EXHIBIT 99
From: GEORDIE WALKER, BANC OF AMERICA SECU [mailto:GYRO@bloomberg.net]
Sent: Monday, November 08, 2004 3:01 PM
Subject: CMBS NEW ISSUE: BACM 04-5 PRICING BENCHMARKS
Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through
Certificates, Series 2004-5 $1.36BB NEW ISSUE CMBS
Lead-Mgrs: Banc of America Securities LLC / Deutsche Bank Securities
Co-Managers: Citigroup/JPMorgan/Goldman, Sachs & Co.
Treasuries Swaps
2yr 99-13.25 2yr 37.50
3yr 99-09.75 3yr 47.00
5yr 99-10.75 4yr 46.50
10yr 100-08 5yr 42.75
30yr 106-16 6yr 47.50
7yr 49.25
8yr 48.75
9yr 46.75
10yr 43.50
This message is for information purposes only, and we are not soliciting any
action based upon it. The information herein is believed to be reliable but it
should not be relied upon as such and is subject to change without notice. Banc
of America Securities LLC and Deutsche Bank Securities and their affiliates may
acquire, hold or sell positions in these securities or in related derivatives
and may have an investment banking or banking relationship with the issuer.
Information herein will be superseded by information in the final prospectus,
copies of which may be obtained from Steve Hogue/Peter Cookson at Bank of
America Securities LLC, 214 North Tryon Street, Charlotte, NC 28255 or Scott
Waynebern/Heath Forusz at Deutsche Bank Securities Inc, 60 Wall Street, New
York, NY 10005.
Such securities may not be suitable for all investors.
- -----Original Message-----
From: GEORDIE WALKER, BANC OF AMERICA SECU [mailto:GYRO@bloomberg.net]
Sent: Monday, November 08, 2004 4:13 PM
Subject: CMBS NEW ISSUE: BACM 04-5 - PRICED - Publics
Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through
Certificates, Series 2004-5 $1.36BB NEW ISSUE CMBS
Lead-Mgrs: Banc of America Securities LLC / Deutsche Bank Securities
Co-Managers: Citigroup/JPMorgan/Goldman, Sachs & Co.
Rating Agencies: Moody's/S&P
Settle Date 11/23/2004
Legal Final 11/10/2041
Days Accrued 22
Size Rating CBE Mod
Class (Face) (M/S) Cusip Price Cpn Yield Spread Dur
A1 57,600 Aaa/AAA 05947UXL7 100.251207 3.812 3.7129 26 2.671
A2 250,910 Aaa/AAA 05947UXM5 100.500433 4.176 4.0705 17 4.246
A3 305,377 Aaa/AAA 05947UXN3 100.502400 4.561 4.4968 24 5.703
AAB 45,540 Aaa/AAA 05947UXP8 100.503117 4.673 4.6125 32 5.815
A4 188,667 Aaa/AAA 05947UXQ6 100.501047 4.936 4.9040 29 7.497
AJ 90,241 Aaa/AAA 05947UXT0 100.505117 4.992 4.9613 33 7.574
B 39,161 Aa2/AA 05947UXU7 100.507642 5.058 5.0283 39 7.589
C 13,621 Aa3/AA- 05947UXV5 100.506111 5.099 5.0702 43 7.584
D 22,135 A2/A 05947UXW3 100.504845 5.158 5.1302 49 7.561
XP 1,331,702 Aaa/AAA 05947UXS2 3.211529 0.6843 3.9997 45 2.623
This message is for information purposes only, and we are not soliciting any
action based upon it. The information herein is believed to be reliable but it
should not be relied upon as such and is subject to change without notice. Banc
of America Securities LLC and Deutsche Bank Securities and their affiliates may
acquire, hold or sell positions in these securities or in related derivatives
and may have an investment banking or banking relationship with the issuer.
Information herein will be superseded by information in the final prospectus,
copies of which may be obtained from Steve Hogue/Peter Cookson at Bank of
America Securities LLC, 214 North Tryon Street, Charlotte, NC 28255 or Scott
Waynebern/Heath Forusz at Deutsche Bank Securities Inc, 60 Wall Street, New
York, NY 10005.
Such securities may not be suitable for all investors.
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superceded by the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITAION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id and Name BACM04C5_RET
----------------
Bond Type FIXED
----------------
Bond Name A2 (AAA/Aaa )
---------------- --------------
Original Balance 251,176,000.00 Current Balance 251,176,000.00
---------------- --------------
Original Coupon 4.015000 % Current Coupon 4.015000 %
---------------- --------------
Deal Description BACM04C5_RED
----------------
Orig. Cutoff Date 11/1/04 Dated Date 11/1/04
---------------- --------------
Settlement Date 11/23/04 First Payment Date 12/10/04
---------------- --------------
PrepayMethod CPR
----------------
Scenario 0% CPR (except one loan partial prepay)
---------------------------------------
Market Levels TSY03M TSY06M TSY01Y TSY02Y TSY03Y TSY05Y TSY10Y TSY30Y WAC
- --------------------------------------------------------------------------------
2.592 2.592 2.592 2.592 2.831 3.355 4.086 4.846 0.000
- --------------------------------------------------------------------------------
Swap Table SWP01Y SWP02Y SWP03Y SWP04Y SWP05Y SWP06Y SWP07Y SWP08Y SWP09Y SWP10Y SWP11Y SWP12Y SWP15Y SWP20Y SWP25Y SWP30Y SWP40Y
- ------------------------------------------------------------------------------------------------------------------------------------
35.000 35.000 44.250 44.750 41.500 46.250 48.500 48.250 46.000 42.500 52.300 61.350 63.260 63.250 50.500 33.750 33.750
- ------------------------------------------------------------------------------------------------------------------------------------
Report
Generated Mon Nov 1 13:05:20 2004 (v.4.181) /home/abehlman/emikus/deals/cmbs/bacm04c5/red/bacm04c5_red.cmo,
/data/strgrp/tsy/bacm_pac.level, /home/abehlman/tmp/p4773/BACM04C5_RET_DFLT_A3_py.csv
- ------------------------------------------------------------------------------------------------------------------------------------
0.0 BA1 BA2 BA3 BA4 BA5 BA6 BA7 BA8
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000 4.03 4.03 4.02 4.03 4.02 4.02 4.02 4.02 4.02
100.125000 4.00 4.00 3.99 4.01 3.99 4.00 3.99 3.99 3.99
100.250000 3.97 3.97 3.96 3.99 3.97 3.97 3.95 3.96 3.96
100.375000 3.94 3.94 3.93 3.98 3.94 3.94 3.92 3.93 3.93
100.500000 3.91 3.91 3.90 3.96 3.91 3.91 3.88 3.89 3.90
100.625000 3.88 3.88 3.87 3.94 3.88 3.88 3.85 3.86 3.87
100.750000 3.85 3.85 3.84 3.92 3.85 3.85 3.81 3.83 3.84
100.875000 3.82 3.82 3.81 3.90 3.82 3.82 3.78 3.80 3.81
101.000000 3.79 3.79 3.78 3.88 3.79 3.79 3.74 3.77 3.78
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Ave Life 4.774 4.749 4.534 7.698 4.682 4.724 3.928 4.296 4.597
Ave Cashflow 4.392 4.370 4.186 6.793 4.314 4.350 3.676 3.990 4.242
Mod Dur 4.265 4.244 4.069 6.500 4.189 4.224 3.555 3.866 4.119
Window 7/09-11/09 4/09-11/09 2/09-11/09 8/10-11/12 7/08-9/09 11/08-11/09 11/06-9/09 4/07-9/09 2/08-9/09
- ------------------------------------------------------------------------------------------------------------------------------------
BA1 50% CPY
BA2 100% CPY
BA3 3 Year Balloon Extension
BA4 0 CPR, 1% CDR starting month 1, 12 month lag, 25% severity
BA5 0 CPR, 1% CDR starting month 1, 12 month lag, 50% severity
BA6 0 CPR, 5% CDR starting month 1, 12 month lag, 25% severity
BA7 0 CPR, 5% CDR starting month 1, 12 month lag, 50% severity
BA8 50% CPY, 5% CDR starting month 1, 12 month lag, 40% severity
addressee only, and may not be provided to any third party other than the
addressee's legal, tax, financial and/or accounting advisors for the purposes of
evaluating such information. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. This material does not include all
relevant information relating to the Securities described herein, particularly
with respect to the risk and special considerations associated with an
investment in the Securities. All information contained herein is preliminary
and it is anticipated that such information will change. Any information
contained herein will be more fully described in, and will be fully superseded
by the preliminary prospectus supplement, if applicable, and the Final
Prospectus. Although the information contained in the material is based on
sources the Underwriter(s) believe(s) to be reliable, the Underwriter(s) make(s)
no representation or warranty that such information is accurate or complete.
Such information should not be viewed as projections, forecasts, predictions, or
opinions with respect to value. Prior to making any investment decision, a
prospective investor shall receive and fully review the Final Prospectus.
NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITAION OF AN OFFER
TO BUY ANY SECURITIES. The Underwriter(s) may hold long or short positions in or
buy and sell Securities or related securities or perform for or solicit
investment banking services from, any company mentioned herein.
US Patriot Act:
To help fight the funding of terrorism and money laundering activities, pursuant
to The U.S. Patriot Act, Deutsche Bank U.S. obtains, verifies, and records
information that identifies each person and entity with who we are a non
affiliate that enter into a business relationship. Pursuant to The U.S. Patriot
Act, when you enter into the business relationship, verification will include
(but is not limited to) name, address, corporate tax identification number, date
of birth (applicable to an individual), and other information that will allow us
to identify you. We may also ask to see corporate resolutions or other
identifying documents from you.
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id and Name BACM04C5_RET
----------------
Bond Type FIXED
----------------
Bond Name A3 (AAA/Aaa )
---------------- --------------
Original Balance 307,618,000.00 Current Balance 307,618,000.00
---------------- --------------
Original Coupon 4.420000 % Current Coupon 4.420000 %
---------------- --------------
Deal Description BACM04C5_RED
---------------- --------------
Orig. Cutoff Date 11/1/04 Dated Date 11/1/04
---------------- --------------
Settlement Date 11/23/04 First Payment Date 12/10/04
---------------- --------------
PrepayMethod CPR
----------------
Scenario 0% CPR (except one loan partial prepay)
---------------------------------------
Market Levels TSY03M TSY06M TSY01Y TSY02Y TSY03Y TSY05Y TSY10Y TSY30Y WAC
- --------------------------------------------------------------------------------
2.592 2.592 2.592 2.592 2.831 3.355 4.086 4.846 0.000
- --------------------------------------------------------------------------------
Swap Table SWP01Y SWP02Y SWP03Y SWP04Y SWP05Y SWP06Y SWP07Y SWP08Y SWP09Y SWP10Y SWP11Y SWP12Y SWP15Y SWP20Y SWP25Y SWP30Y SWP40Y
- ------------------------------------------------------------------------------------------------------------------------------------
35.000 35.000 44.250 44.750 41.500 46.250 48.500 48.250 46.000 42.500 52.300 61.350 63.260 63.250 50.500 33.750 33.750
- ------------------------------------------------------------------------------------------------------------------------------------
Report
Generated Mon Nov 1 13:05:21 2004 (v.4.181) /home/abehlman/emikus/deals/cmbs/bacm04c5/red/bacm04c5_red.cmo,
/data/strgrp/tsy/bacm_pac.level, /home/abehlman/tmp/p4773/BACM04C5_RET_DFLT_A4_py.csv
- ------------------------------------------------------------------------------------------------------------------------------------
0.0 BA1 BA2 BA3 BA4 BA5 BA6 BA7 BA8
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000 4.44 4.44 4.44 4.45 4.44 4.44 4.44 4.44 4.44
100.125000 4.42 4.42 4.42 4.43 4.42 4.42 4.41 4.42 4.42
100.250000 4.40 4.40 4.40 4.41 4.40 4.40 4.39 4.39 4.40
100.375000 4.38 4.38 4.37 4.40 4.37 4.38 4.37 4.37 4.37
100.500000 4.35 4.35 4.35 4.38 4.35 4.35 4.34 4.35 4.35
100.625000 4.33 4.33 4.33 4.37 4.33 4.33 4.32 4.32 4.33
100.750000 4.31 4.31 4.31 4.35 4.31 4.31 4.29 4.30 4.31
100.875000 4.29 4.29 4.28 4.33 4.29 4.29 4.27 4.28 4.28
101.000000 4.27 4.27 4.26 4.32 4.26 4.27 4.24 4.26 4.26
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Ave Life 6.772 6.739 6.505 9.699 6.590 6.669 5.916 6.288 6.496
Ave Cash flow 5.994 5.968 5.782 8.249 5.854 5.915 5.319 5.617 5.780
Mod Dur 5.734 5.710 5.539 7.728 5.597 5.656 5.088 5.369 5.527
Window 7/11-11/11 2/11-11/11 2/11-9/11 11/12-11/14 9/09-11/11 11/09-11/11 9/09-9/11 9/09-11/11 9/09-11/11
- ------------------------------------------------------------------------------------------------------------------------------------
BA1 50% CPY
BA2 100% CPY
BA3 3 Year Balloon Extension
BA4 0 CPR, 1% CDR starting month 1, 12 month lag, 25% severity
BA5 0 CPR, 1% CDR starting month 1, 12 month lag, 50% severity
BA6 0 CPR, 5% CDR starting month 1, 12 month lag, 25% severity
BA7 0 CPR, 5% CDR starting month 1, 12 month lag, 50% severity
BA8 50% CPY, 5% CDR starting month 1, 12 month lag, 40% severity
addressee only, and may not be provided to any third party other than the
addressee's legal, tax, financial and/or accounting advisors for the purposes of
evaluating such information. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. This material does not include all
relevant information relating to the Securities described herein, particularly
with respect to the risk and special considerations associated with an
investment in the Securities. All information contained herein is preliminary
and it is anticipated that such information will change. Any information
contained herein will be more fully described in, and will be fully superseded
by the preliminary prospectus supplement, if applicable, and the Final
Prospectus. Although the information contained in the material is based on
sources the Underwriter(s) believe(s) to be reliable, the Underwriter(s) make(s)
no representation or warranty that such information is accurate or complete.
Such information should not be viewed as projections, forecasts, predictions, or
opinions with respect to value. Prior to making any investment decision, a
prospective investor shall receive and fully review the Final Prospectus.
NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITAION OF AN OFFER
TO BUY ANY SECURITIES. The Underwriter(s) may hold long or short positions in or
buy and sell Securities or related securities or perform for or solicit
investment banking services from, any company mentioned herein.
US Patriot Act:
To help fight the funding of terrorism and money laundering activities, pursuant
to The U.S. Patriot Act, Deutsche Bank U.S. obtains, verifies, and records
information that identifies each person and entity with who we are a non
affiliate that enter into a business relationship. Pursuant to The U.S. Patriot
Act, when you enter into the business relationship, verification will include
(but is not limited to) name, address, corporate tax identification number, date
of birth (applicable to an individual), and other information that will allow us
to identify you. We may also ask to see corporate resolutions or other
identifying documents from you.
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id and Name BACM04C5_RET
----------------
Bond Type FIXED
----------------
Bond Name A4 (AAA/Aaa )
---------------- --------------
Original Balance 198,649,000.00 Current Balance 198,649,000.00
---------------- --------------
Original Coupon 4.825000 % Current Coupon 4.825000 %
---------------- --------------
Deal Description BACM04C5_RED
---------------- --------------
Orig. Cutoff Date 11/1/04 Dated Date 11/1/04
---------------- --------------
Settlement Date 11/23/04 First Payment Date 12/10/04
---------------- --------------
PrepayMethod CPR
----------------
Scenario 0% CPR (except one loan partial prepay)
---------------------------------------
Market Levels TSY03M TSY06M TSY01Y TSY02Y TSY03Y TSY05Y TSY10Y TSY30Y WAC
- --------------------------------------------------------------------------------
2.592 2.592 2.592 2.592 2.831 3.355 4.086 4.846 0.000
- --------------------------------------------------------------------------------
Swap Table SWP01Y SWP02Y SWP03Y SWP04Y SWP05Y SWP06Y SWP07Y SWP08Y SWP09Y SWP10Y SWP11Y SWP12Y SWP15Y SWP20Y SWP25Y SWP30Y SWP40Y
- ------------------------------------------------------------------------------------------------------------------------------------
35.000 35.000 44.250 44.750 41.500 46.250 48.500 48.250 46.000 42.500 52.300 61.350 63.260 63.250 50.500 33.750 33.750
- ------------------------------------------------------------------------------------------------------------------------------------
Report
Generated Mon Nov 1 13:05:21 2004 (v.4.181) /home/abehlman/emikus/deals/cmbs/bacm04c5/red/bacm04c5_red.cmo,
/data/strgrp/tsy/bacm_pac.level, /home/abehlman/tmp/p4773/BACM04C5_RET_DFLT_A5_py.csv
- ------------------------------------------------------------------------------------------------------------------------------------
0.0 BA1 BA2 BA3 BA4 BA5 BA6 BA7 BA8
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000 4.86 4.86 4.86 4.86 4.86 4.86 4.86 4.86 4.86
100.125000 4.84 4.84 4.84 4.85 4.84 4.84 4.84 4.84 4.84
100.250000 4.82 4.82 4.82 4.83 4.82 4.82 4.82 4.82 4.82
100.375000 4.81 4.81 4.81 4.82 4.81 4.81 4.80 4.81 4.81
100.500000 4.79 4.79 4.79 4.81 4.79 4.79 4.78 4.79 4.79
100.625000 4.78 4.77 4.77 4.79 4.77 4.78 4.76 4.77 4.77
100.750000 4.76 4.76 4.76 4.78 4.76 4.76 4.75 4.76 4.76
100.875000 4.74 4.74 4.74 4.76 4.74 4.74 4.73 4.74 4.74
101.000000 4.73 4.73 4.72 4.75 4.72 4.73 4.71 4.72 4.72
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Ave Life 9.643 9.578 9.363 12.279 9.479 9.608 8.506 9.373 9.374
Ave Cash flow 8.116 8.069 7.910 10.009 7.999 8.091 7.296 7.925 7.923
Mod Dur 7.542 7.502 7.369 9.058 7.438 7.520 6.802 7.368 7.371
Window 1/14-9/14 8/13-8/14 6/13-6/14 11/14-8/17 5/12-9/14 5/13-9/14 9/11-8/14 11/11-9/14 2/12-8/14
- ------------------------------------------------------------------------------------------------------------------------------------
BA1 50% CPY
BA2 100% CPY
BA3 3 Year Balloon Extension
BA4 0 CPR, 1% CDR starting month 1, 12 month lag, 25% severity
BA5 0 CPR, 1% CDR starting month 1, 12 month lag, 50% severity
BA6 0 CPR, 5% CDR starting month 1, 12 month lag, 25% severity
BA7 0 CPR, 5% CDR starting month 1, 12 month lag, 50% severity
BA8 50% CPY, 5% CDR starting month 1, 12 month lag, 40% severity
addressee only, and may not be provided to any third party other than the
addressee's legal, tax, financial and/or accounting advisors for the purposes of
evaluating such information. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. This material does not include all
relevant information relating to the Securities described herein, particularly
with respect to the risk and special considerations associated with an
investment in the Securities. All information contained herein is preliminary
and it is anticipated that such information will change. Any information
contained herein will be more fully described in, and will be fully superseded
by the preliminary prospectus supplement, if applicable, and the Final
Prospectus. Although the information contained in the material is based on
sources the Underwriter(s) believe(s) to be reliable, the Underwriter(s) make(s)
no representation or warranty that such information is accurate or complete.
Such information should not be viewed as projections, forecasts, predictions, or
opinions with respect to value. Prior to making any investment decision, a
prospective investor shall receive and fully review the Final Prospectus.
NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITAION OF AN OFFER
TO BUY ANY SECURITIES. The Underwriter(s) may hold long or short positions in or
buy and sell Securities or related securities or perform for or solicit
investment banking services from, any company mentioned herein.
US Patriot Act:
To help fight the funding of terrorism and money laundering activities, pursuant
to The U.S. Patriot Act, Deutsche Bank U.S. obtains, verifies, and records
information that identifies each person and entity with who we are a non
affiliate that enter into a business relationship. Pursuant to The U.S. Patriot
Act, when you enter into the business relationship, verification will include
(but is not limited to) name, address, corporate tax identification number, date
of birth (applicable to an individual), and other information that will allow us
to identify you. We may also ask to see corporate resolutions or other
identifying documents from you.
Price/Yield Table - Class XP
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-5 Initial Balance: 1,348,141,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 0.8121%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2
During YM 0.00% 0.00%
During Open 100.00% 100.00%
Defualt (CDR) Scenario 1 Scenario 2
Defualt on Top 25% of
Collateral sorted as per Net WAC
Default Rate 0.00% 0.00%
Loss Severity 0.00% 35.00%
Lag (months) 0 12
Default Starting in Month 0 Def Vector <--( 2 CDR for 2 years, 4 CDR for year3, 6 CDR
for Year4 and 8CDR thereafter)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Scenario 1 Scenario 2
3.703810000 4.94 4.92
3.719430000 4.78 4.76
3.735060000 4.62 4.60
3.750680000 4.46 4.44
3.766310000 4.31 4.29
3.781930000 4.15 4.13
3.797560000 4.00 3.98
3.813180000 3.84 3.82
3.828810000 3.69 3.67
3.844430000 3.54 3.52
3.860060000 3.39 3.37
3.875680000 3.24 3.22
3.891310000 3.09 3.07
3.906930000 2.94 2.92
3.922560000 2.80 2.78
3.938180000 2.65 2.63
3.953810000 2.51 2.49
WAL (yrs) 5.21 5.21
Mod Dur 2.65 2.649
First Prin Pay 5/10/2005 5/10/2005
Maturity 11/10/2011 11/10/2011
Yield Spread 31 29
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
----------------------------------
1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- ---------------- ----------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
30 4.846%
- ------------------------------------------------------------------------------------------------------------------------------------
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
BACM 2004-5
100%
Contribution to
Loan Name Balance the Combined IO
Power Self Storage 3,739,810.19 0.51%
Simon - Cheltenham Square Mall 54,941,036.00 7.44%
Sun Communities Portfolio 13 36,487,198.00 0.94%
Sun Communities Portfolio 4 27,620,542.00 0.71%
James River Towne Center 26,080,467.08 2.47%
Koreatown Galleria 20,979,478.95 1.45%
L'Oreal Warehouse 20,200,000.00 1.76%
Medical Mutual of Ohio - Toledo 19,248,572.68 1.95%
Beechnut 2,345,325.34 0.25%
The Falls at Ocotillo 14,800,000.00 2.00%
Abbey West Apartments 13,952,717.71 0.31%
Sterling University Villa 13,600,000.00 0.37%
Sun Communities - Southfork 13,360,000.00 0.35%
Omega Corporate Center 24,900,000.00 2.21%
Zeman Portfolio - Shady Oaks I & II 12,332,985.00 0.47%
Richmond Hill Road Plaza 11,977,977.41 1.62%
Tamal Vista Warehouse 11,269,865.45 1.53%
Village of Woodland Hills 9,481,631.07 1.13%
Villa Monaco Shopping Center 9,150,000.00 0.86%
Beach Western Commons 8,800,000.00 1.19%
Home Depot Center 8,425,873.04 0.73%
Sunrise Medical Tower I & II 8,159,698.19 0.87%
Sunrise Medical Tower III 7,965,587.01 0.85%
Zeman Portfolio - Pleasant Valley
MHC and Self Storage 7,892,026.00 0.41%
Stor All - Gentilly 6,819,050.07 0.66%
Shoppes at Victoria Square 6,750,000.00 0.66%
All Storage Mustang Road 6,693,548.29 0.50%
The Marketplace at Hollywood Park 6,500,000.00 0.72%
ICG Portfolio 50,500,000.00 2.94%
Cypress Self Storage 6,075,000.00 0.67%
Santa Rosa Plaza 5,984,613.49 0.91%
A-1 North Hollywood Self Storage 5,683,299.70 0.51%
Park Place Shopping Center 4,287,507.29 0.46%
Nob Hill Self Storage 5,600,000.00 0.71%
Milledgeville Shops 5,081,851.26 0.66%
Medical Family Health Center 4,919,319.70 0.15%
North County Corporate Center 26,660,000.00 0.85%
Rush Creek II 5,026,400.70 0.70%
TRAK Microwave Industrial Building 4,291,232.79 0.37%
Hampton Inn - Colton, CA 4,100,000.00 0.61%
West Marine Plaza 3,885,792.79 0.36%
Zeman Portfolio - Sunny Acres 3,784,282.00 0.20%
Black Hills Medical Park 3,766,030.52 0.08%
Walgreens - Sacramento, CA 3,590,601.70 0.52%
Office Depot/ Michael's 3,495,220.76 0.34%
Sonterra Park Market 3,483,384.14 0.42%
A-1 Santa Ana Self Storage 2,994,032.36 0.29%
Sunrise Medical Tower V 2,343,944.67 0.25%
Sun Communities - Bonita Lake 1,520,000.00 0.04%
Sunrise Medical Tower IV 1,150,629.52 0.12%
Riverview Plaza 10,660,341.29 1.05%
Storage USA - Savi Ranch 6,600,000.00 0.99%
Storage Choice - Pearland 3,087,324.77 0.40%
Storage Choice Sugar Land 3,091,537.00 0.42%
Storage Columbus Macon Road 2,140,941.04 0.34%
Ross Valley Self Storage 4,291,353.13 0.35%
Smoky Hill Town Center Phase II 2,595,060.39 0.33%
Brookhollow Village Shopping Center 3,991,921.54 0.40%
Texas Station Shopping Center 2,591,376.62 0.43%
Prescott Valley Shopping Center 7,492,363.46 0.46%
1 Kimberly Road & 10 Alvin Court 6,150,000.00 0.64%
Boulder Bins Self Storage 5,493,910.89 0.45%
Jefferson at Congressional (Land) 18,500,000.00 3.30%
Commonwealth Commerces Center 9,266,530.13 0.98%
Redline Self Storage 2,175,552.82 0.13%
Stor All - Tchoupitoulas 7,117,694.60 0.68%
Arts Industria Building 4,241,655.54 0.48%
Courtyard Springfield 13,650,000.00 0.94%
Malibu Self Storage 5,775,000.00 0.76%
Corporate Center 32,900,000.00 1.89%
Dutch Village 2,900,000.00 0.35%
Annunziata Multifamily Portfolio I 4,750,000.00 0.18%
Storage One at Tenaya 3,584,989.39 0.34%
Congressional Village 32,500,000.00 5.79%
Roswell Village 12,300,000.00 1.18%
Summit Plaza Self Storage 4,077,738.38 0.41%
Kennedy Meadows MHC 2,217,757.41 0.08%
Skytop Pavillion I 13,345,000.00 0.71%
Truxtun Avenue 4,995,476.04 0.55%
Storage USA Waldorf 5,644,083.55 0.32%
Fredericksburg Westwood Center Retail 10,850,998.81 1.59%
Lockaway SS - Hollywood 3,375,000.00 0.43%
American Self Storage 4,985,325.83 0.40%
8210 Wellmoor Court 3,450,000.00 0.17%
Annunziata Multifamily Portfolio II 3,100,000.00 0.11%
3100 Weslayan 4,650,000.00 0.54%
Bluffton Commons 10,180,000.00 0.99%
Storage USA - Tamarisk 3,899,417.61 0.57%
Plaza 205 16,000,000.00 2.10%
CLK - Paddock Place Apartments 5,610,000.00 0.23%
Summit Place Apartments 6,386,934.28 0.60%
Princeton Arms & Court 24,813,390.73 0.60%
Zeman Portfolio - Colonial Estates 4,704,730.00 0.24%
Quail Run / Southpointe 7,578,419.21 0.89%
Zeman Portfolio - Valley Oaks 4,847,604.00 0.25%
Cascades Apts - Phoenix, AZ 6,123,788.28 0.33%
North Oak Apartments 3,995,546.72 0.08%
Huntington Apartments 9,140,000.00 0.18%
Fairmeadow Apartments 4,240,000.00 0.07%
Ocean Luxury Residences 90,000,000.00 1.82%
Country Club Ridge 5,500,000.00 0.80%
Zeman Portfolio - Edgebrook 6,800,000.00 0.35%
Zeman Portfolio - Maple Grove Estates 6,476,490.00 0.31%
AMLI Timberglen 10,400,000.00 0.26%
Acerno Villas Apartments 12,400,000.00 1.50%
Brook Lyn Apartments 3,400,000.00 0.33%
Zeman Portfolio - Alpine Village 17,442,282.00 1.98%
Saddlebrook Apartments 11,750,000.00 1.47%
Bank of America Center 137,000,000.00 3.75%
Charles Square 77,000,000.00 4.13%
Rentar Plaza 52,000,000.00 0.64%
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 2004-5 Initial Balance: 1,348,141,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 0.8121%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2
During YM 0.00% 0.00%
During Open 100.00% 100.00%
Defualt (CDR) Scenario 1 Scenario 2
Defualt on Top 25% of
Collateral sorted as per Net WAC
Default Rate 0.00% 0.00%
Loss Severity 0.00% 35.00%
Lag (months) 0 12
Default Starting in Month 0 Def Vector <--( 2 CDR for 2 years, 4 CDR for year3, 6 CDR
for Year4 and 8CDR thereafter)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Scenario 1 Scenario 2
3.703810000 4.94 4.92
3.719430000 4.78 4.76
3.735060000 4.62 4.60
3.750680000 4.46 4.44
3.766310000 4.31 4.29
3.781930000 4.15 4.13
3.797560000 4.00 3.98
3.813180000 3.84 3.82
3.828810000 3.69 3.67
3.844430000 3.54 3.52
3.860060000 3.39 3.37
3.875680000 3.24 3.22
3.891310000 3.09 3.07
3.906930000 2.94 2.92
3.922560000 2.80 2.78
3.938180000 2.65 2.63
3.953810000 2.51 2.49
WAL (yrs) 5.21 5.21
Mod Dur 2.65 2.649
First Prin Pay 5/10/2005 5/10/2005
Maturity 11/10/2011 11/10/2011
Yield Spread 31 29
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
----------------------------------
1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- ---------------- ----------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
30 4.846%
- ------------------------------------------------------------------------------------------------------------------------------------
Rating Agencies Do Not Address the
Likelihood of Receipt of Prepayment Penalties
his 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 2004-5 Initial Balance: 1,348,141,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 0.8121%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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
3.703810000 4.94 4.94 4.94 4.94 4.94
3.719430000 4.78 4.78 4.78 4.78 4.78
3.735060000 4.62 4.62 4.62 4.62 4.62
3.750680000 4.46 4.46 4.46 4.46 4.46
3.766310000 4.31 4.31 4.31 4.31 4.31
3.781930000 4.15 4.15 4.15 4.15 4.15
3.797560000 4.00 4.00 4.00 4.00 4.00
3.813180000 3.84 3.84 3.84 3.84 3.84
3.828810000 3.69 3.69 3.69 3.69 3.69
3.844430000 3.54 3.54 3.54 3.54 3.54
3.860060000 3.39 3.39 3.39 3.39 3.39
3.875680000 3.24 3.24 3.24 3.24 3.24
3.891310000 3.09 3.09 3.09 3.09 3.09
3.906930000 2.94 2.94 2.94 2.94 2.94
3.922560000 2.80 2.80 2.80 2.80 2.80
3.938180000 2.65 2.65 2.65 2.65 2.65
3.953810000 2.51 2.51 2.51 2.51 2.51
WAL (yrs) 5.21 5.21 5.21 5.21 5.21
Mod Dur 2.65 2.65 2.65 2.65 2.65
First Prin Pay 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005
Maturity 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011
Yield Spread 31 31 31 31 31
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
----------------------------------
1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- ---------------- ----------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
30 4.846%
- ------------------------------------------------------------------------------------------------------------------------------------
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 2004-5 Initial Balance: 1,348,141,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 0.8121%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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
3.703810000 4.94 4.94 4.93 4.93 4.74
3.719430000 4.78 4.78 4.77 4.77 4.58
3.735060000 4.62 4.62 4.62 4.61 4.42
3.750680000 4.46 4.46 4.46 4.45 4.26
3.766310000 4.31 4.31 4.30 4.30 4.11
3.781930000 4.15 4.15 4.15 4.14 3.95
3.797560000 4.00 3.99 3.99 3.99 3.80
3.813180000 3.84 3.84 3.84 3.83 3.65
3.828810000 3.69 3.69 3.69 3.68 3.49
3.844430000 3.54 3.54 3.53 3.53 3.34
3.860060000 3.39 3.39 3.38 3.38 3.19
3.875680000 3.24 3.24 3.23 3.23 3.04
3.891310000 3.09 3.09 3.09 3.08 2.90
3.906930000 2.94 2.94 2.94 2.93 2.75
3.922560000 2.80 2.79 2.79 2.79 2.60
3.938180000 2.65 2.65 2.65 2.64 2.46
3.953810000 2.51 2.50 2.50 2.50 2.32
WAL (yrs) 5.21 5.21 5.21 5.21 5.19
Mod Dur 2.65 2.65 2.65 2.65 2.67
First Prin Pay 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005
Maturity 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011
Yield Spread 31 30 30 30 11
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
----------------------------------
1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- ---------------- ----------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
30 4.846%
- ------------------------------------------------------------------------------------------------------------------------------------
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 2004-5 Initial Balance: 1,348,141,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 0.8121%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8 Scenario 9
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 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% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Defualt (CDR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8 Scenario 9
- ------------------------------------------------------------------------------------------------------------------------------------
Default Rate 0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00% 7.00% 8.00%
Loss Severity 0.00% 35.00% 35.00% 35.00% 35.00% 35.00% 35.00% 35.00% 35.00%
Lag (months) 0 12 12 12 12 12 12 12 12
Default Starting
in Month 0 24 24 24 24 24 24 24 24
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8 Scenario 9
- ------------------------------------------------------------------------------------------------------------------------------------
3.703810000 4.94 4.94 4.94 4.94 4.94 4.94 4.94 4.94 4.93
3.719430000 4.78 4.78 4.78 4.78 4.78 4.78 4.78 4.78 4.77
3.735060000 4.62 4.62 4.62 4.62 4.62 4.62 4.62 4.62 4.62
3.750680000 4.46 4.46 4.46 4.46 4.46 4.46 4.46 4.46 4.46
3.766310000 4.31 4.31 4.31 4.31 4.31 4.31 4.30 4.30 4.30
3.781930000 4.15 4.15 4.15 4.15 4.15 4.15 4.15 4.15 4.15
3.797560000 4.00 4.00 4.00 4.00 4.00 4.00 3.99 3.99 3.99
3.813180000 3.84 3.84 3.84 3.84 3.84 3.84 3.84 3.84 3.84
3.828810000 3.69 3.69 3.69 3.69 3.69 3.69 3.69 3.69 3.68
3.844430000 3.54 3.54 3.54 3.54 3.54 3.54 3.54 3.54 3.53
3.860060000 3.39 3.39 3.39 3.39 3.39 3.39 3.39 3.39 3.38
3.875680000 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.23
3.891310000 3.09 3.09 3.09 3.09 3.09 3.09 3.09 3.09 3.08
3.906930000 2.94 2.94 2.94 2.94 2.94 2.94 2.94 2.94 2.94
3.922560000 2.80 2.80 2.80 2.80 2.80 2.80 2.79 2.79 2.79
3.938180000 2.65 2.65 2.65 2.65 2.65 2.65 2.65 2.65 2.64
3.953810000 2.51 2.51 2.51 2.51 2.51 2.50 2.50 2.50 2.50
WAL (yrs) 5.21 5.21 5.21 5.21 5.21 5.21 5.21 5.21 5.21
Mod Dur 2.65 2.65 2.65 2.65 2.65 2.65 2.65 2.65 2.65
First Prin Pay 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005
Maturity 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011
Yield Spread 31 31 31 31 31 30 30 30 30
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
----------------------------------
1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- ---------------- ----------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
30 4.846%
- ------------------------------------------------------------------------------------------------------------------------------------
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 2004-5 Initial Balance: 1,348,141,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 0.8121%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8 Scenario 9
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 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% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Defualt (CDR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8 Scenario 9
- ------------------------------------------------------------------------------------------------------------------------------------
Default Rate 0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00% 7.00% 8.00%
Loss Severity 0.00% 35.00% 35.00% 35.00% 35.00% 35.00% 35.00% 35.00% 35.00%
Lag (months) 0 12 12 12 12 12 12 12 12
Default Starting
in Month 0 1 1 1 1 1 1 1 1
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8 Scenario 9
3.703810000 4.94 4.94 4.94 4.94 4.94 4.94 4.94 4.61 4.06
3.719430000 4.78 4.78 4.78 4.78 4.78 4.78 4.78 4.45 3.90
3.735060000 4.62 4.62 4.62 4.62 4.62 4.62 4.62 4.30 3.74
3.750680000 4.46 4.46 4.46 4.46 4.46 4.46 4.46 4.14 3.58
3.766310000 4.31 4.31 4.31 4.31 4.31 4.31 4.31 3.98 3.42
3.781930000 4.15 4.15 4.15 4.15 4.15 4.15 4.15 3.82 3.27
3.797560000 4.00 4.00 4.00 4.00 4.00 4.00 4.00 3.67 3.11
3.813180000 3.84 3.84 3.84 3.84 3.84 3.84 3.84 3.52 2.96
3.828810000 3.69 3.69 3.69 3.69 3.69 3.69 3.69 3.36 2.81
3.844430000 3.54 3.54 3.54 3.54 3.54 3.54 3.54 3.21 2.65
3.860060000 3.39 3.39 3.39 3.39 3.39 3.39 3.39 3.06 2.50
3.875680000 3.24 3.24 3.24 3.24 3.24 3.24 3.24 2.91 2.35
3.891310000 3.09 3.09 3.09 3.09 3.09 3.09 3.09 2.76 2.21
3.906930000 2.94 2.94 2.94 2.94 2.94 2.94 2.94 2.62 2.06
3.922560000 2.80 2.80 2.80 2.80 2.80 2.80 2.80 2.47 1.91
3.938180000 2.65 2.65 2.65 2.65 2.65 2.65 2.65 2.32 1.77
3.953810000 2.51 2.51 2.51 2.51 2.51 2.51 2.51 2.18 1.62
WAL (yrs) 5.21 5.21 5.21 5.21 5.21 5.21 5.21 5.15 5.07
Mod Dur 2.65 2.65 2.65 2.65 2.65 2.65 2.65 2.648 2.648
First Prin Pay 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005
Maturity 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011
Yield Spread 31 31 31 31 31 31 31 -1 -56
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
----------------------------------
1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- ---------------- ----------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
30 4.846%
- ------------------------------------------------------------------------------------------------------------------------------------
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 2004-5 Initial Balance: 241,609,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.396%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
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 4.42 4.42 4.42 4.42 4.42
100.06250000 4.40 4.40 4.40 4.40 4.40
100.12500000 4.39 4.39 4.39 4.39 4.39
100.18750000 4.38 4.38 4.38 4.38 4.38
100.25000000 4.37 4.37 4.37 4.37 4.37
100.31250000 4.36 4.36 4.36 4.36 4.36
100.37500000 4.35 4.35 4.35 4.35 4.34
100.43750000 4.33 4.33 4.33 4.33 4.33
100.50000000 4.32 4.32 4.32 4.32 4.32
100.56250000 4.31 4.31 4.31 4.31 4.31
100.62500000 4.30 4.30 4.30 4.30 4.30
100.68750000 4.29 4.29 4.29 4.29 4.28
100.75000000 4.28 4.28 4.28 4.28 4.27
100.81250000 4.26 4.26 4.26 4.26 4.26
100.87500000 4.25 4.25 4.25 4.25 4.25
100.93750000 4.24 4.24 4.24 4.24 4.24
101.00000000 4.23 4.23 4.23 4.23 4.22
WAL (yrs) 6.34 6.33 6.32 6.29 6.13
Mod Dur 5.34 5.34 5.32 5.30 5.18
First Prin Pay 12/10/2004 12/10/2004 12/10/2004 12/10/2004 12/10/2004
Maturity 9/10/2014 9/10/2014 9/10/2014 8/10/2014 7/10/2014
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ------------------------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 57,600,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 3.6370%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
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 3.72 3.72 3.72 3.72 3.72
99.81250000 3.70 3.70 3.70 3.70 3.70
99.87500000 3.68 3.68 3.68 3.68 3.68
99.93750000 3.65 3.65 3.65 3.65 3.65
100.00000000 3.63 3.63 3.63 3.63 3.63
100.06250000 3.61 3.61 3.61 3.61 3.61
100.12500000 3.58 3.58 3.58 3.58 3.58
100.18750000 3.56 3.56 3.56 3.56 3.56
100.25000000 3.54 3.54 3.54 3.54 3.54
100.31250000 3.51 3.51 3.51 3.51 3.51
100.37500000 3.49 3.49 3.49 3.49 3.49
100.43750000 3.47 3.47 3.47 3.47 3.47
100.50000000 3.44 3.44 3.44 3.44 3.44
100.56250000 3.42 3.42 3.42 3.42 3.42
100.62500000 3.40 3.40 3.40 3.40 3.40
100.68750000 3.37 3.37 3.37 3.37 3.37
100.75000000 3.35 3.35 3.35 3.35 3.35
WAL (Yrs) 2.89 2.89 2.88 2.88 2.87
Mod Dur 2.67 2.67 2.67 2.66 2.66
FirstPrinPay 12/10/2004 12/10/2004 12/10/2004 12/10/2004 12/10/2004
Maturity 7/10/2009 5/10/2009 4/10/2009 4/10/2009 2/10/2009
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ------------------------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 251,176,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.015%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
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 4.03 4.03 4.03 4.02 4.02
100.06250000 4.01 4.01 4.01 4.01 4.01
100.12500000 4.00 4.00 4.00 4.00 3.99
100.18750000 3.98 3.98 3.98 3.98 3.98
100.25000000 3.97 3.97 3.97 3.97 3.96
100.31250000 3.95 3.95 3.95 3.95 3.95
100.37500000 3.94 3.94 3.94 3.94 3.93
100.43750000 3.92 3.92 3.92 3.92 3.92
100.50000000 3.91 3.91 3.91 3.91 3.90
100.56250000 3.89 3.89 3.89 3.89 3.89
100.62500000 3.88 3.88 3.88 3.88 3.87
100.68750000 3.86 3.86 3.86 3.86 3.86
100.75000000 3.85 3.85 3.85 3.85 3.84
100.81250000 3.84 3.84 3.83 3.83 3.83
100.87500000 3.82 3.82 3.82 3.82 3.81
100.93750000 3.81 3.81 3.81 3.80 3.80
101.00000000 3.79 3.79 3.79 3.79 3.78
WAL (yrs) 4.77 4.76 4.75 4.73 4.53
Mod Dur 4.27 4.26 4.24 4.23 4.07
First Prin Pay 7/10/2009 5/10/2009 4/10/2009 4/10/2009 2/10/2009
Maturity 11/10/2009 11/10/2009 11/10/2009 11/10/2009 11/10/2009
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ------------------------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 307,618,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.420%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
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 4.44 4.44 4.44 4.44 4.44
100.06250000 4.43 4.43 4.43 4.43 4.43
100.12500000 4.42 4.42 4.42 4.42 4.42
100.18750000 4.41 4.41 4.41 4.41 4.41
100.25000000 4.40 4.40 4.40 4.40 4.40
100.31250000 4.39 4.39 4.39 4.39 4.38
100.37500000 4.38 4.38 4.38 4.38 4.37
100.43750000 4.37 4.37 4.37 4.36 4.36
100.50000000 4.35 4.35 4.35 4.35 4.35
100.56250000 4.34 4.34 4.34 4.34 4.34
100.62500000 4.33 4.33 4.33 4.33 4.33
100.68750000 4.32 4.32 4.32 4.32 4.32
100.75000000 4.31 4.31 4.31 4.31 4.31
100.81250000 4.30 4.30 4.30 4.30 4.30
100.87500000 4.29 4.29 4.29 4.29 4.28
100.93750000 4.28 4.28 4.28 4.28 4.27
101.00000000 4.27 4.27 4.27 4.27 4.26
WAL (yrs) 6.77 6.76 6.74 6.71 6.51
Mod Dur 5.73 5.72 5.71 5.69 5.54
First Prin Pay 11/10/2009 11/10/2009 11/10/2009 11/10/2009 11/10/2009
Maturity 11/10/2011 11/10/2011 11/10/2011 11/10/2011 9/10/2011
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ------------------------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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-AB
- --------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-5 Initial Balance: 46,487,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.524%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
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 4.55 4.55 4.55 4.55 4.55
100.06250000 4.54 4.54 4.54 4.54 4.54
100.12500000 4.53 4.53 4.53 4.53 4.52
100.18750000 4.52 4.51 4.51 4.51 4.51
100.25000000 4.50 4.50 4.50 4.50 4.50
100.31250000 4.49 4.49 4.49 4.49 4.49
100.37500000 4.48 4.48 4.48 4.48 4.48
100.43750000 4.47 4.47 4.47 4.47 4.47
100.50000000 4.46 4.46 4.46 4.46 4.46
100.56250000 4.45 4.45 4.45 4.45 4.45
100.62500000 4.44 4.44 4.44 4.44 4.44
100.68750000 4.43 4.43 4.43 4.43 4.43
100.75000000 4.42 4.42 4.42 4.42 4.41
100.81250000 4.41 4.41 4.41 4.41 4.40
100.87500000 4.40 4.40 4.40 4.39 4.39
100.93750000 4.39 4.39 4.38 4.38 4.38
101.00000000 4.38 4.38 4.37 4.37 4.37
WAL (yrs) 6.99 6.90 6.83 6.77 6.67
Mod Dur 5.85 5.78 5.74 5.70 5.62
First Prin Pay 7/10/2009 7/10/2009 7/10/2009 7/10/2009 7/10/2009
Maturity 1/10/2014 10/10/2013 8/10/2013 6/10/2013 6/10/2013
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ------------------------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 198,649,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.825%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
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 4.86 4.86 4.86 4.86 4.86
100.06250000 4.85 4.85 4.85 4.85 4.85
100.12500000 4.84 4.84 4.84 4.84 4.84
100.18750000 4.83 4.83 4.83 4.83 4.83
100.25000000 4.82 4.82 4.82 4.82 4.82
100.31250000 4.82 4.82 4.82 4.82 4.82
100.37500000 4.81 4.81 4.81 4.81 4.81
100.43750000 4.80 4.80 4.80 4.80 4.80
100.50000000 4.79 4.79 4.79 4.79 4.79
100.56250000 4.78 4.78 4.78 4.78 4.78
100.62500000 4.78 4.78 4.77 4.77 4.77
100.68750000 4.77 4.77 4.77 4.77 4.76
100.75000000 4.76 4.76 4.76 4.76 4.76
100.81250000 4.75 4.75 4.75 4.75 4.75
100.87500000 4.74 4.74 4.74 4.74 4.74
100.93750000 4.73 4.73 4.73 4.73 4.73
101.00000000 4.73 4.73 4.73 4.72 4.72
WAL (yrs) 9.64 9.61 9.58 9.54 9.36
Mod Dur 7.54 7.52 7.50 7.48 7.37
First Prin Pay 1/10/2014 10/10/2013 8/10/2013 6/10/2013 6/10/2013
Maturity 9/10/2014 9/10/2014 8/10/2014 8/10/2014 6/10/2014
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ------------------------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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-J
- --------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-5 Initial Balance: 91,353,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.871%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
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 4.90 4.90 4.90 4.90 4.90
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 4.88 4.88 4.88 4.88 4.88
100.25000000 4.87 4.87 4.87 4.87 4.87
100.31250000 4.86 4.86 4.86 4.86 4.86
100.37500000 4.86 4.86 4.86 4.86 4.85
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 4.83 4.83 4.83 4.83 4.83
100.62500000 4.82 4.82 4.82 4.82 4.82
100.68750000 4.82 4.82 4.82 4.81 4.81
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 4.78 4.78 4.78 4.78 4.78
101.00000000 4.77 4.77 4.77 4.77 4.77
WAL (yrs) 9.80 9.80 9.80 9.79 9.63
Mod Dur 7.62 7.62 7.62 7.62 7.52
First Prin Pay 9/10/2014 9/10/2014 9/10/2014 8/10/2014 7/10/2014
Maturity 10/10/2014 9/10/2014 9/10/2014 9/10/2014 7/10/2014
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ------------------------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 39,645,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.909%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
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 4.94 4.94 4.94 4.94 4.94
100.06250000 4.94 4.94 4.94 4.94 4.93
100.12500000 4.93 4.93 4.93 4.93 4.93
100.18750000 4.92 4.92 4.92 4.92 4.92
100.25000000 4.91 4.91 4.91 4.91 4.91
100.31250000 4.90 4.90 4.90 4.90 4.90
100.37500000 4.89 4.89 4.89 4.89 4.89
100.43750000 4.89 4.89 4.89 4.89 4.89
100.50000000 4.88 4.88 4.88 4.88 4.88
100.56250000 4.87 4.87 4.87 4.87 4.87
100.62500000 4.86 4.86 4.86 4.86 4.86
100.68750000 4.85 4.85 4.85 4.85 4.85
100.75000000 4.85 4.85 4.85 4.85 4.84
100.81250000 4.84 4.84 4.84 4.84 4.84
100.87500000 4.83 4.83 4.83 4.83 4.83
100.93750000 4.82 4.82 4.82 4.82 4.82
101.00000000 4.81 4.81 4.81 4.81 4.81
WAL (yrs) 9.88 9.87 9.85 9.82 9.66
Mod Dur 7.66 7.65 7.64 7.62 7.52
First Prin Pay 10/10/2014 9/10/2014 9/10/2014 9/10/2014 7/10/2014
Maturity 10/10/2014 10/10/2014 10/10/2014 10/10/2014 8/10/2014
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ------------------------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 13,789,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.938%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
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
- --------------------------------------------------------------------------------------------------------------------------------
100.00094000 4.97 4.97 4.97 4.97 4.97
100.06344000 4.96 4.96 4.96 4.96 4.96
100.12594000 4.96 4.96 4.96 4.96 4.96
100.18844000 4.95 4.95 4.95 4.95 4.95
100.25094000 4.94 4.94 4.94 4.94 4.94
100.31344000 4.93 4.93 4.93 4.93 4.93
100.37594000 4.92 4.92 4.92 4.92 4.92
100.43844000 4.92 4.92 4.92 4.92 4.91
100.50094000 4.91 4.91 4.91 4.91 4.91
100.56344000 4.90 4.90 4.90 4.90 4.90
100.62594000 4.89 4.89 4.89 4.89 4.89
100.68844000 4.88 4.88 4.88 4.88 4.88
100.75094000 4.88 4.88 4.88 4.88 4.87
100.81344000 4.87 4.87 4.87 4.87 4.87
100.87594000 4.86 4.86 4.86 4.86 4.86
100.93844000 4.85 4.85 4.85 4.85 4.85
101.00094000 4.84 4.84 4.84 4.84 4.84
WAL (yrs) 9.88 9.88 9.88 9.88 9.71
Mod Dur 7.65 7.65 7.65 7.65 7.54
First Prin Pay 10/10/2014 10/10/2014 10/10/2014 10/10/2014 8/10/2014
Maturity 10/10/2014 10/10/2014 10/10/2014 10/10/2014 8/10/2014
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ------------------------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 22,407,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.991%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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 5.03 5.03 5.03 5.03 5.03
100.06250000 5.02 5.02 5.02 5.02 5.02
100.12500000 5.01 5.01 5.01 5.01 5.01
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 4.99 4.99 4.99 4.99 4.99
100.37500000 4.98 4.98 4.98 4.98 4.98
100.43750000 4.97 4.97 4.97 4.97 4.97
100.50000000 4.96 4.96 4.96 4.96 4.96
100.56250000 4.95 4.95 4.95 4.95 4.95
100.62500000 4.95 4.95 4.95 4.95 4.94
100.68750000 4.94 4.94 4.94 4.94 4.94
100.75000000 4.93 4.93 4.93 4.93 4.93
100.81250000 4.92 4.92 4.92 4.92 4.92
100.87500000 4.91 4.91 4.91 4.91 4.91
100.93750000 4.91 4.90 4.90 4.90 4.90
101.00000000 4.90 4.90 4.90 4.90 4.89
WAL (yrs) 9.91 9.89 9.88 9.88 9.71
Mod Dur 7.64 7.63 7.62 7.62 7.52
First Prin Pay 10/10/2014 10/10/2014 10/10/2014 10/10/2014 8/10/2014
Maturity 11/10/2014 11/10/2014 10/10/2014 10/10/2014 8/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 241,609,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.396%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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 4.42 4.42 4.42 4.42 4.42
100.06250000 4.40 4.41 4.41 4.41 4.41
100.12500000 4.39 4.39 4.40 4.40 4.40
100.18750000 4.38 4.38 4.38 4.39 4.39
100.25000000 4.37 4.37 4.37 4.37 4.38
100.31250000 4.36 4.36 4.36 4.36 4.36
100.37500000 4.35 4.35 4.35 4.35 4.35
100.43750000 4.33 4.34 4.34 4.34 4.34
100.50000000 4.32 4.32 4.33 4.33 4.33
100.56250000 4.31 4.31 4.31 4.32 4.32
100.62500000 4.30 4.30 4.30 4.30 4.30
100.68750000 4.29 4.29 4.29 4.29 4.29
100.75000000 4.28 4.28 4.28 4.28 4.28
100.81250000 4.26 4.27 4.27 4.27 4.27
100.87500000 4.25 4.25 4.26 4.26 4.26
100.93750000 4.24 4.24 4.24 4.25 4.24
101.00000000 4.23 4.23 4.23 4.23 4.23
WAL (yrs) 6.34 6.32 6.30 6.27 6.10
Mod Dur 5.34 5.33 5.31 5.29 5.16
First Prin Pay 12/10/2004 12/10/2004 12/10/2004 12/10/2004 12/10/2004
Maturity 9/10/2014 9/10/2014 9/10/2014 8/10/2014 7/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 57,600,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 3.6370%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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 3.72 4.15 4.45 4.72 5.25
99.81250000 3.70 4.11 4.41 4.67 5.18
99.87500000 3.68 4.08 4.37 4.62 5.11
99.93750000 3.65 4.04 4.32 4.57 5.05
100.00000000 3.63 4.01 4.28 4.52 4.98
100.06250000 3.61 3.97 4.24 4.48 4.91
100.12500000 3.58 3.94 4.20 4.43 4.85
100.18750000 3.56 3.91 4.16 4.38 4.78
100.25000000 3.54 3.87 4.11 4.33 4.72
100.31250000 3.51 3.84 4.07 4.28 4.65
100.37500000 3.49 3.80 4.03 4.23 4.58
100.43750000 3.47 3.77 3.99 4.18 4.52
100.50000000 3.44 3.74 3.95 4.13 4.45
100.56250000 3.42 3.70 3.90 4.08 4.39
100.62500000 3.40 3.67 3.86 4.04 4.32
100.68750000 3.37 3.64 3.82 3.99 4.26
100.75000000 3.35 3.60 3.78 3.94 4.19
WAL (yrs) 2.89 1.94 1.57 1.33 0.99
Mod Dur 2.67 1.83 1.49 1.27 0.94
First Prin Pay 12/10/2004 12/10/2004 12/10/2004 12/10/2004 12/10/2004
Maturity 7/10/2009 1/10/2008 6/10/2007 12/10/2006 6/10/2006
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 251,176,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.015%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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 4.03 4.08 4.13 4.17 4.19
100.06250000 4.01 4.06 4.12 4.15 4.17
100.12500000 4.00 4.05 4.10 4.14 4.15
100.18750000 3.98 4.03 4.09 4.12 4.14
100.25000000 3.97 4.02 4.07 4.10 4.12
100.31250000 3.95 4.00 4.05 4.09 4.10
100.37500000 3.94 3.99 4.04 4.07 4.08
100.43750000 3.92 3.97 4.02 4.05 4.07
100.50000000 3.91 3.96 4.01 4.04 4.05
100.56250000 3.89 3.94 3.99 4.02 4.03
100.62500000 3.88 3.93 3.98 4.00 4.01
100.68750000 3.86 3.91 3.96 3.99 4.00
100.75000000 3.85 3.90 3.94 3.97 3.98
100.81250000 3.84 3.88 3.93 3.95 3.96
100.87500000 3.82 3.86 3.91 3.94 3.94
100.93750000 3.81 3.85 3.90 3.92 3.92
101.00000000 3.79 3.83 3.88 3.91 3.91
WAL (yrs) 4.77 4.58 4.37 4.19 3.88
Mod Dur 4.27 4.10 3.92 3.77 3.50
First Prin Pay 7/10/2009 1/10/2008 6/10/2007 12/10/2006 6/10/2006
Maturity 11/10/2009 9/10/2009 9/10/2009 9/10/2009 6/10/2009
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 307,618,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.420%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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 4.44 4.46 4.45 4.45 4.45
100.06250000 4.43 4.45 4.44 4.44 4.44
100.12500000 4.42 4.43 4.43 4.43 4.43
100.18750000 4.41 4.42 4.42 4.41 4.41
100.25000000 4.40 4.41 4.41 4.40 4.40
100.31250000 4.39 4.40 4.40 4.39 4.39
100.37500000 4.38 4.39 4.39 4.38 4.38
100.43750000 4.37 4.38 4.38 4.37 4.37
100.50000000 4.35 4.37 4.36 4.36 4.35
100.56250000 4.34 4.36 4.35 4.35 4.34
100.62500000 4.33 4.34 4.34 4.33 4.33
100.68750000 4.32 4.33 4.33 4.32 4.32
100.75000000 4.31 4.32 4.32 4.31 4.31
100.81250000 4.30 4.31 4.31 4.30 4.30
100.87500000 4.29 4.30 4.30 4.29 4.28
100.93750000 4.28 4.29 4.28 4.28 4.27
101.00000000 4.27 4.28 4.27 4.27 4.26
WAL (yrs) 6.77 6.54 6.41 6.33 6.09
Mod Dur 5.73 5.56 5.46 5.40 5.22
First Prin Pay 11/10/2009 9/10/2009 9/10/2009 9/10/2009 6/10/2009
Maturity 11/10/2011 11/10/2011 11/10/2011 10/10/2011 9/10/2011
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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-AB
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-5 Initial Balance: 46,487,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.524%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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 4.55 4.64 4.63 4.60 4.55
100.06250000 4.54 4.63 4.62 4.59 4.54
100.12500000 4.53 4.62 4.60 4.58 4.53
100.18750000 4.52 4.60 4.59 4.57 4.51
100.25000000 4.50 4.59 4.58 4.56 4.50
100.31250000 4.49 4.58 4.57 4.55 4.49
100.37500000 4.48 4.57 4.56 4.53 4.48
100.43750000 4.47 4.56 4.55 4.52 4.47
100.50000000 4.46 4.55 4.54 4.51 4.46
100.56250000 4.45 4.54 4.52 4.50 4.45
100.62500000 4.44 4.52 4.51 4.49 4.43
100.68750000 4.43 4.51 4.50 4.48 4.42
100.75000000 4.42 4.50 4.49 4.47 4.41
100.81250000 4.41 4.49 4.48 4.45 4.40
100.87500000 4.40 4.48 4.47 4.44 4.39
100.93750000 4.39 4.47 4.46 4.43 4.38
101.00000000 4.38 4.46 4.45 4.42 4.36
WAL (yrs) 6.99 6.42 6.42 6.41 6.35
Mod Dur 5.85 5.44 5.44 5.44 5.40
First Prin Pay 7/10/2009 7/10/2009 7/10/2009 7/10/2009 7/10/2009
Maturity 1/10/2014 11/10/2011 11/10/2011 11/10/2011 9/10/2011
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 198,649,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.825%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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 4.86 4.87 4.86 4.86 4.86
100.06250000 4.85 4.86 4.85 4.85 4.85
100.12500000 4.84 4.85 4.84 4.84 4.84
100.18750000 4.83 4.84 4.83 4.83 4.83
100.25000000 4.82 4.83 4.83 4.82 4.82
100.31250000 4.82 4.82 4.82 4.81 4.81
100.37500000 4.81 4.82 4.81 4.81 4.80
100.43750000 4.80 4.81 4.80 4.80 4.79
100.50000000 4.79 4.80 4.79 4.79 4.79
100.56250000 4.78 4.79 4.78 4.78 4.78
100.62500000 4.78 4.78 4.77 4.77 4.77
100.68750000 4.77 4.77 4.77 4.76 4.76
100.75000000 4.76 4.77 4.76 4.75 4.75
100.81250000 4.75 4.76 4.75 4.74 4.74
100.87500000 4.74 4.75 4.74 4.74 4.73
100.93750000 4.73 4.74 4.73 4.73 4.72
101.00000000 4.73 4.73 4.72 4.72 4.72
WAL (yrs) 9.64 9.28 9.13 9.07 8.87
Mod Dur 7.54 7.31 7.21 7.17 7.04
First Prin Pay 1/10/2014 11/10/2011 11/10/2011 11/10/2011 9/10/2011
Maturity 9/10/2014 8/10/2014 8/10/2014 8/10/2014 6/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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-J
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-5 Initial Balance: 91,353,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.871%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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 4.90 4.90 4.90 4.90 4.90
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 4.88 4.88 4.88 4.88 4.88
100.25000000 4.87 4.87 4.87 4.87 4.87
100.31250000 4.86 4.86 4.86 4.86 4.86
100.37500000 4.86 4.86 4.86 4.86 4.85
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 4.83 4.83 4.83 4.83 4.83
100.62500000 4.82 4.82 4.82 4.82 4.82
100.68750000 4.82 4.82 4.82 4.81 4.81
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 4.78 4.78 4.78 4.78 4.78
101.00000000 4.77 4.77 4.77 4.77 4.77
WAL (yrs) 9.80 9.80 9.80 9.78 9.63
Mod Dur 7.62 7.62 7.62 7.61 7.52
First Prin Pay 9/10/2014 9/10/2014 9/10/2014 8/10/2014 7/10/2014
Maturity 10/10/2014 9/10/2014 9/10/2014 9/10/2014 7/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 39,645,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.909%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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 4.94 4.94 4.94 4.94 4.94
100.06250000 4.94 4.94 4.94 4.94 4.93
100.12500000 4.93 4.93 4.93 4.93 4.93
100.18750000 4.92 4.92 4.92 4.92 4.92
100.25000000 4.91 4.91 4.91 4.91 4.91
100.31250000 4.90 4.90 4.90 4.90 4.90
100.37500000 4.89 4.89 4.89 4.89 4.89
100.43750000 4.89 4.89 4.89 4.89 4.89
100.50000000 4.88 4.88 4.88 4.88 4.88
100.56250000 4.87 4.87 4.87 4.87 4.87
100.62500000 4.86 4.86 4.86 4.86 4.86
100.68750000 4.85 4.85 4.85 4.85 4.85
100.75000000 4.85 4.85 4.85 4.85 4.84
100.81250000 4.84 4.84 4.84 4.84 4.84
100.87500000 4.83 4.83 4.83 4.83 4.83
100.93750000 4.82 4.82 4.82 4.82 4.82
101.00000000 4.81 4.81 4.81 4.81 4.81
WAL (yrs) 9.88 9.87 9.85 9.82 9.66
Mod Dur 7.66 7.65 7.64 7.62 7.52
First Prin Pay 10/10/2014 9/10/2014 9/10/2014 9/10/2014 7/10/2014
Maturity 10/10/2014 10/10/2014 10/10/2014 10/10/2014 8/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 13,789,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.938%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
100.00094000 4.97 4.97 4.97 4.97 4.97
100.06344000 4.96 4.96 4.96 4.96 4.96
100.12594000 4.96 4.96 4.96 4.96 4.96
100.18844000 4.95 4.95 4.95 4.95 4.95
100.25094000 4.94 4.94 4.94 4.94 4.94
100.31344000 4.93 4.93 4.93 4.93 4.93
100.37594000 4.92 4.92 4.92 4.92 4.92
100.43844000 4.92 4.92 4.92 4.92 4.91
100.50094000 4.91 4.91 4.91 4.91 4.91
100.56344000 4.90 4.90 4.90 4.90 4.90
100.62594000 4.89 4.89 4.89 4.89 4.89
100.68844000 4.88 4.88 4.88 4.88 4.88
100.75094000 4.88 4.88 4.88 4.88 4.87
100.81344000 4.87 4.87 4.87 4.87 4.87
100.87594000 4.86 4.86 4.86 4.86 4.86
100.93844000 4.85 4.85 4.85 4.85 4.85
101.00094000 4.84 4.84 4.84 4.84 4.84
WAL (yrs) 9.88 9.88 9.88 9.88 9.71
Mod Dur 7.65 7.65 7.65 7.65 7.54
First Prin Pay 10/10/2014 10/10/2014 10/10/2014 10/10/2014 8/10/2014
Maturity 10/10/2014 10/10/2014 10/10/2014 10/10/2014 8/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 22,407,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.991%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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 5.03 5.03 5.03 5.03 5.03
100.06250000 5.02 5.02 5.02 5.02 5.02
100.12500000 5.01 5.01 5.01 5.01 5.01
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 4.99 4.99 4.99 4.99 4.99
100.37500000 4.98 4.98 4.98 4.98 4.98
100.43750000 4.97 4.97 4.97 4.97 4.97
100.50000000 4.96 4.96 4.96 4.96 4.96
100.56250000 4.95 4.95 4.95 4.95 4.95
100.62500000 4.95 4.95 4.95 4.95 4.94
100.68750000 4.94 4.94 4.94 4.94 4.94
100.75000000 4.93 4.93 4.93 4.93 4.93
100.81250000 4.92 4.92 4.92 4.92 4.92
100.87500000 4.91 4.91 4.91 4.91 4.91
100.93750000 4.91 4.90 4.90 4.90 4.90
101.00000000 4.90 4.90 4.90 4.90 4.89
WAL (yrs) 9.91 9.89 9.88 9.88 9.71
Mod Dur 7.64 7.63 7.62 7.62 7.52
First Prin Pay 10/10/2014 10/10/2014 10/10/2014 10/10/2014 8/10/2014
Maturity 11/10/2014 11/10/2014 10/10/2014 10/10/2014 8/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 22,407,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.991%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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 5.03 5.03 5.03 5.03 5.03
100.06250000 5.02 5.02 5.02 5.02 5.02
100.12500000 5.01 5.01 5.01 5.01 5.01
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 4.99 4.99 4.99 4.99 4.99
100.37500000 4.98 4.98 4.98 4.98 4.98
100.43750000 4.97 4.97 4.97 4.97 4.97
100.50000000 4.96 4.96 4.96 4.96 4.96
100.56250000 4.95 4.95 4.95 4.95 4.95
100.62500000 4.95 4.95 4.95 4.95 4.94
100.68750000 4.94 4.94 4.94 4.94 4.94
100.75000000 4.93 4.93 4.93 4.93 4.93
100.81250000 4.92 4.92 4.92 4.92 4.92
100.87500000 4.91 4.91 4.91 4.91 4.91
100.93750000 4.91 4.90 4.90 4.90 4.90
101.00000000 4.90 4.90 4.90 4.90 4.89
WAL (yrs) 9.91 9.89 9.88 9.88 9.71
Mod Dur 7.64 7.63 7.62 7.62 7.52
First Prin Pay 10/10/2014 10/10/2014 10/10/2014 10/10/2014 8/10/2014
Maturity 11/10/2014 11/10/2014 10/10/2014 10/10/2014 8/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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
BACM 2004-5
100%
Loan Name Balance Contribution to the IO
Power Self Storage 3,739,810.19 0.51%
Simon - Cheltenham Square Mall 54,941,036.00 7.44%
Sun Communities Portfolio 13 36,487,198.00 0.94%
Sun Communities Portfolio 4 27,620,542.00 0.71%
James River Towne Center 26,080,467.08 2.47%
Koreatown Galleria 20,979,478.95 1.45%
L'Oreal Warehouse 20,200,000.00 1.76%
Medical Mutual of Ohio - Toledo 19,248,572.68 1.95%
Beechnut 2,345,325.34 0.25%
The Falls at Ocotillo 14,800,000.00 2.00%
Abbey West Apartments 13,952,717.71 0.31%
Sterling University Villa 13,600,000.00 0.37%
Sun Communities - Southfork 13,360,000.00 0.35%
Omega Corporate Center 24,900,000.00 2.21%
Zeman Portfolio - Shady Oaks I & II 12,332,985.00 0.47%
Richmond Hill Road Plaza 11,977,977.41 1.62%
Tamal Vista Warehouse 11,269,865.45 1.53%
Village of Woodland Hills 9,481,631.07 1.13%
Villa Monaco Shopping Center 9,150,000.00 0.86%
Beach Western Commons 8,800,000.00 1.19%
Home Depot Center 8,425,873.04 0.73%
Sunrise Medical Tower I & II 8,159,698.19 0.87%
Sunrise Medical Tower III 7,965,587.01 0.85%
Zeman Portfolio - Pleasant Valley
MHC and Self Storage 7,892,026.00 0.41%
Stor All - Gentilly 6,819,050.07 0.66%
Shoppes at Victoria Square 6,750,000.00 0.66%
All Storage Mustang Road 6,693,548.29 0.50%
The Marketplace at Hollywood Park 6,500,000.00 0.72%
ICG Portfolio 50,500,000.00 2.94%
Cypress Self Storage 6,075,000.00 0.67%
Santa Rosa Plaza 5,984,613.49 0.91%
A-1 North Hollywood Self Storage 5,683,299.70 0.51%
Park Place Shopping Center 4,287,507.29 0.46%
Nob Hill Self Storage 5,600,000.00 0.71%
Milledgeville Shops 5,081,851.26 0.66%
Medical Family Health Center 4,919,319.70 0.15%
North County Corporate Center 26,660,000.00 0.85%
Rush Creek II 5,026,400.70 0.70%
TRAK Microwave Industrial Building 4,291,232.79 0.37%
Hampton Inn - Colton, CA 4,100,000.00 0.61%
West Marine Plaza 3,885,792.79 0.36%
Zeman Portfolio - Sunny Acres 3,784,282.00 0.20%
Black Hills Medical Park 3,766,030.52 0.08%
Walgreens - Sacramento, CA 3,590,601.70 0.52%
Office Depot/ Michael's 3,495,220.76 0.34%
Sonterra Park Market 3,483,384.14 0.42%
A-1 Santa Ana Self Storage 2,994,032.36 0.29%
Sunrise Medical Tower V 2,343,944.67 0.25%
Sun Communities - Bonita Lake 1,520,000.00 0.04%
Sunrise Medical Tower IV 1,150,629.52 0.12%
Riverview Plaza 10,660,341.29 1.05%
Storage USA - Savi Ranch 6,600,000.00 0.99%
Storage Choice - Pearland 3,087,324.77 0.40%
Storage Choice Sugar Land 3,091,537.00 0.42%
Storage Columbus Macon Road 2,140,941.04 0.34%
Ross Valley Self Storage 4,291,353.13 0.35%
Smoky Hill Town Center Phase II 2,595,060.39 0.33%
Brookhollow Village Shopping Center 3,991,921.54 0.40%
Texas Station Shopping Center 2,591,376.62 0.43%
Prescott Valley Shopping Center 7,492,363.46 0.46%
1 Kimberly Road & 10 Alvin Court 6,150,000.00 0.64%
Boulder Bins Self Storage 5,493,910.89 0.45%
Jefferson at Congressional (Land) 18,500,000.00 3.30%
Commonwealth Commerces Center 9,266,530.13 0.98%
Redline Self Storage 2,175,552.82 0.13%
Stor All - Tchoupitoulas 7,117,694.60 0.68%
Arts Industria Building 4,241,655.54 0.48%
Courtyard Springfield 13,650,000.00 0.94%
Malibu Self Storage 5,775,000.00 0.76%
Corporate Center 32,900,000.00 1.89%
Dutch Village 2,900,000.00 0.35%
Annunziata Multifamily Portfolio I 4,750,000.00 0.18%
Storage One at Tenaya 3,584,989.39 0.34%
Congressional Village 32,500,000.00 5.79%
Roswell Village 12,300,000.00 1.18%
Summit Plaza Self Storage 4,077,738.38 0.41%
Kennedy Meadows MHC 2,217,757.41 0.08%
Skytop Pavillion I 13,345,000.00 0.71%
Truxtun Avenue 4,995,476.04 0.55%
Storage USA Waldorf 5,644,083.55 0.32%
Fredericksburg Westwood Center Retail 10,850,998.81 1.59%
Lockaway SS - Hollywood 3,375,000.00 0.43%
American Self Storage 4,985,325.83 0.40%
8210 Wellmoor Court 3,450,000.00 0.17%
Annunziata Multifamily Portfolio II 3,100,000.00 0.11%
3100 Weslayan 4,650,000.00 0.54%
Bluffton Commons 10,180,000.00 0.99%
Storage USA - Tamarisk 3,899,417.61 0.57%
Plaza 205 16,000,000.00 2.10%
CLK - Paddock Place Apartments 5,610,000.00 0.23%
Summit Place Apartments 6,386,934.28 0.60%
Princeton Arms & Court 24,813,390.73 0.60%
Zeman Portfolio - Colonial Estates 4,704,730.00 0.24%
Quail Run / Southpointe 7,578,419.21 0.89%
Zeman Portfolio - Valley Oaks 4,847,604.00 0.25%
Cascades Apts - Phoenix, AZ 6,123,788.28 0.33%
North Oak Apartments 3,995,546.72 0.08%
Huntington Apartments 9,140,000.00 0.18%
Fairmeadow Apartments 4,240,000.00 0.07%
Ocean Luxury Residences 90,000,000.00 1.82%
Country Club Ridge 5,500,000.00 0.80%
Zeman Portfolio - Edgebrook 6,800,000.00 0.35%
Zeman Portfolio - Maple Grove Estates 6,476,490.00 0.31%
AMLI Timberglen 10,400,000.00 0.26%
Acerno Villas Apartments 12,400,000.00 1.50%
Brook Lyn Apartments 3,400,000.00 0.33%
Zeman Portfolio - Alpine Village 17,442,282.00 1.98%
Saddlebrook Apartments 11,750,000.00 1.47%
Bank of America Center 137,000,000.00 3.75%
Charles Square 77,000,000.00 4.13%
Rentar Plaza 52,000,000.00 0.64%
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 A-1A
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-5 Initial Balance: 241,609,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.396%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3
- ------------------------------------------------------------------------------------------------------------------------------------
Extension Scenario Default Sce
- ------------------------------------------------------------------------------------------------------------------------------------
Ext (months) 0.00 24.00 0.00
Balloon Ext % 0.00% 25.00% 0.00%
Default (CDR)
CDR NA NA 16.00
Default in month NA NA 24.00
Loss Seveirty NA NA 45.00%
Recovery Lag NA NA 12.00
During YM 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00%
Scenario 1 Scenario 2 Scenario 3
100.00000000 4.42 4.42 4.26
100.06250000 4.40 4.41 4.25
100.12500000 4.39 4.39 4.24
100.18750000 4.38 4.38 4.22
100.25000000 4.37 4.37 4.21
100.31250000 4.36 4.36 4.20
100.37500000 4.35 4.35 4.19
100.43750000 4.33 4.34 4.18
100.50000000 4.32 4.33 4.16
100.56250000 4.31 4.32 4.15
100.62500000 4.30 4.31 4.14
100.68750000 4.29 4.29 4.13
100.75000000 4.28 4.28 4.12
100.81250000 4.26 4.27 4.10
100.87500000 4.25 4.26 4.09
100.93750000 4.24 4.25 4.08
101.00000000 4.23 4.24 4.07
WAL (yrs) 6.34 6.66 6.19
Mod Dur 5.34 5.58 5.23
First Prin Pay 12/10/2004 12/10/2004 12/10/2004
Maturity 9/10/2014 9/10/2014 11/10/2019
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 57,600,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 3.6370%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3
- ------------------------------------------------------------------------------------------------------------------------------------
Extension Scenario Default Sce
- ------------------------------------------------------------------------------------------------------------------------------------
Ext (months) 0.00 24.00 0.00
Balloon Ext % 0.00% 25.00% 0.00%
Default (CDR)
CDR NA NA 16.00
Default in month NA NA 24.00
Loss Seveirty NA NA 45.00%
Recovery Lag NA NA 12.00
During YM 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00%
Scenario 1 Scenario 2 Scenario 3
99.75000000 3.72 3.72 3.73
99.81250000 3.70 3.70 3.71
99.87500000 3.68 3.68 3.68
99.93750000 3.65 3.65 3.65
100.00000000 3.63 3.63 3.62
100.06250000 3.61 3.61 3.60
100.12500000 3.58 3.58 3.57
100.18750000 3.56 3.56 3.54
100.25000000 3.54 3.54 3.52
100.31250000 3.51 3.51 3.49
100.37500000 3.49 3.49 3.46
100.43750000 3.47 3.47 3.43
100.50000000 3.44 3.45 3.41
100.56250000 3.42 3.42 3.38
100.62500000 3.40 3.40 3.35
100.68750000 3.37 3.38 3.32
100.75000000 3.35 3.35 3.30
WAL (Yrs) 2.89 2.91 2.43
Mod Dur 2.67 2.69 2.28
FirstPrinPay 12/10/2004 12/10/2004 12/10/2004
Maturity 7/10/2009 7/10/2009 2/10/2008
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 251,176,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.015%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3
- ------------------------------------------------------------------------------------------------------------------------------------
Extension Scenario Default Sce
- ------------------------------------------------------------------------------------------------------------------------------------
Ext (months) 0.00 24.00 0.00
Balloon Ext % 0.00% 25.00% 0.00%
Default (CDR)
CDR NA NA 16.00
Default in month NA NA 24.00
Loss Seveirty NA NA 45.00%
Recovery Lag NA NA 12.00
During YM 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00%
Scenario 1 Scenario 2 Scenario 3
100.00000000 4.03 4.03 4.02
100.06250000 4.01 4.01 4.01
100.12500000 4.00 4.00 3.99
100.18750000 3.98 3.99 3.97
100.25000000 3.97 3.97 3.96
100.31250000 3.95 3.96 3.94
100.37500000 3.94 3.94 3.92
100.43750000 3.92 3.93 3.91
100.50000000 3.91 3.92 3.89
100.56250000 3.89 3.90 3.87
100.62500000 3.88 3.89 3.86
100.68750000 3.86 3.88 3.84
100.75000000 3.85 3.86 3.83
100.81250000 3.84 3.85 3.81
100.87500000 3.82 3.84 3.79
100.93750000 3.81 3.82 3.78
101.00000000 3.79 3.81 3.76
WAL (yrs) 4.77 5.16 4.20
Mod Dur 4.27 4.57 3.79
First Prin Pay 7/10/2009 7/10/2009 2/10/2008
Maturity 11/10/2009 7/10/2011 9/10/2009
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 307,618,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.420%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3
- ------------------------------------------------------------------------------------------------------------------------------------
Extension Scenario Default Sce
- ------------------------------------------------------------------------------------------------------------------------------------
Ext (months) 0.00 24.00 0.00
Balloon Ext % 0.00% 25.00% 0.00%
Default (CDR)
CDR NA NA 16.00
Default in month NA NA 24.00
Loss Seveirty NA NA 45.00%
Recovery Lag NA NA 12.00
During YM 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00%
Scenario 1 Scenario 2 Scenario 3
100.00000000 4.44 4.44 4.44
100.06250000 4.43 4.43 4.43
100.12500000 4.42 4.42 4.41
100.18750000 4.41 4.41 4.40
100.25000000 4.40 4.40 4.39
100.31250000 4.39 4.39 4.38
100.37500000 4.38 4.38 4.36
100.43750000 4.37 4.37 4.35
100.50000000 4.35 4.36 4.34
100.56250000 4.34 4.35 4.33
100.62500000 4.33 4.34 4.31
100.68750000 4.32 4.33 4.30
100.75000000 4.31 4.32 4.29
100.81250000 4.30 4.31 4.28
100.87500000 4.29 4.30 4.26
100.93750000 4.28 4.29 4.25
101.00000000 4.27 4.28 4.24
WAL (yrs) 6.77 7.12 5.76
Mod Dur 5.73 5.98 4.97
First Prin Pay 11/10/2009 7/10/2011 9/10/2009
Maturity 1/10/2014 1/10/2014 9/10/2011
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ----------- --------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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-AB
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-5 Initial Balance: 46,487,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.524%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3
- ------------------------------------------------------------------------------------------------------------------------------------
Extension Scenario Default Sce
- ------------------------------------------------------------------------------------------------------------------------------------
Ext (months) 0.00 24.00 0.00
Balloon Ext % 0.00% 25.00% 0.00%
Default (CDR)
CDR NA NA 16.00
Default in month NA NA 24.00
Loss Seveirty NA NA 45.00%
Recovery Lag NA NA 12.00
During YM 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00%
Scenario 1 Scenario 2 Scenario 3
100.00000000 4.55 4.55 4.55
100.06250000 4.54 4.54 4.53
100.12500000 4.53 4.53 4.52
100.18750000 4.52 4.52 4.51
100.25000000 4.50 4.50 4.50
100.31250000 4.49 4.49 4.49
100.37500000 4.48 4.48 4.48
100.43750000 4.47 4.47 4.46
100.50000000 4.46 4.46 4.45
100.56250000 4.45 4.45 4.44
100.62500000 4.44 4.44 4.43
100.68750000 4.43 4.43 4.42
100.75000000 4.42 4.42 4.41
100.81250000 4.41 4.41 4.40
100.87500000 4.40 4.40 4.38
100.93750000 4.39 4.39 4.37
101.00000000 4.38 4.38 4.36
WAL (yrs) 6.99 6.99 6.33
Mod Dur 5.85 5.85 5.38
First Prin Pay 7/10/2009 7/10/2009 7/10/2009
Maturity 1/10/2014 1/10/2014 9/10/2011
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ----------- --------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 198,649,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.825%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3
- ------------------------------------------------------------------------------------------------------------------------------------
Extension Scenario Default Sce
- ------------------------------------------------------------------------------------------------------------------------------------
Ext (months) 0.00 24.00 0.00
Balloon Ext % 0.00% 25.00% 0.00%
Default (CDR)
CDR NA NA 16.00
Default in month NA NA 24.00
Loss Seveirty NA NA 45.00%
Recovery Lag NA NA 12.00
During YM 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00%
Scenario 1 Scenario 2 Scenario 3
100.00000000 4.86 4.86 4.65
100.06250000 4.85 4.85 4.64
100.12500000 4.84 4.84 4.63
100.18750000 4.83 4.83 4.62
100.25000000 4.82 4.82 4.61
100.31250000 4.82 4.82 4.60
100.37500000 4.81 4.81 4.60
100.43750000 4.80 4.80 4.59
100.50000000 4.79 4.79 4.58
100.56250000 4.78 4.78 4.57
100.62500000 4.78 4.78 4.56
100.68750000 4.77 4.77 4.55
100.75000000 4.76 4.76 4.54
100.81250000 4.75 4.75 4.53
100.87500000 4.74 4.74 4.53
100.93750000 4.73 4.73 4.52
101.00000000 4.73 4.73 4.51
WAL (yrs) 9.64 9.68 8.81
Mod Dur 7.54 7.56 7.00
First Prin Pay 1/10/2014 1/10/2014 9/10/2011
Maturity 9/10/2014 9/10/2014 11/10/2019
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ----------- --------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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-J
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM Series 2004-5 Initial Balance: 91,353,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.871%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3
- ------------------------------------------------------------------------------------------------------------------------------------
Extension Scenario Default Sce
- ------------------------------------------------------------------------------------------------------------------------------------
Ext (months) 0.00 24.00 0.00
Balloon Ext % 0.00% 25.00% 0.00%
Default (CDR)
CDR NA NA 16.00
Default in month NA NA 24.00
Loss Seveirty NA NA 45.00%
Recovery Lag NA NA 12.00
During YM 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00%
Scenario 1 Scenario 2 Scenario 3
100.00000000 4.90 4.90 -22.92
100.06250000 4.90 4.90 -22.93
100.12500000 4.89 4.89 -22.94
100.18750000 4.88 4.88 -22.95
100.25000000 4.87 4.87 -22.97
100.31250000 4.86 4.86 -22.98
100.37500000 4.86 4.86 -22.99
100.43750000 4.85 4.85 -23.00
100.50000000 4.84 4.84 -23.01
100.56250000 4.83 4.83 -23.02
100.62500000 4.82 4.82 -23.03
100.68750000 4.82 4.82 -23.04
100.75000000 4.81 4.81 -23.06
100.81250000 4.80 4.80 -23.07
100.87500000 4.79 4.79 -23.08
100.93750000 4.78 4.78 -23.09
101.00000000 4.77 4.78 -23.10
WAL (yrs) 9.80 9.91 0.00
Mod Dur 7.62 7.69 5.53
First Prin Pay 9/10/2014 9/10/2014
Maturity 10/10/2014 11/10/2014 4/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ----------- --------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 39,645,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.909%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3
- ------------------------------------------------------------------------------------------------------------------------------------
Extension Scenario Default Sce
- ------------------------------------------------------------------------------------------------------------------------------------
Ext (months) 0.00 24.00 0.00
Balloon Ext % 0.00% 25.00% 0.00%
Default (CDR)
CDR NA NA 16.00
Default in month NA NA 24.00
Loss Seveirty NA NA 45.00%
Recovery Lag NA NA 12.00
During YM 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00%
Scenario 1 Scenario 2 Scenario 3
100.00000000 4.94 4.94 -37.69
100.06250000 4.94 4.94 -37.70
100.12500000 4.93 4.93 -37.72
100.18750000 4.92 4.92 -37.73
100.25000000 4.91 4.91 -37.74
100.31250000 4.90 4.90 -37.76
100.37500000 4.89 4.90 -37.77
100.43750000 4.89 4.89 -37.78
100.50000000 4.88 4.88 -37.80
100.56250000 4.87 4.87 -37.81
100.62500000 4.86 4.86 -37.83
100.68750000 4.85 4.86 -37.84
100.75000000 4.85 4.85 -37.85
100.81250000 4.84 4.84 -37.87
100.87500000 4.83 4.83 -37.88
100.93750000 4.82 4.82 -37.89
101.00000000 4.81 4.82 -37.91
WAL (yrs) 9.88 10.06 0.00
Mod Dur 7.66 7.76 4.51
First Prin Pay 10/10/2014 11/10/2014
Maturity 10/10/2014 2/10/2016 10/10/2010
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ----------- --------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 13,789,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.938%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3
- ------------------------------------------------------------------------------------------------------------------------------------
Extension Scenario Default Sce
- ------------------------------------------------------------------------------------------------------------------------------------
Ext (months) 0.00 24.00 0.00
Balloon Ext % 0.00% 25.00% 0.00%
Default (CDR)
CDR NA NA 16.00
Default in month NA NA 24.00
Loss Seveirty NA NA 45.00%
Recovery Lag NA NA 12.00
During YM 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00%
Scenario 1 Scenario 2 Scenario 3
100.00094000 4.97 4.97 -44.45
100.06344000 4.96 4.97 -44.47
100.12594000 4.96 4.96 -44.48
100.18844000 4.95 4.95 -44.49
100.25094000 4.94 4.95 -44.51
100.31344000 4.93 4.94 -44.52
100.37594000 4.92 4.93 -44.54
100.43844000 4.92 4.92 -44.55
100.50094000 4.91 4.92 -44.57
100.56344000 4.90 4.91 -44.58
100.62594000 4.89 4.90 -44.60
100.68844000 4.88 4.89 -44.61
100.75094000 4.88 4.89 -44.63
100.81344000 4.87 4.88 -44.64
100.87594000 4.86 4.87 -44.66
100.93844000 4.85 4.87 -44.67
101.00094000 4.84 4.86 -44.68
WAL (yrs) 9.88 11.49 0.00
Mod Dur 7.65 8.58 4.24
First Prin Pay 10/10/2014 2/10/2016
Maturity 10/10/2014 7/10/2016 10/10/2009
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ----------- --------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 22,407,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 4.991%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3
- ------------------------------------------------------------------------------------------------------------------------------------
Extension Scenario Default Sce
- ------------------------------------------------------------------------------------------------------------------------------------
Ext (months) 0.00 24.00 0.00
Balloon Ext % 0.00% 25.00% 0.00%
Default (CDR)
CDR NA NA 16.00
Default in month NA NA 24.00
Loss Seveirty NA NA 45.00%
Recovery Lag NA NA 12.00
During YM 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00%
Scenario 1 Scenario 2 Scenario 3
100.00000000 5.03 5.03 -48.00
100.06250000 5.02 5.02 -48.01
100.12500000 5.01 5.01 -48.03
100.18750000 5.00 5.01 -48.04
100.25000000 4.99 5.00 -48.06
100.31250000 4.99 4.99 -48.07
100.37500000 4.98 4.99 -48.09
100.43750000 4.97 4.98 -48.10
100.50000000 4.96 4.97 -48.12
100.56250000 4.95 4.96 -48.13
100.62500000 4.95 4.96 -48.15
100.68750000 4.94 4.95 -48.16
100.75000000 4.93 4.94 -48.18
100.81250000 4.92 4.94 -48.19
100.87500000 4.91 4.93 -48.21
100.93750000 4.91 4.92 -48.22
101.00000000 4.90 4.91 -48.24
WAL (yrs) 9.91 11.68 0.00
Mod Dur 7.64 8.65 4.12
First Prin Pay 10/10/2014 7/10/2016
Maturity 11/10/2014 8/10/2016 7/10/2009
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
- ----------- --------------------
1% Cleanup Call is Not Exercised Term (Yrs) Yield (BEY%)
- -------------------------------- ---------- ------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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 2004-5 Initial Balance: 1,348,141,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 0.8121%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8 Scenario 9
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 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% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Defualt (CDR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8 Scenario 9
- ------------------------------------------------------------------------------------------------------------------------------------
Default Rate 0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00% 7.00% 8.00%
Loss Severity 0.00% 35.00% 35.00% 35.00% 35.00% 35.00% 35.00% 35.00% 35.00%
Lag (months) 0 12 12 12 12 12 12 12 12
Default Starting
in Month 0 1 1 1 1 1 1 1 1
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8 Scenario 9
- ------------------------------------------------------------------------------------------------------------------------------------
3.703810000 4.94 4.94 4.94 4.94 4.94 4.94 4.94 4.61 4.06
3.719430000 4.78 4.78 4.78 4.78 4.78 4.78 4.78 4.45 3.90
3.735060000 4.62 4.62 4.62 4.62 4.62 4.62 4.62 4.30 3.74
3.750680000 4.46 4.46 4.46 4.46 4.46 4.46 4.46 4.14 3.58
3.766310000 4.31 4.31 4.31 4.31 4.31 4.31 4.31 3.98 3.42
3.781930000 4.15 4.15 4.15 4.15 4.15 4.15 4.15 3.82 3.27
3.797560000 4.00 4.00 4.00 4.00 4.00 4.00 4.00 3.67 3.11
3.813180000 3.84 3.84 3.84 3.84 3.84 3.84 3.84 3.52 2.96
3.828810000 3.69 3.69 3.69 3.69 3.69 3.69 3.69 3.36 2.81
3.844430000 3.54 3.54 3.54 3.54 3.54 3.54 3.54 3.21 2.65
3.860060000 3.39 3.39 3.39 3.39 3.39 3.39 3.39 3.06 2.50
3.875680000 3.24 3.24 3.24 3.24 3.24 3.24 3.24 2.91 2.35
3.891310000 3.09 3.09 3.09 3.09 3.09 3.09 3.09 2.76 2.21
3.906930000 2.94 2.94 2.94 2.94 2.94 2.94 2.94 2.62 2.06
3.922560000 2.80 2.80 2.80 2.80 2.80 2.80 2.80 2.47 1.91
3.938180000 2.65 2.65 2.65 2.65 2.65 2.65 2.65 2.32 1.77
3.953810000 2.51 2.51 2.51 2.51 2.51 2.51 2.51 2.18 1.62
WAL (yrs) 5.21 5.21 5.21 5.21 5.21 5.21 5.21 5.15 5.07
Mod Dur 2.65 2.65 2.65 2.65 2.65 2.65 2.65 2.648 2.648
First Prin Pay 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005
Maturity 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011
Yield Spread 31 31 31 31 31 31 31 -1 -56
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
----------------------------------
1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- ---------------- ----------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
30 4.846%
- ------------------------------------------------------------------------------------------------------------------------------------
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 2004-5 Initial Balance: 1,348,141,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 0.8121%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8 Scenario 9
- ------------------------------------------------------------------------------------------------------------------------------------
During YM 0.00% 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% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Defualt (CDR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8 Scenario 9
- ------------------------------------------------------------------------------------------------------------------------------------
Default Rate 0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00% 7.00% 8.00%
Loss Severity 0.00% 35.00% 35.00% 35.00% 35.00% 35.00% 35.00% 35.00% 35.00%
Lag (months) 0 12 12 12 12 12 12 12 12
Default Starting
in Month 0 24 24 24 24 24 24 24 24
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 Scenario 8 Scenario 9
- ------------------------------------------------------------------------------------------------------------------------------------
3.703810000 4.94 4.94 4.94 4.94 4.94 4.94 4.94 4.94 4.93
3.719430000 4.78 4.78 4.78 4.78 4.78 4.78 4.78 4.78 4.77
3.735060000 4.62 4.62 4.62 4.62 4.62 4.62 4.62 4.62 4.62
3.750680000 4.46 4.46 4.46 4.46 4.46 4.46 4.46 4.46 4.46
3.766310000 4.31 4.31 4.31 4.31 4.31 4.31 4.30 4.30 4.30
3.781930000 4.15 4.15 4.15 4.15 4.15 4.15 4.15 4.15 4.15
3.797560000 4.00 4.00 4.00 4.00 4.00 4.00 3.99 3.99 3.99
3.813180000 3.84 3.84 3.84 3.84 3.84 3.84 3.84 3.84 3.84
3.828810000 3.69 3.69 3.69 3.69 3.69 3.69 3.69 3.69 3.68
3.844430000 3.54 3.54 3.54 3.54 3.54 3.54 3.54 3.54 3.53
3.860060000 3.39 3.39 3.39 3.39 3.39 3.39 3.39 3.39 3.38
3.875680000 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.23
3.891310000 3.09 3.09 3.09 3.09 3.09 3.09 3.09 3.09 3.08
3.906930000 2.94 2.94 2.94 2.94 2.94 2.94 2.94 2.94 2.94
3.922560000 2.80 2.80 2.80 2.80 2.80 2.80 2.79 2.79 2.79
3.938180000 2.65 2.65 2.65 2.65 2.65 2.65 2.65 2.65 2.64
3.953810000 2.51 2.51 2.51 2.51 2.51 2.50 2.50 2.50 2.50
WAL (yrs) 5.21 5.21 5.21 5.21 5.21 5.21 5.21 5.21 5.21
Mod Dur 2.65 2.65 2.65 2.65 2.65 2.65 2.65 2.65 2.65
First Prin Pay 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005
Maturity 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011
Yield Spread 30.529 30.529 30.529 30.529 30.502 30.431 30.34 30.181 29.946
Yield Spread 50 50 50 50 50 50 50 50 46
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
----------------------------------
1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- ---------------- ----------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
30 4.846%
- ------------------------------------------------------------------------------------------------------------------------------------
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 2004-5 Initial Balance: 1,348,141,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 0.8121%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
3.703810000 4.94 4.94 4.93 4.93 4.74
3.719430000 4.78 4.78 4.77 4.77 4.58
3.735060000 4.62 4.62 4.62 4.61 4.42
3.750680000 4.46 4.46 4.46 4.45 4.26
3.766310000 4.31 4.31 4.30 4.30 4.11
3.781930000 4.15 4.15 4.15 4.14 3.95
3.797560000 4.00 3.99 3.99 3.99 3.80
3.813180000 3.84 3.84 3.84 3.83 3.65
3.828810000 3.69 3.69 3.69 3.68 3.49
3.844430000 3.54 3.54 3.53 3.53 3.34
3.860060000 3.39 3.39 3.38 3.38 3.19
3.875680000 3.24 3.24 3.23 3.23 3.04
3.891310000 3.09 3.09 3.09 3.08 2.90
3.906930000 2.94 2.94 2.94 2.93 2.75
3.922560000 2.80 2.79 2.79 2.79 2.60
3.938180000 2.65 2.65 2.65 2.64 2.46
3.953810000 2.51 2.50 2.50 2.50 2.32
WAL (yrs) 5.21 5.21 5.21 5.21 5.19
Mod Dur 2.65 2.65 2.65 2.65 2.67
First Prin Pay 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005
Maturity 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011
Yield Spread 31 30 30 30 11
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Assumptions Treasury Curve as of
----------------------------------
1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- ---------------- ----------------
Initial Balance is as of November 2004 1/12 2.592%
- --------------------------------------
Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
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
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Security ID: BACM Series 2004-5 Initial Balance: 1,348,141,000
Settlement Date: 11/23/04 Initial Pass-Through Rate: 0.8121%
Accrual Start Date: 11/01/04
First Pay Date: 12/10/04
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Prepayment (CPR) Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
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During YM 0.00% 0.00% 0.00% 0.00% 0.00%
During Open 0.00% 25.00% 50.00% 75.00% 100.00%
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Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
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3.703810000 4.94 4.94 4.94 4.94 4.94
3.719430000 4.78 4.78 4.78 4.78 4.78
3.735060000 4.62 4.62 4.62 4.62 4.62
3.750680000 4.46 4.46 4.46 4.46 4.46
3.766310000 4.31 4.31 4.31 4.31 4.31
3.781930000 4.15 4.15 4.15 4.15 4.15
3.797560000 4.00 4.00 4.00 4.00 4.00
3.813180000 3.84 3.84 3.84 3.84 3.84
3.828810000 3.69 3.69 3.69 3.69 3.69
3.844430000 3.54 3.54 3.54 3.54 3.54
3.860060000 3.39 3.39 3.39 3.39 3.39
3.875680000 3.24 3.24 3.24 3.24 3.24
3.891310000 3.09 3.09 3.09 3.09 3.09
3.906930000 2.94 2.94 2.94 2.94 2.94
3.922560000 2.80 2.80 2.80 2.80 2.80
3.938180000 2.65 2.65 2.65 2.65 2.65
3.953810000 2.51 2.51 2.51 2.51 2.51
WAL (yrs) 5.21 5.21 5.21 5.21 5.21
Mod Dur 2.65 2.65 2.65 2.65 2.65
First Prin Pay 5/10/2005 5/10/2005 5/10/2005 5/10/2005 5/10/2005
Maturity 11/10/2011 11/10/2011 11/10/2011 11/10/2011 11/10/2011
Yield Spread 31 31 31 31 31
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Assumptions Treasury Curve as of
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1% Cleanup Call is Exercised Term (Yrs) Yield (BEY%)
- ---------------------------- ---------------- ----------------
Initial Balance is as of November 2004 1/12 2.592%
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Prepay Rates are a Constant % of CPR 1/4 2.592%
100% of All Prepayment Premiums are assumed to be collected 1/2 2.592%
Prepayment Premiums are allocated to one or more classes 2 2.592%
of the offered certificates as described under "Description of the Certificates-Distributions- 3 2.831%
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 3.355%
No Extensions on any Mortgage Loan 10 4.086%
No Delinquencies on any Mortgage Loan 30 4.846%
No Defaults on any Mortgage Loan
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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