Exhibit 99.1
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Xxxxxx Xxxxxxx May 19, 2004
Securitized Products Group
[XXXXXX XXXXXXX LOGO]
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Computational Materials
$323,495,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-NC5
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 last page hereof when
reviewing this information.
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Page 1
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Xxxxxx Xxxxxxx May 19, 2004
Securitized Products Group
[XXXXXX XXXXXXX LOGO]
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Approximately $323,495,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-NC5
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Countrywide Home Loans Inc.
Servicer
Transaction Highlights
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Modified
Avg Life to Duration To
Offered Expected Ratings Call/ Call/
Classes Description Balance(4) (S&P/Fitch/Xxxxx'x) Mty(1)(2) Mty(1)(2)(3)
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A-1 Not Offered 385,960,000 *****Not Offered*****
A-2 Floater 70,000,000 AAA/AAA/Aaa 2.78 / 3.05 2.71 / 2.95
A-3 Floater 104,500,000 AAA/AAA/Aaa 1.70 / 1.70 1.68 / 1.68
A-4 Floater 28,337,000 AAA/AAA/Aaa 6.79 / 8.05 6.47 / 7.53
M-1 Floater 45,292,000 AA/AA/Aa2 5.32 / 5.86 5.10 / 5.56
M-2 Floater 38,045,000 A/A/A2 5.29 / 5.77 4.96 / 5.36
M-3 Floater 10,870,000 A-/A-/A3 5.28 / 5.68 4.91 / 5.23
B-1 Floater 10,870,000 BBB+/BBB+/Baa1 5.28 / 5.60 4.82 / 5.07
B-2 Floater 9,058,000 BBB/BBB/Baa2 5.28 / 5.47 4.77 / 4.92
B-3 Floater 6,523,000 BBB-/BBB-/Baa3 5.25 / 5.28 4.53 / 4.55
B-4 Not Offered 7,972,000 *****Not Offered*****
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Offered Payment Window To Call/ Initial
Classes Mty(1)(2) Subordination Level Benchmark
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A-1 *****Not Offered*****
A-2 07/04 - 06/12 / 07/04 - 12/21 18.75% 1 Mo. LIBOR
A-3 07/04 - 02/09 / 07/04 - 02/09 18.75% 1 Mo. LIBOR
A-4 02/09 - 06/12 / 02/09 - 12/21 18.75% 1 Mo. LIBOR
M-1 09/07 - 06/12 / 09/07 - 12/18 12.50% 1 Mo. LIBOR
M-2 08/07 - 06/12 / 08/07 - 09/17 7.25% 1 Mo. LIBOR
M-3 07/07 - 06/12 / 07/07 - 12/15 5.75% 1 Mo. LIBOR
B-1 07/07 - 06/12 / 07/07 - 03/15 4.25% 1 Mo. LIBOR
B-2 07/07 - 06/12 / 07/07 - 03/14 3.00% 1 Mo. LIBOR
B-3 07/07 - 06/12 / 07/07 - 01/13 2.10% 1 Mo. LIBOR
B-4 *****Not Offered*****
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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) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2004-NC5.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originator: NC Capital Corporation.
Servicer: Countrywide Home Loans Inc.
Trustee: Deutsche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), Countrywide
Securities Corporation and Xxxxxxxx Capital
Partners, L.P.
Rating Agencies: Standard & Poor's, Fitch Ratings and Xxxxx'x
Investors Service.
Offered Certificates: The Class A-2, A-3, A-4, M-1, M-2, M-3, B-1, B-2
and B-3 Certificates.
Class A Certificates: The Class A-1, A-2, A-3 and A-4 Certificates.
Group II Class A Certificates: The Class A-2, Class A-3 and Class A-4
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 last page hereof when
reviewing this information.
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Page 2
Group II Class A Sequential The Class A-3 and Class A-4 Certificates.
Certificates:
Class A Certificate Group: The Class A-1 Certificates and Group II Class A
Certificates, as applicable.
Expected Closing Date: June 30, 2004 through DTC and Euroclear or
Clearstream. The Certificates will be sold
without accrued interest.
Cut-off Date: June 1, 2004
Distribution Dates: The 25th of each month, or if such day is not a
business day, on the next business day, beginning
July 25, 2004.
Final Scheduled The Distribution Date occurring in May 2034.
Distribution Date:
Due Period: For any Distribution Date, the calendar month
preceding the month in which that Distribution
Date occurs.
Prepayment Period: For any Distribution Date, the calendar month
preceding the month in which that Distribution
Date occurs.
Interest Accrual Period: The interest accrual period for the Offered
Certificates with respect to any Distribution
Date will be the period beginning with the
previous Distribution Date (or, in the case of
the first Distribution Date, the Closing Date)
and ending on the day prior to the current
Distribution Date (on an actual/360 day count
basis).
Mortgage Loans: The Trust will consist of two groups of
adjustable and fixed rate sub-prime residential,
first-lien mortgage loans.
Group I Mortgage Loans: Approximately $475.0 million of Mortgage Loans
with original principal balances that conform to
the original principal balance limits for one- to
four-family residential mortgage loan guidelines
for purchase by Freddie Mac.
Group II Mortgage Loans: Approximately $249.6 million of Mortgage Loans
that predominantly have original principal
balances that may or may not conform to the
original principal balance limits for one- to
four-family residential mortgage loan guidelines
for purchase by Freddie Mac.
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
increase for each month), and remaining at 23%
CPR thereafter
o ARM Mortgage Loans: 25% CPR
Credit Enhancement: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage
Loans,
2) 1.00% overcollateralization (funded upfront).
On and after the Step-down Date, so long as a
Trigger Event is not in effect, the required
overcollateralization will equal 2.00% of the
aggregate principal balance of the Mortgage
Loans as of the last day of the applicable
Due Period, subject to a 0.50% floor, based
on the aggregate principal balance of the
Mortgage Loans as of the cut-off date,
provided, however, that if, on any
distribution date, a Delinquency Trigger
Event exists, the required
overcollateralization will not be reduced to
the applicable percentage of the then Stated
Principal Balance of the mortgage loans but
instead remain the same as the prior period's
required overcollateralization until the
distribution date on which a Delinquency
Trigger Event no longer exists; provided,
further, that if, on any distribution date, a
Cumulative Loss Trigger Event exists, the
required overcollateralization will be an
amount equal to 1.25% of the aggregate Stated
Principal Balance of the mortgage loans as of
the cut-off date until the distribution date
on which a Cumulative Loss Trigger Event no
longer exists, and
3) Subordination of distributions on the more
subordinate classes of certificates (if
applicable) to the required distributions on
the more senior classes of certificates.
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 last page hereof when
reviewing this information.
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Page 3
Senior Enhancement Percentage: For any Distribution Date, the percentage
obtained by dividing (x) the aggregate
Certificate Principal Balance of the subordinate
certificates (together with any
overcollateralization and taking into account the
distributions of the Principal Distribution
Amount for such Distribution Date) by (y) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period.
The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in July
2007; and
(b) The Distribution Date on which the
aggregate balance of the Class A
Certificates is reduced to zero; and
(y) The first Distribution Date on which the
Senior Enhancement Percentage (calculated for
this purpose only after taking into account
payments of principal on the Mortgage Loans
on the last day of the related Due Period but
prior to principal distributions to the
certificates on the Step-down Date:
applicable Distribution Date) is greater than
or equal to approximately 37.50%.
Trigger Event: Either a Delinquency Trigger Event or a
Cumulative Loss Trigger Event.
Delinquency Trigger Event: A Delinquency Trigger Event is in effect on any
Distribution Date if on that Distribution Date
the 60 Day+ Rolling Average equals or exceeds 40%
of the prior period's Senior Enhancement
Percentage. The 60 Day+ Rolling Average will
equal the rolling 3 month average percentage of
Mortgage Loans that are 60 or more days
delinquent.
Cumulative Loss Trigger Event: A Cumulative Loss Trigger Event is in effect on
any Distribution Date if the aggregate amount of
Realized Losses incurred since the cut-off date
through the last day of the related Prepayment
Period divided by the aggregate Stated Principal
Balance of the mortgage loans as of the cut-off
date exceeds the applicable percentages described
below with respect to such distribution date:
Months 37- 48 [3.00] for the first month, plus
an additional 1/12th of [1.50]
for each month thereafter (e.g.,
[3.750] in Month 43)
Months 49- 60 [4.50] for the first month, plus
an additional 1/12th of [1.25]
for each month thereafter (e.g.,
[5.125] in Month 55)
Months 61- 72 [5.75] for the first month, plus
an additional 1/12th of [0.50]
for each month thereafter (e.g.,
[6.00] in Month 67)
Months 73- thereafter [6.25]
Initial Subordination Class A: 18.75%
Percentage: Class M-1: 12.50%
Class M-2: 7.25%
Class M-3: 5.75%
Class B-1: 4.25%
Class B-2: 3.00%
Class B-3: 2.10%
Class B-4: 1.00%
Optional Clean-up Call: When the current aggregate principal balance of
the Mortgage Loans is less than or equal to 10%
of the aggregate principal balance of the
Mortgage Loans as of the cut-off date.
Step-up Coupons: For all Offered Certificates the coupon will
increase after the optional clean-up call date,
should the call not be exercised. The applicable
fixed margin will increase by 2x on the Class A
Certificates and by 1.5x on all other
Certificates after the first distribution date on
which the Optional Clean-up Call is exercisable.
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), (ii) the Loan
Group I Cap and (iii) the WAC Cap.
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the last page hereof when
reviewing this information.
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Page 4
Class A-2, A-3 and A-4 The Class A-2, A-3 and A-4 Certificates will
Pass-Through Rate: accrue interest at a variable rate equal to the
least of (i) one-month LIBOR plus [] bps ([] bps
after the first distribution date on which the
Optional Clean-up Call is exercisable), (ii) the
Loan Group II Cap and (iii) the WAC Cap.
Class M-1 Pass-Through Rate: The Class M-1 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class M-2 Pass-Through Rate: The Class M-2 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class M-3 Pass-Through Rate: The Class M-3 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class B-1 Pass-Through Rate: The Class B-1 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class B-2 Pass-Through Rate: The Class B-2 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class B-3 Pass-Through Rate: The Class B-3 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
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 WAC
Cap.
WAC Cap: As to any Distribution Date a per annum rate
equal to the product of (i) the weighted average
gross rate of the Mortgage Loans in effect on the
beginning of the related Due Period less
servicing, trustee and other fee rates, and (ii)
a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days
in the related Interest Accrual Period.
Loan Group I Cap: As to any Distribution Date, a per annum rate
equal to the product of (i) weighted average
gross rate of the Group I Mortgage Loans in
effect on the beginning of the related Due Period
less servicing, trustee and other fee rates, and
(ii) a fraction, the numerator of which is 30 and
the denominator of which is the actual number of
days in the related Interest Accrual Period.
Loan Group II Cap: As to any Distribution Date, a per annum rate
equal to the product of (i) weighted average
gross rate of the Group II Mortgage Loans in
effect on the beginning of the related Due Period
less servicing, trustee and other fee rates, and
(ii) a fraction, the numerator of which is 30 and
the denominator of which is the actual number of
days in the related Interest Accrual Period.
Class A-1 Basis Risk Carry As to any Distribution Date, the supplemental
Forward Amount: interest amount for the Class A-1 Certificates
will equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at
the Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap)
over interest due such Certificates at a
rate equal to the lesser of the Loan Group
I Cap or WAC Cap;
(ii) Any Class A-1 Basis Risk Carry Forward
Amount remaining unpaid from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii) at
the related Class A-1 Pass-Through Rate
(without regard to the Loan Group I Cap or
WAC Cap).
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 last page hereof when
reviewing this information.
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Page 5
Class A-2, A-3 and A-4 Basis As to any Distribution Date, the supplemental
Risk Carry Forward Amount: interest amount for each of the Class A-2, A-3
and A-4 Certificates will equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at
the Class A-2, A-3 and A-4 Pass-Through
Rates (without regard to the Loan Group II
Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser
of the Loan Group II Cap or WAC Cap;
(ii) Any Class A-2, A-3 and A-4 Basis Risk
Carry Forward Amount remaining unpaid from
prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at
the related Class A-2, A-3 and A-4
Pass-Through Rate (without regard to the
Loan Group II Cap or WAC Cap).
Class M-1, M-2, M-3, As to any Distribution Date, the supplemental
B-1, B-2, B-3 and B-4 Basis interest amount for each of the Class M-1, M-2,
Risk Carry Forward Amounts: M-3, B-1, B-2, B-3 and B-4 Certificates will
equal the sum of:
(i) The excess, if any, of interest that would
otherwise be due on such Certificates at
such Certificates' applicable Pass-Through
Rate (without regard to the WAC Cap) over
interest due such Certificates at a rate
equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for
such class remaining unpaid for such
Certificate from prior Distribution Dates;
and
(iii) Interest on the amount in clause (ii) at
the Certificates' applicable Pass-Through
Rate (without regard to the WAC Cap).
Interest Distributions on On each Distribution Date and after payments of
Offered Certificates: servicing and trustee fees and other expenses,
interest distributions from the Interest
Remittance Amount will be allocated as follows:
(i) The portion of the Interest Remittance
Amount attributable to the Group I
Mortgage Loans will be allocated according
to the related Accrued Certificate
Interest and any unpaid interest shortfall
amounts for such class, as applicable,
first, to the Class A-1 Certificates and
second, pro rata to the Group II Class A
Certificates;
(ii) The portion of the Interest Remittance
Amount attributable to the Group II
Mortgage Loans will be allocated according
to the related Accrued Certificate
Interest and any unpaid interest shortfall
amounts for such class, as applicable,
first, pro rata to the Group II Class A
Certificates and second, to the Class A-1
Certificates;
(iii) To the Class M-1 Certificates, its Accrued
Certificate Interest;
(iv) To the Class M-2 Certificates, its Accrued
Certificate Interest;
(v) To the Class M-3 Certificates, its Accrued
Certificate Interest;
(vi) To the Class B-1 Certificates, its Accrued
Certificate Interest;
(vii) To the Class B-2 Certificates, its Accrued
Certificate Interest;
(viii) To the Class B-3 Certificates, its Accrued
Certificate Interest; and
(ix) To the Class B-4 Certificates, its Accrued
Certificate Interest.
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the last page hereof when
reviewing this information.
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Page 6
Principal Distributions on On each Distribution Date (a) prior to the
Offered Certificates: Stepdown Date or (b) on which a Trigger Event
is in effect, principal distributions from the
Principal Distribution Amount will be allocated
as follows:
(i) to the Class A Certificates, allocated
between the Class A Certificates as
described below, until the Certificate
Principal Balances thereof have been
reduced to zero;
(ii) to the Class M-1 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(iv) to the Class M-3 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero;
(v) to the Class 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 last page hereof when
reviewing this information.
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Page 7
Class A Principal Allocation: Except as described below, the Class A-3 and
Class A-4 Certificates will receive principal
sequentially, and the Class A-4 Certificates will
not receive principal distributions until the
Certificate Principal Balance of the Class A-3
Certificates has been reduced to zero.
All principal distributions to the holders of the
Class A Certificates on any Distribution Date
will be allocated concurrently between the Class
A-1 Certificates, on the one hand, and the Group
II Class A Certificates, on the other hand, based
on the Class A Principal Allocation Percentage
for the Class A-1 Certificates and the Group II
Class A Certificates, as applicable.
However, if the Class Certificate Balances of the
Class A Certificates in either Class A
Certificate Group are reduced to zero, then the
remaining amount of principal distributions
distributable to the Class A Certificates on that
Distribution Date, and the amount of those
principal distributions distributable on all
subsequent Distribution Dates, will be
distributed to the holders of the Class A
certificates in the other Class A Certificate
Group remaining outstanding, in accordance with
the principal distribution allocations described
herein, until their Class Certificate Balances
have been reduced to zero. Any payments of
principal to the Class A-1 Certificates will be
made first from payments relating to the Group I
Mortgage Loans, and any payments of principal to
the Group II Class A Certificates will be made
first from payments relating to the Group II
Mortgage Loans.
Any principal distributions allocated to the
Group II Class A Certificates are required to be
distributed pro rata between the Class A-2
Certificates and the Group II Class A Sequential
Certificates. Principal distributions to the
Group II Class A Sequential Certificates will be
allocated first to the Class A-3 Certificates,
until their Class Certificate Balance has been
reduced to zero, 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 Group II Class A
Certificates will be distributed pro rata between
the Class A-2, Class A-3 and Class A-4
Certificates.
Group II Class A Beginning on the first Distribution Date, and for
Interest Rate Cap: a period of 35 months thereafter, an Interest
Rate Cap will be entered into by the Trust for
the benefit of the Group II Class A Certificates.
For its duration, the Group II Class A Interest
Rate Cap pays the Trust the product of (i) the
excess, if any, of the then current 1-month LIBOR
rate (not to exceed the cap ceiling) over the cap
strike (on an Actual/360 day count basis) and
(ii) the Group II Class A Interest Rate Cap
Notional Balance ("the Group II Class A Interest
Rate Cap Payment") as described on the schedule
herein.
Group II Class A Interest The Group II Class A Interest Rate Cap Payment
Rate Cap Payment Allocation: shall be available to pay any Basis Risk Carry
Forward Amount due to the Class A-2, A-3 and A-4
Certificates on a pro rata basis.
Class M Interest Rate Cap: Beginning on the first Distribution Date, and for
a period of 38 months thereafter, an Interest
Rate Cap will be entered into by the Trust for
the benefit of the Class M Certificates.
For its duration, the Class M Interest Rate Cap
pays the Trust the product of (i) the excess, if
any, of the then current 1-month LIBOR rate (not
to exceed the cap ceiling) over the cap strike
(on an Actual/360 day count basis) and (ii) the
Class M Interest Rate Cap Notional Balance ("the
Class M Interest Rate Cap Payment") as described
on the schedule herein.
Class M Interest Rate Cap The Class M Interest Rate Cap Payment shall be
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.
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 last page hereof when
reviewing this information.
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Page 8
Class B Interest Rate Cap: Beginning on the first Distribution Date, and for
a period of 38 months thereafter, an Interest
Rate Cap will be entered into by the Trust for
the benefit of the Class B Certificates.
For its duration, the Class B Interest Rate Cap
pays the Trust the product of (i) the excess, if
any, of the then current 1-month LIBOR rate (not
to exceed the cap ceiling) over the cap strike
(on an Actual/360 day count basis) and (ii) the
Class B Interest Rate Cap Notional Balance ("the
Class B Interest Rate Cap Payment") as described
on the schedule herein.
Class B Interest Rate Cap The Class B Interest Rate Cap Payment shall be
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.
Allocation of Net Monthly For any Distribution Date, any Net Monthly Excess
Excess Cashflow: Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, the unpaid
interest shortfall amount;
(ii) to the Class M-1 Certificates, the
allocated unreimbursed realized loss
amount;
(iii) to the Class M-2 Certificates, the unpaid
interest shortfall amount;
(iv) to the Class M-2 Certificates, the
allocated unreimbursed realized loss
amount;
(v) to the Class M-3 Certificates, the unpaid
interest shortfall amount;
(vi) to the Class M-3 Certificates, the
allocated unreimbursed realized loss
amount;
(vii) to the Class B-1 Certificates, the unpaid
interest shortfall amount;
(viii) to the Class B-1 Certificates, the
allocated unreimbursed realized loss
amount;
(ix) to the Class B-2 Certificates, the unpaid
interest shortfall amount;
(x) to the Class B-2 Certificates, the
allocated unreimbursed realized loss
amount;
(xi) to the Class B-3 Certificates, the unpaid
interest shortfall amount;
(xii) to the Class B-3 Certificates, the
allocated unreimbursed realized loss
amount;
(xiii) to the Class B-4 Certificates, the unpaid
interest shortfall amount;
(xiv) to the Class B-4 Certificates, the
allocated unreimbursed realized loss
amount;
(xv) concurrently, any Class A-1 Basis Risk
Carry Forward Amount to the Class A-1
Certificates, and any Group II Class A
Basis Risk Carry Forward Amount to the
Group II Class A Certificates; and
(xvi) sequentially, to Classes 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.
Interest Remittance Amount: For any Distribution Date, the portion of
available funds for such Distribution Date
attributable to interest received or advanced on
the Mortgage Loans.
Accrued Certificate Interest: For any Distribution Date and each class of
Offered Certificates, equals the amount of
interest accrued during the related interest
accrual period at the related Pass-through Rate,
reduced by any prepayment interest shortfalls and
shortfalls resulting from the application of the
Servicemembers Civil Relief Act or similar state
law allocated to such class.
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) the
Amount: aggregate principal remittance amount over (ii)
the Excess Subordinated Amount, if any.
Net Monthly Excess Cashflow: For any Distribution Date is the amount of funds
available for distribution on such Distribution
Date remaining after making all distributions of
interest and principal on the certificates.
Extra Principal Distribution For any Distribution Date, the lesser of (i) the
Amount: excess of (x) interest collected or advanced with
respect to the Mortgage Loans with due dates in
the related Due Period (less servicing and
trustee fees and expenses), over (y) the sum of
interest payable on the Certificates on such
Distribution Date and (ii) the
overcollateralization deficiency amount for such
Distribution Date.
Excess Subordinated Amount: For any Distribution Date, means the excess, if
any of (i) the overcollateralization and (ii) the
required overcollateralization for such
Distribution Date.
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 last page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 9
Class A Principal Allocation For any Distribution Date, the percentage
Percentage: equivalent of a fraction, determined as follows:
(i) in the case of the Class A-1 Certificates the
numerator of which is (x) the portion of the
principal remittance amount for such Distribution
Date that is attributable to principal received
or advanced on the Group I Mortgage Loans and the
denominator of which is (y) the principal
remittance amount for such Distribution Date and
(ii) in the case of the Group II Class A
Certificates, the numerator of which is (x) the
portion of the principal remittance amount for
such Distribution Date that is attributable to
principal received or advanced on the Group II
Mortgage Loans and the denominator of which is
(y) the principal remittance amount for such
Distribution Date.
Class A Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the aggregate Certificate Principal
Balance of the Class A Certificates immediately
prior to such Distribution Date over (y) the
lesser of (A) the product of (i) approximately
62.50% and (ii) the aggregate principal balance
of the Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any, of
the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period over $3,623,369.
Class M-1 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date) and (ii) the
Certificate Principal Balance of the Class M-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 75.00% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period over
$3,623,369.
Class M-2 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date) and (iii) the
Certificate Principal Balance of the Class M-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 85.50% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period over
$3,623,369.
Class M-3 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date) and (iv) the
Certificate Principal Balance of the Class M-3
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 88.50% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period over
$3,623,369.
Class B-1 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date) and (v) the
Certificate Principal Balance of the Class B-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 91.50% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period over
$3,623,369.
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 last page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 10
Class B-2 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the
Certificate Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal Distribution
Amount on such Distribution Date) and (vi) the
Certificate Principal Balance of the Class B-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 94.00% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period over
$3,623,369.
Class B-3 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the
Certificate Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class B-2
Certificates (after taking into account the
payment of the Class B-2 Principal Distribution
Amount on such Distribution Date) and (vii) the
Certificate Principal Balance of the Class B-3
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 95.80% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period over
$3,623,369.
Class B-4 Principal For any Distribution Date, an amount equal to the
Distribution Amount: excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the
Certificate Principal Balance of the Class 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 over (y) the lesser of (A) the
product of (i) approximately 98.00% and (ii) the
aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the excess, if any, of the aggregate
principal balance of the Mortgage Loans as of the
last day of the related Due Period over
$3,623,369.
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 last page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 11
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the Prospectus,
all Offered Certificates are ERISA eligible.
SMMEA Eligibility: It is anticipated that the Class A-2, Class A-3,
Class A-4 and Class M-1 Certificates will be
SMMEA eligible.
Prospectus: The Class A-2, Class A-3, Class A-4, Class M-1,
Class M-2, Class M-3, Class B-1, Class B-2 and
Class B-3 Certificates are being offered pursuant
to a prospectus supplemented by a prospectus
supplement (together, the "Prospectus"). Complete
information with respect to the Offered
Certificates and the collateral securing them is
contained in the Prospectus. The information
herein is qualified in its entirety by the
information appearing in the Prospectus. To the
extent that the information herein is
inconsistent with the Prospectus, the Prospectus
shall govern in all respects. Sales of the
Offered Certificates may not be consummated
unless the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A
DESCRIPTION OF INFORMATION THAT SHOULD BE
CONSIDERED IN CONNECTION WITH AN INVESTMENT IN
THE OFFERED CERTIFICATES.
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the last page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 12
Weighted Average Life Sensitivity
To CALL
----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
----------------------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.37 4.57 3.72 2.78 2.14 1.65 1.27
First Payment Date 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 8/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 1 - 182 1 - 157 1 - 128 1 - 96 1 - 75 1 - 61 1 - 51
----------------------------------------------------------------------------------------------------------------------------------
A-3 WAL (yrs) 3.30 2.80 2.27 1.70 1.30 1.07 0.91
First Payment Date 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 7/25/2013 2/25/2012 9/25/2010 2/25/2009 5/25/2007 11/25/2006 6/25/2006
Window 1 - 109 1 - 92 1 - 75 1 - 56 1 - 35 1 - 29 1 - 24
----------------------------------------------------------------------------------------------------------------------------------
A-4 WAL (yrs) 12.97 11.13 9.05 6.79 5.27 3.78 2.62
First Payment Date 7/25/2013 2/25/2012 9/25/2010 2/25/2009 5/25/2007 11/25/2006 6/25/2006
Expected Final Maturity 8/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 109 - 182 92 - 157 75 - 128 56 - 96 35 - 75 29 - 61 24 - 51
----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.14 8.65 7.00 5.32 4.55 4.43 4.24
First Payment Date 6/25/2009 8/25/2008 11/25/2007 9/25/2007 12/25/2007 4/25/2008 9/25/2008
Expected Final Maturity 8/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 60 - 182 50 - 157 41 - 128 39 - 96 42 - 75 46 - 61 51 - 51
----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.14 8.65 7.00 5.29 4.41 4.02 3.97
First Payment Date 6/25/2009 8/25/2008 11/25/2007 8/25/2007 9/25/2007 11/25/2007 1/25/2008
Expected Final Maturity 8/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 60 - 182 50 - 157 41 - 128 38 - 96 39 - 75 41 - 61 43 - 51
----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.14 8.65 7.00 5.28 4.36 3.88 3.68
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 9/25/2007 10/25/2007 11/25/2007
Expected Final Maturity 8/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 60 - 182 50 - 157 41 - 128 37 - 96 39 - 75 40 - 61 41 - 51
----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.14 8.65 7.00 5.28 4.33 3.83 3.59
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 8/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 8/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 60 - 182 50 - 157 41 - 128 37 - 96 38 - 75 39 - 61 40 - 51
----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.14 8.65 7.00 5.28 4.33 3.79 3.52
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 7/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 8/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 60 - 182 50 - 157 41 - 128 37 - 96 37 - 75 38 - 61 39 - 51
----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.10 8.60 6.97 5.25 4.28 3.76 3.45
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 7/25/2007 8/25/2007 8/25/2007
Expected Final Maturity 8/25/2019 7/25/2017 2/25/2015 6/25/2012 9/25/2010 7/25/2009 9/25/2008
Window 60 - 182 50 - 157 41 - 128 37 - 96 37 - 75 38 - 61 38 - 51
----------------------------------------------------------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the last page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 13
Weighted Average Life Sensitivity
To MATURITY
-----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
-----------------------------------------------------------------------------------------------------------------------------------
A-2 WAL (yrs) 5.75 4.94 4.04 3.05 2.37 1.84 1.36
First Payment Date 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 10/25/2031 1/25/2030 11/25/2026 12/25/2021 6/25/2018 11/25/2015 12/25/2013
Window 1 - 328 1 - 307 1 - 269 1 - 210 1 - 168 1 - 137 1 - 114
-----------------------------------------------------------------------------------------------------------------------------------
A-3 WAL (yrs) 3.30 2.80 2.27 1.70 1.30 1.07 0.91
First Payment Date 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 7/25/2013 2/25/2012 9/25/2010 2/25/2009 5/25/2007 11/25/2006 6/25/2006
Window 1 - 109 1 - 92 1 - 75 1 - 56 1 - 35 1 - 29 1 - 24
-----------------------------------------------------------------------------------------------------------------------------------
A-4 WAL (yrs) 14.78 12.85 10.60 8.05 6.32 4.68 3.02
First Payment Date 7/25/2013 2/25/2012 9/25/2010 2/25/2009 5/25/2007 11/25/2006 6/25/2006
Expected Final Maturity 10/25/2031 1/25/2030 11/25/2026 12/25/2021 6/25/2018 11/25/2015 12/25/2013
Window 109 - 328 92 - 307 75 - 269 56 - 210 35 - 168 29 - 137 24 - 114
-----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.02 9.46 7.70 5.86 4.99 4.79 5.56
First Payment Date 6/25/2009 8/25/2008 11/25/2007 9/25/2007 12/25/2007 4/25/2008 10/25/2008
Expected Final Maturity 3/25/2029 10/25/2026 5/25/2023 12/25/2018 12/25/2015 10/25/2013 3/25/2012
Window 60 - 297 50 - 268 41 - 227 39 - 174 42 - 138 46 - 112 52 - 93
-----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.94 9.37 7.63 5.77 4.80 4.33 4.23
First Payment Date 6/25/2009 8/25/2008 11/25/2007 8/25/2007 9/25/2007 11/25/2007 1/25/2008
Expected Final Maturity 9/25/2027 3/25/2025 10/25/2021 9/25/2017 11/25/2014 12/25/2012 7/25/2011
Window 60 - 279 50 - 249 41 - 208 38 - 159 39 - 125 41 - 102 43 - 85
-----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.82 9.26 7.52 5.68 4.68 4.14 3.89
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 9/25/2007 10/25/2007 11/25/2007
Expected Final Maturity 5/25/2025 10/25/2022 8/25/2019 12/25/2015 7/25/2013 10/25/2011 7/25/2010
Window 60 - 251 50 - 220 41 - 182 37 - 138 39 - 109 40 - 88 41 - 73
-----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.70 9.14 7.42 5.60 4.59 4.04 3.76
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 8/25/2007 9/25/2007 10/25/2007
Expected Final Maturity 3/25/2024 9/25/2021 8/25/2018 3/25/2015 11/25/2012 4/25/2011 2/25/2010
Window 60 - 237 50 - 207 41 - 170 37 - 129 38 - 101 39 - 82 40 - 68
-----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.50 8.95 7.26 5.47 4.49 3.92 3.62
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 7/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 8/25/2022 3/25/2020 5/25/2017 3/25/2014 2/25/2012 9/25/2010 8/25/2009
Window 60 - 218 50 - 189 41 - 155 37 - 117 37 - 92 38 - 75 39 - 62
-----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.16 8.65 7.01 5.28 4.31 3.78 3.46
First Payment Date 6/25/2009 8/25/2008 11/25/2007 7/25/2007 7/25/2007 8/25/2007 8/25/2007
Expected Final Maturity 9/25/2020 6/25/2018 11/25/2015 1/25/2013 3/25/2011 12/25/2009 1/25/2009
Window 60 - 195 50 - 168 41 - 137 37 - 103 37 - 81 38 - 66 38 - 55
-----------------------------------------------------------------------------------------------------------------------------------
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 last page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 14
CPR Sensitivity
To CALL
--------------------------------------------------------------------------------
CPR (%) 20 25 30
--------------------------------------------------------------------------------
A-2 WAL (yrs) 3.24 2.54 2.01
First Payment Date 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 1 - 116 1 - 92 1 - 75
--------------------------------------------------------------------------------
A-3 WAL (yrs) 1.93 1.49 1.18
First Payment Date 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 11/25/2009 10/25/2008 4/25/2007
Window 1 - 65 1 - 52 1 - 34
--------------------------------------------------------------------------------
A-4 WAL (yrs) 8.08 6.39 5.07
First Payment Date 11/25/2009 10/25/2008 4/25/2007
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 65 - 116 52 - 92 34 - 75
--------------------------------------------------------------------------------
M-1 WAL 6.31 5.14 4.57
First Payment Date 7/25/2007 10/25/2007 1/25/2008
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 37 - 116 40 - 92 43 - 75
--------------------------------------------------------------------------------
M-2 WAL 6.31 5.09 4.41
First Payment Date 7/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 37 - 116 38 - 92 39 - 75
--------------------------------------------------------------------------------
M-3 WAL 6.31 5.08 4.34
First Payment Date 7/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 37 - 116 38 - 92 39 - 75
--------------------------------------------------------------------------------
B-1 WAL 6.31 5.07 4.32
First Payment Date 7/25/2007 7/25/2007 8/25/2007
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 37 - 116 37 - 92 38 - 75
--------------------------------------------------------------------------------
B-2 WAL 6.31 5.06 4.31
First Payment Date 7/25/2007 7/25/2007 8/25/2007
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 37 - 116 37 - 92 38 - 75
--------------------------------------------------------------------------------
B-3 WAL 6.27 5.03 4.27
First Payment Date 7/25/2007 7/25/2007 7/25/2007
Expected Final Maturity 2/25/2014 2/25/2012 9/25/2010
Window 37 - 116 37 - 92 37 - 75
--------------------------------------------------------------------------------
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 last page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 15
CPR Sensitivity
To MATURITY
-------------------------------------------------------------------------------
CPR (%) 20 25 30
-------------------------------------------------------------------------------
A-2 WAL (yrs) 3.52 2.76 2.20
First Payment Date 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 3/25/2025 5/25/2021 6/25/2018
Window 1 - 249 1 - 203 1 - 168
-------------------------------------------------------------------------------
A-3 WAL (yrs) 1.93 1.49 1.18
First Payment Date 7/25/2004 7/25/2004 7/25/2004
Expected Final Maturity 11/25/2009 10/25/2008 4/25/2007
Window 1 - 65 1 - 52 1 - 34
-------------------------------------------------------------------------------
A-4 WAL (yrs) 9.35 7.44 5.94
First Payment Date 11/25/2009 10/25/2008 4/25/2007
Expected Final Maturity 3/25/2025 5/25/2021 6/25/2018
Window 65 - 249 52 - 203 34 - 168
-------------------------------------------------------------------------------
M-1 WAL 6.96 5.67 5.02
First Payment Date 7/25/2007 10/25/2007 1/25/2008
Expected Final Maturity 11/25/2021 6/25/2018 1/25/2016
Window 37 - 209 40 - 168 43 - 139
-------------------------------------------------------------------------------
M-2 WAL 6.89 5.56 4.80
First Payment Date 7/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 5/25/2020 3/25/2017 12/25/2014
Window 37 - 191 38 - 153 39 - 126
-------------------------------------------------------------------------------
M-3 WAL 6.79 5.47 4.67
First Payment Date 7/25/2007 8/25/2007 9/25/2007
Expected Final Maturity 4/25/2018 7/25/2015 7/25/2013
Window 37 - 166 38 - 133 39 - 109
-------------------------------------------------------------------------------
B-1 WAL 6.70 5.38 4.59
First Payment Date 7/25/2007 7/25/2007 8/25/2007
Expected Final Maturity 5/25/2017 10/25/2014 12/25/2012
Window 37 - 155 37 - 124 38 - 102
-------------------------------------------------------------------------------
B-2 WAL 6.55 5.25 4.47
First Payment Date 7/25/2007 7/25/2007 8/25/2007
Expected Final Maturity 3/25/2016 10/25/2013 2/25/2012
Window 37 - 141 37 - 112 38 - 92
-------------------------------------------------------------------------------
B-3 WAL 6.31 5.06 4.29
First Payment Date 7/25/2007 7/25/2007 7/25/2007
Expected Final Maturity 11/25/2014 9/25/2012 3/25/2011
Window 37 - 125 37 - 99 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 last page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 16
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) 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/36
0 -- -- -- -- -- -- -- -- --
1 10.64 10.64 10.64 10.56 10.56 10.56 10.56 10.56 10.56
2 9.12 9.12 9.12 9.05 9.05 9.05 9.05 9.05 9.05
3 9.12 9.12 9.12 9.05 9.05 9.05 9.05 9.05 9.05
4 9.34 9.34 9.34 9.26 9.26 9.26 9.26 9.26 9.26
5 9.13 9.13 9.13 9.05 9.05 9.05 9.05 9.05 9.05
6 9.34 9.34 9.34 9.26 9.26 9.26 9.26 9.26 9.26
7 9.13 9.13 9.13 9.05 9.05 9.05 9.05 9.05 9.05
8 9.13 9.13 9.13 9.05 9.05 9.05 9.05 9.05 9.05
9 9.82 9.82 9.82 9.73 9.73 9.73 9.73 9.73 9.73
10 9.14 9.14 9.14 9.05 9.05 9.05 9.05 9.05 9.05
11 9.35 9.35 9.35 9.26 9.26 9.26 9.26 9.26 9.26
12 9.14 9.14 9.14 9.05 9.05 9.05 9.05 9.05 9.05
13 9.36 9.36 9.36 9.26 9.26 9.26 9.26 9.26 9.26
14 9.15 9.15 9.15 9.05 9.05 9.05 9.05 9.05 9.05
15 9.15 9.15 9.15 9.05 9.05 9.05 9.05 9.05 9.05
16 9.37 9.37 9.37 9.26 9.26 9.26 9.26 9.26 9.26
17 9.16 9.16 9.16 9.05 9.05 9.05 9.05 9.05 9.05
18 9.38 9.38 9.38 9.26 9.26 9.26 9.26 9.26 9.26
19 9.17 9.17 9.17 9.05 9.05 9.05 9.05 9.05 9.05
20 9.18 9.18 9.18 9.05 9.05 9.05 9.05 9.05 9.05
21 9.87 9.87 9.87 9.73 9.73 9.73 9.73 9.73 9.73
22 9.61 9.61 9.61 9.52 9.52 9.52 9.52 9.52 9.52
23 9.85 9.85 9.85 9.76 9.76 9.76 9.76 9.76 9.76
24 9.62 9.62 9.62 9.52 9.52 9.52 9.52 9.52 9.52
25 9.87 9.87 9.87 9.76 9.76 9.76 9.76 9.76 9.76
26 9.63 9.63 9.63 9.52 9.52 9.52 9.52 9.52 9.52
27 9.63 9.63 9.63 9.52 9.52 9.52 9.52 9.52 9.52
28 10.29 10.29 10.29 10.20 10.20 10.20 10.20 10.20 10.20
29 10.02 10.02 10.02 9.93 9.93 9.93 9.93 9.93 9.93
30 10.30 10.30 10.30 10.20 10.20 10.20 10.20 10.20 10.20
31 10.04 10.04 10.04 9.93 9.93 9.93 9.93 9.93 9.93
32 10.05 10.05 10.05 9.93 9.93 9.93 9.93 9.93 9.93
33 10.94 10.94 10.94 10.80 10.80 10.80 10.80 10.80 10.80
34 10.28 10.28 10.28 10.20 10.20 10.20 10.20 10.20 10.20
35 10.60 10.60 10.60 10.50 10.50 10.50 10.50 10.50 10.50
36 10.31 10.31 10.31 10.19 10.19 10.19 10.19 10.19 10.19
37 17.24 17.24 17.24 10.50 10.50 10.50 10.50 10.50 10.50
38 10.12 10.12 10.12 10.19 10.19 10.19 10.19 10.19 10.19
39 10.09 10.09 10.09 10.19 10.19 10.19 10.19 10.19 10.19
40 11.33 11.33 11.33 10.39 10.39 10.39 10.39 10.39 10.39
41 10.94 10.94 10.94 10.06 10.06 10.06 10.06 10.06 10.06
42 11.30 11.30 11.30 10.39 10.39 10.39 10.39 10.39 10.39
43 10.93 10.93 10.93 10.05 10.05 10.05 10.05 10.05 10.05
44 10.93 10.93 10.93 10.05 10.05 10.05 10.05 10.05 10.05
45 11.69 11.69 11.69 10.75 10.75 10.75 10.75 10.75 10.75
46 11.55 11.55 11.55 10.72 10.72 10.72 10.72 10.72 10.72
47 11.93 11.93 11.93 11.07 11.07 11.07 11.07 11.07 11.07
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the last page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 17
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) 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/36
48 11.55 11.55 11.55 10.71 10.71 10.71 10.71 10.71 10.71
49 11.93 11.93 11.93 11.07 11.07 11.07 11.07 11.07 11.07
50 11.54 11.54 11.54 10.71 10.71 10.71 10.71 10.71 10.71
51 11.55 11.55 11.55 10.71 10.71 10.71 10.71 10.71 10.71
52 11.97 11.97 11.97 11.12 11.12 11.12 11.12 11.12 11.12
53 11.58 11.58 11.58 10.76 10.76 10.76 10.76 10.76 10.76
54 11.97 11.97 11.97 11.12 11.12 11.12 11.12 11.12 11.12
55 11.58 11.58 11.58 10.76 10.76 10.76 10.76 10.76 10.76
56 11.58 11.58 11.58 10.76 10.76 10.76 10.76 10.76 10.76
57 12.82 -- 12.82 11.91 11.91 11.91 11.91 11.91 11.91
58 11.60 -- 11.60 10.79 10.79 10.79 10.79 10.79 10.79
59 11.77 -- 11.77 11.15 11.15 11.15 11.15 11.15 11.15
60 10.72 -- 10.72 10.79 10.79 10.79 10.79 10.79 10.79
61 11.08 -- 11.08 11.15 11.15 11.15 11.15 11.15 11.15
62 10.73 -- 10.73 10.79 10.79 10.79 10.79 10.79 10.79
63 10.74 -- 10.74 10.79 10.79 10.79 10.79 10.79 10.79
64 11.11 -- 11.11 11.15 11.15 11.15 11.15 11.15 11.15
65 10.76 -- 10.76 10.79 10.79 10.79 10.79 10.79 10.79
66 11.12 -- 11.12 11.14 11.14 11.14 11.14 11.14 11.14
67 10.77 -- 10.77 10.78 10.78 10.78 10.78 10.78 10.78
68 10.78 -- 10.78 10.78 10.78 10.78 10.78 10.78 10.78
69 11.95 -- 11.95 11.94 11.94 11.94 11.94 11.94 11.94
70 10.80 -- 10.80 10.78 10.78 10.78 10.78 10.78 10.78
71 11.17 -- 11.17 11.14 11.14 11.14 11.14 11.14 11.14
72 10.82 -- 10.82 10.78 10.78 10.78 10.78 10.78 10.78
73 11.19 -- 11.19 11.14 11.14 11.14 11.14 11.14 11.14
74 10.84 -- 10.84 10.77 10.77 10.77 10.77 10.77 10.77
75 10.85 -- 10.85 10.77 10.77 10.77 10.77 10.77 10.77
76 11.22 -- 11.22 11.13 11.13 11.13 11.13 11.13 11.13
77 10.87 -- 10.87 10.77 10.77 10.77 10.77 10.77 10.77
78 11.25 -- 11.25 11.13 11.13 11.13 11.13 11.13 11.13
79 10.90 -- 10.90 10.77 10.77 10.77 10.77 10.77 10.77
80 10.91 -- 10.91 10.77 10.77 10.77 10.77 10.77 10.77
81 12.09 -- 12.09 11.92 11.92 11.92 11.92 11.92 11.92
82 10.94 -- 10.94 10.77 10.77 10.77 10.77 10.77 10.77
83 11.31 -- 11.31 11.12 11.12 11.12 11.12 11.12 11.12
84 10.96 -- 10.96 10.76 10.76 10.76 10.76 10.76 10.76
85 11.34 -- 11.34 11.12 11.12 11.12 11.12 11.12 11.12
86 10.99 -- 10.99 10.76 10.76 10.76 10.76 10.76 10.76
87 11.01 -- 11.01 10.76 10.76 10.76 10.76 10.76 10.76
88 11.39 -- 11.39 11.12 11.12 11.12 11.12 11.12 11.12
89 11.04 -- 11.04 10.76 10.76 10.76 10.76 10.76 10.76
90 11.42 -- 11.42 11.12 11.12 11.12 11.12 11.12 11.12
91 11.07 -- 11.07 10.76 10.76 10.76 10.76 10.76 10.76
92 11.09 -- 11.09 10.76 10.76 10.76 10.76 10.76 10.76
93 11.87 -- 11.87 11.50 11.50 11.50 11.50 11.50 11.50
94 11.12 -- 11.12 10.76 10.76 10.76 10.76 10.76 10.76
95 11.51 -- 11.51 11.11 11.11 11.11 11.11 11.11 11.11
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the last page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 18
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) 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/36
96 11.16 -- 11.16 10.75 10.75 10.75 10.75 10.75 10.75
97 11.55 -- 11.55 11.11 11.11 11.11 11.11 11.11 11.11
98 11.20 -- 11.20 10.75 10.75 10.75 10.75 10.75 10.75
99 11.22 -- 11.22 10.75 10.75 10.75 10.75 10.75 10.75
100 11.62 -- 11.62 11.11 11.11 11.11 11.11 11.11 11.11
101 11.27 -- 11.27 10.75 10.75 10.75 10.75 10.75 10.75
102 11.66 -- 11.66 11.11 11.11 11.11 11.11 11.11 11.11
103 11.31 -- 11.31 10.75 10.75 10.75 10.75 10.75 10.75
104 11.33 -- 11.33 10.75 10.75 10.75 10.75 10.75 10.75
105 12.58 -- 12.58 11.90 11.90 11.90 11.90 11.90 11.90
106 11.38 -- 11.38 10.75 10.75 10.75 10.75 10.75 --
107 11.79 -- 11.79 11.10 11.10 11.10 11.10 11.10 --
108 11.44 -- 11.44 10.75 10.75 10.75 10.75 10.75 --
109 11.84 -- 11.84 11.10 11.10 11.10 11.10 11.10 --
110 11.49 -- 11.49 10.74 10.74 10.74 10.74 10.74 --
111 11.52 -- 11.52 10.74 10.74 10.74 10.74 10.74 --
112 11.93 -- 11.93 11.10 11.10 11.10 11.10 11.10 --
113 11.58 -- 11.58 10.74 10.74 10.74 10.74 10.74 --
114 12.00 -- 12.00 11.10 11.10 11.10 11.10 11.10 --
115 11.64 -- 11.64 10.74 10.74 10.74 10.74 10.74 --
116 11.67 -- 11.67 10.74 10.74 10.74 10.74 10.74 --
117 12.96 -- 12.96 11.89 11.89 11.89 11.89 11.89 --
118 11.74 -- 11.74 10.74 10.74 10.74 10.74 10.74 --
119 12.17 -- 12.17 11.10 11.10 11.10 11.10 11.10 --
120 11.81 -- 11.81 10.74 10.74 10.74 10.74 -- --
121 12.24 -- 12.24 11.10 11.10 11.10 11.10 -- --
122 11.89 -- 11.89 10.74 10.74 10.74 10.74 -- --
123 11.93 -- 11.93 10.74 10.74 10.74 10.74 -- --
124 12.37 -- 12.37 11.10 11.10 11.10 11.10 -- --
125 12.01 -- 12.01 10.74 10.74 10.74 10.74 -- --
126 12.45 -- 12.45 11.10 11.10 11.10 11.10 -- --
127 12.09 -- 12.09 10.74 10.74 10.74 10.74 -- --
128 12.14 -- 12.14 10.74 10.74 10.74 10.74 -- --
129 13.49 -- 13.49 11.89 11.89 11.89 11.89 -- --
130 12.23 -- 12.23 10.74 10.74 10.74 10.74 -- --
131 12.69 -- 12.69 11.09 11.09 11.09 11.09 -- --
132 12.33 -- 12.33 10.74 10.74 10.74 -- -- --
133 12.79 -- 12.79 11.09 11.09 11.09 -- -- --
134 12.43 -- 12.43 10.74 10.74 10.74 -- -- --
135 12.48 -- 12.48 10.74 10.74 10.74 -- -- --
136 12.96 -- 12.96 11.09 11.09 11.09 -- -- --
137 12.59 -- 12.59 10.74 10.74 10.74 -- -- --
138 13.07 -- 13.07 11.09 11.09 11.09 -- -- --
139 12.71 -- 12.71 10.74 10.74 10.74 -- -- --
140 12.77 -- 12.77 10.74 10.74 10.74 -- -- --
141 13.72 -- 13.72 11.48 11.48 -- -- -- --
142 12.90 -- 12.90 10.74 10.74 -- -- -- --
143 13.40 -- 13.40 11.09 11.09 -- -- -- --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the last page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) 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/36
144 13.03 -- 13.03 10.74 10.74 -- -- -- --
145 13.54 -- 13.54 11.09 11.09 -- -- -- --
146 13.17 -- 13.17 10.74 10.74 -- -- -- --
147 13.25 -- 13.25 10.74 10.74 -- -- -- --
148 13.77 -- 13.77 11.10 11.10 -- -- -- --
149 13.40 -- 13.40 10.74 10.74 -- -- -- --
150 13.93 -- 13.93 11.10 11.10 -- -- -- --
151 13.56 -- 13.56 10.74 10.74 -- -- -- --
152 13.64 -- 13.64 10.74 10.74 -- -- -- --
153 15.20 -- 15.20 11.89 11.89 -- -- -- --
154 13.82 -- 13.82 10.74 10.74 -- -- -- --
155 14.37 -- 14.37 11.10 11.10 -- -- -- --
156 14.00 -- 14.00 10.74 10.74 -- -- -- --
157 14.56 -- 14.56 11.10 11.10 -- -- -- --
158 14.19 -- 14.19 10.74 10.74 -- -- -- --
159 14.29 -- 14.29 10.74 10.74 -- -- -- --
160 14.88 -- 14.88 11.10 11.10 -- -- -- --
161 14.50 -- 14.50 10.74 10.74 -- -- -- --
162 15.10 -- 15.10 11.10 11.10 -- -- -- --
163 14.72 -- 14.72 10.74 -- -- -- -- --
164 14.84 -- 14.84 10.75 -- -- -- -- --
165 16.56 -- 16.56 11.90 -- -- -- -- --
166 15.08 -- 15.08 10.75 -- -- -- -- --
167 15.71 -- 15.71 11.11 -- -- -- -- --
168 15.33 -- 15.33 10.75 -- -- -- -- --
169 15.98 -- 15.98 11.11 -- -- -- -- --
170 15.60 -- 15.60 10.75 -- -- -- -- --
171 15.73 -- 15.73 10.75 -- -- -- -- --
172 16.41 -- 16.41 11.11 -- -- -- -- --
173 16.02 -- 16.02 10.75 -- -- -- -- --
174 16.71 -- 16.71 11.11 -- -- -- -- --
175 16.33 -- 16.33 10.76 -- -- -- -- --
176 16.49 -- 16.49 10.76 -- -- -- -- --
177 18.44 -- 18.44 11.91 -- -- -- -- --
178 16.82 -- 16.82 10.76 -- -- -- -- --
179 17.64 -- 17.64 -- -- -- -- -- --
180 17.35 -- 17.35 -- -- -- -- -- --
181 18.24 -- 18.24 -- -- -- -- -- --
182 17.98 -- 17.98 -- -- -- -- -- --
183 18.32 -- 18.32 -- -- -- -- -- --
184 19.31 -- 19.31 -- -- -- -- -- --
185 19.08 -- 19.08 -- -- -- -- -- --
186 20.15 -- 20.15 -- -- -- -- -- --
187 19.95 -- 19.95 -- -- -- -- -- --
188 20.44 -- 20.44 -- -- -- -- -- --
189 22.40 -- 22.40 -- -- -- -- -- --
190 21.52 -- 21.52 -- -- -- -- -- --
191 22.87 -- 22.87 -- -- -- -- -- --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the last page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 20
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) 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/36
192 22.80 -- 22.80 -- -- -- -- -- --
193 24.31 -- 24.31 -- -- -- -- -- --
194 24.31 -- 24.31 -- -- -- -- -- --
195 25.18 -- 25.18 -- -- -- -- -- --
196 27.02 -- 27.02 -- -- -- -- -- --
197 27.21 -- 27.21 -- -- -- -- -- --
198 29.34 -- 29.34 -- -- -- -- -- --
199 29.73 -- 29.73 -- -- -- -- -- --
200 31.23 -- 31.23 -- -- -- -- -- --
201 36.46 -- 36.46 -- -- -- -- -- --
202 34.89 -- 34.89 -- -- -- -- -- --
203 38.39 -- 38.39 -- -- -- -- -- --
204 39.80 -- 39.80 -- -- -- -- -- --
205 44.38 -- 44.38 -- -- -- -- -- --
206 46.73 -- 46.73 -- -- -- -- -- --
207 51.34 -- 51.34 -- -- -- -- -- --
208 59.01 -- 59.01 -- -- -- -- -- --
209 64.56 -- 64.56 -- -- -- -- -- --
210 77.07 -- 77.07 -- -- -- -- -- --
211 88.75 -- 88.75 -- -- -- -- -- --
212 110.30 -- 110.30 -- -- -- -- -- --
213 162.77 -- 162.77 -- -- -- -- -- --
214 223.56 -- 223.56 -- -- -- -- -- --
215 715.10 -- 715.10 -- -- -- -- -- --
216 -- -- -- -- -- -- -- -- --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the last page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 21
Interest Rate Cap Schedules
Group II Class A Cap Class M Cap Class B Cap
------------------------------------- -------------------------------------- ------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 202,837,000.00 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
2 198,458,599.42 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
3 194,045,545.20 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
4 189,596,473.41 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
5 185,110,555.83 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
6 180,587,521.17 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
7 176,027,655.36 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
8 171,431,798.76 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
9 166,801,339.99 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
10 162,138,206.60 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
11 157,444,852.16 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
12 152,724,240.04 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
13 147,979,823.76 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
14 143,347,092.54 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
15 138,823,433.89 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
16 134,406,296.15 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
17 130,093,187.15 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
18 125,881,672.80 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
19 121,769,375.71 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
20 117,753,973.91 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
21 113,833,199.56 6.15 8.90 94,207,000.00 5.40 8.15 34,423,000.00 3.50 6.25
22 110,004,837.65 7.05 9.35 94,207,000.00 6.35 8.65 34,423,000.00 4.45 6.75
23 106,267,543.01 7.05 9.35 94,207,000.00 6.35 8.65 34,423,000.00 4.45 6.75
24 102,618,341.65 7.05 9.35 94,207,000.00 6.35 8.65 34,423,000.00 4.45 6.75
25 99,055,171.48 7.05 9.35 94,207,000.00 6.35 8.65 34,423,000.00 4.45 6.75
26 95,576,018.50 7.05 9.35 94,207,000.00 6.35 8.65 34,423,000.00 4.45 6.75
27 92,178,915.63 7.05 9.35 94,207,000.00 6.35 8.65 34,423,000.00 4.45 6.75
28 88,861,941.65 7.95 9.75 94,207,000.00 7.25 9.05 34,423,000.00 5.35 7.15
29 85,623,220.13 7.95 9.75 94,207,000.00 7.25 9.05 34,423,000.00 5.35 7.15
30 82,460,918.39 7.95 9.75 94,207,000.00 7.25 9.05 34,423,000.00 5.35 7.15
31 79,373,246.46 7.95 9.75 94,207,000.00 7.25 9.05 34,423,000.00 5.35 7.15
32 76,358,456.12 7.95 9.75 94,207,000.00 7.25 9.05 34,423,000.00 5.35 7.15
33 73,414,839.90 7.95 9.75 94,207,000.00 7.25 9.05 34,423,000.00 5.35 7.15
34 70,540,752.01 8.90 10.00 94,207,000.00 8.20 9.30 34,423,000.00 6.30 7.40
35 67,734,801.84 8.90 10.00 94,207,000.00 8.20 9.30 34,423,000.00 6.30 7.40
36 64,995,125.44 8.90 10.00 94,207,000.00 8.20 9.30 34,423,000.00 6.30 7.40
37 - - - 94,207,000.00 8.20 9.30 34,423,000.00 6.30 7.40
38 - - - 93,356,247.65 8.20 9.30 28,912,874.80 6.30 7.40
39 - - - 86,858,820.20 8.20 9.30 28,215,388.52 6.30 7.40
40 - - - - - - - - -
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 last page hereof when
reviewing this information.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
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 last page hereof when
reviewing this information.
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