-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, UQ89Q+ROo/EkydWni7o2vQz7WIuqaBcLws/RAQCFbPzjPBpmSyCtwMikT6IGb49T I9SLfxJU8z0HOW0anp+hww== 0000914121-05-001797.txt : 20050921 0000914121-05-001797.hdr.sgml : 20050921 20050921112953 ACCESSION NUMBER: 0000914121-05-001797 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20050920 ITEM INFORMATION: Other Events FILED AS OF DATE: 20050921 DATE AS OF CHANGE: 20050921 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WELLS FARGO ASSET SECURITIES CORP CENTRAL INDEX KEY: 0001011663 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 521972128 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-02209 FILM NUMBER: 051095077 BUSINESS ADDRESS: STREET 1: 7485 NEW HORIZON WAY CITY: FREDERICK STATE: MD ZIP: 21703 BUSINESS PHONE: 3018468881 MAIL ADDRESS: STREET 1: 7485 NEW HORIZON WAY CITY: FREDERIDK STATE: MD ZIP: 21703 FORMER COMPANY: FORMER CONFORMED NAME: NORWEST ASSET SECURITIES CORP DATE OF NAME CHANGE: 19960717 8-K 1 we858107-8k.txt CURRENT REPORT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 8-K CURRENT REPORT Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Date of Report: September 20, 2005 (Date of earliest event reported) Wells Fargo Asset Securities Corporation - -------------------------------------------------------------------------------- (Exact name of registrant as specified in its charter)
Delaware 333-114847 52-1972128 - --------------------------------------------------------------------------------------------------------------------- (State or other jurisdiction of incorporation) (Commission File No.) (IRS Employer Identification No.)
7430 New Technology Way, Frederick, Maryland 21703 - -------------------------------------------------------------------------------- Address of principal executive offices (Zip Code) Registrant's Telephone Number, including area code (301) 846-8881 ---------------------------- 7485 New Horizon Way, Frederick, Maryland 21703 - -------------------------------------------------------------------------------- (Former name or former address, if changed since last report) Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions: [ ] Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) [ ] Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) [ ] Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) [ ] Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) ITEM 8.01. Other Events Attached as an exhibit are the Collateral Term Sheets (as defined in the no-action letter dated February 17, 1995 issued by the Securities and Exchange Commission to the Public Securities Association) and Structural Term Sheets (as defined in the no-action letter dated May 21, 1994 issued by the Securities and Exchange Commission to Kidder, Peabody Acceptance Corporation I, Kidder, Peabody & Co. Incorporated and Kidder Structured Asset Corporation) prepared by Citigroup Global Markets, Inc. which are hereby filed pursuant to such letters. ITEM 9.01 Financial Statements and Exhibits (c) Exhibits Item 601(a) of Regulation S-K Exhibit No. Description - ----------- ----------- (99) Collateral Term Sheets and Structural Term Sheets prepared by Citigroup Global Markets, Inc. in connection with Wells Fargo Home Equity Trust, Asset Backed Certificates, Series 2005-2 Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. WELLS FARGO ASSET SECURITIES CORPORATION September 20, 2005 By: /s/ Bradley A. Davis -------------------------------------- Bradley A. Davis Vice President INDEX TO EXHIBITS ----------------- Paper (P) or Exhibit No. Description Electronic (E) - ----------- ----------- -------------- (99) Collateral Term Sheets and E Structural Term Sheets prepared by Citigroup Global Markets, Inc. in connection with Wells Fargo Home Equity Trust, Asset Backed Certificates, Series 2005-2 EX-99 2 we858107-ex99.txt STRUCT. TERM SHEET, COLL. TERM SHEET EXHIBIT 99 The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information here in is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. Term Sheet Date Prepared: September 20, 2005 ================================================================================ Wells Fargo Home Equity Asset Backed Securities 2005-2 Trust Home Equity Asset-Backed Certificates, Series 2005-2 ================================================================================ Approximate Total Offered Size: $ 136,523,000 Wells Fargo Bank, N.A. Originator and Servicer Wells Fargo Asset Securities Corporation Depositor
Ratings Tranche Amount(1) Int. Type / Class Coupons (S&P/Moody's/Fitch) WAL (Call/Mat)(3) - ------- --------- ----------------- ------- ------------------- ----------------- OFFERED CERTIFICATES -------------------- Class M-1 $ 23,508,000 Floating / Mezz (2) AA+/Aa1/AA+ 4.70 / 5.17 Class M-2 $ 16,274,000 Floating / Mezz (2) AA+/Aa2/AA+ 4.62 / 5.08 Class M-3 $ 15,822,000 Floating / Mezz (2) AA/Aa3/AA 4.58 / 5.03 Class M-4 $ 15,370,000 Floating / Mezz (2) AA/A1/AA 4.54 / 4.97 Class M-5 $ 9,493,000 Floating / Mezz (2) A-/A2/AA- 4.51 / 4.93 Class M-6 $ 14,014,000 Floating / Mezz (2) A+/A3/A+ 4.49 / 4.89 Class M-7 $ 9,946,000 Floating / Mezz (2) A/ Baa1/A 4.46 / 4.83 Class M-8 $ 7,685,000 Floating / Mezz (2) A-/Baa2/A- 4.46 / 4.79 Class M-9 $ 9,041,000 Floating / Mezz (2) BBB+/Baa3/BBB+ 4.44 / 4.73 Class M-10 $ 9,041,000 Floating / Mezz (2) BBB/NR/BBB 4.43 / 4.66 Class M-11 $ 6,329,000 Floating / Mezz (2) BBB-/NR/BBB- 4.43 / 4.57 NON-OFFERED CERTIFICATES Class AI-1A $311,298,000 Floating / Senior (2) AAA/Aaa/AAA [ ] Class AI-1B $ 77,824,000 Floating / Senior (2) AAA/Aaa/AAA [ ] Class AII-1 $351,356,000 Floating / Senior (2) AAA/Aaa/AAA [ ] Class M-12 $ 9,042,000 Floating / Mezz (2) BB+/NR/BB+ [ ] Class M-13 $ 7,685,000 Floating / Mezz (2) BB/NR/BB [ ]
(1) Certificate sizes are subject to change (+/- 10%) (2) The Class A Certificates will bear interest at variable rates, and their respective margins will increase by 2x following the Optional Termination Date; the Class M Certificates will bear interest at variable rates and their respective margins will increase by 1.5x following the Optional Termination Date (3) Based on Pricing Prepayment Assumption
Transaction Overview: - --------------------- Sole Manager: Citigroup Global Markets, Inc Expected Pricing Date: September 22, 2005 Rating Agencies: S&P / Moody's / Fitch Expected Settlement Date: September 29, 2005 Trustee: HSBC Bank USA, National Association
*All numbers are preliminary and subject to change. 0 [CITIGROUP LOGO OMITTED] The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information here in is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217.
For Further Information: - ------------------------ Mortgage Finance MBS Trading MBS Structuring Phil Seares (212) 723-1145 Matthew Cherwin (212) 723-6217 Shekhar Shah (212) 723-5386 Agnes Teng (212) 723-6799 Eliot Rubenzhal (212) 723-6289 Neil Aggarwal (212) 723-6420 Scott Schundler (212) 723-9568 Kathryn Ebner (212) 723-6879 Moodys Investor Service Standard and Poor's Fitch Ratings Gregory Bessermann (212) 553-0323 Natalia Skuthan (212) 438-8012 Peter Dizdar (212) 908-0207
1 [CITIGROUP LOGO OMITTED]
TRANSACTION SUMMARY - ------------------- Title of Securities: Wells Fargo Home Equity Asset Backed Securities 2005-2 Trust, Home Equity Asset Backed Certificates, Series 2005-2. Offered Certificates: $ 136,523,000 mezzanine floating-rate Certificates (the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Ceritificates). Non-Offered Certificates: Class AI-1A, Class AI-1B, Class AII-1, Class M-12, Class M-13, Class CE, Class P and Class R Certificates. Class A Certificates: Class AI-1A, Class AI-1B and Class AII-1 Certificates. Class M Certificates: Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10, Class M-11, Class M-12 and Class M-13 Certificates. Originator and Servicer: Wells Fargo Bank, N.A. Depositor: Wells Fargo Asset Securities Corporation Surveillance Provider: The Murrayhill Company, will monitor and advise the Servicer with respect to prepayment penalty collection, mortgage insurance claims and default management of the mortgage loans. Trustee: HSBC Bank USA, National Association Securities Administrator: Wells Fargo Bank, N.A. Custodian: Wells Fargo Bank, N.A. Closing Date: On or about September 29, 2005 Distribution Dates: 25th of each month, or if such day is not a business day, the next succeeding business day, commencing October 25, 2005 Cut-off Date: September 1, 2005 Optional Termination The date on which the aggregate principal balance of the Mortgage Loans after giving Date: effect to distributions to be made on that Distribution Date falls below 10% of the aggregate principal balance as of the Cut-off Date. Payment Delay: The Offered Certificates have a 0 day delay Day Count: The Offered Certificates are Actual/360 Servicing Fee Rate: 0.500% per annum. Surveillance Fee Rate: 0.015% per annum. Administrative Fee Rate: Servicing Fee Rate and Surveillance Fee Rate. Denomination: $100,000 and multiples of $1 in excess thereof. SMMEA Eligibility: The Class M-1, Class M-2, Class M-3, Class M-4 and Class M-5 Certificates will be SMMEA eligible. The remaining Offered Certificates will not be SMMEA eligible. ERISA Eligibility: All Offered Certificates may be ERISA eligible. Tax Status: The Offered Certificates will be treated as REMIC regular interests for federal income tax purposes.
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 2
STRUCTURE SUMMARY - ----------------- Structure: Senior/Subordinate/Overcollateralization Structure Prepayment Assumption: Fixed-Rate Mortgage Loans: 4% CPR in month 1, an additional 1/11th of 19% for each month thereafter, building to 23% CPR in month 12 and remains at 23% thereafter. Adjustable-Rate Mortgage Loans: 5% CPR in month 1, an additional 1/11th of 22% CPR for each month thereafter, building to 27% CPR in month 12 and remaining constant at 27% CPR until month 23, remaining constant at 60% CPR from month 24 until month 27, and remaining constant at 30% CPR from month 28 and thereafter; provided, however, the prepayment rate will not exceed 85% CPR per annum in any period for any percentage of Prepayment Assumption Mortgage Pool: As of the Cut-off Date, the Mortgage Pool consists of 5,411 fixed-rate and adjustable-rate, closed end mortgage loans, secured by first lien mortgages on primarily one- to four-family properties with an approximate outstanding principal balance of $ 904,125,588 as of the Cut-off Date. Generally loans with a loan-to-value ratio at origination in excess of 80% are covered by mortgage insurance. For the purpose of calculating interest and principal on the Class A Certificates, the Mortgage Loans have been divided into two loan groups, designated as follows: Group I Mortgage Loans: 3,523 adjustable-rate and fixed-rate Mortgage Loans with an aggregate scheduled principal balance as of the Cut-off Date of approximately $ 475,118,550 with principal balances at origination that conform to the principal balance limits of Freddie Mac. Group II Mortgage Loans: 1,888 adjustable-rate and fixed-rate Mortgage Loans with an aggregate scheduled principal balance as of the Cut-off Date of approximately $ 429,007,038. Pass-Through Rate: > The monthly Pass-Through Rate for the Offered Certificates on each Distribution Date is the lesser of: o (1) the Formula Rate; and o (2) the related Net WAC Cap for that Distribution Date. > The Formula Rate for the Offered Certificates is as follows: o On or prior to the Optional Termination Date: 1-Month LIBOR plus a margin which will be set at pricing for the Class A and Class M Certificates. o After the Optional Termination Date: 1-Month LIBOR plus 2x the initial margin for the Class A Certificates and 1-Month LIBOR plus 1.5x the initial margin for the Class M Certificates. Principal Payments for Prior to the Stepdown Date, or if a Trigger Event is in effect, each of the Class A Certificates: Class A Certificates will receive the principal collected on the related Mortgage Loans plus any Excess Interest required to maintain the Targeted Overcollateralization Amount until the aggregate certificate principal balance of the Class A Certificates has been reduced to zero. On or after the Stepdown Date, if no Trigger Event is in effect, principal distributed on the Class A Certificates will be an amount such that each group of Class A Certificates will maintain 2x the Class A Initial Credit Enhancement Percentage as set forth in the Credit Enhancement Percentage table included herein. Principal distributions on the Group I Certificates will be allocated pro rata, with the exception that on any Distribution Date on which a Sequential Trigger Event is in effect, principal distributions will be allocated sequentially, to the Class AI-1A and Class AI-1B Certificates, in that order, until the certificate principal balances thereof have been reduced to zero. Principal distributions on the Group II Certificates will be allocated to the Class AII-1, until the certificate principal balance thereof has been reduced to zero.
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 3
STRUCTURE SUMMARY (Continued) - ----------------------------- Sequential Trigger Event: A Sequential Trigger Event has occurred if (a) with respect to any Distribution Date, the Class M Certificates are no longer outstanding, (b) with respect to any Distribution Date on or prior to the Distribution Date in October 2007, the aggregate amount of realized losses incurred since the Cut- off Date through the last day of the related due period (reduced by the aggregate amount of recoveries received since the Cut-off Date through the last day of the related due period) divided by the aggregate principal balance of the mortgage loans on the Cut-off Date exceeds 0.95% or (c) with respect to any Distribution Date on or after the Distribution Date in October 2007, a Trigger Event is in effect. Principal Payments for The Class M Certificates will NOT receive any principal payments prior to the Class M Certificates: Stepdown Date unless the aggregate certificate principal balance of the Class A Certificates is reduced to zero. After the Stepdown Date (assuming no Trigger Event is in effect), principal will be shared among the Class M Certificates to maintain, in each case, approximately 2x their respective initial credit enhancement. Principal Remittance For any Distribution Date, an amount equal to the aggregate of: Amount: (i) the principal portion of all scheduled monthly payments on the Mortgage Loans actually received or advanced on or prior to the related Determination Date; (ii) the principal portion of all proceeds received in respect of the repurchase of a Mortgage Loan, or, in the case of a substitution, amounts representing a principal adjustment, as required by the pooling and servicing agreement during the related Prepayment Period; and (iii) the principal portion of all other unscheduled collections, including insurance proceeds, liquidation proceeds and all full and partial principal prepayments, received during the related Prepayment Period net of reimbursements, including reimbursements to the trustee, the securities administrator, and the servicer, to the extent applied as recoveries of principal on the Mortgage Loans. Optional Termination: 10% cleanup call based on the Cut-off Date Principal Balance of the Mortgage Loans. The majority holder of the Class CE Certificates shall have the right to exercise the clean-up call. If such call is exercised, the holders of the Offered Certificates are entitled, to the extent of funds available, to: > Outstanding principal balance of the Offered Certificates > Current interest accrued on such balance at the related Pass-Through Rate > Interest previously earned but not paid (if any) > "LIBOR Carryover Amount" (if any) Net WAC Cap: For any Distribution Date and for each loan group and the related Class A Certificates the Net WAC Cap will equal the weighted average Net Mortgage Rates of the related Mortgage Loans. The Net WAC Cap for the Class M certificates will equal a weighted average of the Net WAC Cap for each loan group based on the principal balance of the related Mortgage Loans, subtracting the certificate principal balance of the related senior certificates.The Net WAC Cap is subject to an adjustment based on the actual number of days that have elapsed in the related Interest Accrual Period. Net Mortgage Rate: For each Mortgage Loan the applicable Mortgage Rate less the the Administrative Fee Rate. LIBOR Carryover Amount: On any Distribution Date the sum of (a) If the Pass-Through Rate for the Class A or Class M Certificates, is limited by the applicable Net WAC Cap, the excess of (i) the amount of interest that class would have accrued for such Distribution Date based on its respective Formula Rate, over (ii) the amount of interest the Certificates accrued for such Distribution Date based on the applicable Net WAC Cap, and (b) the unpaid portion of any such excess from prior Distribution Dates plus interest accrued at its Formula Rate thereon.
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 4
STRUCTURE SUMMARY (Continued) - ----------------------------- Interest Carry Forward As of any Distribution Date, and for any class the sum of: Amount: (x) the excess, if any, of the applicable accrued certificate interest for the prior Distribution Date and any applicable Interest Carry Forward Amount for the prior Distribution Date, over the amount in respect of interest actually distributed on that class on such prior Distribution Date; and (y) interest on such excess at the applicable Pass-Through Rate on the basis of the actual number of days elapsed since the prior Distribution Date. Excess Interest: Excess Interest, to the extent it is not used for other required purposes, including to absorb realized losses on the Mortgage Loans, to cover interest shortfalls on the Certificates or to fund any Overcollateralization Deficiency, will be available to make distributions of the LIBOR Carryover Amount to the Certificates in an amount equal to any reductions in the amount of interest distributable to such holders caused by application of the Net WAC Cap to the extent such shortfalls are not covered by the Interest Rate Cap Agreements. Senior Enhancement For any Distribution Date, the percentage obtained by dividing Percentage: (x) the sum of: (i) the aggregate certificate principal balance of the Class M Certificates; and (ii) the overcollateralization amount, in each case before taking into account the distribution of the Principal Distribution Amount on such Distribution Date by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period. Available Funds: For any Distribution Date, the sum, net of amounts reimbursable therefrom to the Servicer, the Securities Administrator or the Trustee, of, among other amounts, the following: (i) the aggregate amount of scheduled monthly payments on the Mortgage Loans due during the related Due Period and received or advanced on or prior to the related Determination Date; (ii) unscheduled payments in respect of the Mortgage Loans (including prepayments (but excluding any prepayment penalties), insurance proceeds (including any payments received under any lender paid mortgage insurance policy), liquidation proceeds, subsequent recoveries and proceeds from repurchases of and substitutions for the Mortgage Loans, occurring during the related Prepayment Period or proceeds from the purchase of the Mortgage Loans due to the Optional Termination of the Trust); (iii) all Servicer Advances with respect to the Mortgage Loans received for such Distribution Date; and (iv) all compensating interest paid by the Servicer in respect of prepayment interest shortfalls for the related period. Principal Distribution On any Distribution Date, the sum of (i) the Principal Remittance Amount minus Amount: any Overcollateralization Release Amount, if any and (ii) the Extra Principal Distribution Amount, if any. Extra Principal As of any Distribution Date, the lesser of (x) the sum of the excess interest Distribution Amount: collections on the Mortgage Loans and the interest on the Overcollateralization Amount for such Distribution Date and (y) on the Overcollateralization Deficiency for such Distribution Date.
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 5
STRUCTURE SUMMARY (Continued) - ----------------------------- Class A Principal Prior to the Stepdown Date, or if a Trigger Event is in effect, each of the Distribution Amount: Class A Certificates will receive the principal collected on the related Mortgage Loans plus any Excess Interest required to maintain the Targeted Overcollateralization Amount until the aggregate certificate principal balance of the Class A Certificates has been reduced to zero. On or after the Stepdown Date, if no Trigger Event is in effect, principal distributed on the Class A Certificates will be an amount such that each group of Class A Certificates will maintain 2x the Class A Initial Credit Enhancement Percentage as set forth in the Credit Enhancement Percentage table included herein. Principal distributions on the Group I Certificates will be allocated pro rata, with the exception that on any Distribution Date on which a Sequential Trigger Event is in effect, principal distributions will be allocated sequentially, to the Class AI-1A and Class AI-1B Certificates, in that order, until the certificate principal balances thereof have been reduced to zero. Principal distributions on the Group II Certificates will be allocated to the Class AII-1, until the certificate principal balance thereof has been reduced to zero. Class M Principal With respect to any Distribution Date (i) prior to the Event is in effect for that Distribution Amount: Stepdown Date or on or after the Stepdown Date if a Trigger Distribution Date, the remaining Principal Distribution Amount for that Distribution Date after distributions of the Class A Principal Distribution Amounts, and any Class M Principal Distribution Amounts paid to a more senior class or (ii) on or after the Stepdown Date if a Trigger Event is not in effect the excess of (x) the sum of (i) the aggregate certificate principal balance of the Class A Certificates, and any more senior class of M Certificates after taking into account the distribution of the Class A Principal Distribution Amounts, and any Class M Principal Distribution Amounts paid to a more senior class and (ii) the certificate principal balance of the related Class M Certificate immediately prior to that Distribution Date over (y) the lesser of (i) the product of 100% minus 2X the respective Class M Certificates initial credit enhancement percentage and the principal balance of the Mortgage Loans as of the last day of the related due period and (ii) the aggregate stated principal balance of the Mortgage Loans, as of the last day of the related Due Period, minus 0.50% of the aggregate principal balance of the Mortgage Loans as of the Cut-Off Date.
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 6
STRUCTURE SUMMARY (Continued) - ----------------------------- Payment Priority: On each Distribution Date, the Securities Administrator will distribute the Interest Distributions aggregate of the Interest Remittance Amo unts (as described in the Prospectus Supplement) in the following order of priority to the extent available: first, to the Surveillance Provider, the Surveillance Provider Fee; second, to the Class A Certificates of each group, accrued certificate interest for each such class from the Interest Remittance Amount for the related group for such Distribution Date; third, to the Class A Certificates of each group, the Interest Carry Forward Amount thereon for each such class from the Interest Remittance Amount for the related group for such Distribution Date; fourth, to the Class A Certificates of each group, unpaid accrued certificate interest for each such class from the remaining Interest Remittance Amount for the unrelated group; fifth, to the Class A Certificates of each group, the unpaid Interest Carryforward Amount thereon for each such class from the remaining Interest Remittance Amount for the unrelated group; sixth, to the Class M-1 Certificates, the accrued certificate interest thereon for such Distribution Date; seventh, to the Class M-2 Certificates, the accrued certificate interest thereon for such Distribution Date; eighth, to the Class M-3 Certificates, the accrued certificate interest thereon for such Distribution Date; ninth, to the Class M-4 Certificates, the accrued certificate interest thereon for such Distribution Date; tenth, to the Class M-5 Certificates, the accrued certificate interest thereon for such Distribution Date; eleventh, to the Class M-6 Certificates, the accrued certificate interest thereon for such Distribution Date; twelfth, to the Class M-7 Certificates, the accrued certificate interest thereon for such Distribution Date; thirteenth, to the Class M-8 Certificates, the accrued certificate interest thereon for such Distribution Date; fourteenth, to the Class M-9 Certificates, the accrued certificate interest thereon for such Distribution Date; fifteenth, to the Class M-10 Certificates, the accrued certificate interest thereon for such Distribution Date; sixteenth, to the Class M-11 Certificates, the accrued certificate interest thereon for such Distribution Date; seventeenth, to the Class M-12 Certificates, the accrued certificate interest thereon for such Distribution Date; eighteenth, to the Class M-13 Certificates, the accrued certificate interest thereon for such Distribution Date; and nineteenth, the amount, if any, of the aggregate of the Interest Remittance Amounts remaining after application with respect to the priorities set forth above which is defined above as the "Excess Interest" for such Distribution Date, will be applied as described below under "Excess Cash Flow Distributions."
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 7
STRUCTURE SUMMARY (Continued) - ----------------------------- Payment Priority: With respect to each Distribution Date (a) before the Stepdown Date or (b) as to Principal Distributions which a Trigger Event is in effect, the Principal Distribution Amount will be allocated among and distributed in reduction of the Principal Balances of the Certificates in the following order of priority: first, to the Class A Certificates, as described under Class A Principal Distribution Amount; second, sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M- 6, Class M-7, Class M-8, Class M-9, Class M-10, Class M-11, Class M-12 and Class M-13 Certificates; third, any remaining Principal Distribution Amount will be distributed as part of the Excess Cash Flow as described below under "Excess Cash Flow Distributions." With respect to each Distribution Date (a) on or after the Stepdown Date and (b) as long as a Trigger Event is not in effect, the Principal Distribution Amount will be allocated among and distributed in reduction of the Principal Balances of the Certificates in the following order of priority: first, to the Class A Certificates, as described under Class A Principal Distribution Amount; second, to the Class M-1 Certificates, up to the Class M Principal Distribution Amount for the Class M-1 Certificates; third, to the Class M-2 Certificates, up to the Class M Principal Distribution Amount for the Class M-2 Certificates; fourth, to the Class M-3 Certificates, up to the Class M Principal Distribution Amount for the Class M-3 Certificates; fifth, to the Class M-4 Certificates, up to the Class M Principal Distribution Amount for the Class M-4 Certificates; sixth, to the Class M-5 Certificates, up to the Class M Principal Distribution Amount for the Class M-5 Certificates; seventh, to the Class M-6 Certificates, up to the Class M Principal Distribution Amount for the Class M-6 Certificates; eighth, to the Class M-7 Certificates, up to the Class M Principal Distribution Amount for the Class M-7 Certificates; ninth, to the Class M-8 Certificates, up to the Class M Principal Distribution Amount for the Class M-8 Certificates; tenth, to the Class M-9 Certificates, up to the Class M Principal Distribution Amount for the Class M-9 Certificates; eleventh, to the Class M-10 Certificates, up to the Class M Principal Distribution Amount for the Class M-10 Certificates; twelfth, to the Class M-11 Certificates, up to the Class M Principal Distribution Amount for the Class M-11 Certificates; thirteenth, to the Class M-12 Certificates, up to the Class M Principal Distribution Amount for the Class M-12 Certificates; fourteenth, to the Class M-13 Certificates, up to the Class M Principal Distribution Amount for the Class M-13 Certificates; and fifteenth, any remaining Principal Distribution Amount will be distributed as part of the Excess Cash Flow as described below under "Excess Cash Flow Distributions."
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 8
STRUCTURE SUMMARY (Continued) - ----------------------------- Payment Priority: On any Distribution Date, the sum of the Excess Interest remaining after the Excess Cash Flow application of such amounts to cover certain interest shortfalls, the Distributions Overcollateralization Release Amount and any portion of the Principal Distribution Amount (without duplication) remaining after principal distributions on the Certificates is the "Excess Cash Flow," which is required to be applied in the following order of priority on such Distribution Date: (i) to the Class A Certificates, pro rata, any remaining accrued certificate interest for such classes for such Distribution Date; (ii) to the Class A Certificates, pro rata, any Interest Carry Forward Amounts for such classes for such Distribution Date; (iii) to the Class M -1 Certificates, any remaining accrued certificate interest for such Distribution Date; (iv) to the Class M-1 Certificates, any Interest Carry Forward Amount for such Class for such Distribution Date; (v) to the Class M-1 Certificates, any related Allocated Realized Loss Amount for such Distribution Date; (vi) to the Class M -2 Certificates, any remaining accrued certificate interest for such Distribution Date; (vii) to the Class M-2 Certificates, any Interest Carry Forward Amount for such Class for such Distribution Date; (viii) to the Class M-2 Certificates, any related Allocated Realized Loss Amount for such Distribution Date; (ix) to the Class M -3 Certificates, any remaining accrued certificate interest for such Distribution Date; (x) to the Class M-3 Certificates, any Interest Carry Forward Amount for such Class for such Distribution Date; (xi) to the Class M-3 Certificates, any related Allocated Realized Loss Amount for such Distribution Date; (xii) to the Class M -4 Certificates, any remaining accrued certificate interest for such Distribution Date; (xiii) to the Class M-4 Certificates, any Interest Carry Forward Amount for such Class for such Distribution Date; (xiv) to the Class M-4 Certificates, any related Allocated Realized Loss Amount for such Distribution Date; (xv) to the Class M-5 Certificates, any remaining accrued certificate interest for such Distribution Date; (xvi) to the Class M-5 Certificates, any Interest Carry Forward Amount for such Class for such Distribution Date; (xvii) to the Class M-5 Certificates, any related Allocated Realized Loss Amount for such Distribution Date; (xviii) to the Class M-6 Certificates, any remaining accrued certificate interest for such Distribution Date; (xix) to the Class M-6 Certificates, any Interest Carry Forward Amount for such Class for such Distribution Date; (xx) to the Class M-6 Certificates, any related Allocated Realized Loss Amount for such
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 9
STRUCTURE SUMMARY (Continued) - ----------------------------- Distribution Date; (xxi) to the Class M-7 Certificates, any remaining accrued certificate interest for such Distribution Date; (xxii) to the Class M-7 Certificates, any Interest Carry Forward Amount for such Class for such Distribution Date; (xxiii) to the Class M-7 Certificates, any related Allocated Realized Loss Amount for such Distribution Date; (xxiv) to the Class M-8 Certificates, any remaining accrued certificate interest for such Distribution Date; (xxv) to the Class M-8 Certificates, any Interest Carry Forward Amount for such Class for such Distribution Date; (xxvi) to the Class M-8 Certificates, any related Allocated Realized Loss Amount for such Distribution Date; (xxvii) to the Class M-9 Certificates, any remaining accrued certificate interest for such Distribution Date; (xxviii) to the Class M-9 Certificates, any Interest Carry Forward Amount for such Class for such Distribution Date; (xxix) to the Class M-9 Certificates, any related Allocated Realized Loss Amount for such Distribution Date; (xxx) to the Class M-10 Certificates, any remaining accrued certificate interest for such Distribution Date; (xxxi) to the Class M-10 Certificates, any Interest Carry Forward Amount for such Class for such Distribution Date; (xxxii) to the Class M-10 Certificates, any related Allocated Realized Loss Amount for such Distribution Date; (xxxiii) to the Class M-11 Certificates, any remaining accrued certificate interest for such Distribution Date; (xxxiv) to the Class M-11 Certificates, any Interest Carry Forward Amount for such Class for such Distribution Date; (xxxv) to the Class M-11 Certificates, any related Allocated Realized Loss Amount for such Distribution Date; (xxxvi) to the Class M-12 Certificates, any remaining accrued certificate interest for such Distribution Date; (xxxvii) to the Class M-12 Certificates, any Interest Carry Forward Amount for such Class for such Distribution Date; (xxxviii) to the Class M-12 Certificates, any related Allocated Realized Loss Amount for such Distribution Date; (xxxix) to the Class M-13 Certificates, any remaining accrued certificate interest for such Distribution Date; (xxxx) to the Class M-13 Certificates, any Interest Carry Forward Amount for such Class for such Distribution Date; (xxxxi) to the Class M-13 Certificates, any related Allocated Realized Loss Amount for such Distribution Date; (xxxxii) first, to the Class A Certificates, pro rata, and then sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M- 10, Class M-11, Class M-12 and Class M-13 Certificates, any LIBOR Carryover Amount for
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 10
STRUCTURE SUMMARY (Continued) - ----------------------------- such Class remaining after giving effect to any applicable amo unts received under the interest rate cap agreement; and (xxxxiii) to the Class CE Certificates, in the amounts specified in the pooling and servicing agreement. Allocated Realized Loss An Allocated Realized Loss Amount with respect to any class of Certificates and Amount: any Distribution Date is an amount equal to the sum of any realized losses allocated to that class of Certificates on that Distribution Date and any Allocated Realized Loss Amount for that class remaining unpaid from prior Distribution Dates. Interest Rate Cap On the Closing Date, the Securities Administrator will enter into one or more Agreements: Interest Rate Cap Agreements with one or more interest rate cap providers for the benefit of the Class M Certificates. The Interest Rate Cap Provider will be obligated to make monthly payments to the Securities Administrator (based on a notional amount) when one-month LIBOR exceeds the strike rate for the related period. Such payments will be capped at their maximum amount when one- month LIBOR equals or exceeds the ceiling rate for the related period. The schedules containing the notional amounts, strike and ceiling rates is in the table on page 22.
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 11
CREDIT ENHANCEMENT SUMMARY - -------------------------- Stepdown Date: The earlier to occur of: (i) the Distribution Date on which the aggregate certificate principal balance of the Class A Certificates is zero, and (ii) the later to occur of:(x) the 37th Distribution Date and (y) the first Distribution Date on which the Senior Enhancement Percentage is greater than or equal to twice its initial amount Trigger Event On a Distribution Date, a Trigger Event will be in effect if either: (i) the aggregate amount of Realized Losses incurred since the Cut-off Date through the last day of the related Due Period (reduced by the aggregate amount of recoveries received since the Cut-off Date through the last day of the related Due Period), divided by the aggregate principal balance of the Mortgage Loans as of the Cut-off Date exceeds the applicable percentages set forth below with respect to such Distribution Date. Distribution Date Percentage Percentage ---------------------------- ---------- October 2007 to September 2008 0.95% October 2008 to September 2009 2.10% October 2009 to September 2010 3.25% October 2010 to September 2011 4.20% October 2011 and thereafter 4.70% (ii) If the aggregate principal balance of 60+ Day Delinquent Loans, divided by the aggregate principal balance of the Mortgage Loans expressed as a percentage equals or exceeds 36% of the Senior Enhancement Percentage. 60+ Day Delinquent Any Mortgage Loans (including each Mortgage Loan in foreclosure and in Loan: bankruptcy) with respect to which any portion of the monthly payment is, as of the last day of the prior Due Period, two or more months past due, and REO Properties.
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 12
CREDIT ENHANCEMENT SUMMARY (Continued) - -------------------------------------- Credit Enhancement: Credit Enhancement will be provided by: > Excess Interest > Overcollateralization > Subordination Initial Credit Enhancement* On or After Stepdown Date* --------------------------- -------------------------- Class Percentage** Class Percentage** ----- ------------ ----- ------------ A 18.10% A 36.20% M-1 15.50% M-1 31.00% M-2 13.70% M-2 27.40% M-3 11.95% M-3 23.90% M-4 10.25% M-4 20.50% M-5 9.20% M-5 18.40% M-6 7.65% M-6 15.30% M-7 6.55% M-7 13.10% M-8 5.70% M-8 11.40% M-9 4.70% M-9 9.40% M-10 3.70% M-10 7.40% M-11 3.00% M-11 6.00% M-12 2.00% M-12 4.00% M-13 1.15% M-13 2.30% * Includes Overcollateralization **Approximate Overcollateralization For any Distribution Date the excess, if any, of (a) the sum of the aggregate Amount: principal balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments received or advanced on or before the related Determination Date and principal prepayments received during the related Prepayment Period) over (b) the sum of the aggregate certificate principal balance of the Class A and Class M Certificates, after giving effect to distributions to be made on such Distribution Date. Overcollateralization As of any Distribution Date, the excess, if any, of: Deficiency: (x) the Targeted Overcollateralization Amount for such Distribution Date over (y) the Overcollateralization Amount for such Distribution Date, calculated for this purpose after taking into account the reduction on such Distribution Date of the certificate principal balances of all classes of Certificates from distributions of the Principal Remittance Amount, but prior to taking into account any Allocated Realized Loss Amounts on such Distribution Date. Overcollateralization As of any Distribution Date, on or after the Stepdown Date on which any Trigger Release Amount: Event is not in effect the lesser of (a) the Principal Remittance Amount and (b) the excess, if any, of: (x) the Overcollateralization Amount for such Distribution Date, assuming that 100% of the Principal Remittance Amount is applied as a principal payment on the Certificates on such Distribution Date, over (y) the Targeted Overcollateralization Amount for such Distribution Date. With respect to any Distribution Date on which a Trigger Event is in effect, the Overcollateralization Release Amount will be zero.
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 13
CREDIT ENHANCEMENT SUMMARY(Continued) - ------------------------------------- Targeted As of any Distribution Date, the Targeted Overcollateralization Amount (a) prior Overcollateralization to the Stepdown Date, is an amount equal to approximately 1.15% of the Principal Amount: Balance of the Mortgage Loans as of the Cut-off Date; (b) on or after the Stepdown Date provided a Trigger Event is not in effect, the greater of (i) approximately 2.30% of the then current aggregate outstanding Principal Balance of the Mortgage Loans as of the last day of the related due period and (ii) 0.50% of the principal balance of the Mortgage Loans as of the Cut-off Date; and (c) on or after the Stepdown Date and if a Trigger Event is in effect, the Targeted Overcollateralization Amount for the immediately preceding Distribution Date. Allocation of Losses/ Realized losses on the Mortgage Loans will be applied: Subordination: > First to reduce the Excess Interest and the overcollateralization amount; and > Then to the Class M Certificates, in reverse sequential order, until each such class has been reduced to zero Advances: Subject to certain limitations, the Servicer must advance delinquent payments of principal and interest on the mortgage loans to the extent deemed recoverable. Compensating Interest: The Servicer is obligated to offset any Prepayment Interest Shortfall attributable to prepayments in full, on any Distribution Date, with Compensating Interest to the extent of its Servicing Fee for each Distribution Date.
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 14 Weighted Average Life Sensitivity To Optional Termination
Percentage of Prepayment Assumption 50% 100% 150% 200% Average Life (yrs.) 8.75 4.70 3.55 2.68 M-1 Window (mo) 51 - 159 44 - 78 34 - 46 26 - 34 Last Principal Date December 2018 March 2012 July 2009 July 2008 Average Life (yrs.) 8.75 4.62 3.82 2.82 M-2 Window (mo) 51 - 159 43 - 78 46 - 46 34 - 34 Last Principal Date December 2018 March 2012 July 2009 July 2008 Average Life (yrs.) 8.75 4.58 3.82 2.82 M-3 Window (mo) 51 - 159 42 - 78 46 - 46 34 - 34 Last Principal Date December 2018 March 2012 July 2009 July 2008 Average Life (yrs.) 8.75 4.54 3.82 2.82 M-4 Window (mo) 51 - 159 41 - 78 46 - 46 34 - 34 Last Principal Date December 2018 March 2012 July 2009 July 2008 Average Life (yrs.) 8.75 4.51 3.82 2.82 M-5 Window (mo) 51 - 159 40 - 78 46 - 46 34 - 34 Last Principal Date December 2018 March 2012 July 2009 July 2008 Average Life (yrs.) 8.75 4.49 3.72 2.76 M-6 Window (mo) 51 - 159 39 - 78 43 - 46 32 - 34 Last Principal Date December 2018 March 2012 July 2009 July 2008 Average Life (yrs.) 8.75 4.46 3.58 2.66 M-7 Window (mo) 51 - 159 39 - 78 41 - 46 31 - 34 Last Principal Date December 2018 March 2012 July 2009 July 2008
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 15 Weighted Average Life Sensitivity To Optional Termination (continued)
Percentage of Prepayment Assumption 50% 100% 150% 200% Average Life (yrs.) 8.75 4.46 3.49 2.61 M-8 Window (mo) 51 - 159 39 - 78 40 - 46 30 - 34 Last Principal Date December 2018 March 2012 July 2009 July 2008 Average Life (yrs.) 8.75 4.44 3.41 2.56 M-9 Window (mo) 51 - 159 38 - 78 39 - 46 29 - 34 Last Principal Date December 2018 March 2012 July 2009 July 2008 Average Life (yrs.) 8.75 4.43 3.34 2.51 M-10 Window (mo) 51 - 159 38 - 78 38 - 46 29 - 34 Last Principal Date December 2018 March 2012 July 2009 July 2008 Average Life (yrs.) 8.75 4.43 3.29 2.47 M-11 Window (mo) 51 - 159 38 - 78 37 - 46 28 - 34 Last Principal Date December 2018 March 2012 July 2009 July 2008
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 16 Weighted Average Life Sensitivity To Maturity
Percentage of Prepayment Assumption 50% 100% 150% 200% Average Life (yrs.) 9.56 5.17 6.12 4.49 M-1 Window (mo) 51 - 269 44 - 146 34 - 110 26 - 77 Last Principal Date February 2028 November 2017 November 2014 February 2012 Average Life (yrs.) 9.55 5.08 5.57 3.94 M-2 Window (mo) 51 - 261 43 - 139 60 - 85 43 - 60 Last Principal Date June 2027 April 2017 October 2012 September 2010 Average Life (yrs.) 9.53 5.03 4.84 3.48 M-3 Window (mo) 51 - 255 42 - 135 53 - 82 39 - 58 Last Principal Date December 2026 December 2016 July 2012 July 2010 Average Life (yrs.) 9.50 4.97 4.41 3.21 M-4 Window (mo) 51 - 248 41 - 130 48 - 79 35 - 56 Last Principal Date May 2026 July 2016 April 2012 May 2010 Average Life (yrs.) 9.47 4.93 4.16 3.04 M-5 Window (mo) 51 - 240 40 - 125 46 - 76 34 - 54 Last Principal Date September 2025 February 2016 January 2012 March 2010 Average Life (yrs.) 9.43 4.89 3.97 2.92 M-6 Window (mo) 51 - 234 39 - 122 43 - 74 32 - 53 Last Principal Date March 2025 November 2015 November 2011 February 2010 Average Life (yrs.) 9.38 4.83 3.81 2.82 M-7 Window (mo) 51 - 224 39 - 116 41 - 70 31 - 50 Last Principal Date May 2024 May 2015 July 2011 November 2009
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 17 Weighted Average Life Sensitivity To Maturity (continued)
Percentage of Prepayment Assumption 50% 100% 150% 200% Average Life (yrs.) 9.33 4.79 3.70 2.75 M-8 Window (mo) 51 - 215 39 - 110 40 - 66 30 - 48 Last Principal Date August 2023 November 2014 March 2011 September 2009 Average Life (yrs.) 9.26 4.73 3.60 2.69 M-9 Window (mo) 51 - 207 38 - 106 39 - 63 29 - 46 Last Principal Date December 2022 July 2014 December2010 July 2009 Average Life (yrs.) 9.14 4.66 3.49 2.61 M-10 Window (mo) 51 - 196 38 - 99 38 - 59 29 - 43 Last Principal Date January 2022 December 2013 August 2010 April 2009 Average Life (yrs.) 9.00 4.57 3.38 2.54 M-11 Window (mo) 51 - 181 38 - 91 37 - 54 28 - 40 Last Principal Date October 2020 April 2013 March 2010 January 2009
Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 18 Net WAC Cap and Effective Maximum Rate for the Class M Certificates
Net WAC Cap(1) Max Rate (2) Net WAC Cap(1) Max Rate (2) Period ( % ) ( % ) Period ( % ) ( % ) - ------ ----- ----- ------ ----- ----- 1 N/A N/A 41 6.67 11.16 2 6.23 10.00 42 7.38 12.35 3 6.44 10.00 43 6.67 11.15 4 6.23 10.00 44 6.89 11.52 5 6.23 10.00 45 6.66 11.14 6 6.90 10.00 46 6.89 11.51 7 6.23 10.00 47 6.66 11.16 8 6.44 10.00 48 6.66 11.15 9 6.23 10.00 49 6.88 11.52 10 6.44 10.00 50 6.66 11.14 11 6.23 10.00 51 6.88 11.50 12 6.23 10.00 52 6.66 11.13 13 6.44 10.00 53 6.66 11.15 14 6.23 10.00 54 7.37 12.34 15 6.44 10.00 55 6.66 11.14 16 6.23 10.00 56 6.88 11.51 17 6.23 10.00 57 6.66 11.13 18 6.90 10.00 58 6.88 11.49 19 6.23 10.00 59 6.66 11.12 20 6.44 10.00 60 6.66 11.11 21 6.23 10.00 61 6.88 11.48 22 6.47 10.00 62 6.65 11.10 23 6.66 10.00 63 6.88 11.47 24 6.66 10.00 64 6.65 11.09 25 6.88 10.00 65 6.65 11.09 26 6.65 10.00 66 7.37 12.27 27 6.87 10.00 67 6.65 11.08 28 6.65 10.00 68 6.87 11.44 29 6.65 10.00 69 6.65 11.07 30 7.11 10.13 70 6.87 11.43 31 6.65 10.00 71 6.65 11.06 32 6.87 10.00 72 6.65 11.05 33 6.65 10.00 73 6.87 11.41 34 6.87 10.00 74 6.65 11.04 35 6.67 10.36 75 6.87 11.40 36 6.67 10.36 76 6.65 11.03 37 6.89 10.70 77 6.65 11.02 38 6.67 10.35 78 7.10 11.78 39 6.89 10.69 79 -- 11.01 40 6.67 10.40
Assumptions: - ------------ (1) Assumes 1mLIBOR , 6mLIBOR and 1 year CMT stay at 3.81% , 4.07% and 3.89% respectively and the cashflows are run to the 10% Optional Termination at the pricing speed. (2) Assumes 1mLIBOR and 6mLIBOR and 1 year CMT increase on the first payment date to 20.00% and the cashflows are run to the 10% Optional Termination at the pricing speed. Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 19 Assumed Monthly Excess Interest at Static Indices Excess Excess Excess Interest at Interest at Interest at Static Static Static Period Indices (%) Period Indices (%) Period Indices (%) - ------ ----------- ------ ----------- ------ ----------- 1 2.85 28 2.47 55 2.51 2 2.16 29 2.46 56 2.66 3 2.29 30 2.74 57 2.52 4 2.16 31 2.45 58 2.67 5 2.16 32 2.58 59 2.53 6 2.57 33 2.43 60 2.54 7 2.15 34 2.57 61 2.68 8 2.29 35 2.44 62 2.55 9 2.15 36 2.43 63 2.69 10 2.28 37 2.57 64 2.56 11 2.14 38 2.41 65 2.56 12 2.14 39 2.60 66 2.99 13 2.27 40 2.48 67 2.58 14 2.14 41 2.48 68 2.72 15 2.27 42 2.92 69 2.59 16 2.13 43 2.49 70 2.73 17 2.13 44 2.64 71 2.60 18 2.54 45 2.50 72 2.61 19 2.12 46 2.64 73 2.76 20 2.25 47 2.51 74 2.63 21 2.11 48 2.51 75 2.77 22 2.27 49 2.65 76 2.64 23 2.53 50 2.51 77 2.65 24 2.52 51 2.65 78 2.93 25 2.64 52 2.50 26 2.48 53 2.51 27 2.62 54 2.93 Assumptions: 1. Run at pricing prepayment assumption 2. Excess (30/360) 3. Static Indices: 1mL = 3.81% 6mL = 4.07%, 1 Yr CMT = 3.89% 4. 10% optional clean-up call Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 20 Assumed Monthly Excess Interest at Forward Indices Excess 1 Month 6 Month 1 Year Interest LIBOR LIBOR CMT at Forwards Forwards Forwards Forwards Period (%) (%) (%) (%) - ------ --- --- --- --- 1 3.81000 4.07000 3.89000 2.85 2 3.89220 4.13371 3.94125 2.08 3 3.99092 4.19330 3.99051 2.12 4 4.08648 4.23908 4.01609 1.89 5 4.16624 4.27405 4.01461 1.81 6 4.21752 4.30017 4.01313 2.19 7 4.23498 4.32012 4.01553 1.74 8 4.24353 4.33749 4.02236 1.87 9 4.26078 4.35371 4.02919 1.71 10 4.29261 4.36817 4.03656 1.82 11 4.32019 4.37930 4.04453 1.65 12 4.33507 4.38719 4.05250 1.63 13 4.33735 4.39276 4.05270 1.77 14 4.33908 4.39708 4.04401 1.62 15 4.34595 4.40049 4.03532 1.76 16 4.35819 4.40291 4.02761 1.60 17 4.36665 4.40422 4.02102 1.59 18 4.36789 4.40499 4.01442 2.03 19 4.36279 4.40614 4.01077 1.59 20 4.35915 4.40857 4.01048 1.73 21 4.36021 4.41262 4.01018 1.58 22 4.36591 4.41844 4.01361 1.76 23 4.37123 4.42592 4.02129 2.26 24 4.37465 4.43437 4.02896 2.24 25 4.37708 4.44284 4.03555 2.38 26 4.38306 4.45042 4.04088 2.20 27 4.39447 4.45686 4.04621 2.34 Excess 1 Month 6 Month 1 Year Interest LIBOR LIBOR CMT at Forwards Forwards Forwards Forwards Period (%) (%) (%) (%) ------ --- --- --- --- 28 4.40997 4.46209 4.05003 2.16 29 4.42101 4.46612 4.05210 2.18 30 4.42452 4.46960 4.05418 2.49 31 4.42171 4.47346 4.05437 2.16 32 4.42102 4.47852 4.05239 2.32 33 4.42523 4.48489 4.05042 2.14 34 4.43371 4.49239 4.05064 2.29 35 4.44154 4.50081 4.05338 2.17 36 4.44722 4.50977 4.05613 2.16 37 4.45153 4.51883 4.06312 2.31 38 4.45847 4.52758 4.07497 2.11 39 4.46941 4.53581 4.08682 2.32 40 4.48328 4.54335 4.09999 2.16 41 4.49430 4.55013 4.11466 2.20 42 4.50058 4.55657 4.12933 2.69 43 4.50303 4.56321 4.14428 2.20 44 4.50691 4.57051 4.15954 2.36 45 4.51381 4.57817 4.17480 2.19 46 4.52324 4.58565 4.19174 2.35 47 4.53217 4.59251 4.21063 2.21 48 4.53971 4.59888 4.22951 2.21 49 4.54601 4.60501 4.24694 2.36 50 4.55197 4.61117 4.26271 2.19 51 4.55783 4.61746 4.27848 2.35 52 4.56365 4.62397 4.29454 2.18 53 4.56962 4.63076 4.31092 2.21 54 4.57581 4.63784 4.32731 2.70 Excess 1 Month 6 Month 1 Year Interest LIBOR LIBOR CMT at Forwards Forwards Forwards Forwards Period (%) (%) (%) (%) ------ --- --- --- --- 55 4.58225 4.64520 4.34205 2.20 56 4.58902 4.65282 4.35492 2.36 57 4.59615 4.66065 4.36778 2.20 58 4.60362 4.66866 4.37876 2.36 59 4.61128 4.67678 4.38759 2.23 60 4.61910 4.68498 4.39641 2.23 61 4.62708 4.69325 4.40214 2.39 62 4.63513 4.70155 4.40432 2.22 63 4.64324 4.70987 4.40650 2.38 64 4.65140 4.71820 4.40920 2.22 65 4.65957 4.72653 4.41251 2.25 66 4.66774 4.73485 4.41581 2.75 67 4.67591 4.74317 4.41844 2.25 68 4.68408 4.75149 4.42030 2.42 69 4.69224 4.75980 4.42216 2.25 70 4.70039 4.76811 4.42488 2.42 71 4.70854 4.77641 4.42859 2.29 72 4.71669 4.78470 4.43229 2.29 73 4.72483 4.79298 4.43604 2.45 74 4.73296 4.80124 4.43983 2.29 75 4.74109 4.80949 4.44362 2.45 76 4.74920 4.81772 4.44822 2.29 77 4.75730 4.82592 4.45373 2.33 78 4.76538 4.83410 4.45925 2.66 Assumptions: ------------ 1. Run at pricing prepayment assumption 2. Excess (30/360) 3. 10% optional clean-up call Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 21 Interest Rate Cap Agreement - Class M Certificates Effective Notional Period Schedule ($) Strike (%) Ceiling (%) ------ ------------ ---------- ----------- 1 0.00 0.000 0.000 2 153,250,000.00 5.187 8.954 3 153,250,000.00 5.395 8.954 4 153,250,000.00 5.187 8.954 5 153,250,000.00 5.187 8.954 6 153,250,000.00 5.854 8.954 7 153,250,000.00 5.186 8.954 8 153,250,000.00 5.394 8.954 9 153,250,000.00 5.186 8.954 10 153,250,000.00 5.394 8.954 11 153,250,000.00 5.202 8.954 12 153,250,000.00 5.202 8.954 13 153,250,000.00 5.410 8.954 14 153,250,000.00 5.202 8.954 15 153,250,000.00 5.410 8.954 16 153,250,000.00 5.202 8.954 17 153,250,000.00 5.202 8.954 18 153,250,000.00 5.871 8.954 19 153,250,000.00 5.202 8.954 20 153,250,000.00 5.410 8.954 21 153,250,000.00 5.201 8.954 22 153,250,000.00 5.591 8.954 23 153,250,000.00 7.684 8.954 24 153,250,000.00 7.669 8.954 25 153,250,000.00 7.942 8.954 26 153,250,000.00 7.637 8.954 27 153,250,000.00 7.925 8.954 28 153,250,000.00 7.693 8.954 29 153,250,000.00 8.436 8.954 30 153,250,000.00 9.086 8.954 31 153,250,000.00 8.430 8.954 32 153,250,000.00 8.742 8.954 33 153,250,000.00 8.424 8.954 34 153,250,000.00 8.805 8.954 35 0.00 0.000 0.000 Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 22 BREAKEVEN (PRIOR TO 1ST DOLLAR LOSS) -------------------------------------------------------------------- LIBOR Forwards -------------- BOND CDR BE RATE (%) WAL (yrs) Cum Loss (%) M-1 27.54 7.02 17.91 M-2 23.72 8.13 16.27 M-3 20.33 8.72 14.66 M-4 17.32 9.33 13.09 M-5 15.58 10.56 12.11 M-6 13.16 10.43 10.66 M-7 11.47 11.46 9.57 M-8 10.20 12.30 8.70 M-9 8.76 12.41 7.68 M-10 7.41 12.80 6.66 M-11 6.52 13.89 5.97 M-12 5.34 13.50 5.00 M-13 4.59 14.04 4.37 -------------------------------------------------------------------- Assumptions 1. Trigger Event is always in effect 2. 35% Loss Severity 3. 12 Months Lag 4. CDR's shown are shown before 1st Dollar Loss 5. Pricing Prepayment Assumption 6. Certificates use 1-month LIBOR forward and collateral uses 6-month LIBOR forward and 1 Year CMT forward 7. 100% P&I advance 8. Defaults Outside of prepays 9. The sequential trigger is not in effect Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 23 The Mortgage Loans (Total Collateral) - -------------------------------------------------------------------------------- -------------------------------------------------------------------- Collateral Summary -------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances.
Minimum Maximum ------- ------- Scheduled Principal Balance: $904,125,588.97 Number of Mortgage Loans: 5,411 Average Scheduled Principal Balance: $167,090.30 $10,000.00 $990,000.00 Weighted Average Gross Coupon: 6.956% 3.625% 11.750% Weighted Average Original Credit Score (3): 621 500 814 Weighted Average Original LTV Ratio: 79.86% 6.49% 100.00% Weighted Average Original Combined LTV Ratio (1): 84.81% 6.49% 100.00% Weighted Average Stated Remaining Term (months) 352 175 359 Weighted Average Original Term (months): 355 180 360 Weighted Average Roll Term (months): 22 9 34 Weighted Average Gross Margin(2): 3.417% 1.625% 7.000% Weighted Average Initial Rate Cap(2): 2.992% 2.000% 3.000% Weighted Average Periodic Rate Cap(2): 1.009% 1.000% 2.000% Weighted Average Gross Maximum Lifetime Rate (2): 12.958% 9.625% 17.750% Weighted Average Gross Minimum Lifetime Rate (2): 3.417% 1.625% 7.000% Silent Seconds 26.28% Interest Only 14.15% Weighted Average Effective LTV (4): 75.38%
-------------------------------------------------------------------- (1) Combined LTV = (Original Balance + where applicable: Additional Lien Balance) / (lower of: Sales Price or Appraisal) (2) Includes adjustable-rate Mortgage Loans only. (3) Does not include loans with no credit score available. (4) Reflects effect of MI. Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 24 The Mortgage Loans (Total Collateral) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY PRODUCT TYPE - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Product Type Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 1Y CMT Arm 29 $ 7,634,285.79 0.84% $ 263,251.23 7.087% 75.69% 613 2Y/6M Libor Arm 4,671 778,542,037.82 86.11 166,675.67 6.976 80.90 617 3Y/6M Libor Arm 136 26,140,521.74 2.89 192,209.72 6.385 78.13 640 Fixed Balloon 360/180 76 15,473,025.93 1.71 203,592.45 6.653 76.98 666 Fixed 15 Yr 111 10,557,235.45 1.17 95,110.23 7.296 65.64 636 Fixed 30 Yr 388 65,778,482.24 7.28 169,532.17 6.944 71.61 644 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Current Gross Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Mortgage Rate (%) Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 3.500 - 3.999 2 $ 268,137.76 0.03% $ 134,068.88 3.762% 80.00% 687 4.000 - 4.499 3 642,557.08 0.07 214,185.69 4.356 72.77 689 4.500 - 4.999 58 14,789,942.53 1.64 254,999.01 4.824 73.70 670 5.000 - 5.4 99 122 32,224,088.50 3.56 264,131.87 5.257 75.07 662 5.500 - 5.999 633 149,991,318.16 16.59 236,953.11 5.782 75.40 647 6.000 - 6.499 579 120,226,414.99 13.30 207,644.93 6.256 78.22 639 6.500 - 6.999 1,270 229,248,711.93 25.36 180,510.80 6.745 79.66 624 7.000 - 7.499 599 93,700,629.12 10.36 156,428.43 7.255 80.73 613 7.500 - 7.999 856 122,748,213.77 13.58 143,397.45 7.723 84.01 604 8.000 - 8.499 278 36,679,669.92 4.06 131,941.26 8.260 85.12 589 8.500 - 8.999 508 56,574,297.51 6.26 111,366.73 8.727 85.68 584 9.000 - 9.499 194 21,368,425.04 2.36 110,146.52 9.249 83.71 570 9.500 - 9.999 192 17,155,880.27 1.90 89,353.54 9.708 79.40 555 10.000 - 10.499 48 3,654,100.95 0.40 76,127.10 10.248 75.31 537 10.500 - 10.999 53 4,068,440.93 0.45 76,763.04 10.734 76.83 545 11.000 - 11.499 10 528,095.78 0.06 52,809.58 11.258 83.04 550 11.500 - 11.999 6 256,664.73 0.03 42,777.46 11.545 81.11 586 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 25 - -------------------------------------------------------------------------------- The Mortgage Loans (Total Collateral) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Current Unpaid Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Principal Balance ($) Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 0.01 - 25,000.00 39 $ 823,236.45 0.09% $ 21,108.63 9.342% 66.71% 574 25,000.01 - 50,000.00 345 13,765,420.63 1.52 39,899.77 8.302 74.20 594 50,000.01 - 75,000.00 626 39,783,722.46 4.40 63,552.27 7.936 80.00 603 75,000.01 - 100,000.00 751 66,072,102.61 7.31 87,978.83 7.648 78.74 608 100,000.01 - 125,000.00 642 72,531,605.03 8.02 112,977.58 7.335 80.05 614 125,000.01 - 150,000.00 574 78,804,024.75 8.72 137,289.24 7.395 80.50 615 150,000.01 - 175,000.00 520 84,139,923.96 9.31 161,807.55 6.975 80.43 616 175,000.01 - 200,000.00 407 76,313,673.93 8.44 187,502.88 6.874 80.04 620 200,000.01 - 225,000.00 284 60,447,078.38 6.69 212,841.83 6.914 80.14 616 225,000.01 - 250,000.00 239 56,793,085.14 6.28 237,627.97 6.896 78.92 621 250,000.01 - 275,000.00 203 53,200,120.97 5.88 262,069.56 6.637 79.96 631 275,000.01 - 300,000.00 161 46,212,839.88 5.11 287,036.27 6.616 80.38 630 300,000.01 - 325,000.00 135 42,328,801.12 4.68 313,546.67 6.549 80.11 633 325,000.01 - 359,650.00 121 41,407,233.73 4.58 342,208.54 6.560 79.62 636 359,650.01 - 500,000.00 268 111,527,977.37 12.34 416,149.17 6.519 81.68 626 500,000.01 -1,000,000.00 96 59,974,742.56 6.63 624,736.90 6.261 77.07 635 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE (1) - --------------------------------------------------------------------------------
% of Pool by Original Avg. Orig. Wtd. Avg. Wtd. Avg. Original Number of Original Principal Principal Principal Gross Original Wtd. Avg. Principal Balance ($) Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 0.01 - 25,0 00.00 39 $ 826,199.00 0.09% $ 21,184.59 9.343% 66.69% 574 25,000.01 - 50,000.00 345 13,801,525.00 1.52 40,004.42 8.301 74.18 594 50,000.01 - 75,000.00 623 39,642,931.00 4.38 63,632.31 7.941 79.99 603 75,000.01 - 100,000.00 750 66,040,937.00 7.29 88,054.58 7.650 78.71 608 100,000.01 - 125,000.00 644 72,832,025.00 8.04 113,093.21 7.336 80.08 614 125,000.01 - 150,000.00 558 76,505,603.00 8.45 137,106.82 7.412 81.04 615 150,000.01 - 175,000.00 534 86,313,782.00 9.53 161,636.30 6.979 79.95 616 175,000.01 - 200,000.00 410 76,971,524.00 8.50 187,735.42 6.860 80.10 621 200,000.01 - 225,000.00 282 60,090,774.00 6.63 213,087.85 6.915 80.09 616 225,000.01 - 250,000.00 239 56,820,786.00 6.27 237,743.87 6.910 79.13 621 250,000.01 - 275,000.00 204 53,491,832.00 5.90 262,214.86 6.628 79.66 631 275,000.01 - 300,000.00 159 45,649,633.00 5.04 287,104.61 6.638 80.49 629 300,000.01 - 325,000.00 138 43,283,622.00 4.78 313,649.43 6.527 79.95 633 325,000.01 - 359,650.00 113 38,564,296.00 4.26 341,276.96 6.554 79.63 636 359,650.01 - 500,000.00 276 114,468,264.00 12.64 414,740.09 6.525 81.69 627 500,000.01 -1,000,000.00 97 60,576,899.00 6.69 624,504.11 6.259 77.02 635 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $905,880,632.00 100.00% $ 167,414.64 6.956% 79.85% 621
(1) All weighted averages based on Original Principal Balance. - -------------------------------------------------------------------------------- Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 26 - -------------------------------------------------------------------------------- The Mortgage Loans (Total Collateral) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY REMAINING TERM TO MATURITY - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Remaining Term Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. (months) Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 121 - 180 187 $ 26,030,261.38 2.88% $ 139,199.26 6.914% 72.38% 654 301 - 360 5,224 878,095,327.59 97.12 168,088.69 6.957 80.08 620 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL TERM TO MATURITY - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Original Term Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. (months) Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 121 - 180 187 $ 26,030,261.38 2.88% $ 139,199.26 6.914% 72.38% 654 241 - 360 5,224 878,095,327.59 97.12 168,088.69 6.957 80.08 620 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL LTV - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Original LTV (%) Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 0.01 - 25.00 23 $ 1,510,743.07 0.17% $ 65,684.48 7.521% 19.34% 594 25.01 - 30.00 20 1,648,102.41 0.18 82,405.12 7.249 28.34 613 30.01 - 35.00 32 3,356,722.99 0.37 104,897.59 6.953 32.78 618 35.01 - 40.00 28 2,668,133.08 0.30 95,290.47 6.818 37.95 608 40.01 - 45.00 42 5,176,243.14 0.57 123,243.88 6.914 42.60 617 45.01 - 50.00 77 11,310,843.50 1.25 146,894.07 6.561 48.08 628 50.01 - 55.00 96 16,588,698.80 1.83 172,798.95 6.615 52.62 614 55.01 - 60.00 120 19,564,659.11 2.16 163,038.83 6.771 57.71 599 60.01 - 65.00 158 29,502,087.14 3.26 186,722.07 6.711 62.75 604 65.01 - 70.00 368 60,950,340.76 6.74 165,625.93 6.785 68.49 606 70.01 - 75.00 441 74,695,555.71 8.26 169,377.68 6.821 73.81 604 75.01 - 80.00 2,001 337,503,237.61 37.33 168,667.29 6.584 79.73 630 80.01 - 85.00 549 97,621,364.01 10.80 177,816.69 7.331 84.45 603 85.01 - 90.00 777 138,550,108.43 15.32 178,314.17 7.335 89.60 618 90.01 - 95.00 364 57,744,561.29 6.39 158,638.90 7.520 94.68 638 95.01 - 100.00 315 45,734,187.92 5.06 145,187.90 7.931 99.97 648 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 27 - -------------------------------------------------------------------------------- The Mortgage Loans (Total Collateral) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL COMBINED LTV - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Original Combined LTV (%) Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 0.01 - 25.00 23 $ 1,510,743.07 0.17% $ 65,684.48 7.521% 19.34% 594 25.01 - 30.00 19 1,557,037.32 0.17 81,949.33 7.325 28.25 604 30.01 - 35.00 31 3,313,799.08 0.37 106,896.74 6.957 32.76 618 35.01 - 40.00 28 2,668,133.08 0.30 95,290.47 6.818 37.95 608 40.01 - 45.00 41 5,072,395.86 0.56 123,716.97 6.936 42.62 617 45.01 - 50.00 80 11,483,286.53 1.27 143,541.08 6.558 47.94 629 50.01 - 55.00 98 17,427,431.01 1.93 177,830.93 6.583 52.96 612 55.01 - 60.00 118 18,008,790.45 1.99 152,616.87 6.860 57.71 599 60.01 - 65.00 155 27,655,478.17 3.06 178,422.44 6.717 62.85 603 65.01 - 70.00 355 57,767,375.74 6.39 162,725.00 6.788 68.41 605 70.01 - 75.00 395 68,361,484.22 7.56 173,067.05 6.860 73.42 600 75.01 - 80.00 668 120,192,882.99 13.29 179,929.47 7.004 79.21 609 80.01 - 85.00 543 100,171,178.39 11.08 184,477.31 7.280 83.96 604 85.01 - 90.00 802 144,697,192.63 16.00 180,420.44 7.283 89.01 619 90.01 - 95.00 466 75,876,950.67 8.39 162,826.07 7.298 90.99 637 95.01 - 100.00 1,589 248,361,429.76 27.47 156,300.46 6.647 83.61 642 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION OF MI COVERAGE - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. MI Coverage Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- No PMI 3,543 $602,980,961.32 66.69% $ 170,189.38 6.674% 74.55% 622 UNITED GTY 451 $ 72,948,326.19 8.07 161,747.95 7.585 90.81 618 PMI MTGE. 381 $ 60,846,100.15 6.73 159,701.05 7.600 91.01 622 TRIAD 380 $ 59,373,594.31 6.57 156,246.30 7.679 91.42 616 Radian GUARANTEE 333 $ 55,237,941.98 6.11 165,879.71 7.289 89.12 619 MGIC 257 $ 42,675,033.44 4.72 166,050.71 7.356 89.03 619 REPUBLIC 63 $ 9,683,954.48 1.07 153,713.56 7.562 93.15 629 INTEGON 3 $ 379,677.10 0.04 126,559.03 8.052 90.84 588 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 28 - -------------------------------------------------------------------------------- The Mortgage Loans (Total Collateral) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY STATE - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. State Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- California 615 $181,978,175.30 20.13% $ 295,899.47 6.301% 75.79% 637 Maryland 277 59,707,472.60 6.60 215,550.44 6.816 80.07 621 Florida 268 47,019,551.57 5.20 175,446.09 7.013 80.63 617 Arizona 258 45,353,626.67 5.02 175,789.25 6.889 80.73 618 Virginia 198 41,827,733.84 4.63 211,251.18 6.838 80.40 618 Illinois 269 38,432,810.47 4.25 142,872.90 7.518 82.41 607 Texas 367 35,092,106.05 3.88 95,618.82 7.554 79.62 611 New York 138 29,576,698.54 3.27 214,323.90 6.866 73.86 615 Minnesota 165 25,881,624.92 2.86 156,858.33 7.046 81.23 615 New Jersey 104 24,366,807.87 2.70 234,296.23 7.359 76.85 614 Washington 136 23,601,779.14 2.61 173,542.49 6.798 82.60 628 Wisconsin 188 22,987,990.84 2.54 122,276.55 7.379 82.53 605 Nevada 107 22,603,274.82 2.50 211,245.56 6.721 77.74 611 Georgia 129 19,663,799.52 2.17 152,432.55 7.268 83.33 611 Missouri 166 18,625,704.50 2.06 112,203.04 7.254 82.11 613 Massachusetts 72 18,271,222.87 2.02 253,766.98 6.806 77.67 616 Colorado 99 17,976,586.65 1.99 181,581.68 6.462 80.12 644 North Carolina 123 16,559,337.62 1.83 134,628.76 7.268 81.32 601 Pennsylvania 131 16,127,554.53 1.78 123,111.10 7.373 83.41 616 Ohio 134 15,266,158.03 1.69 113,926.55 7.414 85.59 622 Iowa 141 14,579,122.35 1.61 103,398.03 7.425 83.46 612 Oregon 78 13,026,737.82 1.44 167,009.46 6.854 79.41 641 Louisiana 107 11,602,545.77 1.28 108,435.01 7.283 84.26 611 Tennessee 98 11,269,934.37 1.25 114,999.33 6.892 81.07 612 Nebraska 92 10,273,665.51 1.14 111,670.28 7.716 81.82 624 New Mexico 76 9,315,793.05 1.03 122,576.22 7.756 83.80 613 Other 875 113,137,773.75 12.51 129,300.31 7.285 82.19 618 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY OCCUPANCY TYPE - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Occupancy Type Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- Investor 143 $ 15,460,219.03 1.71% $ 108,113.42 7.043% 67.96% 642 Primary 5,216 880,190,914.17 97.35 168,748.26 6.956 80.13 620 Second Home 52 8,474,455.77 0.94 162,970.30 6.752 73.19 620 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 29 - -------------------------------------------------------------------------------- The Mortgage Loans (Total Collateral) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY PROPERTY TYPE - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Property Type Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 2-4 Family 102 $ 20,748,913.38 2.29% $ 203,420.72 6.630% 74.71% 628 Highrise Condo Single Family 14 2,654,114.50 0.29 189,579.61 7.080 71.56 646 Lowrise Condo Single Family 290 49,416,359.61 5.47 170,401.24 6.757 80.36 632 Single Family Detached 5,005 831,306,201.48 91.95 166,095.15 6.975 79.98 620 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY LOAN PURPOSE - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Loan Purpose Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- Purchase 2,431 $377,330,334.52 41.73% $ 155,216.10 6.967% 83.87% 631 Cashout Refinance 2,611 469,939,740.96 51.98 179,984.58 6.944 76.67 612 Rate/Term Refinance 369 56,855,513.49 6.29 154,079.98 6.980 79.54 621 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY DOCUMENTATION TYPE - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Documentation Type Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- Full Doc 4,696 $755,896,143.63 83.61% $ 160,965.96 7.022% 80.42% 618 Income Only 692 144,705,250.87 16.00 209,111.63 6.621 77.12 637 No Doc 23 3,524,194.47 0.39 153,225.85 6.565 70.93 631 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 30 - -------------------------------------------------------------------------------- The Mortgage Loans (Total Collateral) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY CREDIT SCORE - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Credit Score Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 500 - 525 212 $ 24,185,281.48 2.67% $ 114,081.52 8.999% 70.07% 515 526 - 550 355 47,403,979.06 5.24 133,532.34 8.227 74.02 540 551 - 575 608 92,268,337.62 10.21 151,757.13 7.615 78.53 564 576 - 600 977 151,352,377.89 16.74 154,915.43 7.116 79.04 589 601 - 625 1,166 189,451,673.72 20.95 162,479.99 6.935 81.00 613 626 - 650 902 165,697,412.98 18.33 183,700.01 6.697 81.93 638 651 - 675 597 114,995,620.17 12.72 192,622.48 6.418 81.50 662 676 - 700 299 63,342,520.80 7.01 211,847.90 6.237 80.68 687 701 - 725 154 29,252,563.75 3.24 189,951.71 6.249 79.87 711 726 - 750 82 14,437,022.51 1.60 176,061.25 6.288 79.10 737 751 - 775 36 7,856,261.68 0.87 218,229.49 6.114 77.64 763 776 - 800 14 2,260,646.21 0.25 161,474.73 6.086 76.79 788 801 - 825 9 1,621,891.10 0.18 180,210.12 6.027 76.98 809 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Prepayment Penalty Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- Has Prepay Penalty 3,993 $651,760,163.11 72.09% $ 163,225.69 6.816% 80.45% 621 No Prepay Penalty 1,418 252,365,425.86 27.91 177,972.80 7.317 78.33 620 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Prepayment Penalty Term Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. (months) Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- None 1,418 $252,365,425.86 27.91% $ 177,972.80 7.317% 78.33% 620 24 3,465 561,019,137.08 62.05 161,910.28 6.837 81.56 617 36 528 90,741,026.03 10.04 171,858.00 6.686 73.57 649 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 31 - -------------------------------------------------------------------------------- The Mortgage Loans (Total Collateral) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY LIEN TYPE - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Lien Type Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- First Lien 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY INTEREST ONLY TERM - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Interest Only Term Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. (months) Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- None 4,924 $776,224,313.38 85.85% $ 157,641.01 7.051% 79.67% 617 60 487 $127,901,275.59 14.15 262,630.96 6.380 81.00 642 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 5,411 $904,125,588.97 100.00% $ 167,090.30 6.956% 79.86% 621
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY MAXIMUM MORTGAGE RATE - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Maximum Mortgage Rate ( %) Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 9.500 - 9.999 2 $ 268,137.76 0.03% $ 134,068.88 3.762% 80.00% 687 10.000 - 10.499 3 642,557.08 0.08 214,185.69 4.356 72.77 689 10.500 - 10.999 58 14,789,942.53 1.82 254,999.01 4.824 73.70 670 11.000 - 11.499 122 32,224,088.50 3.97 264,131.87 5.257 75.07 662 11.500 - 11.999 581 137,133,827.72 16.88 236,030.68 5.773 76.22 644 12.000 - 12.499 510 106,087,237.61 13.06 208,014.19 6.254 79.29 635 12.500 - 12.999 1,092 193,913,002.90 23.87 177,576.01 6.746 81.00 620 13.000 - 13.499 523 83,911,755.90 10.33 160,443.13 7.259 82.16 610 13.500 - 13.999 777 111,535,315.15 13.73 143,546.09 7.723 84.57 602 14.000 - 14.499 254 34,656,704.24 4.27 136,443.72 8.259 85.74 587 14.500 - 14.999 464 53,682,083.73 6.61 115,694.15 8.726 86.31 583 15.000 - 15.499 180 20,239,862.28 2.49 112,443.68 9.249 84.01 569 15.500 - 15.999 173 15,527,208.48 1.91 89,752.65 9.701 79.34 553 16.000 - 16.499 41 3,419,343.73 0.42 83,398.63 10.251 75.54 534 16.500 - 16.999 46 3,746,234.19 0.46 81,439.87 10.725 77.56 546 17.000 - 17.499 7 356,994.72 0.04 50,999.25 11.250 84.50 565 17.500 - 17.999 3 182,548.83 0.02 60,849.61 11.547 85.00 587 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 4,836 $812,316,845.35 100.00% $ 167,972.88 6.958% 80.76% 618
- -------------------------------------------------------------------------------- Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 32 - -------------------------------------------------------------------------------- The Mortgage Loans (Total Collateral) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY MINIMUM MORTGAGE RATE - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Minimum Mortgage Rate (%) Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 1.500 - 1.999 82 $ 21,759,851.77 2.68% $ 265,364.05 5.463% 73.60% 701 2.000 - 2.499 491 105,823,198.17 13.03 215,525.86 5.844 76.59 663 2.500 - 2.999 1,007 188,760,747.83 23.24 187,448.61 6.262 76.53 630 3.000 - 3.499 899 152,977,672.86 18.83 170,164.26 6.718 79.87 617 3.500 - 3.999 654 115,133,317.75 14.17 176,044.83 7.151 85.44 615 4.000 - 4.499 512 80,084,417.51 9.86 156,414.88 7.643 88.68 605 4.500 - 4.999 580 74,801,839.61 9.21 128,968.69 8.191 87.33 585 5.000 - 5.499 293 39,546,210.27 4.87 134,970.00 8.731 80.64 562 5.500 - 5.999 197 20,992,559.18 2.58 106,561.21 9.003 76.34 534 6.000 - 6.499 70 8,184,585.83 1.01 116,922.65 9.637 75.70 532 6.500 - 6.999 46 3,914,494.74 0.48 85,097.71 10.284 83.07 552 7.000 - 7.000 5 337,949.83 0.04 67,589.97 10.702 85.00 575 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 4,836 $812,316,845.35 100.00% $ 167,972.88 6.958% 80.76% 618
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY GROSS MARGIN - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Gross Margin (%) Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 1.500 - 1.999 82 $ 21,759,851.77 2.68% $ 265,364.05 5.463% 73.60% 701 2.000 - 2.499 491 105,823,198.17 13.03 215,525.86 5.844 76.59 663 2.500 - 2.999 1,007 188,760,747.83 23.24 187,448.61 6.262 76.53 630 3.000 - 3.499 899 152,977,672.86 18.83 170,164.26 6.718 79.87 617 3.500 - 3.999 654 115,133,317.75 14.17 176,044.83 7.151 85.44 615 4.000 - 4.499 512 80,084,417.51 9.86 156,414.88 7.643 88.68 605 4.500 - 4.999 580 74,801,839.61 9.21 128,968.69 8.191 87.33 585 5.000 - 5.499 293 39,546,210.27 4.87 134,970.00 8.731 80.64 562 5.500 - 5.999 197 20,992,559.18 2.58 106,561.21 9.003 76.34 534 6.000 - 6.499 70 8,184,585.83 1.01 116,922.65 9.637 75.70 532 6.500 - 6.999 46 3,914,494.74 0.48 85,097.71 10.284 83.07 552 7.000 - 7.000 5 337,949.83 0.04 67,589.97 10.702 85.00 575 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 4,836 $812,316,845.35 100.00% $ 167,972.88 6.958% 80.76% 618
- -------------------------------------------------------------------------------- Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 33 - -------------------------------------------------------------------------------- The Mortgage Loans (Total Collateral) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY INITIAL INTEREST RATE CAP - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Initial Interest Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Rate Cap (%) Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 2.000 29 $ 7,634,285.79 0.94% $ 263,251.23 7.087% 75.69% 613 3.000 4,807 804,682,559.56 99.06 167,398.08 6.957 80.81 618 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 4,836 $812,316,845.35 100.00% $ 167,972.88 6.958% 80.76% 618
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY PERIODIC INTEREST RATE CAP - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Periodic Interest Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Rate Cap (%) Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- 1.000 4,807 $804,682,559.56 99.06% $ 167,398.08 6.957% 80.81% 618 2.000 29 7,634,285.79 0.94 263,251.23 7.087 75.69 613 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 4,836 $812,316,845.35 100.00% $ 167,972.88 6.958% 80.76% 618
- -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY NEXT RATE ADJUSTMENT DATE - --------------------------------------------------------------------------------
% of Pool by Unpaid Avg. Wtd. Avg. Wtd. Avg. Number of Unpaid Principal Principal Principal Gross Original Wtd. Avg. Next Rate Adjustment Date Loans Balance Balance Balance Coupon LTV Credit Score - ----------------------------------------------------------------------------------------------------------------------------------- June 2006 8 $ 2,555,961.88 0.31% $ 319,495.24 6.636% 75.75% 640 July 2006 21 5,078,323.91 0.63 241,824.95 7.314 75.66 600 September 2006 1 80,158.51 0.01 80,158.51 9.250 85.00 559 November 2006 2 165,163.88 0.02 82,581.94 7.559 93.31 597 December 2006 2 259,748.60 0.03 129,874.30 7.182 90.00 643 February 2007 2 258,514.61 0.03 129,257.31 7.441 80.00 565 March 2007 19 2,287,006.70 0.28 120,368.77 7.565 83.06 596 April 2007 84 11,923,175.08 1.47 141,942.56 7.112 81.63 601 May 2007 142 19,827,836.48 2.44 139,632.65 7.146 83.00 596 June 2007 1,264 213,411,510.76 26.27 168,838.22 6.914 80.88 615 July 2007 3,152 530,101,305.79 65.26 168,179.35 6.988 80.80 619 August 2007 3 227,617.41 0.03 75,872.47 8.791 80.84 560 March 2008 1 163,815.97 0.02 163,815.97 6.625 90.00 600 May 2008 1 129,388.96 0.02 129,388.96 5.500 41.34 612 June 2008 42 8,654,845.44 1.07 206,067.75 6.291 78.60 638 July 2008 92 17,192,471.37 2.12 186,874.69 6.436 78.05 641 - ----------------------------------------------------------------------------------------------------------------------------------- Total: 4,836 $812,316,845.35 100.00% $ 167,972.88 6.958% 80.76% 618
- -------------------------------------------------------------------------------- Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- The information herein has been provided solely by Citigroup Global Markets Inc. ("CGMI") based upon information with respect to the mortgage loans provided by the Issuer and its affiliates. Neither the Issuer nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary and supersedes any prior information and will be superseded by the prospectus supplement and prospectus and by any other information subsequently filed with the Securities and Exchange Commission (SEC). All assumptions and information in this report reflect CGMI 's judgment as of this date and are subject to change. All analyses are based on certain assumptions noted herein and different assumptions could yield substantially different results. You are cautioned that there is no universally accepted method for analyzing financial instruments. You should review the assumptions; there may be differences between these assumptions and your actual business practices. Further, CGMI does not guarantee any results and there is no guarantee as to the liquidity of the instruments involved in this analysis. The decision to adopt any strategy remains your responsibility. CGMI (or any of its affiliates) or their officers, directors, analysts or employees may have positions in securities, commodities or derivative instruments thereon referred to here, and may, as principal or agent, buy or sell such securities, commodities or derivative instruments. In addition, CGMI may make a market in the securities referred to herein. Neither the information nor the assumptions reflected herein should be construed to be, or constitute, an offer to sell or buy or a solicitation of an offer to sell or buy any securities, commodities or derivative instruments mentioned herein. No sale of any securities, commodities or derivative instruments should be consummated without the purchaser first having received a prospectus and prospectus supplement. Finally, CGMI has not addressed the legal, accounting and tax implications of the analysis with respect to you, and CGMI strongly urges you to seek advice from your counsel, accountant and tax advisor. A final Prospectus and Prospectus Supplement may be obtained by contacting CGMI's Mortgage Trading Desk at (212) 723-6217. 34 -----END PRIVACY-ENHANCED MESSAGE-----