EX-99.2 3 insert-ex99_2.txt COMPUTATIONAL MATERIALS EXHIBIT 99.2 -------------------------------------------------------------------------------- Morgan Stanley Securitized Products Group [GRAPHIC OMITTED] July 22, 2004 -------------------------------------------------------------------------------- Computational Materials $717,130,000 Approximately Morgan Stanley ABS Capital I Inc. Series 2004-WMC2 Mortgage Pass-Through Certificates -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 1 -------------------------------------------------------------------------------- Morgan Stanley Securitized Products Group [GRAPHIC OMITTED] July 22, 2004 -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. Any such offer to buy or sell any security or instrument or to engage in a transaction would be made only after a prospective participant had completed its own independent investigation of the transaction and received all information it required to make its own investment decision, including, where applicable, a review of any offering circular or memorandum describing such security or instrument which would contain material information not contained herein and to which prospective participants are referred. In the event of any such offering, this information shall be deemed superseded and replaced in its entirety by such offering circular or memorandum. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities or transactions would conform to the terms hereof. Morgan Stanley and its affiliates disclaim any and all liability relating to this information. The following information may contain general, summary discussions of certain tax, regulatory, accounting and/or legal issues relevant to the proposed transaction. Any such discussion is necessarily generic and may not be applicable to or complete for any particular recipient's specific facts and circumstances. Morgan Stanley is not offering and does not purport to offer tax, regulatory, accounting or legal advice and this information should not and cannot be relied upon as such. Prior to entering into any proposed transaction, recipients should determine, in consultation with their own legal, tax, regulatory and accounting advisors, the economic risks and merits, as well as the legal, tax, regulatory and accounting characteristics and consequences, of the transaction. The projections or other estimates in these materials (if any), including estimates of returns or performance, are forward-looking statements based upon certain assumptions and are preliminary in nature. Actual results are difficult to predict and may depend upon events outside the issuer's or counterparty's control. Actual events may differ from those assumed and changes to any assumptions may have a material impact on any projections or estimates. Other events which were not taken into account may occur and may significantly affect the analysis. Certain assumptions may have been made for modeling purposes only to simplify the presentation and/or calculation of any projections or estimates, and Morgan Stanley does not purport that any such assumptions will reflect actual future events. Accordingly, there can be no assurance that estimated returns or projections will be realized or that actual returns or performance results will not be materially different than those estimated herein. Any such estimated returns and projections should be viewed as hypothetical. Recipients should conduct their own analysis, using such assumptions as they deem appropriate, and should fully consider other available information in making a decision regarding these transactions. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Notwithstanding any other express or implied agreement, arrangement, or understanding to the contrary, Morgan Stanley and each recipient hereof are deemed to agree that both Morgan Stanley and such recipient (and their respective employees, representatives, and other agents) may disclose to any and all persons, without limitation of any kind from the commencement of discussions, the U.S. federal income tax treatment of the transaction ("tax treatment") and any fact that may be relevant to understanding the tax treatment of the transaction described herein ("tax structure") and all materials of any kind (including opinions or other tax analyses) that are provided to such person relating to such tax treatment and tax structure, except where confidentiality is reasonably necessary to comply with securities laws (including, where applicable, confidentiality regarding the identity of an issuer of securities or its affiliates, agents and advisors). The offer or sale of securities or transactions may be restricted by law. Additionally, transfers of any such securities or instruments may be limited by law or the terms thereof. Unless noted herein, neither Morgan Stanley or any issuer of securities has taken or will take any action in any jurisdiction that would permit a public offering of Notes, or possession or distribution of any offering material in relation thereto, in any country or jurisdiction where action for such purpose is required. Recipients are required to inform themselves of and comply with any legal or contractual restrictions on their purchase, holding, sale, exercise of rights or performance of obligations under any transaction. Morgan Stanley does not undertake or have any responsibility to notify you of any changes to the attached information. Morgan Stanley & Co. Incorporated, its affiliates and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Additional information is available upon request. With respect to any UK recipients, this communication is directed only to those persons who are market counterparties or intermediate customers (as defined in the UK Financial Services Authority's rules). -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 2 -------------------------------------------------------------------------------- Morgan Stanley Securitized Products Group [GRAPHIC OMITTED] July 22, 2004 -------------------------------------------------------------------------------- Approximately $717,130,000 Morgan Stanley ABS Capital I Inc., Series 2004-WMC2 Morgan Stanley ABS Capital I Inc. Depositor HomEq Servicing Corp Servicer Transaction Highlights
---------------------------------------------------------------------------------------------------------------------------- Expected Modified Ratings Avg Life to Duration Initial Offered (S&P/Fitch/ Call / To Call Mty Payment Window To Subordination Classes Description Balance(4) Moody's) Mty (1)(2) (1)(2)(3) Call / Mty (1)(2) Level ----------------------------------------------------------------------------------------------------------------------------- A-1 Not Offered 565,874,000 AAA/AAA/Aaa 2.69 / 2.92 ***Not Offered*** 20.25% A-2 Floater 200,000,000 AAA/AAA/Aaa 2.68 / 2.89 2.58 / 2.77 09/04 - 08/12 / 09/04 - 08/21 20.25% A-3 Floater 155,750,000 AAA/AAA/Aaa 1.04 / 1.04 1.03 / 1.03 09/04 - 10/06 / 09/04 - 10/06 20.25% A-4 Floater 59,253,000 AAA/AAA/Aaa 2.91 / 2.91 2.85 / 2.85 10/06 - 10/08 / 10/06 - 10/08 20.25% A-5 Floater 63,200,000 AAA/AAA/Aaa 6.50 / 7.45 6.12 / 6.91 10/08 - 08/12 / 10/08 - 08/21 20.25% M-1 Floater 91,643,000 AA/AA/Aa2 5.35 / 5.91 5.06 / 5.52 11/07 - 08/12 / 11/07 - 05/19 13.25% M-2 Floater 68,732,000 A/A/A2 5.32 / 5.82 4.93 / 5.32 10/07 - 08/12 / 10/07 - 01/18 8.00% M-3 Floater 22,911,000 A-/A-/A3 5.32 / 5.74 4.89 / 5.22 10/07 - 08/12 / 10/07 - 06/16 6.25% B-1 Floater 19,638,000 BBB+/BBB+/Baa1 5.30 / 5.66 4.80 / 5.07 09/07 - 08/12 / 09/07 - 08/15 4.75% B-2 Floater 16,365,000 BBB/BBB/Baa2 5.30 / 5.56 4.79 / 4.98 09/07 - 08/12 / 09/07 - 09/14 3.50% B-3 Floater 19,638,000 BBB-/BBB-/Baa3 5.28 / 5.34 4.54 / 4.58 09/07 - 08/12 / 09/07 - 09/13 2.00% ----------------------------------------------------------------------------------------------------------------------------- [TABLE CONTINUED] --------------------- Offered Classes Benchmark --------------------- A-1 1 Mo. LIBOR A-2 1 Mo. LIBOR A-3 1 Mo. LIBOR A-4 1 Mo. LIBOR A-5 1 Mo. LIBOR M-1 1 Mo. LIBOR M-2 1 Mo. LIBOR M-3 1 Mo. LIBOR B-1 1 Mo. LIBOR B-2 1 Mo. LIBOR B-3 1 Mo. LIBOR ---------------------
Notes: (1) Certificates are priced to the 10% optional clean-up call. ----- (2) Based on the pricing prepayment speed. See details below. (3) Assumes pricing at par. (4) Bond sizes subject to a variance of plus or minus 5%. Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-WMC2. Depositor: Morgan Stanley ABS Capital I Inc. Originator: WMC Mortgage Corp. Servicer: HomEq Servicing Corp. Trustee: Deutsche Bank National Trust Company. Managers: Morgan Stanley (lead manager), Blaylock & Partners, L.P. and Utendahl Capital Partners, L.P. Rating Agencies: Standard & Poor's, Fitch Ratings and Moody's Investors Service. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 3 Offered Certificates: The Class A-2, A-3, A-4, A-5, M-1, M-2, M-3, B-1, B-2 and B-3 Certificates. Class A Certificates: The Class A-1, A-2, A-3, A-4 and A-5 Certificates. Group II Class A The Class A-2, Class A-3, Class A-4 and Class A-5 Certificates: Certificates. Group II Class A The Class A-3, Class A-4 and Class A-5 Certificates. Sequential Certificates: Class A Certificate The Class A-1 Certificates and Group II Class A Group: Certificates, as applicable. Expected Closing August 19, 2004 through DTC and Euroclear or Date: Clearstream. The Certificates will be sold without accrued interest. Cut-off Date: August 1, 2004 Distribution Dates: The 25th of each month, or if such day is not a business day, on the next business day, beginning September 27, 2004. Final Scheduled For the Class A-3 Certificates, the Distribution Date Distribution Date: occurring in [August 2013], and for all other Offered Certificates, the Distribution Date occurring in July 2034. Minimum Denomination: The Offered Certificates will be issued and available in denominations of $25,000 initial principal balance and integral multiples of $1 in excess of $25,000. Due Period: For any Distribution Date, the calendar month preceding the month in which that Distribution Date occurs. Interest Accrual The interest accrual period for the Offered Certificates Period: with respect to any Distribution Date will be the period beginning with the previous Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the day prior to the current Distribution Date (on an actual/360 day count basis). Mortgage Loans: The Trust will consist of two groups of adjustable and fixed rate sub-prime residential, first-lien and second- lien mortgage loans. Group I Mortgage Approximately $709.6 million of Mortgage Loans with Loans: original principal balances that conform to the original principal balance limits for one- to four-family residential mortgage loan guidelines for purchase by Freddie Mac. Group II Mortgage Approximately $599.6 million of Mortgage Loans that Loans: predominantly have original principal balances that may or may not conform to the original principal balance limits for one- to four-family residential mortgage loan guidelines for purchase by Freddie Mac. Pricing Prepayment o Fixed Rate Mortgage Loans: CPR starting at Speed: approximately 1.5333% CPR in month 1 and increasing to 23% CPR in month 15 (23%/15 increase for each month), and remaining at 23% CPR thereafter o ARM Mortgage Loans: 25% CPR -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 4 Credit Enhancement: The Offered Certificates are credit enhanced by: 1) Net monthly excess cashflow from the Mortgage Loans, 2) 2.00% overcollateralization (funded upfront). On and after the Step-down Date, so long as a Trigger Event is not in effect, the required overcollateralization will equal 4.00% of the aggregate principal balance of the Mortgage Loans as of the last day of the applicable Due Period, subject to a 0.50% floor, based on the aggregate principal balance of the Mortgage Loans as of the cut-off date, provided, however, that if, on any distribution date, a Trigger Event exists, the required overcollateralization will not be reduced to the applicable percentage of the then Stated Principal Balance of the mortgage loans but instead remain the same as the prior period's required overcollateralization until the distribution date on which a Trigger Event no longer exists; and 3) Subordination of distributions on the more subordinate classes of certificates (if applicable) to the required distributions on the more senior classes of certificates. Senior Enhancement For any Distribution Date, the percentage obtained by Percentage: dividing (x) the aggregate Certificate Principal Balance of the subordinate certificates (together with any overcollateralization and taking into account the distributions of the Principal Distribution Amount for such Distribution Date) by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period. Step-down Date: The later to occur of: (x) The earlier of: (a) The Distribution Date occurring in September 2007; and (b) The Distribution Date on which the aggregate balance of the Class A Certificates is reduced to zero; and (y) The first Distribution Date on which the Senior Enhancement Percentage (calculated for this purpose only after taking into account payments of principal on the Mortgage Loans on the last day of the related Due Period but prior to principal distributions to the certificates on the applicable Distribution Date) is greater than or equal to approximately 40.50%. Trigger Event: Either a Delinquency Trigger Event or a Cumulative Loss Trigger Event. Delinquency Trigger A Delinquency Trigger Event is in effect on any Event: Distribution Date if on that Distribution Date the 60 Day+ Rolling Average equals or exceeds 40% of the prior period's Senior Enhancement Percentage. The 60 Day+ Rolling Average will equal the rolling 3 month average percentage of Mortgage Loans that are 60 or more days delinquent. Cumulative Loss A Cumulative Loss Trigger Event is in effect on any Trigger Event: Distribution Date if the aggregate amount of Realized Losses incurred since the cut-off date through the last day of the related Prepayment Period divided by the aggregate Stated Principal Balance of the mortgage loans as of the cut-off date exceeds the applicable percentages described below with respect to such distribution date: Months 37- 48 [3.50] for the first month, plus an additional 1/12th of [1.75] for each month thereafter (e.g., [4.375] in Month 43) Months 49- 60 [5.25] for the first month, plus an additional 1/12th of [1.25] for each month thereafter (e.g., [5.875] in Month 55) Months 61- 72 [6.50] for the first month, plus an additional 1/12th of [0.50] for each month thereafter (e.g., [6.750] in Month 67) Months 72- [7.00] thereafter -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 5 Initial Class A: 20.25% Subordination Class M-1: 13.25% Percentage: Class M-2: 8.00% Class M-3: 6.25% Class B-1: 4.75% Class B-2: 3.50% Class B-3: 2.00% Optional Clean-up When the current aggregate principal balance of the Call: Mortgage Loans is less than or equal to 10% of the aggregate principal balance of the Mortgage Loans as of the cut-off date. Step-up Coupons: For all Offered Certificates the coupon will increase after the optional clean-up call date, should the call not be exercised. The applicable fixed margin will increase by 2x on the Class A Certificates and by 1.5x on all other Certificates after the first distribution date on which the Optional Clean-up Call is exercisable. Class A-1 Pass- The Class A-1 Certificates will accrue interest at a Through Rate: variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group I Cap and (iii) the WAC Cap. Class A-2, A-3, A-4 The Class A-2, A-3, A-4 and A-5 Certificates will accrue and A-5 Pass- interest at a variable rate equal to the least of (i) Through Rate: one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group II Cap and (iii) the WAC Cap. Class M-1 The Class M-1 Certificates will accrue interest at a Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class M-2 The Class M-2 Certificates will accrue interest at a Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class M-3 The Class M-3 Certificates will accrue interest at a Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class B-1 The Class B-1 Certificates will accrue interest at a Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class B-2 The Class B-2 Certificates will accrue interest at a Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class B-3 The Class B-3 Certificates will accrue interest at a Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 6 WAC Cap: As to any Distribution Date a per annum rate equal to the product of (i) the weighted average gross rate of the Mortgage Loans in effect on the beginning of the related Due Period less servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period. Loan Group I Cap: As to any Distribution Date, a per annum rate equal to the product of (i) weighted average gross rate of the Group I Mortgage Loans in effect on the beginning of the related Due Period less servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period. Loan Group II Cap: As to any Distribution Date, a per annum rate equal to the product of (i) weighted average gross rate of the Group II Mortgage Loans in effect on the beginning of the related Due Period less servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period. Class A-1 Basis Risk As to any Distribution Date, the supplemental interest Carry Forward Amount: amount for the Class A-1 Certificates will equal the sum of: (i) The excess, if any, of interest that would otherwise be due on such Certificates at the Class A-1 Pass-Through Rate (without regard to the Loan Group I Cap or WAC Cap) over interest due such Certificates at a rate equal to the lesser of the Loan Group I Cap or WAC Cap; (ii) Any Class A-1 Basis Risk Carry Forward Amount remaining unpaid from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the related Class A-1 Pass-Through Rate (without regard to the Loan Group I Cap or WAC Cap). Class A-2, A-3, A-4 As to any Distribution Date, the supplemental interest and A-5 Basis Risk amount for each of the Class A-2, A-3, A-4 and A-5 Carry Forward Amount: Certificates will equal the sum of: (i) The excess, if any, of interest that would otherwise be due on such Certificates at the Class A-2, A-3, A-4 and A-5 Pass-Through Rates (without regard to the Loan Group II Cap or WAC Cap) over interest due such Certificates at a rate equal to the lesser of the Loan Group II Cap or WAC Cap; (ii) Any Class A-2, A-3, A-4 and A-5 Basis Risk Carry Forward Amount remaining unpaid from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the related Class A-2, A-3, A-4 and A-5 Pass-Through Rate (without regard to the Loan Group II Cap or WAC Cap). Carry Forward Amount: Group II Cap or WAC Cap). Class M-1, M-2, M-3, As to any Distribution Date, the supplemental interest B-1, B-2 and B-3 amount for each of the Class M-1, M-2, M-3, B-1, B-2 and Basis Risk Carry B-3 Certificates will equal the sum of: Forward Amounts: (i) The excess, if any, of interest that would otherwise be due on such Certificates at such Certificates' applicable Pass-Through Rate (without regard to the WAC Cap) over interest due such Certificates at a rate equal to the WAC Cap; (ii) Any Basis Risk Carry Forward Amount for such class remaining unpaid for such Certificate from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the Certificates' applicable Pass-Through Rate (without regard to the WAC Cap). -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 7 Interest On each Distribution Date and after payments of Distributions on servicing and trustee fees and other expenses, interest Offered Certificates: distributions from the Interest Remittance Amount will be allocated as follows: (i) The portion of the Interest Remittance Amount attributable to the Group I Mortgage Loans will be allocated according to the related Accrued Certificate Interest and any unpaid interest shortfall amounts for such class, as applicable, first, to the Class A-1 Certificates and second, pro rata to the Group II Class A Certificates; (ii) The portion of the Interest Remittance Amount attributable to the Group II Mortgage Loans will be allocated according to the related Accrued Certificate Interest and any unpaid interest shortfall amounts for such class, as applicable, first, pro rata to the Group II Class A Certificates and second, to the Class A-1 Certificates; (iii) To the Class M-1 Certificates, its Accrued Certificate Interest; (iv) To the Class M-2 Certificates, its Accrued Certificate Interest; (v) To the Class M-3 Certificates, its Accrued Certificate Interest; (vi) To the Class B-1 Certificates, its Accrued Certificate Interest; (vii) To the Class B-2 Certificates, its Accrued Certificate Interest; and (viii) To the Class B-3 Certificates, its Accrued Certificate Interest. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 8 Principal On each Distribution Date (a) prior to the Stepdown Date Distributions on or (b) on which a Trigger Event is in effect, principal Offered Certificates: distributions from the Principal Distribution Amount will be allocated as follows: (i) to the Class A Certificates, allocated between the Class A Certificates as described below, until the Certificate Principal Balances thereof have been reduced to zero; (ii) to the Class M-1 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (iii) to the Class M-2 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (iv) to the Class M-3 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (v) to the Class B-1 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (vi) to the Class B-2 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; and (vii) to the Class B-3 Certificates, until the Certificate Principal Balance thereof has been reduced to zero. On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, the principal distributions from the Principal Distribution Amount will be allocated as follows: (i) to the Class A Certificates, the lesser of the Principal Distribution Amount and the Class A Principal Distribution Amount, allocated between the Class A Certificates as described below, until the Certificate Principal Balances thereof have been reduced to zero; (ii) to the Class M-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (iii) to the Class M-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (iv) to the Class M-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-3 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (v) to the Class B-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (vi) to the Class B-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; and (vii) to the Class B-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-3 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 9 Class A Principal Except as described below, the Group II Class A Allocation: Sequential Certificates will receive principal sequentially; the Class A-4 Certificates will not receive principal distributions until the Certificate Principal Balance of the Class A-3 Certificates has been reduced to zero, and the Class A-5 Certificates will not receive principal distributions until the Certificate Principal Balance of the Class A-4 Certificates has been reduced to zero. All principal distributions to the holders of the Class A Certificates on any Distribution Date will be allocated concurrently between the Class A-1 Certificates, on the one hand, and the Group II Class A Certificates, on the other hand, based on the Class A Principal Allocation Percentage for the Class A-1 Certificates and the Group II Class A Certificates, as applicable. However, if the Class Certificate Balances of the Class A Certificates in either Class A Certificate Group are reduced to zero, then the remaining amount of principal distributions distributable to the Class A Certificates on that Distribution Date, and the amount of those principal distributions distributable on all subsequent Distribution Dates, will be distributed to the holders of the Class A certificates in the other Class A Certificate Group remaining outstanding, in accordance with the principal distribution allocations described herein, until their Class Certificate Balances have been reduced to zero. Any payments of principal to the Class A-1 Certificates will be made first from payments relating to the Group I Mortgage Loans, and any payments of principal to the Group II Class A Certificates will be made first from payments relating to the Group II Mortgage Loans. Any principal distributions allocated to the Group II Class A Certificates are required to be distributed pro rata between the Class A-2 Certificates and the Group II Class A Sequential Certificates. Principal distributions to the Group II Class A Sequential Certificates will be allocated first to the Class A-3 Certificates, until their Class Certificate Balance has been reduced to zero, then to the Class A-4 Certificates, until their Class Certificate Balance has been reduced to zero, and then to the Class A-5 Certificates, until their Class Certificate Balance has been reduced to zero. Notwithstanding the above, in the event that all subordinate classes, including the Class X certificates, have been reduced to zero, principal distributions to the Group II Class A Certificates will be distributed pro rata between the Class A-2, Class A-3, Class A-4 and Class A-5 Certificates with the exception that if a Class A-3 Accelerated Amortization Event is also in effect, principal distributions to the Group II Class A Certificates will be sequential to the Class A-3 Certificates and then pro rata between the Class A-2, Class A-4 and Class A-5 Certificates. Group II Class A Beginning on the first Distribution Date, and for a Interest Rate Cap: period of 35 months thereafter, an Interest Rate Cap will be entered into by the Trust for the benefit of the Group II Class A Certificates. For its duration, the Group II Class A Interest Rate Cap pays the Trust the product of (i) the excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the cap strike (on an Actual/360 day count basis) and (ii) the Group II Class A Interest Rate Cap Notional Balance ("the Group II Class A Interest Rate Cap Payment") as described on the schedule herein. Group II Class A The Group II Class A Interest Rate Cap Payment shall be Interest Rate Cap available to pay any Basis Risk Carry Forward Amount due Payment Allocation: to the Class A-2, A-3, A-4 and A-5 Certificates on a pro rata basis. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 10 Class M Interest Beginning on the first Distribution Date, and for a Rate Cap: period of 50 months thereafter, an Interest Rate Cap will be entered into by the Trust for the benefit of the Class M Certificates. For its duration, the Class M Interest Rate Cap pays the Trust the product of (i) the excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the cap strike (on an Actual/360 day count basis) and (ii) the Class M Interest Rate Cap Notional Balance ("the Class M Interest Rate Cap Payment") as described on the schedule herein. Class M Interest The Class M Interest Rate Cap Payment shall be available Rate Cap Payment to pay any Basis Risk Carry Forward Amount due to the Allocation: Class M-1, Class M-2 and Class M-3 Certificates on a pro rata basis. Class B Interest Beginning on the first Distribution Date, and for a Rate Cap: period of 50 months thereafter, an Interest Rate Cap will be entered into by the Trust for the benefit of the Class B Certificates. For its duration, the Class B Interest Rate Cap pays the Trust the product of (i) the excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the cap strike (on an Actual/360 day count basis) and (ii) the Class B Interest Rate Cap Notional Balance ("the Class B Interest Rate Cap Payment") as described on the schedule herein. Class B Interest The Class B Interest Rate Cap Payment shall be available Rate Cap Payment to pay any Basis Risk Carry Forward Amount due to the Allocation: Class B-1, Class B-2 and Class B-3 Certificates on a pro rata basis. Allocation of Net For any Distribution Date, any Net Monthly Excess Monthly Excess Cashflow shall be paid as follows: Cashflow: (i) to the Class M-1 Certificates, the unpaid interest shortfall amount; (ii) to the Class M-1 Certificates, the allocated unreimbursed realized loss amount; (iii) to the Class M-2 Certificates, the unpaid interest shortfall amount; (iv) to the Class M-2 Certificates, the allocated unreimbursed realized loss amount; (v) to the Class M-3 Certificates, the unpaid interest shortfall amount; (vi) to the Class M-3 Certificates, the allocated unreimbursed realized loss amount; (vii) to the Class B-1 Certificates, the unpaid interest shortfall amount; (viii)to the Class B-1 Certificates, the allocated unreimbursed realized loss amount; (ix) to the Class B-2 Certificates, the unpaid interest shortfall amount; (x) to the Class B-2 Certificates, the allocated unreimbursed realized loss amount; (xi) to the Class B-3 Certificates, the unpaid interest shortfall amount; (xii) to the Class B-3 Certificates, the allocated unreimbursed realized loss amount; (xiii)concurrently, any Class A-1 Basis Risk Carry Forward Amount to the Class A-1 Certificates, and any Group II Class A Basis Risk Carry Forward Amount to the Group II Class A Certificates; and (xiv) sequentially, to Classes M-1, M-2, M-3, B-1, B-2 and B-3 Certificates, in such order, any Basis Risk Carry Forward Amount for such classes; and (xv) in the event that a Class A-3 Accelerated Amortization Event is in effect, to the Class A-3 certificates as additional principal in the amount equal to the Class A-3 Accelerated Amortization Amount until their Class Certificate Balance has been reduced to zero. Interest Remittance For any Distribution Date, the portion of available Amount: funds for such Distribution Date attributable to interest received or advanced on the Mortgage Loans. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 11 Accrued Certificate For any Distribution Date and each class of Offered Interest: Certificates, equals the amount of interest accrued during the related interest accrual period at the related Pass-through Rate, reduced by any prepayment interest shortfalls and shortfalls resulting from the application of the Servicemembers Civil Relief Act or similar state law allocated to such class. Principal On any Distribution Date, the sum of (i) the Basic Distribution Amount: Principal Distribution Amount and (ii) the Extra Principal Distribution Amount. Basic Principal On any Distribution Date, the excess of (i) the Distribution Amount: aggregate principal remittance amount over (ii) the Excess Subordinated Amount, if any. Net Monthly Excess For any Distribution Date is the amount of funds Cashflow: available for distribution on such Distribution Date remaining after making all distributions of interest and principal on the certificates. Extra Principal For any Distribution Date, the lesser of (i) the excess Distribution Amount: of (x) interest collected or advanced with respect to the Mortgage Loans with due dates in the related Due Period (less servicing and trustee fees and expenses), over (y) the sum of interest payable on the Certificates on such Distribution Date and (ii) the overcollateralization deficiency amount for such Distribution Date. Excess Subordinated For any Distribution Date, means the excess, if any of Amount: (i) the overcollateralization and (ii) the required overcollateralization for such Distribution Date. Class A Principal For any Distribution Date, the percentage equivalent of Allocation a fraction, determined as follows: (i) in the case of Percentage: the Class A-1 Certificates the numerator of which is (x) the portion of the principal remittance amount for such Distribution Date that is attributable to principal received or advanced on the Group I Mortgage Loans and the denominator of which is (y) the principal remittance amount for such Distribution Date and (ii) in the case of the Group II Class A Certificates, the numerator of which is (x) the portion of the principal remittance amount for such Distribution Date that is attributable to principal received or advanced on the Group II Mortgage Loans and the denominator of which is (y) the principal remittance amount for such Distribution Date. Class A Principal For any Distribution Date, an amount equal to the excess Distribution Amount: of (x) the aggregate Certificate Principal Balance of the Class A Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 59.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $6,545,939. Class A-3 Accelerated With respect to any Distribution Date beginning with the Amortization Event: Distribution Date in [August 2011], until the Class Certificate Balance of the Class A-3 Certificates has been reduced to zero, a Class A-3 Accelerated Amortization Event exists if the Class Certificate Balance of the Class A-3 Certificates (after application of the Principal Distribution Amount on that Distribution Date) exceeds a target amount for such Distribution Date, as set forth on the Class A-3 Target Balance Schedule attached hereto. Class A-3 With respect to any Distribution Date, the lesser of (a) Accelerated the amount of funds remaining after making payments Amortization Amount: pursuant to clause (xiv) of the Allocation of Net Monthly Excess Cashflow described above and (b) the Class Certificate Balance of the Class A-3 certificates (after application of the related Principal Distribution Amount on that Distribution Date). Class M-1 Principal For any Distribution Date, an amount equal to the excess Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date) and (ii) the Certificate Principal Balance of the Class M-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 73.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $6,545,939. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 12 Class M-2 Principal For any Distribution Date, an amount equal to the excess Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date) and (iii) the Certificate Principal Balance of the Class M-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 84.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $6,545,939. Class M-3 Principal For any Distribution Date, an amount equal to the excess Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date) and (iv) the Certificate Principal Balance of the Class M-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 87.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $6,545,939. Class B-1 Principal For any Distribution Date, an amount equal to the excess Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date) and (v) the Certificate Principal Balance of the Class B-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 90.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $6,545,939. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 13 Class B-2 Principal For any Distribution Date, an amount equal to the excess Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date) and (vi) the Certificate Principal Balance of the Class B-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 93.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $6,545,939. Class B-3 Principal For any Distribution Date, an amount equal to the excess Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date), (vi) the Certificate Principal Balance of the Class B-2 Certificates (after taking into account the payment of the Class B-2 Principal Distribution Amount on such Distribution Date) and (vii) the Certificate Principal Balance of the Class B-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 96.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $6,545,939. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 14 Trust Tax Status: REMIC. ERISA Eligibility: Subject to the considerations in the Prospectus, all Offered Certificates are ERISA eligible. SMMEA Eligibility: It is not anticipated that any of the Offered Certificates will be SMMEA eligible. Prospectus: The Class A-2, Class A-3, Class A-4, Class A-5, Class M-1, Class M-2, Class M-3, Class B-1, Class B-2 and Class B-3 Certificates are being offered pursuant to a prospectus supplemented by a prospectus supplement (together, the "Prospectus"). Complete information with respect to the Offered Certificates and the collateral securing them is contained in the Prospectus. The information herein is qualified in its entirety by the information appearing in the Prospectus. To the extent that the information herein is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the Offered Certificates may not be consummated unless the purchaser has received the Prospectus. PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 15 Weighted Average Life Sensitivity To CALL
------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ------------------------------------------------------------------------------------------------------------------- A-2 WAL (yrs) 5.28 4.49 3.61 2.68 2.03 1.52 1.17 First Payment Date 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 7/25/2007 Window 1 - 181 1 - 158 1 - 128 1 - 96 1 - 75 1 - 61 1 - 35 A-3 WAL (yrs) 2.03 1.70 1.38 1.04 0.83 0.69 0.58 First Payment Date 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005 Window 1 - 52 1 - 43 1 - 35 1 - 26 1 - 20 1 - 17 1 - 14 A-4 WAL (yrs) 6.02 5.05 4.04 2.91 2.17 1.77 1.48 First Payment Date 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005 Expected Final Maturity 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006 Window 52 - 101 43 - 85 35 - 68 26 - 50 20 - 32 17 - 26 14 - 22 A-5 WAL (yrs) 12.61 10.81 8.72 6.50 4.85 3.32 2.33 First Payment Date 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 7/25/2007 Window 101 - 181 85 - 158 68 - 128 50 - 96 32 - 75 26 - 61 22 - 35 M-1 WAL 10.24 8.75 7.05 5.35 4.63 4.64 4.16 First Payment Date 8/25/2009 11/25/2008 1/25/2008 11/25/2007 3/25/2008 7/25/2008 7/25/2007 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008 Window 60 - 181 51 - 158 41 - 128 39 - 96 43 - 75 47 - 61 35 - 50 M-2 WAL 10.24 8.75 7.05 5.32 4.45 4.09 3.96 First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 12/25/2007 2/25/2008 3/25/2008 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008 Window 60 - 181 51 - 158 41 - 128 38 - 96 40 - 75 42 - 61 43 - 50 M-3 WAL 10.24 8.75 7.05 5.32 4.39 3.93 3.65 First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 11/25/2007 12/25/2007 1/25/2008 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008 Window 60 - 181 51 - 158 41 - 128 38 - 96 39 - 75 40 - 61 41 - 50 B-1 WAL 10.24 8.75 7.05 5.30 4.37 3.87 3.55 First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 11/25/2007 11/25/2007 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008 Window 60 - 181 51 - 158 41 - 128 37 - 96 38 - 75 39 - 61 39 - 50 B-2 WAL 10.24 8.75 7.05 5.30 4.35 3.83 3.48 First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 10/25/2007 10/25/2007 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008 Window 60 - 181 51 - 158 41 - 128 37 - 96 38 - 75 38 - 61 38 - 50 B-3 WAL 10.21 8.71 7.02 5.28 4.31 3.78 3.41 First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 9/25/2007 10/25/2007 9/25/2007 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008 Window 60 - 181 51 - 158 41 - 128 37 - 96 37 - 75 38 - 61 37 - 50 -------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 16 Weighted Average Life Sensitivity To MATURITY
------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ------------------------------------------------------------------------------------------------------------------- A-2 WAL (yrs) 5.63 4.80 3.89 2.89 2.20 1.65 1.17 First Payment Date 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 12/25/2031 3/25/2030 11/25/2026 8/25/2021 4/25/2018 8/25/2015 7/25/2007 Window 1 - 328 1 - 307 1 - 267 1 - 204 1 - 164 1 - 132 1 - 35 A-3 WAL (yrs) 2.03 1.70 1.38 1.04 0.83 0.69 0.58 First Payment Date 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005 Window 1 - 52 1 - 43 1 - 35 1 - 26 1 - 20 1 - 17 1 - 14 A-4 WAL (yrs) 6.02 5.05 4.04 2.91 2.17 1.77 1.48 First Payment Date 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005 Expected Final Maturity 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006 Window 52 - 101 43 - 85 35 - 68 26 - 50 20 - 32 17 - 26 14 - 22 A-5 WAL (yrs) 14.15 12.21 9.96 7.45 5.61 3.92 2.33 First Payment Date 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006 Expected Final Maturity 12/25/2031 3/25/2030 11/25/2026 8/25/2021 4/25/2018 8/25/2015 7/25/2007 Window 101 - 328 85 - 307 68 - 267 50 - 204 32 - 164 26 - 132 22 - 35 M-1 WAL 11.12 9.54 7.76 5.91 5.08 5.00 5.85 First Payment Date 8/25/2009 11/25/2008 1/25/2008 11/25/2007 3/25/2008 7/25/2008 7/25/2007 Expected Final Maturity 8/25/2029 3/25/2027 9/25/2023 5/25/2019 4/25/2016 2/25/2014 1/25/2014 Window 60 - 300 51 - 271 41 - 229 39 - 177 43 - 140 47 - 114 35 - 113 M-2 WAL 11.05 9.46 7.69 5.82 4.85 4.41 4.24 First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 12/25/2007 2/25/2008 3/25/2008 Expected Final Maturity 1/25/2028 7/25/2025 1/25/2022 1/25/2018 3/25/2015 3/25/2013 9/25/2011 Window 60 - 281 51 - 251 41 - 209 38 - 161 40 - 127 42 - 103 43 - 85 M-3 WAL 10.95 9.36 7.60 5.74 4.73 4.20 3.88 First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 11/25/2007 12/25/2007 1/25/2008 Expected Final Maturity 11/25/2025 4/25/2023 1/25/2020 6/25/2016 11/25/2013 2/25/2012 11/25/2010 Window 60 - 255 51 - 224 41 - 185 38 - 142 39 - 111 40 - 90 41 - 75 B-1 WAL 10.84 9.26 7.53 5.66 4.65 4.10 3.75 First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 11/25/2007 11/25/2007 Expected Final Maturity 9/25/2024 2/25/2022 4/25/2019 8/25/2015 4/25/2013 8/25/2011 6/25/2010 Window 60 - 241 51 - 210 41 - 176 37 - 132 38 - 104 39 - 84 39 - 70 B-2 WAL 10.68 9.11 7.40 5.56 4.55 4.00 3.63 First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 10/25/2007 10/25/2007 Expected Final Maturity 4/25/2023 10/25/2020 2/25/2018 9/25/2014 7/25/2012 1/25/2011 12/25/2009 Window 60 - 224 51 - 194 41 - 162 37 - 121 38 - 95 38 - 77 38 - 64 B-3 WAL 10.33 8.82 7.12 5.34 4.37 3.82 3.45 First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 9/25/2007 10/25/2007 9/25/2007 Expected Final Maturity 8/25/2021 5/25/2019 10/25/2016 9/25/2013 10/25/2011 5/25/2010 5/25/2009 Window 60 - 204 51 - 177 41 - 146 37 - 109 37 - 86 38 - 69 37 - 57 -------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 17 CPR Sensitivity To CALL ------------------------------------------------------------------ CPR (%) 20 25 30 ------------------------------------------------------------------ A-2 WAL (yrs) 3.27 2.55 2.01 First Payment Date 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 1 - 117 1 - 93 1 - 76 A-3 WAL (yrs) 1.21 0.96 0.79 First Payment Date 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 3/25/2007 8/25/2006 4/25/2006 Window 1 - 31 1 - 24 1 - 20 A-4 WAL (yrs) 3.65 2.74 2.15 First Payment Date 3/25/2007 8/25/2006 4/25/2006 Expected Final Maturity 10/25/2009 9/25/2008 4/25/2007 Window 31 - 62 24 - 49 20 - 32 A-5 WAL (yrs) 7.97 6.31 4.91 First Payment Date 10/25/2009 9/25/2008 4/25/2007 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 62 - 117 49 - 93 32 - 76 M-1 WAL 6.41 5.22 4.67 First Payment Date 9/25/2007 12/25/2007 3/25/2008 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 37 - 117 40 - 93 43 - 76 M-2 WAL 6.41 5.17 4.48 First Payment Date 9/25/2007 10/25/2007 12/25/2007 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 37 - 117 38 - 93 40 - 76 M-3 WAL 6.41 5.15 4.41 First Payment Date 9/25/2007 10/25/2007 11/25/2007 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 37 - 117 38 - 93 39 - 76 B-1 WAL 6.41 5.15 4.39 First Payment Date 9/25/2007 9/25/2007 10/25/2007 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 37 - 117 37 - 93 38 - 76 B-2 WAL 6.41 5.13 4.37 First Payment Date 9/25/2007 9/25/2007 10/25/2007 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 37 - 117 37 - 93 38 - 76 B-3 WAL 6.37 5.11 4.33 First Payment Date 9/25/2007 9/25/2007 9/25/2007 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 37 - 117 37 - 93 37 - 76 ------------------------------------------------------------------ -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 18 CPR Sensitivity To MATURITY ------------------------------------------------------------------ CPR (%) 20 25 30 ------------------------------------------------------------------ A-2 WAL (yrs) 3.54 2.78 2.20 First Payment Date 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 6/25/2025 8/25/2021 10/25/2018 Window 1 - 250 1 - 204 1 - 170 A-3 WAL (yrs) 1.21 0.96 0.79 First Payment Date 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 3/25/2007 8/25/2006 4/25/2006 Window 1 - 31 1 - 24 1 - 20 A-4 WAL (yrs) 3.65 2.74 2.15 First Payment Date 3/25/2007 8/25/2006 4/25/2006 Expected Final Maturity 10/25/2009 9/25/2008 4/25/2007 Window 31 - 62 24 - 49 20 - 32 A-5 WAL (yrs) 9.19 7.30 5.73 First Payment Date 10/25/2009 9/25/2008 4/25/2007 Expected Final Maturity 6/25/2025 8/25/2021 10/25/2018 Window 62 - 250 49 - 204 32 - 170 M-1 WAL 7.07 5.76 5.12 First Payment Date 9/25/2007 12/25/2007 3/25/2008 Expected Final Maturity 4/25/2022 1/25/2019 6/25/2016 Window 37 - 212 40 - 173 43 - 142 M-2 WAL 7.00 5.65 4.88 First Payment Date 9/25/2007 10/25/2007 12/25/2007 Expected Final Maturity 10/25/2020 9/25/2017 5/25/2015 Window 37 - 194 38 - 157 40 - 129 M-3 WAL 6.93 5.56 4.75 First Payment Date 9/25/2007 10/25/2007 11/25/2007 Expected Final Maturity 1/25/2019 2/25/2016 1/25/2014 Window 37 - 173 38 - 138 39 - 113 B-1 WAL 6.85 5.49 4.68 First Payment Date 9/25/2007 9/25/2007 10/25/2007 Expected Final Maturity 1/25/2018 4/25/2015 5/25/2013 Window 37 - 161 37 - 128 38 - 105 B-2 WAL 6.72 5.38 4.58 First Payment Date 9/25/2007 9/25/2007 10/25/2007 Expected Final Maturity 12/25/2016 6/25/2014 8/25/2012 Window 37 - 148 37 - 118 38 - 96 B-3 WAL 6.46 5.17 4.39 First Payment Date 9/25/2007 9/25/2007 9/25/2007 Expected Final Maturity 10/25/2015 6/25/2013 10/25/2011 Window 37 - 134 37 - 106 37 - 86 ------------------------------------------------------------------- -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 19 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 0 -- -- -- -- -- -- -- -- -- 1 8.37 8.37 8.37 8.37 8.25 8.25 8.25 8.25 8.25 2 9.59 9.59 9.59 9.59 9.44 9.44 9.44 9.44 9.44 3 9.39 9.39 9.39 9.39 9.24 9.24 9.24 9.24 9.24 4 9.61 9.61 9.61 9.61 9.45 9.45 9.45 9.45 9.45 5 9.41 9.41 9.41 9.41 9.25 9.25 9.25 9.25 9.25 6 9.42 9.42 9.42 9.42 9.25 9.25 9.25 9.25 9.25 7 10.09 10.09 10.09 10.09 9.90 9.90 9.90 9.90 9.90 8 9.43 9.43 9.43 9.43 9.26 9.26 9.26 9.26 9.26 9 9.65 9.65 9.65 9.65 9.46 9.46 9.46 9.46 9.46 10 9.45 9.45 9.45 9.45 9.26 9.26 9.26 9.26 9.26 11 9.67 9.67 9.67 9.67 9.47 9.47 9.47 9.47 9.47 12 9.47 9.47 9.47 9.47 9.26 9.26 9.26 9.26 9.26 13 9.48 9.48 9.48 9.48 9.27 9.27 9.27 9.27 9.27 14 9.69 9.69 9.69 9.69 9.47 9.47 9.47 9.47 9.47 15 9.49 9.49 9.49 9.49 9.27 9.27 9.27 9.27 9.27 16 9.71 9.71 9.71 9.71 9.47 9.47 9.47 9.47 9.47 17 9.51 9.51 9.51 9.51 9.27 9.27 9.27 9.27 9.27 18 9.52 9.52 9.52 9.52 9.27 9.27 9.27 9.27 9.27 19 10.21 10.21 10.21 10.21 9.92 9.92 9.92 9.92 9.92 20 9.54 9.54 9.54 9.54 9.27 9.27 9.27 9.27 9.27 21 9.77 9.77 9.77 9.77 9.48 9.48 9.48 9.48 9.48 22 10.10 10.10 10.10 10.10 9.75 9.75 9.75 9.75 9.75 23 10.37 10.37 10.37 10.37 9.99 9.99 9.99 9.99 9.99 24 10.13 10.13 10.13 10.13 9.75 9.75 9.75 9.75 9.75 25 10.15 10.15 10.15 10.15 9.75 9.75 9.75 9.75 9.75 26 10.42 10.42 10.42 10.42 9.99 9.99 9.99 9.99 9.99 27 10.18 -- 10.18 10.18 9.76 9.76 9.76 9.76 9.76 28 10.74 -- 10.74 10.74 10.26 10.26 10.26 10.26 10.26 29 10.48 -- 10.48 10.48 10.00 10.00 10.00 10.00 10.00 30 10.50 -- 10.50 10.50 10.00 10.00 10.00 10.00 10.00 31 11.43 -- 11.43 11.43 10.84 10.84 10.84 10.84 10.84 32 10.55 -- 10.55 10.55 10.00 10.00 10.00 10.00 10.00 33 10.88 -- 10.88 10.88 10.27 10.27 10.27 10.27 10.27 34 10.86 -- 10.86 10.86 10.43 10.43 10.43 10.23 10.23 35 11.20 -- 11.20 11.20 10.71 10.71 10.71 10.51 10.51 36 10.92 -- 10.92 10.92 10.43 10.43 10.43 10.23 10.23 37 26.13 -- 26.13 26.13 10.43 10.43 10.43 10.23 10.23 38 11.66 -- 11.66 11.66 10.71 10.71 10.71 10.51 10.51 39 11.23 -- 11.23 11.23 10.43 10.43 10.43 10.23 10.23 40 12.25 -- 12.25 12.25 10.75 10.75 10.75 10.75 10.75 41 11.79 -- 11.79 11.79 10.44 10.44 10.44 10.44 10.44 42 11.73 -- 11.73 11.73 10.44 10.44 10.44 10.44 10.44 43 12.54 -- 12.54 12.54 11.08 11.08 11.08 11.08 11.08 44 11.73 -- 11.73 11.73 10.44 10.44 10.44 10.44 10.44 45 12.13 -- 12.13 12.13 10.76 10.76 10.76 10.76 10.76 46 12.35 -- 12.35 12.35 10.45 10.45 10.45 10.45 10.45 [TABLE CONTINUED] Period B-3 Cap (%) ------ ------------- Actual/360 0 -- 1 8.25 2 9.44 3 9.24 4 9.45 5 9.25 6 9.25 7 9.90 8 9.26 9 9.46 10 9.26 11 9.47 12 9.26 13 9.27 14 9.47 15 9.27 16 9.47 17 9.27 18 9.27 19 9.92 20 9.27 21 9.48 22 9.75 23 9.99 24 9.75 25 9.75 26 9.99 27 9.76 28 10.26 29 10.00 30 10.00 31 10.84 32 10.00 33 10.27 34 10.23 35 10.51 36 10.23 37 10.23 38 10.51 39 10.23 40 10.75 41 10.44 42 10.44 43 11.08 44 10.44 45 10.76 46 10.45
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 20 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 47 12.76 -- 12.76 12.76 10.78 10.78 10.78 10.78 10.78 48 12.35 -- 12.35 12.35 10.45 10.45 10.45 10.45 10.45 49 12.35 -- 12.35 12.35 10.45 10.45 10.45 10.45 10.45 50 12.76 -- 12.76 12.76 10.78 10.78 10.78 10.78 10.78 51 12.36 -- 12.36 12.36 10.45 10.45 10.45 10.45 10.45 52 13.29 -- -- 13.29 10.75 10.75 10.75 10.75 10.75 53 12.86 -- -- 12.86 10.41 10.41 10.41 10.41 10.41 54 12.86 -- -- 12.86 10.41 10.41 10.41 10.41 10.41 55 14.24 -- -- 14.24 11.52 11.52 11.52 11.52 11.52 56 12.86 -- -- 12.86 10.40 10.40 10.40 10.40 10.40 57 13.30 -- -- 13.30 10.76 10.76 10.76 10.76 10.76 58 13.18 -- -- 13.18 10.60 10.60 10.60 10.60 10.60 59 13.62 -- -- 13.62 10.95 10.95 10.95 10.95 10.95 60 13.18 -- -- 13.18 10.59 10.59 10.59 10.59 10.59 61 13.18 -- -- 13.18 10.59 10.59 10.59 10.59 10.59 62 13.62 -- -- 13.62 10.95 10.95 10.95 10.95 10.95 63 13.18 -- -- 13.18 10.59 10.59 10.59 10.59 10.59 64 13.69 -- -- 13.69 10.99 10.99 10.99 10.99 10.99 65 13.25 -- -- 13.25 10.64 10.64 10.64 10.64 10.64 66 13.25 -- -- 13.25 10.63 10.63 10.63 10.63 10.63 67 14.67 -- -- 14.67 11.77 11.77 11.77 11.77 11.77 68 13.25 -- -- 13.25 10.63 10.63 10.63 10.63 10.63 69 13.69 -- -- 13.69 10.99 10.99 10.99 10.99 10.99 70 13.31 -- -- 13.31 10.67 10.67 10.67 10.67 10.67 71 13.75 -- -- 13.75 11.02 11.02 11.02 11.02 11.02 72 13.30 -- -- 13.30 10.66 10.66 10.66 10.66 10.66 73 13.30 -- -- 13.30 10.66 10.66 10.66 10.66 10.66 74 13.75 -- -- 13.75 11.02 11.02 11.02 11.02 11.02 75 13.30 -- -- 13.30 10.66 10.66 10.66 10.66 10.66 76 13.79 -- -- 13.79 11.04 11.04 11.04 11.04 11.04 77 13.34 -- -- 13.34 10.68 10.68 10.68 10.68 10.68 78 13.34 -- -- 13.34 10.68 10.68 10.68 10.68 10.68 79 14.77 -- -- 14.77 11.83 11.83 11.83 11.83 11.83 80 13.34 -- -- 13.34 10.68 10.68 10.68 10.68 10.68 81 13.79 -- -- 13.79 11.04 11.04 11.04 11.04 11.04 82 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69 83 13.80 -- -- 13.80 11.05 11.05 11.05 11.05 11.05 84 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69 85 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69 86 13.80 -- -- 13.80 11.04 11.04 11.04 11.04 11.04 87 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69 88 12.02 -- -- 12.02 11.04 11.04 11.04 11.04 11.04 89 11.50 -- -- 11.50 10.68 10.68 10.68 10.68 10.68 90 11.52 -- -- 11.52 10.68 10.68 10.68 10.68 10.68 91 12.33 -- -- 12.33 11.42 11.42 11.42 11.42 11.42 92 11.55 -- -- 11.55 10.68 10.68 10.68 10.68 10.68 93 11.96 -- -- 11.96 11.04 11.04 11.04 11.04 11.04 [TABLE CONTINUED] Period B-3 Cap (%) ------ ----------- Actual/360 47 10.78 48 10.45 49 10.45 50 10.78 51 10.45 52 10.75 53 10.41 54 10.41 55 11.52 56 10.40 57 10.76 58 10.60 59 10.95 60 10.59 61 10.59 62 10.95 63 10.59 64 10.99 65 10.64 66 10.63 67 11.77 68 10.63 69 10.99 70 10.67 71 11.02 72 10.66 73 10.66 74 11.02 75 10.66 76 11.04 77 10.68 78 10.68 79 11.83 80 10.68 81 11.04 82 10.69 83 11.05 84 10.69 85 10.69 86 11.04 87 10.69 88 11.04 89 10.68 90 10.68 91 11.42 92 10.68 93 11.04
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 21 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 94 11.59 -- -- 11.59 10.68 10.68 10.68 10.68 10.68 95 12.00 -- -- 12.00 11.04 11.04 11.04 11.04 11.04 96 11.63 -- -- 11.63 10.68 10.68 10.68 10.68 10.68 97 11.65 -- -- 11.65 10.68 10.68 10.68 10.68 10.68 98 12.06 -- -- 12.06 11.03 11.03 11.03 11.03 11.03 99 11.69 -- -- 11.69 10.68 10.68 10.68 10.68 10.68 100 12.11 -- -- 12.11 11.03 11.03 11.03 11.03 11.03 101 11.74 -- -- 11.74 10.67 10.67 10.67 10.67 10.67 102 11.76 -- -- 11.76 10.67 10.67 10.67 10.67 10.67 103 13.05 -- -- 13.05 11.82 11.82 11.82 11.82 11.82 104 11.81 -- -- 11.81 10.67 10.67 10.67 10.67 10.67 105 12.23 -- -- 12.23 11.03 11.03 11.03 11.03 11.03 106 11.86 -- -- 11.86 10.67 10.67 10.67 10.67 10.67 107 12.28 -- -- 12.28 11.03 11.03 11.03 11.03 11.03 108 11.92 -- -- 11.92 10.67 10.67 10.67 10.67 10.67 109 11.94 -- -- 11.94 10.67 10.67 10.67 10.67 10.67 110 12.37 -- -- 12.37 11.02 11.02 11.02 11.02 11.02 111 12.00 -- -- 12.00 10.67 10.67 10.67 10.67 10.67 112 12.43 -- -- 12.43 11.02 11.02 11.02 11.02 11.02 113 12.06 -- -- 12.06 10.67 10.67 10.67 10.67 10.67 114 12.10 -- -- 12.10 10.67 10.67 10.67 10.67 10.67 115 13.43 -- -- 13.43 11.81 11.81 11.81 11.81 11.81 116 12.16 -- -- 12.16 10.66 10.66 10.66 10.66 10.66 117 12.60 -- -- 12.60 11.02 11.02 11.02 11.02 11.02 118 12.23 -- -- 12.23 10.66 10.66 10.66 10.66 10.66 119 12.68 -- -- 12.68 11.02 11.02 11.02 11.02 11.02 120 12.31 -- -- 12.31 10.66 10.66 10.66 10.66 10.66 121 12.34 -- -- 12.34 10.66 10.66 10.66 10.66 10.66 122 12.80 -- -- 12.80 11.02 11.02 11.02 11.02 11.02 123 12.42 -- -- 12.42 10.66 10.66 10.66 10.66 10.66 124 12.88 -- -- 12.88 11.01 11.01 11.01 11.01 -- 125 12.51 -- -- 12.51 10.66 10.66 10.66 10.66 -- 126 12.55 -- -- 12.55 10.66 10.66 10.66 10.66 -- 127 13.94 -- -- 13.94 11.80 11.80 11.80 11.80 -- 128 12.64 -- -- 12.64 10.66 10.66 10.66 10.66 -- 129 13.11 -- -- 13.11 11.01 11.01 11.01 11.01 -- 130 12.74 -- -- 12.74 10.66 10.66 10.66 10.66 -- 131 13.21 -- -- 13.21 11.01 11.01 11.01 11.01 -- 132 12.84 -- -- 12.84 10.65 10.65 10.65 10.65 -- 133 12.89 -- -- 12.89 10.65 10.65 10.65 10.65 -- 134 13.37 -- -- 13.37 11.01 11.01 11.01 11.01 -- 135 13.00 -- -- 13.00 10.65 10.65 10.65 -- -- 136 13.49 -- -- 13.49 11.01 11.01 11.01 -- -- 137 13.11 -- -- 13.11 10.65 10.65 10.65 -- -- 138 13.17 -- -- 13.17 10.65 10.65 10.65 -- -- 139 14.14 -- -- 14.14 11.39 11.39 11.39 -- -- 140 13.29 -- -- 13.29 10.65 10.65 10.65 -- -- [TABLE CONTINUED] Period B-3 Cap (%) ------ ----------- Actual/360 94 10.68 95 11.04 96 10.68 97 10.68 98 11.03 99 10.68 100 11.03 101 10.67 102 10.67 103 11.82 104 10.67 105 11.03 106 10.67 107 11.03 108 10.67 109 10.67 110 11.02 111 10.67 112 -- 113 -- 114 -- 115 -- 116 -- 117 -- 118 -- 119 -- 120 -- 121 -- 122 -- 123 -- 124 -- 125 -- 126 -- 127 -- 128 -- 129 -- 130 -- 131 -- 132 -- 133 -- 134 -- 135 -- 136 -- 137 -- 138 -- 139 -- 140 --
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. ------------------------------------------------------------------------------- Page 22 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2) **
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) ------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 141 13.80 -- -- 13.80 11.01 11.01 11.01 -- -- 142 13.42 -- -- 13.42 10.65 10.65 10.65 -- -- 143 13.94 -- -- 13.94 11.00 11.00 11.00 -- -- 144 13.56 -- -- 13.56 10.65 10.65 10.65 -- -- 145 13.63 -- -- 13.63 10.65 10.65 -- -- -- 146 14.16 -- -- 14.16 11.00 11.00 -- -- -- 147 13.78 -- -- 13.78 10.65 10.65 -- -- -- 148 14.32 -- -- 14.32 11.00 11.00 -- -- -- 149 13.93 -- -- 13.93 10.65 10.65 -- -- -- 150 14.02 -- -- 14.02 10.65 10.65 -- -- -- 151 15.61 -- -- 15.61 11.79 11.79 -- -- -- 152 14.18 -- -- 14.18 10.65 10.65 -- -- -- 153 14.75 -- -- 14.75 11.00 11.00 -- -- -- 154 14.36 -- -- 14.36 10.65 10.65 -- -- -- 155 14.94 -- -- 14.94 11.00 11.00 -- -- -- 156 14.55 -- -- 14.55 10.65 10.65 -- -- -- 157 14.65 -- -- 14.65 10.65 10.65 -- -- -- 158 15.24 -- -- 15.24 11.00 11.00 -- -- -- 159 14.85 -- -- 14.85 10.64 10.64 -- -- -- 160 15.45 -- -- 15.45 11.00 11.00 -- -- -- 161 15.06 -- -- 15.06 10.64 10.64 -- -- -- 162 15.17 -- -- 15.17 10.64 10.64 -- -- -- 163 16.92 -- -- 16.92 11.78 11.78 -- -- -- 164 15.40 -- -- 15.40 10.64 10.64 -- -- -- 165 16.04 -- -- 16.04 11.00 -- -- -- -- 166 15.64 -- -- 15.64 10.64 -- -- -- -- 167 16.30 -- -- 16.30 11.00 -- -- -- -- 168 15.90 -- -- 15.90 10.64 -- -- -- -- 169 16.03 -- -- 16.03 10.64 -- -- -- -- 170 16.71 -- -- 16.71 11.00 -- -- -- -- 171 16.31 -- -- 16.31 10.64 -- -- -- -- 172 17.00 -- -- 17.00 11.00 -- -- -- -- 173 16.60 -- -- 16.60 10.64 -- -- -- -- 174 16.76 -- -- 16.76 10.64 -- -- -- -- 175 18.72 -- -- 18.72 11.78 -- -- -- -- 176 17.07 -- -- 17.07 10.64 -- -- -- -- 177 17.98 -- -- 17.98 11.02 -- -- -- -- 178 18.05 -- -- 18.05 10.72 -- -- -- -- 179 18.93 -- -- 18.93 -- -- -- -- -- 180 18.66 -- -- 18.66 -- -- -- -- -- 181 19.02 -- -- 19.02 -- -- -- -- -- 182 20.05 -- -- 20.05 -- -- -- -- -- 183 19.81 -- -- 19.81 -- -- -- -- -- 184 20.93 -- -- 20.93 -- -- -- -- -- 185 20.73 -- -- 20.73 -- -- -- -- -- 186 21.24 -- -- 21.24 -- -- -- -- -- 187 23.29 -- -- 23.29 -- -- -- -- -- [TABLE CONTINUED] Period B-3 Cap (%) ------ ----------- Actual/360 141 -- 142 -- 143 -- 144 -- 145 -- 146 -- 147 -- 148 -- 149 -- 150 -- 151 -- 152 -- 153 -- 154 -- 155 -- 156 -- 157 -- 158 -- 159 -- 160 -- 161 -- 162 -- 163 -- 164 -- 165 -- 166 -- 167 -- 168 -- 169 -- 170 -- 171 -- 172 -- 173 -- 174 -- 175 -- 176 -- 177 -- 178 -- 179 -- 180 -- 181 -- 182 -- 183 -- 184 -- 185 -- 186 -- 187 --
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 23 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) ------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 188 22.38 -- -- 22.38 -- -- -- -- -- 189 23.80 -- -- 23.80 -- -- -- -- -- 190 23.74 -- -- 23.74 -- -- -- -- -- 191 25.33 -- -- 25.33 -- -- -- -- -- 192 25.36 -- -- 25.36 -- -- -- -- -- 193 26.30 -- -- 26.30 -- -- -- -- -- 194 28.25 -- -- 28.25 -- -- -- -- -- 195 28.49 -- -- 28.49 -- -- -- -- -- 196 30.78 -- -- 30.78 -- -- -- -- -- 197 31.25 -- -- 31.25 -- -- -- -- -- 198 32.91 -- -- 32.91 -- -- -- -- -- 199 38.54 -- -- 38.54 -- -- -- -- -- 200 37.00 -- -- 37.00 -- -- -- -- -- 201 40.89 -- -- 40.89 -- -- -- -- -- 202 42.61 -- -- 42.61 -- -- -- -- -- 203 47.81 -- -- 47.81 -- -- -- -- -- 204 50.74 -- -- 50.74 -- -- -- -- -- 205 56.35 -- -- 56.35 -- -- -- -- -- 206 65.70 -- -- 65.70 -- -- -- -- -- 207 73.25 -- -- 73.25 -- -- -- -- -- 208 89.72 -- -- 89.72 -- -- -- -- -- 209 107.30 -- -- 107.30 -- -- -- -- -- 210 - -- -- - -- -- -- -- -- [TABLE CONTINUED] Period B-3 Cap (%) ------ ----------- Actual/360 188 -- 189 -- 190 -- 191 -- 192 -- 193 -- 194 -- 195 -- 196 -- 197 -- 198 -- 199 -- 200 -- 201 -- 202 -- 203 -- 204 -- 205 -- 206 -- 207 -- 208 -- 209 -- 210 --
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 24 Interest Rate Cap Schedules
Group II Class A Cap Class M Cap Class B Cap ------------------------- ------------------------- ------------------------- Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % 1 478,203,000.00 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 2 465,818,501.84 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 3 453,558,017.77 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 4 441,415,577.28 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 5 429,386,100.70 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 6 417,465,041.91 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 7 405,648,752.72 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 8 393,934,391.43 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 9 382,319,896.29 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 10 370,803,973.14 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 11 359,386,179.94 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 12 348,069,626.54 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 13 336,855,893.05 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 14 325,874,297.31 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 15 315,154,032.74 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 16 304,688,908.71 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 17 294,472,899.45 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 18 284,500,092.88 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 19 274,764,723.33 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 20 265,261,158.41 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 21 255,983,904.90 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 22 246,928,012.58 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25 23 238,128,331.15 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25 24 229,537,389.15 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25 25 221,150,238.30 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25 26 212,962,066.36 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25 27 204,968,174.35 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25 28 197,163,974.00 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50 29 189,544,999.09 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50 30 182,106,862.09 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50 31 174,845,289.34 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50 32 167,756,109.75 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50 33 160,835,250.46 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50 34 154,079,335.66 8.95 10.55 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75 35 147,485,118.41 8.95 10.55 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75 36 141,047,484.09 8.95 10.55 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75 37 -- -- -- 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75 38 -- -- -- 183,286,000.00 7.70 9.50 46,514,073.88 6.15 7.75 39 -- -- -- 171,830,767.37 7.70 9.50 45,382,748.93 6.15 7.75 40 -- -- -- 160,631,068.12 8.35 9.50 44,294,767.04 6.80 7.95 41 -- -- -- 149,697,351.25 8.35 9.50 43,232,623.72 6.80 7.95 42 -- -- -- 139,023,337.24 8.35 9.50 42,195,708.92 6.80 7.95 43 -- -- -- 135,661,573.30 8.35 9.50 41,183,426.99 6.80 7.95 44 -- -- -- 132,406,260.56 8.35 9.50 40,195,196.27 6.80 7.95 45 -- -- -- 129,228,303.50 8.35 9.50 39,230,448.79 6.80 7.95 46 -- -- -- 126,125,875.19 8.95 9.50 38,288,629.92 7.40 7.95 47 -- -- -- 123,097,191.68 8.95 9.50 37,369,198.10 7.40 7.95 48 -- -- -- 120,140,510.98 8.95 9.50 36,471,624.51 7.40 7.95 49 -- -- -- 117,254,132.08 8.95 9.50 35,595,392.79 7.40 7.95 50 -- -- -- 114,436,394.06 8.95 9.50 34,739,998.70 7.40 7.95 51 -- -- -- 111,685,674.98 8.95 9.50 33,904,949.87 7.40 7.95 52 -- -- -- -- -- -- -- -- --
-------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 25 ------------------------------------------------- Class A-3 Target Balance Schedule ------------------------------------------------- Distribution Date Month Target Balance ($) ----------------------- ----------------- August 2011 $15,960,164.63 September 2011 $14,577,517.26 October 2011 $13,201,843.34 November 2011 $11,833,105.47 December 2011 $10,471,266.42 January 2012 $9,116,289.19 February 2012 $7,768,136.95 March 2012 $6,426,773.07 April 2012 $5,092,161.11 May 2012 $3,764,264.83 June 2012 $2,443,048.18 July 2012 $1,128,475.28 August 2012 and thereafter -- ------------------------------------------------- -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 26 -------------------------------------------------------------------------------- Morgan Stanley Securitized Products Group [GRAPHIC OMITTED] July 22, 2004 -------------------------------------------------------------------------------- Computational Materials $717,130,000 Approximately Morgan Stanley ABS Capital I Inc. Series 2004-WMC2 Mortgage Pass-Through Certificates -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 1 -------------------------------------------------------------------------------- Morgan Stanley Securitized Products Group [GRAPHIC OMITTED] July 22, 2004 -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. Any such offer to buy or sell any security or instrument or to engage in a transaction would be made only after a prospective participant had completed its own independent investigation of the transaction and received all information it required to make its own investment decision, including, where applicable, a review of any offering circular or memorandum describing such security or instrument which would contain material information not contained herein and to which prospective participants are referred. In the event of any such offering, this information shall be deemed superseded and replaced in its entirety by such offering circular or memorandum. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities or transactions would conform to the terms hereof. Morgan Stanley and its affiliates disclaim any and all liability relating to this information. The following information may contain general, summary discussions of certain tax, regulatory, accounting and/or legal issues relevant to the proposed transaction. Any such discussion is necessarily generic and may not be applicable to or complete for any particular recipient's specific facts and circumstances. Morgan Stanley is not offering and does not purport to offer tax, regulatory, accounting or legal advice and this information should not and cannot be relied upon as such. Prior to entering into any proposed transaction, recipients should determine, in consultation with their own legal, tax, regulatory and accounting advisors, the economic risks and merits, as well as the legal, tax, regulatory and accounting characteristics and consequences, of the transaction. The projections or other estimates in these materials (if any), including estimates of returns or performance, are forward-looking statements based upon certain assumptions and are preliminary in nature. Actual results are difficult to predict and may depend upon events outside the issuer's or counterparty's control. Actual events may differ from those assumed and changes to any assumptions may have a material impact on any projections or estimates. Other events which were not taken into account may occur and may significantly affect the analysis. Certain assumptions may have been made for modeling purposes only to simplify the presentation and/or calculation of any projections or estimates, and Morgan Stanley does not purport that any such assumptions will reflect actual future events. Accordingly, there can be no assurance that estimated returns or projections will be realized or that actual returns or performance results will not be materially different than those estimated herein. Any such estimated returns and projections should be viewed as hypothetical. Recipients should conduct their own analysis, using such assumptions as they deem appropriate, and should fully consider other available information in making a decision regarding these transactions. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Notwithstanding any other express or implied agreement, arrangement, or understanding to the contrary, Morgan Stanley and each recipient hereof are deemed to agree that both Morgan Stanley and such recipient (and their respective employees, representatives, and other agents) may disclose to any and all persons, without limitation of any kind from the commencement of discussions, the U.S. federal income tax treatment of the transaction ("tax treatment") and any fact that may be relevant to understanding the tax treatment of the transaction described herein ("tax structure") and all materials of any kind (including opinions or other tax analyses) that are provided to such person relating to such tax treatment and tax structure, except where confidentiality is reasonably necessary to comply with securities laws (including, where applicable, confidentiality regarding the identity of an issuer of securities or its affiliates, agents and advisors). The offer or sale of securities or transactions may be restricted by law. Additionally, transfers of any such securities or instruments may be limited by law or the terms thereof. Unless noted herein, neither Morgan Stanley or any issuer of securities has taken or will take any action in any jurisdiction that would permit a public offering of Notes, or possession or distribution of any offering material in relation thereto, in any country or jurisdiction where action for such purpose is required. Recipients are required to inform themselves of and comply with any legal or contractual restrictions on their purchase, holding, sale, exercise of rights or performance of obligations under any transaction. Morgan Stanley does not undertake or have any responsibility to notify you of any changes to the attached information. Morgan Stanley & Co. Incorporated, its affiliates and others associated with it may have positions in, and may effect transactions in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Additional information is available upon request. With respect to any UK recipients, this communication is directed only to those persons who are market counterparties or intermediate customers (as defined in the UK Financial Services Authority's rules). -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 2 -------------------------------------------------------------------------------- Morgan Stanley Securitized Products Group [GRAPHIC OMITTED] July 22, 2004 -------------------------------------------------------------------------------- Approximately $717,130,000 Morgan Stanley ABS Capital I Inc., Series 2004-WMC2 Morgan Stanley ABS Capital I Inc. Depositor HomEq Servicing Corp Servicer Transaction Highlights
---------------------------------------------------------------------------------------------------------------------------- Expected Modified Ratings Avg Life to Duration Initial Offered (S&P/Fitch/ Call / To Call Mty Payment Window To Subordination Classes Description Balance(4) Moody's) Mty (1)(2) (1)(2)(3) Call / Mty (1)(2) Level ---------------------------------------------------------------------------------------------------------------------------- A-1 Not Offered 565,874,000 AAA/AAA/Aaa 2.69 / 2.92 ***Not Offered*** 20.25% A-2 Floater 200,000,000 AAA/AAA/Aaa 2.68 / 2.89 2.58 / 2.77 09/04 - 08/12 / 09/04 - 08/21 20.25% A-3 Floater 155,750,000 AAA/AAA/Aaa 1.04 / 1.04 1.03 / 1.03 09/04 - 10/06 / 09/04 - 10/06 20.25% A-4 Floater 59,253,000 AAA/AAA/Aaa 2.91 / 2.91 2.85 / 2.85 10/06 - 10/08 / 10/06 - 10/08 20.25% A-5 Floater 63,200,000 AAA/AAA/Aaa 6.50 / 7.45 6.12 / 6.91 10/08 - 08/12 / 10/08 - 08/21 20.25% M-1 Floater 91,643,000 AA/AA/Aa2 5.35 / 5.91 5.06 / 5.52 11/07 - 08/12 / 11/07 - 05/19 13.25% M-2 Floater 68,732,000 A/A/A2 5.32 / 5.82 4.93 / 5.32 10/07 - 08/12 / 10/07 - 01/18 8.00% M-3 Floater 22,911,000 A-/A-/A3 5.32 / 5.74 4.89 / 5.22 10/07 - 08/12 / 10/07 - 06/16 6.25% B-1 Floater 19,638,000 BBB+/BBB+/Baa1 5.30 / 5.66 4.80 / 5.07 09/07 - 08/12 / 09/07 - 08/15 4.75% B-2 Floater 16,365,000 BBB/BBB/Baa2 5.30 / 5.56 4.79 / 4.98 09/07 - 08/12 / 09/07 - 09/14 3.50% B-3 Floater 19,638,000 BBB-/BBB-/Baa3 5.28 / 5.34 4.54 / 4.58 09/07 - 08/12 / 09/07 - 09/13 2.00% ---------------------------------------------------------------------------------------------------------------------------- [TABLE CONTINUED] --------------------- Offered Classes Benchmark --------------------- A-1 1 Mo. LIBOR A-2 1 Mo. LIBOR A-3 1 Mo. LIBOR A-4 1 Mo. LIBOR A-5 1 Mo. LIBOR M-1 1 Mo. LIBOR M-2 1 Mo. LIBOR M-3 1 Mo. LIBOR B-1 1 Mo. LIBOR B-2 1 Mo. LIBOR B-3 1 Mo. LIBOR ---------------------
Notes: (1) Certificates are priced to the 10% optional clean-up call. ----- (2) Based on the pricing prepayment speed. See details below. (3) Assumes pricing at par. (4) Bond sizes subject to a variance of plus or minus 5%. Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-WMC2. Depositor: Morgan Stanley ABS Capital I Inc. Originator: WMC Mortgage Corp. Servicer: HomEq Servicing Corp. Trustee: Deutsche Bank National Trust Company. Managers: Morgan Stanley (lead manager), Blaylock & Partners, L.P. and Utendahl Capital Partners, L.P. Rating Agencies: Standard & Poor's, Fitch Ratings and Moody's Investors Service. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 3 Offered Certificates: The Class A-2, A-3, A-4, A-5, M-1, M-2, M-3, B-1, B-2 and B-3 Certificates. Class A Certificates: The Class A-1, A-2, A-3, A-4 and A-5 Certificates. Group II Class A The Class A-2, Class A-3, Class A-4 and Class A-5 Certificates: Certificates. Group II Class A The Class A-3, Class A-4 and Class A-5 Certificates. Sequential Certificates: Class A Certificate The Class A-1 Certificates and Group II Class A Group: Certificates, as applicable. Expected Closing August 19, 2004 through DTC and Euroclear or Date: Clearstream. The Certificates will be sold without accrued interest. Cut-off Date: August 1, 2004 Distribution Dates: The 25th of each month, or if such day is not a business day, on the next business day, beginning September 27, 2004. Final Scheduled For the Class A-3 Certificates, the Distribution Date Distribution Date: occurring in [August 2013], and for all other Offered Certificates, the Distribution Date occurring in July 2034. Minimum Denomination: The Offered Certificates will be issued and available in denominations of $25,000 initial principal balance and integral multiples of $1 in excess of $25,000. Due Period: For any Distribution Date, the calendar month preceding the month in which that Distribution Date occurs. Interest Accrual The interest accrual period for the Offered Certificates Period: with respect to any Distribution Date will be the period beginning with the previous Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the day prior to the current Distribution Date (on an actual/360 day count basis). Mortgage Loans: The Trust will consist of two groups of adjustable and fixed rate sub-prime residential, first-lien and second- lien mortgage loans. Group I Mortgage Approximately $709.6 million of Mortgage Loans with Loans: original principal balances that conform to the original principal balance limits for one- to four-family residential mortgage loan guidelines for purchase by Freddie Mac. Group II Mortgage Approximately $599.6 million of Mortgage Loans that Loans: predominantly have original principal balances that may or may not conform to the original principal balance limits for one- to four-family residential mortgage loan guidelines for purchase by Freddie Mac. Pricing Prepayment o Fixed Rate Mortgage Loans: CPR starting at Speed: approximately 1.5333% CPR in month 1 and increasing to 23% CPR in month 15 (23%/15 increase for each month), and remaining at 23% CPR thereafter o ARM Mortgage Loans: 25% CPR -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 4 Credit Enhancement: The Offered Certificates are credit enhanced by: 1) Net monthly excess cashflow from the Mortgage Loans, 2) 2.00% overcollateralization (funded upfront). On and after the Step-down Date, so long as a Trigger Event is not in effect, the required overcollateralization will equal 4.00% of the aggregate principal balance of the Mortgage Loans as of the last day of the applicable Due Period, subject to a 0.50% floor, based on the aggregate principal balance of the Mortgage Loans as of the cut-off date, provided, however, that if, on any distribution date, a Trigger Event exists, the required overcollateralization will not be reduced to the applicable percentage of the then Stated Principal Balance of the mortgage loans but instead remain the same as the prior period's required overcollateralization until the distribution date on which a Trigger Event no longer exists; and 3) Subordination of distributions on the more subordinate classes of certificates (if applicable) to the required distributions on the more senior classes of certificates. Senior Enhancement For any Distribution Date, the percentage obtained by Percentage: dividing (x) the aggregate Certificate Principal Balance of the subordinate certificates (together with any overcollateralization and taking into account the distributions of the Principal Distribution Amount for such Distribution Date) by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period. Step-down Date: The later to occur of: (x) The earlier of: (a) The Distribution Date occurring in September 2007; and (b) The Distribution Date on which the aggregate balance of the Class A Certificates is reduced to zero; and (y) The first Distribution Date on which the Senior Enhancement Percentage (calculated for this purpose only after taking into account payments of principal on the Mortgage Loans on the last day of the related Due Period but prior to principal distributions to the certificates on the applicable Distribution Date) is greater than or equal to approximately 40.50%. Trigger Event: Either a Delinquency Trigger Event or a Cumulative Loss Trigger Event. Delinquency Trigger A Delinquency Trigger Event is in effect on any Event: Distribution Date if on that Distribution Date the 60 Day+ Rolling Average equals or exceeds 40% of the prior period's Senior Enhancement Percentage. The 60 Day+ Rolling Average will equal the rolling 3 month average percentage of Mortgage Loans that are 60 or more days delinquent. Cumulative Loss A Cumulative Loss Trigger Event is in effect on any Trigger Event: Distribution Date if the aggregate amount of Realized Losses incurred since the cut-off date through the last day of the related Prepayment Period divided by the aggregate Stated Principal Balance of the mortgage loans as of the cut-off date exceeds the applicable percentages described below with respect to such distribution date: Months 37- 48 [3.25] for the first month, plus an additional 1/12th of [1.75] for each month thereafter (e.g., [4.125] in Month 43) Months 49- 60 [5.00] for the first month, plus an additional 1/12th of [1.25] for each month thereafter (e.g., [5.625] in Month 55) Months 61- 72 [6.25] for the first month, plus an additional 1/12th of [0.50] for each month thereafter (e.g., [6.500] in Month 67) Months 72- [6.75] thereafter -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 5 Initial Class A: 20.25% Subordination Class M-1: 13.25% Percentage: Class M-2: 8.00% Class M-3: 6.25% Class B-1: 4.75% Class B-2: 3.50% Class B-3: 2.00% Optional Clean-up When the current aggregate principal balance of the Call: Mortgage Loans is less than or equal to 10% of the aggregate principal balance of the Mortgage Loans as of the cut-off date. Step-up Coupons: For all Offered Certificates the coupon will increase after the optional clean-up call date, should the call not be exercised. The applicable fixed margin will increase by 2x on the Class A Certificates and by 1.5x on all other Certificates after the first distribution date on which the Optional Clean-up Call is exercisable. Class A-1 Pass- The Class A-1 Certificates will accrue interest at a Through Rate: variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group I Cap and (iii) the WAC Cap. Class A-2, A-3, A-4 The Class A-2, A-3, A-4 and A-5 Certificates will accrue and A-5 Pass- interest at a variable rate equal to the least of (i) Through Rate: one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group II Cap and (iii) the WAC Cap. Class M-1 The Class M-1 Certificates will accrue interest at a Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class M-2 The Class M-2 Certificates will accrue interest at a Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class M-3 The Class M-3 Certificates will accrue interest at a Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class B-1 The Class B-1 Certificates will accrue interest at a Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class B-2 The Class B-2 Certificates will accrue interest at a Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class B-3 The Class B-3 Certificates will accrue interest at a Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 6 WAC Cap: As to any Distribution Date a per annum rate equal to the product of (i) the weighted average gross rate of the Mortgage Loans in effect on the beginning of the related Due Period less servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period. Loan Group I Cap: As to any Distribution Date, a per annum rate equal to the product of (i) weighted average gross rate of the Group I Mortgage Loans in effect on the beginning of the related Due Period less servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period. Loan Group II Cap: As to any Distribution Date, a per annum rate equal to the product of (i) weighted average gross rate of the Group II Mortgage Loans in effect on the beginning of the related Due Period less servicing, trustee and other fee rates, and (ii) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period. Class A-1 Basis Risk As to any Distribution Date, the supplemental interest Carry Forward Amount: amount for the Class A-1 Certificates will equal the sum of: (i) The excess, if any, of interest that would otherwise be due on such Certificates at the Class A-1 Pass-Through Rate (without regard to the Loan Group I Cap or WAC Cap) over interest due such Certificates at a rate equal to the lesser of the Loan Group I Cap or WAC Cap; (ii) Any Class A-1 Basis Risk Carry Forward Amount remaining unpaid from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the related Class A-1 Pass-Through Rate (without regard to the Loan Group I Cap or WAC Cap). Class A-2, A-3, A-4 As to any Distribution Date, the supplemental interest and A-5 Basis Risk amount for each of the Class A-2, A-3, A-4 and A-5 Carry Forward Amount: Certificates will equal the sum of: (i) The excess, if any, of interest that would otherwise be due on such Certificates at the Class A-2, A-3, A-4 and A-5 Pass-Through Rates (without regard to the Loan Group II Cap or WAC Cap) over interest due such Certificates at a rate equal to the lesser of the Loan Group II Cap or WAC Cap; (ii) Any Class A-2, A-3, A-4 and A-5 Basis Risk Carry Forward Amount remaining unpaid from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the related Class A-2, A-3, A-4 and A-5 Pass-Through Rate (without regard to the Loan Group II Cap or WAC Cap). Carry Forward Amount: Group II Cap or WAC Cap). Class M-1, M-2, M-3, As to any Distribution Date, the supplemental interest B-1, B-2 and B-3 amount for each of the Class M-1, M-2, M-3, B-1, B-2 and Basis Risk Carry B-3 Certificates will equal the sum of: Forward Amounts: (i) The excess, if any, of interest that would otherwise be due on such Certificates at such Certificates' applicable Pass-Through Rate (without regard to the WAC Cap) over interest due such Certificates at a rate equal to the WAC Cap; (ii) Any Basis Risk Carry Forward Amount for such class remaining unpaid for such Certificate from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the Certificates' applicable Pass-Through Rate (without regard to the WAC Cap). -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 7 Interest On each Distribution Date and after payments of Distributions on servicing and trustee fees and other expenses, interest Offered Certificates: distributions from the Interest Remittance Amount will be allocated as follows: (i) The portion of the Interest Remittance Amount attributable to the Group I Mortgage Loans will be allocated according to the related Accrued Certificate Interest and any unpaid interest shortfall amounts for such class, as applicable, first, to the Class A-1 Certificates and second, pro rata to the Group II Class A Certificates; (ii) The portion of the Interest Remittance Amount attributable to the Group II Mortgage Loans will be allocated according to the related Accrued Certificate Interest and any unpaid interest shortfall amounts for such class, as applicable, first, pro rata to the Group II Class A Certificates and second, to the Class A-1 Certificates; (iii) To the Class M-1 Certificates, its Accrued Certificate Interest; (iv) To the Class M-2 Certificates, its Accrued Certificate Interest; (v) To the Class M-3 Certificates, its Accrued Certificate Interest; (vi) To the Class B-1 Certificates, its Accrued Certificate Interest; (vii) To the Class B-2 Certificates, its Accrued Certificate Interest; and (viii) To the Class B-3 Certificates, its Accrued Certificate Interest. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 8 Principal On each Distribution Date (a) prior to the Stepdown Date Distributions on or (b) on which a Trigger Event is in effect, principal Offered Certificates: distributions from the Principal Distribution Amount will be allocated as follows: (i) to the Class A Certificates, allocated between the Class A Certificates as described below, until the Certificate Principal Balances thereof have been reduced to zero; (ii) to the Class M-1 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (iii) to the Class M-2 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (iv) to the Class M-3 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (v) to the Class B-1 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (vi) to the Class B-2 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; and (vii) to the Class B-3 Certificates, until the Certificate Principal Balance thereof has been reduced to zero. On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, the principal distributions from the Principal Distribution Amount will be allocated as follows: (i) to the Class A Certificates, the lesser of the Principal Distribution Amount and the Class A Principal Distribution Amount, allocated between the Class A Certificates as described below, until the Certificate Principal Balances thereof have been reduced to zero; (ii) to the Class M-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (iii) to the Class M-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (iv) to the Class M-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-3 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (v) to the Class B-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (vi) to the Class B-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; and (vii) to the Class B-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-3 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 9 Class A Principal Except as described below, the Group II Class A Allocation: Sequential Certificates will receive principal sequentially; the Class A-4 Certificates will not receive principal distributions until the Certificate Principal Balance of the Class A-3 Certificates has been reduced to zero, and the Class A-5 Certificates will not receive principal distributions until the Certificate Principal Balance of the Class A-4 Certificates has been reduced to zero. All principal distributions to the holders of the Class A Certificates on any Distribution Date will be allocated concurrently between the Class A-1 Certificates, on the one hand, and the Group II Class A Certificates, on the other hand, based on the Class A Principal Allocation Percentage for the Class A-1 Certificates and the Group II Class A Certificates, as applicable. However, if the Class Certificate Balances of the Class A Certificates in either Class A Certificate Group are reduced to zero, then the remaining amount of principal distributions distributable to the Class A Certificates on that Distribution Date, and the amount of those principal distributions distributable on all subsequent Distribution Dates, will be distributed to the holders of the Class A certificates in the other Class A Certificate Group remaining outstanding, in accordance with the principal distribution allocations described herein, until their Class Certificate Balances have been reduced to zero. Any payments of principal to the Class A-1 Certificates will be made first from payments relating to the Group I Mortgage Loans, and any payments of principal to the Group II Class A Certificates will be made first from payments relating to the Group II Mortgage Loans. Any principal distributions allocated to the Group II Class A Certificates are required to be distributed pro rata between the Class A-2 Certificates and the Group II Class A Sequential Certificates. Principal distributions to the Group II Class A Sequential Certificates will be allocated first to the Class A-3 Certificates, until their Class Certificate Balance has been reduced to zero, then to the Class A-4 Certificates, until their Class Certificate Balance has been reduced to zero, and then to the Class A-5 Certificates, until their Class Certificate Balance has been reduced to zero. Notwithstanding the above, in the event that all subordinate classes, including the Class X certificates, have been reduced to zero, principal distributions to the Group II Class A Certificates will be distributed pro rata between the Class A-2, Class A-3, Class A-4 and Class A-5 Certificates with the exception that if a Class A-3 Accelerated Amortization Event is also in effect, principal distributions to the Group II Class A Certificates will be sequential to the Class A-3 Certificates and then pro rata between the Class A-2, Class A-4 and Class A-5 Certificates. Group II Class A Beginning on the first Distribution Date, and for a Interest Rate Cap: period of 35 months thereafter, an Interest Rate Cap will be entered into by the Trust for the benefit of the Group II Class A Certificates. For its duration, the Group II Class A Interest Rate Cap pays the Trust the product of (i) the excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the cap strike (on an Actual/360 day count basis) and (ii) the Group II Class A Interest Rate Cap Notional Balance ("the Group II Class A Interest Rate Cap Payment") as described on the schedule herein. Group II Class A The Group II Class A Interest Rate Cap Payment shall be Interest Rate Cap available to pay any Basis Risk Carry Forward Amount due Payment Allocation: to the Class A-2, A-3, A-4 and A-5 Certificates on a pro rata basis. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 10 Class M Interest Beginning on the first Distribution Date, and for a Rate Cap: period of 50 months thereafter, an Interest Rate Cap will be entered into by the Trust for the benefit of the Class M Certificates. For its duration, the Class M Interest Rate Cap pays the Trust the product of (i) the excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the cap strike (on an Actual/360 day count basis) and (ii) the Class M Interest Rate Cap Notional Balance ("the Class M Interest Rate Cap Payment") as described on the schedule herein. Class M Interest The Class M Interest Rate Cap Payment shall be available Rate Cap Payment to pay any Basis Risk Carry Forward Amount due to the Allocation: Class M-1, Class M-2 and Class M-3 Certificates on a pro rata basis. Class B Interest Beginning on the first Distribution Date, and for a Rate Cap: period of 50 months thereafter, an Interest Rate Cap will be entered into by the Trust for the benefit of the Class B Certificates. For its duration, the Class B Interest Rate Cap pays the Trust the product of (i) the excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the cap strike (on an Actual/360 day count basis) and (ii) the Class B Interest Rate Cap Notional Balance ("the Class B Interest Rate Cap Payment") as described on the schedule herein. Class B Interest The Class B Interest Rate Cap Payment shall be available Rate Cap Payment to pay any Basis Risk Carry Forward Amount due to the Allocation: Class B-1, Class B-2 and Class B-3 Certificates on a pro rata basis. Allocation of Net For any Distribution Date, any Net Monthly Excess Monthly Excess Cashflow shall be paid as follows: Cashflow: (i) to the Class M-1 Certificates, the unpaid interest shortfall amount; (ii) to the Class M-1 Certificates, the allocated unreimbursed realized loss amount; (iii) to the Class M-2 Certificates, the unpaid interest shortfall amount; (iv) to the Class M-2 Certificates, the allocated unreimbursed realized loss amount; (v) to the Class M-3 Certificates, the unpaid interest shortfall amount; (vi) to the Class M-3 Certificates, the allocated unreimbursed realized loss amount; (vii) to the Class B-1 Certificates, the unpaid interest shortfall amount; (viii)to the Class B-1 Certificates, the allocated unreimbursed realized loss amount; (ix) to the Class B-2 Certificates, the unpaid interest shortfall amount; (x) to the Class B-2 Certificates, the allocated unreimbursed realized loss amount; (xi) to the Class B-3 Certificates, the unpaid interest shortfall amount; (xii) to the Class B-3 Certificates, the allocated unreimbursed realized loss amount; (xiii)concurrently, any Class A-1 Basis Risk Carry Forward Amount to the Class A-1 Certificates, and any Group II Class A Basis Risk Carry Forward Amount to the Group II Class A Certificates; and (xiv) sequentially, to Classes M-1, M-2, M-3, B-1, B-2 and B-3 Certificates, in such order, any Basis Risk Carry Forward Amount for such classes; and (xv) in the event that a Class A-3 Accelerated Amortization Event is in effect, to the Class A-3 certificates as additional principal in the amount equal to the Class A-3 Accelerated Amortization Amount until their Class Certificate Balance has been reduced to zero. Interest Remittance For any Distribution Date, the portion of available Amount: funds for such Distribution Date attributable to interest received or advanced on the Mortgage Loans. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 11 Accrued Certificate For any Distribution Date and each class of Offered Interest: Certificates, equals the amount of interest accrued during the related interest accrual period at the related Pass-through Rate, reduced by any prepayment interest shortfalls and shortfalls resulting from the application of the Servicemembers Civil Relief Act or similar state law allocated to such class. Principal On any Distribution Date, the sum of (i) the Basic Distribution Amount: Principal Distribution Amount and (ii) the Extra Principal Distribution Amount. Basic Principal On any Distribution Date, the excess of (i) the Distribution Amount: aggregate principal remittance amount over (ii) the Excess Subordinated Amount, if any. Net Monthly Excess For any Distribution Date is the amount of funds Cashflow: available for distribution on such Distribution Date remaining after making all distributions of interest and principal on the certificates. Extra Principal For any Distribution Date, the lesser of (i) the excess Distribution Amount: of (x) interest collected or advanced with respect to the Mortgage Loans with due dates in the related Due Period (less servicing and trustee fees and expenses), over (y) the sum of interest payable on the Certificates on such Distribution Date and (ii) the overcollateralization deficiency amount for such Distribution Date. Excess Subordinated For any Distribution Date, means the excess, if any of Amount: (i) the overcollateralization and (ii) the required overcollateralization for such Distribution Date. Class A Principal For any Distribution Date, the percentage equivalent of Allocation a fraction, determined as follows: (i) in the case of Percentage: the Class A-1 Certificates the numerator of which is (x) the portion of the principal remittance amount for such Distribution Date that is attributable to principal received or advanced on the Group I Mortgage Loans and the denominator of which is (y) the principal remittance amount for such Distribution Date and (ii) in the case of the Group II Class A Certificates, the numerator of which is (x) the portion of the principal remittance amount for such Distribution Date that is attributable to principal received or advanced on the Group II Mortgage Loans and the denominator of which is (y) the principal remittance amount for such Distribution Date. Class A Principal For any Distribution Date, an amount equal to the excess Distribution Amount: of (x) the aggregate Certificate Principal Balance of the Class A Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 59.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $6,545,939. Class A-3 Accelerated With respect to any Distribution Date beginning with the Amortization Event: Distribution Date in [August 2011], until the Class Certificate Balance of the Class A-3 Certificates has been reduced to zero, a Class A-3 Accelerated Amortization Event exists if the Class Certificate Balance of the Class A-3 Certificates (after application of the Principal Distribution Amount on that Distribution Date) exceeds a target amount for such Distribution Date, as set forth on the Class A-3 Target Balance Schedule attached hereto. Class A-3 With respect to any Distribution Date, the lesser of (a) Accelerated the amount of funds remaining after making payments Amortization Amount: pursuant to clause (xiv) of the Allocation of Net Monthly Excess Cashflow described above and (b) the Class Certificate Balance of the Class A-3 certificates (after application of the related Principal Distribution Amount on that Distribution Date). Class M-1 Principal For any Distribution Date, an amount equal to the excess Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date) and (ii) the Certificate Principal Balance of the Class M-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 73.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $6,545,939. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 12 Class M-2 Principal For any Distribution Date, an amount equal to the excess Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date) and (iii) the Certificate Principal Balance of the Class M-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 84.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $6,545,939. Class M-3 Principal For any Distribution Date, an amount equal to the excess Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date) and (iv) the Certificate Principal Balance of the Class M-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 87.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $6,545,939. Class B-1 Principal For any Distribution Date, an amount equal to the excess Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date) and (v) the Certificate Principal Balance of the Class B-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 90.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $6,545,939. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 13 Class B-2 Principal For any Distribution Date, an amount equal to the excess Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date) and (vi) the Certificate Principal Balance of the Class B-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 93.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $6,545,939. Class B-3 Principal For any Distribution Date, an amount equal to the excess Distribution Amount: of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date), (vi) the Certificate Principal Balance of the Class B-2 Certificates (after taking into account the payment of the Class B-2 Principal Distribution Amount on such Distribution Date) and (vii) the Certificate Principal Balance of the Class B-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 96.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $6,545,939. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 14 Trust Tax Status: REMIC. ERISA Eligibility: Subject to the considerations in the Prospectus, all Offered Certificates are ERISA eligible. SMMEA Eligibility: It is not anticipated that any of the Offered Certificates will be SMMEA eligible. Prospectus: The Class A-2, Class A-3, Class A-4, Class A-5, Class M-1, Class M-2, Class M-3, Class B-1, Class B-2 and Class B-3 Certificates are being offered pursuant to a prospectus supplemented by a prospectus supplement (together, the "Prospectus"). Complete information with respect to the Offered Certificates and the collateral securing them is contained in the Prospectus. The information herein is qualified in its entirety by the information appearing in the Prospectus. To the extent that the information herein is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the Offered Certificates may not be consummated unless the purchaser has received the Prospectus. PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES. -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 15 Weighted Average Life Sensitivity To CALL
------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 ------------------------------------------------------------------------------------------------------------------- A-2 WAL (yrs) 5.28 4.49 3.61 2.68 2.03 1.52 1.17 First Payment Date 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 7/25/2007 Window 1 - 181 1 - 158 1 - 128 1 - 96 1 - 75 1 - 61 1 - 35 A-3 WAL (yrs) 2.03 1.70 1.38 1.04 0.83 0.69 0.58 First Payment Date 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005 Window 1 - 52 1 - 43 1 - 35 1 - 26 1 - 20 1 - 17 1 - 14 A-4 WAL (yrs) 6.02 5.05 4.04 2.91 2.17 1.77 1.48 First Payment Date 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005 Expected Final Maturity 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006 Window 52 - 101 43 - 85 35 - 68 26 - 50 20 - 32 17 - 26 14 - 22 A-5 WAL (yrs) 12.61 10.81 8.72 6.50 4.85 3.32 2.33 First Payment Date 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 7/25/2007 Window 101 - 181 85 - 158 68 - 128 50 - 96 32 - 75 26 - 61 22 - 35 M-1 WAL 10.24 8.75 7.05 5.35 4.63 4.64 4.16 First Payment Date 8/25/2009 11/25/2008 1/25/2008 11/25/2007 3/25/2008 7/25/2008 7/25/2007 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008 Window 60 - 181 51 - 158 41 - 128 39 - 96 43 - 75 47 - 61 35 - 50 M-2 WAL 10.24 8.75 7.05 5.32 4.45 4.09 3.96 First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 12/25/2007 2/25/2008 3/25/2008 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008 Window 60 - 181 51 - 158 41 - 128 38 - 96 40 - 75 42 - 61 43 - 50 M-3 WAL 10.24 8.75 7.05 5.32 4.39 3.93 3.65 First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 11/25/2007 12/25/2007 1/25/2008 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008 Window 60 - 181 51 - 158 41 - 128 38 - 96 39 - 75 40 - 61 41 - 50 B-1 WAL 10.24 8.75 7.05 5.30 4.37 3.87 3.55 First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 11/25/2007 11/25/2007 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008 Window 60 - 181 51 - 158 41 - 128 37 - 96 38 - 75 39 - 61 39 - 50 B-2 WAL 10.24 8.75 7.05 5.30 4.35 3.83 3.48 First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 10/25/2007 10/25/2007 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008 Window 60 - 181 51 - 158 41 - 128 37 - 96 38 - 75 38 - 61 38 - 50 B-3 WAL 10.21 8.71 7.02 5.28 4.31 3.78 3.41 First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 9/25/2007 10/25/2007 9/25/2007 Expected Final Maturity 9/25/2019 10/25/2017 4/25/2015 8/25/2012 11/25/2010 9/25/2009 10/25/2008 Window 60 - 181 51 - 158 41 - 128 37 - 96 37 - 75 38 - 61 37 - 50 -------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 16 Weighted Average Life Sensitivity To MATURITY
------------------------------------------------------------------------------------------------------------------- PPC (%) 50 60 75 100 125 150 175 -------------------------------------------------------------------------------------------------------------------- A-2 WAL (yrs) 5.63 4.80 3.89 2.89 2.20 1.65 1.17 First Payment Date 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 12/25/2031 3/25/2030 11/25/2026 8/25/2021 4/25/2018 8/25/2015 7/25/2007 Window 1 - 328 1 - 307 1 - 267 1 - 204 1 - 164 1 - 132 1 - 35 A-3 WAL (yrs) 2.03 1.70 1.38 1.04 0.83 0.69 0.58 First Payment Date 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005 Window 1 - 52 1 - 43 1 - 35 1 - 26 1 - 20 1 - 17 1 - 14 A-4 WAL (yrs) 6.02 5.05 4.04 2.91 2.17 1.77 1.48 First Payment Date 12/25/2008 3/25/2008 7/25/2007 10/25/2006 4/25/2006 1/25/2006 10/25/2005 Expected Final Maturity 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006 Window 52 - 101 43 - 85 35 - 68 26 - 50 20 - 32 17 - 26 14 - 22 A-5 WAL (yrs) 14.15 12.21 9.96 7.45 5.61 3.92 2.33 First Payment Date 1/25/2013 9/25/2011 4/25/2010 10/25/2008 4/25/2007 10/25/2006 6/25/2006 Expected Final Maturity 12/25/2031 3/25/2030 11/25/2026 8/25/2021 4/25/2018 8/25/2015 7/25/2007 Window 101 - 328 85 - 307 68 - 267 50 - 204 32 - 164 26 - 132 22 - 35 M-1 WAL 11.12 9.54 7.76 5.91 5.08 5.00 5.85 First Payment Date 8/25/2009 11/25/2008 1/25/2008 11/25/2007 3/25/2008 7/25/2008 7/25/2007 Expected Final Maturity 8/25/2029 3/25/2027 9/25/2023 5/25/2019 4/25/2016 2/25/2014 1/25/2014 Window 60 - 300 51 - 271 41 - 229 39 - 177 43 - 140 47 - 114 35 - 113 M-2 WAL 11.05 9.46 7.69 5.82 4.85 4.41 4.24 First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 12/25/2007 2/25/2008 3/25/2008 Expected Final Maturity 1/25/2028 7/25/2025 1/25/2022 1/25/2018 3/25/2015 3/25/2013 9/25/2011 Window 60 - 281 51 - 251 41 - 209 38 - 161 40 - 127 42 - 103 43 - 85 M-3 WAL 10.95 9.36 7.60 5.74 4.73 4.20 3.88 First Payment Date 8/25/2009 11/25/2008 1/25/2008 10/25/2007 11/25/2007 12/25/2007 1/25/2008 Expected Final Maturity 11/25/2025 4/25/2023 1/25/2020 6/25/2016 11/25/2013 2/25/2012 11/25/2010 Window 60 - 255 51 - 224 41 - 185 38 - 142 39 - 111 40 - 90 41 - 75 B-1 WAL 10.84 9.26 7.53 5.66 4.65 4.10 3.75 First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 11/25/2007 11/25/2007 Expected Final Maturity 9/25/2024 2/25/2022 4/25/2019 8/25/2015 4/25/2013 8/25/2011 6/25/2010 Window 60 - 241 51 - 210 41 - 176 37 - 132 38 - 104 39 - 84 39 - 70 B-2 WAL 10.68 9.11 7.40 5.56 4.55 4.00 3.63 First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 10/25/2007 10/25/2007 10/25/2007 Expected Final Maturity 4/25/2023 10/25/2020 2/25/2018 9/25/2014 7/25/2012 1/25/2011 12/25/2009 Window 60 - 224 51 - 194 41 - 162 37 - 121 38 - 95 38 - 77 38 - 64 B-3 WAL 10.33 8.82 7.12 5.34 4.37 3.82 3.45 First Payment Date 8/25/2009 11/25/2008 1/25/2008 9/25/2007 9/25/2007 10/25/2007 9/25/2007 Expected Final Maturity 8/25/2021 5/25/2019 10/25/2016 9/25/2013 10/25/2011 5/25/2010 5/25/2009 Window 60 - 204 51 - 177 41 - 146 37 - 109 37 - 86 38 - 69 37 - 57 -------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 17 CPR Sensitivity To CALL ------------------------------------------------------------------ CPR (%) 20 25 30 ------------------------------------------------------------------ A-2 WAL (yrs) 3.27 2.55 2.01 First Payment Date 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 1 - 117 1 - 93 1 - 76 A-3 WAL (yrs) 1.21 0.96 0.79 First Payment Date 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 3/25/2007 8/25/2006 4/25/2006 Window 1 - 31 1 - 24 1 - 20 A-4 WAL (yrs) 3.65 2.74 2.15 First Payment Date 3/25/2007 8/25/2006 4/25/2006 Expected Final Maturity 10/25/2009 9/25/2008 4/25/2007 Window 31 - 62 24 - 49 20 - 32 A-5 WAL (yrs) 7.97 6.31 4.91 First Payment Date 10/25/2009 9/25/2008 4/25/2007 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 62 - 117 49 - 93 32 - 76 M-1 WAL 6.41 5.22 4.67 First Payment Date 9/25/2007 12/25/2007 3/25/2008 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 37 - 117 40 - 93 43 - 76 M-2 WAL 6.41 5.17 4.48 First Payment Date 9/25/2007 10/25/2007 12/25/2007 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 37 - 117 38 - 93 40 - 76 M-3 WAL 6.41 5.15 4.41 First Payment Date 9/25/2007 10/25/2007 11/25/2007 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 37 - 117 38 - 93 39 - 76 B-1 WAL 6.41 5.15 4.39 First Payment Date 9/25/2007 9/25/2007 10/25/2007 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 37 - 117 37 - 93 38 - 76 B-2 WAL 6.41 5.13 4.37 First Payment Date 9/25/2007 9/25/2007 10/25/2007 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 37 - 117 37 - 93 38 - 76 B-3 WAL 6.37 5.11 4.33 First Payment Date 9/25/2007 9/25/2007 9/25/2007 Expected Final Maturity 5/25/2014 5/25/2012 12/25/2010 Window 37 - 117 37 - 93 37 - 76 ----------------------------------------------------------------- ------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 18 CPR Sensitivity To MATURITY ------------------------------------------------------------------ CPR (%) 20 25 30 ------------------------------------------------------------------ A-2 WAL (yrs) 3.54 2.78 2.20 First Payment Date 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 6/25/2025 8/25/2021 10/25/2018 Window 1 - 250 1 - 204 1 - 170 A-3 WAL (yrs) 1.21 0.96 0.79 First Payment Date 9/25/2004 9/25/2004 9/25/2004 Expected Final Maturity 3/25/2007 8/25/2006 4/25/2006 Window 1 - 31 1 - 24 1 - 20 A-4 WAL (yrs) 3.65 2.74 2.15 First Payment Date 3/25/2007 8/25/2006 4/25/2006 Expected Final Maturity 10/25/2009 9/25/2008 4/25/2007 Window 31 - 62 24 - 49 20 - 32 A-5 WAL (yrs) 9.19 7.30 5.73 First Payment Date 10/25/2009 9/25/2008 4/25/2007 Expected Final Maturity 6/25/2025 8/25/2021 10/25/2018 Window 62 - 250 49 - 204 32 - 170 M-1 WAL 7.07 5.76 5.12 First Payment Date 9/25/2007 12/25/2007 3/25/2008 Expected Final Maturity 4/25/2022 1/25/2019 6/25/2016 Window 37 - 212 40 - 173 43 - 142 M-2 WAL 7.00 5.65 4.88 First Payment Date 9/25/2007 10/25/2007 12/25/2007 Expected Final Maturity 10/25/2020 9/25/2017 5/25/2015 Window 37 - 194 38 - 157 40 - 129 M-3 WAL 6.93 5.56 4.75 First Payment Date 9/25/2007 10/25/2007 11/25/2007 Expected Final Maturity 1/25/2019 2/25/2016 1/25/2014 Window 37 - 173 38 - 138 39 - 113 B-1 WAL 6.85 5.49 4.68 First Payment Date 9/25/2007 9/25/2007 10/25/2007 Expected Final Maturity 1/25/2018 4/25/2015 5/25/2013 Window 37 - 161 37 - 128 38 - 105 B-2 WAL 6.72 5.38 4.58 First Payment Date 9/25/2007 9/25/2007 10/25/2007 Expected Final Maturity 12/25/2016 6/25/2014 8/25/2012 Window 37 - 148 37 - 118 38 - 96 B-3 WAL 6.46 5.17 4.39 First Payment Date 9/25/2007 9/25/2007 9/25/2007 Expected Final Maturity 10/25/2015 6/25/2013 10/25/2011 Window 37 - 134 37 - 106 37 - 86 ------------------------------------------------------------------ -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 19 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 0 -- -- -- -- -- -- -- -- -- 1 8.37 8.37 8.37 8.37 8.25 8.25 8.25 8.25 8.25 2 9.59 9.59 9.59 9.59 9.44 9.44 9.44 9.44 9.44 3 9.39 9.39 9.39 9.39 9.24 9.24 9.24 9.24 9.24 4 9.61 9.61 9.61 9.61 9.45 9.45 9.45 9.45 9.45 5 9.41 9.41 9.41 9.41 9.25 9.25 9.25 9.25 9.25 6 9.42 9.42 9.42 9.42 9.25 9.25 9.25 9.25 9.25 7 10.09 10.09 10.09 10.09 9.90 9.90 9.90 9.90 9.90 8 9.43 9.43 9.43 9.43 9.26 9.26 9.26 9.26 9.26 9 9.65 9.65 9.65 9.65 9.46 9.46 9.46 9.46 9.46 10 9.45 9.45 9.45 9.45 9.26 9.26 9.26 9.26 9.26 11 9.67 9.67 9.67 9.67 9.47 9.47 9.47 9.47 9.47 12 9.47 9.47 9.47 9.47 9.26 9.26 9.26 9.26 9.26 13 9.48 9.48 9.48 9.48 9.27 9.27 9.27 9.27 9.27 14 9.69 9.69 9.69 9.69 9.47 9.47 9.47 9.47 9.47 15 9.49 9.49 9.49 9.49 9.27 9.27 9.27 9.27 9.27 16 9.71 9.71 9.71 9.71 9.47 9.47 9.47 9.47 9.47 17 9.51 9.51 9.51 9.51 9.27 9.27 9.27 9.27 9.27 18 9.52 9.52 9.52 9.52 9.27 9.27 9.27 9.27 9.27 19 10.21 10.21 10.21 10.21 9.92 9.92 9.92 9.92 9.92 20 9.54 9.54 9.54 9.54 9.27 9.27 9.27 9.27 9.27 21 9.77 9.77 9.77 9.77 9.48 9.48 9.48 9.48 9.48 22 10.10 10.10 10.10 10.10 9.75 9.75 9.75 9.75 9.75 23 10.37 10.37 10.37 10.37 9.99 9.99 9.99 9.99 9.99 24 10.13 10.13 10.13 10.13 9.75 9.75 9.75 9.75 9.75 25 10.15 10.15 10.15 10.15 9.75 9.75 9.75 9.75 9.75 26 10.42 10.42 10.42 10.42 9.99 9.99 9.99 9.99 9.99 27 10.18 -- 10.18 10.18 9.76 9.76 9.76 9.76 9.76 28 10.74 -- 10.74 10.74 10.26 10.26 10.26 10.26 10.26 29 10.48 -- 10.48 10.48 10.00 10.00 10.00 10.00 10.00 30 10.50 -- 10.50 10.50 10.00 10.00 10.00 10.00 10.00 31 11.43 -- 11.43 11.43 10.84 10.84 10.84 10.84 10.84 32 10.55 -- 10.55 10.55 10.00 10.00 10.00 10.00 10.00 33 10.88 -- 10.88 10.88 10.27 10.27 10.27 10.27 10.27 34 10.86 -- 10.86 10.86 10.43 10.43 10.43 10.23 10.23 35 11.20 -- 11.20 11.20 10.71 10.71 10.71 10.51 10.51 36 10.92 -- 10.92 10.92 10.43 10.43 10.43 10.23 10.23 37 26.13 -- 26.13 26.13 10.43 10.43 10.43 10.23 10.23 38 11.66 -- 11.66 11.66 10.71 10.71 10.71 10.51 10.51 39 11.23 -- 11.23 11.23 10.43 10.43 10.43 10.23 10.23 40 12.25 -- 12.25 12.25 10.75 10.75 10.75 10.75 10.75 41 11.79 -- 11.79 11.79 10.44 10.44 10.44 10.44 10.44 42 11.73 -- 11.73 11.73 10.44 10.44 10.44 10.44 10.44 43 12.54 -- 12.54 12.54 11.08 11.08 11.08 11.08 11.08 44 11.73 -- 11.73 11.73 10.44 10.44 10.44 10.44 10.44 45 12.13 -- 12.13 12.13 10.76 10.76 10.76 10.76 10.76 46 12.35 -- 12.35 12.35 10.45 10.45 10.45 10.45 10.45 [TABLE CONTINUED] Period B-3 Cap (%) ------ ----------- Actual/360 0 -- 1 8.25 2 9.44 3 9.24 4 9.45 5 9.25 6 9.25 7 9.90 8 9.26 9 9.46 10 9.26 11 9.47 12 9.26 13 9.27 14 9.47 15 9.27 16 9.47 17 9.27 18 9.27 19 9.92 20 9.27 21 9.48 22 9.75 23 9.99 24 9.75 25 9.75 26 9.99 27 9.76 28 10.26 29 10.00 30 10.00 31 10.84 32 10.00 33 10.27 34 10.23 35 10.51 36 10.23 37 10.23 38 10.51 39 10.23 40 10.75 41 10.44 42 10.44 43 11.08 44 10.44 45 10.76 46 10.45
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% ------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 20 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 47 12.76 -- 12.76 12.76 10.78 10.78 10.78 10.78 10.78 48 12.35 -- 12.35 12.35 10.45 10.45 10.45 10.45 10.45 49 12.35 -- 12.35 12.35 10.45 10.45 10.45 10.45 10.45 50 12.76 -- 12.76 12.76 10.78 10.78 10.78 10.78 10.78 51 12.36 -- 12.36 12.36 10.45 10.45 10.45 10.45 10.45 52 13.29 -- -- 13.29 10.75 10.75 10.75 10.75 10.75 53 12.86 -- -- 12.86 10.41 10.41 10.41 10.41 10.41 54 12.86 -- -- 12.86 10.41 10.41 10.41 10.41 10.41 55 14.24 -- -- 14.24 11.52 11.52 11.52 11.52 11.52 56 12.86 -- -- 12.86 10.40 10.40 10.40 10.40 10.40 57 13.30 -- -- 13.30 10.76 10.76 10.76 10.76 10.76 58 13.18 -- -- 13.18 10.60 10.60 10.60 10.60 10.60 59 13.62 -- -- 13.62 10.95 10.95 10.95 10.95 10.95 60 13.18 -- -- 13.18 10.59 10.59 10.59 10.59 10.59 61 13.18 -- -- 13.18 10.59 10.59 10.59 10.59 10.59 62 13.62 -- -- 13.62 10.95 10.95 10.95 10.95 10.95 63 13.18 -- -- 13.18 10.59 10.59 10.59 10.59 10.59 64 13.69 -- -- 13.69 10.99 10.99 10.99 10.99 10.99 65 13.25 -- -- 13.25 10.64 10.64 10.64 10.64 10.64 66 13.25 -- -- 13.25 10.63 10.63 10.63 10.63 10.63 67 14.67 -- -- 14.67 11.77 11.77 11.77 11.77 11.77 68 13.25 -- -- 13.25 10.63 10.63 10.63 10.63 10.63 69 13.69 -- -- 13.69 10.99 10.99 10.99 10.99 10.99 70 13.31 -- -- 13.31 10.67 10.67 10.67 10.67 10.67 71 13.75 -- -- 13.75 11.02 11.02 11.02 11.02 11.02 72 13.30 -- -- 13.30 10.66 10.66 10.66 10.66 10.66 73 13.30 -- -- 13.30 10.66 10.66 10.66 10.66 10.66 74 13.75 -- -- 13.75 11.02 11.02 11.02 11.02 11.02 75 13.30 -- -- 13.30 10.66 10.66 10.66 10.66 10.66 76 13.79 -- -- 13.79 11.04 11.04 11.04 11.04 11.04 77 13.34 -- -- 13.34 10.68 10.68 10.68 10.68 10.68 78 13.34 -- -- 13.34 10.68 10.68 10.68 10.68 10.68 79 14.77 -- -- 14.77 11.83 11.83 11.83 11.83 11.83 80 13.34 -- -- 13.34 10.68 10.68 10.68 10.68 10.68 81 13.79 -- -- 13.79 11.04 11.04 11.04 11.04 11.04 82 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69 83 13.80 -- -- 13.80 11.05 11.05 11.05 11.05 11.05 84 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69 85 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69 86 13.80 -- -- 13.80 11.04 11.04 11.04 11.04 11.04 87 13.36 -- -- 13.36 10.69 10.69 10.69 10.69 10.69 88 12.02 -- -- 12.02 11.04 11.04 11.04 11.04 11.04 89 11.50 -- -- 11.50 10.68 10.68 10.68 10.68 10.68 90 11.52 -- -- 11.52 10.68 10.68 10.68 10.68 10.68 91 12.33 -- -- 12.33 11.42 11.42 11.42 11.42 11.42 92 11.55 -- -- 11.55 10.68 10.68 10.68 10.68 10.68 93 11.96 -- -- 11.96 11.04 11.04 11.04 11.04 11.04 [TABLE CONTINUED] Period B-3 Cap (%) ------ ----------- Actual/360 47 10.78 48 10.45 49 10.45 50 10.78 51 10.45 52 10.75 53 10.41 54 10.41 55 11.52 56 10.40 57 10.76 58 10.60 59 10.95 60 10.59 61 10.59 62 10.95 63 10.59 64 10.99 65 10.64 66 10.63 67 11.77 68 10.63 69 10.99 70 10.67 71 11.02 72 10.66 73 10.66 74 11.02 75 10.66 76 11.04 77 10.68 78 10.68 79 11.83 80 10.68 81 11.04 82 10.69 83 11.05 84 10.69 85 10.69 86 11.04 87 10.69 88 11.04 89 10.68 90 10.68 91 11.42 92 10.68 93 11.04
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 21 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) ------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 94 11.59 -- -- 11.59 10.68 10.68 10.68 10.68 10.68 95 12.00 -- -- 12.00 11.04 11.04 11.04 11.04 11.04 96 11.63 -- -- 11.63 10.68 10.68 10.68 10.68 10.68 97 11.65 -- -- 11.65 10.68 10.68 10.68 10.68 10.68 98 12.06 -- -- 12.06 11.03 11.03 11.03 11.03 11.03 99 11.69 -- -- 11.69 10.68 10.68 10.68 10.68 10.68 100 12.11 -- -- 12.11 11.03 11.03 11.03 11.03 11.03 101 11.74 -- -- 11.74 10.67 10.67 10.67 10.67 10.67 102 11.76 -- -- 11.76 10.67 10.67 10.67 10.67 10.67 103 13.05 -- -- 13.05 11.82 11.82 11.82 11.82 11.82 104 11.81 -- -- 11.81 10.67 10.67 10.67 10.67 10.67 105 12.23 -- -- 12.23 11.03 11.03 11.03 11.03 11.03 106 11.86 -- -- 11.86 10.67 10.67 10.67 10.67 10.67 107 12.28 -- -- 12.28 11.03 11.03 11.03 11.03 11.03 108 11.92 -- -- 11.92 10.67 10.67 10.67 10.67 10.67 109 11.94 -- -- 11.94 10.67 10.67 10.67 10.67 10.67 110 12.37 -- -- 12.37 11.02 11.02 11.02 11.02 11.02 111 12.00 -- -- 12.00 10.67 10.67 10.67 10.67 10.67 112 12.43 -- -- 12.43 11.02 11.02 11.02 11.02 11.02 113 12.06 -- -- 12.06 10.67 10.67 10.67 10.67 10.67 114 12.10 -- -- 12.10 10.67 10.67 10.67 10.67 10.67 115 13.43 -- -- 13.43 11.81 11.81 11.81 11.81 11.81 116 12.16 -- -- 12.16 10.66 10.66 10.66 10.66 10.66 117 12.60 -- -- 12.60 11.02 11.02 11.02 11.02 11.02 118 12.23 -- -- 12.23 10.66 10.66 10.66 10.66 10.66 119 12.68 -- -- 12.68 11.02 11.02 11.02 11.02 11.02 120 12.31 -- -- 12.31 10.66 10.66 10.66 10.66 10.66 121 12.34 -- -- 12.34 10.66 10.66 10.66 10.66 10.66 122 12.80 -- -- 12.80 11.02 11.02 11.02 11.02 11.02 123 12.42 -- -- 12.42 10.66 10.66 10.66 10.66 10.66 124 12.88 -- -- 12.88 11.01 11.01 11.01 11.01 -- 125 12.51 -- -- 12.51 10.66 10.66 10.66 10.66 -- 126 12.55 -- -- 12.55 10.66 10.66 10.66 10.66 -- 127 13.94 -- -- 13.94 11.80 11.80 11.80 11.80 -- 128 12.64 -- -- 12.64 10.66 10.66 10.66 10.66 -- 129 13.11 -- -- 13.11 11.01 11.01 11.01 11.01 -- 130 12.74 -- -- 12.74 10.66 10.66 10.66 10.66 -- 131 13.21 -- -- 13.21 11.01 11.01 11.01 11.01 -- 132 12.84 -- -- 12.84 10.65 10.65 10.65 10.65 -- 133 12.89 -- -- 12.89 10.65 10.65 10.65 10.65 -- 134 13.37 -- -- 13.37 11.01 11.01 11.01 11.01 -- 135 13.00 -- -- 13.00 10.65 10.65 10.65 -- -- 136 13.49 -- -- 13.49 11.01 11.01 11.01 -- -- 137 13.11 -- -- 13.11 10.65 10.65 10.65 -- -- 138 13.17 -- -- 13.17 10.65 10.65 10.65 -- -- 139 14.14 -- -- 14.14 11.39 11.39 11.39 -- -- 140 13.29 -- -- 13.29 10.65 10.65 10.65 -- -- [TABLE CONTINUED] Period B-3 Cap (%) ------ ----------- Actual/360 94 10.68 95 11.04 96 10.68 97 10.68 98 11.03 99 10.68 100 11.03 101 10.67 102 10.67 103 11.82 104 10.67 105 11.03 106 10.67 107 11.03 108 10.67 109 10.67 110 11.02 111 10.67 112 -- 113 -- 114 -- 115 -- 116 -- 117 -- 118 -- 119 -- 120 -- 121 -- 122 -- 123 -- 124 -- 125 -- 126 -- 127 -- 128 -- 129 -- 130 -- 131 -- 132 -- 133 -- 134 -- 135 -- 136 -- 137 -- 138 -- 139 -- 140 --
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 22 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) ------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 141 13.80 -- -- 13.80 11.01 11.01 11.01 -- -- 142 13.42 -- -- 13.42 10.65 10.65 10.65 -- -- 143 13.94 -- -- 13.94 11.00 11.00 11.00 -- -- 144 13.56 -- -- 13.56 10.65 10.65 10.65 -- -- 145 13.63 -- -- 13.63 10.65 10.65 -- -- -- 146 14.16 -- -- 14.16 11.00 11.00 -- -- -- 147 13.78 -- -- 13.78 10.65 10.65 -- -- -- 148 14.32 -- -- 14.32 11.00 11.00 -- -- -- 149 13.93 -- -- 13.93 10.65 10.65 -- -- -- 150 14.02 -- -- 14.02 10.65 10.65 -- -- -- 151 15.61 -- -- 15.61 11.79 11.79 -- -- -- 152 14.18 -- -- 14.18 10.65 10.65 -- -- -- 153 14.75 -- -- 14.75 11.00 11.00 -- -- -- 154 14.36 -- -- 14.36 10.65 10.65 -- -- -- 155 14.94 -- -- 14.94 11.00 11.00 -- -- -- 156 14.55 -- -- 14.55 10.65 10.65 -- -- -- 157 14.65 -- -- 14.65 10.65 10.65 -- -- -- 158 15.24 -- -- 15.24 11.00 11.00 -- -- -- 159 14.85 -- -- 14.85 10.64 10.64 -- -- -- 160 15.45 -- -- 15.45 11.00 11.00 -- -- -- 161 15.06 -- -- 15.06 10.64 10.64 -- -- -- 162 15.17 -- -- 15.17 10.64 10.64 -- -- -- 163 16.92 -- -- 16.92 11.78 11.78 -- -- -- 164 15.40 -- -- 15.40 10.64 10.64 -- -- -- 165 16.04 -- -- 16.04 11.00 -- -- -- -- 166 15.64 -- -- 15.64 10.64 -- -- -- -- 167 16.30 -- -- 16.30 11.00 -- -- -- -- 168 15.90 -- -- 15.90 10.64 -- -- -- -- 169 16.03 -- -- 16.03 10.64 -- -- -- -- 170 16.71 -- -- 16.71 11.00 -- -- -- -- 171 16.31 -- -- 16.31 10.64 -- -- -- -- 172 17.00 -- -- 17.00 11.00 -- -- -- -- 173 16.60 -- -- 16.60 10.64 -- -- -- -- 174 16.76 -- -- 16.76 10.64 -- -- -- -- 175 18.72 -- -- 18.72 11.78 -- -- -- -- 176 17.07 -- -- 17.07 10.64 -- -- -- -- 177 17.98 -- -- 17.98 11.02 -- -- -- -- 178 18.05 -- -- 18.05 10.72 -- -- -- -- 179 18.93 -- -- 18.93 -- -- -- -- -- 180 18.66 -- -- 18.66 -- -- -- -- -- 181 19.02 -- -- 19.02 -- -- -- -- -- 182 20.05 -- -- 20.05 -- -- -- -- -- 183 19.81 -- -- 19.81 -- -- -- -- -- 184 20.93 -- -- 20.93 -- -- -- -- -- 185 20.73 -- -- 20.73 -- -- -- -- -- 186 21.24 -- -- 21.24 -- -- -- -- -- 187 23.29 -- -- 23.29 -- -- -- -- -- [TABLE CONTINUED] Period B-3 Cap (%) ------ ----------- Actual/360 141 -- 142 -- 143 -- 144 -- 145 -- 146 -- 147 -- 148 -- 149 -- 150 -- 151 -- 152 -- 153 -- 154 -- 155 -- 156 -- 157 -- 158 -- 159 -- 160 -- 161 -- 162 -- 163 -- 164 -- 165 -- 166 -- 167 -- 168 -- 169 -- 170 -- 171 -- 172 -- 173 -- 174 -- 175 -- 176 -- 177 -- 178 -- 179 -- 180 -- 181 -- 182 -- 183 -- 184 -- 185 -- 186 -- 187 --
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 23 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) A-3 Cap (%) A-4 Cap (%) A-5 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) ------ ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 188 22.38 -- -- 22.38 -- -- -- -- -- 189 23.80 -- -- 23.80 -- -- -- -- -- 190 23.74 -- -- 23.74 -- -- -- -- -- 191 25.33 -- -- 25.33 -- -- -- -- -- 192 25.36 -- -- 25.36 -- -- -- -- -- 193 26.30 -- -- 26.30 -- -- -- -- -- 194 28.25 -- -- 28.25 -- -- -- -- -- 195 28.49 -- -- 28.49 -- -- -- -- -- 196 30.78 -- -- 30.78 -- -- -- -- -- 197 31.25 -- -- 31.25 -- -- -- -- -- 198 32.91 -- -- 32.91 -- -- -- -- -- 199 38.54 -- -- 38.54 -- -- -- -- -- 200 37.00 -- -- 37.00 -- -- -- -- -- 201 40.89 -- -- 40.89 -- -- -- -- -- 202 42.61 -- -- 42.61 -- -- -- -- -- 203 47.81 -- -- 47.81 -- -- -- -- -- 204 50.74 -- -- 50.74 -- -- -- -- -- 205 56.35 -- -- 56.35 -- -- -- -- -- 206 65.70 -- -- 65.70 -- -- -- -- -- 207 73.25 -- -- 73.25 -- -- -- -- -- 208 89.72 -- -- 89.72 -- -- -- -- -- 209 107.30 -- -- 107.30 -- -- -- -- -- 210 -- -- -- -- -- -- -- -- -- [TABLE CONTINUED] Period B-3 Cap (%) ------ ----------- Actual/360 188 -- 189 -- 190 -- 191 -- 192 -- 193 -- 194 -- 195 -- 196 -- 197 -- 198 -- 199 -- 200 -- 201 -- 202 -- 203 -- 204 -- 205 -- 206 -- 207 -- 208 -- 209 -- 210 --
1 Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance 2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 24 Interest Rate Cap Schedules
Group II Class A Cap Class M Cap Class B Cap ------------------------- -------------------------- ------------------------- Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling % 1 478,203,000.00 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 2 465,818,501.84 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 3 453,558,017.77 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 4 441,415,577.28 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 5 429,386,100.70 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 6 417,465,041.91 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 7 405,648,752.72 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 8 393,934,391.43 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 9 382,319,896.29 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 10 370,803,973.14 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 11 359,386,179.94 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 12 348,069,626.54 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 13 336,855,893.05 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 14 325,874,297.31 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 15 315,154,032.74 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 16 304,688,908.71 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 17 294,472,899.45 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 18 284,500,092.88 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 19 274,764,723.33 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 20 265,261,158.41 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 21 255,983,904.90 5.90 9.10 183,286,000.00 5.15 8.35 55,641,000.00 3.60 6.80 22 246,928,012.58 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25 23 238,128,331.15 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25 24 229,537,389.15 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25 25 221,150,238.30 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25 26 212,962,066.36 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25 27 204,968,174.35 7.30 9.80 183,286,000.00 6.30 8.80 55,641,000.00 4.75 7.25 28 197,163,974.00 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50 29 189,544,999.09 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50 30 182,106,862.09 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50 31 174,845,289.34 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50 32 167,756,109.75 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50 33 160,835,250.46 8.05 10.15 183,286,000.00 6.95 9.05 55,641,000.00 5.40 7.50 34 154,079,335.66 8.95 10.55 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75 35 147,485,118.41 8.95 10.55 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75 36 141,047,484.09 8.95 10.55 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75 37 -- -- -- 183,286,000.00 7.70 9.50 55,641,000.00 6.15 7.75 38 -- -- -- 183,286,000.00 7.70 9.50 46,514,073.88 6.15 7.75 39 -- -- -- 171,830,767.37 7.70 9.50 45,382,748.93 6.15 7.75 40 -- -- -- 160,631,068.12 8.35 9.50 44,294,767.04 6.80 7.95 41 -- -- -- 149,697,351.25 8.35 9.50 43,232,623.72 6.80 7.95 42 -- -- -- 139,023,337.24 8.35 9.50 42,195,708.92 6.80 7.95 43 -- -- -- 135,661,573.30 8.35 9.50 41,183,426.99 6.80 7.95 44 -- -- -- 132,406,260.56 8.35 9.50 40,195,196.27 6.80 7.95 45 -- -- -- 129,228,303.50 8.35 9.50 39,230,448.79 6.80 7.95 46 -- -- -- 126,125,875.19 8.95 9.50 38,288,629.92 7.40 7.95 47 -- -- -- 123,097,191.68 8.95 9.50 37,369,198.10 7.40 7.95 48 -- -- -- 120,140,510.98 8.95 9.50 36,471,624.51 7.40 7.95 49 -- -- -- 117,254,132.08 8.95 9.50 35,595,392.79 7.40 7.95 50 -- -- -- 114,436,394.06 8.95 9.50 34,739,998.70 7.40 7.95 51 -- -- -- 111,685,674.98 8.95 9.50 33,904,949.87 7.40 7.95 52 -- -- -- -- -- -- -- -- --
-------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 25 ------------------------------------------------- Class A-3 Target Balance Schedule ------------------------------------------------- Distribution Date Month Target Balance ($) ----------------------- ------------------ August 2011 $15,960,164.63 September 2011 $14,577,517.26 October 2011 $13,201,843.34 November 2011 $11,833,105.47 December 2011 $10,471,266.42 January 2012 $9,116,289.19 February 2012 $7,768,136.95 March 2012 $6,426,773.07 April 2012 $5,092,161.11 May 2012 $3,764,264.83 June 2012 $2,443,048.18 July 2012 $1,128,475.28 August 2012 and thereafter -- ------------------------------------------------- -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 26