compmats_split

EX-99 2 compmatssplitcap.htm EXHIBIT 99.1 COMPUTATIONAL MATERIALS compmats_split_cap

! HEAT0406.CDI #CMOVER_3.0B ASSET_BACKED_HOMEEQUITY ! MAX_CF_VECTSIZE 551

!! Created by Intex Deal Maker v3.5.291 , subroutines 3.0f3

!! 10/15/2003 8:59 PM

! Modeled in the Intex CMO Modeling Language, (WNYC12556129)

! Intex shall not be held liable for the accuracy of this data

! nor for the accuracy of information which is derived from this data.

COLLAT_GROUPS 1 2

GROUP 1 = "1F" "1A"

GROUP 2 = "2F" "2A"

DEFINE PREPAY PPC GROUP "1F" RISE_PERS 12 START_CPR 4.60 END_CPR 23

DEFINE PREPAY PPC GROUP "1A" RISE_PERS 18 START_CPR 27 END_CPR 27

DEFINE PREPAY PPC GROUP "2F" RISE_PERS 12 START_CPR 4.60 END_CPR 23

DEFINE PREPAY PPC GROUP "2A" RISE_PERS 18 START_CPR 27 END_CPR 27

DEFINE CONSTANT #OrigCollBal = 1200000000.00

DEFINE CONSTANT #OrigCollBal1 = 725075528.70

DEFINE CONSTANT #OrigCollBal2 = 474924471.31

DEFINE CONSTANT #OrigBondBal = 1200000000.00

DEFINE CONSTANT #OrigBondBal1 = 725075528.70

DEFINE CONSTANT #OrigBondBal2 = 474924471.30

DEFINE CONSTANT #SpecSenEnhPct = 37.9000000%

DEFINE CONSTANT #SNRTargPct = 62.1000000%

DEFINE CONSTANT #M1TargPct = 68.10000000%

DEFINE CONSTANT #M2TargPct = 74.10000000%

DEFINE CONSTANT #M3TargPct = 78.10000000%

DEFINE CONSTANT #M4TargPct = 81.10000000%

DEFINE CONSTANT #M5TargPct = 84.10000000%

DEFINE CONSTANT #M6TargPct = 87.60000000%

DEFINE CONSTANT #B1TargPct = 90.10000000%

DEFINE CONSTANT #B2TargPct = 92.60000000%

DEFINE CONSTANT #B3TargPct = 95.10000000%

DEFINE CONSTANT #B4TargPct = 96.60000000%

DEFINE #BondBal = 1200000000.00

FULL_DEALNAME: HEAT_0407

DEAL SIZE: $ 1200000000.00

PRICING SPEED: GROUP "1F" PPC 100%

PRICING SPEED: GROUP "1A" PPC 100%

PRICING SPEED: GROUP "2F" PPC 100%

PRICING SPEED: GROUP "2A" PPC 100%

! ISSUE DATE: 20041001

SETTLEMENT DATE: 20041001

OPTIONAL REDEMPTION: (((COLL_BAL / #OrigCollBal) < 10%));

Record date delay: 0

DEFINE TR_INDEXDEPS_ALL

DEFINE VARNAMES #SDReqPerc, #SDTrigEnhFrac

DEFINE SCHEDULE "NASIO_Amaximus"

DEAL_CLOCK_INFO _

ISSUE_CDU_DATE 20040901 _

DEAL_FIRSTPAY_DATE 20041025

DEFINE TABLE "CapNotional" (36, 2) = "CURMONTH" "Balance"

1.1 340,000,000

2.1 330,456,003

3.1 321,042,641

4.1 310,844,602

5.1 300,808,197

6.1 290,904,365

7.1 281,059,972

8.1 271,411,013

9.1 261,863,791

10.1 252,460,623

11.1 243,157,469

12.1 234,654,655

13.1 226,568,211

14.1 218,690,107

15.1 211,014,987

16.1 203,537,633

17.1 196,252,959

18.1 189,156,012

19.1 182,241,964

20.1 175,506,112

21.1 168,943,876

22.1 162,550,789

23.1 156,322,504

24.1 150,258,443

25.1 144,374,330

26.1 138,641,269

27.1 133,055,393

28.1 127,612,930

29.1

122,310,208

30.1

117,143,646

31.1

112,109,756

32.1

107,205,140

33.1

102,426,485

34.1

97,770,565

35.1

93,234,235

36.1

DEFINE TABLE "CapRateSch" (36, 2) = "CURMONTH" "Rate"

1.1 25.00

2.1 6.52

3.1 6.74

4.1 6.53

5.1 6.53

6.1 7.23

7.1 6.53

8.1 6.75

9.1 6.53

10.1 6.75

11.1 6.53

12.1 6.53

13.1 6.75

14.1 6.54

15.1 6.75

16.1 6.54

17.1 6.54

18.1 7.24

19.1 6.54

20.1 6.76

21.1 6.54

22.1 6.76

23.1 6.85

24.1 8.00

25.1 8.72

26.1 8.44

27.1 8.72

28.1 8.44

29.1

8.55

30.1

9.00

31.1

9.00

32.1

9.00

33.1

9.00

34.1

9.00

35.1

9.00

36.1

DEFINE TABLE "CeilingRateSch" (36, 2) = "CURMONTH" "Rate"

1.1 25.00

2.1 8.00

3.1 8.00

4.1 8.00

5.1 8.00

6.1 8.00

7.1 8.00

8.1 8.00

9.1 8.00

10.1 8.00

11.1 8.00

12.1 8.00

13.1 8.00

14.1 8.00

15.1 8.00

16.1 8.00

17.1 8.00

18.1 8.00

19.1 8.00

20.1 8.00

21.1 8.00

22.1 8.00

23.1 8.00

24.1

8.00

25.1 9.00

26.1 9.00

27.1 9.00

28.1 9.00

29.1

9.00

30.1

9.00

31.1

9.00

32.1

9.00

33.1

9.00

34.1

9.00

35.1

9.00

36.1

25.00

DEFINE DYNAMIC #CapBal = LOOKUP_TBL( "STEP", Curmonth, "CapNotional", "CURMONTH", "Balance" )

DEFINE DYNAMIC #CapBalEnd = LOOKUP_TBL( "STEP", Curmonth + 1, "CapNotional", "CURMONTH", "Balance" )

DEFINE DYNAMIC #CapRate = LOOKUP_TBL( "STEP", Curmonth, "CapRateSch", "CURMONTH", "Rate" )

DEFINE DYNAMIC #CeilingRate = LOOKUP_TBL( "STEP", Curmonth, "CeilingRateSch", "CURMONTH", "Rate" )

DEFINE TRANCHE "EXP", "AIOS"[2], "A1", "A2", "A3", "A4", "A5", "A6", "A7", "AIO-1", "AIO-2", "M1", "M2", "M3", "M4", "M5", "M6", "B1", "B2", "B3", "B4", "X"

DEFINE #FloorCollat = 0.5% * #OrigCollBal

DEFINE #CumLossShft = 0

DEFINE #TrigCumLossFrac = 0

DEFINE #SpecOCTarg = 1.70% * #OrigCollBal

ifndef #cmover_3.0d _

DEFINE #OC = 0

ifdef #cmover_3.0d _

DEFINE STANDARDIZE OC_ACTUAL_VAL #OC = 0

DEFINE STANDARDIZE OCT_INITVAL CONSTANT #InitOCTarg = 1.70% * #OrigCollBal

DEFINE STANDARDIZE OCT_STEPDOWN_MONTH CONSTANT #StepDownDate = 37

DEFINE STANDARDIZE OCT_STEPDOWN_FRAC CONSTANT #StepOCFrac = 0.0340

DEFINE STANDARDIZE EXCESS_INTEREST #XSSpread = 0

DEFINE STANDARDIZE OCT_FLOOR CONSTANT #FloorOCTarg = #FloorCollat

DEFINE STANDARDIZE OCT_VAL DYNAMIC #Octval = #SpecOCTarg

DEFINE COLLAT WT_BY_PREVBAL #NetRate = LOAN("OPTINT") / LOAN("PREVBAL") * 1200

DEFINE COLLAT WT_BY_PREVBAL GROUP 1 #NetRate1 = LOAN("OPTINT") / LOAN("PREVBAL") * 1200

DEFINE COLLAT WT_BY_PREVBAL GROUP 2 #NetRate2 = LOAN("OPTINT") / LOAN("PREVBAL") * 1200

DEFINE DYNAMIC #NetRateActual360 = #Netrate * 30 / DAYS_DIFF(CURDATE , MONTHS_ADD(CURDATE,-1))

DEFINE COLLAT WT_BY_PREVBAL #MaxCap = IF LOAN("LIFE_CAP") GT 0 _

THEN LOAN("LIFE_CAP") - (LOAN("GROSSRATE") - LOAN("NETRATE")) _

ELSE LOAN("NETRATE")

DEFINE DYNAMIC STICKY #Lifecap = #Maxcap - (OPTIMAL_INTPMT("AIOS#1","AIOS#2") / COLL_PREV_BAL * 1200)

DEFINE

#FGBal

= 251750000

DEFINE

#FGWrapBal

= 251750000

DEFINE TABLE "OC_CUMLOSS0" (49, 2) = "MONTH" "OC_CUMLOSS_FRAC0"

37.1 0.0275

38.1 0.02895833

39.1 0.03041667

40.1 0.03187500

41.1 0.03333333

42.1 0.03479167

43.1 0.03625000

44.1 0.03770833

45.1 0.03916667

46.1 0.04062500

47.1 0.04208333

48.1 0.04354167

49.1 0.04500000

50.1 0.04604167

51.1 0.04708333

52.1 0.04812500

53.1 0.04916667

54.1 0.05020833

55.1 0.05125000

56.1 0.05229167

57.1 0.05333333

58.1 0.05437500

59.1 0.05541667

60.1 0.05645833

61.1 0.05750000

62.1 0.05791667

63.1 0.05833333

64.1 0.05875000

65.1 0.05916667

66.1 0.05958333

67.1 0.06000000

68.1 0.06041667

69.1 0.06083333

70.1 0.06125000

71.1 0.06166667

72.1 0.06208333

73.1 0.06250000

74.1 0.06270833

75.1 0.06291667

76.1 0.06312500

77.1 0.06333333

78.1 0.06354167

79.1 0.06375000

80.1 0.06395833

81.1 0.06416667

82.1 0.06437500

83.1 0.06458333

84.1 0.06479167

85.1 0.0650

TOLERANCE WRITEDOWN_0LOSS 9999999999999.00

TOLERANCE INTEREST 9999999999999.00

!!***********custom *********

DEFINE #SpecAcctBal = 0

DEFINE SCHEDULE "AIO2_NTL_BAL"

INITIAL INDEX LIBOR_6MO 2.12

INITIAL INDEX LIBOR_1MO 1.75

!!**********************NetFunds Cap Definition**************************************************

DEFINE DYNAMIC #WRAP1 = OPTIMAL_INTPMT("EXP") * BBAL("A1")

!! DEFINE DYNAMIC #WRAP3 = OPTIMAL_INTPMT("EXP") * BBAL("A3")

DEFINE DYNAMIC #GROUP1CAP

= (COLL_I_MISC("COUPON",1) - OPTIMAL_INTPMT("AIOS#1") ) / COLL_PREV_BAL(1) * 1200*30 / DAYS_DIFF(CURDATE,MONTHS_ADD(CURDATE,-1))

DEFINE DYNAMIC #GROUP2CAP

= (COLL_I_MISC("COUPON",2) - OPTIMAL_INTPMT("EXP", "AIOS#2") ) / COLL_PREV_BAL(2) * 1200*30 / DAYS_DIFF(CURDATE,MONTHS_ADD(CURDATE,-1))

DEFINE DYNAMIC #GROUP1CAPI

= (COLL_I_MISC("COUPON",1) - OPTIMAL_INTPMT("AIOS#1") ) / COLL_PREV_BAL(1) * 1200

DEFINE DYNAMIC #GROUP2CAPI

= (COLL_I_MISC("COUPON",2) - OPTIMAL_INTPMT("EXP", "AIOS#2") ) / COLL_PREV_BAL(2) * 1200

DEFINE DYNAMIC STICKY #SUBBAL1 = COLL_PREV_BAL(1) - BBAL("A1") - BBAL("A2") - BBAL("A7")

DEFINE DYNAMIC STICKY #SUBBAL2 = COLL_PREV_BAL(2) - BBAL("A6") - BBAL("A3") - BBAL("A4") - BBAL("A5")

DEFINE DYNAMIC STICKY #SUBCAP

( #GROUP1CAP * #SUBBAL1 + #GROUP2CAP * #SUBBAL2 )/ ( #SUBBAL1 + #SUBBAL2)

DEFINE DYNAMIC STICKY #NETFUNDSCAPIO = _

(((BBAL("A1") + BBAL("A2") + BBAL("A7")) * (#GROUP1CAPI - ((OPTIMAL_INTPMT("A1") - COUPONCAP_SHORTFALL("A1")) + _

(OPTIMAL_INTPMT("A2") - COUPONCAP_SHORTFALL("A2")) + (OPTIMAL_INTPMT("A7") - COUPONCAP_SHORTFALL("A7"))) / _

(BBAL("A1") + BBAL("A2") + BBAL("A7")) * 1200 )) + _

(BBAL("A6") + BBAL("A3") + BBAL("A4") + BBAL("A5")) * _

(#GROUP2CAPI - ((OPTIMAL_INTPMT("A6") - COUPONCAP_SHORTFALL("A6"))+(OPTIMAL_INTPMT("A3") - COUPONCAP_SHORTFALL("A3"))+ _

(OPTIMAL_INTPMT("A4") - COUPONCAP_SHORTFALL("A4")) + (OPTIMAL_INTPMT("A5") - COUPONCAP_SHORTFALL("A5"))) _

/ (BBAL("A6") + BBAL("A3") + BBAL("A4") + BBAL("A5")) * 1200 )) / BBAL("A1","A6","A7","A2","A3","A4","A5") / 32.50%

!!******************** end of definition ****************************************

Tranche "EXP" SEN_FEE_NO

Block ( #FGWrapBal ); at 0.00 NOTIONAL WITH FORMULA BEGIN ( IF COLL_PREV_BAL > 0 THEN #FGWrapBal ELSE 0 ); _

END ( IF COLL_BAL > 0 THEN #FGWrapBal ELSE 0 ); _

DAYCOUNT 30360 FREQ M _

Delay 23 Dated 20041001 Next 20041025

Tranche "A1" SEN_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 480000000.00 at 2.09 GROUP 1 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #GROUP1CAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 0.68 ELSE 0.34 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("A1#1")) )

0 999

Tranche "A6" SEN_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 0.00 at 2.45 GROUP 1 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #GROUP1CAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 1.40 ELSE 0.70 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("A6#1")) )

0 999

Tranche "A7" SEN_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 0.00 at 2.12 GROUP 1 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #GROUP1CAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 0.74 ELSE 0.37 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("A7#1")) )

0 999

Tranche "A2" SEN_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 120000000.00 at 2.17 GROUP 2 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #GROUP1CAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 0.84 ELSE 0.42 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("A2#1")) )

0 999

Tranche "A3" SEN_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 340000000.00 at 2.14 GROUP 2 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #GROUP2CAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 0.78 ELSE 0.39 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("A3#1")) )

0 999

Tranche "A4" SEN_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 43500000.00 at 1.98 GROUP 2 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #GROUP2CAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 0.46 ELSE 0.23 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("A4#1")) )

0 999

Tranche "A5" SEN_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 9500000.00 at 2.25 GROUP 2 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #GROUP2CAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 1.00 ELSE 0.50 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("A5#1")) )

0 999

Tranche "M1" MEZ_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 36000000.00 at 2.37 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #SUBCAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 0.93 ELSE 0.62 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("M1#1")) )

0 999

Tranche "M2" MEZ_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 36000000.00 at 2.41 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #SUBCAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 0.99 ELSE 0.66 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("M2#1")) )

0 999

Tranche "M3" MEZ_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 24000000.00 at 2.48 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #SUBCAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 1.095 ELSE 0.73 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("M3#1")) )

0 999

Tranche "M4" MEZ_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 18000000.00 at 2.90 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #SUBCAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 1.65 ELSE 1.15 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("M1#1")) )

0 999

Tranche "M5" MEZ_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 18000000.00 at 2.95 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #SUBCAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 1.70 ELSE 1.20 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("M2#1")) )

0 999

Tranche "M6" MEZ_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 21000000.00 at 3.17 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #SUBCAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 1.92 ELSE 1.42 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("M3#1")) )

0 999

Tranche "B1" MEZ_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 15000000.00 at 3.50 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #SUBCAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 2.25 ELSE 1.75 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("B1#1")) )

0 999

Tranche "B2" JUN_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 15000000.00 at 3.60 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #SUBCAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 2.35 ELSE 1.85 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("B2#1")) )

0 999

Tranche "B3" JUN_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 15000000.00 at 5.25 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #SUBCAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 4.00 ELSE 3.50 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("B3#1")) )

0 999

Tranche "B4" JUN_FLT ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 9000000.00 at 6.25 FREQ M FLOAT RESET M _

COUPONCAP ACTUAL360 NONE ( #SUBCAP ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20041001 Next 20041025

( MIN((1 * LIBOR_1MO + ( IF ((COLL_BAL("LAGMON_1") / #OrigCollBal) < 10%) THEN 5.00 ELSE 4.50 )), #LifeCap * 30 / NDAYS_ACCRUE_INT("B3#1")) )

0 999

Tranche "AIO-1" SEN_FLT_IO ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 322725000.00 at 6.25 FREQ M FLOAT RESET M NOTIONAL WITH FORMULA ( IF CURMONTH LT 24 THEN ( 32.50%*BBAL("A1", "A6", "A7", "A2", "A3", "A4", "A5") ) ELSE 0 ); _

COUPONCAP 30360 NONE ( #NETFUNDSCAPIO ); _

DAYCOUNT 30360 BUSINESS_DAY NONE _

Delay 0 Dated 20040925 Next 20041025 Settle 20041001

( MIN(-1 * LIBOR_1MO + 8, #NETFUNDSCAPIO) )

0 6.35

Tranche "AIO-2" SEN_INV_IO ! PAID_DOWN_WHEN (COLL_BAL LT 0.01);

Block 1.00 at 0.00 FREQ M FLOAT RESET M NOTIONAL WITH FORMULA ( MIN(COLL_BAL, SCHED_AMOUNT("AIO2_NTL_BAL")) ); _

DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _

Delay 0 Dated 20040925 Next 20041025

-1 * LIBOR_1MO + 1.65

0 1.65

Tranche "AIOS" SEN_FEE_NO

Block 725075528.70 at 0.00 NOTIONAL WITH GROUP 1 _

DAYCOUNT 30360 BUSINESS_DAY NONE _

FREQ M Delay 24 Dated 20041001 Next 20041025

Block 474924471.30 at 0.00 NOTIONAL WITH GROUP 2 _

DAYCOUNT 30360 BUSINESS_DAY NONE _

FREQ M Delay 24 Dated 20041001 Next 20041025

Tranche "X" JUN_RES

Block 1200000000.00 at 0 NOTIONAL WITH GROUP 0 SURPLUS _

DAYCOUNT 30360 BUSINESS_DAY NONE _

FREQ M Delay 24 Dated 20041001 Next 20041025

Tranche "#OC" SYMVAR

Tranche "#SpecOCTarg" SYMVAR

DEFINE PSEUDO_TRANCHE COLLAT _

Delay 24 Dated 20040901 Next 20041025 Settle 20041001

DEFINE PSEUDO_TRANCHE COLLAT GROUP 1 _

Delay 24 Dated 20040901 Next 20041025 Settle 20041001

DEFINE PSEUDO_TRANCHE COLLAT GROUP 2 _

Delay 24 Dated 20040901 Next 20041025 Settle 20041001

RESERVE_FUND "YmRsvFnd" FUNDING_FROM RULES

FINANCIAL_GUARANTY "HEDGE" _

FUNDING_FROM RULES _

COVERS BY RULES

!!******************************** CUSTOM SCRIPT **************************************

RESERVE_FUND "CAP_RF" ON TRANCHE "AIO-1"&"AIO-2"&"A1"&"A2"&"A3"&"A4"&"A5"&"A6"&"A7"&"M1"&"M2"&"M3"&"M4"&"M5"&"M6"&"B1"&"B2"&"B3"&"B4" _

COVERS RULES RULES _

BALANCE_CAP ( #SpecAcctBal ); _

FUNDING_FROM RULES _

EXCESS_TO "X" _

BY "DM"

!! ******************************** END CUSTOM SCRIPT **************************************

!! FINANCIAL_GUARANTY "FG" ON TRANCHE "A2"_

!! COVERS DELINQ LOSSES _

!! BY "DM"

CLASS "EXP"

NO_BUILD_TRANCHE _

= "EXP"

CLASS "AIO-1" = "AIO-1"

CLASS "AIO-2" = "AIO-2"

CLASS "AIOS" = "AIOS#1" "AIOS#2"

CLASS "SNR_11" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "A7"

CLASS "SNR_111" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "A1"

CLASS "SNR_112" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "A2"

CLASS "SNR_21" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "A3"

CLASS "SNR_221" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "A4"

CLASS "SNR_222" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "A5"

CLASS "SNR_223" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "A6"

CLASS "M1" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "M1"

CLASS "M2" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "M2"

CLASS "M3" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "M3"

CLASS "M4" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "M4"

CLASS "M5" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "M5"

CLASS "M6" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "M6"

CLASS "B1" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "B1"

CLASS "B2" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "B2"

CLASS "B3" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "B3"

CLASS "B4" NO_BUILD_TRANCHE _

SHORTFALL_PAYBACK COUPONCAP TRUE _

SHORTFALL_EARN_INT COUPONCAP TRUE _

= "B4"

CLASS "RESID" NO_BUILD_TRANCHE _

= "X#1"

CLASS "SNR_22" DISTRIB_CLASS PRORATA ALLOCATION _

= "SNR_221" "SNR_222" "SNR_223"

CLASS "SNR_2" DISTRIB_CLASS PRORATA ALLOCATION _

= "SNR_21" "SNR_22"

CLASS "SNR_12" DISTRIB_CLASS PRORATA ALLOCATION _

= "SNR_111" "SNR_112"

CLASS "SNR_1" DISTRIB_CLASS PRORATA ALLOCATION _

= "SNR_11" "SNR_12"

CLASS "SNR" DISTRIB_CLASS PRORATA WRITEDOWN_BAL PRORATA ALLOCATION _

= "SNR_1" "SNR_2" "AIO-1" "AIO-2"

CLASS "ROOT" _

WRITEDOWN_BAL RULES _

DISTRIB_CLASS RULES _

SHORTFALL_PAYBACK PRINCIPAL_LOSS TRUE _

CALC_WDBALINT _

SHORTFALL_PAYBACK WDBALINT TRUE _

SHORTFALL_EARN_INTEREST WDBALINT TRUE _

SHORTFALL_EARN_INT INTEREST TRUE _

= "AIOS" "EXP" "SNR" "M1" "M2" "M3" "M4" "M5" "M6" "B1" "B2" "B3" "B4" "RESID"

DEFINE PSEUDO_TRANCHE CLASS "SNR" Delay 0 Dated 20040901 Next 20041025 DAYCOUNT ACTUAL360 BUSINESS_DAY NONE

DEFINE PSEUDO_TRANCHE CLASS "SNR_1" Delay 0 Dated 20040901 Next 20041025 DAYCOUNT ACTUAL360 BUSINESS_DAY NONE

DEFINE PSEUDO_TRANCHE CLASS "SNR_2" Delay 0 Dated 20040901 Next 20041025 DAYCOUNT ACTUAL360 BUSINESS_DAY NONE

DEFINE PSEUDO_TRANCHE CLASS "SNR_22" Delay 0 Dated 20040901 Next 20041025 DAYCOUNT ACTUAL360 BUSINESS_DAY NONE

CROSSOVER When 0

TRIGGER "StepDown-DlqEnh" _

FULL_NAME "Step Down Enhancement Delinquency Trigger" _

ORIG_TESTVAL 0.000% _

TESTVAL ( #SDTrigEnhFrac); _

ORIG_TARGETVAL 12.75% _

TARGETVAL (#SDReqPerc); _

TRIGVAL LODIFF

TRIGGER "STEPDOWN_TRIGGER" _

FULL_NAME "Step Down Trigger" _

DEFINITION "A Step Down Trigger exists, if_

;(1) the aggregate principal balance of all delinquent loans * 1_

as a percentage of the respective collateral balance exceeds :_

.43 * the Senior Enhancement Percentage."_

IMPACT "If a Step Down Trigger is in effect the OC target CANNOT stepdown to_

4% of the current balance of the collateral." _

TRIGVAL FORMULA (TRIGGER("StepDown-DlqEnh","TRIGVAL"));

TRIGGER "StepUp-CumLoss" _

FULL_NAME "Step Up Cumulative Loss Trigger" _

ORIG_TESTVAL 0.000% _

TESTVAL ( #TrigCumLossFrac); _

ORIG_TARGETVAL 3.0% _

TARGETVAL (#CumLossShft); _

TRIGVAL LODIFF

TRIGGER "STEPUP_TRIGGER" _

FULL_NAME "Step Up Trigger" _

DEFINITION "A Step Up Trigger exists, if_

(1) a percentage calculated as the quotient of the amount of cumulative_

realized losses divided by the original collateral balance exceeds the target defined by a schedule;_

Month <= %;_

37 2.75%; _

38 2.895833%; _

39 3.041667%; _

40 3.187500%; _

41 3.333333%; _

42 3.479167%; _

43 3.625000%; _

44 3.770833%; _

45 3.916667; _

46 4.062500%; _

47 4.208333%; _

48 4.354167%; _

49 4.500000%; _

50 4.604167%; _

51 4.708333%; _

52 4.812500%; _

53 4.916667%; _

54 5.020833%; _

55 5.125000%; _

56 5.229167%; _

57 5.333333%; _

58 5.437500%; _

59 5.541667%; _

60 5.645833%; _

61 5.750000%; _

62 5.791667%; _

63 5.833333%; _

64 5.875000%; _

65 5.916667%; _

66 5.958333%; _

67 6.000000%; _

68 6.041667%; _

69 6.083333%; _

70 6.125000%; _

71 6.166667%; _

72 6.208333%; _

73 6.250000%; _

74 6.270833%; _

75 6.291667%; _

76 6.312500%; _

77 6.333333%; _

78 6.354167%; _

79 6.375000%; _

80 6.395833%; _

81 6.416667%; _

82 6.437500%; _

83 6.458333%; _

84 6.479167%; _

360 6.500000%; _

IMPACT "If a Step Up Trigger is in effect the OC target will change to_

the last value before the trigger occurred if a stepdown has_

occurred. It has no effect if a stepdown has not occurred." _

TRIGVAL FORMULA (TRIGGER("StepUp-CumLoss","TRIGVAL"));

INTEREST_SHORTFALL GROUP 1 FULL_PREPAY Compensate Pro_rata _

PARTIAL_PREPAY Compensate Pro_rata _

LOSS NO_Compensate SUBORDINATED ACCUM

INTEREST_SHORTFALL GROUP 2 FULL_PREPAY Compensate Pro_rata _

PARTIAL_PREPAY Compensate Pro_rata _

LOSS NO_Compensate SUBORDINATED ACCUM

DEFINE MACRO BLOCK #SNR_Int =

{

------------------------------------

from : CLASS ( "SNR" )

pay : CLASS INTEREST PRO_RATA ( "SNR_1"; "SNR_2"; "AIO-1"; "AIO-2" )

------------------------------------

from : CLASS ( "SNR_1" )

pay : CLASS INTEREST PRO_RATA ( "SNR_11"; "SNR_12" )

------------------------------------

from : CLASS ( "SNR_12" )

pay : CLASS INTEREST PRO_RATA ( "SNR_111"; "SNR_112" )

------------------------------------

from : CLASS ( "SNR_2" )

pay : CLASS INTEREST PRO_RATA ( "SNR_21"; "SNR_22" )

------------------------------------

from : CLASS ( "SNR_22" )

pay : CLASS INTEREST PRO_RATA ( "SNR_221"; "SNR_222"; "SNR_223" )

------------------------------------

}

DEFINE MACRO BLOCK #SNR_InS =

{

------------------------------------

from : CLASS ( "SNR" )

pay : CLASS INTSHORT PRO_RATA ( "AIO-1"; "AIO-2"; "SNR_1"; "SNR_2" )

------------------------------------

from : CLASS ( "SNR_1" )

pay : CLASS INTSHORT PRO_RATA ( "SNR_11"; "SNR_12" )

------------------------------------

from : CLASS ( "SNR_12" )

pay : CLASS INTSHORT PRO_RATA ( "SNR_111"; "SNR_112" )

------------------------------------

from : CLASS ( "SNR_2" )

pay : CLASS INTSHORT PRO_RATA ( "SNR_21"; "SNR_22" )

------------------------------------

from : CLASS ( "SNR_22" )

pay : CLASS INTSHORT PRO_RATA ( "SNR_221"; "SNR_222"; "SNR_223" )

------------------------------------

}

DEFINE MACRO BLOCK #SNR_Prn1 =

{

------------------------------------

!!****************************** CUSTOM SCRIPT *****************************************

calculate : #SeniorPrinc = #PrincPmt / #DistribAmt * #ClassSNRPDA

!! calculate : #SeniorXtraP = #ClassSNRPDA - #SeniorPrinc

calculate : #SeniorXtraP = MAX(0, #ClassSNRPDA - #SeniorPrinc - #CAP_TO_AVAILFUNDS)

calculate : #SeniorCapRFP = MAX(0, #ClassSNRPDA - #SeniorPrinc - #SeniorXtraP)

calculate : #DelinqFrac1 = DELINQ_NET_LOSS(1)/DELINQ_NET_LOSS

calculate : #DelinqFrac2 = DELINQ_NET_LOSS(2)/DELINQ_NET_LOSS

calculate : #SeniorPDA1 = MIN( BBAL("SNR_1"), (#SeniorPrinc * #PrincFrac1) + (#SeniorXtraP * #XtraPFrac1) + (#DelinqFrac1 * #SeniorCapRFP))

calculate : #SeniorPDA2 = MIN( BBAL("SNR_2"), (#SeniorPrinc * #PrincFrac2) + (#SeniorXtraP * #XtraPFrac2) + (#DelinqFrac2 * #SeniorCapRFP))

------------------------------------

from : CLASS ( "SNR" )

subject to : CEILING ( #SeniorPDA1)

pay : CLASS BALANCE SEQUENTIAL ( "SNR_1" )

------------------------------------

from : CLASS ( "SNR" )

subject to : CEILING ( #SeniorPDA2)

pay : CLASS BALANCE SEQUENTIAL ( "SNR_2" )

------------------------------------

from : CLASS ( "SNR" )

pay : CLASS BALANCE PRO_RATA ( "SNR_1"; "SNR_2" )

------------------------------------

from : CLASS ( "SNR_1" )

pay : CLASS BALANCE SEQUENTIAL ( "SNR_11", "SNR_12" )

------------------------------------

from : CLASS ( "SNR_12" )

pay : CLASS BALANCE SEQUENTIAL ( "SNR_111", "SNR_112" )

------------------------------------

from : CLASS ( "SNR_2" )

pay : CLASS BALANCE PRO_RATA ( "SNR_21"; "SNR_22" )

------------------------------------

from : CLASS ( "SNR_22" )

pay : CLASS BALANCE SEQUENTIAL ( "SNR_221", "SNR_222", "SNR_223" )

------------------------------------

from : CLASS ( "SNR_11" )

pay : SEQUENTIAL ( "A7#1" )

------------------------------------

from : CLASS ( "SNR_111" )

pay : SEQUENTIAL ( "A1#1" )

------------------------------------

from : CLASS ( "SNR_112" )

pay : SEQUENTIAL ( "A2#1" )

------------------------------------

from : CLASS ( "SNR_21" )

pay : SEQUENTIAL ( "A3#1" )

------------------------------------

from : CLASS ( "SNR_221" )

pay : SEQUENTIAL ( "A4#1" )

------------------------------------

from : CLASS ( "SNR_222" )

pay : SEQUENTIAL ( "A5#1" )

------------------------------------

from : CLASS ( "SNR_223" )

pay : SEQUENTIAL ( "A6#1" )

------------------------------------

}

DEFINE MACRO BLOCK #SNR_Prn2 =

{

------------------------------------

!!****************************** CUSTOM SCRIPT *****************************************

calculate : #SeniorPrinc = #PrincPmt / #DistribAmt * #ClassSNRPDA

!! calculate : #SeniorXtraP = #ClassSNRPDA - #SeniorPrinc

calculate : #SeniorXtraP = MAX(0, #ClassSNRPDA - #SeniorPrinc - #CAP_TO_AVAILFUNDS)

calculate : #SeniorCapRFP = MAX(0, #ClassSNRPDA - #SeniorPrinc - #SeniorXtraP)

calculate : #DelinqFrac1 = DELINQ_NET_LOSS(1)/DELINQ_NET_LOSS

calculate : #DelinqFrac2 = DELINQ_NET_LOSS(2)/DELINQ_NET_LOSS

calculate : #SeniorPDA1 = MIN( BBAL("SNR_1"), (#SeniorPrinc * #PrincFrac1) + (#SeniorXtraP * #XtraPFrac1) + (#DelinqFrac1 * #SeniorCapRFP))

calculate : #SeniorPDA2 = MIN( BBAL("SNR_2"), (#SeniorPrinc * #PrincFrac2) + (#SeniorXtraP * #XtraPFrac2) + (#DelinqFrac2 * #SeniorCapRFP))

------------------------------------

from : CLASS ( "SNR" )

subject to : CEILING ( #SeniorPDA1)

pay : CLASS BALANCE SEQUENTIAL ( "SNR_1" )

------------------------------------

from : CLASS ( "SNR" )

subject to : CEILING ( #SeniorPDA2)

pay : CLASS BALANCE SEQUENTIAL ( "SNR_2" )

------------------------------------

from : CLASS ( "SNR" )

pay : CLASS BALANCE PRO_RATA ( "SNR_1"; "SNR_2" )

------------------------------------

from : CLASS ( "SNR_1" )

pay : CLASS BALANCE SEQUENTIAL ( "SNR_11", "SNR_12" )

------------------------------------

from : CLASS ( "SNR_12" )

pay : CLASS BALANCE PRO_RATA ( "SNR_111"; "SNR_112" )

------------------------------------

from : CLASS ( "SNR_2" )

pay : CLASS BALANCE PRO_RATA ( "SNR_21"; "SNR_22" )

------------------------------------

from : CLASS ( "SNR_22" )

pay : CLASS BALANCE SEQUENTIAL ( "SNR_221", "SNR_222", "SNR_223" )

------------------------------------

from : CLASS ( "SNR_11" )

pay : SEQUENTIAL ( "A7#1" )

------------------------------------

from : CLASS ( "SNR_111" )

pay : SEQUENTIAL ( "A1#1" )

------------------------------------

from : CLASS ( "SNR_112" )

pay : SEQUENTIAL ( "A2#1" )

------------------------------------

from : CLASS ( "SNR_21" )

pay : SEQUENTIAL ( "A3#1" )

------------------------------------

from : CLASS ( "SNR_221" )

pay : SEQUENTIAL ( "A4#1" )

------------------------------------

from : CLASS ( "SNR_222" )

pay : SEQUENTIAL ( "A5#1" )

------------------------------------

from : CLASS ( "SNR_223" )

pay : SEQUENTIAL ( "A6#1" )

------------------------------------

}

DEFINE MACRO BLOCK #M1_Prn =

{

------------------------------------

from : CLASS ( "M1" )

pay : SEQUENTIAL ( "M1#1" )

------------------------------------

}

DEFINE MACRO BLOCK #M2_Prn =

{

------------------------------------

from : CLASS ( "M2" )

pay : SEQUENTIAL ( "M2#1" )

------------------------------------

}

DEFINE MACRO BLOCK #M3_Prn =

{

------------------------------------

from : CLASS ( "M3" )

pay : SEQUENTIAL ( "M3#1" )

------------------------------------

}

DEFINE MACRO BLOCK #M4_Prn =

{

------------------------------------

from : CLASS ( "M4" )

pay : SEQUENTIAL ( "M4#1" )

------------------------------------

}

DEFINE MACRO BLOCK #M5_Prn =

{

------------------------------------

from : CLASS ( "M5" )

pay : SEQUENTIAL ( "M5#1" )

------------------------------------

}

DEFINE MACRO BLOCK #M6_Prn =

{

------------------------------------

from : CLASS ( "M6" )

pay : SEQUENTIAL ( "M6#1" )

------------------------------------

}

DEFINE MACRO BLOCK #B1_Prn =

{

------------------------------------

from : CLASS ( "B1" )

pay : SEQUENTIAL ( "B1#1" )

------------------------------------

}

DEFINE MACRO BLOCK #B2_Prn =

{

------------------------------------

from : CLASS ( "B2" )

pay : SEQUENTIAL ( "B2#1" )

------------------------------------

}

DEFINE MACRO BLOCK #B3_Prn =

{

------------------------------------

from : CLASS ( "B3" )

pay : SEQUENTIAL ( "B3#1" )

------------------------------------

}

DEFINE MACRO BLOCK #B4_Prn =

{

------------------------------------

from : CLASS ( "B4" )

pay : SEQUENTIAL ( "B4#1" )

------------------------------------

}

CMO Block Payment Rules

------------------------------------

from : CASH_ACCOUNT (100)

subject to : CEILING ( (COLL("PREPAYPENALTY")) )

pay : CREDIT_ENHANCEMENT ("YmRsvFnd")

------------------------------------

calculate : #CapINDEX = IF CURDATE EQ 20041025 THEN 1.75 ELSE LIBOR_1MO("IAC",1)

calculate : #CapIN = MAX(0, (MIN(#CeilingRATE, #CapINDEX) - #CapRATE) * #CapBAL / 1200 * NDAYS_ACCRUE_INT("M1#1") / 30)

calculate : #CapOUT = 0

calculate : #HedgePayIn = #CapIN

!! #HedgePayOut is used as a subaccount

calculate : #HedgePayOut = #CapOUT

!! #HedgePaySave should never be changed

calculate : #HedgePaySave = #CapOUT

------------------------------------

!!******************************** CUSTOM SCRIPT ************************

from : CREDIT_ENHANCEMENT ("HEDGE")

subject to : CEILING (#HedgePayIn)

!! pay : CASH_ACCOUNT(0)

pay : CREDIT_ENHANCEMENT("CAP_RF")

!!******************************** END CUSTOM SCRIPT ************************

------------------------------------

from : CASH_ACCOUNT (100)

subject to : CEILING (#HedgePayOut)

pay : CREDIT_ENHANCEMENT ("HEDGE")

-------------------------------------------------------------------------------

calculate : #PrincFrac1 = COLL_P(1) / COLL_P

calculate : #PrincFrac2 = COLL_P(2) / COLL_P

calculate : #XtraPFrac1 = COLL_P(1) / COLL_P

calculate : #XtraPFrac2 = COLL_P(2) / COLL_P

calculate : #Princ = COLL_P

calculate : #Interest = COLL_I - #HedgePaySave

calculate : #PrevSpecOC = #SpecOCTarg

calculate : #CurrentOC = MAX( 0, COLL_BAL - (BBAL("A1", "A2", "A3", "A4", "A5", "A6", "A7", "M1", "M2", "M3", "M4", "M5", "M6", "B1", "B2", "B3", "B4") - #Princ))

calculate : #XSSpread = MAX( 0, #Interest - ( COLL_YM * (100% - 0%)) - OPTIMAL_INTPMT("ROOT") - INTSHORT_ACCUM("ROOT") + COUPONCAP_SHORTFALL("ROOT") )

calculate : #FloorOCTotal = #FloorOCTarg

!!*************************custom **************

calculate : #StepOCTarg = COLL_BAL * #StepOCFrac

calculate : #StepDownDatePass = CURMONTH GE #StepDownDate

!!!********** BEGINNING OF SENIOR ENHANCEMENT PCT CALCULATION **********

!!! ASSUME STEPDOWN IN ORDER TO CALCULATE SENIOR ENHANCMENT PCT

!!! calculate : #SpecOCTarg = MAX( MIN( #InitOCTarg, #StepOCTarg ) , #FloorOCTotal )

!!! calculate : #SpecOCTarg = MIN( #SpecOCTarg, COLL_BAL )

!!! calculate : #SpecOCTarg = #Octval

!!! calculate : #OCDeficiency = MAX(0, #SpecOCTarg - #CurrentOC)

!!! calculate : #OCSurplus = MINMAX(0, #CurrentOC - #SpecOCTarg, COLL_P)

!!! calculate : #PrincPmt = MAX(0, COLL_P - #OCSurplus)

!!! calculate : #XSIntRem = MAX( 0, #Interest - ( COLL_YM * (100% - 0%)) - OPTIMAL_INTPMT("ROOT") - INTSHORT_ACCUM("ROOT") + #OCSurplus + COUPONCAP_SHORTFALL("ROOT"))

!!! calculate : #SpreadHol = MIN( MAX(0, #XSIntRem - DELINQ_NET_LOSS), #XSIntRem * 100/100 )

!!! calculate : #XSIntRem = IF CURMONTH LE 2 THEN MAX(0, #XSIntRem - #SpreadHol) ELSE #XSIntRem

!!! calculate : #SubDefic = MAX ( 0, ( BBAL("ROOT") - #Princ ) - COLL_BAL )

!!! calculate : #AddPrinc = MIN( #XSIntRem, #SubDefic )

!!! calculate : #XSIntRem = MAX( 0, #XSIntRem - #AddPrinc )

!!! calculate : #XtraPDA = MIN( #OCDeficiency, #XSIntRem )

!!! calculate : #XSIntRem = MAX( 0, #XSIntRem - #XtraPDA )

!!! calculate : #DistribAmt = #PrincPmt + #AddPrinc + #XtraPDA

!!! calculate : #ClassSNRPDA = BBAL("A1", "A2", "A3", "A4", "A5") _

!!! - MIN(COLL_BAL - #FloorOCTotal, #SNRTargPct * COLL_BAL)

!!! calculate : #ClassSNRPDA = MAX( 0.0, MIN(BBAL("A1", "A2", "A3", "A4", "A5"), #ClassSNRPDA ))

!!! calculate : #ClassSNRPDA = MAX( 0, MIN( #ClassSNRPDA, #DistribAmt ) )

!!!********** END OF SENIOR ENHANCEMENT PCT CALCULATION **********

calculate : #SenEnhancePct = (COLL_PREV_BAL - BBAL("SNR")) / COLL_BAL

calculate : #StepDownBal = (#SenEnhancePct - #SpecSenEnhPct) + 1E-8 GE 0.00

calculate : #SDReqPerc = .425 * (COLL_PREV_BAL - BBAL("SNR") ) / COLL_PREV_BAL

calculate : #SDTrigEnhFrac = 1 * AVG_COLL("RATE",-1,2,3)

calculate : #SDTrigEvent = TRIGGER("STEPDOWN_TRIGGER")

calculate : #StepDown = #StepDown OR (( #StepDownDatePass AND #StepDownBal ) AND NOT #SDTrigEvent )

! calculate : #StepDown = 0

calculate : #CumLossShft = LOOKUP_TBL( "STEP", CURMONTH , "OC_CUMLOSS0", "MONTH", "OC_CUMLOSS_FRAC0" )

calculate : #TrigCumLossFrac = DELINQ_LOSS_ACCUM / #OrigCollBal

calculate : #TrigCumLoss = TRIGGER("StepUp-CumLoss")

calculate : #TrigEvent = TRIGGER("STEPUP_TRIGGER") OR TRIGGER("STEPDOWN_TRIGGER")

! calculate : #TrigEvent = 1

calculate : #TrigOCTargPost = #PrevSpecOC

calculate : #SpecOCTarg = IF #StepDown _

THEN IF #TrigEvent _

THEN MAX( MIN( #InitOCTarg, #StepOCTarg ) , #TrigOCTargPost, #FloorOCTotal ) _

ELSE MAX( MIN( #InitOCTarg, #StepOCTarg ) , #FloorOCTotal ) _

ELSE MAX ( #InitOCTarg, #FloorOCTotal )

calculate : #SpecOCTarg = MIN( #SpecOCTarg, COLL_BAL )

calculate : #SpecOCTarg = #Octval

calculate : #OCDeficiency = MAX(0, #SpecOCTarg - #CurrentOC)

! !!****************************** CUSTOM SCRIPT **********************************************

Calculate: #CAP_TO_AVAILFUNDS = MIN(DELINQ_NET_LOSS,MAX(0,MIN(#OCDeficiency,CREDIT_ENHANCEMENT("CAP_RF"))-PRINCSHORT_ACCUM("M1","M2","M3","M4","M5","M6","B1","B2","B3","B4") _

- WDBALINT("M1","M2","M3","M4","M5","M6","B1","B2","B3","B4") - WDBALINT_ACCUM("M1","M2","M3","M4","M5","M6","B1","B2","B3","B4")))

-----------------------------------------------------

from: CREDIT_ENHANCEMENT("CAP_RF")

subject to: CEILING(#CAP_TO_AVAILFUNDS)

pay: CASH_ACCOUNT(0)

-----------------------------------------------------

calculate: #SpecAcctPayout = #OCDeficiency

Calculate: #Interest = COLL_I + #CAP_TO_AVAILFUNDS - #HedgePaySave

!!****************************** END CUSTOM SCRIPT ***********************************************

calculate : #OCSurplus = MINMAX(0, #CurrentOC - #SpecOCTarg, COLL_P)

calculate : #PrincPmt = MAX(0, COLL_P - #OCSurplus)

calculate : #XSIntRem = MAX( 0, #Interest - ( COLL_YM * (100% - 0%)) - OPTIMAL_INTPMT("ROOT") - INTSHORT_ACCUM("ROOT") + #OCSurplus + COUPONCAP_SHORTFALL("ROOT"))

calculate : #SpreadHol = MIN( MAX(0, #XSIntRem - DELINQ_NET_LOSS), #XSIntRem * 100/100 )

calculate : #XSIntRem = IF CURMONTH LE 2 THEN MAX(0, #XSIntRem - #SpreadHol) ELSE #XSIntRem

calculate : #SubDefic = MAX ( 0, ( BBAL("ROOT") - #Princ ) - COLL_BAL )

calculate : #AddPrinc = MIN( #XSIntRem, #SubDefic )

calculate : #XSIntRem = MAX( 0, #XSIntRem - #AddPrinc )

calculate : #XtraPDA = MIN( #OCDeficiency, #XSIntRem )

calculate : #XSIntRem = MAX( 0, #XSIntRem - #XtraPDA )

calculate : #DistribAmt = #PrincPmt + #AddPrinc + #XtraPDA

calculate : #ClassSNRPDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _

THEN #DistribAmt _

ELSE BBAL("A1", "A2", "A3", "A4", "A5", "A6", "A7") _

- MIN(COLL_BAL - #FloorOCTotal, #SNRTargPct * COLL_BAL)

calculate : #ClassSNRPDA = MAX( 0.0, MIN(BBAL("A1", "A2", "A3", "A4", "A5", "A6", "A7"), #ClassSNRPDA ))

calculate : #ClassSNRPDA = MAX( 0, MIN( #ClassSNRPDA, #DistribAmt ) )

calculate : #ClassM1PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _

THEN #DistribAmt - #ClassSNRPDA _

ELSE BBAL("A1", "A2", "A3", "A4", "A5", "A6", "A7", "M1") - #ClassSNRPDA _

- MIN(COLL_BAL - #FloorOCTotal, #M1TargPct * COLL_BAL)

calculate : #ClassM1PDA = MAX( 0.0, MIN(BBAL("M1"), #ClassM1PDA ))

calculate : #ClassM1PDA = MAX( 0, MIN( #ClassM1PDA, #DistribAmt - #ClassSNRPDA ) )

calculate : #ClassM2PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _

THEN #DistribAmt - #ClassSNRPDA - #ClassM1PDA _

ELSE BBAL("A1", "A2", "A3", "A4", "A5", "A6", "A7", "M1", "M2") - #ClassSNRPDA - #ClassM1PDA _

- MIN(COLL_BAL - #FloorOCTotal, #M2TargPct * COLL_BAL)

calculate : #ClassM2PDA = MAX( 0.0, MIN(BBAL("M2"), #ClassM2PDA ))

calculate : #ClassM2PDA = MAX( 0, MIN( #ClassM2PDA, #DistribAmt - #ClassSNRPDA - #ClassM1PDA ) )

calculate : #ClassM3PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _

THEN #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA _

ELSE BBAL("A1", "A2", "A3", "A4", "A5", "A6", "A7", "M1", "M2", "M3") - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA _

- MIN(COLL_BAL - #FloorOCTotal, #M3TargPct * COLL_BAL)

calculate : #ClassM3PDA = MAX( 0.0, MIN(BBAL("M3"), #ClassM3PDA ))

calculate : #ClassM3PDA = MAX( 0, MIN( #ClassM3PDA, #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA ) )

calculate : #ClassM4PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _

THEN #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA _

ELSE BBAL("A1", "A2", "A3", "A4", "A5", "A6", "A7", "M1", "M2", "M3", "M4") - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA _

- MIN(COLL_BAL - #FloorOCTotal, #M4TargPct * COLL_BAL)

calculate : #ClassM4PDA = MAX( 0.0, MIN(BBAL("M4"), #ClassM4PDA ))

calculate : #ClassM4PDA = MAX( 0, MIN( #ClassM4PDA, #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA ) )

calculate : #ClassM5PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _

THEN #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA _

ELSE BBAL("A1", "A2", "A3", "A4", "A5", "A6", "A7", "M1", "M2", "M3", "M4", "M5") - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA _

- MIN(COLL_BAL - #FloorOCTotal, #M5TargPct * COLL_BAL)

calculate : #ClassM5PDA = MAX( 0.0, MIN(BBAL("M5"), #ClassM5PDA ))

calculate : #ClassM5PDA = MAX( 0, MIN( #ClassM5PDA, #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA ) )

calculate : #ClassM6PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _

THEN #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA _

ELSE BBAL("A1", "A2", "A3", "A4", "A5", "A6", "A7", "M1", "M2", "M3", "M4", "M5", "M6") - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA _

- MIN(COLL_BAL - #FloorOCTotal, #M6TargPct * COLL_BAL)

calculate : #ClassM6PDA = MAX( 0.0, MIN(BBAL("M6"), #ClassM6PDA ))

calculate : #ClassM6PDA = MAX( 0, MIN( #ClassM6PDA, #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA ) )

calculate : #ClassB1PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _

THEN #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA _

ELSE BBAL("A1", "A2", "A3", "A4", "A5", "A6", "A7", "M1", "M2", "M3", "M4", "M5", "M6", "B1") - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA _

- MIN(COLL_BAL - #FloorOCTotal, #B1TargPct * COLL_BAL)

calculate : #ClassB1PDA = MAX( 0.0, MIN(BBAL("B1"), #ClassB1PDA ))

calculate : #ClassB1PDA = MAX( 0, MIN( #ClassB1PDA, #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA ) )

calculate : #ClassB2PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _

THEN #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassB1PDA _

ELSE BBAL("A1", "A2", "A3", "A4", "A5", "A6", "A7", "M1", "M2", "M3", "M4", "M5", "M6", "B1", "B2") - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassB1PDA _

- MIN(COLL_BAL - #FloorOCTotal, #B2TargPct * COLL_BAL)

calculate : #ClassB2PDA = MAX( 0.0, MIN(BBAL("B2"), #ClassB2PDA ))

calculate : #ClassB2PDA = MAX( 0, MIN( #ClassB2PDA, #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassB1PDA ) )

calculate : #ClassB3PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _

THEN #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA- #ClassB1PDA - #ClassB2PDA _

ELSE BBAL("A1", "A2", "A3", "A4", "A5", "A6", "A7", "M1", "M2", "M3", "M4", "M5", "M6", "B1", "B2", "B3") - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassB1PDA - #ClassB2PDA _

- MIN(COLL_BAL - #FloorOCTotal, #B3TargPct * COLL_BAL)

calculate : #ClassB3PDA = MAX( 0.0, MIN(BBAL("B3"), #ClassB3PDA ))

calculate : #ClassB3PDA = MAX( 0, MIN( #ClassB3PDA, #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassB1PDA - #ClassB2PDA ) )

calculate : #ClassB4PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _

THEN #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA- #ClassB1PDA - #ClassB2PDA - #ClassB3PDA _

ELSE BBAL("A1", "A2", "A3", "A4", "A5", "A6", "A7", "M1", "M2", "M3", "M4", "M5", "M6", "B1", "B2", "B3", "B4") - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassB1PDA - #ClassB2PDA - #ClassB3PDA _

- MIN(COLL_BAL - #FloorOCTotal, #B4TargPct * COLL_BAL)

calculate : #ClassB4PDA = MAX( 0.0, MIN(BBAL("B4"), #ClassB4PDA ))

calculate : #ClassB4PDA = MAX( 0, MIN( #ClassB4PDA, #DistribAmt - #ClassSNRPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassB1PDA - #ClassB2PDA - #ClassB3PDA) )

calculate : "SNR" _

NO_CHECK CUSTOM AMOUNT = #ClassSNRPDA

calculate : "M1" _

NO_CHECK CUSTOM AMOUNT = #ClassM1PDA

calculate : "M2" _

NO_CHECK CUSTOM AMOUNT = #ClassM2PDA

calculate : "M3" _

NO_CHECK CUSTOM AMOUNT = #ClassM3PDA

calculate : "M4" _

NO_CHECK CUSTOM AMOUNT = #ClassM4PDA

calculate : "M5" _

NO_CHECK CUSTOM AMOUNT = #ClassM5PDA

calculate : "M6" _

NO_CHECK CUSTOM AMOUNT = #ClassM6PDA

calculate : "B1" _

NO_CHECK CUSTOM AMOUNT = #ClassB1PDA

calculate : "B2" _

NO_CHECK CUSTOM AMOUNT = #ClassB2PDA

calculate : "B3" _

NO_CHECK CUSTOM AMOUNT = #ClassB3PDA

calculate : "B4" _

NO_CHECK CUSTOM AMOUNT = #ClassB4PDA

!!******************************** CUSTOM SCRIPT **************************************

------------------------------------ PAYBACK PREVIOUS WRITEDOWNS

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS WDBALINT SEQUENTIAL ( "M1" )

! pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "M1" )

! pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M1" )

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS WDBALINT SEQUENTIAL ( "M2" )

! pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "M2" )

! pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M2" )

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS WDBALINT SEQUENTIAL ( "M3" )

! pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "M3" )

! pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M3" )

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS WDBALINT SEQUENTIAL ( "M4" )

! pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "M4" )

! pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M4" )

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS WDBALINT SEQUENTIAL ( "M5" )

! pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "M5" )

! pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M5" )

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS WDBALINT SEQUENTIAL ( "M6" )

! pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "M6" )

! pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M6" )

!-----------------------------------

from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS WDBALINT SEQUENTIAL ( "B1" )

! pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "B1" )

! pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "B1" )

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS WDBALINT SEQUENTIAL ( "B2" )

! pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "B2" )

! pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "B2" )

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS WDBALINT SEQUENTIAL ( "B3" )

! pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "B3" )

! pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "B3" )

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS WDBALINT SEQUENTIAL ( "B4" )

! pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "B4" )

! pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "B4" )

!----------------------------------- PAY BASIS RISK SHORTFALL

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS COUPONCAP_SHORT PRO_RATA( "SNR_11"; "SNR_111"; "SNR_112"; "SNR_21"; "SNR_221"; "SNR_222"; "SNR_223" )

!-----------------------------------

from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

pay : CLASS COUPONCAP_SHORT PRO_RATA("SNR_21")

------------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS COUPONCAP_SHORT PRO_RATA("M1")

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS COUPONCAP_SHORT PRO_RATA("M2")

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS COUPONCAP_SHORT PRO_RATA("M3")

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS COUPONCAP_SHORT PRO_RATA("M4")

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS COUPONCAP_SHORT PRO_RATA("M5")

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS COUPONCAP_SHORT PRO_RATA("M6")

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS COUPONCAP_SHORT PRO_RATA("B1")

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS COUPONCAP_SHORT PRO_RATA("B2")

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS COUPONCAP_SHORT PRO_RATA("B3")

!-----------------------------------

! from : SUBACCOUNT ( #SpecAcctPayout, CREDIT_ENHANCEMENT "CAP_RF" )

! pay : CLASS COUPONCAP_SHORT PRO_RATA("B4")

!-----------------------------------

!! ******************************** END CUSTOM SCRIPT **************************************

------------------------------------

pay : CLASS ENTIRETY SEQUENTIAL ( "AIOS" )

------------------------------------

pay : CLASS ENTIRETY SEQUENTIAL ( "EXP" )

------------------------------------

pay : CLASS INTEREST PRO_RATA ( "SNR" )

------------------------------------

{#SNR_Int}

------------------------------------

pay : CLASS INTSHORT PRO_RATA ( "SNR" )

------------------------------------

{#SNR_InS}

------------------------------------

pay : CLASS INTEREST PRO_RATA ( "M1" )

pay : CLASS INTSHORT PRO_RATA ( "M1" )

pay : CLASS INTEREST PRO_RATA ( "M2" )

pay : CLASS INTSHORT PRO_RATA ( "M2" )

pay : CLASS INTEREST PRO_RATA ( "M3" )

pay : CLASS INTSHORT PRO_RATA ( "M3" )

pay : CLASS INTEREST PRO_RATA ( "M4" )

pay : CLASS INTSHORT PRO_RATA ( "M4" )

pay : CLASS INTEREST PRO_RATA ( "M5" )

pay : CLASS INTSHORT PRO_RATA ( "M5" )

pay : CLASS INTEREST PRO_RATA ( "M6" )

pay : CLASS INTSHORT PRO_RATA ( "M6" )

pay : CLASS INTEREST PRO_RATA ( "B1" )

pay : CLASS INTSHORT PRO_RATA ( "B1" )

pay : CLASS INTEREST PRO_RATA ( "B2" )

pay : CLASS INTSHORT PRO_RATA ( "B2" )

pay : CLASS INTEREST PRO_RATA ( "B3" )

pay : CLASS INTSHORT PRO_RATA ( "B3" )

pay : CLASS INTEREST PRO_RATA ( "B4" )

pay : CLASS INTSHORT PRO_RATA ( "B4" )

------------------------------------

when : IS_TRUE ((CURMONTH LT 37 AND NOT #TrigCumLoss) OR (CURMONTH GE 37 AND NOT #TrigEvent))

pay : CLASS PRINCIPAL SEQUENTIAL ( "SNR" )

------------------------------------

{#SNR_Prn2}

------------------------------------

when : IS_TRUE ((CURMONTH GE 37 AND #TrigEvent) OR (CURMONTH LT 37 AND #TrigCumLoss))

pay : CLASS PRINCIPAL SEQUENTIAL ( "SNR" )

------------------------------------

{#SNR_Prn1}

------------------------------------

pay : CLASS PRINCIPAL SEQUENTIAL ( "M1" )

------------------------------------

{#M1_Prn}

------------------------------------

pay : CLASS PRINCIPAL SEQUENTIAL ( "M2" )

------------------------------------

{#M2_Prn}

------------------------------------

pay : CLASS PRINCIPAL SEQUENTIAL ( "M3" )

------------------------------------

{#M3_Prn}

------------------------------------

pay : CLASS PRINCIPAL SEQUENTIAL ( "M4" )

------------------------------------

{#M4_Prn}

------------------------------------

pay : CLASS PRINCIPAL SEQUENTIAL ( "M5" )

------------------------------------

{#M5_Prn}

------------------------------------

pay : CLASS PRINCIPAL SEQUENTIAL ( "M6" )

------------------------------------

{#M6_Prn}

------------------------------------

pay : CLASS PRINCIPAL SEQUENTIAL ( "B1" )

------------------------------------

{#B1_Prn}

------------------------------------

pay : CLASS PRINCIPAL SEQUENTIAL ( "B2" )

------------------------------------

{#B2_Prn}

------------------------------------

pay : CLASS PRINCIPAL SEQUENTIAL ( "B3" )

------------------------------------

{#B3_Prn}

------------------------------------

pay : CLASS PRINCIPAL SEQUENTIAL ( "B4" )

------------------------------------

{#B4_Prn}

------------------------------------

pay : CLASS WDBALINT SEQUENTIAL ( "M1" )

pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "M1" )

------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M1" )

------------------------------------

pay : CLASS WDBALINT SEQUENTIAL ( "M2" )

pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "M2" )

------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M2" )

------------------------------------

pay : CLASS WDBALINT SEQUENTIAL ( "M3" )

pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "M3" )

------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M3" )

------------------------------------

pay : CLASS WDBALINT SEQUENTIAL ( "M4" )

pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "M4" )

------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M4" )

------------------------------------

pay : CLASS WDBALINT SEQUENTIAL ( "M5" )

pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "M5" )

------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M5" )

------------------------------------

pay : CLASS WDBALINT SEQUENTIAL ( "M6" )

pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "M6" )

------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M6" )

------------------------------------

pay : CLASS WDBALINT SEQUENTIAL ( "B1" )

pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "B1" )

------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "B1" )

------------------------------------

pay : CLASS WDBALINT SEQUENTIAL ( "B2" )

pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "B2" )

------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "B2" )

------------------------------------

pay : CLASS WDBALINT SEQUENTIAL ( "B3" )

pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "B3" )

------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "B3" )

------------------------------------

pay : CLASS WDBALINT SEQUENTIAL ( "B4" )

pay : CLASS WDBALINT_SHORT SEQUENTIAL ( "B4" )

------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "B4" )

------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS COUPONCAP_SHORT PRO_RATA ( "SNR_11"; "SNR_111"; "SNR_112"; "SNR_21"; "SNR_221"; "SNR_222"; "SNR_223")

-------------------------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS COUPONCAP_SHORT SEQUENTIAL("M1")

-------------------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS COUPONCAP_SHORT SEQUENTIAL("M2")

-------------------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS COUPONCAP_SHORT SEQUENTIAL("M3")

-------------------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS COUPONCAP_SHORT SEQUENTIAL("M4")

-------------------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS COUPONCAP_SHORT SEQUENTIAL("M5")

-------------------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS COUPONCAP_SHORT SEQUENTIAL("M6")

-------------------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS COUPONCAP_SHORT SEQUENTIAL("B1")

-------------------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS COUPONCAP_SHORT SEQUENTIAL("B2")

------------------------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS COUPONCAP_SHORT SEQUENTIAL("B3")

------------------------------------------------------

from : CLASS ( "ROOT" )

pay : CLASS COUPONCAP_SHORT SEQUENTIAL("B4")

------------------------------------------------------------

!! calculate : #Write = MIN(DELINQ_NET_LOSS, MAX( 0.0, BBAL( "A3#1" ) - COLL_BAL ))

!!------------------------------------

!! from : CREDIT_ENHANCEMENT ("FG")

!! subject to : CEILING (#Write)

!! pay : CLASS BALANCE PRO_RATA("SNR_22")

!!------------------------------------

!! Penalty Allocation

calculate: #AIO1YM = COLL("PREPAYPENALTY" ) * 100.0%

------------------------------------

from : CREDIT_ENHANCEMENT ("YmRsvFnd")

subject to : CEILING ( (#AIO1YM) )

pay : PREPAYPENALTY SEQUENTIAL("AIO-1#1")

------------------------------------

from : CLASS ( "ROOT" )

pay : AS_INTEREST ("X#1")

------------------------------------

calculate : #WriteDown = MAX(0.0, BBAL("A1#1","A2#1","A3#1","A4#1","A5#1","A6#1","A7#1","M1#1","M2#1","M3#1","M4#1","M5#1","M6#1","B1#1","B2#1","B3#1","B4#1") - COLL_BAL)

------------------------------------

from : SUBACCOUNT ( #Writedown )

pay : WRITEDOWN PRO_RATA ( "B4#1" )

pay : WRITEDOWN PRO_RATA ( "B3#1" )

pay : WRITEDOWN PRO_RATA ( "B2#1" )

pay : WRITEDOWN PRO_RATA ( "B1#1" )

pay : WRITEDOWN PRO_RATA ( "M6#1" )

pay : WRITEDOWN PRO_RATA ( "M5#1" )

pay : WRITEDOWN PRO_RATA ( "M4#1" )

pay : WRITEDOWN PRO_RATA ( "M3#1" )

pay : WRITEDOWN PRO_RATA ( "M2#1" )

pay : WRITEDOWN PRO_RATA ( "M1#1" )

------------------------------------

calculate : #BondBal = BBAL("A1#1","A2#1","A3#1","A4#1","A5#1","A6#1","A7#1","M1#1","M2#1","M3#1","M4#1","M5#1","M6#1","B1#1","B2#1","B3#1","B4#1")

calculate : #OC = MAX( 0, COLL_BAL - #BondBal )

------------------------------------

! calculate : #FGWrapBal

= BBAL("A2#1")

!!------------------------------------

! calculate : #LastFGBal

= #FGBAL

! calculate : #FGBal

= CREDIT_ENHANCEMENT("FG")

! calculate : #FGDraw

= MAX( 0, #FGBAL - #LastFGBal )

!!------------------------------------

!! ******************************** CUSTOM SCRIPT **************************************

calculate : #SpecAcctBal = MAX(0, #SpecOCTarg - #OC)

!! ******************************** END CUSTOM SCRIPT **************************************

Schedule "NASIO_Amaximus" F

DECLARE

VALUES OK

20020825 $11,500,000

20020925 $11,500,000

20021025 $11,500,000

20021125 $11,500,000

20021225 $11,500,000

20030125 $11,500,000

20030225 $11,500,000

20030325 $11,500,000

20030425 $11,500,000

20030525 $11,500,000

20030625 $11,500,000

20030725 $11,500,000

20030825 $11,500,000

20030925 $11,500,000

20031025 $11,500,000

20031125 $11,500,000

20031225 $11,500,000

20040125 $11,500,000

20040225 $11,500,000

20040325 $11,500,000

20040425 $11,500,000

20040525 $11,500,000

20040625 $11,500,000

20040725 $11,500,000

20040825 $11,500,000

20040925 $11,500,000

20041025 $11,500,000

20041125 $11,500,000

20041225 $11,500,000

20050125 $11,500,000

Schedule "AIO2_NTL_BAL"

DECLARE

VALUES OK

20041025 0

20041125 0

20041225 1,100,000,000

20050125 1,054,000,000

20050225 1,009,000,000

20050325 966,000,000

20050425 925,000,000

20050525 886,000,000

20050625 848,000,000

20050725 812,000,000

20050825 777,000,000

20050925 744,000,000

20051025 713,000,000

20051125 682,000,000

20051225 653,000,000

20060125 626,000,000

20060225 599,000,000

20060325 573,000,000

20060425 549,000,000

20060525 526,000,000

20060625 503,000,000

20060725 482,000,000

20060825 461,000,000

20060925 442,000,000

20061025 0

20061125 0

DEFINE DYNAMIC #YM_HE6MO80PCT = LOAN("SCHAM_PREP_AMT") * 80% * LOAN("GROSSRATE") / 1200 * 6

Collateral OVER

! Factor --Delay--

! Type Date P/Y BV Use BV for 0

WL 20040801 9999 9999 FALSE

! Pool# Type Gross Current Original --Fee-- Maturity Orig ARM Gross #mos #mos P#mos P#mos Life Reset Life Max Look

! Coupon Factor Balance P/Y BV P/Y BV Term Index Margin ToRst RstPer ToRst RstPer Cap Cap Floor Negam Back

!! BEGINNING OF COLLATERAL

M 1 "Group 1 Fixed" WL 00 WAC 10.8019 ( 1771683.09 / 1771683.09 ); 1771683.09 0.5223 0.5223 359:1 359:1 360 NO_CHECK BALLOON SCHED_BOTH 180 GROUP "1F" PREPAY_FLAG YM FOR 27 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );

M 2 WL 00 WAC 7.6535 ( 13338183.03 / 13338183.03 ); 13338183.03 0.5223 0.5223 206:2 206:2 208 NO_CHECK GROUP "1F" PREPAY_FLAG YM FOR 27 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );

M 3 WL 00 WAC 8.4718 ( 13860681.49 / 13860681.49 ); 13860681.49 0.5223 0.5223 358:2 358:2 360 NO_CHECK GROUP "1F" PREPAY_FLAG NONE ;

M 4 WL 00 WAC 8.8907 ( 13340386.49 / 13340386.49 ); 13340386.49 0.5223 0.5223 358:2 358:2 360 NO_CHECK GROUP "1F" PREPAY_FLAG YM FOR 21 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );

M 5 WL 00 WAC 7.2546 ( 88202661.06 / 88202661.06 ); 88202661.06 0.5223 0.5223 358:2 358:2 360 NO_CHECK GROUP "1F" PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );

M 6 "Group 1 ARMs" WL 00 WAC 7.5047 ( 71493899.02 / 71493899.02 ); 71493899.02 0.5223 0.5223 358:2 358:2 360 NO_CHECK ARM LIBOR_6MO 6.4789 23 6 SYNC_INT 13.6373 1.0710 7.4409 0 0 INIT_PERCAP 2.9764 ORIG_GROSSRATE 7.5047 GROUP "1A" PREPAY_FLAG NONE ; TEASER

M 7 WL 00 WAC 7.4937 ( 25517314.98 / 25517314.98 ); 25517314.98 0.5223 0.5223 359:1 359:1 360 NO_CHECK ARM LIBOR_6MO 6.6248 24 6 SYNC_INT 13.9264 1.0732 7.4514 0 0 INIT_PERCAP 2.9798 ORIG_GROSSRATE 7.4937 GROUP "1A" PREPAY_FLAG YM FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER

M 8 WL 00 WAC 6.8398 ( 15975312.86 / 15975312.86 ); 15975312.86 0.5223 0.5223 359:1 359:1 360 NO_CHECK ARM LIBOR_6MO 6.0595 24 6 SYNC_INT 13.5038 1.3320 6.8398 0 0 INIT_PERCAP 2.5668 ORIG_GROSSRATE 6.8398 GROUP "1A" PREPAY_FLAG YM FOR 21 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER

M 9 WL 00 WAC 7.2420 ( 346621567.41 / 346621567.41 ); 346621567.41 0.5237 0.5237 358:2 358:2 360 NO_CHECK ARM LIBOR_6MO 6.2205 23 6 SYNC_INT 13.5050 1.1059 7.2281 0 0 INIT_PERCAP 2.9659 ORIG_GROSSRATE 7.2420 GROUP "1A" PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER

M 10 WL 00 WAC 7.3265 ( 21456135.03 / 21456135.03 ); 21456135.03 0.5223 0.5223 358:2 358:2 360 NO_CHECK ARM LIBOR_6MO 6.8065 23 6 SYNC_INT 13.6065 1.0764 7.1917 0 0 INIT_PERCAP 2.9878 ORIG_GROSSRATE 7.3265 GROUP "1A" PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER

M 11 WL 00 WAC 7.0443 ( 15073259.08 / 15073259.08 ); 15073259.08 0.5223 0.5223 358:2 358:2 360 NO_CHECK ARM LIBOR_6MO 6.7108 35 6 SYNC_INT 13.0993 1.1250 7.0265 0 0 INIT_PERCAP 2.9894 ORIG_GROSSRATE 7.0443 GROUP "1A" PREPAY_FLAG NONE ; TEASER

M 12 WL 00 WAC 7.0251 ( 6446076.58 / 6446076.58 ); 6446076.58 0.5223 0.5223 358:2 358:2 360 NO_CHECK ARM LIBOR_6MO 6.5645 35 6 SYNC_INT 13.2438 1.2075 7.0026 0 0 INIT_PERCAP 2.8344 ORIG_GROSSRATE 7.0251 GROUP "1A" PREPAY_FLAG YM FOR 21 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER

M 13 WL 00 WAC 6.6794 ( 77509545.65 / 77509545.65 ); 77509545.65 0.5223 0.5223 358:2 358:2 360 NO_CHECK ARM LIBOR_6MO 6.2704 35 6 SYNC_INT 12.8347 1.0609 6.6766 0 0 INIT_PERCAP 2.9547 ORIG_GROSSRATE 6.6794 GROUP "1A" PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER

M 14 WL 00 WAC 6.9761 ( 14468822.93 / 14468822.93 ); 14468822.93 0.5223 0.5223 358:2 358:2 360 NO_CHECK ARM LIBOR_6MO 5.5053 59 6 SYNC_INT 12.3063 1.0394 6.9761 0 0 INIT_PERCAP 4.4933 ORIG_GROSSRATE 6.9761 GROUP "1A" PREPAY_FLAG YM FOR 29 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER

M 15 "Group 2 Fixed" WL 00 WAC 10.4065 ( 2347556.01 / 2347556.01 ); 2347556.01 0.5223 0.5223 359:1 359:1 360 NO_CHECK BALLOON SCHED_BOTH 180 GROUP "2F" PREPAY_FLAG YM FOR 21 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );

M 16 WL 00 WAC 8.0073 ( 7360458.82 / 7360458.82 ); 7360458.82 0.5223 0.5223 203:2 203:2 205 NO_CHECK GROUP "2F" PREPAY_FLAG YM FOR 28 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );

M 17 WL 00 WAC 8.1165 ( 13451092.73 / 13451092.73 ); 13451092.73 0.5223 0.5223 358:2 358:2 360 NO_CHECK GROUP "2F" PREPAY_FLAG NONE ;

M 18 WL 00 WAC 7.6569 ( 2439224.34 / 2439224.34 ); 2439224.34 0.5223 0.5223 358:2 358:2 360 NO_CHECK GROUP "2F" PREPAY_FLAG YM FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );

M 19 WL 00 WAC 9.4234 ( 7152423.56 / 7152423.56 ); 7152423.56 0.5223 0.5223 359:1 359:1 360 NO_CHECK GROUP "2F" PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );

M 20 WL 00 WAC 7.3099 ( 51160125.41 / 51160125.41 ); 51160125.41 0.5223 0.5223 358:2 358:2 360 NO_CHECK GROUP "2F" PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );

M 21 WL 00 WAC 6.2397 ( 1575523.96 / 1575523.96 ); 1575523.96 0.5223 0.5223 358:2 358:2 360 NO_CHECK GROUP "2F" PREPAY_FLAG YM FOR 60 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );

M 22 "Group 2 ARms" WL 00 WAC 7.5683 ( 53033715.14 / 53033715.14 ); 53033715.14 0.5223 0.5223 358:2 358:2 360 NO_CHECK ARM LIBOR_6MO 6.4528 23 6 SYNC_INT 13.7650 1.1494 7.5031 0 0 INIT_PERCAP 2.9634 ORIG_GROSSRATE 7.5683 GROUP "2A" PREPAY_FLAG NONE ; TEASER

M 23 WL 00 WAC 6.8607 ( 31713699.61 / 31713699.61 ); 31713699.61 0.5223 0.5223 359:1 359:1 360 NO_CHECK ARM LIBOR_6MO 6.2838 24 6 SYNC_INT 13.2703 1.1532 6.8607 0 0 INIT_PERCAP 2.7557 ORIG_GROSSRATE 6.8607 GROUP "2A" PREPAY_FLAG YM FOR 18 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER

M 24 WL 00 WAC 7.1666 ( 230801137.28 / 230801137.28 ); 230801137.28 0.5291 0.5291 359:1 359:1 360 NO_CHECK ARM LIBOR_6MO 6.2224 24 6 SYNC_INT 13.5017 1.1680 7.1471 0 0 INIT_PERCAP 2.9899 ORIG_GROSSRATE 7.1666 GROUP "2A" PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER

M 25 WL 00 WAC 6.7842 ( 10160544.52 / 10160544.52 ); 10160544.52 0.5223 0.5223 359:1 359:1 360 NO_CHECK ARM LIBOR_6MO 6.1692 24 6 SYNC_INT 13.2785 1.1738 6.7309 0 0 INIT_PERCAP 2.9883 ORIG_GROSSRATE 6.7842 GROUP "2A" PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER

M 26 WL 00 WAC 7.4553 ( 12682132.79 / 12682132.79 ); 12682132.79 0.5223 0.5223 358:2 358:2 360 NO_CHECK ARM LIBOR_6MO 6.9952 35 6 SYNC_INT 13.4492 1.3476 7.3888 0 0 INIT_PERCAP 2.9459 ORIG_GROSSRATE 7.4553 GROUP "2A" PREPAY_FLAG NONE ; TEASER

M 27 WL 00 WAC 7.1192 ( 6382803.17 / 6382803.17 ); 6382803.17 0.5223 0.5223 359:1 359:1 360 NO_CHECK ARM LIBOR_6MO 6.6298 36 6 SYNC_INT 13.3878 1.3557 7.1192 0 0 INIT_PERCAP 2.6915 ORIG_GROSSRATE 7.1192 GROUP "2A" PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER

M 28 WL 00 WAC 6.9311 ( 35371577.18 / 35371577.18 ); 35371577.18 0.5223 0.5223 358:2 358:2 360 NO_CHECK ARM LIBOR_6MO 6.5034 35 6 SYNC_INT 13.2005 1.2257 6.9260 0 0 INIT_PERCAP 2.8439 ORIG_GROSSRATE 6.9311 GROUP "2A" PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER

M 29 WL 00 WAC 6.5887 ( 9292456.79 / 9292456.79 ); 9292456.79 0.5223 0.5223 359:1 359:1 360 NO_CHECK ARM LIBOR_6MO 5.4000 60 6 SYNC_INT 12.4160 1.0792 6.5887 0 0 INIT_PERCAP 3.5473 ORIG_GROSSRATE 6.5887 GROUP "2A" PREPAY_FLAG YM FOR 26 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER