EXHIBIT 99
BACM, Series 2004-4, Class A6
Price/Yield
- ------------------------------------------------------------------------------------------------------------------------------------
Given: Price Base Case Scen1 Scen2 Scen3 Scen4
- ------------------------------------------------------------------------------------------------------------------------------------
100-16 Yield 4.839 4.838 4.837 4.838 4.838
- ------------------------------------------------------------------------------------------------------------------------------------
Spread 31 32 34 32 31
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 9.53 9.48 9.27 9.4 9.51
- ------------------------------------------------------------------------------------------------------------------------------------
Mod Durn 7.465 7.436 7.302 7.385 7.452
- ------------------------------------------------------------------------------------------------------------------------------------
Principal Window Sep13 to Jul14 Aug13 to Jul14 Jul13 to Apr14 Dec11 to Jul14 Jan13 to Jul14
- ------------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------
Given: Price Scen5 Scen6 Scen7
- ---------------------------------------------------------------
100-16 4.833 4.838 4.838
- ---------------------------------------------------------------
39 32 33
- ---------------------------------------------------------------
8.8 9.44 9.37
- ---------------------------------------------------------------
6.989 7.406 7.366
- ---------------------------------------------------------------
Sep11 to Jul14 Dec11 to Sep14 Jan12 to Jul14
- ---------------------------------------------------------------
Base Case 0 CPY; 0 CDR
Scen1 50 CPY; 0 CDR
Scen2 100 CPY; 0 CDR
Scen3 0 CPY; 1 CDR, 25 Severity, 12 Month Lag
Scen4 0 CPY; 1 CDR, 50 Severity, 12 Month Lag
Scen5 0 CPY; 5 CDR, 25 Severity, 12 Month Lag
Scen6 0 CPY; 5 CDR, 50 Severity, 12 Month Lag
Scen7 50 CPY; 1.8 CDR, 40 Severity, 12 Month Lag
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. The
Information is provided solely by Bear Stearns, not as agent for any issuer, and
although it may be based on data supplied to it by an issuer, the issuer has not
participated in its preparation and makes no representations regarding its
accuracy or completeness. 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 (econometric 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
(paydown 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 modelling 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 at
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 Stearns 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 Stearns 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
Stearns 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 Stearns.
BACM, Series 2004-4, Class A6
Price/Yield
Given: Price Base Case Scen1 Scen2 Scen3 Scen4
- ------------------------------------------------------------------------------------------------------------------------------------
100-16 Yield 4.839 4.838 4.837 4.838 4.838
- ------------------------------------------------------------------------------------------------------------------------------------
Spread 31 32 34 32 31
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 9.53 9.48 9.27 9.40 9.51
- ------------------------------------------------------------------------------------------------------------------------------------
Mod Durn 7.465 7.436 7.302 7.385 7.452
- ------------------------------------------------------------------------------------------------------------------------------------
Principal Window Sep13 to Jul14 Aug13 to Jul14 Jul13 to Apr14 Dec11 to Jul14 Jan13 to Jul14
- ------------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
Given: Price Scen5 Scen6 Scen7 Scen8 Scen9
- -------------------------------------------------------------------------------------------------
100-16 4.833 4.838 4.838 4.839 4.840
- -------------------------------------------------------------------------------------------------
39 32 33 31 28
- -------------------------------------------------------------------------------------------------
8.8 9.44 9.37 9.53 9.80
- -------------------------------------------------------------------------------------------------
6.989 7.406 7.366 7.465 7.632
- -------------------------------------------------------------------------------------------------
Sep11 to Jul14 Dec11 to Sep14 Jan12 to Jul14 Sep13 to Jul14 Sep13 to Jan16
- -------------------------------------------------------------------------------------------------
Base Case 0 CPY; 0 CDR
Scen1 50 CPY; 0 CDR
Scen2 100 CPY; 0 CDR
Scen3 0 CPY; 1 CDR, 25 Severity, 12 Month Lag
Scen4 0 CPY; 1 CDR, 50 Severity, 12 Month Lag
Scen5 0 CPY; 5 CDR, 25 Severity, 12 Month Lag
Scen6 0 CPY; 5 CDR, 50 Severity, 12 Month Lag
Scen7 50 CPY; 1.8 CDR, 40 Severity, 12 Month Lag
Scen8 Extend all ARD Loans 24 Months
Scen9 Balloon Default 50% of each Loan 24 Months
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. The
Information is provided solely by Bear Stearns, not as agent for any issuer, and
although it may be based on data supplied to it by an issuer, the issuer has not
participated in its preparation and makes no representations regarding its
accuracy or completeness. 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 (econometric 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
(paydown 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 modelling 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 at
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 Stearns 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 Stearns 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
Stearns 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 Stearns.
BACM, Series 2004-4, Class A6
Price/Yield
- ------------------------------------------------------------------------------------------------------------------------------------
Given: Price Base Case Scen1 Scen2 Scen3 Scen4
- ------------------------------------------------------------------------------------------------------------------------------------
100-16 Yield 4.839 4.838 4.837 4.838 4.838
- ------------------------------------------------------------------------------------------------------------------------------------
Spread 31 32 34 32 31
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 9.53 9.48 9.27 9.40 9.51
- ------------------------------------------------------------------------------------------------------------------------------------
Mod Durn 7.465 7.436 7.302 7.385 7.452
- ------------------------------------------------------------------------------------------------------------------------------------
Principal Window Sep13 to Jul14 Aug13 to Jul14 Jul13 to Apr14 Dec11 to Jul14 Jan13 to Jul14
- ------------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
Given: Price Scen5 Scen6 Scen7 Scen8 Scen9
- -------------------------------------------------------------------------------------------------
100-16 4.833 4.838 4.838 4.839 4.840
- -------------------------------------------------------------------------------------------------
39 32 33 31 28
- -------------------------------------------------------------------------------------------------
8.8 9.44 9.37 9.53 9.80
- -------------------------------------------------------------------------------------------------
6.989 7.406 7.366 7.465 7.632
- -------------------------------------------------------------------------------------------------
Sep11 to Jul14 Dec11 to Sep14 Jan12 to Jul14 Sep13 to Jul14 Sep13 to Jan16
- -------------------------------------------------------------------------------------------------
Base Case 0 CPY; 0 CDR
Scen1 50 CPY; 0 CDR
Scen2 100 CPY; 0 CDR
Scen3 0 CPY; 1 CDR, 25 Severity, 12 Month Lag
Scen4 0 CPY; 1 CDR, 50 Severity, 12 Month Lag
Scen5 0 CPY; 5 CDR, 25 Severity, 12 Month Lag
Scen6 0 CPY; 5 CDR, 50 Severity, 12 Month Lag
Scen7 50 CPY; 1.8 CDR, 40 Severity, 12 Month Lag
Scen8 Extend all ARD Loans 24 Months
Scen9 Balloon Default 50% of each Loan 24 Months
**Exluding Dallas Market Center & Roxborough Portfolio
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. The
Information is provided solely by Bear Stearns, not as agent for any issuer, and
although it may be based on data supplied to it by an issuer, the issuer has not
participated in its preparation and makes no representations regarding its
accuracy or completeness. 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 (econometric 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
(paydown 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 modelling 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 at
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 Stearns 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 Stearns 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
Stearns 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 Stearns.
Price/Yield Table - Class A-1
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 33,000,000
Settlement Date: 10/12/04 Initial Pass-Through Rate: 3.4550%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ---------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 0.00% 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ---------------------------------------------------------------------------------------------------------------------------
99.75000000 3.57 3.57 3.57 3.57 3.57
99.81250000 3.53 3.53 3.53 3.53 3.53
99.87500000 3.50 3.50 3.50 3.50 3.50
99.93750000 3.47 3.47 3.47 3.47 3.47
100.00000000 3.43 3.43 3.43 3.43 3.43
100.06250000 3.40 3.40 3.40 3.40 3.40
100.12500000 3.37 3.37 3.37 3.37 3.37
100.18750000 3.34 3.34 3.34 3.34 3.34
100.25000000 3.30 3.30 3.30 3.30 3.30
100.31250000 3.27 3.27 3.27 3.27 3.27
100.37500000 3.24 3.24 3.24 3.24 3.24
100.43750000 3.21 3.21 3.21 3.21 3.21
100.50000000 3.17 3.17 3.17 3.17 3.17
100.56250000 3.14 3.14 3.14 3.14 3.14
100.62500000 3.11 3.11 3.11 3.11 3.11
100.68750000 3.08 3.08 3.08 3.08 3.08
100.75000000 3.04 3.04 3.04 3.04 3.04
WAL (Yrs) 2.02 2.02 2.02 2.02 2.02
Mod Dur 1.91 1.91 1.91 1.91 1.91
FirstPrinPay 11/10/2004 11/10/2004 11/10/2004 11/10/2004 11/10/2004
Maturity 7/10/2008 7/10/2008 7/10/2008 7/10/2008 7/10/2008
Prin Window (Months) 45 45 45 45 45
- ---------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -------------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class A-2
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 48,000,000
Settlement Date: 10/12/04 Initial Pass-Through Rate: 4.041%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 0.00% 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 4.05 4.05 4.05 4.05 4.05
100.06250000 4.03 4.03 4.03 4.03 4.03
100.12500000 4.02 4.02 4.02 4.02 4.02
100.18750000 4.00 4.00 4.00 4.00 4.00
100.25000000 3.99 3.99 3.99 3.98 3.98
100.31250000 3.97 3.97 3.97 3.97 3.97
100.37500000 3.95 3.95 3.95 3.95 3.95
100.43750000 3.94 3.94 3.94 3.94 3.94
100.50000000 3.92 3.92 3.92 3.92 3.92
100.56250000 3.91 3.91 3.91 3.90 3.90
100.62500000 3.89 3.89 3.89 3.89 3.89
100.68750000 3.87 3.87 3.87 3.87 3.87
100.75000000 3.86 3.86 3.86 3.86 3.85
100.81250000 3.84 3.84 3.84 3.84 3.84
100.87500000 3.83 3.83 3.83 3.83 3.82
100.93750000 3.81 3.81 3.81 3.81 3.81
101.00000000 3.80 3.79 3.79 3.79 3.79
WAL (Yrs) 4.34 4.33 4.32 4.31 4.26
Mod Dur 3.91 3.90 3.89 3.88 3.85
FirstPrinPay 7/10/2008 7/10/2008 7/10/2008 7/10/2008 7/10/2008
Maturity 4/10/2009 4/10/2009 4/10/2009 3/10/2009 2/10/2009
Prin Window (Months) 10 10 10 9 8
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- --------------------------------------------------------------------- ---------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class A-3
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 240,000,000
Settlement Date: 10/12/04 Initial Pass-Through Rate: 4.128%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 0.00% 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 4.14 4.14 4.14 4.14 4.14
100.06250000 4.12 4.12 4.12 4.12 4.12
100.12500000 4.11 4.11 4.11 4.11 4.11
100.18750000 4.09 4.09 4.09 4.09 4.09
100.25000000 4.08 4.08 4.08 4.08 4.08
100.31250000 4.07 4.07 4.07 4.06 4.06
100.37500000 4.05 4.05 4.05 4.05 4.05
100.43750000 4.04 4.04 4.04 4.04 4.03
100.50000000 4.02 4.02 4.02 4.02 4.02
100.56250000 4.01 4.01 4.01 4.01 4.00
100.62500000 3.99 3.99 3.99 3.99 3.99
100.68750000 3.98 3.98 3.98 3.98 3.97
100.75000000 3.96 3.96 3.96 3.96 3.96
100.81250000 3.95 3.95 3.95 3.95 3.94
100.87500000 3.93 3.93 3.93 3.93 3.93
100.93750000 3.92 3.92 3.92 3.92 3.91
101.00000000 3.90 3.90 3.90 3.90 3.90
WAL (Yrs) 4.73 4.73 4.72 4.71 4.59
Mod Dur 4.22 4.22 4.21 4.20 4.10
FirstPrinPay 4/10/2009 4/10/2009 4/10/2009 3/10/2009 2/10/2009
Maturity 6/10/2010 6/10/2010 6/10/2010 6/10/2010 6/10/2010
Prin Window (Months 15 15 15 16 17
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -------------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class A-4
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 225,000,000
Settlement Date: 10/12/04 Initial Pass-Through Rate: 4.502%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 0.00% 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 4.52 4.52 4.52 4.52 4.52
100.06250000 4.51 4.51 4.51 4.51 4.51
100.12500000 4.50 4.50 4.50 4.50 4.50
100.18750000 4.49 4.49 4.49 4.49 4.49
100.25000000 4.48 4.48 4.48 4.48 4.48
100.31250000 4.47 4.47 4.47 4.47 4.47
100.37500000 4.46 4.46 4.46 4.46 4.46
100.43750000 4.45 4.45 4.45 4.45 4.44
100.50000000 4.44 4.44 4.44 4.44 4.43
100.56250000 4.43 4.43 4.42 4.42 4.42
100.62500000 4.41 4.41 4.41 4.41 4.41
100.68750000 4.40 4.40 4.40 4.40 4.40
100.75000000 4.39 4.39 4.39 4.39 4.39
100.81250000 4.38 4.38 4.38 4.38 4.38
100.87500000 4.37 4.37 4.37 4.37 4.37
100.93750000 4.36 4.36 4.36 4.36 4.35
101.00000000 4.35 4.35 4.35 4.35 4.34
WAL (Yrs) 6.67 6.66 6.64 6.61 6.48
Mod Dur 5.65 5.64 5.63 5.61 5.51
FirstPrinPay 6/10/2010 6/10/2010 6/10/2010 6/10/2010 6/10/2010
Maturity 9/10/2011 9/10/2011 9/10/2011 9/10/2011 6/10/2011
Prin Window (Months) 16 16 16 16 13
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -------------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class A-5
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 107,000,000
Settlement Date: 10/12/04 Initial Pass-Through Rate: 4.576%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 0.00% 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 4.60 4.60 4.60 4.60 4.60
100.06250000 4.59 4.59 4.59 4.59 4.59
100.12500000 4.58 4.58 4.58 4.58 4.58
100.18750000 4.57 4.57 4.57 4.57 4.57
100.25000000 4.56 4.56 4.56 4.56 4.56
100.31250000 4.55 4.55 4.55 4.55 4.55
100.37500000 4.54 4.54 4.54 4.54 4.54
100.43750000 4.53 4.53 4.53 4.53 4.53
100.50000000 4.52 4.52 4.52 4.52 4.52
100.56250000 4.51 4.51 4.51 4.51 4.50
100.62500000 4.50 4.50 4.50 4.50 4.49
100.68750000 4.49 4.49 4.49 4.49 4.48
100.75000000 4.48 4.48 4.48 4.48 4.47
100.81250000 4.46 4.46 4.46 4.46 4.46
100.87500000 4.45 4.45 4.45 4.45 4.45
100.93750000 4.44 4.44 4.44 4.44 4.44
101.00000000 4.43 4.43 4.43 4.43 4.43
WAL (Yrs) 7.12 7.12 7.12 7.11 6.98
Mod Dur 5.95 5.95 5.95 5.95 5.85
FirstPrinPay 09/10/11 09/10/11 09/10/11 09/10/11 06/10/11
Maturity 09/10/13 09/10/13 08/10/13 08/10/13 07/10/13
Prin Window (Months) 25 25 24 24 26
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -------------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class A-6
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 272,199,171
Settlement Date: 10/12/04 Initial Pass-Through Rate: 4.877%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 0.00% 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 4.91 4.91 4.91 4.91 4.91
100.06250000 4.90 4.90 4.90 4.90 4.90
100.12500000 4.89 4.89 4.89 4.89 4.89
100.18750000 4.89 4.89 4.89 4.89 4.88
100.25000000 4.88 4.88 4.88 4.88 4.88
100.31250000 4.87 4.87 4.87 4.87 4.87
100.37500000 4.86 4.86 4.86 4.86 4.86
100.43750000 4.85 4.85 4.85 4.85 4.85
100.50000000 4.84 4.84 4.84 4.84 4.84
100.56250000 4.84 4.84 4.84 4.83 4.83
100.62500000 4.83 4.83 4.83 4.83 4.82
100.68750000 4.82 4.82 4.82 4.82 4.82
100.75000000 4.81 4.81 4.81 4.81 4.81
100.81250000 4.80 4.80 4.80 4.80 4.80
100.87500000 4.79 4.79 4.79 4.79 4.79
100.93750000 4.79 4.79 4.79 4.78 4.78
101.00000000 4.78 4.78 4.78 4.78 4.77
WAL (yrs) 9.53 9.51 9.48 9.44 9.27
Mod Dur 7.46 7.45 7.43 7.41 7.30
First Prin Pay 09/10/13 09/10/13 08/10/13 08/10/13 07/10/13
Maturity 07/10/14 07/10/14 07/10/14 07/10/14 04/10/14
Prin Win 11 11 12 12 10
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -------------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class B
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 35,640,764
Settlement Date: 10/12/04 Initial Pass-Through Rate: 4.985%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 0.00% 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 5.02 5.02 5.02 5.02 5.02
100.06250000 5.01 5.01 5.01 5.01 5.01
100.12500000 5.00 5.00 5.00 5.00 5.00
100.18750000 5.00 5.00 5.00 5.00 5.00
100.25000000 4.99 4.99 4.99 4.99 4.99
100.31250000 4.98 4.98 4.98 4.98 4.98
100.37500000 4.97 4.97 4.97 4.97 4.97
100.43750000 4.96 4.96 4.96 4.96 4.96
100.50000000 4.96 4.96 4.96 4.96 4.95
100.56250000 4.95 4.95 4.95 4.95 4.95
100.62500000 4.94 4.94 4.94 4.94 4.94
100.68750000 4.93 4.93 4.93 4.93 4.93
100.75000000 4.92 4.92 4.92 4.92 4.92
100.81250000 4.92 4.92 4.91 4.91 4.91
100.87500000 4.91 4.91 4.91 4.91 4.90
100.93750000 4.90 4.90 4.90 4.90 4.90
101.00000000 4.89 4.89 4.89 4.89 4.89
WAL (Yrs) 9.91 9.91 9.88 9.85 9.58
Mod Dur 7.66 7.65 7.64 7.62 7.46
FirstPrinPay 9/10/2014 8/10/2014 8/10/2014 8/10/2014 5/10/2014
Maturity 9/10/2014 9/10/2014 9/10/2014 9/10/2014 5/10/2014
Prin Window (Months) 1 2 2 2 1
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -------------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class C
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 11,340,243
Settlement Date: 10/12/04 Initial Pass-Through Rate: 5.024%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 0.00% 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 5.06 5.06 5.06 5.06 5.06
100.06250000 5.05 5.05 5.05 5.05 5.05
100.12500000 5.04 5.04 5.04 5.04 5.04
100.18750000 5.04 5.04 5.04 5.04 5.04
100.25000000 5.03 5.03 5.03 5.03 5.03
100.31250000 5.02 5.02 5.02 5.02 5.02
100.37500000 5.01 5.01 5.01 5.01 5.01
100.43750000 5.00 5.00 5.00 5.00 5.00
100.50000000 5.00 5.00 5.00 5.00 4.99
100.56250000 4.99 4.99 4.99 4.99 4.99
100.62500000 4.98 4.98 4.98 4.98 4.98
100.68750000 4.97 4.97 4.97 4.97 4.97
100.75000000 4.96 4.96 4.96 4.96 4.96
100.81250000 4.95 4.95 4.95 4.95 4.95
100.87500000 4.95 4.95 4.95 4.95 4.94
100.93750000 4.94 4.94 4.94 4.94 4.94
101.00000000 4.93 4.93 4.93 4.93 4.93
WAL (Yrs) 9.91 9.91 9.91 9.91 9.64
Mod Dur 7.64 7.64 7.64 7.64 7.48
FirstPrinPay 9/10/2014 9/10/2014 9/10/2014 9/10/2014 5/10/2014
Maturity 9/10/2014 9/10/2014 9/10/2014 9/10/2014 6/10/2014
Prin Window (Months) 1 1 1 1 2
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -------------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class D
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 21,060,451
Settlement Date: 10/12/04 Initial Pass-Through Rate: 5.073%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 0.00% 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 5.11 5.11 5.11 5.11 5.11
100.06250000 5.10 5.10 5.10 5.10 5.10
100.12500000 5.09 5.09 5.09 5.09 5.09
100.18750000 5.09 5.09 5.09 5.09 5.08
100.25000000 5.08 5.08 5.08 5.08 5.08
100.31250000 5.07 5.07 5.07 5.07 5.07
100.37500000 5.06 5.06 5.06 5.06 5.06
100.43750000 5.05 5.05 5.05 5.05 5.05
100.50000000 5.04 5.04 5.04 5.04 5.04
100.56250000 5.04 5.04 5.04 5.04 5.03
100.62500000 5.03 5.03 5.03 5.03 5.03
100.68750000 5.02 5.02 5.02 5.02 5.02
100.75000000 5.01 5.01 5.01 5.01 5.01
100.81250000 5.00 5.00 5.00 5.00 5.00
100.87500000 5.00 5.00 5.00 5.00 4.99
100.93750000 4.99 4.99 4.99 4.99 4.99
101.00000000 4.98 4.98 4.98 4.98 4.98
WAL (Yrs) 9.91 9.91 9.91 9.91 9.66
Mod Dur 7.62 7.62 7.62 7.62 7.47
FirstPrinPay 9/10/2014 9/10/2014 9/10/2014 9/10/2014 6/10/2014
Maturity 9/10/2014 9/10/2014 9/10/2014 9/10/2014 6/10/2014
Prin Window (Months) 1 1 1 1 1
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -------------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class A-1A
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 202,345,000
Settlement Date: 10/12/04 Initial Pass-Through Rate: 4.632%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 25.00% 50.00% 75.00% 100.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 4.66 4.73 4.78 4.82 4.88
100.06250000 4.65 4.72 4.77 4.81 4.87
100.12500000 4.64 4.70 4.76 4.80 4.86
100.18750000 4.63 4.69 4.75 4.79 4.84
100.25000000 4.62 4.68 4.74 4.78 4.83
100.31250000 4.61 4.67 4.73 4.77 4.82
100.37500000 4.60 4.66 4.72 4.76 4.81
100.43750000 4.59 4.65 4.70 4.75 4.80
100.50000000 4.58 4.64 4.69 4.74 4.79
100.56250000 4.57 4.63 4.68 4.72 4.77
100.62500000 4.56 4.62 4.67 4.71 4.76
100.68750000 4.55 4.61 4.66 4.70 4.75
100.75000000 4.54 4.60 4.65 4.69 4.74
100.81250000 4.53 4.59 4.64 4.68 4.73
100.87500000 4.52 4.58 4.63 4.67 4.72
100.93750000 4.51 4.57 4.62 4.66 4.71
101.00000000 4.50 4.56 4.61 4.65 4.69
WAL (yrs) 7.54 7.29 7.10 6.95 6.63
Mod Dur 6.14 5.91 5.73 5.59 5.34
First Prin Pay 11/10/2004 11/10/2004 11/10/2004 11/10/2004 11/10/2004
Maturity 9/10/2014 8/10/2014 8/10/2014 8/10/2014 5/10/2014
Prin Win 119 118 118 118 115
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -----------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -----------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class A-1
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 33,000,000
Settlement Date: 10/12/04 Initial Pass-Through Rate: 3.4550%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 25.00% 50.00% 75.00% 100.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
99.75000000 3.57 4.46 5.41 6.70 18.22
99.81250000 3.53 4.39 5.30 6.52 17.35
99.87500000 3.50 4.32 5.19 6.34 16.47
99.93750000 3.47 4.25 5.08 6.15 15.61
100.00000000 3.43 4.19 4.96 5.97 14.74
100.06250000 3.40 4.12 4.85 5.79 13.88
100.12500000 3.37 4.05 4.74 5.61 13.03
100.18750000 3.34 3.98 4.63 5.43 12.18
100.25000000 3.30 3.91 4.51 5.25 11.33
100.31250000 3.27 3.84 4.40 5.07 10.48
100.37500000 3.24 3.78 4.29 4.88 9.64
100.43750000 3.21 3.71 4.18 4.70 8.81
100.50000000 3.17 3.64 4.07 4.52 7.97
100.56250000 3.14 3.57 3.95 4.35 7.15
100.62500000 3.11 3.50 3.84 4.17 6.32
100.68750000 3.08 3.43 3.73 3.99 5.50
100.75000000 3.04 3.37 3.62 3.81 4.68
WAL (Yrs) 2.02 0.95 0.58 0.36 0.08
Mod Dur 1.91 0.91 0.56 0.34 0.07
FirstPrinPay 11/10/2004 11/10/2004 11/10/2004 11/10/2004 11/10/2004
Maturity 7/10/2008 8/10/2006 1/10/2006 7/10/2005 11/10/2004
Prin Window (Months) 45 22 15 9 1
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -----------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -----------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class A-2
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 48,000,000
Settlement Date: 10/12/04 Initial Pass-Through Rate: 4.041%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 25.00% 50.00% 75.00% 100.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 4.05 4.73 4.92 5.18 5.57
100.06250000 4.03 4.70 4.89 5.14 5.51
100.12500000 4.02 4.67 4.85 5.10 5.45
100.18750000 4.00 4.65 4.82 5.06 5.40
100.25000000 3.99 4.62 4.79 5.02 5.34
100.31250000 3.97 4.60 4.75 4.98 5.28
100.37500000 3.95 4.57 4.72 4.94 5.22
100.43750000 3.94 4.54 4.69 4.90 5.16
100.50000000 3.92 4.52 4.66 4.86 5.10
100.56250000 3.91 4.49 4.62 4.82 5.04
100.62500000 3.89 4.47 4.59 4.78 4.98
100.68750000 3.87 4.44 4.56 4.74 4.93
100.75000000 3.86 4.41 4.52 4.69 4.87
100.81250000 3.84 4.39 4.49 4.65 4.81
100.87500000 3.83 4.36 4.46 4.61 4.75
100.93750000 3.81 4.34 4.43 4.57 4.69
101.00000000 3.80 4.31 4.39 4.53 4.63
WAL (Yrs) 4.34 2.58 2.01 1.62 1.13
Mod Dur 3.91 2.40 1.89 1.53 1.06
FirstPrinPay 7/10/2008 8/10/2006 1/10/2006 7/10/2005 11/10/2004
Maturity 4/10/2009 11/10/2007 6/10/2007 12/10/2006 6/10/2006
Prin Window (Months) 10 16 18 18 20
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -----------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -----------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class A-3
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 240,000,000
Settlement Date: 10/12/04 Initial Pass-Through Rate: 4.128%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 25.00% 50.00% 75.00% 100.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 4.14 4.26 4.44 4.59 4.81
100.06250000 4.12 4.24 4.43 4.57 4.78
100.12500000 4.11 4.23 4.41 4.55 4.76
100.18750000 4.09 4.21 4.39 4.53 4.74
100.25000000 4.08 4.19 4.37 4.51 4.72
100.31250000 4.07 4.18 4.35 4.49 4.69
100.37500000 4.05 4.16 4.34 4.47 4.67
100.43750000 4.04 4.15 4.32 4.45 4.65
100.50000000 4.02 4.13 4.30 4.43 4.63
100.56250000 4.01 4.12 4.28 4.41 4.60
100.62500000 3.99 4.10 4.27 4.39 4.58
100.68750000 3.98 4.08 4.25 4.38 4.56
100.75000000 3.96 4.07 4.23 4.36 4.53
100.81250000 3.95 4.05 4.21 4.34 4.51
100.87500000 3.93 4.04 4.20 4.32 4.49
100.93750000 3.92 4.02 4.18 4.30 4.47
101.00000000 3.90 4.00 4.16 4.28 4.44
WAL (Yrs) 4.73 4.36 3.89 3.51 2.98
Mod Dur 4.22 3.91 3.52 3.19 2.73
FirstPrinPay 4/10/2009 11/10/2007 6/10/2007 12/10/2006 6/10/2006
Maturity 6/10/2010 8/10/2009 7/10/2009 6/10/2009 2/10/2009
Prin Window (Months) 15 22 26 31 33
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -----------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -----------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class A-4
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 225,000,000
Settlement Date: 10/12/04 Initial Pass-Through Rate: 4.502%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 25.00% 50.00% 75.00% 100.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 4.52 4.58 4.59 4.58 4.59
100.06250000 4.51 4.57 4.58 4.57 4.58
100.12500000 4.50 4.56 4.57 4.56 4.56
100.18750000 4.49 4.55 4.55 4.55 4.55
100.25000000 4.48 4.54 4.54 4.54 4.54
100.31250000 4.47 4.53 4.53 4.52 4.53
100.37500000 4.46 4.51 4.52 4.51 4.51
100.43750000 4.45 4.50 4.50 4.50 4.50
100.50000000 4.44 4.49 4.49 4.49 4.49
100.56250000 4.43 4.48 4.48 4.47 4.47
100.62500000 4.41 4.47 4.47 4.46 4.46
100.68750000 4.40 4.46 4.46 4.45 4.45
100.75000000 4.39 4.44 4.44 4.44 4.44
100.81250000 4.38 4.43 4.43 4.43 4.42
100.87500000 4.37 4.42 4.42 4.41 4.41
100.93750000 4.36 4.41 4.41 4.40 4.40
101.00000000 4.35 4.40 4.40 4.39 4.39
WAL (Yrs) 6.67 6.25 6.04 5.92 5.71
Mod Dur 5.65 5.34 5.17 5.08 4.92
FirstPrinPay 6/10/2010 8/10/2009 7/10/2009 6/10/2009 2/10/2009
Maturity 9/10/2011 9/10/2011 8/10/2011 8/10/2011 6/10/2011
Prin Window (Months) 16 26 26 27 29
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -----------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -----------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class A-5
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 107,000,000
Settlement Date: 10/12/04 Initial Pass-Through Rate: 4.576%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 25.00% 50.00% 75.00% 100.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 4.60 4.60 4.60 4.60 4.60
100.06250000 4.59 4.59 4.59 4.59 4.59
100.12500000 4.58 4.58 4.58 4.58 4.58
100.18750000 4.57 4.57 4.57 4.57 4.57
100.25000000 4.56 4.56 4.56 4.56 4.56
100.31250000 4.55 4.55 4.55 4.55 4.54
100.37500000 4.54 4.54 4.54 4.54 4.53
100.43750000 4.53 4.53 4.53 4.53 4.52
100.50000000 4.52 4.52 4.52 4.51 4.51
100.56250000 4.51 4.51 4.51 4.50 4.50
100.62500000 4.50 4.50 4.49 4.49 4.49
100.68750000 4.49 4.48 4.48 4.48 4.48
100.75000000 4.48 4.47 4.47 4.47 4.47
100.81250000 4.46 4.46 4.46 4.46 4.46
100.87500000 4.45 4.45 4.45 4.45 4.44
100.93750000 4.44 4.44 4.44 4.44 4.43
101.00000000 4.43 4.43 4.43 4.43 4.42
WAL (Yrs) 7.12 6.91 6.89 6.87 6.66
Mod Dur 5.95 5.81 5.79 5.78 5.63
FirstPrinPay 09/10/11 09/10/11 08/10/11 08/10/11 06/10/11
Maturity 09/10/13 09/10/11 09/10/11 09/10/11 06/10/11
Prin Window (Months) 25 1 2 2 1
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -----------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -----------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class A-6
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 272,199,171
Settlement Date: 10/12/04 Initial Pass-Through Rate: 4.877%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 25.00% 50.00% 75.00% 100.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 4.91 4.92 4.92 4.91 4.91
100.06250000 4.90 4.91 4.91 4.90 4.90
100.12500000 4.89 4.91 4.90 4.89 4.89
100.18750000 4.89 4.90 4.89 4.88 4.88
100.25000000 4.88 4.89 4.88 4.88 4.87
100.31250000 4.87 4.88 4.87 4.87 4.86
100.37500000 4.86 4.87 4.86 4.86 4.86
100.43750000 4.85 4.86 4.85 4.85 4.85
100.50000000 4.84 4.85 4.85 4.84 4.84
100.56250000 4.84 4.84 4.84 4.83 4.83
100.62500000 4.83 4.84 4.83 4.82 4.82
100.68750000 4.82 4.83 4.82 4.81 4.81
100.75000000 4.81 4.82 4.81 4.80 4.80
100.81250000 4.80 4.81 4.80 4.80 4.79
100.87500000 4.79 4.80 4.79 4.79 4.78
100.93750000 4.79 4.79 4.78 4.78 4.77
101.00000000 4.78 4.78 4.78 4.77 4.77
WAL (yrs) 9.53 9.08 8.92 8.86 8.68
Mod Dur 7.46 7.17 7.07 7.03 6.92
First Prin Pay 09/10/13 09/10/11 09/10/11 09/10/11 06/10/11
Maturity 07/10/14 07/10/14 07/10/14 07/10/14 04/10/14
Prin Win 11 35 35 35 35
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -----------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -----------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class B
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 35,640,764
Settlement Date: 10/12/04 Initial Pass-Through Rate: 4.985%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 25.00% 50.00% 75.00% 100.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 5.02 5.02 5.02 5.02 5.02
100.06250000 5.01 5.01 5.01 5.01 5.01
100.12500000 5.00 5.00 5.00 5.00 5.00
100.18750000 5.00 5.00 5.00 5.00 5.00
100.25000000 4.99 4.99 4.99 4.99 4.99
100.31250000 4.98 4.98 4.98 4.98 4.98
100.37500000 4.97 4.97 4.97 4.97 4.97
100.43750000 4.96 4.96 4.96 4.96 4.96
100.50000000 4.96 4.96 4.96 4.96 4.95
100.56250000 4.95 4.95 4.95 4.95 4.95
100.62500000 4.94 4.94 4.94 4.94 4.94
100.68750000 4.93 4.93 4.93 4.93 4.93
100.75000000 4.92 4.92 4.92 4.92 4.92
100.81250000 4.92 4.92 4.91 4.91 4.91
100.87500000 4.91 4.91 4.91 4.91 4.90
100.93750000 4.90 4.90 4.90 4.90 4.90
101.00000000 4.89 4.89 4.89 4.89 4.89
WAL (Yrs) 9.91 9.91 9.88 9.85 9.58
Mod Dur 7.66 7.65 7.64 7.62 7.46
FirstPrinPay 9/10/2014 8/10/2014 8/10/2014 8/10/2014 5/10/2014
Maturity 9/10/2014 9/10/2014 9/10/2014 9/10/2014 5/10/2014
Prin Window (Months) 1 2 2 2 1
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -----------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -----------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class C
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 11,340,243
Settlement Date: 10/12/04 Initial Pass-Through Rate: 5.024%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 25.00% 50.00% 75.00% 100.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 5.06 5.06 5.06 5.06 5.06
100.06250000 5.05 5.05 5.05 5.05 5.05
100.12500000 5.04 5.04 5.04 5.04 5.04
100.18750000 5.04 5.04 5.04 5.04 5.04
100.25000000 5.03 5.03 5.03 5.03 5.03
100.31250000 5.02 5.02 5.02 5.02 5.02
100.37500000 5.01 5.01 5.01 5.01 5.01
100.43750000 5.00 5.00 5.00 5.00 5.00
100.50000000 5.00 5.00 5.00 5.00 4.99
100.56250000 4.99 4.99 4.99 4.99 4.99
100.62500000 4.98 4.98 4.98 4.98 4.98
100.68750000 4.97 4.97 4.97 4.97 4.97
100.75000000 4.96 4.96 4.96 4.96 4.96
100.81250000 4.95 4.95 4.95 4.95 4.95
100.87500000 4.95 4.95 4.95 4.95 4.94
100.93750000 4.94 4.94 4.94 4.94 4.94
101.00000000 4.93 4.93 4.93 4.93 4.93
WAL (yrs) 9.91 9.91 9.91 9.91 9.64
Mod Dur 7.64 7.64 7.64 7.64 7.48
First Prin Pay 9/10/2014 9/10/2014 9/10/2014 9/10/2014 5/10/2014
Maturity 9/10/2014 9/10/2014 9/10/2014 9/10/2014 6/10/2014
Prin Win 1 1 1 1 2
Yield Spread 87 87 87 87 91
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -----------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -----------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class D
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 21,060,451
Settlement Date: 10/12/04 Initial Pass-Through Rate: 5.073%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 25.00% 50.00% 75.00% 100.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
- ------------------------------------------------------------------------------------------------------------------------------------
100.00000000 5.11 5.11 5.11 5.11 5.11
100.06250000 5.10 5.10 5.10 5.10 5.10
100.12500000 5.09 5.09 5.09 5.09 5.09
100.18750000 5.09 5.09 5.09 5.09 5.08
100.25000000 5.08 5.08 5.08 5.08 5.08
100.31250000 5.07 5.07 5.07 5.07 5.07
100.37500000 5.06 5.06 5.06 5.06 5.06
100.43750000 5.05 5.05 5.05 5.05 5.05
100.50000000 5.04 5.04 5.04 5.04 5.04
100.56250000 5.04 5.04 5.04 5.04 5.03
100.62500000 5.03 5.03 5.03 5.03 5.03
100.68750000 5.02 5.02 5.02 5.02 5.02
100.75000000 5.01 5.01 5.01 5.01 5.01
100.81250000 5.00 5.00 5.00 5.00 5.00
100.87500000 5.00 5.00 5.00 5.00 4.99
100.93750000 4.99 4.99 4.99 4.99 4.99
101.00000000 4.98 4.98 4.98 4.98 4.98
WAL (Yrs) 9.91 9.91 9.91 9.91 9.66
Mod Dur 7.62 7.62 7.62 7.62 7.47
FirstPrinPay 9/10/2014 9/10/2014 9/10/2014 9/10/2014 6/10/2014
Maturity 9/10/2014 9/10/2014 9/10/2014 9/10/2014 6/10/2014
Prin Window (Months) 1 1 1 1 1
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- -------------------------------------------------------------------- -----------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- -----------------------------------------------
Initial Balance is as of October 2004 1/12 2.645
- -------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under
"Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class XP
- -------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 1,264,855,847
Settlement Date: 10/12/04 Initial Pass-Through Rate: 0.9189%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
During YM 0.00% 0.00% 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
3.531700 5.22 5.22 5.22 5.22 5.22
3.547330 5.06 5.06 5.06 5.06 5.06
3.562950 4.90 4.90 4.90 4.90 4.90
3.578580 4.73 4.73 4.73 4.73 4.73
3.594200 4.57 4.57 4.57 4.57 4.57
3.609830 4.42 4.42 4.42 4.42 4.42
3.625450 4.26 4.26 4.26 4.26 4.26
3.641080 4.10 4.10 4.10 4.10 4.10
3.656700 3.95 3.95 3.95 3.95 3.95
3.672320 3.79 3.79 3.79 3.79 3.79
3.687950 3.64 3.64 3.64 3.64 3.64
3.703570 3.49 3.49 3.49 3.49 3.49
3.719200 3.33 3.33 3.33 3.33 3.33
3.734820 3.18 3.18 3.18 3.18 3.18
3.750450 3.03 3.03 3.03 3.03 3.03
3.766070 2.89 2.89 2.89 2.89 2.89
3.781700 2.74 2.74 2.74 2.74 2.74
WAL (yrs) 5.28 5.28 5.28 5.28 5.28
Mod Dur 2.73 2.73 2.73 2.73 2.73
First Prin Pay 4/10/2005 4/10/2005 4/10/2005 4/10/2005 4/10/2005
Maturity 10/10/2011 10/10/2011 10/10/2011 10/10/2011 10/10/2011
Prin Win 79 79 79 79 79
Yield Spread 50 50 50 50 50
- -------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------- -------------------------------
Assumptions Treasury Curve as of
- ---------------------------------------------------------------------------------------------- -------------------------------
1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- ------------- -------------
Initial Balance is as of October 2004
- ------------------------------------- 1/12 2.645
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ---------------------------------------------------------------------------------------------- -------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
- --------------------------------------------------------------------------------
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class XP
- --------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 1,264,855,847
Settlement Date: 10/12/04 Initial Pass-Through Rate: 0.9189%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
During YM 0.00% 25.00% 50.00% 75.00% 100.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
3.531700 5.22 5.92 5.91 5.37 4.00
3.547330 5.06 5.75 5.74 5.20 3.84
3.562950 4.90 5.59 5.58 5.04 3.68
3.578580 4.73 5.43 5.42 4.88 3.52
3.594200 4.57 5.26 5.26 4.72 3.36
3.609830 4.42 5.10 5.10 4.56 3.20
3.625450 4.26 4.95 4.94 4.40 3.05
3.641080 4.10 4.79 4.78 4.24 2.89
3.656700 3.95 4.63 4.62 4.08 2.74
3.672320 3.79 4.47 4.46 3.93 2.59
3.687950 3.64 4.32 4.31 3.77 2.43
3.703570 3.49 4.17 4.15 3.62 2.28
3.719200 3.33 4.01 4.00 3.47 2.13
3.734820 3.18 3.86 3.85 3.32 1.98
3.750450 3.03 3.71 3.70 3.17 1.84
3.766070 2.89 3.56 3.55 3.02 1.69
3.781700 2.74 3.41 3.40 2.87 1.54
WAL (yrs) 5.28 5.28 5.24 5.16 5.01
Mod Dur 2.73 2.71 2.70 2.72 2.76
First Prin Pay 4/10/2005 12/10/2004 12/10/2004 11/10/2004 11/10/2004
Maturity 10/10/2011 10/10/2011 10/10/2011 10/10/2011 10/10/2011
Prin Win 79 83 83 84 84
Yield Spread 50 119 118 66 -67
- --------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------- --------------------------------
Assumptions Treasury Curve as of
- ---------------------------------------------------------------------------------------------- --------------------------------
1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- -------------- --------------
Initial Balance is as of October 2004
- ------------------------------------- 1/12 2.645
Prepay Rates are a Constant % of CPR 1/4 2.645
100% of All Prepayment Premiums are assumed to be collected 1/2 2.645
Prepayment Premiums are allocated to one or more classes 2 2.645
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.889
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.404
No Extensions on any Mortgage Loan 10 4.137
No Delinquencies on any Mortgage Loan 30 4.906
No Defaults on any Mortgage Loan
- ---------------------------------------------------------------------------------------------- --------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
- --------------------------------------------------------------------------------
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class XP
- ---------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 1,264,855,847
Settlement Date: 10/12/04 Initial Pass-Through Rate: 0.9349%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ---------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3
During YM 0.00% 0.00% 0.00%
During Open 100.00% 100.00% 100.00%
- ------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------
Defualt (CDR) Scenario 1 Scenario 2 Scenario 3
0 Yield Sce 0 Spread Sce
Default Rate 0.00% 14.56% 8.43%
Loss Severity 0.00% 35.00% 35.00%
Lag (months) 0 6 6
Default Starting in Month 0 1 1
- ------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3
3.594840000 5.11 1.27 4.65
3.610470000 4.95 1.11 4.49
3.626090000 4.79 0.95 4.33
3.641720000 4.63 0.78 4.17
3.657340000 4.47 0.62 4.01
3.672970000 4.32 0.47 3.85
3.688590000 4.16 0.31 3.70
3.704220000 4.01 0.15 3.54
3.719840000 3.85 0.00 3.39
3.735460000 3.70 -0.16 3.24
3.751090000 3.55 -0.31 3.08
3.766710000 3.40 -0.46 2.93
3.782340000 3.25 -0.61 2.78
3.797960000 3.10 -0.76 2.64
3.813590000 2.96 -0.91 2.49
3.829210000 2.81 -1.06 2.34
3.844840000 2.67 -1.21 2.20
WAL (yrs) 5.28 4.74 5.20
Mod Dur 2.73 2.69 2.72
First Prin Pay 4/10/2005 4/10/2005 4/10/2005
Maturity 10/10/2011 10/10/2011 10/10/2011
Prin Win 79 79 79
Yield Spread 45 -329 0
- ------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------ -------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------ -------------------------------
1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- ------------- -------------
Initial Balance is as of October 2004
- ------------------------------------- 1/12 2.476
Prepay Rates are a Constant % of CPR 1/4 2.476
100% of All Prepayment Premiums are assumed to be collected 1/2 2.476
Prepayment Premiums are allocated to one or more classes 2 2.476
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.796
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.360
10 4.142
30 4.932
- ------------------------------------------------------------------------------------------------ -------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
- --------------------------------------------------------------------------------
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class A-6
- ------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 272,199,171
Settlement Date: 10/12/04 Initial Pass-Through Rate: 4.872%
Accrual Start Date: 10/01/04
First Pay Date: 11/10/04
- ------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3
During YM 0.00% 0.00% 0.00%
During Open 0.00% 0.00% 0.00%
Default (CDR) Scenario 1 Scenario 2 Scenario 3
Default Rate - Rest of the Pool 0.00% 0.00% 0.50%
Default Rate - West Ridge Mall 0.00% 100.00% 100.00%
Loss Severity 0.00% 35.00% 35.00%
Recovery lag 0 12 12
Default in month 0 24 24
- -----------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3
100.00000000 4.91 4.90 4.90
100.06250000 4.90 4.90 4.90
100.12500000 4.89 4.89 4.89
100.18750000 4.88 4.88 4.88
100.25000000 4.87 4.87 4.87
100.31250000 4.86 4.86 4.86
100.37500000 4.86 4.85 4.85
100.43750000 4.85 4.84 4.84
100.50000000 4.84 4.84 4.84
100.56250000 4.83 4.83 4.83
100.62500000 4.82 4.82 4.82
100.68750000 4.81 4.81 4.81
100.75000000 4.81 4.80 4.80
100.81250000 4.80 4.79 4.79
100.87500000 4.79 4.78 4.78
100.93750000 4.78 4.78 4.78
101.00000000 4.77 4.77 4.77
WAL (yrs) 9.53 9.18 9.12
Mod Dur 7.47 7.24 7.20
First Prin Pay 09/10/13 09/10/11 09/10/11
Maturity 07/10/14 07/10/14 07/10/14
Prin Win 11 35 35
83
- -----------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------- ----------------------------------
Assumptions Treasury Curve as of
- ---------------------------------------------------------------------------------------------- ----------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- --------------- --------------
Initial Balance is as of October 2004
- ------------------------------------- 1/12 2.476
Prepay Rates are a Constant % of CPR 1/4 2.476
100% of All Prepayment Premiums are assumed to be collected 1/2 2.476
Prepayment Premiums are allocated to one or more classes 2 2.476
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.796
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.360
No Extensions on any Mortgage Loan 10 4.142
30 4.932
- ---------------------------------------------------------------------------------------------- ----------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
- --------------------------------------------------------------------------------
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
Banc of America Securities LLC
Price/Yield Table - Class XP
- --------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 1,296,027,783
Settlement Date: 10/12/04 Initial Pass-Through Rate: 0.0525%
Accrual Start Date: 11/10/04
First Pay Date: 10/01/04
- --------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8
During YM 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
During Open 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
Defualt (CDR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8
Default Rate 0.00% 4.00% 5.00% 6.00% 7.00% 8.00% 9.00% 10.00%
Loss Severity 0.00% 40.00% 40.00% 40.00% 40.00% 40.00% 40.00% 40.00%
Lag (months) 0 12 12 12 12 12 12 12
Default Starting in Month 0 1 1 1 1 1 1 1
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8
3.594840000 5.11 5.11 5.11 5.05 4.89 4.51 3.96 3.23
3.610470000 4.95 4.95 4.95 4.89 4.73 4.35 3.80 3.07
3.626090000 4.79 4.79 4.79 4.73 4.57 4.19 3.64 2.91
3.641720000 4.63 4.63 4.63 4.57 4.41 4.03 3.48 2.75
3.657340000 4.47 4.47 4.47 4.41 4.26 3.87 3.33 2.59
3.672970000 4.32 4.32 4.32 4.25 4.10 3.71 3.17 2.44
3.688590000 4.16 4.16 4.16 4.10 3.94 3.56 3.01 2.28
3.704220000 4.01 4.01 4.01 3.95 3.79 3.40 2.86 2.13
3.719840000 3.85 3.85 3.85 3.79 3.64 3.25 2.71 1.97
3.735470000 3.70 3.70 3.70 3.64 3.48 3.10 2.55 1.82
3.751090000 3.55 3.55 3.55 3.49 3.33 2.95 2.40 1.67
3.766720000 3.40 3.40 3.40 3.34 3.18 2.80 2.25 1.52
3.782340000 3.25 3.25 3.25 3.19 3.03 2.65 2.10 1.37
3.797970000 3.10 3.10 3.10 3.04 2.88 2.50 1.95 1.22
3.813590000 2.96 2.96 2.96 2.89 2.74 2.35 1.81 1.07
3.829220000 2.81 2.81 2.81 2.75 2.59 2.20 1.66 0.92
3.844840000 2.67 2.67 2.67 2.60 2.45 2.06 1.52 0.78
WAL (yrs) 5.28 5.28 5.28 5.26 5.21 5.14 5.06 4.95
Mod Dur 2.73 2.73 2.73 2.73 2.73 2.73 2.73 2.72
First Prin Pay 4/10/2005 4/10/2005 4/10/2005 4/10/2005 4/10/2005 4/10/2005 4/10/2005 4/10/2005
Maturity 10/10/2011 10/10/2011 10/10/2011 10/10/2011 10/10/2011 10/10/2011 10/10/2011 10/10/2011
Yield Spread 45 45 45 39 24 -13 -66 -138
- -----------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------- -----------------------------------
Assumptions Treasury Curve as of
- ---------------------------------------------------------------------------------------------- -----------------------------------
1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- -------------- ---------------
Initial Balance is as of Oct 2004
- --------------------------------- 1/12 2.4760%
Prepay Rates are a Constant % of CPR 1/4 2.4760%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.4760%
Prepayment Premiums are allocated to one or more classes 2 2.4760%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.7960%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.3600%
No Extensions on any Mortgage Loan 10 4.1420%
30 4.9320%
- ---------------------------------------------------------------------------------------------- -----------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
- --------------------------------------------------------------------------------
This material is for your private information and Banc of America Securities LLC
(the "Placement Agent") is not soliciting any action based upon it. This
material is not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal. This material is based on information that the
Placement Agent considers reliable, but the Placement Agent does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Placement Agent makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Placement Agent and its affiliates, officers, directors, partners
and employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). The securities mentioned herein have not been and will not be
registered under the Securities Act of 1933 (as amended, the "Securities Act")
or any state securities or foreign securities laws and may not be re-offered,
resold, pledged or otherwise transferred except (a) (i) to a person who is a
qualified institutional buyer (as defined in the Securities Act) in a
transaction meeting the requirements of Rule 144A under the Securities Act or
(ii) pursuant to an exemption from registration under the Securities Act
provided by Rule 144 thereunder (if available), (b) in accordance with all
applicable securities laws of the United States or foreign jurisdictions and (c)
otherwise in accordance with the terms of the Pooling and Servicing Agreement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final Private Placement Memorandum for any
securities actually sold to you. This material is furnished solely by the
Placement Agent and not by the issuer of the securities. The issuer of the
securities has not prepared, reviewed or participated in the preparation of this
material, is not responsible for the accuracy of this material and has not
authorized the dissemination of this material. Certain terms used herein are
defined in the Private Placement Memorandum.
Banc of America Securities LLC
Price/Yield Table - Class XP
- -----------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-4 Initial Balance: 1,296,027,783
Settlement Date: 10/12/04 Initial Pass-Through Rate: 0.0525%
Accrual Start Date: 11/10/04
First Pay Date: 10/01/04
- -----------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2
- ---------------------------------------------------------------------------
During YM 4.00% 10.00%
During Points 25.00% 35.00%
During Open 65.00% 75.00%
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
Scenario 1 Scenario 2
- ---------------------------------------------------------------------------
3.594840000 5.39 5.74
3.610470000 5.23 5.57
3.626090000 5.07 5.41
3.641720000 4.91 5.25
3.657340000 4.75 5.09
3.672970000 4.60 4.94
3.688590000 4.44 4.78
3.704220000 4.29 4.63
3.719840000 4.13 4.47
3.735470000 3.98 4.32
3.751090000 3.83 4.17
3.766720000 3.68 4.01
3.782340000 3.53 3.86
3.797970000 3.38 3.72
3.813590000 3.23 3.57
3.829220000 3.09 3.42
3.844840000 2.94 3.27
WAL (yrs) 5.28 5.28
Mod Dur 2.72 2.71
First Prin Pay 3/10/2005 2/10/2005
Maturity 10/10/2011 10/10/2011
Yield Spread 73 107
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------- ------------------------------------
Assumptions Treasury Curve as of
- ---------------------------------------------------------------------------------------------- ------------------------------------
1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- --------------- --------------
Initial Balance is as of Oct 2004
- --------------------------------- 1/12 2.4760%
Prepay Rates are a Constant % of CPR 1/4 2.4760%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.4760%
Prepayment Premiums are allocated to one or more classes 2 2.4760%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.7960%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.3600%
No Extensions on any Mortgage Loan 10 4.1420%
30 4.9320%
- ---------------------------------------------------------------------------------------------- ------------------------------------
Rating Agencies Do Not Address the Likelihood of Receipt of Prepayment Penalties
- --------------------------------------------------------------------------------
This material is for your private information and Banc of America Securities LLC
(the "Placement Agent") is not soliciting any action based upon it. This
material is not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal. This material is based on information that the
Placement Agent considers reliable, but the Placement Agent does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Placement Agent makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Placement Agent and its affiliates, officers, directors, partners
and employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). The securities mentioned herein have not been and will not be
registered under the Securities Act of 1933 (as amended, the "Securities Act")
or any state securities or foreign securities laws and may not be re-offered,
resold, pledged or otherwise transferred except (a) (i) to a person who is a
qualified institutional buyer (as defined in the Securities Act) in a
transaction meeting the requirements of Rule 144A under the Securities Act or
(ii) pursuant to an exemption from registration under the Securities Act
provided by Rule 144 thereunder (if available), (b) in accordance with all
applicable securities laws of the United States or foreign jurisdictions and (c)
otherwise in accordance with the terms of the Pooling and Servicing Agreement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final Private Placement Memorandum for any
securities actually sold to you. This material is furnished solely by the
Placement Agent and not by the issuer of the securities. The issuer of the
securities has not prepared, reviewed or participated in the preparation of this
material, is not responsible for the accuracy of this material and has not
authorized the dissemination of this material. Certain terms used herein are
defined in the Private Placement Memorandum.
Banc of America Securities LLC