!! Header Tab
! FNLC_05_2.CDI #CMOVER_3.0F ASSET_BACKED_HOMEEQUITY !
MAX_CF_VECTSIZE 620
!
!! Created by Intex Deal Maker v3.8.287 , subroutines 3.1b
!! 06/15/2005 2:54 PM
!
! Modeled in the Intex CMO Modeling Language, (THO-4235)
! which is copyright (c) 2005 by Intex Solutions, Inc.
! 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
!
DEFINE PREPAY PPC GROUP 1 SPEED_TYPE HEP RAMP 23
DEFINE CONSTANT #M3TargPct = 68.100000000000%
DEFINE CONSTANT #M4TargPct = 72.100000000000%
DEFINE CONSTANT #M5TargPct = 75.700000000000%
DEFINE CONSTANT #M6TargPct = 79.200000000000%
DEFINE CONSTANT #M7TargPct = 82.200000000000%
DEFINE CONSTANT #M8TargPct = 85.000000000000%
DEFINE CONSTANT #M9TargPct = 87.700000000000%
DEFINE CONSTANT #M10TargPct = 92.700000000000%
DEFINE CONSTANT #M11TargPct = 95.400000000000%
DEFINE #BondBal = 586200000.00
!
FULL_DEALNAME: FNLC 2005-2 marketing
!
DEAL SIZE: 586200000.00
PRICING SPEED: GROUP 1 HEP 23%
PRICING SPEED: GROUP 2 PPC 100%
! ISSUE DATE: 20050601
SETTLEMENT DATE: 20050629
!
Record date delay: 24
!
DEFINE TR_INDEXDEPS_ALL
!
DEFINE VARNAMES #ReqPerc, #TrigEnhFrac, #CumLossShft, #TrigCumLossFrac, #StepDown
!
DEAL_CLOCK_INFO _
ISSUE_CDU_DATE 20050601 _
DEAL_FIRSTPAY_DATE 20050725
!
DEFINE TABLE "CapNotional" (42, 2) = "CURDATE" "Balance"
| 20050725.1 | 0.00 | |||
| 20050825.1 | 683171134.33 | |||
| 20050925.1 | 680926563.73 | |||
| 20051025.1 | 677159154.64 | |||
| 20051125.1 | 671852537.66 | |||
| 20051225.1 | 664999403.33 | |||
| 20060125.1 | 656601957.85 | |||
| 20060225.1 | 646672307.92 | |||
| 20060325.1 | 635232765.47 | |||
| 20060425.1 | 622316063.60 | |||
| 20060525.1 | 607966330.21 | |||
| 20060625.1 | 592300981.36 | |||
| 20060725.1 | 575451743.89 | |||
| 20060825.1 | 558246833.25 | |||
| 20060925.1 | 541542917.66 |
| 20061025.1 | 525325388.21 | |||
| 20061125.1 | 509580062.54 | |||
| 20061225.1 | 494293172.33 | |||
| 20070125.1 | 479451351.20 | |||
| 20070225.1 | 465041623.02 | |||
| 20070325.1 | 451051390.44 | |||
| 20070425.1 | 437468423.87 | |||
| 20070525.1 | 424278915.31 | |||
| 20070625.1 | 406432010.34 | |||
| 20070725.1 | 383916148.14 | |||
| 20070825.1 | 362658370.24 | |||
| 20070925.1 | 342588872.91 | |||
| 20071025.1 | 323623071.31 | |||
| 20071125.1 | 308628035.75 | |||
| 20071225.1 | 297528937.60 | |||
| 20080125.1 | 286813606.34 | |||
| 20080225.1 | 276473197.59 | |||
| 20080325.1 | 266494893.87 | |||
| 20080425.1 | 256861006.01 | |||
| 20080525.1 | 247559543.93 | |||
| 20080625.1 | 238578937.33 | |||
| 20080725.1 | 229908020.93 | |||
| 20080825.1 | 226718139.39 | |||
| 20080925.1 | 219033503.16 | |||
| 20081025.1 | 0.00 | |||
| 20081125.1 | 204446631.94 | |||
| 99999999 | 0 |
!
DEFINE TABLE "CapRateSch" (41, 2) = "CURDATE" "Rate"
| 20050725.1 | 0.000 | |||
| 20050825.1 | 6.461 | |||
| 20050925.1 | 6.461 | |||
| 20051025.1 | 6.676 | |||
| 20051125.1 | 6.461 | |||
| 20051225.1 | 6.676 | |||
| 20060125.1 | 6.461 | |||
| 20060225.1 | 6.460 | |||
| 20060325.1 | 7.153 | |||
| 20060425.1 | 6.460 | |||
| 20060525.1 | 6.676 | |||
| 20060625.1 | 6.460 | |||
| 20060725.1 | 6.675 | |||
| 20060825.1 | 6.460 | |||
| 20060925.1 | 6.460 | |||
| 20061025.1 | 6.676 | |||
| 20061125.1 | 6.460 |
| 20061225.1 | 6.676 | |||
| 20070125.1 | 6.460 | |||
| 20070225.1 | 6.460 | |||
| 20070325.1 | 7.153 | |||
| 20070425.1 | 6.460 | |||
| 20070525.1 | 6.676 | |||
| 20070625.1 | 6.461 | |||
| 20070725.1 | 7.377 | |||
| 20070825.1 | 7.915 | |||
| 20070925.1 | 7.910 | |||
| 20071025.1 | 8.169 | |||
| 20071125.1 | 7.902 | |||
| 20071225.1 | 8.164 | |||
| 20080125.1 | 8.235 | |||
| 20080225.1 | 8.610 | |||
| 20080325.1 | 9.201 | |||
| 20080425.1 | 8.604 | |||
| 20080525.1 | 8.888 | |||
| 20080625.1 | 8.599 | |||
| 20080725.1 | 9.772 | |||
| 20080825.1 | 10.420 | |||
| 20080925.1 | 10.413 | |||
| 20081025.1 | 0.000 | |||
| 20081125.1 | 10.401 |
!
DEFINE DYNAMIC #CapBal = LOOKUP_TBL( "STEP", Curdate, "CapNotional", "CURDATE", "Balance" )
!
DEFINE DYNAMIC #CapBalEnd = LOOKUP_TBL( "STEP", Curdate + 30, "CapNotional", "CURDATE", "Balance" )
!
DEFINE DYNAMIC #CapRate = LOOKUP_TBL( "STEP", Curdate, "CapRateSch", "CURDATE", "Rate" )
!
!
DEFINE #FloorCollat = .50% * #OrigCollBal
DEFINE #SpecOCTarg = 2.3% * #OrigCollBal
DEFINE STANDARDIZE OCT_INITVAL CONSTANT #InitOCTarg = 2.3% * #OrigCollBal
DEFINE STANDARDIZE OCT_STEPDOWN_FRAC CONSTANT #StepOCFrac = 0.046
DEFINE STANDARDIZE OC_ACTUAL_VAL #OC = 13800000.00
DEFINE STANDARDIZE OCT_STEPDOWN_MONTH CONSTANT #StepDownDate = 37
DEFINE STANDARDIZE EXCESS_INTEREST #XSSpread = 0
DEFINE STANDARDIZE OCT_FLOOR CONSTANT #FloorOCTarg = #FloorCollat
DEFINE STANDARDIZE OCT_VAL DYNAMIC #Octval = #SpecOCTarg
!
DEFINE DYNAMIC STICKY #NetRate = ( COLL_I_MISC("COUPON") ) / COLL_PREV_BAL * 1200
DEFINE DYNAMIC STICKY #NetRate1 = ( COLL_I_MISC("COUPON", 1) ) / COLL_PREV_BAL(1) * 1200
DEFINE DYNAMIC STICKY #NetRate2 = ( COLL_I_MISC("COUPON", 2) ) / COLL_PREV_BAL(2) * 1200
!
DEFINE DYNAMIC STICKY #NetRateActual360 = #Netrate * 30 / DAYS_DIFF(CURDATE, MONTHS_ADD(CURDATE,-1))
!
DEFINE TABLE "OC_CUMLOSS0" (49, 2) = "MONTH" "OC_CUMLOSS_FRAC0"
| 25.1 | 0.02 | |||
| 26.1 | 0.021667 | |||
| 27.1 | 0.023333 | |||
| 28.1 | 0.025 | |||
| 29.1 | 0.026667 | |||
| 30.1 | 0.028333 | |||
| 31.1 | 0.03 | |||
| 32.1 | 0.031667 | |||
| 33.1 | 0.033333 | |||
| 34.1 | 0.035 | |||
| 35.1 | 0.036667 | |||
| 36.1 | 0.038333 | |||
| 37.1 | 0.04 | |||
| 38.1 | 0.04125 | |||
| 39.1 | 0.0425 | |||
| 40.1 | 0.04375 | |||
| 41.1 | 0.045 | |||
| 42.1 | 0.04625 | |||
| 43.1 | 0.0475 | |||
| 44.1 | 0.04875 | |||
| 45.1 | 0.05 | |||
| 46.1 | 0.05125 | |||
| 47.1 | 0.0525 | |||
| 48.1 | 0.05375 | |||
| 49.1 | 0.055 | |||
| 50.1 | 0.055833 | |||
| 51.1 | 0.056667 | |||
| 52.1 | 0.0575 | |||
| 53.1 | 0.058333 | |||
| 54.1 | 0.059167 |
| 55.1 | 0.06 | |||
| 56.1 | 0.060833 | |||
| 57.1 | 0.061667 | |||
| 58.1 | 0.0625 | |||
| 59.1 | 0.063333 | |||
| 60.1 | 0.064167 | |||
| 61.1 | 0.065 | |||
| 62.1 | 0.065625 | |||
| 63.1 | 0.06625 | |||
| 64.1 | 0.066875 | |||
| 65.1 | 0.0675 | |||
| 66.1 | 0.068125 | |||
| 67.1 | 0.06875 | |||
| 68.1 | 0.069375 | |||
| 69.1 | 0.07 | |||
| 70.1 | 0.070625 | |||
| 71.1 | 0.07125 | |||
| 72.1 | 0.071875 | |||
| 360.1 | 0.0725 |
!
DEFINE #OPTRED_Cleanup_1mon = 0
DEFINE #OPTRED_Cleanup_0mon = 0
!
!
!!Custom Vars
!
TOLERANCE WRITEDOWN_0LOSS 1.00
!
!!Interest Rate
!
INITIAL INDEX LIBOR_6MO 3.6440
INITIAL INDEX LIBOR_1MO 3.3257
!
!!Bonds
DEFINE TRANCHE "CAP_IN", "AV1", "AV2", "AV3", "M1", "M2", "M3", "M4", "M5", "M6", "M7", "M8", "M9", "M10", "M11", "R", "R_PP"
!
DEFINE MACRO #TotalPaybackDue[1] = TOTAL_PAYBACK_DUE({#1})
!
!
DEFINE DYNAMIC #HedgeRestrictBal1 =
BBAL("AV1#1","AV2#1","AV3#1","M1#1","M2#1","M3#1","M4#1","M5#1","M6#1","M7#1","M8#1","M9#1","M10#1", "M11#1")
!
DEFINE DYNAMIC STICKY #HedgeCapBeginBal = MIN( #HedgeRestrictBal1, #CapBal )
!
DEFINE DYNAMIC #HedgeCapEndBal = MIN( #HedgeRestrictBal1, #CapBalEnd )
!
Tranche "CAP_IN" PSEUDO HEDGE
Block 0.01 at 3.3257 FLOAT NOTIONAL WITH FORMULA BEGIN ( #HedgeCapBeginBal ); END (#HedgeCapEndBal ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE FREQ M _
Delay 0 Dated 20050629 Next 20050725
((1 * MIN(10.5, LIBOR_1MO)) + (-1 * #CapRate))
0 999
!
Tranche "AV1" SEN_FLT ! PAID_DOWN_WHEN ({#TotalPaybackDue}{"AV1"} LT 0.01);
Block 187750000.00 at 3.4557 FREQ M FLOAT RESET M _
COUPONCAP 30360 NONE ( #NetRate * 30 / (IF CURDATE EQ DEAL_FIRST_PAYDATE THEN 26 ELSE 30) ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _
Delay 0 Dated 20050629 Next 20050725
(1 * LIBOR_1MO + ( IF #OPTRED_Cleanup_1mon THEN 0.26 ELSE 0.13 ))
0 14
!
Tranche "AV2" SEN_FLT ! PAID_DOWN_WHEN ({#TotalPaybackDue}{"AV2"} LT 0.01);
Block 239730000.00 at 3.6157 FREQ M FLOAT RESET M _
COUPONCAP 30360 NONE ( #NetRate * 30 / (IF CURDATE EQ DEAL_FIRST_PAYDATE THEN 26 ELSE 30) ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _
Delay 0 Dated 20050629 Next 20050725
(1 * LIBOR_1MO + ( IF #OPTRED_Cleanup_1mon THEN 0.58 ELSE 0.29 ))
0 14
!
Tranche "AV3" SEN_FLT ! PAID_DOWN_WHEN ({#TotalPaybackDue}{"AV3"} LT 0.01);
Block 15320000.00 at 3.7157 FREQ M FLOAT RESET M _
COUPONCAP 30360 NONE ( #NetRate * 30 / (IF CURDATE EQ DEAL_FIRST_PAYDATE THEN 26 ELSE 30) ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _
Delay 0 Dated 20050629 Next 20050725
(1 * LIBOR_1MO + ( IF #OPTRED_Cleanup_1mon THEN 0.78 ELSE 0.39 ))
0 14
!
Tranche "M1" MEZ_FLT ! PAID_DOWN_WHEN ({#TotalPaybackDue}{"M1"} LT 0.01);
Block 24300000.00 at 3.8057 FREQ M FLOAT RESET M _
COUPONCAP 30360 NONE ( #NetRate * 30 / (IF CURDATE EQ DEAL_FIRST_PAYDATE THEN 26 ELSE 30) ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _
Delay 0 Dated 20050629 Next 20050725
(1 * LIBOR_1MO + ( IF #OPTRED_Cleanup_1mon THEN 0.72 ELSE 0.48 ))
0 14
!
Tranche "M2" MEZ_FLT ! PAID_DOWN_WHEN ({#TotalPaybackDue}{"M2"} LT 0.01);
Block 23100000.00 at 3.8457 FREQ M FLOAT RESET M _
COUPONCAP 30360 NONE ( #NetRate * 30 / (IF CURDATE EQ DEAL_FIRST_PAYDATE THEN 26 ELSE 30) ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _
Delay 0 Dated 20050629 Next 20050725
(1 * LIBOR_1MO + ( IF #OPTRED_Cleanup_1mon THEN 0.78 ELSE 0.52 ))
0 14
!
Tranche "M3" MEZ_FLT ! PAID_DOWN_WHEN ({#TotalPaybackDue}{"M3"} LT 0.01);
Block 14100000.00 at 3.9157 FREQ M FLOAT RESET M _
COUPONCAP 30360 NONE ( #NetRate * 30 / (IF CURDATE EQ DEAL_FIRST_PAYDATE THEN 26 ELSE 30) ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _
Delay 0 Dated 20050629 Next 20050725
(1 * LIBOR_1MO + ( IF #OPTRED_Cleanup_1mon THEN 0.885 ELSE 0.59 ))
0 14
!
Tranche "M4" MEZ_FLT ! PAID_DOWN_WHEN ({#TotalPaybackDue}{"M4"} LT 0.01);
Block 12000000.00 at 4.0257 FREQ M FLOAT RESET M _
COUPONCAP 30360 NONE ( #NetRate * 30 / (IF CURDATE EQ DEAL_FIRST_PAYDATE THEN 26 ELSE 30) ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _
Delay 0 Dated 20050629 Next 20050725
(1 * LIBOR_1MO + ( IF #OPTRED_Cleanup_1mon THEN 1.05 ELSE 0.7 ))
0 14
!
Tranche "M5" MEZ_FLT ! PAID_DOWN_WHEN ({#TotalPaybackDue}{"M5"} LT 0.01);
Block 10800000.00 at 4.0757 FREQ M FLOAT RESET M _
COUPONCAP 30360 NONE ( #NetRate * 30 / (IF CURDATE EQ DEAL_FIRST_PAYDATE THEN 26 ELSE 30) ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _
Delay 0 Dated 20050629 Next 20050725
(1 * LIBOR_1MO + ( IF #OPTRED_Cleanup_1mon THEN 1.125 ELSE 0.75 ))
0 14
!
Tranche "M6" MEZ_FLT ! PAID_DOWN_WHEN ({#TotalPaybackDue}{"M6"} LT 0.01);
Block 10500000.00 at 4.1257 FREQ M FLOAT RESET M _
COUPONCAP 30360 NONE ( #NetRate * 30 / (IF CURDATE EQ DEAL_FIRST_PAYDATE THEN 26 ELSE 30) ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _
Delay 0 Dated 20050629 Next 20050725
(1 * LIBOR_1MO + ( IF #OPTRED_Cleanup_1mon THEN 1.2 ELSE 0.8 ))
0 14
!
Tranche "M7" JUN_FLT ! PAID_DOWN_WHEN ({#TotalPaybackDue}{"M7"} LT 0.01);
Block 9000000.00 at 4.6257 FREQ M FLOAT RESET M _
COUPONCAP 30360 NONE ( #NetRate * 30 / (IF CURDATE EQ DEAL_FIRST_PAYDATE THEN 26 ELSE 30) ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _
Delay 0 Dated 20050629 Next 20050725
(1 * LIBOR_1MO + ( IF #OPTRED_Cleanup_1mon THEN 1.95 ELSE 1.3 ))
0 14
!
Tranche "M8" MEZ_FLT ! PAID_DOWN_WHEN ({#TotalPaybackDue}{"M8"} LT 0.01);
Block 8400000.00 at 4.7757 FREQ M FLOAT RESET M _
COUPONCAP 30360 NONE ( #NetRate * 30 / (IF CURDATE EQ DEAL_FIRST_PAYDATE THEN 26 ELSE 30) ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _
Delay 0 Dated 20050629 Next 20050725
(1 * LIBOR_1MO + ( IF #OPTRED_Cleanup_1mon THEN 2.175 ELSE 1.45 ))
0 14
!
Tranche "M9" JUN_FLT ! PAID_DOWN_WHEN ({#TotalPaybackDue}{"M9"} LT 0.01);
Block 8100000.00 at 5.2257 FREQ M FLOAT RESET M _
COUPONCAP 30360 NONE ( #NetRate * 30 / (IF CURDATE EQ DEAL_FIRST_PAYDATE THEN 26 ELSE 30) ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _
Delay 0 Dated 20050629 Next 20050725
(1 * LIBOR_1MO + ( IF #OPTRED_Cleanup_1mon THEN 2.85 ELSE 1.9 ))
0 14
!
Tranche "M10" JUN_FLT ! PAID_DOWN_WHEN ({#TotalPaybackDue}{"M10"} LT 0.01);
Block 15000000.00 at 6.0757 FREQ M FLOAT RESET M _
COUPONCAP 30360 NONE ( #NetRate * 30 / (IF CURDATE EQ DEAL_FIRST_PAYDATE THEN 26 ELSE 30) ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _
Delay 0 Dated 20050629 Next 20050725
(1 * LIBOR_1MO + ( IF #OPTRED_Cleanup_1mon THEN 4.125 ELSE 2.75 ))
0 14
!
Tranche "M11" JUN_FLT ! PAID_DOWN_WHEN ({#TotalPaybackDue}{"M11"} LT 0.01);
Block 8100000.00 at 6.0757 FREQ M FLOAT RESET M _
COUPONCAP 30360 NONE ( #NetRate * 30 / (IF CURDATE EQ DEAL_FIRST_PAYDATE THEN 26 ELSE 30) ); _
DAYCOUNT ACTUAL360 BUSINESS_DAY NONE _
Delay 0 Dated 20050629 Next 20050725
(1 * LIBOR_1MO + ( IF #OPTRED_Cleanup_1mon THEN 4.125 ELSE 2.75 ))
0 14
!
Tranche "R" JUN_RES
Block 600000000.00 at 0 NOTIONAL WITH GROUP 0 SURPLUS _
DAYCOUNT 30360 BUSINESS_DAY NONE _
FREQ M Delay 24 Dated 20050601 Next 20050725
!
Tranche "R_PP" JUN_PEN_NO
Block 600000000.00 at 0 NOTIONAL WITH GROUP 0 _
DAYCOUNT 30360 BUSINESS_DAY NONE _
FREQ M Delay 24 Dated 20050601 Next 20050725
!
Tranche "#OC" SYMVAR
Tranche "#SpecOCTarg" SYMVAR
!
Tranche "DEAL_PLUGIN" PSEUDO
Block USE PCT 100.0 100.0 OF "AV1#1"
Block USE PCT 100.0 100.0 OF "AV2#1"
Block USE PCT 100.0 100.0 OF "AV3#1"
Block USE PCT 100.0 100.0 OF "M1#1"
Block USE PCT 100.0 100.0 OF "M2#1"
Block USE PCT 100.0 100.0 OF "M3#1"
Block USE PCT 100.0 100.0 OF "M4#1"
Block USE PCT 100.0 100.0 OF "M5#1"
Block USE PCT 100.0 100.0 OF "M6#1"
Block USE PCT 100.0 100.0 OF "M7#1"
Block USE PCT 100.0 100.0 OF "M8#1"
Block USE PCT 100.0 100.0 OF "M9#1"
Block USE PCT 100.0 100.0 OF "M10#1"
Block USE PCT 100.0 100.0 OF "M11#1"
Block USE PCT 0.0 100.0 OF "R#1" Block USE PCT 0.0 100.0 OF "R_PP#1"
!
Tranche "#NetRate" SYMVAR
!
Tranche "#NetRateActual360" SYMVAR
!
!
DEFINE PSEUDO_TRANCHE COLLAT _
Delay 24 Dated 20050601 Next 20050725 Settle 20050629
DEFINE PSEUDO_TRANCHE COLLAT GROUP 1 _
Delay 24 Dated 20050601 Next 20050725 Settle 20050629
DEFINE PSEUDO_TRANCHE COLLAT GROUP 2 _
Delay 24 Dated 20050601 Next 20050725 Settle 20050629
!
!!Funds
RESERVE_FUND "Cap_Int_Account" _
ON TRANCHE "AV1"&"AV2"&"AV3"&"M1"&"M2"&"M3"&"M4"&"M5"&"M6"&"M7"&"M8"&"M9"&"M10"&"M11" _
COVERS INTEREST SHORTFALLS _
EXCESS_TO EXTERNAL _
STARTING_BALANCE 500000
!
ifdef #_CMOVER_3.1a2 _
define MACRO #HB_cap = BALANCE NOTIONAL WITH TRANCHE "CAP_IN"
!
ifndef #_CMOVER_3.1a2 _
define MACRO #HB_cap =
!
HEDGE "cap" _
TYPE CAP {#HB_cap} _
LEG "FLT" DEAL_RECEIVES OPTIMAL_INTPMT "CAP_IN"
!
!!Class Tree
CLASS "RESID" = "R#1" "R_PP#1"
CLASS "AV1" NO_BUILD_TRANCHE _
SHORTFALL_PAYBACK COUPONCAP TRUE _
SHORTFALL_EARN_INT COUPONCAP TRUE _
= "AV1"
CLASS "AV2" NO_BUILD_TRANCHE _
SHORTFALL_PAYBACK COUPONCAP TRUE _
SHORTFALL_EARN_INT COUPONCAP TRUE _
= "AV2"
CLASS "AV3" NO_BUILD_TRANCHE _
SHORTFALL_PAYBACK COUPONCAP TRUE _
SHORTFALL_EARN_INT COUPONCAP TRUE _
= "AV3"
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 "M7" NO_BUILD_TRANCHE _
SHORTFALL_PAYBACK COUPONCAP TRUE _
SHORTFALL_EARN_INT COUPONCAP TRUE _
= "M7"
CLASS "M8" NO_BUILD_TRANCHE _
SHORTFALL_PAYBACK COUPONCAP TRUE _
SHORTFALL_EARN_INT COUPONCAP TRUE _
= "M8"
CLASS "M9" NO_BUILD_TRANCHE _
SHORTFALL_PAYBACK COUPONCAP TRUE _
SHORTFALL_EARN_INT COUPONCAP TRUE _
= "M9"
CLASS "M10" NO_BUILD_TRANCHE _
SHORTFALL_PAYBACK COUPONCAP TRUE _
SHORTFALL_EARN_INT COUPONCAP TRUE _
= "M10"
CLASS "M11" NO_BUILD_TRANCHE _
SHORTFALL_PAYBACK COUPONCAP TRUE _
SHORTFALL_EARN_INT COUPONCAP TRUE _
= "M11"
CLASS "AV" WRITEDOWN_BAL PRORATA ALLOCATION _
= "AV1" "AV2" "AV3"
!
!
CLASS "ROOT" _
WRITEDOWN_BAL RULES _
DISTRIB_CLASS RULES _
SHORTFALL_PAYBACK PRINCIPAL_LOSS TRUE _
SHORTFALL_PAYBACK ALLOCATION TRUE _
SHORTFALL_EARN_INT INTEREST TRUE _
= "AV" "M1" "M2" "M3" "M4" "M5" "M6" "M7" "M8" "M9" "M10" "M11" "RESID"
!
DEFINE PSEUDO_TRANCHE CLASS "AV" Delay 0 Dated 20050629 Next 20050725 DAYCOUNT ACTUAL360 BUSINESS_DAY NONE
!
!
CROSSOVER When 0
!
!!Triggers
ifdef #cmover_3.1b1 _
DEFINE MACRO #DelinqTrigType = TYPE CASHFLOW DELINQ
DEFINE MACRO #CumLossTrigType = TYPE CASHFLOW CUM_LOSS
!
ifndef #cmover_3.1b1 _
DEFINE MACRO #DelinqTrigType =
DEFINE MACRO #CumLossTrigType =
!
TRIGGER "StepUp-CumLoss" _
FULL_NAME "Step Up Cumulative Loss Trigger" _
{#CumLossTrigType} _
ORIG_TESTVAL 0.000% _
TESTVAL ( #TrigCumLossFrac); _
ORIG_TARGETVAL 2.0000% _
TARGETVAL (#CumLossShft); _
TRIGVAL LODIFF
!
TRIGGER "StepUp-DlqEnh" _
FULL_NAME "Step Up Enhancement Delinquency Trigger" _
{#DelinqTrigType} _
ORIG_TESTVAL 0.000% _
TESTVAL ( #TrigEnhFrac); _
ORIG_TARGETVAL 7.991% _
TARGETVAL (#ReqPerc); _
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 <= | %;_ | |
| 25 | 2.0000%; _ | |
| 26 | 2.1667%; _ | |
| 27 | 2.3333%; _ | |
| 28 | 2.5000%; _ | |
| 29 | 2.6667%; _ | |
| 30 | 2.8333%; _ | |
| 31 | 3.0000%; _ | |
| 32 | 3.1667%; _ | |
| 33 | 3.3333%; _ | |
| 34 | 3.5000%; _ | |
| 35 | 3.6667%; _ | |
| 36 | 3.8333%; _ | |
| 37 | 4.0000%; _ | |
| 38 | 4.1250%; _ | |
| 39 | 4.2500%; _ | |
| 40 | 4.3750%; _ | |
| 41 | 4.5000%; _ | |
| 42 | 4.6250%; _ | |
| 43 | 4.7500%; _ | |
| 44 | 4.8750%; _ | |
| 45 | 5.0000%; _ | |
| 46 | 5.1250%; _ | |
| 47 | 5.2500%; _ | |
| 48 | 5.3750%; _ | |
| 49 | 5.5000%; _ | |
| 50 | 5.5833%; _ | |
| 51 | 5.6667%; _ | |
| 52 | 5.7500%; _ | |
| 53 | 5.8333%; _ | |
| 54 | 5.9167%; _ | |
| 55 | 6.0000%; _ | |
| 56 | 6.0833%; _ | |
| 57 | 6.1667%; _ |
| 58 | 6.2500%; _ | |
| 59 | 6.3333%; _ | |
| 60 | 6.4167%; _ | |
| 61 | 6.5000%; _ | |
| 62 | 6.5625%; _ | |
| 63 | 6.6250%; _ | |
| 64 | 6.6875%; _ | |
| 65 | 6.7500%; _ | |
| 66 | 6.8125%; _ | |
| 67 | 6.8750%; _ | |
| 68 | 6.9375%; _ | |
| 69 | 7.0000%; _ | |
| 70 | 7.0625%; _ | |
| 71 | 7.1250%; _ | |
| 72 | 7.1875%; _ | |
| 360 | 7.2500%; _ |
_
or;(2) the aggregate principal balance of all delinquent loans * 1_ as a percentage of the respective collateral balance exceeds :_ 30.5% * the Senior Enhancement Percentage."_
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." _
EFFECTIVE_WHEN (If #StepDown Then TRIG_EFFECTIVE_YES Else TRIG_EFFECTIVE_NO); _
TRIGVAL FORMULA ( min(TRIGGER("StepUp-CumLoss","TRIGVAL"), TRIGGER("StepUp-DlqEnh","TRIGVAL")));
!
!!Misc
OPTIONAL REDEMPTION: "Cleanup" _
COLL_FRAC 10% _
PRICE_P ( COLL_BAL ); _
DISTR_P RULES "OPTR_DEAL"
!
DEFINE DYNAMIC STICKY #OPTRED_Cleanup_0mon = OPTREDEEM ("Cleanup", "REDEEMABLE")
!
!
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
!
!!Payrules
DEFINE MACRO BLOCK #AV_Int =
{
- ---------------------------------------
from : CLASS ( "AV" )
pay : CLASS INTEREST PRO_RATA ( "AV1"; "AV2"; "AV3" )
- ---------------------------------------
}
DEFINE MACRO BLOCK #AV_InS =
{
- ---------------------------------------
from : CLASS ( "AV" )
pay : CLASS INTSHORT PRO_RATA ( "AV1"; "AV2"; "AV3" )
- ---------------------------------------
}
DEFINE MACRO BLOCK #AV_Prn =
{
- ---------------------------------------
from : CLASS ( "AV" )
pay : CLASS BALANCE SEQUENTIAL ( "AV1", "AV2", "AV3" )
- ---------------------------------------
!
- ---------------------------------------
from : CLASS ( "AV1" )
pay : SEQUENTIAL ( "AV1#1" )
- ---------------------------------------
from : CLASS ( "AV2" )
pay : SEQUENTIAL ( "AV2#1" )
- ---------------------------------------
from : CLASS ( "AV3" )
pay : SEQUENTIAL ( "AV3#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 #M7_Prn =
{
- ---------------------------------------
from : CLASS ( "M7" )
pay : SEQUENTIAL ( "M7#1" )
- ---------------------------------------
}
DEFINE MACRO BLOCK #M8_Prn =
{
- ---------------------------------------
from : CLASS ( "M8" )
pay : SEQUENTIAL ( "M8#1" )
- ---------------------------------------
}
DEFINE MACRO BLOCK #M9_Prn =
{
- ---------------------------------------
from : CLASS ( "M9" )
pay : SEQUENTIAL ( "M9#1" )
- ---------------------------------------
}
DEFINE MACRO BLOCK #M10_Prn =
{
- ---------------------------------------
from : CLASS ( "M10" )
pay : SEQUENTIAL ( "M10#1" )
- ---------------------------------------
}
DEFINE MACRO BLOCK #M11_Prn =
{
- ---------------------------------------
from : CLASS ( "M11" )
pay : SEQUENTIAL ( "M11#1" )
- ---------------------------------------
}
!
!
CMO Block Payment Rules
- ---------------------------------------
calculate : #HedgePaySave = 0.00
- ---------------------------------------
calculate : #Princ = COLL_P
!
calculate : #Interest = COLL_I
!
calculate : #PrevSpecOC = #SpecOCTarg
!
calculate : #CurrentOC = MAX( 0, COLL_BAL - (BBAL("AV1#1", "AV2#1", "AV3#1", "M1#1", "M2#1", "M3#1", "M4#1", "M5#1", "M6#1", "M7#1", "M8#1", "M9#1", "M10#1", "M11#1") - #Princ))
!
calculate : #XSSpread = #Interest - ( COLL_YM * (100% - 0%)) - CAPPED_OPTIMAL_INTPMT("AV1#1","AV2#1","AV3#1","M1#1","M2#1","M3#1","M4#1","M5#1","M6#1","M7#1","M8#1 ","M9#1","M10#1","M11#1") -
INTSHORT_ACCUM("AV1#1","AV2#1","AV3#1","M1#1","M2#1","M3#1","M4#1","M5#1","M6#1","M7#1","M8#1","M9#1","M10#1","M11#1")
!
calculate : #FloorOCTotal = #FloorOCTarg
!
calculate : #StepOCTarg = COLL_BAL * #StepOCFrac
!
calculate : #StepDownDatePass = CURMONTH GE #StepDownDate
!
!
calculate : #SenEnhancePct = (COLL_PREV_BAL - BBAL("AV") ) / COLL_BAL
!
calculate : #StepDownBal = (#SenEnhancePct - #SpecSenEnhPct) + 1E-8 GE 0.00
!
calculate : #StepDown = #StepDown OR ( BBAL("AV") LT 0.01 ) OR ( #StepDownDatePass AND #StepDownBal )
!
calculate : #ReqPerc = 30.5% * (COLL_PREV_BAL - BBAL("AV") ) / COLL_PREV_BAL
!
calculate : #TrigEnhFrac = 1 * AVG_COLL("RATE",-1,2,6)
!
calculate : #CumLossShft = LOOKUP_TBL( "STEP", CURMONTH , "OC_CUMLOSS0", "MONTH", "OC_CUMLOSS_FRAC0" )
calculate : #TrigCumLossFrac = DELINQ_LOSS_ACCUM / #OrigCollBal
!
calculate : #TrigEvent = TRIGGER("STEPUP_TRIGGER")
!
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)
!
calculate : #OCSurplus = MINMAX(0, #CurrentOC - #SpecOCTarg, COLL_P)
!
calculate : #PrincPmt = MAX(0, COLL_P - #OCSurplus)
!
!
calculate : #XSIntRem = MAX( 0, #Interest - ( COLL_YM * (100% - 0%)) -
CAPPED_OPTIMAL_INTPMT("AV1#1","AV2#1","AV3#1","M1#1","M2#1","M3#1",
"M4#1","M5#1","M6#1","M7#1","M8#1","M9#1","M10#1","M11#1") -
INTSHORT_ACCUM("AV1#1","AV2#1","AV3#1","M1#1","M2#1","M3#1","M4#1","M5#1","M6#1","M7#1","M8#1","M9#1","M10#1","M11#1") + #OCSurplus)
!
calculate : #SubDefic = MAX ( 0, ( BBAL("ROOT") - #Princ ) - COLL_BAL )
!
calculate : #AddPrinc = MIN( #XSIntRem, #SubDefic, #BondBal )
calculate : #XSIntRem = MAX( 0, #XSIntRem - #AddPrinc )
!
calculate : #XtraPDA = MIN( #OCDeficiency, #XSIntRem )
calculate : #XSIntRem = MAX( 0, #XSIntRem - #XtraPDA )
!
!
calculate : #DistribAmt = #PrincPmt + #AddPrinc + #XtraPDA
!
calculate : #ClassAVPDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _
THEN #DistribAmt _
ELSE BBAL("AV1", "AV2", "AV3") _
- MIN(COLL_BAL - #FloorOCTotal, #AVTargPct * COLL_BAL)
calculate : #ClassAVPDA = MAX( 0.0, MIN(BBAL("AV1", "AV2", "AV3"), #ClassAVPDA ))
calculate : #ClassAVPDA = MAX( 0, MIN( #ClassAVPDA, #DistribAmt ) )
!
!
calculate : #ClassM1PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _
THEN #DistribAmt - #ClassAVPDA _
ELSE BBAL("AV1", "AV2", "AV3", "M1") - #ClassAVPDA _
- MIN(COLL_BAL - #FloorOCTotal, #M1TargPct * COLL_BAL)
calculate : #ClassM1PDA = MAX( 0.0, MIN(BBAL("M1"), #ClassM1PDA ))
calculate : #ClassM1PDA = MAX( 0, MIN( #ClassM1PDA, #DistribAmt - #ClassAVPDA ) )
!
!
calculate : #ClassM2PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _
THEN #DistribAmt - #ClassAVPDA - #ClassM1PDA _
ELSE BBAL("AV1", "AV2", "AV3", "M1", "M2") - #ClassAVPDA - #ClassM1PDA _
- MIN(COLL_BAL - #FloorOCTotal, #M2TargPct * COLL_BAL)
calculate : #ClassM2PDA = MAX( 0.0, MIN(BBAL("M2"), #ClassM2PDA ))
calculate : #ClassM2PDA = MAX( 0, MIN( #ClassM2PDA, #DistribAmt - #ClassAVPDA - #ClassM1PDA ) )
!
!
calculate : #ClassM3PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _
THEN #DistribAmt - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA _
ELSE BBAL("AV1", "AV2", "AV3", "M1", "M2", "M3") - #ClassAVPDA - #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 - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA ) )
!
!
calculate : #ClassM4PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _
THEN #DistribAmt - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA _
ELSE BBAL("AV1", "AV2", "AV3", "M1", "M2", "M3", "M4") - #ClassAVPDA - #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 - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA ) )
!
!
calculate : #ClassM5PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _
THEN #DistribAmt - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA _
ELSE BBAL("AV1", "AV2", "AV3", "M1", "M2", "M3", "M4", "M5") - #ClassAVPDA - #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 - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA ) )
!
!
calculate : #ClassM6PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _
THEN #DistribAmt - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA _
ELSE BBAL("AV1", "AV2", "AV3", "M1", "M2", "M3", "M4", "M5", "M6") - #ClassAVPDA - #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 - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA ) )
!
!
calculate : #ClassM7PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _
THEN #DistribAmt - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA _
ELSE BBAL("AV1", "AV2", "AV3", "M1", "M2", "M3", "M4", "M5", "M6", "M7") - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA _
- MIN(COLL_BAL - #FloorOCTotal, #M7TargPct * COLL_BAL)
calculate : #ClassM7PDA = MAX( 0.0, MIN(BBAL("M7"), #ClassM7PDA ))
calculate : #ClassM7PDA = MAX( 0, MIN( #ClassM7PDA, #DistribAmt - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA ) )
!
!
calculate : #ClassM8PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _
THEN #DistribAmt - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassM7PDA _
ELSE BBAL("AV1", "AV2", "AV3", "M1", "M2", "M3", "M4", "M5", "M6", "M7", "M8") - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassM7PDA _
- MIN(COLL_BAL - #FloorOCTotal, #M8TargPct * COLL_BAL)
calculate : #ClassM8PDA = MAX( 0.0, MIN(BBAL("M8"), #ClassM8PDA ))
calculate : #ClassM8PDA = MAX( 0, MIN( #ClassM8PDA, #DistribAmt - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassM7PDA ) )
!
!
calculate : #ClassM9PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _
THEN #DistribAmt - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassM7PDA - - #ClassM8PDA _
ELSE BBAL("AV1", "AV2", "AV3", "M1", "M2", "M3", "M4", "M5", "M6", "M7", "M8", "M9") - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassM7PDA - #ClassM8PDA _
- MIN(COLL_BAL - #FloorOCTotal, #M9TargPct * COLL_BAL)
calculate : #ClassM9PDA = MAX( 0.0, MIN(BBAL("M9"), #ClassM9PDA ))
calculate : #ClassM9PDA = MAX( 0, MIN( #ClassM9PDA, #DistribAmt - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassM7PDA - #ClassM8PDA ) )
!
!
calculate : #ClassM10PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _
THEN #DistribAmt - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassM7PDA - - #ClassM8PDA - #ClassM9PDA _
ELSE BBAL("AV1", "AV2", "AV3", "M1", "M2", "M3", "M4", "M5", "M6", "M7", "M8", "M9", "M10") - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassM7PDA - #ClassM8PDA - #ClassM9PDA _
- MIN(COLL_BAL - #FloorOCTotal, #M10TargPct * COLL_BAL)
calculate : #ClassM10PDA = MAX( 0.0, MIN(BBAL("M10"), #ClassM10PDA ))
calculate : #ClassM10PDA = MAX( 0, MIN( #ClassM10PDA, #DistribAmt - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassM7PDA - #ClassM8PDA - #ClassM9PDA ) )
!
!
calculate : #ClassM11PDA = IF (#TrigEvent OR (#StepDown EQ 0.0)) _
THEN #DistribAmt - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassM7PDA - - #ClassM8PDA - #ClassM9PDA - #ClassM10PDA _
ELSE BBAL("AV1", "AV2", "AV3", "M1", "M2", "M3", "M4", "M5", "M6", "M7", "M8", "M9", "M10", "M11") - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassM7PDA - #ClassM8PDA - #ClassM9PDA - #ClassM10PDA _
- MIN(COLL_BAL - #FloorOCTotal, #M11TargPct * COLL_BAL)
calculate : #ClassM11PDA = MAX( 0.0, MIN(BBAL("M11"), #ClassM11PDA ))
calculate : #ClassM11PDA = MAX( 0, MIN( #ClassM11PDA, #DistribAmt - #ClassAVPDA - #ClassM1PDA - #ClassM2PDA - #ClassM3PDA - #ClassM4PDA - #ClassM5PDA - #ClassM6PDA - #ClassM7PDA - #ClassM8PDA - #ClassM9PDA - #ClassM10PDA ) )
!
!
calculate : "AV" _
NO_CHECK CUSTOM AMOUNT = #ClassAVPDA
!
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 : "M7" _
NO_CHECK CUSTOM AMOUNT = #ClassM7PDA
!
calculate : "M8" _
NO_CHECK CUSTOM AMOUNT = #ClassM8PDA
!
calculate : "M9" _
NO_CHECK CUSTOM AMOUNT = #ClassM9PDA
!
calculate : "M10" _
NO_CHECK CUSTOM AMOUNT = #ClassM10PDA
!
calculate : "M11" _
NO_CHECK CUSTOM AMOUNT = #ClassM11PDA
!
- ---------------------------------------
from : CLASS ("ROOT")
subject to : CEILING ( (COLL("PREPAYPENALTY")) )
pay : PREPAYPENALTY SEQUENTIAL("R_PP#1")
- ---------------------------------------
!
- ---------------------------------------
Pay Interest to AV From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTEREST SEQUENTIAL ( "AV" )
- ---------------------------------------
{#AV_Int}
- ---------------------------------------
!
- ---------------------------------------
Pay Interest Shortfall to AV From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTSHORT SEQUENTIAL ( "AV" )
- ---------------------------------------
{#AV_InS}
---------------------------------------
!
- ---------------------------------------
Pay Interest to M1 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTEREST SEQUENTIAL ( "M1" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest to M2 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTEREST SEQUENTIAL ( "M2" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest to M3 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTEREST SEQUENTIAL ( "M3" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest to M4 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTEREST SEQUENTIAL ( "M4" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest to M5 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTEREST SEQUENTIAL ( "M5" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest to M6 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTEREST SEQUENTIAL ( "M6" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest to M7 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTEREST SEQUENTIAL ( "M7" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest to M8 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTEREST SEQUENTIAL ( "M8" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest to M9 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTEREST SEQUENTIAL ( "M9" )
—
!
- ---------------------------------------
Pay Interest to M10 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTEREST SEQUENTIAL ( "M10" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest to M11 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTEREST SEQUENTIAL ( "M11" )
- ---------------------------------------
!
- ---------------------------------------
Pay Principal to AV From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCIPAL SEQUENTIAL ( "AV" )
- ---------------------------------------
{#AV_Prn}
- ---------------------------------------
!
- ---------------------------------------
Pay Principal to M1 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCIPAL SEQUENTIAL ( "M1" )
- ---------------------------------------
{#M1_Prn}
- ---------------------------------------
!
- ---------------------------------------
Pay Principal to M2 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCIPAL SEQUENTIAL ( "M2" )
- ---------------------------------------
{#M2_Prn}
- ---------------------------------------
!
- ---------------------------------------
Pay Principal to M3 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCIPAL SEQUENTIAL ( "M3" )
- ---------------------------------------
{#M3_Prn}
- ---------------------------------------
!
- ---------------------------------------
Pay Principal to M4 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCIPAL SEQUENTIAL ( "M4" )
- ---------------------------------------
{#M4_Prn}
- ---------------------------------------
!
---------------------------------------
Pay Principal to M5 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCIPAL SEQUENTIAL ( "M5" )
- ---------------------------------------
{#M5_Prn}
- ---------------------------------------
!
- ---------------------------------------
Pay Principal to M6 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCIPAL SEQUENTIAL ( "M6" )
- ---------------------------------------
{#M6_Prn}
- ---------------------------------------
!
- ---------------------------------------
Pay Principal to M7 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCIPAL SEQUENTIAL ( "M7" )
- ---------------------------------------
{#M7_Prn}
- ---------------------------------------
!
- ---------------------------------------
Pay Principal to M8 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCIPAL SEQUENTIAL ( "M8" )
- ---------------------------------------
{#M8_Prn}
- ---------------------------------------
!
- ---------------------------------------
Pay Principal to M9 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCIPAL SEQUENTIAL ( "M9" )
- ---------------------------------------
{#M9_Prn}
- ---------------------------------------
!
- ---------------------------------------
Pay Principal to M10 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCIPAL SEQUENTIAL ( "M10" )
- ---------------------------------------
{#M10_Prn}
- ---------------------------------------
!
- ---------------------------------------
Pay Principal to M11 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCIPAL SEQUENTIAL ( "M11" )
- ---------------------------------------
{#M11_Prn}
- ---------------------------------------
!
- ---------------------------------------
Pay Interest Shortfall to M1 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTSHORT SEQUENTIAL ( "M1" )
- ---------------------------------------
!
- ---------------------------------------
Pay Writedown Loss to M1 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M1" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest Shortfall to M2 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTSHORT SEQUENTIAL ( "M2" )
- ---------------------------------------
!
- ---------------------------------------
Pay Writedown Loss to M2 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M2" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest Shortfall to M3 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTSHORT SEQUENTIAL ( "M3" )
- ---------------------------------------
!
- ---------------------------------------
Pay Writedown Loss to M3 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M3" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest Shortfall to M4 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTSHORT SEQUENTIAL ( "M4" )
- ---------------------------------------
!
- ---------------------------------------
Pay Writedown Loss to M4 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M4" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest Shortfall to M5 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTSHORT SEQUENTIAL ( "M5" )
---------------------------------------
!
- ---------------------------------------
Pay Writedown Loss to M5 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M5" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest Shortfall to M6 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTSHORT SEQUENTIAL ( "M6" )
- ---------------------------------------
!
- ---------------------------------------
Pay Writedown Loss to M6 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M6" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest Shortfall to M7 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTSHORT SEQUENTIAL ( "M7" )
- ---------------------------------------
!
- ---------------------------------------
Pay Writedown Loss to M7 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M7" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest Shortfall to M8 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTSHORT SEQUENTIAL ( "M8" )
- ---------------------------------------
!
- ---------------------------------------
Pay Writedown Loss to M8 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M8" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest Shortfall to M9 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTSHORT SEQUENTIAL ( "M9" )
- ---------------------------------------
!
- ---------------------------------------
Pay Writedown Loss to M9 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M9" )
—
!
- ---------------------------------------
Pay Interest Shortfall to M10 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTSHORT SEQUENTIAL ( "M10" )
- ---------------------------------------
!
- ---------------------------------------
Pay Writedown Loss to M10 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M10" )
- ---------------------------------------
!
- ---------------------------------------
Pay Interest Shortfall to M11 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS INTSHORT SEQUENTIAL ( "M11" )
- ---------------------------------------
!
- ---------------------------------------
Pay Writedown Loss to M11 From Cash Account
from : CLASS ( "ROOT" )
pay : CLASS PRINCSHORT_LOSS SEQUENTIAL ( "M11" )
- ---------------------------------------
!
- ---------------------------------------
Payback Basis Risk Shortfall Prorata From Cash Account
from : CLASS ( "ROOT" )
pay : COUPONCAP_SHORT PRO_RATA ( "AV1#1"; "AV2#1"; "AV3#1"; "M1#1"; "M2#1"; "M3#1"; "M4#1"; "M5#1"; "M6#1"; "M7#1"; "M8#1"; "M9#1"; "M10#1"; "M11#1" )
- ---------------------------------------
- ---------------------------------------
from : HEDGE ("cap")
pay : COUPONCAP_SHORT PRO_RATA("AV1#1" ; "AV2#1" ; "AV3#1" ; "M1#1" ; "M2#1" ; "M3#1" ; "M4#1" ; "M5#1" ; "M6#1" ; "M7#1" ; "M8#1" ; "M9#1" ; "M10#1" ; "M11#1")
- ---------------------------------------
from : CREDIT_ENHANCEMENT ( "Cap_Int_Account")
pay : COUPONCAP_SHORT PRO_RATA("AV1#1" ; "AV2#1" ; "AV3#1" ; "M1#1" ; "M2#1" ; "M3#1" ; "M4#1" ; "M5#1" ; "M6#1" ; "M7#1" ; "M8#1" ; "M9#1" ; "M10#1" ; "M11#1")
!!! Custom - zero out Capitalized Interest Account after prefunding period
from: CREDIT_ENHANCEMENT ( "Cap_Int_Account")
pay: AS_INTEREST ("R#1")
!!! End of Custom
---------------------------------------
from : HEDGE ("cap")
pay : AS_INTEREST ("R#1")
---------------------------------------
from : CLASS ( "ROOT" )
pay : AS_INTEREST ("R#1")
- ---------------------------------------
calculate : #WriteDown = MAX(0.0,
BBAL("AV1#1","AV2#1","AV3#1","M1#1","M2#1","M3#1","M4#1","M5#1","M6#1","M7#1","M8#1","M9#1","M10#1", "M11#1") - COLL_BAL)
- ---------------------------------------
from : SUBACCOUNT ( #Writedown )
pay : WRITEDOWN SEQUENTIAL ( "M11#1" )
- ---------------------------------------
from : SUBACCOUNT ( #Writedown )
pay : WRITEDOWN SEQUENTIAL ( "M10#1" )
- ---------------------------------------
from : SUBACCOUNT ( #Writedown )
pay : WRITEDOWN SEQUENTIAL ( "M9#1" )
- ---------------------------------------
from : SUBACCOUNT ( #Writedown )
pay : WRITEDOWN SEQUENTIAL ( "M8#1" )
- ---------------------------------------
from : SUBACCOUNT ( #Writedown )
pay : WRITEDOWN SEQUENTIAL ( "M7#1" )
- ---------------------------------------
from : SUBACCOUNT ( #Writedown )
pay : WRITEDOWN SEQUENTIAL ( "M6#1" )
- ---------------------------------------
from : SUBACCOUNT ( #Writedown )
pay : WRITEDOWN SEQUENTIAL ( "M5#1" )
- ---------------------------------------
from : SUBACCOUNT ( #Writedown )
pay : WRITEDOWN SEQUENTIAL ( "M4#1" )
- ---------------------------------------
from : SUBACCOUNT ( #Writedown )
pay : WRITEDOWN SEQUENTIAL ( "M3#1" )
- ---------------------------------------
from : SUBACCOUNT ( #Writedown )
pay : WRITEDOWN SEQUENTIAL ( "M2#1" )
- ---------------------------------------
from : SUBACCOUNT ( #Writedown )
pay : WRITEDOWN SEQUENTIAL ( "M1#1" )
- ---------------------------------------
calculate : #BondBal =
BBAL("AV1#1","AV2#1","AV3#1","M1#1","M2#1","M3#1","M4#1","M5#1","M6#1","M7#1","M8#1","M9#1","M10#1", "M11#1")
calculate : #OC = MAX( 0, COLL_BAL - #BondBal )
- ---------------------------------------
calculate : #OPTRED_Cleanup_1mon = #OPTRED_Cleanup_0mon
- ---------------------------------------
- ---------------------------------------
calculate: #CallBalDeal = COLL_BAL
- ---------------------------------------
- ---------------------------------------
SECTION: "OPTR_DEAL"
- ---------------------------------------
from : CASH_ACCOUNT (100)
subject to : CEILING ( #CallBalDeal)
pay : CLASS BALANCE SEQUENTIAL ( "ROOT" )
pay : CLASS MORE_INTEREST SEQUENTIAL ( "ROOT" )
- ---------------------------------------
from : CLASS ( "ROOT" )
pay : PRO_RATA ( "AV1#1"; "AV2#1"; "AV3#1" )
- ---------------------------------------
from : CLASS ( "ROOT" )
pay : PRO_RATA ( "M1#1" )
- ---------------------------------------
from : CLASS ( "ROOT" )
pay : PRO_RATA ( "M2#1" )
- ---------------------------------------
from : CLASS ( "ROOT" )
pay : PRO_RATA ( "M3#1" )
- ---------------------------------------
from : CLASS ( "ROOT" )
pay : PRO_RATA ( "M4#1" )
- ---------------------------------------
from : CLASS ( "ROOT" )
pay : PRO_RATA ( "M5#1" )
- ---------------------------------------
from : CLASS ( "ROOT" )
pay : PRO_RATA ( "M6#1" )
- ---------------------------------------
from : CLASS ( "ROOT" )
pay : PRO_RATA ( "M7#1" )
- ---------------------------------------
from : CLASS ( "ROOT" )
pay : PRO_RATA ( "M8#1" )
- ---------------------------------------
from : CLASS ( "ROOT" )
pay : PRO_RATA ( "M9#1" )
- ---------------------------------------
from : CLASS ( "ROOT" )
pay : PRO_RATA ( "M10#1" )
- ---------------------------------------
from : CLASS ( "ROOT" )
pay : PRO_RATA ( "M11#1" )
- ---------------------------------------
from : CLASS ( "ROOT" )
pay : AS_INTEREST ("R#1")
- ---------------------------------------
!!Collateral
!
!
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 20050601 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 "ARM 2/28 - - No Penalty-INITIAL" WL 00 WAC 7.35597 ( 11655621.22 / 11655621.22 ); 11655621.22 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.06863 25 6 SYNC_INT 14.35597 1.49175 7.35597 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.35597 GROUP 2 PREPAY_FLAG 2% FOR 24 NONE ; TEASER
M 2 "ARM 2/28 - 1yr Penalty-INITIAL" WL 00 WAC 7.19406 ( 7429266.75 / 7429266.75 ); 7429266.75 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 5.46408 25 6 SYNC_INT 14.19406 1.50000 7.19406 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.19406 GROUP 2 PREPAY_FLAG YM FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 3 "ARM 2/28 - 2yr Penalty-INITIAL" WL 00 WAC 7.18142 ( 61935209.75 / 61935209.75 ); 61935209.75 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.78152 25 6 SYNC_INT 14.18142 1.49702 7.18142 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.18142 GROUP 2 PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 4 "ARM 2/28 - 3yr Penalty-INITIAL" WL 00 WAC 7.73828 ( 1160050.00 / 1160050.00 ); 1160050.00 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO
7.57995 25 6 SYNC_INT 14.73828 1.50000 7.73828 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.73828 GROUP 2 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 5 "ARM 2/28 - IO - - No Penalty-INITIAL" WL 00 WAC 7.16432 ( 11525122.19 / 11525122.19 ); 11525122.19 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.51579 25 6 SYNC_INT 14.16432 1.50000 7.16432 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.16432 AMORT NONE FOR 60 GROUP 2 TEASER
M 6 "ARM 2/28 - IO - 1yr Penalty-INITIAL" WL 00 WAC 7.01320 ( 9263040.00 / 9263040.00 ); 9263040.00 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.00259 25 6 SYNC_INT 14.01320 1.49568 7.01320 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.01320 AMORT NONE FOR 60 GROUP 2 PREPAY_FLAG YM FOR 12 2% FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 7 "ARM 2/28 - IO - 2yr Penalty-INITIAL" WL 00 WAC 6.78740 ( 66864830.96 / 66864830.96 ); 66864830.96 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.53570 25 6 SYNC_INT 13.78367 1.48910 6.78740 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.78740 AMORT NONE FOR 60 GROUP 2 PREPAY_FLAG YM FOR 24 2% FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 8 "ARM 2/28 - IO - 3yr Penalty-INITIAL" WL 00 WAC 6.80840 ( 707800.00 / 707800.00 ); 707800.00 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.55840 25 6 SYNC_INT 13.80840 1.50000 6.80840 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.80840 AMORT NONE FOR 60 GROUP 2 PREPAY_FLAG YM FOR 36 5% FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 9 "ARM 3/27 - - No Penalty-INITIAL" WL 00 WAC 7.74409 ( 29283320.24 / 29283320.24 ); 29283320.24 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.88946 37 6 SYNC_INT 14.70551 1.48454 7.74409 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.74409 GROUP 2 PREPAY_FLAG 5% FOR 12 NONE ; TEASER
M 10 "ARM 3/27 - 1yr Penalty-INITIAL" WL 00 WAC 7.36488 ( 3023650.00 / 3023650.00 ); 3023650.00 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.67862 37 6 SYNC_INT 14.36488 1.50000 7.36488 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.36488 GROUP 2 PREPAY_FLAG YM FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 11 "ARM 3/27 - 2yr Penalty-INITIAL" WL 00 WAC 7.58733 ( 2535200.00 / 2535200.00 ); 2535200.00 .5075
.5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 7.39856 37 6 SYNC_INT 14.58733 1.50000 7.58733 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.58733 GROUP 2 PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 12 "ARM 3/27 - 3yr Penalty-INITIAL" WL 00 WAC 7.61274 ( 54411174.00 / 54411174.00 ); 54411174.00 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 7.24010 37 6 SYNC_INT 14.61274 1.50000 7.61274 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.61274 GROUP 2 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 13 "ARM 3/27 - IO - - No Penalty-INITIAL" WL 00 WAC 6.80216 ( 11064439.79 / 11064439.79 ); 11064439.79 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 5.81844 37 6 SYNC_INT 13.80216 1.46900 6.80216 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.80216 AMORT NONE FOR 60 GROUP 2 TEASER
M 14 "ARM 3/27 - IO - 1yr Penalty-INITIAL" WL 00 WAC 6.75000 ( 115999.50 / 115999.50 ); 115999.50 .5075 ..5075 359:1 359:1 360 NO_CHECK ARM LIBOR_6MO 6.50000 36 6 SYNC_INT 13.75000 1.00000 6.75000 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.75000 AMORT NONE FOR 60 GROUP 2 PREPAY_FLAG YM FOR 12 1% FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 15 "ARM 3/27 - IO - 2yr Penalty-INITIAL" WL 00 WAC 6.72580 ( 1474600.00 / 1474600.00 ); 1474600.00 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 5.53166 37 6 SYNC_INT 13.72580 1.50000 6.72580 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.72580 AMORT NONE FOR 60 GROUP 2 PREPAY_FLAG YM FOR 24 1% FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 16 "ARM 3/27 - IO - 3yr Penalty-INITIAL" WL 00 WAC 6.68153 ( 33515220.00 / 33515220.00 ); 33515220.00 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.44393 37 6 SYNC_INT 13.68153 1.48618 6.68153 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.68153 AMORT NONE FOR 60 GROUP 2 PREPAY_FLAG YM FOR 36 2% FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 17 "Fixed 10yr - 3yr Penalty-INITIAL" WL 00 WAC 6.87500 ( 161400.00 / 161400.00 ); 161400.00 .5075 ..5075 120:0 120:0 120 NO_CHECK
GROUP 1
PREPAY_FLAG YM FOR 36 2% FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 18 "Fixed 15yr - - No Penalty-INITIAL" WL 00 WAC 7.07628 ( 400604.96 / 400604.96 ); 400604.96 .5075
.5075 179:1 179:1 180 NO_CHECK
GROUP 1 PREPAY_FLAG 5% FOR 24 NONE ;
M 19 "Fixed 15yr - 3yr Penalty-INITIAL" WL 00 WAC 7.73677 ( 867300.00 / 867300.00 ); 867300.00 .5075 ..5075 180:0 180:0 180 NO_CHECK
GROUP 1 PREPAY_FLAG YM FOR 36 5% FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 20 "Fixed 20yr - - No Penalty-INITIAL" WL 00 WAC 7.87357 ( 543900.00 / 543900.00 ); 543900.00 .5075 ..5075 240:0 240:0 240 NO_CHECK
GROUP 1 PREPAY_FLAG 5% FOR 12 4% FOR 12 NONE ;
M 21 "Fixed 20yr - 3yr Penalty-INITIAL" WL 00 WAC 7.43622 ( 471310.00 / 471310.00 ); 471310.00 .5075 ..5075 240:0 240:0 240 NO_CHECK
GROUP 1 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 22 "Fixed 30yr - - No Penalty-INITIAL" WL 00 WAC 7.70318 ( 6422069.63 / 6422069.63 ); 6422069.63 .5075 ..5075 360:0 360:0 360 NO_CHECK
GROUP 1 PREPAY_FLAG 1% FOR 36 NONE ;
M 23 "Fixed 30yr - 1yr Penalty-INITIAL" WL 00 WAC 7.13932 ( 1029513.24 / 1029513.24 ); 1029513.24 .5075 ..5075 360:0 360:0 360 NO_CHECK
GROUP 1 PREPAY_FLAG YM FOR 12 5% FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 24 "Fixed 30yr - 2yr Penalty-INITIAL" WL 00 WAC 7.02727 ( 1204091.84 / 1204091.84 ); 1204091.84 .5075 ..5075 360:0 360:0 360 NO_CHECK
GROUP 1 PREPAY_FLAG YM FOR 24 5% FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 25 "Fixed 30yr - 3yr Penalty-INITIAL" WL 00 WAC 7.32092 ( 18504752.96 / 18504752.96 ); 18504752.96 .5075 ..5075 360:0 360:0 360 NO_CHECK
GROUP 1 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 26 "ARM 2/28 - - No Penalty-ADDITIONAL" WL 00 WAC 7.35597 ( 4094444.45 / 4094444.45 ); 4094444.45 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.06863 25 6 SYNC_INT 14.35597 1.49175 7.35597 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.35597 GROUP 2 XPREFUND 1 at 0.5075 TEASER
M 27 "ARM 2/28 - 1yr Penalty-ADDITIONAL" WL 00 WAC 7.19406 ( 2609789.65 / 2609789.65 ); 2609789.65 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 5.46408 25 6 SYNC_INT 14.19406 1.50000 7.19406 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.19406 GROUP
2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 28 "ARM 2/28 - 2yr Penalty-ADDITIONAL" WL 00 WAC 7.18142 ( 21756907.52 / 21756907.52 ); 21756907.52 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.78152 25 6 SYNC_INT 14.18142 1.49702 7.18142 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.18142 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 29 "ARM 2/28 - 3yr Penalty-ADDITIONAL" WL 00 WAC 7.73828 ( 407508.11 / 407508.11 ); 407508.11 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 7.57995 25 6 SYNC_INT 14.73828 1.50000 7.73828 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.73828 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 30 "ARM 2/28 - IO - - No Penalty-ADDITIONAL" WL 00 WAC 7.16432 ( 4048602.06 / 4048602.06 ); 4048602.06 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.51579 25 6 SYNC_INT 14.16432 1.50000 7.16432 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.16432 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 TEASER
M 31 "ARM 2/28 - IO - 1yr Penalty-ADDITIONAL" WL 00 WAC 7.01320 ( 3253966.61 / 3253966.61 ); 3253966.61 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.00259 25 6 SYNC_INT 14.01320 1.49568 7.01320 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.01320 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 32 "ARM 2/28 - IO - 2yr Penalty-ADDITIONAL" WL 00 WAC 6.78740 ( 23488609.30 / 23488609.30 ); 23488609.30 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.53570 25 6 SYNC_INT 13.78367 1.48910 6.78740 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.78740 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 33 "ARM 2/28 - IO - 3yr Penalty-ADDITIONAL" WL 00 WAC 6.80840 ( 248639.49 / 248639.49 ); 248639.49 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.55840 25 6 SYNC_INT 13.80840 1.50000 6.80840 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.80840 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 34 "ARM 3/27 - - No Penalty-ADDITIONAL" WL 00 WAC 7.74409 ( 10286789.90 / 10286789.90 ); 10286789.90 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO
6.88946 37 6 SYNC_INT 14.70551 1.48454 7.74409 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.74409 GROUP 2 XPREFUND 1 at 0.5075 TEASER
M 35 "ARM 3/27 - 1yr Penalty-ADDITIONAL" WL 00 WAC 7.36488 ( 1062162.76 / 1062162.76 ); 1062162.76 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.67862 37 6 SYNC_INT 14.36488 1.50000 7.36488 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.36488 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 36 "ARM 3/27 - 2yr Penalty-ADDITIONAL" WL 00 WAC 7.58733 ( 890577.62 / 890577.62 ); 890577.62 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 7.39856 37 6 SYNC_INT 14.58733 1.50000 7.58733 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.58733 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 37 "ARM 3/27 - 3yr Penalty-ADDITIONAL" WL 00 WAC 7.61274 ( 19113826.94 / 19113826.94 ); 19113826.94 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 7.24010 37 6 SYNC_INT 14.61274 1.50000 7.61274 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.61274 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 38 "ARM 3/27 - IO - - No Penalty-ADDITIONAL" WL 00 WAC 6.80216 ( 3886771.26 / 3886771.26 ); 3886771.26 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 5.81844 37 6 SYNC_INT 13.80216 1.46900 6.80216 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.80216 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 TEASER
M 39 "ARM 3/27 - IO - 1yr Penalty-ADDITIONAL" WL 00 WAC 6.75000 ( 40748.88 / 40748.88 ); 40748.88 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.50000 37 6 SYNC_INT 13.75000 1.00000 6.75000 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.75000 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 40 "ARM 3/27 - IO - 2yr Penalty-ADDITIONAL" WL 00 WAC 6.72580 ( 518004.80 / 518004.80 ); 518004.80 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 5.53166 37 6 SYNC_INT 13.72580 1.50000 6.72580 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.72580 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 41 "ARM 3/27 - IO - 3yr Penalty-ADDITIONAL" WL 00 WAC 6.68153 ( 11773392.63 / 11773392.63 ); 11773392.63 .5075
.5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.44393 37 6 SYNC_INT 13.68153 1.48618 6.68153 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.68153 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 42 "Fixed 10yr - 3yr Penalty-ADDITIONAL" WL 00 WAC 6.87500 ( 56697.39 / 56697.39 ); 56697.39 .5075 ..5075 120:0 120:0 120 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 43 "Fixed 15yr - - No Penalty-ADDITIONAL" WL 00 WAC 7.07628 ( 140726.50 / 140726.50 ); 140726.50 .5075 ..5075 180:0 180:0 180 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075
M 44 "Fixed 15yr - 3yr Penalty-ADDITIONAL" WL 00 WAC 7.73677 ( 304669.44 / 304669.44 ); 304669.44 .5075 ..5075 180:0 180:0 180 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 45 "Fixed 20yr - - No Penalty-ADDITIONAL" WL 00 WAC 7.87357 ( 191063.89 / 191063.89 ); 191063.89 .5075 ..5075 240:0 240:0 240 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075
M 46 "Fixed 20yr - 3yr Penalty-ADDITIONAL" WL 00 WAC 7.43622 ( 165564.11 / 165564.11 ); 165564.11 .5075 ..5075 240:0 240:0 240 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 47 "Fixed 30yr - - No Penalty-ADDITIONAL" WL 00 WAC 7.70318 ( 2255976.46 / 2255976.46 ); 2255976.46 .5075 ..5075 360:0 360:0 360 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075
M 48 "Fixed 30yr - 1yr Penalty-ADDITIONAL" WL 00 WAC 7.13932 ( 361652.51 / 361652.51 ); 361652.51 .5075 ..5075 360:0 360:0 360 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 49 "Fixed 30yr - 2yr Penalty-ADDITIONAL" WL 00 WAC 7.02727 ( 422979.35 / 422979.35 ); 422979.35 .5075 ..5075 360:0 360:0 360 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 50 "Fixed 30yr - 3yr Penalty-ADDITIONAL" WL 00 WAC 7.32092 ( 6500441.36 / 6500441.36 ); 6500441.36 .5075 ..5075 360:0 360:0 360 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 51 "ARM 2/28 - - No Penalty-SUBSEQUENT" WL 00 WAC 7.35597 ( 5090246.15 / 5090246.15 ); 5090246.15 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.06863 25 6 SYNC_INT 14.35597 1.49175 7.35597 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.35597 GROUP 2 XPREFUND 1 at 0.5075 TEASER
M 52 "ARM 2/28 - 1yr Penalty-SUBSEQUENT" WL 00 WAC 7.19406 ( 3244511.45 / 3244511.45 ); 3244511.45 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 5.46408 25 6 SYNC_INT 14.19406 1.50000 7.19406 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.19406 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 53 "ARM 2/28 - 2yr Penalty-SUBSEQUENT" WL 00 WAC 7.18142 ( 27048362.08 / 27048362.08 ); 27048362.08 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.78152 25 6 SYNC_INT 14.18142 1.49702 7.18142 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.18142 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 54 "ARM 2/28 - 3yr Penalty-SUBSEQUENT" WL 00 WAC 7.73828 ( 506617.36 / 506617.36 ); 506617.36 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 7.57995 25 6 SYNC_INT 14.73828 1.50000 7.73828 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.73828 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 55 "ARM 2/28 - IO - - No Penalty-SUBSEQUENT" WL 00 WAC 7.16432 ( 5033254.58 / 5033254.58 ); 5033254.58 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.51579 25 6 SYNC_INT 14.16432 1.50000 7.16432 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.16432 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 TEASER
M 56 "ARM 2/28 - IO - 1yr Penalty-SUBSEQUENT" WL 00 WAC 7.01320 ( 4045357.41 / 4045357.41 ); 4045357.41 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.00259 25 6 SYNC_INT 14.01320 1.49568 7.01320 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.01320 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 57 "ARM 2/28 - IO - 2yr Penalty-SUBSEQUENT" WL 00 WAC 6.78740 ( 29201227.63 / 29201227.63 ); 29201227.63 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.53570 25 6 SYNC_INT 13.78367 1.48910 6.78740 0 0
INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.78740 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 58 "ARM 2/28 - IO - 3yr Penalty-SUBSEQUENT" WL 00 WAC 6.80840 ( 309110.61 / 309110.61 ); 309110.61 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.55840 25 6 SYNC_INT 13.80840 1.50000 6.80840 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.80840 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 59 "ARM 3/27 - - No Penalty-SUBSEQUENT" WL 00 WAC 7.74409 ( 12788619.79 / 12788619.79 ); 12788619.79 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.88946 37 6 SYNC_INT 14.70551 1.48454 7.74409 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.74409 GROUP 2 XPREFUND 1 at 0.5075 TEASER
M 60 "ARM 3/27 - 1yr Penalty-SUBSEQUENT" WL 00 WAC 7.36488 ( 1320489.27 / 1320489.27 ); 1320489.27 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.67862 37 6 SYNC_INT 14.36488 1.50000 7.36488 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.36488 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 61 "ARM 3/27 - 2yr Penalty-SUBSEQUENT" WL 00 WAC 7.58733 ( 1107173.25 / 1107173.25 ); 1107173.25 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 7.39856 37 6 SYNC_INT 14.58733 1.50000 7.58733 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.58733 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 62 "ARM 3/27 - 3yr Penalty-SUBSEQUENT" WL 00 WAC 7.61274 ( 23762463.09 / 23762463.09 ); 23762463.09 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 7.24010 37 6 SYNC_INT 14.61274 1.50000 7.61274 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 7.61274 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 63 "ARM 3/27 - IO - - No Penalty-SUBSEQUENT" WL 00 WAC 6.80216 ( 4832065.23 / 4832065.23 ); 4832065.23 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 5.81844 37 6 SYNC_INT 13.80216 1.46900 6.80216 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.80216 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 TEASER
M 64 "ARM 3/27 - IO - 1yr Penalty-SUBSEQUENT" WL 00 WAC 6.75000 ( 50659.33 / 50659.33 ); 50659.33 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO
6.50000 37 6 SYNC_INT 13.75000 1.00000 6.75000 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.75000 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 65 "ARM 3/27 - IO - 2yr Penalty-SUBSEQUENT" WL 00 WAC 6.72580 ( 643987.72 / 643987.72 ); 643987.72 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 5.53166 37 6 SYNC_INT 13.72580 1.50000 6.72580 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.72580 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 66 "ARM 3/27 - IO - 3yr Penalty-SUBSEQUENT" WL 00 WAC 6.68153 ( 14636776.23 / 14636776.23 ); 14636776.23 .5075 ..5075 360:0 360:0 360 NO_CHECK ARM LIBOR_6MO 6.44393 37 6 SYNC_INT 13.68153 1.48618 6.68153 0 0 INIT_PERCAP 3.00000 ORIG_GROSSRATE 6.68153 AMORT NONE FOR 60 GROUP 2 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT ); TEASER
M 67 "Fixed 10yr - 3yr Penalty-SUBSEQUENT" WL 00 WAC 6.87500 ( 70486.65 / 70486.65 ); 70486.65 .5075 ..5075 120:0 120:0 120 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 68 "Fixed 15yr - - No Penalty-SUBSEQUENT" WL 00 WAC 7.07628 ( 174952.31 / 174952.31 ); 174952.31 .5075 ..5075 180:0 180:0 180 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075
M 69 "Fixed 15yr - 3yr Penalty-SUBSEQUENT" WL 00 WAC 7.73677 ( 378767.50 / 378767.50 ); 378767.50 .5075 ..5075 180:0 180:0 180 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 70 "Fixed 20yr - - No Penalty-SUBSEQUENT" WL 00 WAC 7.87357 ( 237532.16 / 237532.16 ); 237532.16 .5075 ..5075 240:0 240:0 240 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075
M 71 "Fixed 20yr - 3yr Penalty-SUBSEQUENT" WL 00 WAC 7.43622 ( 205830.63 / 205830.63 ); 205830.63 .5075 ..5075 240:0 240:0 240 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 72 "Fixed 30yr - - No Penalty-SUBSEQUENT" WL 00 WAC 7.70318 ( 2804648.04 / 2804648.04 ); 2804648.04 .5075 ..5075 360:0 360:0 360 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075
M 73 "Fixed 30yr - 1yr Penalty-SUBSEQUENT" WL 00 WAC 7.13932 ( 449609.31 / 449609.31 ); 449609.31 .5075 ..5075 360:0 360:0 360 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 12 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 74 "Fixed 30yr - 2yr Penalty-SUBSEQUENT" WL 00 WAC 7.02727 ( 525851.32 / 525851.32 ); 525851.32 .5075 ..5075 360:0 360:0 360 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 24 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
M 75 "Fixed 30yr - 3yr Penalty-SUBSEQUENT" WL 00 WAC 7.32092 ( 8081400.88 / 8081400.88 ); 8081400.88 .5075 ..5075 360:0 360:0 360 NO_CHECK
GROUP 1 XPREFUND 1 at 0.5075 PREPAY_FLAG YM FOR 36 NONE ; YM_FORMULA ( #YM_HE6MO80PCT );
