Bear Stearns Asset Backed Securities Inactive
Filed: 30 Sep 03, 12:00am
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
New Issue Computational Materials
$283,018,000(approximate +/-10%)
Asset-Backed Certificates,
Series 2003-03
Bear Stearns Asset-Backed Securities, Inc.
Issuer
EMC Mortgage Corporation
Mortgage Loan Seller
Wells Fargo Bank Minnesota, National Association
Master Servicer
Bear, Stearns & Co. Inc.
Lead Manager
Banc of America Securities, LLC. Co Manager
All Statistical Information based upon Information as of August 1, 2003
September 18, 2003
BEAR
STEARNS
This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION
The information contained in the attached materials (the "Information") may include various forms of performance analysis, security characteristics and securities pricing estimates for the securities addressed. Please read and understand this entire statement before utilizing the Information. Should you receive Information that refers to the "Statement Regarding Assumptions and Other Information," please refer to this statement instead.
The Information is illustrative and is not intended to predict actual results which may differ substantially from those reflected in the Information. Performance analysis is based on certain assumptions with respect to significant factors that may prove not to be as assumed. You should understand the assumptions and evaluate whether they are appropriate for your purposes. Performance results are based on mathematical models that use inputs to calculate results. As with all models, results may vary significantly depending upon the value of the inputs given. Inputs to these models include but are not limited to: prepayment expectations (economic prepayment models, single expected lifetime prepayments or a vector of periodic prepayments), interest rate assumptions (parallel and nonparallel changes for different maturity instruments), collateral assumptions (actual pool level data, aggregated pool level data, reported factors or imputed factors), volatility assumptions (historically observed or implied current) and reported information (pay down factors, rate resets, and trustee statements). Models used in any analysis may be proprietary making the results difficult for any third party to reproduce. Contact your registered representative for detailed explanations of any modeling techniques employed in the Information.
The Information addresses only certain aspects of the applicable security's characteristics and thus does not provide a complete assessment. As such, the Information may not reflect the impact of all structural characteristics of the security, including call events and cash flow priorities at all prepayment speeds and/or interest rates. You should consider whether the behavior of these securities should be tested as assumptions different from those included in the Information. The assumptions underlying the Information, including structure and collateral, may be modified from time to time to reflect changed circumstances. Any investment decision should be based only on the data in the prospectus and the prospectus supplement or private placement memorandum (Offering Documents) and the then current version of the Information. Offering Documents contain data that is current as of their publication dates and after publication may no longer be complete or current. Contact your registered representative for Offering Documents, current Information or additional materials, including other models for performance analysis, which are likely to produce different results, and any further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a) represent our view, at the time determined, of the investment value of the securities between the estimated bid and offer levels, the spread between which may be significant due to market volatility or illiquidity, (b) do not constitute a bid by any person for any security, (c) may not constitute prices at which the securities could have been purchased or sold in any market, (d) have not been confirmed by actual trades, may vary from the value Bear Steams assigns any such security while in its inventory, and may not take into account the size of a position you have in the security, and (e) may have been derived from matrix pricing that uses data relating to other securities whose prices are more readily ascertainable to produce a hypothetical price based on the estimated yield spread relationship between the securities.
General Information:The data underlying the Information has been obtained from sources that we believe are reliable, but we do not guarantee the accuracy of the underlying data or computations based thereon. Bear Steams. and/or individuals thereof may have positions in these securities while the Information is circulating or during such period may engage in transactions with the issuer or its affiliates. We act as principal in transactions with you, and accordingly, you must determine the appropriateness for you of such transactions and address any legal, tax, or accounting considerations applicable to you. Bear Steams shall not be a fiduciary or advisor unless we have agreed in writing to receive compensation specifically to act in such capacities. If you are subject to ERISA, the Information is being furnished on the condition that it will not form a primary basis for any investment decision. The Information is not a solicitation of any transaction in securities which may be made only by prospectus when required by law, in which event you may obtain such prospectus from Bear Steams.
This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
Certificate Information to 10% Optional Clean-Up Call
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Certificate Ratings CE Pass-Thru Window WAL Certificate
Class Size (1) Moody's/S&P/Ftc Levels (1) Rate (mos) (yrs) Type
A-1 $195,462,000 Aaa/AAA/AAA 15.00%(2) LIBOR (3)(6) 1-30 1.000 Senior Sequential
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A-2 $45,104,000 Aaa/AAA/AAA 15.00%(2) LIBOR (3)(6) 30-62 3.953 Senior Sequential
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A-IO Notional (4) Aaa/AAA/AAA 15.00%(2) 5.00% N/A 1.244* NAS IO (30-mos)
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M-1 $16,981,000 Aa2/AA/AA 9.00%(2) LIBOR (5)(6) 46-62 4.411 Subordinate
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M-2 $15,566,000 A2/A/A 3.50%(2) LIBOR (5)(6) 40-62 4.030 Subordinate
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B $9,905,000 Baa2/BBB/BBB 0.00%(2) LIBOR (5)(6) 38-62 3.863 Subordinate
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| NOTES: | - Prepayment Pricing Speed Assumption is 35% CPR - - Certificates are subject to a variance of +/- 10% | - - Certificates will be priced to a 10% clean-up call - - *Class A-10 duration provided under column WAL |
| (1) | The class sizes and credit enhancement levels are subject to change based upon the final pool and rating agency evaluation of subordination, overcollateralization ("OC") and excess spread. |
| (2) | Credit enhancement for the Certificates will be provided by a combination of subordination, OC and excess spread all as more fully described herein. The expected initial credit enhancement percentages are as provided above. The initial OC amount will equal 0.00% as of the Cut-Off Date. Beginning on the distribution date in November 2003, excess spread will be applied to pay principal, resulting in a limited acceleration of the Certificates thereby creating OC up to an OC Target, expected to be approximately 3.10% of the Cut-Off Date unpaid principal balance of the mortgage loans. |
| (3) | The Pass-Through Rate for the Class A Certificates will be a floating rate based on One-Month LIBOR plus the respective Margin subject to the lesser of a) 11% and b) the Net Rate Cap. The Net Rate Cap will equal a) until the distribution date in March 2006, the weighted average of the net mortgage rates on the mortgage loans adjusted for the interest payable on the Class A-10 Certificates and b) thereafter, the weighted average of the net rates on the mortgage loans. On the first distribution date after the first possible optional termination date, the margin for the Class A Certificates will increase by 2 times. |
| (4) | The Class A-10 Certificates will not have a Certificate Principal Balance and will not be entitled to distributions of principal. The Class A-10 Certificates will accrue interest based on a Notional Amount equal to the lesser of $28,302,000 and the aggregate principal balance of the mortgage loans for the first 30 distribution dates at a fixed rate as shown above. |
| (5) | The Pass-Through Rate for the Class M-1, Class M-2 and Class B Certificates will be a floating rate based upon One-Month LIBOR plus the respective Margin, subject to the lesser of a) 11% and b) the Net Rate Cap. The Net Rate Cap will equal a) until the distribution date in March 2006, the weighted average of the net mortgage rates on the mortgage loans adjusted for the interest payable on the Class A-10 Certificates and b) thereafter, the weighted average of the net rates on the mortgage loans. On the first distribution date after the first possible optional termination date, the respective margins for the Class M and Class B Certificates will increase by 1.5 times. |
| (6) | The holders of the offered certificates will be entitled to the benefit of a Yield Maintenance Agreement (as described more fully herein) purchased with respect to the fixed-rate mortgage loans. If on a distribution date the amount of interest payable to the Certificates is limited by the Net Rate Cap, the trustee will withdraw from the Yield Maintenance Account an amount equal to the lesser of (a) the excess of the applicable Pass-Through Rate over the rate as so limited by the applicable Net Rate Cap and (b) the amount received under the Yield Maintenance Agreement. The Yield Maintenance Account, Cap Rates, Strike Prices and Counterparty are all further described herein. |
This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
THE COLLATERAL
| - | Conventional, one- to four-family, fixed and adjustable-rate mortgage loans secured by first and second liens on residential mortgage properties as briefly described in the table below. |
| - | The mortgage loans are serviced by EMC Mortgage Corp (approximately 88%) and Irwin (approximately 12%). As of the Cut-Off Date, no more than approximately 7% of the mortgage loans will be more than 30 days delinquent. |
| - | The mortgage loans have been acquired by the Mortgage Loan Seller from a variety of sources. Approximately 39% of the loans were acquired from a clean-up call of two United Companies securitizations (1997-B and 1997D) and approximately 15% was acquired from the clean-up call of IMC 1998-2. |
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Loan Index Principal % of Gross WAM AGE Oterm Gross Curr
Type Term Balance Pool WAC (mos.) (mos.) (mos.) Margin LTV FICO
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ARM 1 YR CMT $2,775,754 0.98% 8.80% 302 62 364 5.593 71% 615
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ARM 6MO LIB0R $153,694,732 54.3% 9.03% 295 55 350 5.89% 78% 582
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ARM COFI $378,699 0.13% 5.33% 255 178 433 0.00% 17% 682
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ARM OTHER $1,446,595 0.51% 8.52% 288 60 348 5.75% 79% 594
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Total ARMs: $158,295,780 55.9% 9.01% 295 55 351 5.883% 77% 583
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Fixed/1st Lien Balloon $2,751,291 0.97% 10.7% 99 66 165 -- 96% 580
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Fixed/2nd Lien Balloon $21,233,140 7.50% 10.6% 176 5 182 -- 97% 676
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Fixed/1st Lien Full Amort $86,289,344 30.5% 8.85% 290 28 319 -- 91% 636
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Fixed/2nd Lien Full Amort $14,448,918 5.11% 11.77% 251 15 268 -- 98% 641
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Total Fixed: $124,722,693 44.1% 9.53% 262 24 286 -- 92% 642
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Total Portfolio: $283,018,473 100% 9.24% 281 41 322 -- 84% 609
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All collateral information provided herein has been calculated using information as of
August 1, 2003 and may differ +/-10% from the final characteristics of the mortgage pool
as of the Cut-Off Date.
This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
Summary of Terms
| Depositor: | Bear Steams Asset Backed Securities, Inc. |
| Mortgage Loan Seller: | EMC Mortgage Corporation |
| Master Servicer: | Wells Fargo Bank Minnesota, National Association |
| Servicers: | EMC Mortgage Corp (88%) and Irwin Union Bank and Trust Company (12%). |
| Lead Manager: | Bear, Steams & Co. Inc. |
| Co Manager: | Banc of America, LLC. |
| Yield Maintenance Provider: | Bear Steams Financial Products Inc. ("BSFP"), a subsidiary of the Bear Steams Companies and an affiliate of Bear, Steams & Co. Inc. and EMC Mortgage Corporation. BSFP is rated Aaa/AAA by Moody's and S&P, respectively. |
| Trustee: | JPMorgan Chase Bank |
| Rating Agencies: | Moody's Investors Service, Standard & Poor's Ratings Group and FitchRatings. |
| Cut-off Date: | September 1, 2003 |
| Settlement Date: | On or about September 30, 2003 |
| Distribution Date: | 25th day of each month (or the next business day), commencing October 2003 |
| Optional Call: | 10% clean-up call |
| Registration: | The Certificates will be available in book-entry form through OTC. |
| Denominations: | The Certificates are issuable in minimum denominations of an original amount of $25,000 and multiples of $1,000 in excess thereof. |
| Federal Tax Aspects: | REMIC (one or more) |
| ERISA Considerations: | The Certificates generally may be purchased by, on behalf of, or with plan assets of, a Plan, if a prohibited transaction class exemption, based on the identity of the fiduciary making the decision to acquire such Certificates on behalf of the Plan or the source of funds for such acquisition, is applicable to the acquisition, holding and transfer of the Certificates. |
| SMMEA Eligibility: | None of the Certificates will be 'mortgage related securities' for purposes of the Secondary Mortgage Market Enhancement Act of 1984. |
| P&I Advances: | Each servicer will be obligated to advance, or cause to be advanced, cash advances with respect to delinquent payments of principal and interest on the mortgage loans to the extent that the related servicer reasonably believes that such cash advances can be repaid from future payments on the related mortgage loans. These cash advances are only intended to maintain a regular flow of scheduled interest and principal payments on the Certificates and are not intended to guarantee or insure against losses. The Master Servicer will be obligated to back-stop the servicer's obligation. |
| Net Mortgage Rate: | On any mortgage loan, the then applicable mortgage rate thereon minus the sum of (1) the Servicing Fee Rate (ranging from 0.25% to 0.50%) and (2) the Master Servicing Fee Rate (0.01 %). |
| Interest Payments: | On each Distribution Date holders of the Certificates will be entitled to receive the interest that has accrued on the Certificates at the related pass-through rate during the related accrual period, and any interest due on a prior Distribution Date that was not paid. The 'accrual period' for all of the Certificates, other than the Class A-10 Certificates, will be the period from and including the preceding distribution date (or from the settlement date with respect to the first distribution date) to and including the day prior to the current distribution date. The `accrual period' for the Class A-10 Certificates will be the calendar month immediately preceding the calendar month in which a Distribution Date occurs. The trustee will calculate interest on all of the Certificates, other than the Class A10 Certificates, on an actual/360 basis and for the Class A-10 Certificates on a 30/360 basis. |
| Principal Payments: | The Class M and B Certificates will not receive any principal payments until after the Stepdown Date or during a Trigger Event, unless the principal balance of the Class A Certificates is equal to zero. After the Stepdown Date, so long as a Trigger Event is not in effect, principal will be paid to the Class A, Class M and Class B Certificates as described under the "Priority of Payments." |
| Credit Enhancement: | Subordination: Initially, 15.00% for the Class A Certificates, 9.00% for the Class M-1 Certificates, 3.50 o/m for the Class M-2 Certificates and 0.00% for the Class B Certificates. |
| • Overcollateralization ("OC") |
| Initial (% Orig.) OC Target (o/a Orig.) Stepdown (o/m Current) OC Floor (% Orig.) | 0.00% 3.10% 6.20% 0.50% |
| • Excess spread, which will initially be equal to approximately 663 bps per annum (before losses), is expected to be available to cover losses and to build OC commencing on the November 2003 Distribution Date. See schedule of excess spread on page 15. |
| Interest Distribution Amount: | For any distribution date and each class of offered certificates, the amount of interest accrued during the related Accrual Period at the related Pass-Through Rate on the Certificate Principal Balance or Notional Amount of such Class immediately prior to such distribution date. |
| Principal Remittance Amount: | With respect to any distribution date, the principal portion of all scheduled or unscheduled collections received or advanced on each mortgage loan. |
This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
| Principal Distribution Amount: | With respect to any distribution date, the Basic Principal Distribution Amount plus the Extra Principal Distribution Amount. |
| Basic Principal Distribution Amount: | With respect to any distribution date, the excess of (i) the Principal Remittance Amount for such distribution date over (ii) the Overcollateralization Release Amount, if any, for such distribution date. |
| Extra Principal Distribution Amount: | With respect to any distribution date, the lesser of (x) the Net Monthly Excess Cash flow for such distribution date and (y) the Overcollateralization Deficiency Amount for such distribution date. |
| Net Monthly Excess Cash-flow: | For any distribution date, the excess of (x) the Available Distribution Amount for such distribution date over (y) the sum for such distribution date of (A) the Interest Distribution Amounts for the certificates, (B) the Unpaid Interest Shortfall Amounts for the Class A Certificates and (C) the Principal Distribution Amount. |
| Stepdown Date: | The earlier to occur of (i) the distribution date on which the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero and (ii) the later to occur of (x) the distribution date occurring in October 2006 and (y) the first distribution date for which the aggregate Certificate Principal Balance of the Class M and Class B Certificates and the Overcollateralized Amount divided by the aggregate Stated Principal Balance of the mortgage loans is greater than or equal to 21.20%. |
| Trigger Event: | A 'Trigger Event,' with respect to each Distribution Date after the Stepdown Date, exists if the three-month rolling average of the percent equal to the sum of the Stated Principal Balances of the mortgage loans that are 61 days or more delinquent or are in bankruptcy or foreclosure or are REO properties over the sum of the Stated Principal Balances of the mortgage loans as of the last day of the related due period, equals or exceeds 16% of the current principal balance of the mortgage loans or 50% of the aggregate amount of the Class M and Class B Certificates plus the Overcollateralized Amount and Losses are greater than certain amounts as specified in the Prospectus Supplement. |
| Priority of Payments: | On each Distribution Date, distributions on the Certificates, to the extent of available funds, will be made according to the following priority: Interest Distributions: |
| 1) | To the holders of the Class A and Class A-IO Certificates, the related Interest Distribution Amount and related Unpaid Interest Shortfall Amount; |
| 2) | To the holders of the Class M-1, Class M-2 and Class B Certificates, sequentially, the Interest Distribution Amount for each such class; |
This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
| Principal Distributions: Prior to the Stepdown Date or on which a Trigger Event is in effect |
| 1) | To the holders of the Class A Certificates, until the Certificate Principal Balance of each such class has been reduced to zero; |
| 2) | To the holders of the Class M-1, Class M-2 and Class B Certificates, sequentially, until the Certificate Principal Balance of each such class has been reduced to zero; |
| On or after the Stepdown Date on which a Trigger Event is not in effect |
| 1) | To the holders of the Class A Certificates, the Class A Principal Distribution Amount, until the Certificate Principal Balance of each such class has been reduced to zero; |
| 2) | To the holders of the Class M-1 Certificates, the Class M-1 Principal Distribution Amount until the Certificate Principal Balance thereof has been reduced to zero; |
| 3) | To the holders of the Class M-2 Certificates, the Class M-2 Principal Distribution Amount until the Certificate Principal Balance thereof has been reduced to zero; and |
| 4) | To the holders of the Class B Certificates, the Class B Principal Distribution Amount until the Certificate Principal Balance thereof has been reduced to zero. |
| Net Monthly Excess Cashflow: |
| 1) | To the holders of the class or classes of Certificates then entitled to receive distributions in respect of principal, in an amount equal to any Extra Principal Distribution Amount, payable to such holders as part of the Principal Distribution Amount; |
| 2) | To the holders of the Class M-1 Certificates, in an amount equal to the Unpaid Interest Shortfall Amount and any Allocated Realized Loss Amount, in that order, for such certificates; |
| 3) | To the holders of the Class M-2 Certificates, in an amount equal to the Unpaid Interest Shortfall Amount and any Allocated Realized Loss Amount, in that order, for such certificates; |
| 4) | To the holders of the Class B Certificates, in an amount equal to the Unpaid Interest Shortfall Amount and any Allocated Realized Loss Amount, in that order, for such certificates; and |
| 5) | To the holders of the Class B-IO Certificates and the Class R Certificates, as provided in the pooling and servicing agreement. |
| Class A Principal Distribution Amount: | For any applicable distribution date, an amount equal to the excess (if any) of (A) the Certificate Principal Balance of the Class A Certificates immediately prior to such distribution date over (B) the lesser of (x) 63.80% of the aggregate Stated Principal Balance of the mortgage loans, as of the last day of the related due period and (y) the aggregate Stated Principal Balance of the mortgage loans, as of the last day of the related due period less the Overcollateralization Floor. |
This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
| Class M-1 Principal Distribution Amount: | For any applicable distribution date, an amount equal to the excess (if any) of (A) the sum of (1) the Certificate Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount for that distribution date) and (2) the Certificate Principal Balance of the Class M-1 Certificates immediately prior to such distribution date over (B) the lesser of (x) 75.80% of the aggregate Stated Principal Balance of the mortgage loans as of the last day of the related due period and (y) the aggregate Stated Principal Balance of the mortgage loans as of the last day of the related due period less the Overcollateralization Floor. |
| Class M-2 Principal Distribution Amount: | For any applicable distribution date, an amount equal to the excess (if any) of (A) the sum of (1) the Certificate Principal Balance of the Class A and Class M-1 Certificates (after taking into account the payment of the Class A and Class M-1 Principal Distribution Amounts for that distribution date) and (2) the Certificate Principal Balance of the Class M-2 Certificates immediately prior to such distribution date over (B) the lesser of (x) 86.80% of the aggregate Stated Principal Balance of the mortgage loans as of the last day of the related due period and (y) the aggregate Stated Principal Balance of the mortgage loans as of the last day of the related due period less the Overcollateralization Floor. |
| Class B Principal Distribution Amount: | For any applicable distribution date, an amount equal to the excess (if any) of (A) the sum of (1) the Certificate Principal Balance of the Class A, Class M-1 and Class M-2 Certificates (after taking into account the payment of the Class A, Class M-1 and Class M-2 Principal Distribution Amounts for that distribution date) and (2) the Certificate Principal Balance of the Class B Certificates immediately prior to such distribution date over (B) the lesser of (x) 93.80% of the aggregate Stated Principal Balance of the mortgage loans as of the last day of the related due period and (y) the aggregate Stated Principal Balance of the mortgage loans as of the last day of the related due period less the Overcollateralization Floor. |
| Overcollateralization Deficiency Amount: | For any distribution date, the amount, if any, by which the Overcollateralization Target Amount exceeds the Overcollateralized Amount on such distribution date. |
| Overcollateralization Release Amount: | For any Distribution Date, the lesser of (x) the Principal Remittance Amount for such Distribution Date and (y) the excess, if any, of (i) the Overcollateralized Amount for such Distribution Date (assuming 100% of the Principal Remittance Amount is applied as a principal payment on such Distribution Date) over (ii) the Overcollateralization Target Amount for such Distribution Date. |
| Overcollateralization Target Amount: | Equal to 3.10% of the Cut-Off Date unpaid principal balance. As of August 1, 2003 the OC Target Amount would have been approximately $8.77 million. |
| Overcollateralized Amount: | For any distribution date, the amount, if any, by which (i) the aggregate principal balance of the mortgage loans exceeds (ii) the aggregate Certificate Principal Balance of the offered certificates (other than the Class A-10 Certificates) as of such distribution date. |
| Realized Losses: | Any loss on a mortgage loan attributable to the mortgagor's failure to make any payment of principal or interest as required under the mortgage note. |
This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
| Allocation of Losses: | Any Realized Losses on the mortgage loans will be allocated on any distribution date, first, to Net Monthly Excess Cashflow, second, in reduction of the Overcollateralization Amount, third, to the Class B Certificates, fourth, to the Class M-2 Certificates and fifth, to the Class M-1 Certificates. The pooling and servicing agreement does not permit the allocation of Realized Losses to the Class A Certificates. Once Realized Losses have been allocated to the Class B or Class M Certificates, such amounts with respect to such certificates will no longer accrue interest. |
| Allocated Realized Loss Amount: | With respect to Class M-1, Class M-2 or Class B Certificates and any distribution date, an amount equal to the sum of any Realized Loss allocated to that class of Certificates on that distribution date and any Allocated Realized Loss Amount for that class remaining unpaid from the previous distribution date. |
| Yield Maintenance Agreement: | The issuer will benefit from a series of interest rate cap payments from the Yield Maintenance Provider pursuant to a yield maintenance agreement purchased with respect to the fixed rate mortgage loans, which is intended to partially mitigate the interest rate risk that could result from the difference between the Formula Rate on the Certificates and the Net WAC Cap Rate (the "Yield Maintenance Agreement"). On each Distribution Date, payments under the Yield Maintenance Agreement will be made on an amount equal to the lesser of (a) the aggregate Principal Balance of the fixed rate mortgage loans as of such Distribution Date and (b) the notional amount schedule based on an amortization schedule applying 20n/n CPR through November 2008 (assuming no losses or delinquencies), and zero thereafter. It is anticipated that the Yield Maintenance will include the following terms: |
Notional Balance Strike Rate Months
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Fixed Rate Loans @ 20% CPR 7.00% 1-30
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Fixed Rate Loans @ 20% CPR 18.40n/n 31-62
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This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT AND HAS BEEN PROVIDED BASED
ON INFORMATION AS OF AUGUST 1, 2003
- ---------------------------------------------------------------------------------------------- Loan Characteristic Fixed Pool Adjustable Pool Total Pool - ---------------------------------------------------------------------------------------------- Expected Pool Balance $124,722,693.51 $158,295,780.34 $283,018,473.85 Average Balance $60,899.75 $74,632.62 $67,886.42 %Conforming Balances 91.16% 92.86% 91.73% - ---------------------------------------------------------------------------------------------- WA Gross WAC 9.529 9.057% 9.238% Range of Gross WAC 5.000%- 17.625% 2.250%- 14.900% 2.250%- 17.625% WA Net WAC (%) 9.088% 8.547% 8.759% WAM (mos) 262 296 281 WA Age (mos) 24 55 41 WA Orig. Term mos 286 351 322 - ---------------------------------------------------------------------------------------------- Fixed Rate Balloon 19.23% N/A 8.47% Fixed Rate Fully Amortizing 80.77% N/A 35.59% Adjustable Rate N/A 100.00% 55.93% - ---------------------------------------------------------------------------------------------- First Lien / Second Lien 71.391%/ 28.609% 99.82%/ 0.18% 87.29%/12.71% - ---------------------------------------------------------------------------------------------- Current Balance $0-$49,999 28.36% 17.50% 22.46% $50,000-$99,999 20.80% 38.61% 30.82% $100,000-$149,999 11.77% 19.15% 15.82% $150,000-$199,999 11.61% 7.53% 9.32% $200,000 - $249,999 8.53% 5.20% 6.68% $250,000 - $299,999 6.54% 3.71% 4.72% $300,000 - $349,999 4.37% 2.59% 3.65% $350,000 - $399,999 2.13% 2.13% 2.03% $400,000 - $449,999 0.67% 0.81% 0.60% $450,000 - $499,999 1.52% 2.04% 1.85% $500,000-$549,999 ---% 0.72% 0.61% $550,000-$599,999 0.45% ---% 0.68% $600,000 - $649,999 1.54% ---% 0.25% $650,000 and above 1.70% ---% 0.50% - ---------------------------------------------------------------------------------------------- Interest Rate Up to 5.999% 6.61% 0.32% 3.32% 6.000% - 6.999% 10.25% 3.27% 6.52% 7.000%-7.999% 16.75% 17.91% 17.41% 8.000%-8.999% 11.42% 36.13% 25.21% 9.000%-9.999% 9.39% 19.71% 15.23% 10.000% - 10.999% 14.12% 14.30% 14.04% 11.000%- 11.999% 15.93% 5.33% 9.92% 12.000%-12.999% 9.11% 2.13% 5.04% 13.000%-13.999% 4.40% 0.67% 2.29% 14.000%-14.999% 1.60% 0.23% 0.84% 15.000% and above 0.41% ----% 0.18% - -----------------------------------------------------------------------------------------
This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT AND HAS BEEN PROVIDED BASED
ON INFORMATION AS OF AUGUST 1, 2003
- ---------------------------------------------------------------------------------------------- Loan Characteristic Fixed Pool Adjustable Pool Total Pool - ---------------------------------------------------------------------------------------------- Age (Months) 0-12 67.03% 20.61% 41.06% 13-24 5.07% 4.25% 4.61% 25-36 1.29% 0.21% 0.69% 37-48 0.20% 0.36% 0.29% 49-60 0.88% 0.16% 0.48% 61-72 2.15% 54.96% 31.69% 73-84 23.06% 19.16% 20.88% 85-96 0.18% 0.02% 0.09% 97 and Greater 0.14% 0.27% 0.21% Original Term 1-15 Years 33.86% 2.81% 16.49% 16-30 Years 66.14% 97.19% 83.51% - ---------------------------------------------------------------------------------------------- Credit Score Weighted Average 644 583 608.89 Not Available 0.12% .47% 0.32% Up to 549 16.98% 38.72% 29.13% 550 to 599 9.24% 22.53% 16.67% 600 to 649 18.82% 16.40% 19.15% 650 to 699 31.21% 10.05% 19.94% 700 and Greater 23.63% 7.84% 14.80% - ---------------------------------------------------------------------------------------------- Current CLTV Weighted Average 92.12% 77.99% 84.22% % LTV's > 80e% 66.64% 52.08% 53.97% % of LTV's > 80% with MI 2.41% 1.57% 2.15% Insurance - ---------------------------------------------------------------------------------------------- Original CLTV Weighted Average 94.60% 81.48% 87.26% Up to 10.00% 0.29% 0.01% 0.14% 10.01 - 20.00% 0.10% 0.02% 0.06% 20.01% - 30.00% 0.11% 0.07% 0.08% 30.01% - 40.00% 0.16% 0.66% 0.44% 40.01% - 50.00% 0.73% 0.89% 0.82% 50.01% - 60.00% 1.74% 2.57% 2.20% 60.01% - 70.00% 4.39% 10.60% 7.86% 70.01% - 80.00% 20.11% 33.10% 27.38% 80.01% - 90.00% 14.16% 34.21% 25.37% 90.01% -100.00% 35.83% 17.34% 25.49% 100.01 % and above 22.37% 0.53% 10.16% - ----------------------------------------------------------------------------------------------
This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT AND HAS BEEN PROVIDED BASED
ON INFORMATION AS OF AUGUST 1, 2003.
- --------------------------------------------------------------------------------------------------------- Loan Characteristic Total Pool - --------------------------------------------------------------------------------------------------------- Occupancy Status Owner Occupied 94.34% 96.48% 95.54% Investor Property 3.30% 2.60% 2.91% Second Home 2.36% 0.91% 1.55% Loan Purpose Purchase Money 36.41% 24.21% 29.59% Construction ---% 1.60% 0.89% Cash-Out Refi 53.21% 69.85% 62.52% Rate/Term Refi 9.93% 3.23% 6.18% Other 0.46% 1.11% 0.82% - --------------------------------------------------------------------------------------------------------- Insurance Conventional w/MI 1.66% 0.81% 1.18% Conventional w/o MI 98.34% 99.19% 98.82% - --------------------------------------------------------------------------------------------------------- Geographic Concentration (>5%) California 26.78% 12.48% 18.78% Florida 7.82% 5.11% 6.31% Michigan ---% 6.43% 5.09% New York ---% 5.26% ---% - --------------------------------------------------------------------------------------------------------- Property Type Single Family Detached 72.32% 87.89% 81.03% Condominium 3.85% 2.06% 2.85% 2-4 Family 6.21% 4.64% 5.33% Planned Unit Development 11.56% 3.52% 7.06% Mobile/Manufactured Home 3.94% 0.70% 2.13% Townhouse 0.34% 0.35% 0.35% Other 0.47% 0.13% 0.97% - --------------------------------------------------------------------------------------------------------- Loan Type Fixed Rate Balloon 19.23% ---% 8.47% Fixed Rate Fully Amortizing 80.77% ---% 35.59% 1-YR CMT ---% 1.75% 0.98% W SJ 6-Month LIBOR ---% 97.09% 54.31% Other ---% 0.90% 0.50% - ---------------------------------------------------------------------------------------------------------
This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT AND HAS BEEN PROVIDED BASED
ON INFORMATION AS OF AUGUST 1, 2003.
- --------------------------------------------------------------------------------------------------- Loan Characteristic Fixed Pool Adjustable Total Pool - --------------------------------------------------------------------------------------------------- Gross Margin Weighted Average (Arms Only) 5.883% 5.883% Fixed Rate Mortgage Loans 100.00% N/A 44.06% Up to 2.999% ---% 0.70% 0.39% 3.000% - 3.999% ---% 0.41% 0.23% 4.000% - 4.999% ---% 20.44% 11.43% 5.000%-5.999% ---% 35.04% 19.596% 6.000%-6.999% ----% 28.50% 15.942% 7.000% - 7.999% ----% 9.784% 5.473% 8.000% and above 2.87% - --------------------------------------------------------------------------------------------------- Maximum Interest Rate Weighted Average (Arms Only) 14.900% 14.900% Fixed Rate Mortgage Loans 100.00% N/A 44.06% Up to 11.999% ---% 0.75% 0.42% 12.000% - 12.999% ---% 2.47% 1.38% 13.000% - 13.999% ---% 6.70% 3.75% 14.000% - 14.999% ---% 11.01% 6.16% 15.000% - 15.999% ---% 21.13% 11.82% 16.000% - 16.999% ---% 39.34% 22.00% 17.000%- 17.999% ---% 13.87% 7.76% 18.000%- 18.999% ---% 3.09% 1.73% 19.000%- 19.999% ---% 1.16% 0.65% 20.000% and above ---% 0.48% 0.27% - --------------------------------------------------------------------------------------------------- Months to Next Rate Adjustment Weighted Average (Arms Only) 8% 8% Fixed Rate Mortgage Loans 100.00% N/A 44.06% 0-3 ---% 44.91% 25.12% 4-7 ---% 32.26% 18.04% 8-11 ---% 2.00% 1.12% 12-15 ---% 1.79% 1.00% 16-19 ---% 2.01% 1.12% 20-23 ---% 6.22% 3.48% 24-39 ---% 7.96% 4.45% 40-43 ---% 0.99% 0.55% 44-47 ---% 1.22% 0.68% 48-51 ---% 0.63% 0.35% - ---------------------------------------------------------------------------------------------------
This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
- ------------------------------------------------------------------------------------------------------------
Net Rate Cap % Net Rate Cap % Excess Spread
Distribution No Yield Maintenance With Yield Maintenance No losses, 35% CPR
Period Date Rates at 11% Rates at 11% Rates Constant
- ------------------------------------------------------------------------------------------------------------
1 25-Oct-03 8.2592 9.9581 6.63
2 25-Nov-03 7.9745 9.6733 6.58
3 25-Dec-03 8.2207 9.9195 6.61
4 25-Jan-04 7.9358 9.6345 6.53
5 25-Feb-04 8.077 9.7756 6.49
6 25-Mar-04 8.8286 10.527 6.56
7 25-Apr-04 8.237 9.9353 6.42
8 25-May-04 8.4941 10.1922 6.45
9 25-Jun-04 8.1964 9.8944 6.36
10 25-Jul-04 8.4443 10.142 6.38
11 25-Aug-04 8.3081 10.0056 6.28
12 25-Sep-04 8.4909 10.1882 6.24
13 25-Oct-04 8.7457 10.4428 6.25
14 25-Nov-04 8.633 10.3298 6.13
15 25-Dec-04 8.8904 10.5869 6.14
16 25-Jan-05 8.5731 10.2693 6.04
17 25-Feb-05 8.7033 10.3991 5.99
18 25-Mar-05 9.8339 11.5294 6.11
19 25-Apr-05 8.8483 10.5433 5.88
20 25-May-05 9.6825 11.3771 5.89
21 25-Jun-05 9.3339 11.028 5.77
22 25-Jul-05 9.6061 11.2997 5.77
23 25-Aug-05 9.4192 11.1123 5.64
24 25-Sep-05 9.5878 11.2803 5.58
25 25-Oct-05 9.8641 11.5559 5.57
26 25-Nov-05 9.9523 11.6436 5.44
27 25-Dec-05 10.2377 11.9283 5.43
28 25-Jan-06 9.8609 11.5508 5.29
29 25-Feb-06 9.9749 11.6641 5.21
30 25-Mar-06 11.2228 12.3203 5.34
31 25-Apr-06 11.546 12.643 6.58
32 25-May-06 11.9378 13.0344 6.63
33 25-Jun-06 11.5536 12.6496 6.54
34 25-Jul-06 11.9396 13.0351 6.6
35 25-Aug-O6 11.6852 12.7802 6.51
36 25-Sep-06 11.8955 12.99 6.49
37 25-Oct-06 12 .2931 1 3.387 6.55
- -------------------------------------------------------------------------------------------------
This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
| BEAR STEARNS | Computational Materials for Bear Stearns Asset Backed Securities, Inc. Asset-Backed Certificates, Series 2003-03 |
- ------------------------------------------------------------------------------------------------------------
No Yield Maintenance With Yield Maintenance No losses, 35% CPR
Distribution Net Rate Cap % Net Rate Cap % Rates Constant
Period Date Rates at 11% Rates at 11% Excess Spread
- ------------------------------------------------------------------------------------------------------------
38 25-Nov-06 11.8975 12.9909 6.39
39 25-Dec-06 12.2951 13.388 6.44
40 25-Jan-07 11.8995 12.9918 6.44
41 25-Feb-07 11.9006 12.9922 6.52
42 25-Mar-07 13.412 14.5031 6.76
43 25-Apr-07 12.1152 13.2057 6.58
44 25-May-07 12.5263 13.6162 6.67
45 25-Jun-07 12.1233 13.2126 6.64
46 25-Jul-07 12.5286 13.6173 6.73
47 25-Aug-07 12.1256 13.2137 6.67
48 25-Sep-07 12.2577 13.3451 6.68
49 25-Oct-07 12.6676 13.7543 6.74
50 25-Nov-07 12.2602 13.3463 6.68
51 25-Dec-07 12.6701 13.7556 6.75
52 25-Jan-08 12.2627 13.3475 6.69
53 25-Feb-08 12.2639 13.3481 6.69
54 25-Mar-08 13.1124 14.1958 6.83
55 25-Apr-08 12.2677 13.3505 6.7
56 25-May-08 12.684 13.7661 6.77
57 25-Jun-08 12.2761 13.3575 6.71
58 25-Jul-08 12.6866 13.7674 6.77
59 25-Aug-08 12.2787 13.3587 6.71
60 25-Sep-08 12.28 13.3593 6.7
61 25-Oct-08 12.6907 13.7693 6.77
62 25-Nov-08 12.2826 13.3605 6.7
63 25-Dec-08 12 60" 13.7705 0
- ----------------------------------------------------------------------------------------------------
This information should be considered only after reading Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.