EX-99.1 2 ms815739_ex99-1.txt COMPUTATIONAL MATERIALS EXHIBIT 99.1 -------------------------------------------------------------------------------- Morgan Stanley January 25, 2004 Securitized Products Group [MORGAN STANLEY LOGO] -------------------------------------------------------------------------------- Computational Materials $688,209,000 Approximately Morgan Stanley ABS Capital I Inc. Series 2005-WMC1 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 January 25, 2004 Securitized Products Group [MORGAN STANLEY LOGO] -------------------------------------------------------------------------------- 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 In the event of any such offering, this information shall be deemed superseded and replaced in its entirety by such offering circular or memorandum.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 January 25, 2004 Securitized Products Group [MORGAN STANLEY LOGO] -------------------------------------------------------------------------------- Approximately $688,209,000 Morgan Stanley ABS Capital I Inc., Series 2005-WMC1 Morgan Stanley ABS Capital I Inc. Depositor Countrywide Home Loans Inc. Servicer Transaction Highlights ----------------------
Modified Avg Life to Duration To Offered Expected Ratings Call / Call / Classes Description Balance (4) (S&P / Fitch / Moody's) Mty (1)(2) Mty (1)(2)(3) Payment Window To Call / Mty (1)(2) ------- ----------- ----------- ----------------------- ----------- ------------- ----------------------------------- A-1ss Not Offered 425,115,000 AAA/AAA/Aaa ***Not Offered*** A-1mz Floater 106,279,000 AAA/AAA/Aaa 2.41 / 2.62 2.26 / 2.43 03/05 - 05/12 / 03/05 - 09/20 A-2a Floater 166,533,000 AAA/AAA/Aaa 0.70 / 0.70 0.69 / 0.69 03/05 - 07/06 / 03/05 - 07/06 A-2b Floater 185,000,000 AAA/AAA/Aaa 2.99 / 2.99 2.84 / 2.84 07/06 - 09/11 / 07/06 - 09/11 A-2c Floater 37,000,000 AAA/AAA/Aaa 7.18 / 9.40 6.48 / 8.16 09/11 - 05/12 / 09/11 - 06/20 M-1 Floater 39,024,000 AA+/AA+/Aa1 5.00 / 5.54 4.62 / 5.02 08/08 - 05/12 / 08/08 - 09/18 M-2 Floater 35,006,000 AA/AA/Aa2 4.96 / 5.47 4.57 / 4.96 07/08 - 05/12 / 07/08 - 03/18 M-3 Floater 22,382,000 AA-/AA-/Aa3 4.92 / 5.42 4.53 / 4.91 06/08 - 05/12 / 06/08 - 07/17 M-4 Floater 20,085,000 A+/A+/A1 4.91 / 5.38 4.49 / 4.85 05/08 - 05/12 / 05/08 - 01/17 M-5 Floater 18,364,000 A/A/A2 4.90 / 5.34 4.48 / 4.81 05/08 - 05/12 / 05/08 - 07/16 M-6 Floater 17,217,000 A-/A-/A3 4.88 / 5.29 4.45 / 4.76 04/08 - 05/12 / 04/08 - 01/16 B-1 Floater 16,069,000 BBB+/BBB+/Baa1 4.88 / 5.23 4.38 / 4.64 04/08 - 05/12 / 04/08 - 05/15 B-2 Floater 12,625,000 BBB/BBB/Baa2 4.87 / 5.16 4.37 / 4.58 03/08 - 05/12 / 03/08 - 08/14 B-3 Floater 12,625,000 BBB-/BBB-/Baa3 4.86 / 5.04 4.24 / 4.37 03/08 - 05/12 / 03/08 - 12/13 Offered Initial Classes Subordination Level Benchmark ------- ------------------- ----------- A-1ss 19.85% 1 Mo. LIBOR A-1mz 19.85% 1 Mo. LIBOR A-2a 19.85% 1 Mo. LIBOR A-2b 19.85% 1 Mo. LIBOR A-2c 19.85% 1 Mo. LIBOR M-1 16.45% 1 Mo. LIBOR M-2 13.40% 1 Mo. LIBOR M-3 11.45% 1 Mo. LIBOR M-4 9.70% 1 Mo. LIBOR M-5 8.10% 1 Mo. LIBOR M-6 6.60% 1 Mo. LIBOR B-1 5.20% 1 Mo. LIBOR B-2 4.10% 1 Mo. LIBOR B-3 3.00% 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 2005-WMC1. Depositor: Morgan Stanley ABS Capital I Inc. Originator: WMC Mortgage Corp. Servicer: Countrywide Home Loans Inc. Trustee: Deustche Bank National Trust Company. Managers: Morgan Stanley (lead manager), Countrywide Securities Corp. 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-1mz, A-2a, A-2b, A-2c, M-1, M-2, M-3, M-4, M-5, M-6, B-1, B-2 and B-3 Certificates. Class A Certificates: The Class A-1ss, A-1mz, A-2a, A-2b and A-2c Certificates. Group I Class A Certificates: The Class A-1ss and Class A-1mz Certificates. Group II Class A Certificates: The Class A-2a, Class A-2b and Class A-2c Certificates. Class A Certificate Group: The Group I Class A Certificates and Group II Class A Certificates, as applicable. Expected Closing Date: February 24, 2005 through DTC and Euroclear or Clearstream. The Certificates will be sold without accrued interest. Cut-off Date: February 1, 2005 Distribution Dates: The 25th of each month, or if such day is not a business day, on the next business day, beginning March 25, 2005. Final Scheduled Distribution For all Offered Certificates, the Date: Distribution Date occurring in January 2035. 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 Period: The interest accrual period for the Offered Certificates with respect to any Distribution Date will be the period beginning with the previous Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the day prior to the current Distribution Date (on an actual/360 day count basis). Mortgage Loans: The Trust will consist of two groups of adjustable and fixed rate sub-prime residential, first-lien and second-lien mortgage loans. Group I Mortgage Loans: Approximately $663.0 million of Mortgage Loans with original principal balances that conform to the original principal balance limits for one- to four-family residential mortgage loan guidelines for purchase by Fannie Mae. Group II Mortgage Loans: Approximately $484.8 million of Mortgage Loans that predominantly have original principal balances that may or may not conform to the original principal balance limits for one- to four-family residential mortgage loan guidelines for purchase by Fannie Mae. Pricing Prepayment Speed: o Fixed Rate Mortgage Loans: CPR starting at approximately 4% CPR in month 1 and increasing to 23% CPR in month 16 (19%/15 increase for each month), and remaining at 23% CPR thereafter o ARM Mortgage Loans: 28% CPR Credit Enhancement: The Offered Certificates are credit enhanced by: 1) Net monthly excess cashflow from the Mortgage Loans, 2) 3.00% 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 6.00% 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, 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 Percentage: For any Distribution Date, the percentage obtained by dividing (x) the aggregate Certificate Principal Balance of the subordinate certificates (together with any overcollateralization and taking into account the distributions of the Principal Distribution Amount for such Distribution Date) by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period. -------------------------------------------------------------------------------- The 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 Step-down Date: The later to occur of: (x) The earlier of: (a) The Distribution Date occurring in March 2008; and (b) The Distribution Date on which the aggregate balance of the Class A Certificates is reduced to zero; and (y) The first Distribution Date on which the Senior Enhancement Percentage (calculated for this purpose only after taking into account 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 39.70%. Trigger Event: Either a Delinquency Trigger Event or a Cumulative Loss Trigger Event. Delinquency Trigger Event: A Delinquency Trigger Event is in effect on any Distribution Date if on that Distribution Date the 60 Day+ Rolling Average equals or exceeds [40%] of the prior period's Senior Enhancement Percentage. The 60 Day+ Rolling Average will equal the rolling 3 month average percentage of Mortgage Loans that are 60 or more days delinquent. Cumulative Loss Trigger Event: A Cumulative Loss Trigger Event is in effect on any Distribution Date if the aggregate amount of Realized Losses incurred since the cut-off date through the last day of the related Prepayment Period divided by the aggregate Stated Principal Balance of the mortgage loans as of the cut-off date exceeds the applicable percentages described below with respect to such distribution date: Months 37- 48 3.00 for the first month, plus an additional 1/12th of 1.75 for each month thereafter (e.g., approximately 3.875 in Month 43) Months 49- 60 4.75 for the first month, plus an additional 1/12th of 1.50 for each month thereafter (e.g., approximately 5.500 in Month 55) Months 61- 72 6.25 for the first month, plus an additional 1/12th of 0.75 for each month thereafter (e.g., approximately 6.625 in Month 67) Months 73- thereafter 7.00 Sequential Trigger Event: A Sequential Trigger Event is in effect on any Distribution Date if, before the 37th Distribution Date, 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 [3.00]%, or if, on or after the 37th Distribution Date, a Trigger Event is in effect. Initial Subordination Class A: 19.85% Percentage: Class M-1: 16.45% Class M-2: 13.40% Class M-3: 11.45% Class M-4: 9.70% Class M-5: 8.10% Class M-6: 6.60% Class B-1: 5.20% Class B-2: 4.10% Class B-3: 3.00% Optional Clean-up Call: When the current aggregate principal balance of the Mortgage Loans is less than or equal to 10% of the aggregate principal balance of the Mortgage Loans as of the cut-off date. Step-up Coupons: For all Offered Certificates the coupon will increase after the optional clean-up call date, should the call not be exercised. The applicable fixed margin will increase by 2x on the Class A Certificates and by 1.5x on all other Certificates after the first distribution date on which the Optional Clean-up Call is exercisable. -------------------------------------------------------------------------------- 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 Group I Class A Certificates The Class A-1ss and A-1mz Certificates will Pass-Through Rate: accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group I Cap and (iii) the WAC Cap. Group II Class A Certificates The Class A-2a, A-2b and A-2c Certificates Pass-Through Rate: will accrue interest at a variable rate equal to the least of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable), (ii) the Loan Group II Cap and (iii) the WAC Cap. Class M-1 Pass-Through Rate: The Class M-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class M-2 Pass-Through Rate: The Class M-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class M-3 Pass-Through Rate: The Class M-3 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class M-4 Pass-Through Rate: The Class M-4 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class M-5 Pass-Through Rate: The Class M-5 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class M-6 Pass-Through Rate: The Class M-6 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class B-1 Pass-Through Rate: The Class B-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class B-2 Pass-Through Rate: The Class B-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. Class B-3 Pass-Through Rate: The Class B-3 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the WAC Cap. WAC Cap: For any distribution date, the weighted average of the mortgage rates for each mortgage loan (in each case, less the applicable Expense Fee Rate) then in effect on the beginning of the related Due Period, adjusted, in each case, to accrue on the basis of a 360-day year and the actual number of days in the related Interest Accrual Period. Loan Group I Cap: For any distribution date, the weighted average of the mortgage rates for each group I mortgage loan (in each case, less the applicable Expense Fee Rate) then in effect on the beginning of the related Due Period, adjusted, in each case, to accrue on the basis of a 360-day year and the actual number of days in the related Interest Accrual Period. Loan Group II Cap: For any distribution date, the weighted average of the mortgage rates for each group II mortgage loan (in each case, less the applicable Expense Fee Rate) then in effect on the beginning of the related Due Period, adjusted, in each case, to accrue on the basis of a 360-day year and the actual number of days in the related Interest Accrual Period. -------------------------------------------------------------------------------- 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 Group I Class A Basis Risk As to any Distribution Date, the supplemental Carry Forward Amount: interest amount for the Group I Class A Certificates will equal the sum of: (i) The excess, if any, of interest that would otherwise be due on such Certificates at the Group I Class A Certificates 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 Group I Class A Basis Risk Carry Forward Amount remaining unpaid from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the related Group I Class A Certificates Pass-Through Rate (without regard to the Loan Group I Cap or WAC Cap). Group II Class A Basis Risk As to any Distribution Date, the supplemental Carry Forward Amount: interest amount for each of the Group II Class A Certificates will equal the sum of: (i) The excess, if any, of interest that would otherwise be due on such Certificates at the Group II Class A Certificates 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 Group II Class A Basis Risk Carry Forward Amount remaining unpaid from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the related Group II Class A Certificates Pass-Through Rate (without regard to the Loan Group II Cap or WAC Cap). Class M-1, M-2, M-3, M-4, M-5, As to any Distribution Date, the supplemental M-6, B-1, B-2 and B-3 Basis interest amount for each of the Class M-1, Risk Carry Forward Amounts: M-2, M-3, M-4, M-5, M-6, B-1, B-2 and B-3 Certificates will equal the sum of: (i) The excess, if any, of interest that would otherwise be due on such Certificates at such Certificates' applicable Pass-Through Rate (without regard to the WAC Cap) over interest due such Certificates at a rate equal to the WAC Cap; (ii) Any Basis Risk Carry Forward Amount for such class remaining unpaid for such Certificate from prior Distribution Dates; and (iii) Interest on the amount in clause (ii) at the Certificates' applicable Pass-Through Rate (without regard to the WAC Cap). Interest Distributions on On each Distribution Date and after payments Offered Certificates: of servicing and trustee fees and other expenses, interest distributions from the Interest Remittance Amount will be allocated as follows: (i) The portion of the Interest Remittance Amount attributable to the Group I Mortgage Loans will be allocated according to the related Accrued Certificate Interest and any unpaid interest shortfall amounts for such class, as applicable, first, pro rata to the Group I Class A 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, pro rata to the Group I Class A 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 M-4 Certificates, its Accrued Certificate Interest; (vii) To the Class M-5 Certificates, its Accrued Certificate Interest; (viii) To the Class M-6 Certificates, its Accrued Certificate Interest; (ix) To the Class B-1 Certificates, its Accrued Certificate Interest; (x) To the Class B-2 Certificates, its Accrued Certificate Interest; and (xi) 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 7 Principal Distributions on On each Distribution Date (a) prior to the Offered Certificates: Stepdown Date or (b) on which a Trigger Event is in effect, principal distributions from the Principal Distribution Amount will be allocated as follows: (i) to the Class A Certificates, allocated between the Class A Certificates as described below, until the Certificate Principal Balances thereof have been reduced to zero; (ii) to the Class M-1 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (iii) to the Class M-2 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (iv) to the Class M-3 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (v) to the Class M-4 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (vi) to the Class M-5 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (vii) to the Class M-6 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (viii) to the Class B-1 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; (ix) to the Class B-2 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; and (x) 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 M-4 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-4 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (vi) to the Class M-5 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-5 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (vii) to the Class M-6 Certificates, the lesser of the remaining Principal Distribution Amount and the Class M-6 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (viii) to the Class B-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (ix) to the Class B-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; and (x) to the Class B-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class B-3 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero. -------------------------------------------------------------------------------- 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 Class A Principal Allocation: Except as described below, the Group II Class Certificates will receive principal sequentially; the Class A-2b Certificates will not receive principal distributions until the Certificate Principal Balance of the Class A-2a Certificates has been reduced to zero, and the Class A-2c Certificates will not receive principal distributions until the Certificate Principal Balance of the Class A-2b 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 Group I Class A 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 Group I Class A 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 Group I Class A 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 I Class A Certificates are required to be distributed pro rata between the Class A-1ss Certificates and the Class A-1mz Certificates, with the exception that if a Sequential Trigger Event is in effect, principal distributions from the Group I Mortgage Loans will be distributed first, to the Class A-1ss Certificates until their Class Certificate balance has been reduced to zero, and second, to the Class A-1mz Certificates until their Class Certificate balance has been reduced to zero. Any principal distributions allocated to the Group II Class A Certificates will be allocated first to the Class A-2a Certificates, until their Class Certificate Balance has been reduced to zero, then to the Class A-2b Certificates, until their Class Certificate Balance has been reduced to zero, and then to the Class A-2c 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 to the Class A-2a, Class A-2b and Class A-2c Certificates. Group I Class A Interest Rate Beginning on the first Distribution Date, and Cap: for a period of 32 months thereafter, an Interest Rate Cap will be entered into by the Trust for the benefit of the Group I Class A Certificates. For its duration, the Group I 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 I Class A Interest Rate Cap Notional Balance ("the Class Group I Class A Interest Rate Cap Payment") as described on the schedule herein. Group I Class A Interest Rate The Group I Class A Interest Rate Cap Payment Cap Payment Allocation: shall be available to pay any Basis Risk Carry Forward Amount due to the Group I Class A Certificates on a pro rata basis. Group II Class A Interest Rate Beginning on the first Distribution Date, and Cap: for a period of 32 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. -------------------------------------------------------------------------------- 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 Group II Class A Interest Rate The Group II Class A Interest Rate Cap Cap Payment Allocation: Payment shall be available to pay any Basis Risk Carry Forward Amount due to the Group II Class A Certificates on a pro rata basis. Class M Interest Rate Cap: Beginning on the first Distribution Date, and for a period of 44 months thereafter, an Interest Rate Cap will be entered into by the Trust for the benefit of the Class M Certificates. For its duration, the Class M Interest Rate Cap pays the Trust the product of (i) the excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the cap strike (on an Actual/360 day count basis) and (ii) the Class M Interest Rate Cap Notional Balance ("the Class M Interest Rate Cap Payment") as described on the schedule herein. Class M Interest Rate Cap The Class M Interest Rate Cap Payment shall Payment Allocation: be available to pay any Basis Risk Carry Forward Amount due to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class M-6 Certificates on a pro rata basis. Class B Interest Rate Cap: Beginning on the first Distribution Date, and for a period of 44 months thereafter, an Interest Rate Cap will be entered into by the Trust for the benefit of the Class B Certificates. For its duration, the Class B Interest Rate Cap pays the Trust the product of (i) the excess, if any, of the then current 1-month LIBOR rate (not to exceed the cap ceiling) over the cap strike (on an Actual/360 day count basis) and (ii) the Class B Interest Rate Cap Notional Balance ("the Class B Interest Rate Cap Payment") as described on the schedule herein. Class B Interest Rate Cap The Class B Interest Rate Cap Payment shall Payment Allocation: be available to pay any Basis Risk Carry Forward Amount due to the Class B-1, Class B-2 and Class B-3 Certificates on a pro rata basis. Allocation of Net Monthly For any Distribution Date, any Net Monthly Excess Cashflow: Excess Cashflow shall be paid as follows: (i) to the Class M-1 Certificates, 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 M-4 Certificates, the unpaid interest shortfall amount; (viii) to the Class M-4 Certificates, the allocated unreimbursed realized loss amount; (ix) to the Class M-5 Certificates, the unpaid interest shortfall amount; (x) to the Class M-5 Certificates, the allocated unreimbursed realized loss amount; (xi) to the Class M-6 Certificates, the unpaid interest shortfall amount; (xii) to the Class M-6 Certificates, the allocated unreimbursed realized loss amount; (xiii) to the Class B-1 Certificates, the unpaid interest shortfall amount; (xiv) to the Class B-1 Certificates, the allocated unreimbursed realized loss amount; (xv) to the Class B-2 Certificates, the unpaid interest shortfall amount; (xvi) to the Class B-2 Certificates, the allocated unreimbursed realized loss amount; (xvii) to the Class B-3 Certificates, the unpaid interest shortfall amount; (xviii) to the Class B-3 Certificates, the allocated unreimbursed realized loss amount; (xix) concurrently, any Group I Class A Basis Risk Carry Forward Amount to the Group I Class A Certificates, and any Group II Class A Basis Risk Carry Forward Amount to the Group II Class A Certificates; and (xx) sequentially, to Classes M-1, M-2, M-3, M-4, M-5, M-6, B-1, B-2 and B-3 Certificates, in such order, any Basis Risk Carry Forward Amount for such classes. Interest Remittance Amount: For any Distribution Date, the portion of available funds for such Distribution Date attributable to interest received or advanced on the Mortgage Loans. Accrued Certificate Interest: For any Distribution Date and each class of Offered Certificates, equals the amount of interest accrued during the related interest accrual period at the related Pass-through Rate, reduced by any prepayment interest shortfalls and shortfalls resulting from the application of the Servicemembers Civil Relief Act or similar state law allocated to such class. -------------------------------------------------------------------------------- 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 Principal Distribution Amount: On any Distribution Date, the sum of (i) the Basic Principal Distribution Amount and (ii) the Extra Principal Distribution Amount. Basic Principal Distribution On any Distribution Date, the excess of (i) Amount: the aggregate principal remittance amount over (ii) the Excess Subordinated Amount, if any. Net Monthly Excess Cashflow: For any Distribution Date is the amount of funds available for distribution on such Distribution Date remaining after making all distributions of interest and principal on the certificates. Extra Principal Distribution For any Distribution Date, the lesser of (i) Amount: the excess of (x) interest collected or advanced with respect to the Mortgage Loans with due dates in the related Due Period (less servicing and trustee fees and expenses), over (y) the sum of interest payable on the Certificates on such Distribution Date and (ii) the overcollateralization deficiency amount for such Distribution Date. Excess Subordinated Amount: For any Distribution Date, means the excess, if any of (i) the overcollateralization and (ii) the required overcollateralization for such Distribution Date. Class A Principal Allocation For any Distribution Date, the percentage Percentage: equivalent of a fraction, determined as follows: (i) in the case of the Group I 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 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 Distribution For any Distribution Date, an amount equal to Amount: the excess of (x) the aggregate Certificate Principal Balance of the Class A Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 60.30% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,738,786. Class M-1 Principal For any Distribution Date, an amount equal to Distribution Amount: the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date) and (ii) the Certificate Principal Balance of the Class M-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 67.10% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,738,786. Class M-2 Principal For any Distribution Date, an amount equal to Distribution Amount: the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date) and (iii) the Certificate Principal Balance of the Class M-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 73.20% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,738,786. Class M-3 Principal For any Distribution Date, an amount equal to Distribution Amount: the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date) and (iv) the Certificate Principal Balance of the Class M-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 77.10% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,738,786. -------------------------------------------------------------------------------- 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 Class M-4 Principal For any Distribution Date, an amount equal to Distribution Amount: the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date) and (v) the Certificate Principal Balance of the Class M-4 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 80.60% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,738,786. Class M-5 Principal For any Distribution Date, an amount equal to Distribution Amount: the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date) and (vi) the Certificate Principal Balance of the Class M-5 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 83.80% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,738,786. Class M-6 Principal For any Distribution Date, an amount equal to Distribution Amount: the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date) and (vii) the Certificate Principal Balance of the Class M-6 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 86.80% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,738,786. -------------------------------------------------------------------------------- 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 B-1 Principal For any Distribution Date, an amount equal to Distribution Amount: the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date) and (viii) the Certificate Principal Balance of the Class B-1 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 89.60% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,738,786. Class B-2 Principal For any Distribution Date, an amount equal to Distribution Amount: the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (viii) the Certificate Principal Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date) and (ix) the Certificate Principal Balance of the Class B-2 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 91.80% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,738,786. -------------------------------------------------------------------------------- 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-3 Principal For any Distribution Date, an amount equal to Distribution Amount: the excess of (x) the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (viii) the Certificate Principal Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal Distribution Amount on such Distribution Date), (ix) the Certificate Principal Balance of the Class B-2 Certificates (after taking into account the payment of the Class B-2 Principal Distribution Amount on such Distribution Date) and (x) the Certificate Principal Balance of the Class B-3 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 94.00% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over $5,738,786. Trust Tax Status: REMIC. ERISA Eligibility: Subject to the considerations in the Prospectus, all Offered Certificates are ERISA eligible. SMMEA Eligibility: It is anticipated that none of the Offered Certificates will be SMMEA eligible. Prospectus: The Class A-1mz, Class A-2a, Class A-2b, Class A-2c, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, 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 14 Weighted Average Life Sensitivity To CALL
PPC (%) 50 60 75 100 ---------------------------------------------------------------------------------------------------------------------------- A-1mz WAL (yrs) 4.91 4.13 3.30 2.41 First Payment Date 3/25/2005 3/25/2005 3/25/2005 3/25/2005 Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012 Window 1 - 174 1 - 147 1 - 118 1 - 87 ---------------------------------------------------------------------------------------------------------------------------- A-2a WAL (yrs) 1.38 1.16 0.93 0.70 First Payment Date 3/25/2005 3/25/2005 3/25/2005 3/25/2005 Expected Final Maturity 1/25/2008 7/25/2007 1/25/2007 7/25/2006 Window 1 - 35 1 - 29 1 - 23 1 - 17 ---------------------------------------------------------------------------------------------------------------------------- A-2b WAL (yrs) 6.31 5.27 4.19 2.99 First Payment Date 1/25/2008 7/25/2007 1/25/2007 7/25/2006 Expected Final Maturity 5/25/2018 4/25/2016 1/25/2014 9/25/2011 Window 35 - 159 29 - 134 23 - 107 17 - 79 ---------------------------------------------------------------------------------------------------------------------------- A-2c WAL (yrs) 14.38 12.15 9.74 7.18 First Payment Date 5/25/2018 4/25/2016 1/25/2014 9/25/2011 Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012 Window 159 - 174 134 - 147 107 - 118 79 - 87 ---------------------------------------------------------------------------------------------------------------------------- M-1 WAL (yrs) 9.61 8.08 6.46 5.00 First Payment Date 10/25/2009 12/25/2008 3/25/2008 8/25/2008 Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012 Window 56 - 174 46 - 147 37 - 118 42 - 87 --------------------------------------------------------------------------------------------------------------------------- M-2 WAL (yrs) 9.61 8.08 6.46 4.96 First Payment Date 10/25/2009 12/25/2008 3/25/2008 7/25/2008 Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012 Window 56 - 174 46 - 147 37 - 118 41 - 87 ---------------------------------------------------------------------------------------------------------------------------- M-3 WAL (yrs) 9.61 8.08 6.46 4.92 First Payment Date 10/25/2009 12/25/2008 3/25/2008 6/25/2008 Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012 Window 56 - 174 46 - 147 37 - 118 40 - 87 ---------------------------------------------------------------------------------------------------------------------------- M-4 WAL (yrs) 9.61 8.08 6.46 4.91 First Payment Date 10/25/2009 12/25/2008 3/25/2008 5/25/2008 Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012 Window 56 - 174 46 - 147 37 - 118 39 - 87 ---------------------------------------------------------------------------------------------------------------------------- M-5 WAL (yrs) 9.61 8.08 6.46 4.90 First Payment Date 10/25/2009 12/25/2008 3/25/2008 5/25/2008 Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012 Window 56 - 174 46 - 147 37 - 118 39 - 87 ---------------------------------------------------------------------------------------------------------------------------- M-6 WAL (yrs) 9.61 8.08 6.46 4.88 First Payment Date 10/25/2009 12/25/2008 3/25/2008 4/25/2008 Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012 Window 56 - 174 46 - 147 37 - 118 38 - 87 ---------------------------------------------------------------------------------------------------------------------------- B-1 WAL (yrs) 9.61 8.08 6.46 4.88 First Payment Date 10/25/2009 12/25/2008 3/25/2008 4/25/2008 Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012 Window 56 - 174 46 - 147 37 - 118 38 - 87 ---------------------------------------------------------------------------------------------------------------------------- B-2 WAL (yrs) 9.61 8.08 6.46 4.87 First Payment Date 10/25/2009 12/25/2008 3/25/2008 3/25/2008 Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012 Window 56 - 174 46 - 147 37 - 118 37 - 87 ---------------------------------------------------------------------------------------------------------------------------- B-3 WAL (yrs) 9.61 8.08 6.46 4.86 First Payment Date 10/25/2009 12/25/2008 3/25/2008 3/25/2008 Expected Final Maturity 8/25/2019 5/25/2017 12/25/2014 5/25/2012 Window 56 - 174 46 - 147 37 - 118 37 - 87 PPC (%) 125 150 175 -------------------------------------------------------------------------------------------------- A-1mz WAL (yrs) 1.78 1.29 1.04 First Payment Date 3/25/2005 3/25/2005 3/25/2005 Expected Final Maturity 10/25/2010 9/25/2009 10/25/2007 Window 1 - 68 1 - 55 1 - 32 -------------------------------------------------------------------------------------------------- A-2a WAL (yrs) 0.55 0.45 0.38 First Payment Date 3/25/2005 3/25/2005 3/25/2005 Expected Final Maturity 3/25/2006 1/25/2006 11/25/2005 Window 1 - 13 1 - 11 1 - 9 -------------------------------------------------------------------------------------------------- A-2b WAL (yrs) 2.09 1.62 1.34 First Payment Date 3/25/2006 1/25/2006 11/25/2005 Expected Final Maturity 3/25/2010 9/25/2007 3/25/2007 Window 13 - 61 11 - 31 9 - 25 -------------------------------------------------------------------------------------------------- A-2c WAL (yrs) 5.60 3.21 2.37 First Payment Date 3/25/2010 9/25/2007 3/25/2007 Expected Final Maturity 10/25/2010 9/25/2009 10/25/2007 Window 61 - 68 31 - 55 25 - 32 -------------------------------------------------------------------------------------------------- M-1 WAL (yrs) 4.65 4.59 3.51 First Payment Date 3/25/2009 9/25/2009 10/25/2007 Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008 Window 49 - 68 55 - 55 32 - 45 -------------------------------------------------------------------------------------------------- M-2 WAL (yrs) 4.42 4.53 3.75 First Payment Date 11/25/2008 6/25/2009 11/25/2008 Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008 Window 45 - 68 52 - 55 45 - 45 -------------------------------------------------------------------------------------------------- M-3 WAL (yrs) 4.29 4.24 3.75 First Payment Date 9/25/2008 2/25/2009 11/25/2008 Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008 Window 43 - 68 48 - 55 45 - 45 -------------------------------------------------------------------------------------------------- M-4 WAL (yrs) 4.22 4.05 3.65 First Payment Date 8/25/2008 11/25/2008 8/25/2008 Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008 Window 42 - 68 45 - 55 42 - 45 -------------------------------------------------------------------------------------------------- M-5 WAL (yrs) 4.17 3.91 3.48 First Payment Date 7/25/2008 9/25/2008 6/25/2008 Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008 Window 41 - 68 43 - 55 40 - 45 -------------------------------------------------------------------------------------------------- M-6 WAL (yrs) 4.13 3.81 3.35 First Payment Date 6/25/2008 8/25/2008 4/25/2008 Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008 Window 40 - 68 42 - 55 38 - 45 -------------------------------------------------------------------------------------------------- B-1 WAL (yrs) 4.09 3.73 3.26 First Payment Date 5/25/2008 6/25/2008 2/25/2008 Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008 Window 39 - 68 40 - 55 36 - 45 -------------------------------------------------------------------------------------------------- B-2 WAL (yrs) 4.07 3.67 3.19 First Payment Date 4/25/2008 5/25/2008 1/25/2008 Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008 Window 38 - 68 39 - 55 35 - 45 -------------------------------------------------------------------------------------------------- B-3 WAL (yrs) 4.04 3.63 3.14 First Payment Date 4/25/2008 5/25/2008 1/25/2008 Expected Final Maturity 10/25/2010 9/25/2009 11/25/2008 Window 38 - 68 39 - 55 35 - 45
-------------------------------------------------------------------------------- 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 MATURITY
PPC (%) 50 60 75 100 ----------------------------------------------------------------------------------------------------------------------------- A-1mz WAL (yrs) 5.19 4.41 3.57 2.62 First Payment Date 3/25/2005 3/25/2005 3/25/2005 3/25/2005 Expected Final Maturity 3/25/2031 12/25/2028 6/25/2025 9/25/2020 Window 1 - 313 1 - 286 1 - 244 1 - 187 ----------------------------------------------------------------------------------------------------------------------------- A-2a WAL (yrs) 1.38 1.16 0.93 0.70 First Payment Date 3/25/2005 3/25/2005 3/25/2005 3/25/2005 Expected Final Maturity 1/25/2008 7/25/2007 1/25/2007 7/25/2006 Window 1 - 35 1 - 29 1 - 23 1 - 17 ----------------------------------------------------------------------------------------------------------------------------- A-2b WAL (yrs) 6.31 5.27 4.19 2.99 First Payment Date 1/25/2008 7/25/2007 1/25/2007 7/25/2006 Expected Final Maturity 5/25/2018 4/25/2016 1/25/2014 9/25/2011 Window 35 - 159 29 - 134 23 - 107 17 - 79 ----------------------------------------------------------------------------------------------------------------------------- A-2c WAL (yrs) 17.49 15.26 12.54 9.40 First Payment Date 5/25/2018 4/25/2016 1/25/2014 9/25/2011 Expected Final Maturity 8/25/2031 4/25/2029 8/25/2025 6/25/2020 Window 159 - 318 134 - 290 107 - 246 79 - 184 ----------------------------------------------------------------------------------------------------------------------------- M-1 WAL (yrs) 10.35 8.81 7.12 5.54 First Payment Date 10/25/2009 12/25/2008 3/25/2008 8/25/2008 Expected Final Maturity 10/25/2028 1/25/2026 5/25/2022 9/25/2018 Window 56 - 284 46 - 251 37 - 207 42 - 163 ----------------------------------------------------------------------------------------------------------------------------- M-2 WAL (yrs) 10.32 8.79 7.10 5.47 First Payment Date 10/25/2009 12/25/2008 3/25/2008 7/25/2008 Expected Final Maturity 1/25/2028 4/25/2025 9/25/2021 3/25/2018 Window 56 - 275 46 - 242 37 - 199 41 - 157 ----------------------------------------------------------------------------------------------------------------------------- M-3 WAL (yrs) 10.29 8.76 7.07 5.42 First Payment Date 10/25/2009 12/25/2008 3/25/2008 6/25/2008 Expected Final Maturity 3/25/2027 5/25/2024 12/25/2020 7/25/2017 Window 56 - 265 46 - 231 37 - 190 40 - 149 ----------------------------------------------------------------------------------------------------------------------------- M-4 WAL (yrs) 10.26 8.73 7.05 5.38 First Payment Date 10/25/2009 12/25/2008 3/25/2008 5/25/2008 Expected Final Maturity 7/25/2026 9/25/2023 4/25/2020 1/25/2017 Window 56 - 257 46 - 223 37 - 182 39 - 143 ----------------------------------------------------------------------------------------------------------------------------- M-5 WAL (yrs) 10.22 8.69 7.04 5.34 First Payment Date 10/25/2009 12/25/2008 3/25/2008 5/25/2008 Expected Final Maturity 10/25/2025 1/25/2023 11/25/2019 7/25/2016 Window 56 - 248 46 - 215 37 - 177 39 - 137 ----------------------------------------------------------------------------------------------------------------------------- M-6 WAL (yrs) 10.16 8.64 7.00 5.29 First Payment Date 10/25/2009 12/25/2008 3/25/2008 4/25/2008 Expected Final Maturity 12/25/2024 3/25/2022 9/25/2019 1/25/2016 Window 56 - 238 46 - 205 37 - 175 38 - 131 ----------------------------------------------------------------------------------------------------------------------------- B-1 WAL (yrs) 10.08 8.56 6.94 5.23 First Payment Date 10/25/2009 12/25/2008 3/25/2008 4/25/2008 Expected Final Maturity 12/25/2023 4/25/2021 12/25/2018 5/25/2015 Window 56 - 226 46 - 194 37 - 166 38 - 123 ----------------------------------------------------------------------------------------------------------------------------- B-2 WAL (yrs) 9.96 8.48 6.84 5.16 First Payment Date 10/25/2009 12/25/2008 3/25/2008 3/25/2008 Expected Final Maturity 9/25/2022 2/25/2020 12/25/2017 8/25/2014 Window 56 - 211 46 - 180 37 - 154 37 - 114 ----------------------------------------------------------------------------------------------------------------------------- B-3 WAL (yrs) 9.78 8.38 6.71 5.04 First Payment Date 10/25/2009 12/25/2008 3/25/2008 3/25/2008 Expected Final Maturity 6/25/2021 11/25/2019 1/25/2017 12/25/2013 Window 56 - 196 46 - 177 37 - 143 37 - 106 PPC (%) 125 150 175 -------------------------------------------------------------------------------------------------------------- A-1mz WAL (yrs) 1.95 1.38 1.04 First Payment Date 3/25/2005 3/25/2005 3/25/2005 Expected Final Maturity 1/25/2018 7/25/2015 10/25/2007 Window 1 - 155 1 - 125 1 - 32 -------------------------------------------------------------------------------------------------------------- A-2a WAL (yrs) 0.55 0.45 0.38 First Payment Date 3/25/2005 3/25/2005 3/25/2005 Expected Final Maturity 3/25/2006 1/25/2006 11/25/2005 Window 1 - 13 1 - 11 1 - 9 -------------------------------------------------------------------------------------------------------------- A-2b WAL (yrs) 2.09 1.62 1.34 First Payment Date 3/25/2006 1/25/2006 11/25/2005 Expected Final Maturity 3/25/2010 9/25/2007 3/25/2007 Window 13 - 61 11 - 31 9 - 25 -------------------------------------------------------------------------------------------------------------- A-2c WAL (yrs) 7.31 4.06 2.37 First Payment Date 3/25/2010 9/25/2007 3/25/2007 Expected Final Maturity 11/25/2017 4/25/2015 10/25/2007 Window 61 - 153 31 - 122 25 - 32 -------------------------------------------------------------------------------------------------------------- M-1 WAL (yrs) 5.07 5.93 5.65 First Payment Date 3/25/2009 2/25/2010 10/25/2007 Expected Final Maturity 10/25/2015 9/25/2013 9/25/2013 Window 49 - 128 60 - 103 32 - 103 -------------------------------------------------------------------------------------------------------------- M-2 WAL (yrs) 4.82 4.94 4.75 First Payment Date 11/25/2008 6/25/2009 4/25/2009 Expected Final Maturity 4/25/2015 5/25/2013 11/25/2011 Window 45 - 122 52 - 99 50 - 81 -------------------------------------------------------------------------------------------------------------- M-3 WAL (yrs) 4.68 4.54 4.16 First Payment Date 9/25/2008 2/25/2009 11/25/2008 Expected Final Maturity 11/25/2014 12/25/2012 7/25/2011 Window 43 - 117 48 - 94 45 - 77 -------------------------------------------------------------------------------------------------------------- M-4 WAL (yrs) 4.59 4.34 3.89 First Payment Date 8/25/2008 11/25/2008 8/25/2008 Expected Final Maturity 6/25/2014 8/25/2012 4/25/2011 Window 42 - 112 45 - 90 42 - 74 -------------------------------------------------------------------------------------------------------------- M-5 WAL (yrs) 4.51 4.18 3.71 First Payment Date 7/25/2008 9/25/2008 6/25/2008 Expected Final Maturity 1/25/2014 4/25/2012 1/25/2011 Window 41 - 107 43 - 86 40 - 71 -------------------------------------------------------------------------------------------------------------- M-6 WAL (yrs) 4.44 4.06 3.56 First Payment Date 6/25/2008 8/25/2008 4/25/2008 Expected Final Maturity 8/25/2013 12/25/2011 9/25/2010 Window 40 - 102 42 - 82 38 - 67 -------------------------------------------------------------------------------------------------------------- B-1 WAL (yrs) 4.37 3.95 3.44 First Payment Date 5/25/2008 6/25/2008 2/25/2008 Expected Final Maturity 2/25/2013 7/25/2011 6/25/2010 Window 39 - 96 40 - 77 36 - 64 -------------------------------------------------------------------------------------------------------------- B-2 WAL (yrs) 4.29 3.84 3.34 First Payment Date 4/25/2008 5/25/2008 1/25/2008 Expected Final Maturity 7/25/2012 2/25/2011 1/25/2010 Window 38 - 89 39 - 72 35 - 59 -------------------------------------------------------------------------------------------------------------- B-3 WAL (yrs) 4.18 3.73 3.23 First Payment Date 4/25/2008 5/25/2008 1/25/2008 Expected Final Maturity 12/25/2011 8/25/2010 8/25/2009 Window 38 - 82 39 - 66 35 - 54
-------------------------------------------------------------------------------- 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 CPR Sensitivity To CALL
CPR (%) 20 25 30 ----------------------------------------------------------------------------------------------------------------------------- A-1mz WAL (yrs) 3.26 2.54 2.01 First Payment Date 3/25/2005 3/25/2005 3/25/2005 Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011 Window 1 - 118 1 - 93 1 - 76 ----------------------------------------------------------------------------------------------------------------------------- A-2a WAL (yrs) 0.90 0.71 0.58 First Payment Date 3/25/2005 3/25/2005 3/25/2005 Expected Final Maturity 1/25/2007 8/25/2006 4/25/2006 Window 1 - 23 1 - 18 1 - 14 ----------------------------------------------------------------------------------------------------------------------------- A-2b WAL (yrs) 4.19 3.23 2.48 First Payment Date 1/25/2007 8/25/2006 4/25/2006 Expected Final Maturity 2/25/2014 3/25/2012 11/25/2010 Window 23 - 108 18 - 85 14 - 69 ----------------------------------------------------------------------------------------------------------------------------- A-2c WAL (yrs) 9.76 7.69 6.28 First Payment Date 2/25/2014 3/25/2012 11/25/2010 Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011 Window 108 - 118 85 - 93 69 - 76 ----------------------------------------------------------------------------------------------------------------------------- M-1 WAL (yrs) 6.45 5.23 4.72 First Payment Date 3/25/2008 7/25/2008 12/25/2008 Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011 Window 37 - 118 41 - 93 46 - 76 ----------------------------------------------------------------------------------------------------------------------------- M-2 WAL (yrs) 6.45 5.20 4.59 First Payment Date 3/25/2008 6/25/2008 9/25/2008 Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011 Window 37 - 118 40 - 93 43 - 76 ----------------------------------------------------------------------------------------------------------------------------- M-3 WAL (yrs) 6.45 5.18 4.52 First Payment Date 3/25/2008 5/25/2008 8/25/2008 Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011 Window 37 - 118 39 - 93 42 - 76 ----------------------------------------------------------------------------------------------------------------------------- M-4 WAL (yrs) 6.45 5.17 4.47 First Payment Date 3/25/2008 5/25/2008 7/25/2008 Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011 Window 37 - 118 39 - 93 41 - 76 ----------------------------------------------------------------------------------------------------------------------------- M-5 WAL (yrs) 6.45 5.16 4.44 First Payment Date 3/25/2008 4/25/2008 6/25/2008 Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011 Window 37 - 118 38 - 93 40 - 76 ----------------------------------------------------------------------------------------------------------------------------- M-6 WAL (yrs) 6.45 5.16 4.41 First Payment Date 3/25/2008 4/25/2008 5/25/2008 Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011 Window 37 - 118 38 - 93 39 - 76 ----------------------------------------------------------------------------------------------------------------------------- B-1 WAL (yrs) 6.45 5.16 4.40 First Payment Date 3/25/2008 4/25/2008 4/25/2008 Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011 Window 37 - 118 38 - 93 38 - 76 ----------------------------------------------------------------------------------------------------------------------------- B-2 WAL (yrs) 6.45 5.14 4.37 First Payment Date 3/25/2008 3/25/2008 4/25/2008 Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011 Window 37 - 118 37 - 93 38 - 76 ----------------------------------------------------------------------------------------------------------------------------- B-3 WAL (yrs) 6.45 5.14 4.37 First Payment Date 3/25/2008 3/25/2008 4/25/2008 Expected Final Maturity 12/25/2014 11/25/2012 6/25/2011 Window 37 - 118 37 - 93 38 - 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 17 CPR Sensitivity To MATURITY
CPR (%) 20 25 30 ----------------------------------------------------------------------------------------------------------------------------- A-1mz WAL (yrs) 3.52 2.76 2.19 First Payment Date 3/25/2005 3/25/2005 3/25/2005 Expected Final Maturity 7/25/2025 10/25/2021 2/25/2019 Window 1 - 245 1 - 200 1 - 168 ----------------------------------------------------------------------------------------------------------------------------- A-2a WAL (yrs) 0.90 0.71 0.58 First Payment Date 3/25/2005 3/25/2005 3/25/2005 Expected Final Maturity 1/25/2007 8/25/2006 4/25/2006 Window 1 - 23 1 - 18 1 - 14 ----------------------------------------------------------------------------------------------------------------------------- A-2b WAL (yrs) 4.19 3.23 2.48 First Payment Date 1/25/2007 8/25/2006 4/25/2006 Expected Final Maturity 2/25/2014 3/25/2012 11/25/2010 Window 23 - 108 18 - 85 14 - 69 ----------------------------------------------------------------------------------------------------------------------------- A-2c WAL (yrs) 12.76 10.18 8.34 First Payment Date 2/25/2014 3/25/2012 11/25/2010 Expected Final Maturity 1/25/2026 2/25/2022 5/25/2019 Window 108 - 251 85 - 204 69 - 171 ----------------------------------------------------------------------------------------------------------------------------- M-1 WAL (yrs) 7.12 5.80 5.18 First Payment Date 3/25/2008 7/25/2008 12/25/2008 Expected Final Maturity 9/25/2022 7/25/2019 12/25/2016 Window 37 - 211 41 - 173 46 - 142 ----------------------------------------------------------------------------------------------------------------------------- M-2 WAL (yrs) 7.10 5.75 5.03 First Payment Date 3/25/2008 6/25/2008 9/25/2008 Expected Final Maturity 1/25/2022 12/25/2018 6/25/2016 Window 37 - 203 40 - 166 43 - 136 ----------------------------------------------------------------------------------------------------------------------------- M-3 WAL (yrs) 7.07 5.71 4.95 First Payment Date 3/25/2008 5/25/2008 8/25/2008 Expected Final Maturity 4/25/2021 5/25/2018 12/25/2015 Window 37 - 194 39 - 159 42 - 130 ----------------------------------------------------------------------------------------------------------------------------- M-4 WAL (yrs) 7.05 5.68 4.88 First Payment Date 3/25/2008 5/25/2008 7/25/2008 Expected Final Maturity 8/25/2020 11/25/2017 7/25/2015 Window 37 - 186 39 - 153 41 - 125 ----------------------------------------------------------------------------------------------------------------------------- M-5 WAL (yrs) 7.02 5.64 4.83 First Payment Date 3/25/2008 4/25/2008 6/25/2008 Expected Final Maturity 1/25/2020 4/25/2017 2/25/2015 Window 37 - 179 38 - 146 40 - 120 ----------------------------------------------------------------------------------------------------------------------------- M-6 WAL (yrs) 6.99 5.59 4.77 First Payment Date 3/25/2008 4/25/2008 5/25/2008 Expected Final Maturity 9/25/2019 9/25/2016 8/25/2014 Window 37 - 175 38 - 139 39 - 114 ----------------------------------------------------------------------------------------------------------------------------- B-1 WAL (yrs) 6.92 5.54 4.71 First Payment Date 3/25/2008 4/25/2008 4/25/2008 Expected Final Maturity 11/25/2018 1/25/2016 1/25/2014 Window 37 - 165 38 - 131 38 - 107 ----------------------------------------------------------------------------------------------------------------------------- B-2 WAL (yrs) 6.83 5.45 4.62 First Payment Date 3/25/2008 3/25/2008 4/25/2008 Expected Final Maturity 12/25/2017 4/25/2015 6/25/2013 Window 37 - 154 37 - 122 38 - 100 ----------------------------------------------------------------------------------------------------------------------------- B-3 WAL (yrs) 6.69 5.34 4.53 First Payment Date 3/25/2008 3/25/2008 4/25/2008 Expected Final Maturity 1/25/2017 7/25/2014 10/25/2012 Window 37 - 143 37 - 113 38 - 92
-------------------------------------------------------------------------------- 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 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-1mz Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap (%) (%) (%) (%) (%) (%) (%) Period ---------- ---------- ---------- ---------- ---------- ---------- ---------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- 0 - - - - - - - 1 10.45 10.44 10.44 10.44 9.67 9.67 9.67 2 10.00 10.00 10.00 10.00 9.23 9.23 9.23 3 10.23 10.23 10.23 10.23 9.45 9.45 9.45 4 10.03 10.03 10.03 10.03 9.24 9.24 9.24 5 10.26 10.26 10.26 10.26 9.46 9.46 9.46 6 10.05 10.06 10.06 10.06 9.25 9.25 9.25 7 10.07 10.07 10.07 10.07 9.26 9.26 9.26 8 10.30 10.21 10.21 10.21 9.48 9.48 9.48 9 10.09 10.00 10.00 10.00 9.27 9.27 9.27 10 10.23 10.24 10.24 10.24 9.48 9.48 9.48 11 10.02 10.03 10.03 10.03 9.27 9.27 9.27 12 10.04 10.04 10.04 10.04 9.27 9.27 9.27 13 10.78 10.78 10.78 10.78 9.97 9.97 9.97 14 10.07 10.07 10.07 10.07 9.28 9.28 9.28 15 10.31 10.22 10.22 10.22 9.49 9.49 9.49 16 10.00 10.01 10.01 10.01 9.28 9.28 9.28 17 10.25 10.25 10.25 10.25 9.50 9.50 9.50 18 10.03 - 10.04 10.04 9.29 9.29 9.29 19 10.05 - 10.06 10.06 9.29 9.29 9.29 20 10.30 - 10.31 10.31 9.50 9.50 9.50 21 10.10 - 10.10 10.10 9.29 9.29 9.29 22 10.28 - 10.25 10.25 9.76 9.76 9.76 23 10.03 - 10.00 10.00 9.50 9.50 9.50 24 10.06 - 10.03 10.03 9.50 9.50 9.50 25 10.98 - 10.97 10.97 10.33 10.33 10.33 26 10.12 - 10.09 10.09 9.50 9.50 9.50 27 10.43 - 10.40 10.40 9.76 9.76 9.76 28 10.02 - 10.00 10.00 9.73 9.73 9.73 29 10.37 - 10.35 10.35 10.01 10.01 10.01 30 10.10 - 10.08 10.08 9.72 9.72 9.72 31 10.15 - 10.12 10.12 9.72 9.72 9.72 32 10.51 - 10.49 10.49 10.00 10.00 10.00 33 10.25 - 10.23 10.23 9.73 9.73 9.73 34 10.69 - 10.81 10.81 10.32 10.32 10.32 35 10.41 - 10.52 10.52 10.01 10.01 10.01 36 10.47 - 10.59 10.59 10.01 10.01 10.01 37 58.07 - 58.20 58.20 10.64 10.64 10.64 38 13.82 - 13.94 13.94 10.01 10.01 10.01 39 14.15 - 14.27 14.27 10.31 10.31 10.31 40 14.33 - 14.45 14.45 10.69 10.69 10.69 41 14.68 - 14.81 14.81 10.77 10.77 10.77 42 14.09 - 14.21 14.21 10.44 10.44 10.44 43 13.98 - 14.10 14.10 10.44 10.44 10.44 44 14.33 - 14.45 14.45 10.76 10.76 10.76 M-4 Cap M-5 Cap M-6 Cap B-1 Cap B-2 Cap B-3 Cap (%) (%) (%) (%) (%) (%) Period ---------- ---------- ---------- ---------- ---------- ---------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- 0 - - - - - - 1 9.67 9.67 9.67 9.67 9.67 9.67 2 9.23 9.23 9.23 9.23 9.23 9.23 3 9.45 9.45 9.45 9.45 9.45 9.45 4 9.24 9.24 9.24 9.24 9.24 9.24 5 9.46 9.46 9.46 9.46 9.46 9.46 6 9.25 9.25 9.25 9.25 9.25 9.25 7 9.26 9.26 9.26 9.26 9.26 9.26 8 9.48 9.48 9.48 9.48 9.48 9.48 9 9.27 9.27 9.27 9.27 9.27 9.27 10 9.48 9.48 9.48 9.48 9.48 9.48 11 9.27 9.27 9.27 9.27 9.27 9.27 12 9.27 9.27 9.27 9.27 9.27 9.27 13 9.97 9.97 9.97 9.97 9.97 9.97 14 9.28 9.28 9.28 9.28 9.28 9.28 15 9.49 9.49 9.49 9.49 9.49 9.49 16 9.28 9.28 9.28 9.28 9.28 9.28 17 9.50 9.50 9.50 9.50 9.50 9.50 18 9.29 9.29 9.29 9.29 9.29 9.29 19 9.29 9.29 9.29 9.29 9.29 9.29 20 9.50 9.50 9.50 9.50 9.50 9.50 21 9.29 9.29 9.29 9.29 9.29 9.29 22 9.76 9.76 9.76 9.76 9.76 9.76 23 9.50 9.50 9.50 9.50 9.50 9.50 24 9.50 9.50 9.50 9.50 9.50 9.50 25 10.33 10.33 10.33 10.33 10.33 10.33 26 9.50 9.50 9.50 9.50 9.50 9.50 27 9.76 9.76 9.76 9.76 9.76 9.76 28 9.73 9.73 9.73 9.73 9.73 9.73 29 10.01 10.01 10.01 10.01 10.01 10.01 30 9.72 9.72 9.72 9.72 9.72 9.72 31 9.72 9.72 9.72 9.72 9.72 9.72 32 10.00 10.00 10.00 10.00 10.00 10.00 33 9.73 9.73 9.73 9.73 9.73 9.73 34 10.32 10.32 10.32 10.32 10.32 10.32 35 10.01 10.01 10.01 10.01 10.01 10.01 36 10.01 10.01 10.01 10.01 10.01 10.01 37 10.64 10.64 10.64 10.64 10.64 10.64 38 10.01 10.01 10.01 10.01 10.01 10.01 39 10.31 10.31 10.31 10.31 10.31 10.31 40 10.69 10.69 10.69 10.69 10.69 10.69 41 10.77 10.77 10.77 10.77 10.77 10.77 42 10.44 10.44 10.44 10.44 10.44 10.44 43 10.44 10.44 10.44 10.44 10.44 10.44 44 10.76 10.76 10.76 10.76 10.76 10.76
(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 19 Schedule of Available Funds and Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
A-1mz Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap (%) (%) (%) (%) (%) (%) (%) Period ---------- ---------- ---------- ---------- ---------- ---------- ---------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- 45 13.78 - 13.90 13.90 10.43 10.43 10.43 46 14.93 - 15.01 15.01 10.78 10.78 10.78 47 14.45 - 14.52 14.52 10.43 10.43 10.43 48 14.44 - 14.52 14.52 10.42 10.42 10.42 49 15.99 - 16.07 16.07 11.54 11.54 11.54 50 14.44 - 14.52 14.52 10.42 10.42 10.42 51 14.92 - 15.00 15.00 10.76 10.76 10.76 52 14.97 - 14.96 14.96 10.87 10.87 10.87 53 15.46 - 15.46 15.46 11.23 11.23 11.23 54 14.96 - 14.96 14.96 10.86 10.86 10.86 55 14.95 - 14.95 14.95 10.86 10.86 10.86 56 15.45 - 15.45 15.45 11.22 11.22 11.22 57 14.95 - 14.95 14.95 10.86 10.86 10.86 58 15.60 - 15.66 15.66 11.37 11.37 11.37 59 15.09 - 15.15 15.15 11.00 11.00 11.00 60 15.09 - 15.15 15.15 11.00 11.00 11.00 61 16.70 - 16.77 16.77 12.17 12.17 12.17 62 15.08 - 15.14 15.14 10.99 10.99 10.99 63 15.58 - 15.64 15.64 11.35 11.35 11.35 64 15.10 - 15.18 15.18 11.02 11.02 11.02 65 15.60 - 15.68 15.68 11.38 11.38 11.38 66 15.10 - 15.17 15.17 11.01 11.01 11.01 67 15.09 - 15.17 15.17 11.01 11.01 11.01 68 15.59 - 15.67 15.67 11.37 11.37 11.37 69 15.08 - 15.16 15.16 11.00 11.00 11.00 70 15.61 - 15.70 15.70 11.39 11.39 11.39 71 15.10 - 15.19 15.19 11.02 11.02 11.02 72 15.10 - 15.18 15.18 11.01 11.01 11.01 73 16.71 - 16.80 16.80 12.19 12.19 12.19 74 15.09 - 15.17 15.17 11.01 11.01 11.01 75 15.59 - 15.68 15.68 11.37 11.37 11.37 76 15.10 - 15.18 15.18 11.01 11.01 11.01 77 15.60 - 15.69 15.69 11.38 11.38 11.38 78 15.09 - 15.18 15.18 11.01 11.01 11.01 79 15.09 - 15.17 15.17 11.00 11.00 11.00 80 15.59 - - 15.67 11.36 11.36 11.36 81 15.08 - - 15.16 10.99 10.99 10.99 82 15.59 - - 15.67 11.37 11.37 11.37 83 15.08 - - 15.17 11.00 11.00 11.00 84 15.08 - - 15.16 10.99 10.99 10.99 85 16.11 - - 16.20 11.74 11.74 11.74 86 15.07 - - 15.15 10.98 10.98 10.98 87 15.57 - - 15.65 11.34 11.34 11.34 88 15.06 - - 15.15 10.97 10.97 10.97 89 15.56 - - 15.65 11.34 11.34 11.34 90 15.05 - - 15.14 10.97 10.97 10.97 M-4 Cap M-5 Cap M-6 Cap B-1 Cap B-2 Cap B-3 Cap (%) (%) (%) (%) (%) (%) Period ---------- ---------- ---------- ---------- ---------- ---------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- 45 10.43 10.43 10.43 10.43 10.43 10.43 46 10.78 10.78 10.78 10.78 10.78 10.78 47 10.43 10.43 10.43 10.43 10.43 10.43 48 10.42 10.42 10.42 10.42 10.42 10.42 49 11.54 11.54 11.54 11.54 11.54 11.54 50 10.42 10.42 10.42 10.42 10.42 10.42 51 10.76 10.76 10.76 10.76 10.76 10.76 52 10.87 10.87 10.87 10.87 10.87 10.87 53 11.23 11.23 11.23 11.23 11.23 11.23 54 10.86 10.86 10.86 10.86 10.86 10.86 55 10.86 10.86 10.86 10.86 10.86 10.86 56 11.22 11.22 11.22 11.22 11.22 11.22 57 10.86 10.86 10.86 10.86 10.86 10.86 58 11.37 11.37 11.37 11.37 11.37 11.37 59 11.00 11.00 11.00 11.00 11.00 11.00 60 11.00 11.00 11.00 11.00 11.00 11.00 61 12.17 12.17 12.17 12.17 12.17 12.17 62 10.99 10.99 10.99 10.99 10.99 10.99 63 11.35 11.35 11.35 11.35 11.35 11.35 64 11.02 11.02 11.02 11.02 11.02 11.02 65 11.38 11.38 11.38 11.38 11.38 11.38 66 11.01 11.01 11.01 11.01 11.01 11.01 67 11.01 11.01 11.01 11.01 11.01 11.01 68 11.37 11.37 11.37 11.37 11.37 11.37 69 11.00 11.00 11.00 11.00 11.00 11.00 70 11.39 11.39 11.39 11.39 11.39 11.39 71 11.02 11.02 11.02 11.02 11.02 11.02 72 11.01 11.01 11.01 11.01 11.01 11.01 73 12.19 12.19 12.19 12.19 12.19 12.19 74 11.01 11.01 11.01 11.01 11.01 11.01 75 11.37 11.37 11.37 11.37 11.37 11.37 76 11.01 11.01 11.01 11.01 11.01 11.01 77 11.38 11.38 11.38 11.38 11.38 11.38 78 11.01 11.01 11.01 11.01 11.01 11.01 79 11.00 11.00 11.00 11.00 11.00 11.00 80 11.36 11.36 11.36 11.36 11.36 11.36 81 10.99 10.99 10.99 10.99 10.99 10.99 82 11.37 11.37 11.37 11.37 11.37 11.37 83 11.00 11.00 11.00 11.00 11.00 11.00 84 10.99 10.99 10.99 10.99 10.99 10.99 85 11.74 11.74 11.74 11.74 11.74 11.74 86 10.98 10.98 10.98 10.98 10.98 10.98 87 11.34 11.34 11.34 11.34 11.34 11.34 88 10.97 10.97 10.97 10.97 10.97 10.97 89 11.34 11.34 11.34 11.34 11.34 11.34 90 10.97 10.97 10.97 10.97 10.97 10.97
(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)
A-1mz Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap (%) (%) (%) (%) (%) (%) (%) Period ---------- ---------- ---------- ---------- ---------- ---------- ---------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- 91 15.05 - - 15.13 10.96 10.96 10.96 92 15.54 - - 15.63 11.32 11.32 11.32 93 15.04 - - 15.13 10.95 10.95 10.95 94 15.54 - - 15.63 11.31 11.31 11.31 95 12.62 - - 12.71 10.95 10.95 10.95 96 12.02 - - 12.10 10.94 10.94 10.94 97 13.33 - - 13.43 12.11 12.11 12.11 98 12.07 - - 12.16 10.93 10.93 10.93 99 12.50 - - 12.59 11.29 11.29 11.29 100 12.12 - - 12.21 10.92 10.92 10.92 101 12.56 - - 12.65 11.28 11.28 11.28 102 12.18 - - 12.27 10.92 10.92 10.92 103 12.21 - - 12.30 10.91 10.91 10.91 104 12.65 - - 12.74 11.27 11.27 11.27 105 12.27 - - 12.36 10.90 10.90 10.90 106 12.72 - - 12.81 11.26 11.26 11.26 107 12.34 - - 12.43 10.90 10.90 10.90 108 12.38 - - 12.47 10.89 10.89 10.89 109 13.74 - - 13.84 12.05 12.05 12.05 110 12.45 - - 12.54 10.88 10.88 10.88 111 12.90 - - 13.00 11.24 11.24 11.24 112 12.53 - - 12.62 10.87 10.87 10.87 113 12.99 - - 13.08 11.23 11.23 11.23 114 12.61 - - 12.70 10.87 10.87 10.87 115 12.65 - - 12.75 10.86 10.86 10.86 116 13.12 - - 13.22 11.22 11.22 11.22 117 12.74 - - 12.84 10.85 10.85 10.85 118 13.22 - - 13.32 11.21 11.21 11.21 119 12.84 - - 12.94 10.85 10.85 10.85 120 12.89 - - 12.99 10.84 10.84 10.84 121 14.33 - - 14.44 12.00 12.00 12.00 122 12.99 - - 13.09 10.83 10.83 10.83 123 13.48 - - 13.59 11.19 11.19 11.19 124 13.11 - - 13.20 10.82 10.82 10.82 125 13.60 - - 13.70 11.18 11.18 11.18 126 13.22 - - 13.32 10.82 10.82 10.82 127 13.28 - - 13.38 10.81 10.81 10.81 128 13.79 - - 13.89 11.17 11.17 11.17 129 13.41 - - 13.51 10.80 10.80 10.80 130 13.93 - - 14.03 11.16 11.16 11.16 131 13.55 - - 13.65 10.80 10.80 10.80 132 13.62 - - 13.72 10.79 10.79 10.79 133 14.64 - - 14.74 11.53 11.53 11.53 134 13.77 - - 13.87 10.78 10.78 10.78 135 14.31 - - 14.41 11.14 11.14 11.14 136 13.92 - - 14.02 10.78 10.78 10.78 M-4 Cap M-5 Cap M-6 Cap B-1 Cap B-2 Cap B-3 Cap (%) (%) (%) (%) (%) (%) Period ---------- ---------- ---------- ---------- ---------- ---------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- 91 10.96 10.96 10.96 10.96 10.96 10.96 92 11.32 11.32 11.32 11.32 11.32 11.32 93 10.95 10.95 10.95 10.95 10.95 10.95 94 11.31 11.31 11.31 11.31 11.31 11.31 95 10.95 10.95 10.95 10.95 10.95 10.95 96 10.94 10.94 10.94 10.94 10.94 10.94 97 12.11 12.11 12.11 12.11 12.11 12.11 98 10.93 10.93 10.93 10.93 10.93 10.93 99 11.29 11.29 11.29 11.29 11.29 11.29 100 10.92 10.92 10.92 10.92 10.92 10.92 101 11.28 11.28 11.28 11.28 11.28 11.28 102 10.92 10.92 10.92 10.92 10.92 10.92 103 10.91 10.91 10.91 10.91 10.91 10.91 104 11.27 11.27 11.27 11.27 11.27 11.27 105 10.90 10.90 10.90 10.90 10.90 10.90 106 11.26 11.26 11.26 11.26 11.26 11.26 107 10.90 10.90 10.90 10.90 10.90 - 108 10.89 10.89 10.89 10.89 10.89 - 109 12.05 12.05 12.05 12.05 12.05 - 110 10.88 10.88 10.88 10.88 10.88 - 111 11.24 11.24 11.24 11.24 11.24 - 112 10.87 10.87 10.87 10.87 10.87 - 113 11.23 11.23 11.23 11.23 11.23 - 114 10.87 10.87 10.87 10.87 10.87 - 115 10.86 10.86 10.86 10.86 10.86 - 116 11.22 11.22 11.22 11.22 - - 117 10.85 10.85 10.85 10.85 - - 118 11.21 11.21 11.21 11.21 - - 119 10.85 10.85 10.85 10.85 - - 120 10.84 10.84 10.84 10.84 - - 121 12.00 12.00 12.00 12.00 - - 122 10.83 10.83 10.83 10.83 - - 123 11.19 11.19 11.19 11.19 - - 124 10.82 10.82 10.82 10.82 - - 125 11.18 11.18 11.18 - - - 126 10.82 10.82 10.82 - - - 127 10.81 10.81 10.81 - - - 128 11.17 11.17 11.17 - - - 129 10.80 10.80 10.80 - - - 130 11.16 11.16 11.16 - - - 131 10.80 10.80 10.80 - - - 132 10.79 10.79 10.79 - - - 133 11.53 11.53 - - - - 134 10.78 10.78 - - - - 135 11.14 11.14 - - - - 136 10.78 10.78 - - - -
(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)
A-1mz Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap (%) (%) (%) (%) (%) (%) (%) Period ---------- ---------- ---------- ---------- ---------- ---------- ---------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- 137 14.47 - - 14.58 11.13 11.13 11.13 138 14.09 - - 14.19 10.77 10.77 10.77 139 14.17 - - 14.28 10.76 10.76 10.76 140 14.74 - - 14.84 11.12 11.12 11.12 141 14.36 - - 14.46 10.75 10.75 10.75 142 14.93 - - 15.04 11.11 11.11 11.11 143 14.55 - - 14.65 10.75 10.75 10.75 144 14.65 - - 14.75 10.74 10.74 10.74 145 16.33 - - 16.44 11.89 11.89 11.89 146 14.85 - - 14.96 10.73 10.73 10.73 147 15.46 - - 15.57 11.09 11.09 11.09 148 15.07 - - 15.18 10.73 10.73 10.73 149 15.69 - - 15.80 11.08 11.08 11.08 150 15.31 - - 15.41 10.72 10.72 10.72 151 15.43 - - 15.53 10.71 10.71 10.71 152 16.07 - - 16.18 11.07 11.07 - 153 15.68 - - 15.78 10.71 10.71 - 154 16.34 - - 16.45 11.06 11.06 - 155 15.95 - - 16.05 10.70 10.70 - 156 16.09 - - 16.19 10.69 10.69 - 157 17.97 - - 18.09 11.84 11.84 - 158 16.38 - - 16.48 10.69 10.69 - 159 17.08 - - 17.19 11.04 - - 160 16.69 - - 16.79 10.68 - - 161 17.41 - - 17.52 11.03 - - 162 17.01 - - 17.12 10.67 - - 163 17.18 - - 17.29 10.67 - - 164 17.94 - - 18.05 11.02 - - 165 17.54 - - 17.65 10.66 - - 166 18.39 - - 18.50 - - - 167 18.13 - - 18.23 - - - 168 18.48 - - 18.59 - - - 169 20.88 - - 21.00 - - - 170 19.27 - - 19.38 - - - 171 20.37 - - 20.48 - - - 172 20.19 - - 20.30 - - - 173 21.40 - - 21.51 - - - 174 21.26 - - 21.37 - - - 175 21.87 - - 21.98 - - - 176 23.29 - - 23.40 - - - 177 23.27 - - 23.38 - - - 178 38.63 - - 38.89 - - - 179 40.17 - - 40.42 - - - 180 43.50 - - 43.76 - - - 181 50.86 - - 51.13 - - - 182 52.65 - - 52.91 - - - M-4 Cap M-5 Cap M-6 Cap B-1 Cap B-2 Cap B-3 Cap (%) (%) (%) (%) (%) (%) Period ---------- ---------- ---------- ---------- ---------- ---------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- 137 11.13 11.13 - - - - 138 10.77 10.77 - - - - 139 10.76 10.76 - - - - 140 11.12 - - - - - 141 10.75 - - - - - 142 11.11 - - - - - 143 10.75 - - - - - 144 10.74 - - - - - 145 11.89 - - - - - 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 - - - - - -
(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)
A-1mz Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap (%) (%) (%) (%) (%) (%) (%) Period ---------- ---------- ---------- ---------- ---------- ---------- ---------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- 183 61.13 - - 61.39 - - - 184 67.78 - - 68.03 - - - 185 82.41 - - 82.67 - - - 186 97.49 - - 97.74 - - - 187 126.46 - - 126.72 - - - 188 188.29 - - - - - - 189 333.90 - - - - - - 190 * - - - - - - 191 - - - - - - - M-4 Cap M-5 Cap M-6 Cap B-1 Cap B-2 Cap B-3 Cap (%) (%) (%) (%) (%) (%) Period ---------- ---------- ---------- ---------- ---------- ---------- Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 ------ ---------- ---------- ---------- ---------- ---------- ---------- 183 - - - - - - 184 - - - - - - 185 - - - - - - 186 - - - - - - 187 - - - - - - 188 - - - - - - 189 - - - - - - 190 - - - - - - 191 - - - - - -
* In Period 190, the Class A-1mz Certificates have an approximate balance of $5,337 and are paid approximately $37,877 in interest. (1) Annualized coupon based on total interest paid to the certificates including Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry Forward Amount divided by the current certificate balance (2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR rate of 20% -------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 23 Senior Interest Rate Cap Schedules
Group I Class A Interest Rate Cap Group II Class A Interest Rate Cap ------------------------------------------- -------------------------------------------- Period Notional Balance ($) Strike % Ceiling % Notional Balance ($) Strike % Ceiling % 1 531,394,000.00 6.25 9.60 388,533,000.00 6.40 9.80 2 515,823,047.62 6.25 9.60 377,004,978.77 6.40 9.80 3 500,500,462.18 6.25 9.60 365,677,377.33 6.40 9.80 4 485,417,482.65 6.25 9.60 354,543,480.19 6.40 9.80 5 470,566,001.82 6.25 9.60 343,596,896.36 6.40 9.80 6 455,938,412.64 6.25 9.60 332,831,771.92 6.40 9.80 7 441,528,043.52 6.25 9.60 322,242,781.55 6.40 9.80 8 427,328,991.35 6.25 9.60 311,825,118.45 6.50 9.80 9 413,336,103.75 6.25 9.60 301,574,482.59 6.50 9.80 10 399,544,958.80 6.35 9.60 291,487,067.36 6.50 9.80 11 385,951,905.29 6.35 9.60 281,559,544.51 6.50 9.80 12 372,553,844.67 6.35 9.60 271,789,047.51 6.50 9.80 13 359,349,311.88 6.35 9.60 262,173,235.87 6.50 9.80 14 346,338,543.81 6.35 9.60 252,716,053.92 6.50 9.80 15 333,672,520.78 6.35 9.60 243,508,834.80 6.60 9.80 16 321,342,095.03 6.45 9.60 234,544,954.88 6.60 9.80 17 309,338,363.84 6.45 9.60 225,817,966.47 6.60 9.80 18 297,652,657.55 6.45 9.60 217,321,593.25 6.60 9.80 19 286,276,538.84 6.45 9.60 209,049,725.61 6.60 9.80 20 275,201,794.71 6.45 9.60 200,996,416.26 6.60 9.80 21 264,420,430.46 6.45 9.60 193,155,875.90 6.60 9.80 22 253,924,733.01 7.90 9.60 185,522,494.64 8.25 9.80 23 243,760,774.37 7.90 9.60 178,116,644.58 8.25 9.80 24 233,864,659.15 7.90 9.60 170,905,749.72 8.25 9.80 25 224,229,318.09 7.90 9.60 163,884,664.18 8.25 9.80 26 214,847,868.98 7.90 9.60 157,048,378.33 8.25 9.80 27 205,713,611.64 7.90 9.60 150,392,015.14 8.25 9.80 28 196,820,032.93 8.80 9.60 143,910,835.61 9.15 9.80 29 188,176,728.52 8.80 9.60 137,608,118.51 9.15 9.80 30 179,760,742.11 8.80 9.60 131,471,047.94 9.15 9.80 31 171,566,085.98 8.80 9.60 125,495,258.57 9.15 9.80 32 163,586,930.51 8.80 9.60 119,676,500.49 9.15 9.80 33 155,817,600.04 8.80 9.60 114,010,636.11 9.15 9.80 34 - - - - - -
-------------------------------------------------------------------------------- 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 Subordinate Interest Rate Cap Schedules
Class M Interest Rate Cap Class B Interest Rate Cap ------------------------------------------- -------------------------------------------- Period Notional Balance ($) Strike % Ceiling % Notional Balance ($) Strike % Ceiling % 1 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 2 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 3 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 4 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 5 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 6 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 7 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 8 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 9 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 10 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 11 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 12 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 13 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 14 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 15 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 16 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 17 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 18 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 19 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 20 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 21 152,078,000.00 5.90 8.75 41,319,000.00 4.85 7.70 22 152,078,000.00 7.20 8.95 41,319,000.00 6.15 7.90 23 152,078,000.00 7.20 8.95 41,319,000.00 6.15 7.90 24 152,078,000.00 7.20 8.95 41,319,000.00 6.15 7.90 25 152,078,000.00 7.20 8.95 41,319,000.00 6.15 7.90 26 152,078,000.00 7.20 8.95 41,319,000.00 6.15 7.90 27 152,078,000.00 7.20 8.95 41,319,000.00 6.15 7.90 28 152,078,000.00 7.90 9.20 41,319,000.00 6.85 8.15 29 152,078,000.00 7.90 9.20 41,319,000.00 6.85 8.15 30 152,078,000.00 7.90 9.20 41,319,000.00 6.85 8.15 31 152,078,000.00 7.90 9.20 41,319,000.00 6.85 8.15 32 152,078,000.00 7.90 9.20 41,319,000.00 6.85 8.15 33 152,078,000.00 7.90 9.20 41,319,000.00 6.85 8.15 34 152,078,000.00 8.60 9.45 41,319,000.00 7.55 8.40 35 152,078,000.00 8.60 9.45 41,319,000.00 7.55 8.40 36 152,078,000.00 8.60 9.45 41,319,000.00 7.55 8.40 37 152,078,000.00 8.60 9.45 41,319,000.00 7.55 8.40 38 152,078,000.00 8.60 9.45 37,858,424.66 7.55 8.40 39 148,635,940.67 8.60 9.45 30,539,641.65 7.55 8.40 40 138,960,365.37 8.60 9.45 29,737,064.86 7.55 8.40 41 129,538,957.47 9.30 9.90 28,955,570.91 8.25 8.85 42 120,365,028.22 9.30 9.90 28,194,605.02 8.25 8.85 43 111,432,065.35 9.30 9.90 27,453,626.99 8.25 8.85 44 102,733,728.43 9.30 9.90 26,732,110.88 8.25 8.85 45 95,803,893.84 9.30 9.90 26,029,544.63 8.25 8.85 46 - - - - - -
-------------------------------------------------------------------------------- The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. No representation or warranty can be given with respect to the accuracy or completeness of the information herein, or that any future offer of securities, instruments or transactions will conform to the terms hereof. Please refer to the important information and qualifications on the second page hereof when reviewing this information. -------------------------------------------------------------------------------- Page 25