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COMPUTATIONAL MATERIALS
$692,922,000
(APPROXIMATELY)
IXIS REAL ESTATE CAPITAL TRUST
SERIES 2005-HE1
ISSUER
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS CAPITAL I INC.
DEPOSITOR
IXIS REAL ESTATE CAPITAL INC. *
SELLER
COUNTRYWIDE HOME LOANS SERVICING LP
SERVICER
MORTGAGE PASS-THROUGH CERTIFICATES
*FORMERLY REFERRED TO AS CDC MORTGAGE CAPITAL INC.
--------------------------------------------------------------------------------
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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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
Securitized Products Group
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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
prospectus 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shall be deemed superseded and replaced in its entirety by such prospectus or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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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, ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and each recipient hereof are
deemed to agree that both ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ nor any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of securities, 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ does not undertake or have any responsibility to
notify you of any changes to the attached information. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
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$692,922,000 (APPROXIMATELY)
IXIS REAL ESTATE CAPITAL TRUST, SERIES 2005-HE1
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS CAPITAL I INC.
DEPOSITOR
IXIS REAL ESTATE 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 /
CLASSES DESCRIPTION BALANCE $ S&P) MTY(1)(2) MTY(1)(2)(3)
-------------------------------------------------------------------------------------------
A-1 FLT / PT 200,000,000 AAA / Aaa / AAA 2.37 / 2.58 2.23 / 2.40
-------------------------------------------------------------------------------------------
A-2 FLT / SEQ 157,000,000 AAA / Aaa / AAA 0.69 / 0.69 0.68 / 0.68
-------------------------------------------------------------------------------------------
A-3 FLT / SEQ 176,425,000 AAA / Aaa / AAA 2.89 / 2.89 2.75 / 2.75
-------------------------------------------------------------------------------------------
A-4 FLT / SEQ 37,050,000 AAA / Aaa / AAA 6.99 / 9.11 6.32 / 7.93
-------------------------------------------------------------------------------------------
M-1 FLT / MEZ 28,311,000 AA+ / Aa1 / AA+ 4.92 / 5.44 4.54 / 4.94
-------------------------------------------------------------------------------------------
M-2 FLT / MEZ 22,649,000 AA / Aa2 / AA 4.87 / 5.36 4.49 / 4.87
-------------------------------------------------------------------------------------------
M-3 FLT / MEZ 13,802,000 AA / Aa3 / AA- 4.84 / 5.31 4.46 / 4.82
-------------------------------------------------------------------------------------------
M-4 FLT / MEZ 13,094,000 AA- / A1 / A+ 4.81 / 5.26 4.41 / 4.75
-------------------------------------------------------------------------------------------
M-5 FLT / MEZ 11,678,000 A+ / A2 / A 4.80 / 5.21 4.40 / 4.71
-------------------------------------------------------------------------------------------
M-6 FLT / MEZ 10,263,000 A / A3 / A- 4.79 / 5.15 4.38 / 4.65
-------------------------------------------------------------------------------------------
B-1 FLT / MEZ 9,555,000 A- / Baa1 / BBB+ 4.79 / 5.07 4.32 / 4.53
-------------------------------------------------------------------------------------------
B-2 FLT / MEZ 7,786,000 BBB / Baa2 / BBB 4.77 / 4.93 4.28 / 4.41
-------------------------------------------------------------------------------------------
B-3 FLT / MEZ 5,309,000 BBB / Baa3 / BBB- 4.74 / 4.76 4.17 / 4.18
-------------------------------------------------------------------------------------------
B-4 FLT / MEZ 7,078,000 BB+ / Ba1 / BB+ ***Not Offered***
-------------------------------------------------------------------------------------------
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INITIAL FINAL
OFFERED PAYMENT WINDOW TO SUBORDINATION LEGAL
CLASSES CALL / MTY(1)(2) LEVEL BENCHMARK MATURITY
-----------------------------------------------------------------------------------
A-1 03/05 - 03/12 / 03/05 - 11/20 19.40% 1 M LIBOR 06/2035
-----------------------------------------------------------------------------------
A-2 03/05 - 07/06 / 03/05 - 07/06 19.40% 1 M LIBOR 06/2035
-----------------------------------------------------------------------------------
A-3 07/06 - 05/11 / 07/06 - 05/11 19.40% 1 M LIBOR 06/2035
-----------------------------------------------------------------------------------
A-4 05/11 - 03/12 / 05/11 - 11/20 19.40% 1 M LIBOR 06/2035
-----------------------------------------------------------------------------------
M-1 08/08 - 03/12 / 08/08 - 05/18 15.40% 1 M LIBOR 06/2035
-----------------------------------------------------------------------------------
M-2 06/08 - 03/12 / 06/08 - 09/17 12.20% 1 M LIBOR 06/2035
-----------------------------------------------------------------------------------
M-3 06/08 - 03/12 / 06/08 - 12/16 10.25% 1 M LIBOR 06/2035
-----------------------------------------------------------------------------------
M-4 05/08 - 03/12 / 05/08 - 06/16 8.40% 1 M LIBOR 06/2035
-----------------------------------------------------------------------------------
M-5 04/08 - 03/12 / 04/08 - 11/15 6.75% 1 M LIBOR 06/2035
-----------------------------------------------------------------------------------
M-6 04/08 - 03/12 / 04/08 - 03/15 5.30% 1 M LIBOR 06/2035
-----------------------------------------------------------------------------------
B-1 03/08 - 03/12 / 03/08 - 07/14 3.95% 1 M LIBOR 06/2035
-----------------------------------------------------------------------------------
B-2 03/08 - 03/12 / 03/08 - 08/13 2.85% 1 M LIBOR 06/2035
-----------------------------------------------------------------------------------
B-3 03/08 - 03/12 / 03/08 - 08/12 2.10% 1 M LIBOR 06/2035
-----------------------------------------------------------------------------------
B-4 ***Not Offered*** 1.10% ***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) Assume pricing at par.
--------------------------------------------------------------------------------
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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TRANSACTION HIGHLIGHTS (CONT'D)
ISSUER: IXIS Real Estate Capital Trust 2005-HE1
DEPOSITOR: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I Inc.
SELLER: IXIS Real Estate Capital Inc. (formerly
referred to as CDC Mortgage Capital Inc.)
ORIGINAL LOAN SELLERS: Accredited Home Lenders, Inc.
Aegis Mortgage Corporation
Allstate Home Loans, Inc.
BNC Mortgage, Inc.
Chapel Mortgage Corporation
Encore Credit Corp.
First Bank Mortgage
Fremont Investment & Loan, Inc.
Homeowners Loan Corp.
Home Loan Corp.
Impac Funding Corporation (and its affiliate,
Novelle Financial Services, Inc.)
Lenders Direct Capital Corporation
Master Financial, Inc.
NC Capital Corporation
People's Choice Home Loan, Inc.
Platinum Capital Group
ResMAE Mortgage Corporation
SERVICER: Countrywide Home Loans Servicing LP
TRUSTEE: Deutsche Bank National Trust Company
MANAGERS: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ (lead manager); Banc of America
Securities LLC, Countrywide Securities
Corporation, IXIS Securities (co-managers)
RATING AGENCIES: Fitch Inc., ▇▇▇▇▇'▇ 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, M-3, M-4, M-5 and M-6
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 January 28, 2005
EXPECTED CLOSING DATE: February 24, 2005 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 March 25, 2005.
CUT-OFF DATE: February 1, 2005, 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.
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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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TRANSACTION HIGHLIGHTS (CONT'D)
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.
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 The interest accrual period for the Offered
OFFERED CERTIFICATES AND THE Certificates and the B-4 Certificates with
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
$707,785,642 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
$584,523,723. It is expected that up to
approximately $123.3 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
$123,261,919 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 4% CPR in month 1 and increasing
to 23% CPR in month 16 (19%/15 CPR increase
for each month), and remaining at 23% CPR
thereafter.
o Adjustable Rate Mortgage Loans: CPR of 28%.
CREDIT ENHANCEMENT: The Offered Certificates and Class B-4
Certificates are credit enhanced by:
1) Net monthly excess cashflow from the
Mortgage Loans;
2) 1.10% 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 2.20% 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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TRANSACTION HIGHLIGHTS (CONT'D)
STEP-DOWN DATE: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in
March 2008; and
(b) The Distribution Date on which the
aggregate balance of the Class A
Certificates is reduced to zero; and
(y) the first Distribution Date on which the
Senior Enhancement Percentage (calculated
for this purpose only after taking into
account 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 38.80%.
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 [41.00]% 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:
Distribution Date Occurring In Loss Percentage
------------------------------ ---------------
March 2005 to February 2008 N/A
March 2008 to February 2009 3.00%
March 2009 to February 2010 4.75%
March 2010 to February 2011 6.00%
March 2011 to February 2012 6.50%
March 2012 and Thereafter 6.75%
INITIAL SUBORDINATION Class A: 19.40%
PERCENTAGE (INCLUDES PREFUNDED Class M-1: 15.40%
AMOUNTS): Class M-2: 12.20%
Class M-3: 10.25%
Class M-4: 8.40%
Class M-5: 6.75%
Class M-6: 5.30%
Class B-1: 3.95%
Class B-2: 2.85%
Class B-3: 2.10%
Class B-4: 1.10%
--------------------------------------------------------------------------------
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.
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TRANSACTION HIGHLIGHTS (CONT'D)
OPTIONAL CLEAN-UP CALL: If the Class X certificates are 100% owned,
directly or indirectly, by IXIS Real Estate
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 IXIS Real
Estate 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
IXIS Real Estate 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 IXIS
Real Estate 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 M-4 PASS-THROUGH RATE: The Class M-4 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [ ] bps
([ ] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the Net WAC Cap.
CLASS M-5 PASS-THROUGH RATE: The Class M-5 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [ ] bps
([ ] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the Net WAC Cap.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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TRANSACTION HIGHLIGHTS (CONT'D)
CLASS M-6 PASS-THROUGH RATE: The Class M-6 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [ ] bps
([ ] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the 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.
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 the servicing and trustee fees.
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 M-4
Certificates, its Accrued Certificate
Interest;
(vi) payable from the remaining Interest
Remittance Amount, to the Class M-5
Certificates, its Accrued Certificate
Interest;
(vii) payable from the remaining Interest
Remittance Amount, to the Class M-6
Certificates, its Accrued Certificate
Interest;
(viii) payable from the remaining Interest
Remittance Amount, to the Class B-1
Certificates, its Accrued Certificate
Interest;
(ix) payable from the remaining Interest
Remittance Amount, to the Class B-2
Certificates, its Accrued Certificate
Interest;
(x) payable from the remaining Interest
Remittance Amount, to the Class B-3
Certificates, its Accrued Certificate
Interest; and
(xi) payable from the remaining Interest
Remittance Amount, 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 second page hereof when
reviewing this information.
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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 M-4 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(vi) to the Class M-5 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(vii) to the Class M-6 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(viii) to the Class B-1 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(ix) to the Class B-2 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero;
(x) to the Class B-3 Certificates, until
the Certificate Principal Balance
thereof has been reduced to zero; and
(xi) 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 M-4 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-4
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(vi) to the Class M-5 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-5
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(vii) to the Class M-6 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-6
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(viii) to the Class B-1 Certificates, the
lesser of the remaining Principal
Distribution Amount and
--------------------------------------------------------------------------------
The 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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TRANSACTION HIGHLIGHTS (CONT'D)
the Class B-1 Principal Distribution
Amount, until the Certificate
Principal Balance thereof has been
reduced to zero;
(ix) to the Class B-2 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-2
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero;
(x) to the Class B-3 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-3
Principal Distribution Amount, until
the Certificate Principal Balance
thereof has been reduced to zero; and
(xi) 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.
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 26 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 Certificates
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
Certificates Interest Rate Cap Notional
Balance ("the Class A Certificates Interest
Rate Cap Payment") as described on the
schedule herein.
CLASS A CERTIFICATES INTEREST The Class A Certificates Interest Rate Cap
RATE CAP PAYMENT ALLOCATION: Payment shall be 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 26 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 Certificates
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
Certificates Interest Rate Cap Notional
Balance ("the Class M Certificates Interest
Rate Cap Payment") as described on the
schedule herein.
CLASS M CERTIFICATES INTEREST The Class M Certificates Interest Rate Cap
RATE CAP PAYMENT ALLOCATION: Payment shall be available to pay any Basis
Risk Carry Forward Amount due to the Class
M-1, Class M-2, Class M-3, Class M-4, Class
M-5 and Class M-6 Certificates on a pro rata
basis.
--------------------------------------------------------------------------------
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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TRANSACTION HIGHLIGHTS (CONT'D)
CLASS B CERTIFICATES INTEREST Beginning on the first Distribution Date, and
RATE CAP: for a period of 26 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 Certificates
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
Certificates Interest Rate Cap Notional
Balance ("the Class B Certificates Interest
Rate Cap Payment") as described on the
schedule herein.
CLASS B CERTIFICATES INTEREST The Class B Certificates Interest Rate Cap
RATE CAP PAYMENT ALLOCATION: Payment shall be 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 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 M-4 Certificates, their
Unpaid Interest Shortfall;
(viii) to the Class M-4 Certificates, their
realized loss amount reimbursement
(ix) to the Class M-5 Certificates, their
Unpaid Interest Shortfall;
(x) to the Class M-5 Certificates, their
realized loss amount reimbursement
(xi) to the Class M-6 Certificates, their
Unpaid Interest Shortfall;
(xii) to the Class M-6 Certificates, their
realized loss amount reimbursement
(xiii) to the Class B-1 Certificates, their
Unpaid Interest Shortfall;
(xiv) to the Class B-1 Certificates, their
realized loss amount reimbursement;
(xv) to the Class B-2 Certificates, their
Unpaid Interest Shortfall;
(xvi) to the Class B-2 Certificates, their
realized loss amount reimbursement;
(xvii) to the Class B-3 Certificates, their
Unpaid Interest Shortfall;
(xviii) to the Class B-3 Certificates, their
realized loss amount reimbursement;
(xix) to the Class B-4 Certificates, their
Unpaid Interest Shortfall;
(xx) to the Class B-4 Certificates, their
realized loss amount reimbursement;
(xxi) (A) from any available Class A
Certificates Interest Rate Cap
Payments to the Class A Certificates
up to their respective unpaid Basis
Risk Carry Forward Amount, (B) from
any available Class M Certificates
Interest Rate Cap Payments to the
Class M Certificates up to their
respective unpaid Basis Risk Carry
Forward Amounts, and (C) from any
available Class B Certificates
Interest Rate Cap Payments to the
Class B Certificates up to their
respective unpaid Basis Risk Carry
Forward Amounts;
(xxii) pro rata, to the Class A-1 and Class A
Sequential Certificates, any Basis
Risk Carry Forward Amount for such
classes remaining unpaid; and
(xxiii) sequentially, to the Class M-1, M-2,
M-3, M-4, M-5, M-6, B-1, B-2, B-3 and
B-4 Certificates, in such order, any
Basis Risk Carry Forward Amount for
such classes remaining unpaid.
--------------------------------------------------------------------------------
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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TRANSACTION HIGHLIGHTS (CONT'D)
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, M-4, M-5, M-6, 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.
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.
--------------------------------------------------------------------------------
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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TRANSACTION HIGHLIGHTS (CONT'D)
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 61.20% 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 $3,538,928.
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 69.20% 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
$3,538,928.
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 75.60%
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
$3,538,928.
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 79.50% 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
$3,538,928.
CLASS M-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)
and (v) the Certificate Principal Balance of
the Class M-4 Certificates immediately prior
to such Distribution Date over (y) the lesser
of (A) the product of (i) approximately 83.20%
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
$3,538,928.
--------------------------------------------------------------------------------
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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TRANSACTION HIGHLIGHTS (CONT'D)
CLASS M-5 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 M-4 Certificates (after taking
into account the payment of the Class M-4
Principal Distribution Amount on such
Distribution Date) and (vi) the Certificate
Principal Balance of the Class M-5
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 86.50% 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
$3,538,928.
CLASS M-6 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 M-4 Certificates (after taking
into account the payment of the Class M-4
Principal Distribution Amount on such
Distribution Date), (vi) the Certificate
Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal
Distribution Amount on such Distribution Date)
and (vii) the Certificate Principal Balance of
the Class M-6 Certificates immediately prior
to such Distribution Date over (y) the lesser
of (A) the product of (i) approximately 89.40%
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
$3,538,928.
--------------------------------------------------------------------------------
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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Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
TRANSACTION HIGHLIGHTS (CONT'D)
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), (v) the Certificate Principal Balance
of the Class M-4 Certificates (after taking
into account the payment of the Class M-4
Principal Distribution Amount on such
Distribution Date), (vi) the Certificate
Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal
Distribution Amount on such Distribution
Date), (vii) the Certificate Principal Balance
of the Class M-6 Certificates (after taking
into account the payment of the Class M-6
Principal Distribution Amount on such
Distribution Date) and (viii) the Certificate
Principal Balance of the Class B-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 92.10% 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
$3,538,928.
CLASS B-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), (iii) the Certificate Principal Balance
of the Class M-2 Certificates (after taking
into account the payment of the Class M-2
Principal Distribution Amount on such
Distribution Date), (iv) the Certificate
Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal
Distribution Amount on such Distribution
Date), (v) the Certificate Principal Balance
of the Class M-4 Certificates (after taking
into account the payment of the Class M-4
Principal Distribution Amount on such
Distribution Date), (vi) the Certificate
Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal
Distribution Amount on such Distribution
Date), (vii) the Certificate Principal Balance
of the Class M-6 Certificates (after taking
into account the payment of the Class M-6
Principal Distribution Amount on such
Distribution Date), (viii) the Certificate
Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal
Distribution Amount on such Distribution Date)
and (ix) the Certificate Principal Balance of
the Class B-2 Certificates immediately prior
to such Distribution Date over (y) the lesser
of (A) the product of (i) approximately 94.30%
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
$3,538,928.
--------------------------------------------------------------------------------
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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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 M-4 Certificates (after taking
into account the payment of the Class M-4
Principal Distribution Amount on such
Distribution Date), (vi) the Certificate
Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal
Distribution Amount on such Distribution
Date), (vii) the Certificate Principal Balance
of the Class M-6 Certificates (after taking
into account the payment of the Class M-6
Principal Distribution Amount on such
Distribution Date), (viii) the Certificate
Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal
Distribution Amount on such Distribution
Date), (ix) the Certificate Principal Balance
of the Class B-2 Certificates (after taking
into account the payment of the Class B-2
Principal Distribution Amount on such
Distribution Date) and (x) the Certificate
Principal Balance of the Class B-3
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 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 minus approximately
$3,538,928.
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 M-4 Certificates (after taking
into account the payment of the Class M-4
Principal Distribution Amount on such
Distribution Date), (vi) the Certificate
Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal
Distribution Amount on such Distribution
Date), (vii) the Certificate Principal Balance
of the Class M-6 Certificates (after taking
into account the payment of the Class M-6
Principal Distribution Amount on such
Distribution Date), (viii) the Certificate
Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal
Distribution Amount on such Distribution
Date), (ix) the Certificate Principal Balance
of the Class B-2 Certificates (after taking
into account the payment of the Class B-2
Principal Distribution Amount on such
Distribution Date), (x) 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 (xi) 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 97.80%
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 minus approximately
$3,538,928.
TRUST TAX STATUS: REMIC.
--------------------------------------------------------------------------------
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
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
TRANSACTION HIGHLIGHTS (CONT'D)
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.
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 17
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
SENSITIVITY ANALYSIS
------------------------------------------------------------------------------------------------------------------------------------
TO 10% CALL
----------------------------------------------------------------------------------------------------------------------------
% OF PPC 50 60 75 100 125 150 175
------------------------------------------------------------------------------------------------------------------------------------
A-1 WAL 4.90 4.10 3.27 2.37 1.73 1.25 1.02
FIRST PAYMENT DATE 3/25/2005 3/25/2005 3/25/2005 3/25/2005 3/25/2005 3/25/2005 3/25/2005
EXPECTED FINAL 6/25/2019 3/25/2017 10/25/2014 3/25/2012 8/25/2010 7/25/2009 9/25/2007
MATURITY WINDOW 1 - 172 1 - 145 1 - 116 1 - 85 1 - 66 1 - 53 1 - 31
------------------------------------------------------------------------------------------------------------------------------------
A-2 WAL 1.36 1.14 0.92 0.69 0.55 0.45 0.38
FIRST PAYMENT DATE 3/25/2005 3/25/2005 3/25/2005 3/25/2005 3/25/2005 3/25/2005 3/25/2005
EXPECTED FINAL 12/25/2007 6/25/2007 12/25/2006 7/25/2006 3/25/2006 1/25/2006 11/25/2005
MATURITY WINDOW 1 - 34 1 - 28 1 - 22 1 - 17 1 - 13 1 - 11 1 - 9
------------------------------------------------------------------------------------------------------------------------------------
A-3 WAL 6.10 5.10 4.06 2.89 2.02 1.59 1.31
FIRST PAYMENT DATE 12/25/2007 6/25/2007 12/25/2006 7/25/2006 3/25/2006 1/25/2006 11/25/2005
EXPECTED FINAL 11/25/2017 11/25/2015 9/25/2013 5/25/2011 12/25/2009 8/25/2007 3/25/2007
MATURITY WINDOW 34 - 153 28 - 129 22 - 103 17 - 75 13 - 58 11 - 30 9 - 25
------------------------------------------------------------------------------------------------------------------------------------
A-4 WAL 14.13 11.92 9.53 6.99 5.43 3.06 2.33
FIRST PAYMENT DATE 11/25/2017 11/25/2015 9/25/2013 5/25/2011 12/25/2009 8/25/2007 3/25/2007
EXPECTED FINAL 6/25/2019 3/25/2017 10/25/2014 3/25/2012 8/25/2010 7/25/2009 9/25/2007
MATURITY WINDOW 153 - 172 129 - 145 103 - 116 75 - 85 58 - 66 30 - 53 25 - 31
------------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 9.49 7.96 6.35 4.92 4.59 4.42 3.52
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 8/25/2008 2/25/2009 7/25/2009 9/25/2007
EXPECTED FINAL 6/25/2019 3/25/2017 10/25/2014 3/25/2012 8/25/2010 7/25/2009 9/25/2008
------------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 9.49 7.96 6.35 4.87 4.33 4.38 3.59
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 6/25/2008 10/25/2008 4/25/2009 9/25/2008
EXPECTED FINAL 6/25/2019 3/25/2017 10/25/2014 3/25/2012 8/25/2010 7/25/2009 9/25/2008
MATURITY WINDOW 55 - 172 46 - 145 37 - 116 40 - 85 44 - 66 50 - 53 43 - 43
------------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 9.49 7.96 6.35 4.84 4.20 4.12 3.56
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 6/25/2008 9/25/2008 1/25/2009 7/25/2008
EXPECTED FINAL 6/25/2019 3/25/2017 10/25/2014 3/25/2012 8/25/2010 7/25/2009 9/25/2008
MATURITY WINDOW 55 - 172 46 - 145 37 - 116 40 - 85 43 - 66 47 - 53 41 - 43
------------------------------------------------------------------------------------------------------------------------------------
M-4 WAL 9.49 7.96 6.35 4.81 4.13 3.93 3.39
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 5/25/2008 7/25/2008 10/25/2008 5/25/2008
EXPECTED FINAL 6/25/2019 3/25/2017 10/25/2014 3/25/2012 8/25/2010 7/25/2009 9/25/2008
MATURITY WINDOW 55 - 172 46 - 145 37 - 116 39 - 85 41 - 66 44 - 53 39 - 43
------------------------------------------------------------------------------------------------------------------------------------
M-5 WAL 9.49 7.96 6.35 4.80 4.07 3.80 3.25
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 4/25/2008 6/25/2008 8/25/2008 3/25/2008
EXPECTED FINAL 6/25/2019 3/25/2017 10/25/2014 3/25/2012 8/25/2010 7/25/2009 9/25/2008
MATURITY WINDOW 55 - 172 46 - 145 37 - 116 38 - 85 40 - 66 42 - 53 37 - 43
------------------------------------------------------------------------------------------------------------------------------------
M-6 WAL 9.49 7.96 6.35 4.79 4.03 3.70 3.16
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 4/25/2008 5/25/2008 7/25/2008 1/25/2008
EXPECTED FINAL 6/25/2019 3/25/2017 10/25/2014 3/25/2012 8/25/2010 7/25/2009 9/25/2008
MATURITY WINDOW 55 - 172 46 - 145 37 - 116 38 - 85 39 - 66 41 - 53 35 - 43
------------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 9.49 7.96 6.35 4.79 4.01 3.63 3.08
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 3/25/2008 4/25/2008 5/25/2008 12/25/2007
EXPECTED FINAL 6/25/2019 3/25/2017 10/25/2014 3/25/2012 8/25/2010 7/25/2009 9/25/2008
MATURITY WINDOW 55 - 172 46 - 145 37 - 116 37 - 85 38 - 66 39 - 53 34 - 43
------------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 9.49 7.96 6.35 4.77 3.97 3.58 3.03
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 3/25/2008 4/25/2008 4/25/2008 11/25/2007
EXPECTED FINAL 6/25/2019 3/25/2017 10/25/2014 3/25/2012 8/25/2010 7/25/2009 9/25/2008
MATURITY WINDOW 55 - 172 46 - 145 37 - 116 37 - 85 38 - 66 38 - 53 33 - 43
------------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 9.43 7.92 6.31 4.74 3.95 3.51 2.97
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 3/25/2008 3/25/2008 4/25/2008 11/25/2007
EXPECTED FINAL 6/25/2019 3/25/2017 10/25/2014 3/25/2012 8/25/2010 7/25/2009 9/25/2008
MATURITY WINDOW 55 - 172 46 - 145 37 - 116 37 - 85 37 - 66 38 - 53 33 - 43
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
SENSITIVITY ANALYSIS (CONT)
------------------------------------------------------------------------------------------------------------------------------------
TO MATURITY
----------------------------------------------------------------------------------------------------------------------------
% OF PPC 50 60 75 100 125 150 175
------------------------------------------------------------------------------------------------------------------------------------
A-1 WAL 5.23 4.42 3.55 2.58 1.90 1.32 1.02
FIRST PAYMENT DATE 3/25/2005 3/25/2005 3/25/2005 3/25/2005 3/25/2005 3/25/2005 3/25/2005
EXPECTED FINAL 10/25/2031 7/25/2029 11/25/2025 11/25/2020 8/25/2017 3/25/2015 9/25/2007
MATURITY WINDOW 1 - 320 1 - 293 1 - 249 1 - 189 1 - 150 1 - 121 1 - 31
------------------------------------------------------------------------------------------------------------------------------------
A-2 WAL 1.36 1.14 0.92 0.69 0.55 0.45 0.38
FIRST PAYMENT DATE 3/25/2005 3/25/2005 3/25/2005 3/25/2005 3/25/2005 3/25/2005 3/25/2005
EXPECTED FINAL 12/25/2007 6/25/2007 12/25/2006 7/25/2006 3/25/2006 1/25/2006 11/25/2005
MATURITY WINDOW 1 - 34 1 - 28 1 - 22 1 - 17 1 - 13 1 - 11 1 - 9
------------------------------------------------------------------------------------------------------------------------------------
A-3 WAL 6.10 5.10 4.06 2.89 2.02 1.59 1.31
FIRST PAYMENT DATE 12/25/2007 6/25/2007 12/25/2006 7/25/2006 3/25/2006 1/25/2006 11/25/2005
EXPECTED FINAL 11/25/2017 11/25/2015 9/25/2013 5/25/2011 12/25/2009 8/25/2007 3/25/2007
MATURITY WINDOW 34 - 153 28 - 129 22 - 103 17 - 75 13 - 58 11 - 30 9 - 25
------------------------------------------------------------------------------------------------------------------------------------
A-4 WAL 17.44 15.05 12.25 9.11 7.08 3.77 2.33
FIRST PAYMENT DATE 11/25/2017 11/25/2015 9/25/2013 5/25/2011 12/25/2009 8/25/2007 3/25/2007
EXPECTED FINAL 10/25/2031 7/25/2029 11/25/2025 11/25/2020 8/25/2017 3/25/2015 9/25/2007
MATURITY WINDOW 153 - 320 129 - 293 103 - 249 75 - 189 58 - 150 30 - 121 25 - 31
------------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.32 8.74 7.02 5.44 4.99 5.90 5.66
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 8/25/2008 2/25/2009 1/25/2010 9/25/2007
EXPECTED FINAL 12/25/2028 3/25/2026 7/25/2022 5/25/2018 6/25/2015 5/25/2013 5/25/2013
MATURITY WINDOW 55 - 286 46 - 253 37 - 209 42 - 159 48 - 124 59 - 99 31 - 99
------------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.29 8.71 6.99 5.36 4.71 4.79 4.29
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 6/25/2008 10/25/2008 4/25/2009 11/25/2008
EXPECTED FINAL 2/25/2028 4/25/2025 9/25/2021 9/25/2017 11/25/2014 12/25/2012 7/25/2011
MATURITY WINDOW 55 - 276 46 - 242 37 - 199 40 - 151 44 - 117 50 - 94 45 - 77
------------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.25 8.67 6.96 5.31 4.57 4.41 3.84
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 6/25/2008 9/25/2008 1/25/2009 7/25/2008
EXPECTED FINAL 2/25/2027 4/25/2024 10/25/2020 12/25/2016 5/25/2014 7/25/2012 3/25/2011
MATURITY WINDOW 55 - 264 46 - 230 37 - 188 40 - 142 43 - 111 47 - 89 41 - 73
------------------------------------------------------------------------------------------------------------------------------------
M-4 WAL 10.21 8.63 6.93 5.26 4.47 4.20 3.63
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 5/25/2008 7/25/2008 10/25/2008 5/25/2008
EXPECTED ▇▇▇▇▇ ▇/25/2026 7/25/2023 2/25/2020 6/25/2016 12/25/2013 3/25/2012 12/25/2010
MATURITY WINDOW 55 - 255 46 - 221 37 - 180 39 - 136 41 - 106 44 - 85 39 - 70
------------------------------------------------------------------------------------------------------------------------------------
M-5 WAL 10.15 8.58 6.89 5.21 4.39 4.05 3.47
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 4/25/2008 6/25/2008 8/25/2008 3/25/2008
EXPECTED FINAL 6/25/2025 9/25/2022 8/25/2019 11/25/2015 6/25/2013 10/25/2011 8/25/2010
MATURITY WINDOW 55 - 244 46 - 211 37 - 174 38 - 129 40 - 100 42 - 80 37 - 66
------------------------------------------------------------------------------------------------------------------------------------
M-6 WAL 10.07 8.50 6.82 5.15 4.31 3.92 3.34
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 4/25/2008 5/25/2008 7/25/2008 1/25/2008
EXPECTED FINAL 6/25/2024 9/25/2021 10/25/2018 3/25/2015 12/25/2012 5/25/2011 4/25/2010
MATURITY WINDOW 55 - 232 46 - 199 37 - 164 38 - 121 39 - 94 41 - 75 35 - 62
------------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 9.94 8.39 6.72 5.07 4.22 3.80 3.23
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 3/25/2008 4/25/2008 5/25/2008 12/25/2007
EXPECTED FINAL 3/25/2023 8/25/2020 10/25/2017 7/25/2014 5/25/2012 12/25/2010 11/25/2009
MATURITY WINDOW 55 - 217 46 - 186 37 - 152 37 - 113 38 - 87 39 - 70 34 - 57
------------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 9.73 8.22 6.56 4.93 4.10 3.67 3.11
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 3/25/2008 4/25/2008 4/25/2008 11/25/2007
EXPECTED FINAL 9/25/2021 6/25/2019 8/25/2016 8/25/2013 9/25/2011 5/25/2010 6/25/2009
MATURITY WINDOW 55 - 199 46 - 172 37 - 138 37 - 102 38 - 79 38 - 63 33 - 52
------------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 9.46 7.95 6.34 4.76 3.96 3.52 2.98
FIRST PAYMENT DATE 9/25/2009 12/25/2008 3/25/2008 3/25/2008 3/25/2008 4/25/2008 11/25/2007
EXPECTED FINAL 12/25/2019 11/25/2017 5/25/2015 8/25/2012 12/25/2010 10/25/2009 12/25/2008
MATURITY WINDOW 55 - 178 46 - 153 37 - 123 37 - 90 37 - 70 38 - 56 33 - 46
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
SENSITIVITY ANALYSIS (CONT)
----------------------------------------------------------------- ---------------------------------------------------------------
TO 10% CALL TO MATURITY
---------------------------------------------------------- -------------------------------------------------------
% OF CPR 20 25 30 % OF CPR 20 25 30
----------------------------------------------------------------- ---------------------------------------------------------------
A-1 WAL 3.34 2.61 2.08 A-1 WAL 3.62 2.84 2.26
FIRST PAYMENT DATE 3/25/2005 3/25/2005 3/25/2005 FIRST PAYMENT DATE 3/25/2005 3/25/2005 3/25/2005
EXPECTED FINAL 1/25/2015 12/25/2012 7/25/2011 EXPECTED ▇▇▇▇▇ ▇/25/2026 6/25/2022 6/25/2019
MATURITY WINDOW 1 - 119 1 - 94 1 - 77 MATURITY WINDOW 1 - 255 1 - 208 1 - 172
----------------------------------------------------------------- ---------------------------------------------------------------
A-2 WAL 0.92 0.73 0.61 A-2 WAL 0.92 0.73 0.61
FIRST PAYMENT DATE 3/25/2005 3/25/2005 3/25/2005 FIRST PAYMENT DATE 3/25/2005 3/25/2005 3/25/2005
EXPECTED FINAL 1/25/2007 8/25/2006 5/25/2006 EXPECTED FINAL 1/25/2007 8/25/2006 5/25/2006
MATURITY WINDOW 1 - 23 1 - 18 1 - 15 MATURITY WINDOW 1 - 23 1 - 18 1 - 15
----------------------------------------------------------------- ---------------------------------------------------------------
A-3 WAL 4.15 3.22 2.49 A-3 WAL 4.15 3.22 2.49
FIRST PAYMENT DATE 1/25/2007 8/25/2006 5/25/2006 FIRST PAYMENT DATE 1/25/2007 8/25/2006 5/25/2006
EXPECTED FINAL 11/25/2013 1/25/2012 10/25/2010 EXPECTED FINAL 11/25/2013 1/25/2012 10/25/2010
MATURITY WINDOW 23 - 105 18 - 83 15 - 68 MATURITY WINDOW 23 - 105 18 - 83 15 - 68
----------------------------------------------------------------- ---------------------------------------------------------------
A-4 WAL 9.77 7.72 6.32 A-4 WAL 12.55 9.98 8.17
FIRST PAYMENT DATE 11/25/2013 1/25/2012 10/25/2010 FIRST PAYMENT DATE 11/25/2013 1/25/2012 10/25/2010
EXPECTED FINAL 1/25/2015 12/25/2012 7/25/2011 EXPECTED ▇▇▇▇▇ ▇/25/2026 6/25/2022 6/25/2019
MATURITY WINDOW 105 - 119 83 - 94 68 - 77 MATURITY WINDOW 105 - 255 83 - 208 68 - 172
----------------------------------------------------------------- ---------------------------------------------------------------
M-1 WAL 6.50 5.26 4.69 M-1 WAL 7.18 5.81 5.14
FIRST PAYMENT DATE 3/25/2008 6/25/2008 10/25/2008 FIRST PAYMENT DATE 3/25/2008 6/25/2008 10/25/2008
EXPECTED FINAL 1/25/2015 12/25/2012 7/25/2011 EXPECTED FINAL 1/25/2023 7/25/2019 12/25/2016
MATURITY WINDOW 37 - 119 40 - 94 44 - 77 MATURITY WINDOW 37 - 215 40 - 173 44 - 142
----------------------------------------------------------------- ---------------------------------------------------------------
M-2 WAL 6.50 5.23 4.57 M-2 WAL 7.15 5.76 5.00
FIRST PAYMENT DATE 3/25/2008 5/25/2008 8/25/2008 FIRST PAYMENT DATE 3/25/2008 5/25/2008 8/25/2008
EXPECTED FINAL 1/25/2015 12/25/2012 7/25/2011 EXPECTED FINAL 3/25/2022 11/25/2018 5/25/2016
MATURITY WINDOW 37 - 119 39 - 94 42 - 77 MATURITY WINDOW 37 - 205 39 - 165 42 - 135
----------------------------------------------------------------- ---------------------------------------------------------------
M-3 WAL 6.50 5.21 4.51 M-3 WAL 7.12 5.72 4.92
FIRST PAYMENT DATE 3/25/2008 5/25/2008 7/25/2008 FIRST PAYMENT DATE 3/25/2008 5/25/2008 7/25/2008
EXPECTED FINAL 1/25/2015 12/25/2012 7/25/2011 EXPECTED FINAL 4/25/2021 2/25/2018 10/25/2015
MATURITY WINDOW 37 - 119 39 - 94 41 - 77 MATURITY WINDOW 37 - 194 39 - 156 41 - 128
----------------------------------------------------------------- ---------------------------------------------------------------
M-4 WAL 6.50 5.20 4.47 M-4 WAL 7.09 5.68 4.86
FIRST PAYMENT DATE 3/25/2008 4/25/2008 6/25/2008 FIRST PAYMENT DATE 3/25/2008 4/25/2008 6/25/2008
EXPECTED FINAL 1/25/2015 12/25/2012 7/25/2011 EXPECTED FINAL 8/25/2020 7/25/2017 4/25/2015
MATURITY WINDOW 37 - 119 38 - 94 40 - 77 MATURITY WINDOW 37 - 186 38 - 149 40 - 122
----------------------------------------------------------------- ---------------------------------------------------------------
M-5 WAL 6.50 5.20 4.45 M-5 WAL 7.04 5.63 4.80
FIRST PAYMENT DATE 3/25/2008 4/25/2008 5/25/2008 FIRST PAYMENT DATE 3/25/2008 4/25/2008 5/25/2008
EXPECTED FINAL 1/25/2015 12/25/2012 7/25/2011 EXPECTED FINAL 11/25/2019 11/25/2016 10/25/2014
MATURITY WINDOW 37 - 119 38 - 94 39 - 77 MATURITY WINDOW 37 - 177 38 - 141 39 - 116
----------------------------------------------------------------- ---------------------------------------------------------------
M-6 WAL 6.50 5.20 4.43 M-6 WAL 6.98 5.58 4.73
FIRST PAYMENT DATE 3/25/2008 3/25/2008 4/25/2008 FIRST PAYMENT DATE 3/25/2008 3/25/2008 4/25/2008
EXPECTED FINAL 1/25/2015 12/25/2012 7/25/2011 EXPECTED FINAL 1/25/2019 3/25/2016 3/25/2014
MATURITY WINDOW 37 - 119 37 - 94 38 - 77 MATURITY WINDOW 37 - 167 37 - 133 38 - 109
----------------------------------------------------------------- ---------------------------------------------------------------
B-1 WAL 6.50 5.18 4.40 B-1 WAL 6.87 5.48 4.64
FIRST PAYMENT DATE 3/25/2008 3/25/2008 4/25/2008 FIRST PAYMENT DATE 3/25/2008 3/25/2008 4/25/2008
EXPECTED FINAL 1/25/2015 12/25/2012 7/25/2011 EXPECTED FINAL 2/25/2018 6/25/2015 7/25/2013
MATURITY WINDOW 37 - 119 37 - 94 38 - 77 MATURITY WINDOW 37 - 156 37 - 124 38 - 101
----------------------------------------------------------------- ---------------------------------------------------------------
B-2 WAL 6.50 5.18 4.40 B-2 WAL 6.71 5.35 4.53
FIRST PAYMENT DATE 3/25/2008 3/25/2008 3/25/2008 FIRST PAYMENT DATE 3/25/2008 3/25/2008 3/25/2008
EXPECTED FINAL 1/25/2015 12/25/2012 7/25/2011 EXPECTED FINAL 12/25/2016 6/25/2014 9/25/2012
MATURITY WINDOW 37 - 119 37 - 94 37 - 77 MATURITY WINDOW 37 - 142 37 - 112 37 - 91
----------------------------------------------------------------- ---------------------------------------------------------------
B-3 WAL 6.46 5.15 4.34 B-3 WAL 6.48 5.17 4.36
FIRST PAYMENT DATE 3/25/2008 3/25/2008 3/25/2008 FIRST PAYMENT DATE 3/25/2008 3/25/2008 3/25/2008
EXPECTED FINAL 1/25/2015 12/25/2012 7/25/2011 EXPECTED FINAL 7/25/2015 5/25/2013 11/25/2011
MATURITY WINDOW 37 - 119 37 - 94 37 - 77 MATURITY 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 second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 20
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
------------------------------------------------------------------------------------------------------------------------------------
A-1 A-2 A-3 A-4 M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3
PERIOD CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP%
------ ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/
360 360 360 360 360 360 360 360 360 360 360 360 360
1 (3) (3) (3) (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) (3) (3) (3) (3) (3) (3)
4 9.90 9.90 9.90 9.90 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25 9.25
5 10.13 10.13 10.13 10.13 9.47 9.47 9.47 9.47 9.47 9.47 9.47 9.47 9.47
6 9.91 9.91 9.91 9.91 9.26 9.26 9.26 9.26 9.26 9.26 9.26 9.26 9.26
7 9.92 9.92 9.92 9.92 9.26 9.26 9.26 9.26 9.26 9.26 9.26 9.26 9.26
8 10.15 10.15 10.15 10.15 9.48 9.48 9.48 9.48 9.48 9.48 9.48 9.48 9.48
9 9.93 9.93 9.93 9.93 9.26 9.26 9.26 9.26 9.26 9.26 9.26 9.26 9.26
10 10.16 10.16 10.16 10.16 9.48 9.48 9.48 9.48 9.48 9.48 9.48 9.48 9.48
11 9.95 9.95 9.95 9.95 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28
12 9.96 9.96 9.96 9.96 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28
13 10.70 10.70 10.70 10.70 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00
14 9.97 9.97 9.97 9.97 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28
15 10.21 10.21 10.21 10.21 9.51 9.51 9.51 9.51 9.51 9.51 9.51 9.51 9.51
16 9.99 9.99 9.99 9.99 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28
17 10.23 10.23 10.23 10.23 9.52 9.52 9.52 9.52 9.52 9.52 9.52 9.52 9.52
18 10.01 - 10.01 10.01 9.30 9.30 9.30 9.30 9.30 9.30 9.30 9.30 9.30
19 10.02 - 10.02 10.02 9.30 9.30 9.30 9.30 9.30 9.30 9.30 9.30 9.30
20 10.26 - 10.26 10.26 9.52 9.52 9.52 9.52 9.52 9.52 9.52 9.52 9.52
21 10.38 - 10.38 10.38 9.63 9.63 9.63 9.63 9.63 9.63 9.63 9.63 9.63
22 10.02 - 10.02 10.02 9.62 9.62 9.62 9.62 9.62 9.62 9.62 9.62 9.62
23 10.01 - 10.01 10.01 9.60 9.60 9.60 9.60 9.60 9.60 9.60 9.60 9.60
24 10.03 - 10.03 10.03 9.60 9.60 9.60 9.60 9.60 9.60 9.60 9.60 9.60
25 11.01 - 11.01 11.01 10.55 10.55 10.55 10.55 10.55 10.55 10.55 10.55 10.55
26 10.05 - 10.05 10.05 9.60 9.60 9.60 9.60 9.60 9.60 9.60 9.60 9.60
27 10.63 - 10.63 10.63 10.15 10.15 10.15 10.15 10.15 10.15 10.15 10.15 10.15
28 10.03 - 10.03 10.03 9.67 9.67 9.67 9.67 9.67 9.67 9.67 9.67 9.67
29 10.49 - 10.49 10.49 10.09 10.09 10.09 10.09 10.09 10.09 10.09 10.09 10.09
30 10.17 - 10.17 10.17 9.77 9.77 9.77 9.77 9.77 9.77 9.77 9.77 9.77
31 10.19 - 10.19 10.19 9.77 9.77 9.77 9.77 9.77 9.77 9.77 9.77 9.77
32 10.61 - 10.61 10.61 10.16 10.16 10.16 10.16 10.16 10.16 10.16 10.16 10.16
33 10.55 - 10.55 10.55 10.07 10.07 10.07 10.07 10.07 10.07 10.07 10.07 10.07
34 11.70 - 11.70 11.70 11.15 11.15 11.15 11.15 11.15 11.15 11.15 11.15 11.15
35 11.46 - 11.46 11.46 10.89 10.89 10.89 10.89 10.89 10.89 10.89 10.89 10.89
36 11.49 - 11.49 11.49 10.89 10.89 10.89 10.89 10.89 10.89 10.89 10.89 10.89
37 30.71 - 30.71 30.71 11.64 11.64 11.64 11.64 11.64 11.64 11.64 11.64 11.64
38 12.74 - 12.74 12.74 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93 10.93
39 13.37 - 13.37 13.37 11.53 11.53 11.53 11.53 11.53 11.53 11.53 11.53 11.53
40 13.48 - 13.48 13.48 11.72 11.72 11.72 11.72 11.72 11.72 11.72 11.72 11.72
(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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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
------------------------------------------------------------------------------------------------------------------------------------
A-1 A-2 A-3 A-4 M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3
PERIOD CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP%
------ ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/
360 360 360 360 360 360 360 360 360 360 360 360 360
41 13.98 - 13.98 13.98 12.21 12.21 12.21 12.21 12.21 12.21 12.21 12.21 12.21
42 13.48 - 13.48 13.48 11.81 11.81 11.81 11.81 11.81 11.81 11.81 11.81 11.81
43 13.43 - 13.43 13.43 11.81 11.81 11.81 11.81 11.81 11.81 11.81 11.81 11.81
44 13.88 - 13.88 13.88 12.24 12.24 12.24 12.24 12.24 12.24 12.24 12.24 12.24
45 13.43 - 13.43 13.43 11.89 11.89 11.89 11.89 11.89 11.89 11.89 11.89 11.89
46 13.93 - 13.93 13.93 12.34 12.34 12.34 12.34 12.34 12.34 12.34 12.34 12.34
47 13.51 - 13.51 13.51 11.97 11.97 11.97 11.97 11.97 11.97 11.97 11.97 11.97
48 13.51 - 13.51 13.51 11.96 11.96 11.96 11.96 11.96 11.96 11.96 11.96 11.96
49 14.95 - 14.95 14.95 13.24 13.24 13.24 13.24 13.24 13.24 13.24 13.24 13.24
50 13.54 - 13.54 13.54 12.00 12.00 12.00 12.00 12.00 12.00 12.00 12.00 12.00
51 13.99 - 13.99 13.99 12.40 12.40 12.40 12.40 12.40 12.40 12.40 12.40 12.40
52 13.58 - 13.58 13.58 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04
53 14.03 - 14.03 14.03 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44
54 13.58 - 13.58 13.58 12.03 12.03 12.03 12.03 12.03 12.03 12.03 12.03 12.03
55 13.58 - 13.58 13.58 12.03 12.03 12.03 12.03 12.03 12.03 12.03 12.03 12.03
56 13.27 - 13.27 13.27 12.45 12.45 12.45 12.45 12.45 12.45 12.45 12.45 12.45
57 12.49 - 12.49 12.49 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05
58 12.95 - 12.95 12.95 12.48 12.48 12.48 12.48 12.48 12.48 12.48 12.48 12.48
59 12.55 - 12.55 12.55 12.08 12.08 12.08 12.08 12.08 12.08 12.08 12.08 12.08
60 12.56 - 12.56 12.56 12.08 12.08 12.08 12.08 12.08 12.08 12.08 12.08 12.08
61 13.91 - 13.91 13.91 13.37 13.37 13.37 13.37 13.37 13.37 13.37 13.37 13.37
62 12.58 - 12.58 12.58 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07
63 13.01 - 13.01 13.01 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47
64 12.61 - 12.61 12.61 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07
65 13.04 - 13.04 13.04 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47
66 12.63 - 12.63 12.63 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07
67 12.65 - 12.65 12.65 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07 12.07
68 13.08 - 13.08 13.08 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47
69 12.67 - 12.67 12.67 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06
70 13.12 - 13.12 13.12 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47 12.47
71 12.71 - 12.71 12.71 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06
72 12.72 - 12.72 12.72 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06 12.06
73 14.10 - 14.10 14.10 13.35 13.35 13.35 13.35 13.35 13.35 13.35 13.35 13.35
74 12.75 - 12.75 12.75 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05
75 13.20 - 13.20 13.20 12.45 12.45 12.45 12.45 12.45 12.45 12.45 12.45 12.45
76 12.79 - 12.79 12.79 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05
77 13.24 - - 13.24 12.45 12.45 12.45 12.45 12.45 12.45 12.45 12.45 12.45
78 12.83 - - 12.83 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05
79 12.85 - - 12.85 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05 12.05
80 13.29 - - 13.29 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44
81 12.88 - - 12.88 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04 12.04
(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 22
--------------------------------------------------------------------------------
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
------------------------------------------------------------------------------------------------------------------------------------
A-1 A-2 A-3 A-4 M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3
PERIOD CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP%
------ ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/
360 360 360 360 360 360 360 360 360 360 360 360 360
82 13.33 - - 13.33 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44 12.44
83 12.92 - - 12.92 12.03 12.03 12.03 12.03 12.03 12.03 12.03 12.03 12.03
84 12.95 - - 12.95 12.03 12.03 12.03 12.03 12.03 12.03 12.03 12.03 12.03
85 13.86 - - 13.86 12.86 12.86 12.86 12.86 12.86 12.86 12.86 12.86 12.86
86 12.99 - - 12.99 12.02 12.02 12.02 12.02 12.02 12.02 12.02 12.02 12.02
87 13.45 - - 13.45 12.42 12.42 12.42 12.42 12.42 12.42 12.42 12.42 12.42
88 13.04 - - 13.04 12.02 12.02 12.02 12.02 12.02 12.02 12.02 12.02 12.02
89 13.50 - - 13.50 12.41 12.41 12.41 12.41 12.41 12.41 12.41 12.41 12.41
90 13.09 - - 13.09 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01
91 13.11 - - 13.11 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01
92 13.58 - - 13.58 12.40 12.40 12.40 12.40 12.40 12.40 12.40 12.40 -
93 13.17 - - 13.17 12.00 12.00 12.00 12.00 12.00 12.00 12.00 12.00 -
94 13.64 - - 13.64 12.40 12.40 12.40 12.40 12.40 12.40 12.40 12.40 -
95 13.23 - - 13.23 11.99 11.99 11.99 11.99 11.99 11.99 11.99 11.99 -
96 13.26 - - 13.26 11.99 11.99 11.99 11.99 11.99 11.99 11.99 11.99 -
97 14.71 - - 14.71 13.27 13.27 13.27 13.27 13.27 13.27 13.27 13.27 -
98 13.32 - - 13.32 11.98 11.98 11.98 11.98 11.98 11.98 11.98 11.98 -
99 13.80 - - 13.80 12.38 12.38 12.38 12.38 12.38 12.38 12.38 12.38 -
100 13.39 - - 13.39 11.98 11.98 11.98 11.98 11.98 11.98 11.98 11.98 -
101 13.87 - - 13.87 12.37 12.37 12.37 12.37 12.37 12.37 12.37 12.37 -
102 13.46 - - 13.46 11.97 11.97 11.97 11.97 11.97 11.97 11.97 11.97 -
103 13.50 - - 13.50 11.97 11.97 11.97 11.97 11.97 11.97 11.97 11.97 -
104 13.99 - - 13.99 12.36 12.36 12.36 12.36 12.36 12.36 12.36 - -
105 13.57 - - 13.57 11.96 11.96 11.96 11.96 11.96 11.96 11.96 - -
106 14.07 - - 14.07 12.36 12.36 12.36 12.36 12.36 12.36 12.36 - -
107 13.66 - - 13.66 11.96 11.96 11.96 11.96 11.96 11.96 11.96 - -
108 13.70 - - 13.70 11.95 11.95 11.95 11.95 11.95 11.95 11.95 - -
109 15.22 - - 15.22 13.23 13.23 13.23 13.23 13.23 13.23 13.23 - -
110 13.79 - - 13.79 11.95 11.95 11.95 11.95 11.95 11.95 11.95 - -
111 14.30 - - 14.30 12.34 12.34 12.34 12.34 12.34 12.34 12.34 - -
112 13.89 - - 13.89 11.94 11.94 11.94 11.94 11.94 11.94 11.94 - -
113 14.40 - - 14.40 12.33 12.33 12.33 12.33 12.33 12.33 12.33 - -
114 13.99 - - 13.99 11.93 11.93 11.93 11.93 11.93 11.93 11.93 - -
115 14.04 - - 14.04 11.93 11.93 11.93 11.93 11.93 11.93 - - -
116 14.57 - - 14.57 12.32 12.32 12.32 12.32 12.32 12.32 - - -
117 14.15 - - 14.15 11.92 11.92 11.92 11.92 11.92 11.92 - - -
118 14.69 - - 14.69 12.32 12.32 12.32 12.32 12.32 12.32 - - -
119 14.27 - - 14.27 11.92 11.92 11.92 11.92 11.92 11.92 - - -
120 14.33 - - 14.33 11.91 11.91 11.91 11.91 11.91 11.91 - - -
121 15.94 - - 15.94 13.19 13.19 13.19 13.19 13.19 13.19 - - -
122 14.46 - - 14.46 11.91 11.91 11.91 11.91 11.91 11.91 - - -
(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
--------------------------------------------------------------------------------
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
------------------------------------------------------------------------------------------------------------------------------------
A-1 A-2 A-3 A-4 M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3
PERIOD CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP%
------ ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/
360 360 360 360 360 360 360 360 360 360 360 360 360
123 15.01 - - 15.01 12.30 12.30 12.30 12.30 12.30 12.30 - - -
124 14.60 - - 14.60 11.90 11.90 11.90 11.90 11.90 - - - -
125 15.16 - - 15.16 12.29 12.29 12.29 12.29 12.29 - - - -
126 14.74 - - 14.74 11.89 11.89 11.89 11.89 11.89 - - - -
127 14.82 - - 14.82 11.89 11.89 11.89 11.89 11.89 - - - -
128 15.39 - - 15.39 12.28 12.28 12.28 12.28 12.28 - - - -
129 14.97 - - 14.97 11.88 11.88 11.88 11.88 11.88 - - - -
130 15.56 - - 15.56 12.28 12.28 12.28 12.28 12.28 - - - -
131 15.14 - - 15.14 11.88 11.88 11.88 11.88 - - - - -
132 15.23 - - 15.23 11.88 11.88 11.88 11.88 - - - - -
133 16.37 - - 16.37 12.69 12.69 12.69 12.69 - - - - -
134 15.41 - - 15.41 11.87 11.87 11.87 11.87 - - - - -
135 16.02 - - 16.02 12.26 12.26 12.26 12.26 - - - - -
136 15.60 - - 15.60 11.86 11.86 11.86 11.86 - - - - -
137 16.22 - - 16.22 12.25 12.25 12.25 12.25 - - - - -
138 15.80 - - 15.80 11.86 11.86 11.86 11.86 - - - - -
139 15.91 - - 15.91 11.85 11.85 11.85 - - - - - -
140 16.55 - - 16.55 12.24 12.24 12.24 - - - - - -
141 16.13 - - 16.13 11.85 11.85 11.85 - - - - - -
142 16.79 - - 16.79 12.24 12.24 12.24 - - - - - -
143 16.37 - - 16.37 11.84 11.84 11.84 - - - - - -
144 16.49 - - 16.49 11.84 11.84 11.84 - - - - - -
145 18.40 - - 18.40 13.10 13.10 - - - - - - -
146 16.75 - - 16.75 11.83 11.83 - - - - - - -
147 17.44 - - 17.44 12.22 12.22 - - - - - - -
148 17.02 - - 17.02 11.82 11.82 - - - - - - -
149 17.73 - - 17.73 12.22 12.22 - - - - - - -
150 17.30 - - 17.30 11.82 11.82 - - - - - - -
151 17.45 - - 17.45 11.81 11.81 - - - - - - -
152 18.19 - - 18.19 12.21 12.21 - - - - - - -
153 17.77 - - 17.77 11.81 - - - - - - - -
154 18.53 - - 18.53 12.20 - - - - - - - -
155 18.10 - - 18.10 11.80 - - - - - - - -
156 18.27 - - 18.27 11.80 - - - - - - - -
157 20.42 - - 20.42 13.06 - - - - - - - -
158 18.63 - - 18.63 11.79 - - - - - - - -
159 19.45 - - 19.45 12.18 - - - - - - - -
160 19.01 - - 19.01 11.79 - - - - - - - -
161 19.85 - - 19.85 12.18 - - - - - - - -
162 19.53 - - 19.53 - - - - - - - - -
163 19.89 - - 19.89 - - - - - - - - -
(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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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
------------------------------------------------------------------------------------------------------------------------------------
A-1 A-2 A-3 A-4 M-1 M-2 M-3 M-4 M-5 M-6 B-1 B-2 B-3
PERIOD CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP% CAP%
------ ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/ ACTUAL/
360 360 360 360 360 360 360 360 360 360 360 360 360
164 20.96 - - 20.96 - - - - - - - - -
165 20.70 - - 20.70 - - - - - - - - -
166 21.86 - - 21.86 - - - - - - - - -
167 21.64 - - 21.64 - - - - - - - - -
168 22.16 - - 22.16 - - - - - - - - -
169 25.17 - - 25.17 - - - - - - - - -
170 23.35 - - 23.35 - - - - - - - - -
171 24.82 - - 24.82 - - - - - - - - -
172 24.75 - - 24.75 - - - - - - - - -
173 26.40 - - 26.40 - - - - - - - - -
174 26.43 - - 26.43 - - - - - - - - -
175 27.40 - - 27.40 - - - - - - - - -
176 29.52 - - 29.52 - - - - - - - - -
177 29.77 - - 29.77 - - - - - - - - -
178 32.99 - - 32.99 - - - - - - - - -
179 37.97 - - 37.97 - - - - - - - - -
180 40.53 - - 40.53 - - - - - - - - -
181 46.55 - - 46.55 - - - - - - - - -
182 47.17 - - 47.17 - - - - - - - - -
183 53.31 - - 53.31 - - - - - - - - -
184 57.10 - - 57.10 - - - - - - - - -
185 66.31 - - 66.31 - - - - - - - - -
186 73.55 - - 73.55 - - - - - - - - -
187 86.60 - - 86.60 - - - - - - - - -
188 109.51 - - 109.51 - - - - - - - - -
189 137.74 - - 137.74 - - - - - - - - -
190 205.95 - - 205.95 - - - - - - - - -
191 369.54 - - 369.54 - - - - - - - - -
192 * - - * - - - - - - - - -
* In period 192, the Class A-1 Certificate has an approximate beginning
balance of $4,777 and is paid approximately $43,255 in interest and the
Class A-4 Certificate has an approximate beginning balance of $8,848 and is
paid approximately $80,125 in interest.
(1) Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
(3) A Prefunding period exists for Periods 1 through 3
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 25
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
INTEREST RATE CAP SCHEDULES
----------------------------------------- ---------------------------------------- -----------------------------------------
CLASS A CERTIFICATES INTEREST CLASS M CERTIFICATES INTEREST CLASS B CERTIFICATES INTEREST
RATE CAP RATE CAP RATE CAP
Notional Strike Ceiling Notional Strike Ceiling Notional Strike Ceiling
Period Balance ($) (%) (%) Period Balance ($) (%) (%) Period Balance ($) (%) (%)
----------------------------------------- ---------------------------------------- -----------------------------------------
1 570,475,000.00 6.65 9.75 1 99,797,000.00 6.15 8.70 1 29,728,000.00 4.70 7.25
2 555,638,792.50 6.65 9.75 2 99,797,000.00 6.15 8.70 2 29,728,000.00 4.70 7.25
3 540,077,219.05 6.65 9.75 3 99,797,000.00 6.15 8.70 3 29,728,000.00 4.70 7.25
4 523,797,601.29 6.65 9.75 4 99,797,000.00 6.15 8.70 4 29,728,000.00 4.70 7.25
5 506,806,922.52 6.65 9.75 5 99,797,000.00 6.15 8.70 5 29,728,000.00 4.70 7.25
6 490,177,811.57 6.65 9.75 6 99,797,000.00 6.15 8.70 6 29,728,000.00 4.70 7.25
7 473,900,719.06 6.65 9.75 7 99,797,000.00 6.15 8.70 7 29,728,000.00 4.70 7.25
8 457,965,875.04 6.65 9.75 8 99,797,000.00 6.15 8.70 8 29,728,000.00 4.70 7.25
9 442,364,512.56 6.65 9.75 9 99,797,000.00 6.15 8.70 9 29,728,000.00 4.70 7.25
10 427,088,430.25 6.65 9.75 10 99,797,000.00 6.15 8.70 10 29,728,000.00 4.70 7.25
11 412,131,754.16 6.65 9.75 11 99,797,000.00 6.15 8.70 11 29,728,000.00 4.70 7.25
12 397,492,308.66 6.65 9.75 12 99,797,000.00 6.15 8.70 12 29,728,000.00 4.70 7.25
13 383,166,220.14 6.65 9.75 13 99,797,000.00 6.15 8.70 13 29,728,000.00 4.70 7.25
14 369,195,577.26 6.65 9.75 14 99,797,000.00 6.15 8.70 14 29,728,000.00 4.70 7.25
15 355,576,795.46 6.65 9.75 15 99,797,000.00 6.15 8.70 15 29,728,000.00 4.70 7.25
16 342,323,375.22 6.65 9.75 16 99,797,000.00 6.15 8.70 16 29,728,000.00 4.70 7.25
17 329,425,779.57 6.65 9.75 17 99,797,000.00 6.15 8.70 17 29,728,000.00 4.70 7.25
18 316,874,480.70 6.65 9.75 18 99,797,000.00 6.15 8.70 18 29,728,000.00 4.70 7.25
19 304,660,173.98 6.65 9.75 19 99,797,000.00 6.15 8.70 19 29,728,000.00 4.70 7.25
20 292,773,801.28 6.65 9.75 20 99,797,000.00 6.15 8.70 20 29,728,000.00 4.70 7.25
21 281,206,561.04 6.65 9.75 21 99,797,000.00 6.15 8.70 21 29,728,000.00 4.70 7.25
22 269,902,991.01 8.80 9.75 22 99,797,000.00 8.15 8.95 22 29,728,000.00 6.70 7.50
23 258,959,172.38 8.80 9.75 23 99,797,000.00 8.15 8.95 23 29,728,000.00 6.70 7.50
24 248,308,454.09 8.80 9.75 24 99,797,000.00 8.15 8.95 24 29,728,000.00 6.70 7.50
25 237,943,295.85 8.80 9.75 25 99,797,000.00 8.15 8.95 25 29,728,000.00 6.70 7.50
26 227,856,046.69 8.80 9.75 26 99,797,000.00 8.15 8.95 26 29,728,000.00 6.70 7.50
27 218,039,260.64 8.80 9.75 27 99,797,000.00 8.15 8.95 27 29,728,000.00 6.70 7.50
28 - - - 28 - - - 28 - - -
----------------------------------------- ---------------------------------------- -----------------------------------------
--------------------------------------------------------------------------------
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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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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: 3,342
AGGREGATE CURRENT PRINCIPAL BALANCE: $584,523,723 $5,404 - $836,454
AVERAGE CURRENT PRINCIPAL BALANCE: $174,902
AGGREGATE ORIGINAL PRINCIPAL BALANCE: $585,565,550 $5,500 - $840,000
AVERAGE ORIGINAL PRINCIPAL BALANCE: $175,214
1ST LIEN: 96.25%
WTD. AVG. MORTGAGE RATE: 7.434% 4.890% - 13.750%
WTD. AVG. ORIGINAL TERM TO MATURITY (MONTHS): 353 60 - 360
WTD. AVG. REMAINING TERM TO MATURITY (MONTHS): 350 56 - 360
WTD. AVG. MARGIN (ARM LOANS ONLY): 6.641% 2.196% - 10.990%
WTD. AVG. MAXIMUM MORTGAGE RATE
(ARM LOANS ONLY): 13.864% 8.250% - 18.990%
WTD. AVG. MINIMUM MORTGAGE RATE
(ARM LOANS ONLY): 7.313% 3.750% - 11.990%
WTD. AVG. COMBINED ORIGINAL LTV: 80.76% 9.80% - 100.00%
WTD. AVG. BORROWER FICO: 629 500 - 817
GEOGRAPHIC DISTRIBUTION (TOP 5): CA 47.87%
FL 13.66%
NY 3.86%
IL 3.10%
MD 2.82%
--------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ January 27, 2005
Securitized Products Group
[▇▇▇▇▇▇ ▇▇▇▇▇▇▇ LOGO]
--------------------------------------------------------------------------------
FOR ADDITIONAL INFORMATION PLEASE CALL:
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
ASSET BACKED FINANCE
--------------------
▇▇▇ ▇▇▇ ▇▇▇-▇▇▇-▇▇▇▇
▇▇▇▇▇▇ ▇▇▇▇ ▇▇▇-▇▇▇-▇▇▇▇
▇▇▇▇ ▇▇▇▇▇▇ ▇▇▇-▇▇▇-▇▇▇▇
ABS SYNDICATE & TRADING
-----------------------
▇▇▇ ▇▇▇▇▇▇ ▇▇▇-▇▇▇-▇▇▇▇
▇▇▇▇ ▇▇▇▇▇ ▇▇▇-▇▇▇-▇▇▇▇
▇▇▇▇▇▇▇ ▇▇▇▇▇▇▇▇ ▇▇▇-▇▇▇-▇▇▇▇
▇▇▇▇ ▇▇▇▇▇▇▇▇▇ ▇▇▇-▇▇▇-▇▇▇▇
RATING AGENCY CONTACTS
STANDARD & POOR'S
-----------------
▇▇▇ ▇▇▇▇▇ ▇▇▇-▇▇▇-▇▇▇▇
▇▇▇▇▇'▇
-------
▇▇▇▇▇▇ ▇▇▇▇▇▇▇▇▇▇▇ ▇▇▇-▇▇▇-▇▇▇▇
FITCH
-----
▇▇▇▇ ▇▇▇▇▇▇▇▇▇▇▇ ▇▇▇-▇▇▇-▇▇▇▇
▇▇▇▇▇▇ ▇▇▇▇▇ ▇▇▇-▇▇▇-▇▇▇▇
--------------------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
IXIS REAL ESTATE CAPITAL TRUST
2005-HE1
ALL RECORDS
TABLE OF CONTENTS
1. Product Types
2. Originator
3. Lien Position
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Original Terms (Months)
7. Range of Remaining Terms (Months)
8. Range of Original Combined LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Loan Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy Type
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Prepayment Penalty Term
21. Range of Credit Scores
1. PRODUCT TYPES
---------------------------------------------------------------------------------------------------------------------------------
% 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 - 5 Year 1 11,878 0.00 12.250 56 95.00 557
---------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 11 249,934 0.04 9.843 116 65.35 611
---------------------------------------------------------------------------------------------------------------------------------
Fixed - 15 Year 43 3,441,572 0.59 7.737 174 75.98 634
---------------------------------------------------------------------------------------------------------------------------------
Fixed - 20 Year 60 3,366,808 0.58 9.343 236 86.19 660
---------------------------------------------------------------------------------------------------------------------------------
Fixed - 25 Year 4 298,345 0.05 8.043 298 80.59 631
---------------------------------------------------------------------------------------------------------------------------------
Fixed - 30 Year 264 38,291,486 6.55 7.530 356 79.96 644
---------------------------------------------------------------------------------------------------------------------------------
Fixed Balloon - 15/30 293 16,158,515 2.76 10.368 177 96.57 666
---------------------------------------------------------------------------------------------------------------------------------
ARM - 6 Month 7 2,028,543 0.35 6.610 357 84.79 634
---------------------------------------------------------------------------------------------------------------------------------
ARM - 1 Year/6 Month 20 4,697,100 0.80 7.103 358 84.13 608
---------------------------------------------------------------------------------------------------------------------------------
ARM - 2 Year/6 Month 1,826 307,352,680 52.58 7.715 357 79.71 602
---------------------------------------------------------------------------------------------------------------------------------
ARM - 3 Year/6 Month 160 27,607,070 4.72 7.303 357 80.13 603
---------------------------------------------------------------------------------------------------------------------------------
ARM - 5 Year/6 Month 20 4,357,173 0.75 6.498 357 76.80 675
---------------------------------------------------------------------------------------------------------------------------------
Interest Only ARM - 5 Year/6 Month 4 871,495 0.15 6.783 355 91.58 690
---------------------------------------------------------------------------------------------------------------------------------
Interest Only ARM - 2 Year/6 Month 540 154,927,940 26.50 6.655 357 81.52 675
---------------------------------------------------------------------------------------------------------------------------------
Interest Only ARM - 3 Year/6 Month 80 18,864,856 3.23 6.758 356 80.30 658
---------------------------------------------------------------------------------------------------------------------------------
Interest Only ARM - 6 Month 1 195,900 0.03 7.490 352 79.96 578
---------------------------------------------------------------------------------------------------------------------------------
Interest Only Fixed - 30 Year 8 1,802,427 0.31 7.053 354 77.10 655
---------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
---------------------------------------------------------------------------------------------------------------------------------
Top
2. ORIGINATOR
-----------------------------------------------------------------------------------------------------------------------------------
% 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 817 168,463,803 28.82 7.116 347 80.82 662
-----------------------------------------------------------------------------------------------------------------------------------
Encore 432 95,899,395 16.41 7.076 354 80.79 615
-----------------------------------------------------------------------------------------------------------------------------------
Fremont 344 61,504,190 10.52 7.366 355 80.18 607
-----------------------------------------------------------------------------------------------------------------------------------
Home Owners 554 59,788,364 10.23 9.013 354 79.67 596
-----------------------------------------------------------------------------------------------------------------------------------
Impac 240 47,152,494 8.07 7.421 354 79.20 612
-----------------------------------------------------------------------------------------------------------------------------------
First Banc 273 45,463,983 7.78 7.249 349 81.90 629
-----------------------------------------------------------------------------------------------------------------------------------
Lenders Direct 286 36,970,101 6.32 7.638 337 83.40 634
-----------------------------------------------------------------------------------------------------------------------------------
Peoples Choice 131 22,364,637 3.83 7.725 353 83.29 623
-----------------------------------------------------------------------------------------------------------------------------------
Aegis 74 10,488,636 1.79 6.635 320 76.59 650
-----------------------------------------------------------------------------------------------------------------------------------
BNC 51 9,941,125 1.70 7.360 350 83.24 620
-----------------------------------------------------------------------------------------------------------------------------------
Platinum Capital 33 8,389,312 1.44 7.336 357 75.35 607
-----------------------------------------------------------------------------------------------------------------------------------
All State 37 7,112,395 1.22 7.965 357 76.28 596
-----------------------------------------------------------------------------------------------------------------------------------
Master Financial 43 6,670,956 1.14 7.627 354 89.05 663
-----------------------------------------------------------------------------------------------------------------------------------
Home Loan 25 4,149,040 0.71 6.847 355 80.17 640
-----------------------------------------------------------------------------------------------------------------------------------
Accredited 1 105,596 0.02 6.350 353 79.98 607
-----------------------------------------------------------------------------------------------------------------------------------
Resmae 1 59,696 0.01 8.100 353 80.00 587
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-----------------------------------------------------------------------------------------------------------------------------------
Top
3. LIEN POSITION
-----------------------------------------------------------------------------------------------------------------------------------
% 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 ($) BALANCE (%) (MONTHS) (%) SCORE
-----------------------------------------------------------------------------------------------------------------------------------
1st Lien 2,925 562,596,783 96.25 7.312 355 80.12 628
-----------------------------------------------------------------------------------------------------------------------------------
2nd Lien 417 21,926,940 3.75 10.555 215 97.30 658
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-----------------------------------------------------------------------------------------------------------------------------------
Top
4. RANGE OF GROSS INTEREST RATES (%)
-----------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
AGGREGATE POOL BY WEIGHTED WEIGHTED
CUT-OFF AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER DATE CUT-OFF GROSS AVERAGE ORIGINAL WEIGHTED
OF PRINCIPAL DATE INTEREST REMAINING COMBINED AVERAGE
MORTGAGE BALANCE PRINCIPAL RATE TERM LTV FICO
RANGE OF GROSS INTEREST RATES (%) LOANS ($) BALANCE (%) (MONTHS) (%) SCORE
-----------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 6 1,675,427 0.29 4.968 355 72.86 647
-----------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.999 229 57,557,716 9.85 5.752 351 77.79 671
-----------------------------------------------------------------------------------------------------------------------------------
6.000 - 6.999 880 219,323,712 37.52 6.590 356 79.12 657
-----------------------------------------------------------------------------------------------------------------------------------
7.000 - 7.999 816 158,529,890 27.12 7.530 355 81.60 612
-----------------------------------------------------------------------------------------------------------------------------------
8.000 - 8.999 519 76,233,442 13.04 8.473 353 82.97 591
-----------------------------------------------------------------------------------------------------------------------------------
9.000 - 9.999 388 39,039,768 6.68 9.555 336 82.85 583
-----------------------------------------------------------------------------------------------------------------------------------
10.000 - 10.999 327 23,699,542 4.05 10.545 305 83.98 586
-----------------------------------------------------------------------------------------------------------------------------------
11.000 - 11.999 133 6,836,380 1.17 11.370 247 89.39 612
-----------------------------------------------------------------------------------------------------------------------------------
12.000 - 12.999 37 1,335,926 0.23 12.307 249 97.48 617
-----------------------------------------------------------------------------------------------------------------------------------
13.000 - 13.999 7 291,919 0.05 13.161 178 94.54 669
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-----------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.890
Maximum: 13.750
Weighted Average: 7.434
Top
5. RANGE OF CUT-OFF DATE PRINCIPAL BALANCES ($)
-----------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
AGGREGATE POOL BY WEIGHTED WEIGHTED
CUT-OFF AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER DATE CUT-OFF GROSS AVERAGE ORIGINAL WEIGHTED
OF PRINCIPAL DATE INTEREST REMAINING COMBINED AVERAGE
MORTGAGE BALANCE PRINCIPAL RATE TERM LTV FICO
RANGE OF CUT-OFF DATE PRINCIPAL BALANCES ($) LOANS ($) BALANCE (%) (MONTHS) (%) SCORE
-----------------------------------------------------------------------------------------------------------------------------------
0.01 - 25,000.00 63 1,197,043 0.20 11.154 180 97.19 643
-----------------------------------------------------------------------------------------------------------------------------------
25,000.01 - 50,000.00 305 12,168,976 2.08 10.307 273 86.13 618
-----------------------------------------------------------------------------------------------------------------------------------
50,000.01 - 75,000.00 401 25,110,182 4.30 9.267 314 83.53 611
-----------------------------------------------------------------------------------------------------------------------------------
75,000.01 - 100,000.00 373 32,732,727 5.60 8.609 335 81.11 610
-----------------------------------------------------------------------------------------------------------------------------------
100,000.01 - 125,000.00 323 36,318,362 6.21 8.017 347 80.80 609
-----------------------------------------------------------------------------------------------------------------------------------
125,000.01 - 150,000.00 289 39,731,750 6.80 7.609 354 81.57 618
-----------------------------------------------------------------------------------------------------------------------------------
150,000.01 - 175,000.00 245 39,559,635 6.77 7.503 353 79.65 619
-----------------------------------------------------------------------------------------------------------------------------------
175,000.01 - 200,000.00 219 41,101,937 7.03 7.380 355 79.37 616
-----------------------------------------------------------------------------------------------------------------------------------
200,000.01 - 225,000.00 197 42,016,327 7.19 7.392 356 80.85 615
-----------------------------------------------------------------------------------------------------------------------------------
225,000.01 - 250,000.00 145 34,334,303 5.87 7.211 356 78.70 635
-----------------------------------------------------------------------------------------------------------------------------------
250,000.01 - 275,000.00 126 33,130,107 5.67 7.114 357 78.33 625
-----------------------------------------------------------------------------------------------------------------------------------
275,000.01 - 300,000.00 119 34,247,393 5.86 6.961 353 81.44 651
-----------------------------------------------------------------------------------------------------------------------------------
300,000.01 - 325,000.00 102 31,882,745 5.45 7.065 355 78.95 629
-----------------------------------------------------------------------------------------------------------------------------------
325,000.01 - 350,000.00 83 27,932,820 4.78 6.846 357 81.98 656
-----------------------------------------------------------------------------------------------------------------------------------
350,000.01 - 375,000.00 69 24,874,645 4.26 6.888 357 82.24 648
-----------------------------------------------------------------------------------------------------------------------------------
375,000.01 - 400,000.00 85 32,996,678 5.65 6.817 357 81.88 646
-----------------------------------------------------------------------------------------------------------------------------------
400,000.01 - 425,000.00 50 20,723,285 3.55 6.757 353 82.37 668
-----------------------------------------------------------------------------------------------------------------------------------
425,000.01 - 450,000.00 43 18,904,702 3.23 6.821 357 81.47 644
-----------------------------------------------------------------------------------------------------------------------------------
450,000.01 - 475,000.00 32 14,814,534 2.53 6.766 357 81.72 633
-----------------------------------------------------------------------------------------------------------------------------------
475,000.01 - 500,000.00 24 11,824,061 2.02 7.024 356 81.06 641
-----------------------------------------------------------------------------------------------------------------------------------
500,000.01 - 525,000.00 9 4,623,237 0.79 7.378 357 75.99 603
-----------------------------------------------------------------------------------------------------------------------------------
525,000.01 - 550,000.00 9 4,822,672 0.83 7.125 358 82.54 665
-----------------------------------------------------------------------------------------------------------------------------------
550,000.01 - 575,000.00 9 5,071,925 0.87 6.879 358 73.84 640
-----------------------------------------------------------------------------------------------------------------------------------
575,000.01 - 600,000.00 6 3,550,049 0.61 7.184 356 77.64 652
-----------------------------------------------------------------------------------------------------------------------------------
600,000.01 >= 16 10,853,626 1.86 6.671 356 78.01 624
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-----------------------------------------------------------------------------------------------------------------------------------
Minimum: 5,404
Maximum: 836,454
Average: 174,902
Top
6. ORIGINAL TERMS (MONTHS)
-----------------------------------------------------------------------------------------------------------------------------------
% 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
-----------------------------------------------------------------------------------------------------------------------------------
60 1 11,878 0.00 12.250 56 95.00 557
-----------------------------------------------------------------------------------------------------------------------------------
120 11 249,934 0.04 9.843 116 65.35 611
-----------------------------------------------------------------------------------------------------------------------------------
180 336 19,600,087 3.35 9.906 177 92.96 660
-----------------------------------------------------------------------------------------------------------------------------------
240 60 3,366,808 0.58 9.343 236 86.19 660
-----------------------------------------------------------------------------------------------------------------------------------
300 5 338,702 0.06 8.336 298 79.93 621
-----------------------------------------------------------------------------------------------------------------------------------
360 2,929 560,956,314 95.97 7.335 357 80.31 628
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-----------------------------------------------------------------------------------------------------------------------------------
Minimum: 60
Maximum: 360
Weighted Average: 353
Top
7. RANGE OF REMAINING TERMS (MONTHS)
--------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING TERMS MORTGAGE BALANCE PRINCIPAL RATE TERM LTV FICO
(MONTHS) LOANS ($) BALANCE (%) (MONTHS) (%) SCORE
--------------------------------------------------------------------------------------------------------------------------------
<= 60 1 11,878 0.00 12.250 56 95.00 557
--------------------------------------------------------------------------------------------------------------------------------
61 - 120 11 249,934 0.04 9.843 116 65.35 611
--------------------------------------------------------------------------------------------------------------------------------
121 - 180 336 19,600,087 3.35 9.906 177 92.96 660
--------------------------------------------------------------------------------------------------------------------------------
181 - 240 60 3,366,808 0.58 9.343 236 86.19 660
--------------------------------------------------------------------------------------------------------------------------------
241 - 300 5 338,702 0.06 8.336 298 79.93 621
--------------------------------------------------------------------------------------------------------------------------------
301 - 360 2,929 560,956,314 95.97 7.335 357 80.31 628
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
--------------------------------------------------------------------------------------------------------------------------------
Minimum: 56
Maximum: 360
Weighted Average: 350
Top
8. RANGE OF ORIGINAL COMBINED LTV RATIOS (%)
----------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
AGGREGATE POOL BY WEIGHTED WEIGHTED
CUT-OFF AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER DATE CUT-OFF GROSS AVERAGE ORIGINAL WEIGHTED
OF PRINCIPAL DATE INTEREST REMAINING COMBINED AVERAGE
RANGE OF ORIGINAL COMBINED LTV RATIOS MORTGAGE BALANCE PRINCIPAL RATE TERM LTV FICO
(%) LOANS ($) BALANCE (%) (MONTHS) (%) SCORE
----------------------------------------------------------------------------------------------------------------------------------
<= 30.00 18 1,841,801 0.32 7.258 357 22.36 627
----------------------------------------------------------------------------------------------------------------------------------
30.01 - 40.00 25 3,008,379 0.51 7.449 349 37.04 606
----------------------------------------------------------------------------------------------------------------------------------
40.01 - 50.00 58 7,500,078 1.28 7.625 343 46.18 571
----------------------------------------------------------------------------------------------------------------------------------
50.01 - 60.00 111 18,582,418 3.18 7.501 356 56.00 585
----------------------------------------------------------------------------------------------------------------------------------
60.01 - 70.00 309 53,184,071 9.10 7.573 353 66.70 591
----------------------------------------------------------------------------------------------------------------------------------
70.01 - 80.00 1,281 264,866,590 45.31 6.996 355 78.88 642
----------------------------------------------------------------------------------------------------------------------------------
80.01 - 90.00 872 166,861,087 28.55 7.552 355 87.25 620
----------------------------------------------------------------------------------------------------------------------------------
90.01 - 100.00 668 68,679,298 11.75 8.697 316 97.10 653
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 9.80
Maximum: 100.00
Weighted Average by Original Balance: 80.76
Weighted Average by Current Balance: 80.76
Top
9. RANGE OF GROSS MARGINS (%)
--------------------------------------------------------------------------------------------------------------------------------
% 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 GROSS MARGINS (%) LOANS ($) BALANCE (%) (MONTHS) (%) SCORE
--------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 684 63,620,965 10.88 8.357 293 84.16 650
--------------------------------------------------------------------------------------------------------------------------------
<= 5.000 91 19,288,043 3.30 6.725 356 81.70 659
--------------------------------------------------------------------------------------------------------------------------------
5.001 - 5.500 181 36,489,604 6.24 7.006 356 79.65 628
--------------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 501 114,536,380 19.59 6.782 357 80.20 630
--------------------------------------------------------------------------------------------------------------------------------
6.001 - 6.500 415 90,714,036 15.52 6.908 357 80.66 652
--------------------------------------------------------------------------------------------------------------------------------
6.501 - 7.000 742 159,904,255 27.36 7.272 357 79.60 626
--------------------------------------------------------------------------------------------------------------------------------
7.001 - 7.500 191 36,746,540 6.29 7.725 357 81.50 622
--------------------------------------------------------------------------------------------------------------------------------
7.501 - 8.000 101 18,061,376 3.09 8.200 358 82.26 600
--------------------------------------------------------------------------------------------------------------------------------
8.001 - 8.500 99 13,903,381 2.38 8.781 357 81.92 592
--------------------------------------------------------------------------------------------------------------------------------
8.501 - 9.000 67 8,919,076 1.53 9.209 358 83.79 582
--------------------------------------------------------------------------------------------------------------------------------
=>9.001 270 22,340,065 3.82 10.114 357 79.28 555
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
--------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 2.196
Non-Fixed Rate Maximum: 10.990
Non-Fixed Rate Weighted Average: 6.641
Top
10. RANGE OF MINIMUM MORTGAGE RATES (%)
-------------------------------------------------------------------------------------------------------------------------------
% 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 MINIMUM MORTGAGE RATES (%) LOANS ($) BALANCE (%) (MONTHS) (%) SCORE
-------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 684 63,620,965 10.88 8.357 293 84.16 650
-------------------------------------------------------------------------------------------------------------------------------
<= 5.000 12 2,551,961 0.44 5.645 355 76.38 665
-------------------------------------------------------------------------------------------------------------------------------
5.001 - 5.500 34 9,797,379 1.68 5.419 357 77.82 673
-------------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 172 43,053,196 7.37 5.871 357 78.61 669
-------------------------------------------------------------------------------------------------------------------------------
6.001 - 6.500 326 84,835,774 14.51 6.337 357 78.69 671
-------------------------------------------------------------------------------------------------------------------------------
6.501 - 7.000 514 124,857,866 21.36 6.814 357 79.70 646
-------------------------------------------------------------------------------------------------------------------------------
7.001 - 7.500 330 72,223,948 12.36 7.322 356 81.98 621
-------------------------------------------------------------------------------------------------------------------------------
7.501 - 8.000 388 69,675,355 11.92 7.817 357 81.53 596
-------------------------------------------------------------------------------------------------------------------------------
8.001 - 8.500 228 38,024,169 6.51 8.269 357 84.84 595
-------------------------------------------------------------------------------------------------------------------------------
8.501 - 9.000 208 29,159,933 4.99 8.774 357 81.24 579
-------------------------------------------------------------------------------------------------------------------------------
9.001 - 9.500 111 15,486,088 2.65 9.287 357 81.72 569
-------------------------------------------------------------------------------------------------------------------------------
9.501 - 10.000 156 16,477,872 2.82 9.791 357 79.02 561
-------------------------------------------------------------------------------------------------------------------------------
10.001 - 10.500 92 7,247,445 1.24 10.297 357 78.25 546
-------------------------------------------------------------------------------------------------------------------------------
10.501 - 11.000 70 5,997,107 1.03 10.749 357 75.42 544
-------------------------------------------------------------------------------------------------------------------------------
11.001 - 11.500 12 951,076 0.16 11.027 357 66.13 527
-------------------------------------------------------------------------------------------------------------------------------
11.501 - 12.000 5 563,589 0.10 11.805 358 65.18 514
-------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 3.750
Non-Fixed Rate Maximum: 11.990
Non-Fixed Rate Weighted Average: 7.313
Top
11. RANGE OF MAXIMUM LOAN RATES (%)
--------------------------------------------------------------------------------------------------------------------------------
% 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 MAXIMUM LOAN RATES (%) LOANS ($) BALANCE (%) (MONTHS) (%) SCORE
--------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 684 63,620,965 10.88 8.357 293 84.16 650
--------------------------------------------------------------------------------------------------------------------------------
<= 13.000 536 134,422,973 23.00 6.297 357 77.90 663
--------------------------------------------------------------------------------------------------------------------------------
13.001 - 13.500 349 83,168,809 14.23 6.709 356 79.72 645
--------------------------------------------------------------------------------------------------------------------------------
13.501 - 14.000 502 109,629,511 18.76 7.095 356 80.94 630
--------------------------------------------------------------------------------------------------------------------------------
14.001 - 14.500 314 61,404,777 10.51 7.607 357 83.22 620
--------------------------------------------------------------------------------------------------------------------------------
14.501 - 15.000 329 54,150,720 9.26 8.106 357 82.00 596
--------------------------------------------------------------------------------------------------------------------------------
15.001 - 15.500 184 30,052,749 5.14 8.644 357 84.12 585
--------------------------------------------------------------------------------------------------------------------------------
15.501 - 16.000 216 25,478,007 4.36 9.282 357 81.25 568
--------------------------------------------------------------------------------------------------------------------------------
16.001 - 16.500 114 10,940,247 1.87 9.739 357 79.05 551
--------------------------------------------------------------------------------------------------------------------------------
16.501 - 17.000 78 7,508,521 1.28 10.327 357 75.97 543
--------------------------------------------------------------------------------------------------------------------------------
17.001 - 17.500 20 2,102,354 0.36 10.607 358 72.91 535
--------------------------------------------------------------------------------------------------------------------------------
17.501 - 18.000 9 1,352,248 0.23 10.825 356 70.78 551
--------------------------------------------------------------------------------------------------------------------------------
18.001 - 18.500 2 128,253 0.02 10.898 359 66.20 508
--------------------------------------------------------------------------------------------------------------------------------
18.501 - 19.000 5 563,589 0.10 11.805 358 65.18 514
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
--------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 8.250
Non-Fixed Rate Maximum: 18.990
Non-Fixed Rate Weighted Average: 13.864
Top
12. INITIAL PERIODIC CAP (%)
-----------------------------------------------------------------------------------------------------------------------------------
% 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 684 63,620,965 10.88 8.357 293 84.16 650
-----------------------------------------------------------------------------------------------------------------------------------
1 24 4,409,664 0.75 7.139 355 80.07 648
-----------------------------------------------------------------------------------------------------------------------------------
1.5 257 70,304,814 12.03 6.802 356 81.17 676
-----------------------------------------------------------------------------------------------------------------------------------
2 216 41,606,965 7.12 7.119 356 82.79 622
-----------------------------------------------------------------------------------------------------------------------------------
3 2,155 403,136,330 68.97 7.437 357 79.95 618
-----------------------------------------------------------------------------------------------------------------------------------
6 6 1,444,985 0.25 6.687 356 80.87 688
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-----------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 1.000
Non-Fixed Rate Maximum: 6.000
Non-Fixed Rate Weighted Average: 2.709
Top
13. SUBSEQUENT PERIODIC CAP (%)
-----------------------------------------------------------------------------------------------------------------------------------
% 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 ($) BALANCE (%) (MONTHS) (%) SCORE
-----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 684 63,620,965 10.88 8.357 293 84.16 650
-----------------------------------------------------------------------------------------------------------------------------------
1 1,713 299,049,208 51.16 7.549 357 80.21 623
-----------------------------------------------------------------------------------------------------------------------------------
1.5 629 147,920,073 25.31 6.976 356 80.71 644
-----------------------------------------------------------------------------------------------------------------------------------
2 315 73,794,083 12.62 7.088 357 80.23 608
-----------------------------------------------------------------------------------------------------------------------------------
3 1 139,394 0.02 8.500 353 46.67 574
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-----------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: 1.000
Non-Fixed Rate Maximum: 3.000
Non-Fixed Rate Weighted Average: 1.284
Top
14. NEXT RATE ADJUSTMENT DATES
-----------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
AGGREGATE POOL BY WEIGHTED WEIGHTED
CUT-OFF AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER DATE CUT-OFF GROSS AVERAGE ORIGINAL WEIGHTED
OF PRINCIPAL DATE INTEREST REMAINING COMBINED AVERAGE
MORTGAGE BALANCE PRINCIPAL RATE TERM LTV FICO
NEXT RATE ADJUSTMENT DATES LOANS ($) BALANCE (%) (MONTHS) (%) SCORE
-----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 684 63,620,965 10.88 8.357 293 84.16 650
-----------------------------------------------------------------------------------------------------------------------------------
Mar-05 1 284,843 0.05 7.125 355 57.20 513
-----------------------------------------------------------------------------------------------------------------------------------
Jun-05 4 841,962 0.14 7.628 357 84.86 635
-----------------------------------------------------------------------------------------------------------------------------------
Jul-05 3 1,097,638 0.19 5.852 357 91.04 654
-----------------------------------------------------------------------------------------------------------------------------------
Oct-05 1 239,386 0.04 8.290 356 75.00 556
-----------------------------------------------------------------------------------------------------------------------------------
Nov-05 4 1,325,562 0.23 7.241 357 86.79 597
-----------------------------------------------------------------------------------------------------------------------------------
Dec-05 6 1,188,163 0.20 7.025 358 87.16 585
-----------------------------------------------------------------------------------------------------------------------------------
Jan-06 9 1,943,990 0.33 6.910 359 81.59 635
-----------------------------------------------------------------------------------------------------------------------------------
May-06 10 2,568,507 0.44 6.222 351 83.86 637
-----------------------------------------------------------------------------------------------------------------------------------
Jun-06 51 10,087,334 1.73 6.823 352 83.60 638
-----------------------------------------------------------------------------------------------------------------------------------
Jul-06 126 24,002,897 4.11 7.435 353 84.12 628
-----------------------------------------------------------------------------------------------------------------------------------
Aug-06 173 34,475,125 5.90 7.151 354 82.08 642
-----------------------------------------------------------------------------------------------------------------------------------
Sep-06 163 34,343,846 5.88 7.224 355 81.67 626
-----------------------------------------------------------------------------------------------------------------------------------
Oct-06 451 83,952,036 14.36 7.528 356 79.52 607
-----------------------------------------------------------------------------------------------------------------------------------
Nov-06 457 80,027,543 13.69 7.619 357 78.93 627
-----------------------------------------------------------------------------------------------------------------------------------
Dec-06 501 95,163,129 16.28 7.521 358 78.67 623
-----------------------------------------------------------------------------------------------------------------------------------
Jan-07 431 96,913,204 16.58 7.032 359 81.28 639
-----------------------------------------------------------------------------------------------------------------------------------
Feb-07 3 747,000 0.13 7.124 360 80.00 703
-----------------------------------------------------------------------------------------------------------------------------------
May-07 2 147,017 0.03 6.907 351 77.20 561
-----------------------------------------------------------------------------------------------------------------------------------
Jun-07 16 3,278,688 0.56 6.913 352 81.85 625
-----------------------------------------------------------------------------------------------------------------------------------
Jul-07 28 5,820,362 1.00 7.162 353 83.48 634
-----------------------------------------------------------------------------------------------------------------------------------
Aug-07 26 4,757,325 0.81 7.076 354 79.79 629
-----------------------------------------------------------------------------------------------------------------------------------
Sep-07 22 4,897,810 0.84 7.302 355 82.81 633
-----------------------------------------------------------------------------------------------------------------------------------
Oct-07 16 3,006,781 0.51 7.455 356 81.95 593
-----------------------------------------------------------------------------------------------------------------------------------
Nov-07 32 4,872,582 0.83 7.158 357 78.33 619
-----------------------------------------------------------------------------------------------------------------------------------
Dec-07 58 10,600,023 1.81 6.929 358 78.86 628
-----------------------------------------------------------------------------------------------------------------------------------
Jan-08 39 8,978,338 1.54 6.976 359 78.26 628
-----------------------------------------------------------------------------------------------------------------------------------
Feb-08 1 113,000 0.02 8.375 360 84.96 501
-----------------------------------------------------------------------------------------------------------------------------------
Jun-09 1 188,800 0.03 5.875 352 80.00 721
-----------------------------------------------------------------------------------------------------------------------------------
Jul-09 1 147,714 0.03 7.500 353 90.00 671
-----------------------------------------------------------------------------------------------------------------------------------
Aug-09 3 560,264 0.10 7.256 354 88.05 658
-----------------------------------------------------------------------------------------------------------------------------------
Sep-09 1 161,680 0.03 6.650 355 85.00 626
-----------------------------------------------------------------------------------------------------------------------------------
Oct-09 9 1,687,067 0.29 6.475 356 76.65 690
-----------------------------------------------------------------------------------------------------------------------------------
Nov-09 2 709,924 0.12 6.173 357 80.00 674
-----------------------------------------------------------------------------------------------------------------------------------
Dec-09 4 1,262,943 0.22 6.280 358 76.96 685
-----------------------------------------------------------------------------------------------------------------------------------
Jan-10 3 510,277 0.09 7.115 359 77.72 640
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-----------------------------------------------------------------------------------------------------------------------------------
Non-Fixed Rate Minimum: March 2005
Non-Fixed Rate Maximum: January 2010
Non-Fixed Rate Weighted Average: November 2006
Top
15. GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
-----------------------------------------------------------------------------------------------------------------------------------
% 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
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES LOANS ($) BALANCE (%) (MONTHS) (%) SCORE
-----------------------------------------------------------------------------------------------------------------------------------
California 1,121 279,814,680 47.87 6.991 349 79.35 644
-----------------------------------------------------------------------------------------------------------------------------------
Florida 593 79,824,621 13.66 7.634 349 82.82 630
-----------------------------------------------------------------------------------------------------------------------------------
New York 95 22,537,638 3.86 7.451 355 78.63 609
-----------------------------------------------------------------------------------------------------------------------------------
Illinois 108 18,141,833 3.10 7.692 354 83.65 604
-----------------------------------------------------------------------------------------------------------------------------------
Maryland 92 16,471,580 2.82 7.759 353 81.15 598
-----------------------------------------------------------------------------------------------------------------------------------
Nevada 80 15,426,103 2.64 7.695 351 81.15 621
-----------------------------------------------------------------------------------------------------------------------------------
Virginia 74 13,341,371 2.28 7.763 356 78.89 601
-----------------------------------------------------------------------------------------------------------------------------------
Michigan 91 9,553,981 1.63 8.404 353 83.98 600
-----------------------------------------------------------------------------------------------------------------------------------
New Jersey 48 9,190,129 1.57 8.052 356 78.95 621
-----------------------------------------------------------------------------------------------------------------------------------
Washington 50 9,111,769 1.56 7.188 346 81.21 628
-----------------------------------------------------------------------------------------------------------------------------------
Georgia 74 8,997,471 1.54 8.468 353 81.91 603
-----------------------------------------------------------------------------------------------------------------------------------
Arizona 73 8,379,816 1.43 7.858 347 83.39 625
-----------------------------------------------------------------------------------------------------------------------------------
Oregon 56 7,983,322 1.37 7.608 349 82.37 627
-----------------------------------------------------------------------------------------------------------------------------------
Colorado 45 7,045,460 1.21 7.288 350 80.98 630
-----------------------------------------------------------------------------------------------------------------------------------
Massachusetts 35 7,007,976 1.20 7.355 338 76.58 609
-----------------------------------------------------------------------------------------------------------------------------------
Other 707 71,695,975 12.27 8.323 348 83.59 609
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-----------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 49
Top
16. OCCUPANCY TYPE
-----------------------------------------------------------------------------------------------------------------------------------
% 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
-----------------------------------------------------------------------------------------------------------------------------------
Primary 3,149 555,679,453 95.07 7.420 350 80.78 628
-----------------------------------------------------------------------------------------------------------------------------------
Non-Owner Occupied 174 26,032,060 4.45 7.680 353 80.07 653
-----------------------------------------------------------------------------------------------------------------------------------
Second Home 19 2,812,209 0.48 7.930 356 82.70 637
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-----------------------------------------------------------------------------------------------------------------------------------
Top
17. PROPERTY TYPE
-----------------------------------------------------------------------------------------------------------------------------------
% 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 ($) BALANCE (%) (MONTHS) (%) SCORE
-----------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 2,650 452,261,110 77.37 7.453 350 80.75 626
-----------------------------------------------------------------------------------------------------------------------------------
Planned Unit Development 296 61,941,984 10.60 7.397 349 80.89 639
-----------------------------------------------------------------------------------------------------------------------------------
Condominium 257 39,966,966 6.84 7.268 348 81.62 655
-----------------------------------------------------------------------------------------------------------------------------------
2-4 Family 138 30,265,952 5.18 7.452 354 79.53 634
-----------------------------------------------------------------------------------------------------------------------------------
Manufactured Housing 1 87,709 0.02 5.490 357 80.00 684
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-----------------------------------------------------------------------------------------------------------------------------------
Top
18. LOAN PURPOSE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
AGGREGATE POOL BY WEIGHTED WEIGHTED
CUT-OFF AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER DATE CUT-OFF GROSS AVERAGE ORIGINAL WEIGHTED
OF PRINCIPAL DATE INTEREST REMAINING COMBINED AVERAGE
MORTGAGE BALANCE PRINCIPAL RATE TERM LTV FICO
LOAN PURPOSE LOANS ($) BALANCE (%) (MONTHS) (%) SCORE
-----------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 1,718 297,490,368 50.89 7.616 352 78.18 601
-----------------------------------------------------------------------------------------------------------------------------------
Purchase 1,425 256,120,713 43.82 7.188 347 83.75 666
-----------------------------------------------------------------------------------------------------------------------------------
Refinance - Rate/Term 199 30,912,642 5.29 7.726 351 80.84 600
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-----------------------------------------------------------------------------------------------------------------------------------
Top
19. DOCUMENTATION LEVEL
-----------------------------------------------------------------------------------------------------------------------------------
% 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
DOCUMENTATION LEVEL LOANS ($) BALANCE (%) (MONTHS) (%) SCORE
-----------------------------------------------------------------------------------------------------------------------------------
Stated Documentation 1,522 299,171,202 51.18 7.424 349 80.93 650
-----------------------------------------------------------------------------------------------------------------------------------
Full Documentation 1,678 260,928,931 44.64 7.444 351 80.59 608
-----------------------------------------------------------------------------------------------------------------------------------
Limited/Alternate Documentation 137 23,450,626 4.01 7.433 350 79.98 596
-----------------------------------------------------------------------------------------------------------------------------------
No Ratio 5 972,962 0.17 8.055 356 91.41 666
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-----------------------------------------------------------------------------------------------------------------------------------
Top
20. PREPAYMENT PENALTY TERM
-----------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
AGGREGATE POOL BY WEIGHTED WEIGHTED
CUT-OFF AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER DATE CUT-OFF GROSS AVERAGE ORIGINAL WEIGHTED
OF PRINCIPAL DATE INTEREST REMAINING COMBINED AVERAGE
MORTGAGE BALANCE PRINCIPAL RATE TERM LTV FICO
PREPAYMENT PENALTY TERM LOANS ($) BALANCE (%) (MONTHS) (%) SCORE
-----------------------------------------------------------------------------------------------------------------------------------
No Prepayment Penalty 417 67,791,441 11.60 7.954 351 81.71 612
-----------------------------------------------------------------------------------------------------------------------------------
6 Months 1 86,874 0.01 10.990 356 100.00 699
-----------------------------------------------------------------------------------------------------------------------------------
12 Months 166 36,770,392 6.29 7.346 348 79.49 629
-----------------------------------------------------------------------------------------------------------------------------------
24 Months 2,228 395,696,509 67.70 7.402 352 80.93 630
-----------------------------------------------------------------------------------------------------------------------------------
36 Months 526 83,053,962 14.21 7.211 341 79.66 639
-----------------------------------------------------------------------------------------------------------------------------------
60 Months 4 1,124,545 0.19 6.574 356 84.29 620
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
-----------------------------------------------------------------------------------------------------------------------------------
Top
21. RANGE OF CREDIT SCORES
-----------------------------------------------------------------------------------------------------------------------------------
% 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 - 525 265 40,847,701 6.99 8.693 356 72.51 513
-----------------------------------------------------------------------------------------------------------------------------------
526 - 550 279 40,396,196 6.91 8.557 355 74.94 538
-----------------------------------------------------------------------------------------------------------------------------------
551 - 575 330 51,408,540 8.79 7.905 355 77.91 563
-----------------------------------------------------------------------------------------------------------------------------------
576 - 600 396 69,083,885 11.82 7.496 353 80.85 589
-----------------------------------------------------------------------------------------------------------------------------------
601 - 625 494 84,833,851 14.51 7.394 351 82.05 613
-----------------------------------------------------------------------------------------------------------------------------------
626 - 650 464 84,156,156 14.40 7.248 349 82.90 638
-----------------------------------------------------------------------------------------------------------------------------------
651 - 675 389 66,590,099 11.39 7.290 343 83.17 662
-----------------------------------------------------------------------------------------------------------------------------------
676 - 700 292 52,159,913 8.92 6.959 340 82.54 687
-----------------------------------------------------------------------------------------------------------------------------------
701 - 725 196 42,099,712 7.20 6.860 349 84.27 714
-----------------------------------------------------------------------------------------------------------------------------------
726 - 750 121 26,655,568 4.56 6.552 350 81.68 738
-----------------------------------------------------------------------------------------------------------------------------------
751 - 775 77 18,529,557 3.17 6.522 354 80.68 763
-----------------------------------------------------------------------------------------------------------------------------------
776 - 800 34 6,941,370 1.19 6.520 343 80.42 785
-----------------------------------------------------------------------------------------------------------------------------------
Above 800 5 821,175 0.14 6.271 354 81.65 808
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TOTAL: 3,342 584,523,723 100.00 7.434 350 80.76 629
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Minimum: 500
Maximum: 817
Weighted Average: 629
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