EX-99 2 mexhibit991.htm EXHIBIT 99.1 Exhibit 99.1



          

LIBOR_1YR

2.2600

            

CMT_1YR

1.9600

Balance

$240,039,000.00

Delay

24

        

 

 

Coupon

3.494

Dated

6/1/2004

        

SWAPS (6/7/04 close)

Settle

6/30/2004

First Payment

7/25/2004

        

3MO

1.4

            

6MO

1.71

Price

5 CPR

10 CPR

15 CPR

20 CPR

25 CPR

30 CPR

35 CPR

40 CPR

45 CPR

  

1YR

2.26

98-03+

4.207

4.259

4.317

4.382

4.455

4.536

4.627

4.729

4.843

Yield

 

2YR

3.0605

98-03+

80

96

112

128

147

168

188

209

231

Spread

 

3YR

3.6416

98-05+

4.181

4.231

4.287

4.350

4.419

4.497

4.584

4.682

4.793

Yield

 

4YR

4.0693

98-05+

77

93

109

125

144

164

184

205

226

Spread

 

5YR

4.3945

98-07+

4.154

4.203

4.257

4.317

4.384

4.458

4.542

4.636

4.742

Yield

 

6YR

4.6444

98-07+

74

90

106

122

140

160

180

200

221

Spread

 

7YR

4.8419

98-09+

4.128

4.175

4.226

4.284

4.348

4.420

4.500

4.590

4.692

Yield

 

8YR

5.0046

98-09+

72

87

103

119

137

156

176

196

216

Spread

 

9YR

5.137

98-11+

4.102

4.147

4.196

4.251

4.312

4.381

4.458

4.544

4.641

Yield

 

10YR

5.248

98-11+

69

85

100

115

133

152

171

191

211

Spread

   

98-13+

4.076

4.119

4.166

4.218

4.277

4.342

4.415

4.498

4.591

Yield

   

98-13+

67

82

97

112

129

148

167

186

206

Spread

   

98-15+

4.050

4.091

4.135

4.185

4.241

4.304

4.373

4.452

4.540

Yield

   

98-15+

64

79

94

109

126

144

163

182

201

Spread

   

98-17+

4.024

4.063

4.105

4.153

4.206

4.265

4.331

4.406

4.490

Yield

   

98-17+

61

76

91

105

122

141

159

177

196

Spread

   

98-19+

3.998

4.035

4.075

4.120

4.170

4.227

4.289

4.360

4.440

Yield

   

98-19+

59

73

88

102

119

137

155

173

191

Spread

   

98-21+

3.972

4.007

4.045

4.087

4.135

4.188

4.247

4.314

4.389

Yield

   

98-21+

56

71

85

99

115

133

150

168

186

Spread

   

98-23+

3.946

3.979

4.015

4.055

4.100

4.150

4.205

4.268

4.339

Yield

   

98-23+

54

68

82

96

112

129

146

163

181

Spread

   
              

WAL

2.60

2.41

2.24

2.06

1.90

1.75

1.60

1.47

1.34

    

Mod Durn

2.430

2.257

2.091

1.932

1.781

1.639

1.504

1.376

1.256

    

2



Principal Window

July04 – Apr07

July04 – Apr07

July04 – Apr07

July04 – Apr07

July04 – Apr07

July04 – Apr07

July04 – Apr07

July04 – Apr07

July04 – Apr07

   



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