.68 6.50 9.00 11 92,600,000.00 5.80 8.30 11 25,190,000.00 4.10 6.60
12 430,384,040.86 6.50 9.00 12 92,600,000.00 5.80 8.30 12 25,190,000.00 4.10 6.60
13 417,059,060.03 6.50 9.00 13 92,600,000.00 5.80 8.30 13 25,190,000.00 4.10 6.60
14 404,049,126.96 6.50 9.00 14 92,600,000.00 5.80 8.30 14 25,190,000.00 4.10 6.60
15 391,347,857.62 6.50 9.00 15 92,600,000.00 5.80 8.30 15 25,190,000.00 4.10 6.60
16 378,947,996.74 6.50 9.00 16 92,600,000.00 5.80 8.30 16 25,190,000.00 4.10 6.60
17 366,842,390.30 6.50 9.00 17 92,600,000.00 5.80 8.30 17 25,190,000.00 4.10 6.60
18 355,024,087.94 6.50 9.00 18 92,600,000.00 5.80 8.30 18 25,190,000.00 4.10 6.60
19 343,486,303.01 6.50 9.00 19 92,600,000.00 5.80 8.30 19 25,190,000.00 4.10 6.60
20 332,222,408.68 6.50 9.00 20 92,600,000.00 5.80 8.30 20 25,190,000.00 4.10 6.60
21 321,225,934.22 6.50 9.00 21 92,600,000.00 5.80 8.30 21 25,190,000.00 4.10 6.60
22 310,492,878.79 8.35 9.25 22 92,600,000.00 7.50 8.55 22 25,190,000.00 5.80 6.85
23 300,005,629.90 8.35 9.25 23 92,600,000.00 7.50 8.55 23 25,190,000.00 5.80 6.85
24 289,767,394.47 8.35 9.25 24 92,600,000.00 7.50 8.55 24 25,190,000.00 5.80 6.85
25 279,772,291.55 8.35 9.25 25 92,600,000.00 7.50 8.55 25 25,190,000.00 5.80 6.85
26 270,014,578.63 8.35 9.25 26 92,600,000.00 7.50 8.55 26 25,190,000.00 5.80 6.85
27 260,488,648.40 8.35 9.25 27 92,600,000.00 7.50 8.55 27 25,190,000.00 5.80 6.85
28 251,189,025.52 9.20 9.50 28 92,600,000.00 8.30 8.80 28 25,190,000.00 6.60 7.10
29 242,110,426.84 9.20 9.50 29 92,600,000.00 8.30 8.80 29 25,190,000.00 6.60 7.10
30 233,247,565.74 9.20 9.50 30 92,600,000.00 8.30 8.80 30 25,190,000.00 6.60 7.10
31 224,595,344.70 9.20 9.50 31 92,600,000.00 8.30 8.80 31 25,190,000.00 6.60 7.10
32 216,148,786.22 9.20 9.50 32 92,600,000.00 8.30 8.80 32 25,190,000.00 6.60 7.10
33 207,903,030.01 9.20 9.50 33 92,600,000.00 8.30 8.80 33 25,190,000.00 6.60 7.10
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 25
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
DESCRIPTION OF THE TOTAL COLLATERAL
--------------------------------------------------------------------------------
COLLATERAL SUMMARY
--------------------------------------------------------------------------------
Statistics given below are for the Mortgage Loans in the pool as of the Cut-off
Date. Balances and percentages are based on the Cut-off Date scheduled balances
of such Mortgage Loans.
SUMMARY STATISTICS RANGE (IF APPLICABLE)
------------------ ---------------------
NUMBER OF MORTGAGE LOANS: 3,578
AGGREGATE CURRENT PRINCIPAL BALANCE: $585,967,785 $10,366 - $797,275
AVERAGE CURRENT PRINCIPAL BALANCE: $163,770
AGGREGATE ORIGINAL PRINCIPAL BALANCE: $587,321,479 $10,500 - $800,000
AVERAGE ORIGINAL PRINCIPAL BALANCE: $164,148
1ST LIEN: 97.60%
WTD. AVG. MORTGAGE RATE: 7.463% 4.500% - 13.375%
WTD. AVG. ORIGINAL TERM TO MATURITY (MONTHS): 352 120 - 360
WTD. AVG. REMAINING TERM TO MATURITY (MONTHS): 349 116 - 359
WTD. AVG. MARGIN (ARM LOANS ONLY): 6.645% 1.740% - 14.000%
WTD. AVG. MAXIMUM MORTGAGE RATE
(ARM LOANS ONLY): 13.982% 9.990% - 18.840%
WTD. AVG. MINIMUM MORTGAGE RATE
(ARM LOANS ONLY): 7.467% 2.250% - 12.590%
WTD. AVG. COMBINED ORIGINAL LTV: 79.99% 13.10% - 100.00%
WTD. AVG. BORROWER FICO: 632 500 - 802
Geographic Distribution (Top 5): CA 43.32%
FL 12.59%
NY 4.69%
MD 2.54%
NV 2.47%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 26
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Mortgage Balance Principal Rate Term LTV FICO
Product Types Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 6 195,079 0.03 8.714 117 75.55 648.7
Fixed - 15 Year 84 9,047,430 1.54 7.176 176 68.04 657.5
Fixed - 20 Year 88 4,600,010 0.79 8.623 236 85.74 655.7
Fixed - 25 Year 6 438,126 0.07 8.517 297 79.78 649.8
Fixed - 30 Year 475 82,728,713 14.12 6.839 356 73.96 662.4
Fixed Balloon - 15/30 277 12,637,968 2.16 10.068 177 95.00 666.9
ARM - 1 Year/6 Month 1 331,636 0.06 5.890 356 71.77 583.0
ARM - 2 Year/6 Month 1,860 300,412,032 51.27 7.830 357 80.43 609.0
ARM - 3 Year/6 Month 233 39,522,581 6.74 7.261 356 81.64 617.2
ARM - 5 Year/6 Month 11 1,545,098 0.26 6.858 356 81.98 627.2
Interest Only ARM - 5 Year/6 Month 5 1,551,260 0.26 6.083 357 79.08 713.8
Interest Only ARM - 2 Year/6 Month 414 105,165,769 17.95 6.845 356 81.83 664.5
Interest Only ARM - 3 Year/6 Month 97 22,580,466 3.85 6.797 356 81.78 662.0
Interest Only Fixed Balloon - 15/30 2 326,280 0.06 6.580 175 79.99 614.2
Interest Only Fixed - 30 Year 19 4,885,338 0.83 6.836 356 71.94 685.4
----------------------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 07.463 349 79.99 632.4
----------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Mortgage Balance Principal Rate Term LTV FICO
Originator Loans ($) Balance (%) (Months) (%) Score
------------------------------------------------------------------------------------------------------------------
Chapel 534 107,033,607 18.27 7.386 351 80.55 648.5
Home Owners 760 91,086,899 15.54 9.031 354 80.50 594.7
First Banc 548 76,208,367 13.01 7.220 342 81.69 644.0
Impac 344 75,540,061 12.89 7.100 354 78.57 629.4
Aegis 421 61,128,883 10.43 6.850 334 74.64 651.8
BNC 267 53,579,494 9.14 7.251 350 82.19 612.0
Encore 210 48,314,960 8.25 6.816 353 81.02 638.5
Lenders Direct 177 22,495,425 3.84 7.611 336 82.70 656.5
Home Loan 141 20,891,851 3.57 6.956 357 79.08 642.6
Master Financial 107 14,610,052 2.49 7.241 344 83.16 657.7
Peoples Choice 41 7,771,459 1.33 7.608 356 80.74 618.8
All State 28 7,306,728 1.25 7.580 354 71.30 586.3
------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Mortgage Balance Principal Rate Term LTV FICO
Lien Position Loans ($) Balance (%) (Months) (%) Score
------------------------------------------------------------------------------------------------------------------
1st Lien 3,210 571,910,855 97.60 7.386 352 79.55 631.7
2nd Lien 368 14,056,930 2.40 10.614 199 98.09 663.5
-------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
-------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 27
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% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Range of Gross Mortgage Balance Principal Rate Term LTV FICO
Interest Rates (%) Loans ($) Balance (%) (Months) (%) Score
------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 17 3,814,982 0.65 4.891 333 67.53 695.6
5.000 - 5.999 276 63,043,430 10.76 5.711 346 73.95 679.2
6.000 - 6.999 926 201,921,601 34.46 6.599 352 78.54 658.3
7.000 - 7.999 823 156,533,754 26.71 7.511 355 81.54 623.4
8.000 - 8.999 525 81,626,592 13.93 8.495 352 82.57 595.1
9.000 - 9.999 435 45,913,931 7.84 9.526 343 82.83 582.6
10.000 - 10.999 382 24,725,577 4.22 10.470 319 82.78 576.9
11.000 - 11.999 163 7,220,551 1.23 11.370 256 88.35 595.6
12.000 - 12.999 27 1,038,496 0.18 12.238 275 87.53 595.2
13.000 - 13.999 4 128,872 0.02 13.121 177 93.25 626.4
------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
------------------------------------------------------------------------------------------------------------------
Maximum: 4,500
Maximum: 13.375
Weighted Average: 7.463
------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Range of Cut-off Date Mortgage Balance Principal Rate Term LTV FICO
Principal Balances ($) Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
0.01 - 25,000.00 95 1,942,100 0.33 10.933 195 98.20 649.3
25,000.01 - 50,000.00 359 14,062,703 2.40 10.302 262 87.30 619.5
50,000.01 - 75,000.00 440 27,462,062 4.69 9.057 335 78.80 605.1
75,000.01 - 100,000.00 407 35,823,510 6.11 8.196 344 79.31 615.3
100,000.01 - 125,000.00 374 42,151,004 7.19 7.740 346 79.80 626.3
125,000.01 - 150,000.00 345 47,701,836 8.14 7.618 352 79.71 624.8
150,000.01 - 175,000.00 257 41,662,533 7.11 7.500 356 79.74 622.4
175,000.01 - 200,000.00 241 45,168,211 7.71 7.405 355 79.18 628.1
200,000.01 - 225,000.00 203 43,111,285 7.36 7.331 350 80.22 628.8
225,000.01 - 250,000.00 156 36,874,812 6.29 7.340 354 79.27 619.8
250,000.01 - 275,000.00 142 37,286,315 6.36 7.089 354 80.87 633.8
275,000.01 - 300,000.00 128 36,881,392 6.29 6.990 352 78.56 644.8
300,000.01 - 325,000.00 70 21,935,541 3.74 7.000 352 81.33 660.1
325,000.01 - 350,000.00 82 27,666,127 4.72 7.029 352 81.19 643.1
350,000.01 - 375,000.00 54 19,493,604 3.33 6.981 357 80.97 645.8
375,000.01 - 400,000.00 49 19,045,398 3.25 6.997 356 82.37 650.0
400,000.01 - 425,000.00 36 14,884,730 2.54 6.916 357 81.67 646.7
425,000.01 - 450,000.00 32 14,002,452 2.39 6.819 356 81.47 654.6
450,000.01 - 475,000.00 17 7,908,735 1.35 6.973 336 80.80 662.1
475,000.01 - 500,000.00 30 14,697,708 2.51 6.680 356 75.79 666.3
500,000.01 - 525,000.00 5 2,562,076 0.44 6.503 357 76.30 649.1
525,000.01 - 550,000.00 12 6,406,860 1.09 6.631 356 79.62 633.7
550,000.01 - 575,000.00 11 6,185,355 1.06 7.353 356 82.66 649.1
575,000.01 - 600,000.00 13 7,658,812 1.31 7.023 357 78.42 616.2
600,000.01 (greater than or equal to) 20 13,392,627 2.29 6.843 348 73.61 639.0
----------------------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 10,366
Maximum: 797,275
Average: 163,770
----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 28
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Original Terms Mortgage Balance Principal Rate Term LTV FICO
(Months) Loans ($) Balance (%) (Months) (%) Score
------------------------------------------------------------------------------------------------------------------
120 6 195,079 0.03 8.714 117 75.55 648.7
180 364 22,289,270 3.80 8.806 176 83.65 662.2
240 88 4,600,010 0.79 8.623 236 85.74 655.7
300 6 438,126 0.07 8.517 297 79.78 649.8
360 3,114 558,445,301 95.30 7.399 357 79.80 631.0
--------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
--------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 352
--------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Original Average
Range of Remaining Terms Mortgage Principal Principal Interest Term Combined FICO
(Months) Loans Balance ($) Balance Rate (%) (Months) LTV (%) Score
----------------------------------------------------------------------------------------------------------------
109 - 120 6 195,079 0.03 8.714 117 75.55 648.7
169 - 180 364 22,289,270 3.80 8.806 176 83.65 662.2
229 - 240 88 4,600,010 0.79 8.623 236 85.74 655.7
289 - 300 6 438,126 0.07 8.517 297 79.78 649.8
337 - 348 2 162,362 0.03 8.585 347 82.74 605.1
349 - 360 3,112 558,282,939 95.28 7.398 357 79.80 631.0
----------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
----------------------------------------------------------------------------------------------------------------
Minimum: 116
Maximum: 359
Weighted Average: 349
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Original Average
Range of Original Combined Mortgage Principal Principal Interest Term Combined FICO
LTV Ratios (%) Loans Balance ($) Balance Rate (%) (Months) LTV (%) Score
----------------------------------------------------------------------------------------------------------------
(Less than or equal to) 30.00 21 1,882,189 0.32 6.644 320 24.75 638.1
30.01 - 40.00 30 3,360,940 0.57 7.500 330 35.70 613.1
40.01 - 50.00 74 11,232,865 1.92 7.202 338 45.74 625.7
50.01 - 60.00 149 24,114,334 4.12 7.099 345 56.67 628.9
60.01 - 70.00 347 59,449,832 10.15 7.438 350 66.71 605.9
70.01 - 80.00 1,418 263,139,258 44.91 7.080 353 78.83 641.2
80.01 - 90.00 893 156,715,270 26.74 7.776 354 87.58 621.2
90.01 - 100.00 646 66,073,097 11.28 8.466 323 96.74 651.5
----------------------------- ---------- ------------ -------- ---------- ---------- ---------- ----------
Total 3,578 585,967,785 100.00 7.463 349 79.99 632.4
----------------------------------------------------------------------------------------------------------
Minimum: 13.10
Maximum: 100.00
Weighted Average: 79.99
------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 29
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XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Range of Mortgage Balance Principal Rate Term LTV FICO
Gross Margins (%) Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 957 114,858,943 19.60 7.301 316 76.24 663.0
(less than or equal to) 5.000 167 37,791,382 6.45 6.333 356 78.90 657.3
5.001 - 5.500 241 48,095,728 8.21 6.673 357 81.53 638.1
5.501 - 6.000 411 84,984,419 14.50 6.811 356 80.67 636.5
6.001 - 6.500 436 87,644,254 14.96 7.173 357 80.07 631.5
6.501 - 7.000 427 88,616,987 15.12 7.500 357 80.93 630.9
7.001 - 7.500 219 40,706,247 6.95 7.993 357 82.41 619.7
7.501 - 8.000 127 19,476,695 3.32 8.413 357 83.29 608.7
8.001 - 8.500 119 17,371,198 2.96 8.889 357 81.98 588.3
8.501 - 9.000 110 13,294,434 2.27 9.316 357 81.21 576.1
(greater than or equal to) 9.001 364 33,127,498 5.65 10.099 357 81.11 561.6
----------------------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
Non Fixed Rate Minimum: 1.740
Maximum: 14.000
Non Fixed Rate Weighted Average: 6.645
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Range of Mortgage Balance Principal Rate Term LTV FICO
Minimum Mortgage Rates (%) Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 957 114,858,943 19.60 7.301 316 76.24 663.0
(less than or equal to) 5.000 30 7,427,033 1.27 5.962 355 80.77 680.4
5.001-5.500 38 8,666,512 1.48 5.682 356 80.04 677.8
5.501-6.000 142 32,493,593 5.55 5.960 356 78.88 653.7
6.001-6.500 264 59,388,583 10.14 6.369 356 78.94 656.9
6.501-7.000 471 103,166,944 17.61 6.811 357 80.13 653.9
7.001-7.500 314 64,981,932 11.09 7.297 356 81.53 626.0
7.501-8.000 357 65,862,382 11.24 7.803 357 82.39 613.4
8.001-8.500 238 38,419,247 6.56 8.308 357 83.42 594.8
8.501-9.000 202 32,383,788 5.53 8.798 357 82.59 584.9
9.001-9.500 152 18,765,232 3.20 9.308 357 81.52 570.3
9.501-10.000 167 18,837,967 3.21 9.812 357 82.16 574.5
10.001-10.500 130 11,202,638 1.91 10.204 357 79.38 550.9
10.501-11.000 71 5,862,157 1.00 10.771 357 74.65 539.7
11.001-11.500 33 2,116,572 0.36 11.140 357 78.75 544.5
11.501-12.000 9 548,821 0.09 11.773 357 73.36 541.4
12.001-12.500 2 515,216 0.09 7.925 355 90.00 607.1
12.501-13.000 1 470,224 0.08 6.590 355 90.00 641.0
----------------------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
----------------------------------------------------------------------------------------------------------------------------------
Non Fixed Rate Minimum: 2.250
Maximum: 12.590
Non Fixed Rate Weighted Average: 7.467
----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 30
--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Range of Mortgage Balance Principal Rate Term LTV FICO
Maximum Loan Rates (%) Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 957 114,858,943 19.60 7.301 316 76.24 663.0
(less than or equal to) 13.000 464 101,154,321 17.26 6.282 356 78.91 655.5
13.001-13.500 325 72,169,039 12.32 6.795 356 79.86 640.6
13.501-14.000 487 103,220,863 17.62 7.140 357 80.42 641.5
14.001-14.500 324 59,536,240 10.16 7.711 357 82.85 617.3
14.501-15.000 337 56,334,128 9.61 8.239 357 83.87 603.5
15.001-15.500 215 30,138,794 5.14 8.865 357 82.33 580.6
15.501-16.000 195 24,493,621 4.18 9.457 357 82.86 570.9
16.001-16.500 141 12,217,783 2.09 10.113 357 80.74 554.1
16.501-17.000 83 7,804,172 1.33 10.419 357 78.71 578.3
17.001-17.500 33 2,348,988 0.40 11.011 357 77.73 542.6
17.501-18.000 13 1,395,328 0.24 11.115 356 67.85 524.3
18.001-18.500 3 239,149 0.04 11.737 356 80.97 556.9
18.501-19.000 1 56,415 0.01 11.840 355 59.47 503.0
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
----------------------------------------------------------------------------------------------------------------------------------
Non Fixed Rate Minimum: 9.990
Maximum: 18.840
Non Fixed Rate Weighted Average: 13.982
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Mortgage Balance Principal Rate Term LTV FICO
Initial Periodic Cap (%) Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 957 114,858,943 19.60 7.301 316 76.24 663.0
1.000 82 14,047,348 2.40 7.047 357 81.16 653.4
1.500 280 71,283,225 12.17 6.982 357 81.20 668.1
2.000 423 82,534,512 14.09 7.125 356 82.02 612.9
2.500 1 84,000 0.01 7.250 358 80.00 649.0
2.910 1 187,200 0.03 6.390 355 80.00 624.0
2.991 1 107,297 0.02 6.999 356 70.00 677.0
3.000 1,812 298,619,548 50.96 7.759 357 80.49 616.3
4.000 3 588,624 0.10 7.183 358 89.83 641.2
6.000 18 3,657,089 0.62 7.088 357 81.85 654.5
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 1.000
Maximum: 6.000
Weighted Average: 2.563
----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 31
--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Mortgage Balance Principal Rate Term LTV FICO
Subsequent Periodic Cap (%) Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 957 114,858,943 19.60 7.301 316 76.24 663.0
1.000 2,066 343,504,668 58.62 7.711 357 80.98 614.8
1.500 434 97,858,124 16.70 6.946 357 80.41 657.4
2.000 118 29,397,573 5.02 6.931 357 81.77 634.8
3.000 2 233,319 0.04 6.776 357 79.99 712.9
6.000 1 115,158 0.02 6.800 357 79.65 652.0
----------------------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 1.000
Maximum: 6.000
Weighted Average: 1.168
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Mortgage Balance Principal Rate Term LTV FICO
Next Rate Adjustment Dates Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate 957 114,858,943 19.60 7.301 316 76.24 663.0
July 2005 1 331,636 0.06 5.890 356 71.77 583.0
November 2005 1 63,345 0.01 9.500 348 85.00 535.0
January 2006 2 247,461 0.04 7.996 350 83.33 602.3
March 2006 3 577,366 0.10 7.759 352 91.85 598.2
April 2006 14 2,678,881 0.46 6.872 353 86.26 652.8
May 2006 61 12,048,743 2.06 6.937 354 81.79 625.6
June 2006 250 45,125,820 7.70 7.015 355 82.74 629.1
July 2006 626 108,595,935 18.53 7.744 356 80.64 617.9
August 2006 759 138,820,290 23.69 7.646 357 80.16 624.4
September 2006 531 92,682,313 15.82 7.640 358 80.52 624.6
October 2006 28 4,836,665 0.83 7.604 359 82.61 625.6
April 2007 2 266,893 0.05 6.416 353 84.24 683.5
May 2007 20 3,875,143 0.66 6.479 354 81.12 650.0
June 2007 49 9,436,088 1.61 6.924 355 83.74 643.8
July 2007 97 18,621,619 3.18 7.101 356 81.46 626.2
August 2007 85 15,508,899 2.65 7.113 357 81.00 634.3
September 2007 76 14,295,389 2.44 7.343 358 81.49 629.8
June 2009 6 1,039,910 0.18 6.584 355 83.34 622.6
July 2009 2 387,092 0.07 6.574 356 76.17 666.7
August 2009 7 1,417,356 0.24 6.307 357 79.74 710.3
September 2009 1 252,000 0.04 6.750 359 80.00 651.0
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
Non Fixed Rate Weighted Average:
September 2006
----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 32
--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Geographic Distribution of Mortgage Balance Principal Rate Term LTV FICO
Mortgaged Properties Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
California 1,030 253,860,141 43.32 7.006 350 78.19 642.3
Florida 583 73,784,918 12.59 7.737 347 82.10 629.1
New York 122 27,488,164 4.69 7.429 353 80.67 642.3
Maryland 85 14,856,646 2.54 7.886 353 81.23 606.5
Nevada 80 14,460,943 2.47 7.604 354 80.01 623.4
Virginia 95 14,429,204 2.46 8.076 353 80.48 608.9
Illinois 80 12,618,918 2.15 7.462 355 82.20 624.4
Massachusetts 63 12,572,173 2.15 7.497 349 77.72 626.4
Arizona 113 11,870,487 2.03 7.636 346 82.16 641.0
Texas 115 11,360,561 1.94 7.779 334 81.75 632.5
Michigan 91 10,463,536 1.79 8.009 349 81.96 622.1
Ohio 96 8,946,677 1.53 7.921 338 82.30 615.6
Connecticut 51 8,458,210 1.44 7.660 348 80.20 643.2
Minnesota 58 8,436,222 1.44 7.739 348 82.20 613.9
Colorado 59 8,243,856 1.41 7.036 346 80.66 634.3
Other 857 94,117,131 16.06 8.135 346 81.53 618.8
----------------------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
----------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia
Represented: 50
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Mortgage Balance Principal Rate Term LTV FICO
Occupancy Type Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
3,384 553,372,397 94.44 7.458 348 80.13 630.4
Primary
172 29,299,182 5.00 7.556 353 77.22 665.1
Non-Owner Occupied
22 3,296,206 0.56 7.460 353 81.05 679.4
Second Home
----------------------------------------------------------------------------------------------------------------------------------
3,578 585,967,785 100.00 7.463 349 79.99 632.4
Total:
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Mortgage Balance Principal Rate Term LTV FICO
Property Type Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 2,863 451,703,477 77.09 7.513 349 79.91 629.1
Planned Unit Development 327 59,258,751 10.11 7.363 344 81.06 631.4
2-4 Family 157 38,598,469 6.59 7.270 349 77.21 654.5
Condominium 227 35,912,790 6.13 7.212 349 82.31 652.4
Manufactured Housing 4 494,299 0.08 6.996 354 76.00 621.9
----------------------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 33
--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Mortgage Balance Principal Rate Term LTV FICO
Loan Purpose Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 1,898 309,442,693 52.81 7.672 349 77.61 609.3
Purchase 1,436 236,691,196 40.39 7.189 348 83.10 664.4
Refinance - Rate/Term 244 39,833,896 6.80 7.466 349 79.99 622.1
----------------------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Mortgage Balance Principal Rate Term LTV FICO
Document Level Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
Full Documentation 2,019 305,556,406 52.15 7.468 349 79.78 616.8
Stated Documentation 1,467 262,067,752 44.72 7.476 349 80.09 650.5
Limited/Alternate Documentation 68 13,693,844 2.34 7.085 339 81.65 634.0
No Ratio 24 4,649,783 0.79 7.516 357 83.35 639.2
----------------------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Mortgage Balance Principal Rate Term LTV FICO
Prepayment Penalty Term Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
No Prepayment Penalty 432 66,513,539 11.35 7.733 345 81.55 629.1
1 Month 1 73,119 0.01 10.210 359 95.00 682.0
12 Months 132 29,460,905 5.03 7.126 348 79.25 651.3
24 Months 2,126 354,442,343 60.49 7.609 354 81.02 624.4
30 Months 1 151,303 0.03 5.650 356 80.00 731.0
36 Months 881 134,267,229 22.91 7.011 338 76.66 650.7
60 Months 5 1,059,347 0.18 8.301 272 80.07 675.1
----------------------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.4349 79.99 632.4
----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 34
--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average
Mortgage Balance Principal Rate Term LTV FICO
Range of Credit Scores Loans ($) Balance (%) (Months) (%) Score
----------------------------------------------------------------------------------------------------------------------------------
500 - 525 250 34,775,583 5.93 8.877 355 72.85 514.0
526 - 550 287 41,642,990 7.11 8.675 354 75.84 537.9
551 - 575 313 46,410,253 7.92 8.321 355 77.72 563.2
576 - 600 392 61,029,258 10.42 7.822 353 80.23 588.8
601 - 625 478 75,025,920 12.80 7.413 349 82.49 613.5
626 - 650 626 101,297,255 17.29 7.273 347 81.98 638.2
651 - 675 471 82,354,507 14.05 6.996 346 81.79 662.6
676 - 700 306 53,495,521 9.13 6.901 344 81.47 687.6
701 - 725 194 36,996,362 6.31 6.893 346 80.45 712.3
726 - 750 125 26,216,810 4.47 6.661 348 78.87 736.5
751 - 775 93 18,203,372 3.11 6.416 342 76.89 761.9
776 - 800 42 8,464,254 1.44 6.461 338 76.26 784.8
Above 800 1 55,700 0.01 4.750 175 13.10 802.00
----------------------------------------------------------------------------------------------------------------------------------
Total: 3,578 585,967,785 100.00 7.463 349 79.99 632.4
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 802
Weighted Average: 632
----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 35
--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 25, 2004
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
FOR ADDITIONAL INFORMATION PLEASE CALL:
--------------------------------------------------------------------------------
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
ASSET BACKED FINANCE
--------------------
Xxx Xxx 000-000-0000
Xxxxxx Xxxx 000-000-0000
Xxxx Xxxxxx 000-000-0000
ABS SYNDICATE & Trading
-----------------------
Xxx Xxxxxx 000-000-0000
Xxxx Xxxxx 000-000-0000
Xxxxxxx Xxxxxxxx 000-000-0000
Xxxx Xxxxxx 000-000-0000
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RATING AGENCY CONTACTS
--------------------------------------------------------------------------------
STANDARD & POOR'S
-----------------
Xxxxx Xxxxxxxxxxx 000-000-0000
XXXXX'X
-------
Xxxxxx Xxxxxxxxxxx 000-000-0000
FITCH
-----
Xxxx Xxxxxxxxxxx 000-000-0000
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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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