▇▇▇▇▇▇ BROTHERS
SARM 2005-5
$501,027,000
TERM SHEET
AURORA LOAN SERVICES INC., MASTER SERVICER
JPMORGAN CHASE, TRUSTEE
----------------------------------------------------------------------------------------------------------------------
Payment
WAL Window to Initial Legal Expected
Approximate Initial 10% 10% Call (2) Credit Final Ratings(4)
Class Size ($) Coupon (1) Call (2) (months) Support (3) Maturity S&P/▇▇▇▇▇'▇
----------------------------------------------------------------------------------------------------------------------
A $473,971,000 [1mL + 0.22%] 3.28 1-106 5.75% Apr 2035 [AAA/Aaa]
A-IO1(5) (5) 0.05% N/A 1-106 5.75% Apr 2035 [AAA/Aaa]
A-IO2 (6) (6) 1.55% (6) N/A 1-39 5.75% July 2008 [AAA/Aaa]
M1 $11,023,000 [1mL + 0.45%] 5.70 37-106 3.55% Apr 2035 [AA+/Aa2]
M2 $8,768,000 [1mL + 0.65%] 5.70 37-106 1.80% Apr 2035 [A+/A2]
M3 $7,265,000 [1mL + 0.90%] 4.95 37-106 0.35% Apr 2035 [BBB-/Baa3]
----------------------------------------------------------------------------------------------------------------------
(1) Each Class of Certificates will accrue interest at a rate of 1 Month LIBOR
plus a specified spread subject to the applicable Net Funds Cap. The
spread on the Class M Certificates will increase to 1.5 times the stated
spread for such class on each Distribution Date occurring after the date
on which the 10% Optional Redemption Call may be exercised. One Month
LIBOR for the first accrual period will be determined two business days
prior to the Closing Date.
(2) The weighted average lives and payment window to 10% Call assume: (i)
prepayments occur at 20% CPR for mortgage loans originated by Wells Fargo
and Countrywide and 25% CPR for the rest of the mortgage loans and (ii)
bonds pay on the 25th of each month beginning in May 2005.
(3) Initial Credit Support equals the sum of (i) percentage of bonds (as a
product of the mortgage loan balance) subordinate to such Class and (ii)
the O/C Target. The O/C Target is 0.35%. Initially there will be
approximately $0 of overcollateralization.
(4) Ratings are subject to final rating agency approval.
(5) The Class A-IO1 Certificates will be interest only certificates and will
not be entitled to any distributions of principal. The Class A-IO1
Certificates will accrue interest on a notional balance equal to the
beginning balance for the Class A Certificates for the Distribution Date
at a rate equal to 0.05% per annum, however, to the extent that the Class
A and Class A-IO1 Certificates, in the aggregate, are limited by the AAA
Net Funds Cap, the Class A-IO1 Certificates will share pro rata with the
Class A Certificates, any basis risk shortfall. The Class A-IO1
Certificates will be entitled to such Basis Risk Shortfalls, with interest
thereon at their uncapped rate.
(6) The Class A-IO2 Certificates will be interest only certificates and will
not be entitled to any distributions of principal. The Class A-IO2
Certificates will accrue interest on a notional balance equal to the
beginning balance of the mortgage loans for the Distribution Date. The
Class A-IO2 Certificates will accrue interest at a rate equal to the
lesser of (a) 1.55% per annum and (b) the excess, if any, of (i) the AAA
Net Funds Cap less (ii) the Weighted Average Bond Coupon. After the 39th
Distribution Date, the Class A-IO2 Certificates will no longer be entitled
to distributions of any kind. The Class A-IO2 Certificates will not be
offered hereby.
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
1
▇▇▇▇▇▇ BROTHERS
Terms of the Offering:
Cut-off Date: April 1, 2005
Statistical Cut-Off Date: April 1, 2005
Settlement Date: April 29, 2004
Distribution Date: 25th of each month, commencing in May 2005
Issuer: Structured Adjustable Rate Mortgage Loan Trust ("SARM")
Trustee: JPMorgan Chase
Master Servicer: Aurora Loan Services, Inc. ("ALS")
Certificates: "Senior Certificates": Class A, Class A-IO1 and Class A-IO2 Certificates
"Subordinate Certificates": Class M1, Class M2 and Class M3 Certificates
"Certificates": Senior and Subordinate Certificates
Master Servicer Fee: The Master Servicer will be paid a monthly fee (the "Master Servicing Fee")
equal to the investment earnings derived from principal and interest collections
received on the Mortgage Loans on deposit in the Collection Account,
established by the Master Servicer, and invested in certain eligible investments
prior to their remittance to the Trustee on the Deposit Date.
Day Count: 30/360 for the Class A, Class A-IO1 and Class A-IO2 Certificates; Actual/360
for the Class M1, Class M2 and Class M3 Certificates
Accrual Period: The "Accrual Period" applicable to each class of Certificates, except the Class
A-IO1 and Class A-IO2 Certificates, with respect to each Distribution Date
will be the period beginning on the immediately preceding Distribution Date
(or in the case of the first Distribution Date, the Closing Date for the Class M1,
Class M2 and Class M3 Certificates, or April 25, 2005 in the case of the Class
A Certificates) and ending on the day immediately preceding the related
Distribution Date. The "Accrual Period" for the Class A-IO1 and Class A-IO2
Certificates will be the calendar month preceding the month of the Distribution
Date.
Settlement: The Class A, Class A-IO1 and Class A-IO2 Certificates will settle with accrued
interest. The Class M1, Class M2 and Class M3 Certificates will settle without
accrued interest.
Delay Days: Zero Delay for the Class A, Class M1, Class M2 and Class M3 Certificates; 24
Day Delay for the Class A-IO1 and Class A-IO2 Certificates
Collection Period: The "Collection Period" with respect to any Distribution Date is the one month
period beginning on the second day of the calendar month immediately
preceding the month in which such Distribution Date occurs and ending on the
first day of the month in which such Distribution Date occurs (i.e.: 2nd day of
prior month through 1st day of month of such distribution).
Registration: All the Senior and Subordinate Certificates are book-entry form through DTC.
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
2
▇▇▇▇▇▇ BROTHERS
Terms of the Offering (cont.):
Minimum Denomination: Minimum $25,000; increments $1 in excess thereof for the Class A
Certificates, $100,000 with increments of $1 in excess thereof for the
Subordinate Certificates and $1,000,000 with increments of $1 for the A-IO1
Certificates.
Tax Status: REMIC for Federal income tax purposes.
SMMEA Eligibility: The Senior Certificates and the Class M1 Certificates will be SMMEA eligible.
ERISA Eligibility: The Senior and Subordinate Certificates are expected to be ERISA eligible.
Trigger Event:
o A "Trigger Event" will be in effect with respect to any Distribution
Date if either a Delinquency Event or a Cumulative Loss Trigger
Event is in effect for such Distribution Date.
o The "Delinquency Event" will be in effect with respect to any
Distribution Date if the Rolling Three Month Delinquency Rate as of
the last day of the immediately preceding month equals or exceeds
[45%] of the Senior Enhancement Percentage for such Distribution
Date.
o The "Rolling Three Month Delinquency Rate" with respect to any
Distribution Date will be the average of the Delinquency Rates for
each of the three (or one and two, in the case of the first and
second Distribution Dates) immediately preceding months.
o The "Delinquency Rate" for any month will be, generally, the
fraction, expressed as a percentage, the numerator of which is the
aggregate outstanding principal balance of all Mortgage Loans 60 or
more days delinquent (including all foreclosures, bankruptcies and
REO Properties) as of the close of business on the last day of such
month, and the denominator of which is the Pool Balance as of the
close of business on the last day of such month.
o A "Cumulative Loss Trigger Event" will have occurred with respect to
any Distribution Date if the fraction, expressed as a percentage,
obtained by dividing (x) the aggregate amount of cumulative Realized
Losses incurred on the Mortgage Loans from the Cut-off Date through
the last day of the related Collection Period by (y) the Cut-off
Date Principal Balance, exceeds the applicable percentages described
below with respect to such Distribution Date:
----------------------------------------------------------------
Month Distribution Date Loss Percentage
----------------------------------------------------------------
37-48 May 2008 to April 2009 [1.00%]
----------------------------------------------------------------
49-60 May 2009 to April 2010 [1.25%]
----------------------------------------------------------------
61-72 May 2010 to April 2011 [1.50%]
----------------------------------------------------------------
73+ May 2011 and thereafter [1.70%]
----------------------------------------------------------------
Targeted Percentages:
o The classes should be paid down so that their balances conform to
the following percentages of the ending collateral balance for each
Distribution Date. For the Class A Certificates, the targeted
balance is approximately 88.50% of the ending collateral balance.
For the Class M1 Certificates, the balance of the Class A and Class
M1 Certificates should be approximately 92.90% of the ending
collateral balance. For the Class M2 Certificates, the balance of
the Class A, Class M1 and Class M2 Certificates should be
approximately 96.40% of the ending collateral balance. For the Class
M3 Certificates, the balance of the Class A, Class M1, Class M2 and
Class M3 Certificates should be approximately 99.30% of the ending
collateral balance.
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
3
▇▇▇▇▇▇ BROTHERS
Terms of the Offering (cont):
Net Funds Cap:
o The "AAA Net Funds Cap" with respect to each Distribution Date will
be an annual rate equal to (a) a fraction, expressed as a
percentage, the numerator of which is the product of (1) the
interest remittance amount for such date and (2) 12, and the
denominator of which is the balance of the mortgage loans for the
immediately preceding Distribution Date. The AAA Net Funds Cap will
be applicable for the Class A and Class A-IO1 Certificates.
o The "Subordinate Net Funds Cap" with respect to each Distribution
Date will be an annual rate equal to (a) a fraction, expressed as a
percentage, the numerator of which is the product of (1) the
interest remittance amount for such date and (2) 12, and the
denominator of which is the balance of the mortgage loans for the
immediately preceding Distribution Date, multiplied by (b) a
fraction, the numerator of which is 30 and the denominator of which
is the actual number of days in the Accrual Period related to such
Distribution Date. The Subordinate Net Funds Cap will be applicable
for the Class M1, Class M2 and Class M3 Certificates.
o To the extent that the coupons on the Class A, Class A-IO1, Class
M1, Class M2 and Class M3 Certificates are limited by their
respective Net Funds Cap, that class will have a "Basis Risk
Shortfall" and will be entitled to the amount. If such amounts are
not paid back in the period in which they occur, interest will
accrue on the balance of the Basis Risk Shortfall at the coupon for
such class, calculated without respect to the applicable Net Funds
Cap.
Weighted Average Bond Coupon:
o The "Weighted Average Bond Coupon" with respect to each Distribution
Date will be an annual rate equal to (a) the sum of (i) the product
of the beginning balance of the Class A Certificates and the coupon
on the Class A Certificates, (ii) the product of the beginning
notional balance of the Class A-IO1 Certificates and the coupon on
the Class A-IO1 Certificates, (iii) the product of the beginning
balance of the Class M1 Certificates, the coupon on the Class M1
Certificates and the actual number of days in the Accrual Period
related to such distribution date divided by 30, (iv) the product of
the beginning balance of the Class M2 Certificates, the coupon on
the Class M2 Certificates and the actual number of days in the
Accrual Period related to such distribution date divided by 30 and
(v) the product of the beginning balance of the Class M3
Certificates and the coupon on the Class M3 Certificates and the
actual number of days in the Accrual Period related to such
distribution date divided by 30, divided by (b) the beginning
balance of the mortgage loans for such Distribution Date.
Class A-IO2 Interest:
o The Class A-IO2 Certificates will accrue interest a rate equal to
the lesser of (a) 1.55% per annum and (b) the excess, if any, of (i)
the AAA Net Funds Cap less (ii) the Weighted Average Bond Coupon.
The Class A-IO2 Certificates will be paid pro rata with the Class A
Certificates at the beginning of the waterfall. However, to the
extent that the coupon of the Class A-IO2 Certificates is limited by
the excess, if any, of the Net Funds Cap over the Weighted Average
Bond Coupon, the Class A-IO2 Certificates will not be entitled to
reimbursement for such shortfall.
o The Class A-IO2 Certificates will not forfeit interest payments to
help cover Basis Risk Shortfalls on the Class A, Class A-IO1, Class
M1, Class M2 and Class M3 Certificates.
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
4
▇▇▇▇▇▇ BROTHERS
Terms of the Offering (cont):
Interest Waterfall:
On each Distribution Date, the interest remittance amount for such date will be
distributed as follows:
1) To pay interest, pro rata, to the Class A, Class A-IO1 and Class
A-IO2 Certificates;
2) To pay interest to the Class M1 Certificates;
3) To pay interest to the Class M2 Certificates;
4) To pay interest to the Class M3 Certificates;
5) All remaining amounts of interest will be used as excess interest
for the following:
a. To build and maintain the overcollateralization amount;
b. To pay back Basis Risk Shortfalls;
c. To pay back previous writedown amounts on the Class M1, Class
M2 and Class M3 Certificates;
d. To pay the Class X Certificate.
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
5
▇▇▇▇▇▇ BROTHERS
--------------------------------------------------------------------------------
SARM 2005-5 -Collateral Summary
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
Total Number of Loans 1,434 Occupancy Status
Total Outstanding Loan Balance $501,027,141 Primary Home 85.05%
Average Loan Principal Balance $349,391 Investment 10.14%
Prepayment Penalty 20.59% Second Home 4.81%
Weighted Average Coupon 4.705%
Weighted Average Margin 2.231%
Weighted Average Original Term (mo.) 360 Geographic Distribution
Weighted Average Remaining Term (mo.) 357 (Other states account individually for less than
Weighted Average Loan Age (mo.) 3 3% of the Cut-off Date principal balance.)
Original LTV >80 and no MI (whole pool) 0.21% CA 46.64%
Weighted Average Original LTV 72.41% FL 6.92%
Non-Zero Weighted Average FICO 724 AZ 5.76%
CO 4.56%
NV 3.12%
Lien Position
First 100.00%
--------------------------------------------------------------------------------------------------------------------------
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
6
▇▇▇▇▇▇ BROTHERS
--------------------------------------------------------------------------------
Collateral Characteristics
--------------------------------------------------------------------------------
Collateral characteristics are listed below as of the Cut-Off Date
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Scheduled Principal Balances
--------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------
# of Mortgage % of Pool
($) Loans Principal Balance ($) Principal Balance
---------------------------------------------------------------------------------------------------------
0.01 - 50,000.00 4 $143,126.85 0.03%
50,000.01 - 100,000.00 66 5,405,812.97 1.08
100,000.01 - 150,000.00 183 23,426,775.05 4.68
150,000.01 - 200,000.00 194 34,217,880.08 6.83
200,000.01 - 250,000.00 135 30,356,011.80 6.06
250,000.01 - 300,000.00 159 44,069,429.92 8.80
300,000.01 - 350,000.00 127 41,367,524.65 8.26
350,000.01 - 400,000.00 130 48,794,989.47 9.74
400,000.01 - 450,000.00 89 37,926,856.74 7.57
450,000.01 - 500,000.00 93 44,379,138.72 8.86
500,000.01 - 550,000.00 46 24,376,216.24 4.87
550,000.01 - 600,000.00 46 26,386,098.63 5.27
600,000.01 - 650,000.00 47 30,017,529.74 5.99
650,000.01 - 700,000.00 10 6,808,856.26 1.36
700,000.01 - 750,000.00 13 9,492,115.94 1.89
750,000.01 - 800,000.00 15 11,688,712.99 2.33
800,000.01 - 850,000.00 8 6,630,823.51 1.32
850,000.01 - 900,000.00 11 9,758,250.00 1.95
900,000.01 - 950,000.00 7 6,433,159.02 1.28
950,000.01 - 1,000,000.00 28 27,646,788.02 5.52
1,000,000.01 >= 23 31,701,044.70 6.33
---------------------------------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
---------------------------------------------------------------------------------------------------------
Min.: $10,527
Max: $2,000,000
Avg.: $349,391
---------------------------------------------------------------------------------------------------------
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
7
▇▇▇▇▇▇ BROTHERS
--------------------------------------------------------------------------------
Collateral Characteristics (continued)
--------------------------------------------------------------------------------
Collateral characteristics are listed below as of the Cut-Off Date
--------------------------------------------------------------------------------
------------------------------------------------------------------------------------------
Mortgage Rates
------------------------------------------------------------------------------------------
# of Mortgage % of Pool
(%) Loans Principal Balance ($) Principal Balance
------------------------------------------------------------------------------------------
3.001 - 3.500 10 $4,575,755.12 0.91%
3.501 - 4.000 149 56,538,822.41 11.28
4.001 - 4.500 405 140,500,306.98 28.04
4.501 - 5.000 457 156,121,506.35 31.16
5.001 - 5.500 378 130,049,309.43 25.96
5.501 - 6.000 33 12,728,767.46 2.54
6.001 - 6.500 1 334,580.00 0.07
7.501 - 8.000 1 178,093.55 0.04
------------------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
------------------------------------------------------------------------------------------
Min.: 3.125%
Max: 7.780%
Weighted Avg.: 4.705%
------------------------------------------------------------------------------------------
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
8
▇▇▇▇▇▇ BROTHERS
--------------------------------------------------------------------------------
Collateral Characteristics (continued)
--------------------------------------------------------------------------------
Collateral characteristics are listed below as of the Cut-Off Date
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Original Terms to Stated Maturity
--------------------------------------------------------------------------------
# of Mortgage % of Pool
(Months) Loans Principal Balance ($) Principal Balance
--------------------------------------------------------------------------------
241 - 300 1 $185,716.00 0.04%
301 - 360 1,433 500,841,425.30 99.96
--------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
--------------------------------------------------------------------------------
Min.: 300
Max.: 360
Weighted Avg.: 360
--------------------------------------------------------------------------------
Remaining Terms to Stated Maturity
--------------------------------------------------------------------------------
# of Mortgage % of Pool
(Months) Loans Principal Balance ($) Principal Balance
--------------------------------------------------------------------------------
241 - 300 1 $185,716.00 0.04%
301 - 360 1,433 500,841,425.30 99.96
--------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
--------------------------------------------------------------------------------
Min: 287
Max: 360
Weighted Avg.: 357
--------------------------------------------------------------------------------
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
9
▇▇▇▇▇▇ BROTHERS
--------------------------------------------------------------------------------
Collateral Characteristics (continued)
--------------------------------------------------------------------------------
Collateral characteristics are listed below as of the Cut-Off Date
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Original Loan-to-Value Ratio
--------------------------------------------------------------------------------
# of Mortgage % of Pool
(%) Loans Principal Balance ($) Principal Balance
--------------------------------------------------------------------------------
10.01 - 20.00 2 $208,000.00 0.04%
20.01 - 30.00 7 1,046,873.54 0.21
30.01 - 40.00 24 13,458,185.13 2.69
40.01 - 50.00 39 18,367,521.26 3.67
50.01 - 60.00 75 34,780,585.47 6.94
60.01 - 70.00 235 109,690,430.72 21.89
70.01 - 80.00 967 305,436,515.95 60.96
80.01 - 90.00 55 11,013,711.51 2.20
90.01 - 100.00 30 7,025,317.72 1.40
--------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
--------------------------------------------------------------------------------
Min.: 12.50%
Max: 100.00%
Weighted Avg: 72.41%
--------------------------------------------------------------------------------
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
10
▇▇▇▇▇▇ BROTHERS
--------------------------------------------------------------------------------
Collateral Characteristics (continued)
--------------------------------------------------------------------------------
Collateral characteristics are listed below as of the Cut-Off Date
--------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------
FICO Score
---------------------------------------------------------------------------------------------
# of Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
---------------------------------------------------------------------------------------------
N/A 1 $225,757.33 0.05%
580 - 599 1 145,173.13 0.03
600 - 619 1 217,541.51 0.04
620 - 639 30 10,149,916.83 2.03
640 - 659 44 16,859,030.14 3.36
660 - 679 142 47,534,381.93 9.49
680 - 699 194 66,802,316.87 13.33
700 - 719 263 95,144,782.20 18.99
720 - 739 236 86,255,051.14 17.22
740 - 759 199 69,409,828.72 13.85
760 - 779 160 54,268,816.48 10.83
780 - 799 117 38,971,410.78 7.78
800 - 819 43 14,221,794.61 2.84
820 - 839 3 821,339.63 0.16
---------------------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
---------------------------------------------------------------------------------------------
Min.: 587
Max.: 837
Non-Zero Weighted Avg.: 724
--------------------------------------------------------------------------------------------
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
11
▇▇▇▇▇▇ BROTHERS
--------------------------------------------------------------------------------
Collateral Characteristics (continued)
--------------------------------------------------------------------------------
Collateral characteristics are listed below as of the Cut-Off Date
--------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Loan Purpose
----------------------------------------------------------------------------------------------------
# of Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
----------------------------------------------------------------------------------------------------
Purchase 816 $283,237,234.54 56.53%
Cash Out Refinance 324 130,282,524.65 26.00
Rate/Term Refinance 294 87,507,382.11 17.47
----------------------------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Property Type
----------------------------------------------------------------------------------------------------
# of Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
----------------------------------------------------------------------------------------------------
Single Family 814 $295,865,287.62 59.05%
PUD 369 123,642,182.24 24.68
Condo 196 61,266,597.94 12.23
2-4 Family 55 20,253,073.50 4.04
----------------------------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
----------------------------------------------------------------------------------------------------
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
12
▇▇▇▇▇▇ BROTHERS
--------------------------------------------------------------------------------
Collateral Characteristics (continued)
--------------------------------------------------------------------------------
Collateral characteristics are listed below as of the Cut-Off Date
--------------------------------------------------------------------------------
----------------------------------------------------------------------------------
States - Top 10
----------------------------------------------------------------------------------
# of Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
----------------------------------------------------------------------------------
California 509 $233,658,105.46 46.64%
Florida 112 34,655,619.97 6.92
Arizona 104 28,844,444.99 5.76
Colorado 75 22,853,965.42 4.56
Nevada 49 15,648,460.57 3.12
Virginia 42 13,851,383.88 2.76
Maryland 36 13,026,851.11 2.60
Georgia 61 11,569,180.81 2.31
Massachusetts 26 11,395,784.27 2.27
Illinois 40 11,070,831.95 2.21
Other 380 104,452,512.87 20.85
----------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
----------------------------------------------------------------------------------
----------------------------------------------------------------------------------
Index
----------------------------------------------------------------------------------
# of Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
----------------------------------------------------------------------------------
1 Month Libor 2 $1,172,000.00 0.23%
1 Year CMT 8 1,538,569.93 0.31
1 Year Libor 60 19,113,426.14 3.81
6 Month Libor 1,364 479,203,145.23 95.64
----------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
----------------------------------------------------------------------------------
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
13
▇▇▇▇▇▇ BROTHERS
--------------------------------------------------------------------------------
Collateral Characteristics (continued)
--------------------------------------------------------------------------------
Collateral characteristics are listed below as of the Cut-Off Date
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Original Prepayment Penalty in Years
--------------------------------------------------------------------------------
# of % of Pool
Mortgage Principal Balance ($) Principal Balanc
(Years) Loans
--------------------------------------------------------------------------------
0.000 1,129 $397,861,892.61 79.41%
0.333 11 3,956,543.26 0.79
0.417 1 234,300.00 0.05
0.500 28 11,200,570.38 2.24
0.583 8 3,081,100.00 0.61
0.667 8 3,739,699.67 0.75
1.000 5 3,694,424.23 0.74
2.000 3 3,278,500.00 0.65
2.500 1 175,000.00 0.03
3.000 232 71,694,866.78 14.31
3.500 1 157,748.81 0.03
5.000 7 1,952,495.56 0.39
--------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Documentation Type
--------------------------------------------------------------------------------
# of % of Pool
Mortgage Principal Balance ($) Principal Balance
Loans
--------------------------------------------------------------------------------
Full 510 $156,316,975.32 31.20%
Limited 384 148,611,168.41 29.66
Reduced 208 80,306,137.92 16.03
No Documentation 95 38,173,031.01 7.62
Stated 95 34,465,999.35 6.88
Alternate 85 22,094,997.01 4.41
No Ratio 57 21,058,832.28 4.20
--------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
--------------------------------------------------------------------------------
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
14
▇▇▇▇▇▇ BROTHERS
--------------------------------------------------------------------------------
Collateral Characteristics (continued)
--------------------------------------------------------------------------------
Collateral characteristics are listed below as of the Cut-Off Date
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Gross Margin
--------------------------------------------------------------------------------
# of % of Pool
Mortgage Principal Balance ($) Principal Balance
(%) Loans
--------------------------------------------------------------------------------
1.001 - 1.500 36 $14,140,132.88 2.82%
1.501 - 2.000 293 112,440,253.72 22.44
2.001 - 2.500 908 311,041,514.48 62.08
2.501 - 3.000 187 58,294,024.91 11.63
3.001 - 3.500 8 3,743,121.76 0.75
3.501 - 4.000 1 1,190,000.00 0.24
4.501 - 5.000 1 178,093.55 0.04
--------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
--------------------------------------------------------------------------------
Min: 1.250%
Max: 5.000%
Weighted Avg: 2.231%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Initial Periodic Rate Cap
--------------------------------------------------------------------------------
# of % of Pool
Mortgage Principal Balance ($) Principal Balance
(%) Loans
--------------------------------------------------------------------------------
NA 444 $149,030,627.23 29.75%
1.000 923 331,391,690.52 66.14
2.000 67 20,604,823.55 4.11
--------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
--------------------------------------------------------------------------------
Min: 1.000%
Max*: 9.000%
Weighted Avg*: 2.983%
*For the loans that do not have initial periodic rate caps, their initial
periodic rate caps were calculated using the following formula: the loan's
maximum rate - the loan's original gross mortgage rate.
--------------------------------------------------------------------------------
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
15
▇▇▇▇▇▇ BROTHERS
--------------------------------------------------------------------------------
Collateral Characteristics (continued)
--------------------------------------------------------------------------------
Collateral characteristics are listed below as of the Cut-Off Date
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Subsequent Periodic Cap
--------------------------------------------------------------------------------
# of % of Pool
Mortgage Principal Balance ($) Principal Balance
(%) Loans
--------------------------------------------------------------------------------
NA 444 $149,030,627.23 29.75%
1.000 924 331,569,784.07 66.18
2.000 66 20,426,730.00 4.08
--------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
--------------------------------------------------------------------------------
Min: 1.000%
Max*: 8.875%
Weighted Avg*: 2.968%
*For the loans that do not have subsequent periodic rate caps, their subsequent
periodic rate caps were calculated using the following formula: the loan's
maximum rate - the loan's current gross mortgage rate.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Maximum Rate
--------------------------------------------------------------------------------
# of % of Pool
Mortgage Principal Balance ($) Principal Balance
(%) Loans
--------------------------------------------------------------------------------
8.501 - 9.000 1 $383,706.58 0.08%
9.001 - 9.500 21 7,700,970.17 1.54
9.501 - 10.000 133 49,935,627.08 9.97
10.001 - 10.500 208 73,368,463.84 14.64
10.501 - 11.000 318 111,335,046.74 22.22
11.001 - 11.500 300 104,919,887.82 20.94
11.501 - 12.000 450 152,783,432.32 30.49
12.501 - 13.000 1 168,017.79 0.03
14.001 - 14.500 1 253,895.41 0.05
14.501 - 15.000 1 178,093.55 0.04
--------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
--------------------------------------------------------------------------------
Min: 8.750%
Max: 14.780%
Weighted Avg: 11.091%
--------------------------------------------------------------------------------
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
16
▇▇▇▇▇▇ BROTHERS
--------------------------------------------------------------------------------
Collateral Characteristics (continued)
--------------------------------------------------------------------------------
Collateral characteristics are listed below as of the Cut-Off Date
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Floor
--------------------------------------------------------------------------------
# of % of Pool
Mortgage Principal Balance ($) Principal Balance
(%) Loans
--------------------------------------------------------------------------------
1.001 - 1.500 36 $14,140,132.88 2.82%
1.501 - 2.000 284 109,690,773.58 21.89
2.001 - 2.500 907 310,007,177.65 61.87
2.501 - 3.000 197 62,077,841.88 12.39
3.001 - 3.500 8 3,743,121.76 0.75
3.501 - 4.000 1 1,190,000.00 0.24
4.501 - 5.000 1 178,093.55 0.04
--------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
--------------------------------------------------------------------------------
Min: 1.250%
Max: 5.000%
Weighted Avg: 2.236%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Next Rate Adjustment
--------------------------------------------------------------------------------
# of % of Pool
Mortgage Principal Balance ($) Principal Balance
Loans
--------------------------------------------------------------------------------
May 2005 52 $24,350,674.47 4.86%
June 2005 230 80,070,796.28 15.98
July 2005 423 143,008,405.12 28.54
August 2005 333 110,574,909.65 22.07
September 2005 265 98,339,504.45 19.63
October 2005 88 30,011,917.85 5.99
November 2005 38 13,786,802.22 2.75
December 2005 1 178,093.55 0.04
January 2006 3 569,841.38 0.11
February 2006 1 136,196.33 0.03
--------------------------------------------------------------------------------
Total: 1,434 $501,027,141.30 100.00%
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
Transaction Contacts
-------------------------------------------------------------------------------
MBS Trading and Structuring ▇▇▇▇▇▇ ▇▇▇▇▇▇ (▇▇▇) ▇▇▇-▇▇▇▇
▇▇▇▇▇ ▇▇▇▇▇▇ (▇▇▇) ▇▇▇-▇▇▇▇
MBS Banking ▇▇▇▇ ▇▇▇▇▇▇▇▇ (▇▇▇) ▇▇▇-▇▇▇▇
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ (212) 526-▇▇▇▇
▇▇▇▇ ▇▇▇▇▇▇▇ (▇▇▇) ▇▇▇-▇▇▇▇
------------------------------------------------------------------------------
Investors are urged to read the final Prospectus Supplement and the related
Prospectus, which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC's web site, ▇▇▇.▇▇▇.▇▇▇. A copy of the
Prospectus Supplement and Prospectus will be provided by ▇▇▇▇▇▇ Brothers Inc.
upon request. Alternatively, if the offering is not registered under the
Securities Act, investors should read the final Offering Memorandum. (The
Prospectus Supplement and Prospectus are referred to collectively, and the
Offering Memorandum is referred to, as the "Offering Document"). The Offering
Document contains important information about the offered securities that is not
contained in these materials. Information contained herein does not purport to
be complete and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same warnings, lack
of assurances and representations and other precautionary matters, as disclosed
in the Offering Document. [[Information regarding the underlying assets has been
provided by the issuer of the securities or an affiliate thereof and has not
been independently verified by ▇▇▇▇▇▇ Brothers Inc. or any affiliate.]] The
analyses contained herein have been prepared on the basis of certain assumptions
(including, in certain cases, assumptions specified by the recipient hereof)
regarding payments, interest rates, losses and other matters, including, but not
limited to, the assumptions described in the Offering Document. ▇▇▇▇▇▇ Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets or the
payments or yield on the securities. This information supersedes any prior
versions hereof.
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