C BASS 2002-CB4
Class AF-4
Balance | $12,710,000.00 | Delay | 24 | WAC | 9.093304654 |
Coupon | 5.169 | Dated | 8/1/2002 | NET | 8.23511 |
Settle | 8/23/2002 | First Payment | 9/25/2002 | WAM | 319 |
0% PPC | 50% PPC | 100% PPC | 150% PPC | 200% PPC | |
Yield | Price | Price | Price | Price | Price |
5.100 101-13+ | 100-25+ | 100-11 | 99-31+ | 99-28+ | |
5.105 101-11+ | 100-24 | 100-10+ | 99-31 | 99-28 | |
5.110 101-09 | 100-22+ | 100-09+ | 99-30+ | 99-27+ | |
5.115 101-07 | 100-21 | 100-08+ | 99-30+ | 99-27+ | |
5.120 101-04+ | 100-19+ | 100-07+ | 99-30 | 99-27 | |
5.125 101-02 | 100-18 | 100-07 | 99-29+ | 99-27 | |
5.130 101-00 | 100-16+ | 100-06 | 99-29 | 99-26+ | |
5.135 100-29+ | 100-15 | 100-05 | 99-28+ | 99-26 | |
5.140 100-27+ | 100-13+ | 100-04 | 99-28 | 99-26 | |
5.145 100-25 | 100-12 | 100-03 | 99-28 | 99-25+ | |
5.150 100-23 | 100-10+ | 100-02+ | 99-27+ | 99-25+ | |
5.155 100-20+ | 100-09 | 100-01+ | 99-27 | 99-25 | |
5.160 100-18+ | 100-08 | 100-00+ | 99-26+ | 99-25 | |
5.165 100-16 | 100-06+ | 99-31+ | 99-26 | 99-24+ | |
5.170 100-13+ | 100-05 | 99-30+ | 99-25+ | 99-24 | |
5.175 100-11+ | 100-03+ | 99-30 | 99-25 | 99-24 | |
5.180 100-09 | 100-02 | 99-29 | 99-25 | 99-23+ | |
5.185 100-07 | 100-00+ | 99-28 | 99-24+ | 99-23+ | |
5.190 100-04+ | 99-31 | 99-27 | 99-24 | 99-23 | |
5.195 100-02+ | 99-29+ | 99-26+ | 99-23+ | 99-22+ | |
5.200 100-00 | 99-28 | 99-25+ | 99-23 | 99-22+ | |
5.205 99-30 | 99-26+ | 99-24+ | 99-22+ | 99-22 | |
5.210 99-27+ | 99-25+ | 99-23+ | 99-22 | 99-22 | |
5.215 99-25+ | 99-24 | 99-22+ | 99-22 | 99-21+ | |
5.220 99-23 | 99-22+ | 99-22 | 99-21+ | 99-21+ | |
5.225 99-21 | 99-21 | 99-21 | 99-21 | 99-21 | |
5.230 99-18+ | 99-19+ | 99-20 | 99-20+ | 99-20+ | |
5.235 99-16+ | 99-18 | 99-19 | 99-20 | 99-20+ | |
5.240 99-14+ | 99-16+ | 99-18+ | 99-19+ | 99-20 | |
5.245 99-12 | 99-15 | 99-17+ | 99-19+ | 99-20 | |
5.250 99-10 | 99-14 | 99-16+ | 99-19 | 99-19+ | |
5.255 99-07+ | 99-12+ | 99-15+ | 99-18+ | 99-19 | |
5.260 99-05+ | 99-11 | 99-15 | 99-18 | 99-19 | |
5.265 99-03 | 99-09+ | 99-14 | 99-17+ | 99-18+ | |
5.270 99-01 | 99-08 | 99-13 | 99-17 | 99-18+ | |
5.275 98-30+ | 99-06+ | 99-12 | 99-16+ | 99-18 | |
5.280 98-28+ | 99-05 | 99-11 | 99-16+ | 99-18 | |
5.285 98-26+ | 99-03+ | 99-10+ | 99-16 | 99-17+ | |
5.290 98-24 | 99-02+ | 99-09+ | 99-15+ | 99-17 | |
5.295 98-22 | 99-01 | 99-08+ | 99-15 | 99-17 | |
5.300 98-19+ | 98-31+ | 99-07+ | 99-14+ | 99-16+ | |
WAL | 26.02 | 12.55 | 6.72 | 2.92 | 1.97 |
Mod Durn | 14.01 | 9.02 | 5.55 | 2.65 | 1.83 |
Mod Convexity | 2.852 | 1.032 | 0.372 | 0.088 | 0.044 |
Principal Window | Oct 27 – Jun 29 | Jul 13 – Nov 16 | May 08 – Mar 10 | Mar 05 – Jun 07 | Jun 04 – Oct 04 |
LIBOR_1MO | 1.78 | 1.78 | 1.78 | 1.78 | 1.78 |
LIBOR_6MO | 1.68 | 1.68 | 1.68 | 1.68 | 1.68 |
PRIME | 4.75 | 4.75 | 4.75 | 4.75 | 4.75 |
COFI_11 | 2.772 | 2.772 | 2.772 | 2.772 | 2.772 |
CMT_1YR | 1.7 | 1.7 | 1.7 | 1.7 | 1.7 |
CMT_3YR | 2.37 | 2.37 | 2.37 | 2.37 | 2.37 |
Yield Curve | Mat | 3MO | 6MO | 1YR | 2YR | 3YR | 4YR | 5YR | 6YR |
Yld | 1.7331 | 1.6850 | 1.7590 | 2.4265 | 2.9820 | 3.4025 | 3.7520 | 4.0150 |
FIRST UNION CAPITAL MARKETS CORP. (FUCMC) HAS PROVIDED THIS DATA AS AN ACCOMMODATION. BY ACCEPTING THIS DATA, THE RECIPIENT AGRESS THAT FUCMC DOES NOT GUARANTEE AND MAKES NO REPRESENTATION OR WARRANTY WHATSOEVER, WHETHER EXPRESS OR IMPLIED, INCLUDING WITHOUT LIMITATION, ANY WARRANTIES OF FITNESS FOR A PARTICULAR PURPOSE OR MERCHANTABILITY, WITH RESPECT TO THIS DATA OR THE ACCURACY, CURRENCY OR COMPLETENESS THEREOF. BY ACCEPTING THIS DATA, THE RECIPIENT AGREES THAT NEITHER FUCMC, ITS EMPLOYEES NOR ANY OF ITS AFFILIATES SHALL HAVE ANY LIABILITY TO THE RECIPIENT OR ANY OTHER ENTITY CLAIMING BY OR THROUGH THE RECIPIENT FOR ANY LOSS, INJURY, DAMAGES OR EXPENSES ARISING FROM OR OCCASIONED BY OR THROUGH THIS DATA, THE RELIANCE THEREON BY THE RECIPIENT OR ANY OTHER PARTY OR THE PROVISION THEREOF BY FUCMC.~~THIS DATA IS FOR YOUR INFORMATION ONLY AND IS NOT AN OFFER T O SELL OR A SOLICITATION OF ANY OFFER TO BUY ANY SECURITIES, INCLUDING ANY OF THE SECURITIES THAT MAY BE MENTIONED IN THIS DATA. FUCMC OR ITS AFFILIATES MAY PROVIDE ADVICE OR MAY FROM TIME TO TIME ACQUIRE, HOLD OR SELL POSITIONS IN ANY OF THE SECURITIES THAT MAY BE MENTIONED IN THIS DATA, EITHER FOR ITS OWN ACCOUNT OF FOR THE ACCOUNT OF OTHERS. FUCMC IS A SUBSIDIARY OF FIRST UNION CORPORATION AND IS A MEMBER OF THE NYSE, THE NASD AND THE SIPC.
C-BASS 2002-CB4 Term Sheet | |||||||
To Call | 0% PPC Group 1, 15 CPR Group 2 | 50% PPC Group 1, 20 CPR Group 2 | 100% PPC Group 1, 25 CPR Group 2 | 150% PPC Group 1 30 CPR Group 2 | 200% PPC Group 1, 35 CPR Group 2 | ||
AF-3 | |||||||
Average Life (years) | 8.48 | 6.07 | 4.60 | 2.98 | 2.39 | ||
Modified Duration (years) | 6.92 | 5.22 | 4.07 | 2.74 | 2.22 | ||
First Principal Payment | 1/25/10 | 12/25/07 | 8/25/06 | 4/25/05 | 10/25/04 | ||
Last Principal Payment | 5/25/12 | 8/25/09 | 11/25/07 | 10/25/06 | 3/25/05 | ||
Principal Lockout (months) | 88 | 63 | 47 | 31 | 25 | ||
Principal Window (months) | 29 | 21 | 16 | 19 | 6 | ||
AF-4 | |||||||
Average Life (years) | 10.69 | 8.02 | 6.18 | 4.81 | 2.88 | ||
Modified Duration (years) | 8.07 | 6.44 | 5.18 | 4.17 | 2.62 | ||
First Principal Payment | 5/25/12 | 8/25/09 | 11/25/07 | 10/25/06 | 3/25/05 | ||
Last Principal Payment | 7/25/13 | 3/25/11 | 10/25/09 | 4/25/08 | 2/25/07 | ||
Principal Lockout (months) | 116 | 83 | 62 | 49 | 30 | ||
Principal Window (months) | 15 | 20 | 24 | 19 | 24 | ||
To Maturity | 0% PPC Group 1, 15 CPR Group 2 | 50% PPC Group 1, 20 CPR Group 2 | 100% PPC Group 1 25 CPR Group 2 | 150% PPC Group 1, 30 CPR Group 2 | 200% PPC Group 1, 35 CPR Group 2 | ||
AF-3 | |||||||
Average Life (years) | 8.48 | 6.07 | 4.60 | 2.98 | 2.39 | ||
Modified Duration (years) | 6.92 | 5.22 | 4.07 | 2.74 | 2.22 | ||
First Principal Payment | 1/25/10 | 12/25/07 | 8/25/06 | 4/25/05 | 10/25/04 | ||
Last Principal Payment | 5/25/12 | 8/25/09 | 11/25/07 | 10/25/06 | 3/25/05 | ||
Principal Lockout (months) | 88 | 63 | 47 | 31 | 25 | ||
Principal Window (months) | 29 | 21 | 16 | 19 | 6 | ||
AF-4 | |||||||
Average Life (years) | 11.53 | 8.22 | 6.18 | 4.81 | 2.88 | ||
Modified Duration (years) | 8.53 | 6.56 | 5.18 | 4.17 | 2.62 | ||
First Principal Payment | 5/25/12 | 8/25/09 | 11/25/07 | 10/25/06 | 3/25/05 | ||
Last Principal Payment | 2/25/16 | 6/25/12 | 12/25/09 | 4/25/08 | 2/25/07 | ||
Principal Lockout (months) | 116 | 83 | 62 | 49 | 30 | ||
Principal Window (months) | 46 | 35 | 26 | 19 | 24 | ||
Wachovia Securities is the trade name under which Wachovia Corporation conducts its investment banking, capital markets and institutional securities business through First Union Securities, Inc. ("FUSI"), member NYSE, NASD, SIPC and through other bank and non-bank and broker-dealer subsidiaries of Wachovia Corporation. This report is for your information only and is not an offer to sell, or a solicitation of an offer to buy, the securities or instruments named or described in this report. Interested parties are advised to contact the entity with which they deal, or the entity that provided this report to them, if they desire further information. The information in this report has been obtained or derived from sources believed by First Union Securities, Inc. to be reliable, but First Union Securities, Inc. does not represent that this information is accurate or complete. Any opinions or estimates contained in this report represent the judgement of First Union Securities, Inc. at this time, and are subject to change without notice. First Union Securities, Inc., or its affiliates may from time to time provide advice with respect to, acquire, hold, or sell a position on the securities mentioned herein. | |||||||
