PRICE/YIELD TABLE - CLASS A-1
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM SERIES 2004-2 Initial Balance: 117,783,000
Settlement Date: 04/14/04 Initial Pass-Through Rate: 2.8340%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
99.750000000 2.91 3.26 3.33 3.33 3.30
- ------------------------------------------------------------------------------------------------------------------------------------
99.812500000 2.89 3.23 3.30 3.30 3.26
- ------------------------------------------------------------------------------------------------------------------------------------
99.875000000 2.87 3.21 3.27 3.26 3.23
- ------------------------------------------------------------------------------------------------------------------------------------
99.937500000 2.85 3.18 3.24 3.23 3.19
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 2.83 3.16 3.21 3.20 3.15
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 2.81 3.13 3.18 3.16 3.11
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 2.79 3.10 3.15 3.13 3.07
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 2.77 3.08 3.12 3.10 3.03
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 2.75 3.05 3.09 3.06 3.00
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 2.73 3.02 3.06 3.03 2.96
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 2.71 3.00 3.03 3.00 2.92
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 2.70 2.97 3.00 2.96 2.88
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 2.68 2.95 2.97 2.93 2.84
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 2.66 2.92 2.94 2.90 2.81
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 2.64 2.89 2.91 2.87 2.77
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 2.62 2.87 2.88 2.83 2.73
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 2.60 2.84 2.85 2.80 2.69
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 3.50 2.51 2.16 1.97 1.70
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 3.27 2.38 2.05 1.88 1.63
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 05/10/2004 05/10/2004 05/10/2004 05/10/2004 05/10/2004
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 01/10/2009 02/10/2008 06/10/2007 03/10/2007 12/10/2006
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 57 46 38 35 32
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ----------------------------------------------------------------------------------------------- ------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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 2004-2 Initial Balance: 195,500,000
Settlement Date: 04/14/04 Initial Pass-Through Rate: 3.377%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 3.38 3.47 3.65 3.81 4.03
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 3.37 3.45 3.64 3.79 4.01
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 3.35 3.44 3.62 3.78 3.99
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 3.34 3.43 3.60 3.76 3.97
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 3.33 3.41 3.59 3.74 3.95
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 3.31 3.40 3.57 3.72 3.93
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 3.30 3.38 3.56 3.70 3.91
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 3.28 3.37 3.54 3.69 3.89
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 3.27 3.35 3.52 3.67 3.87
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 3.26 3.34 3.51 3.65 3.85
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 3.24 3.32 3.49 3.63 3.83
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 3.23 3.31 3.48 3.62 3.81
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 3.21 3.29 3.46 3.60 3.79
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 3.20 3.28 3.44 3.58 3.76
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 3.19 3.26 3.43 3.56 3.74
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 3.17 3.25 3.41 3.55 3.72
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 3.16 3.23 3.39 3.53 3.70
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 4.87 4.63 4.22 3.86 3.29
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 4.43 4.22 3.87 3.54 3.04
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 01/10/2009 02/10/2008 06/10/2007 03/10/2007 12/10/2006
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 05/10/2009 03/10/2009 02/10/2009 01/10/2009 12/10/2008
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 5 14 21 23 25
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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 2004-2 Initial Balance: 283,402,000
Settlement Date: 04/14/04 Initial Pass-Through Rate: 3.867%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 3.88 3.92 3.91 3.89 3.88
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 3.87 3.91 3.89 3.88 3.87
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 3.86 3.89 3.88 3.86 3.85
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 3.85 3.88 3.87 3.85 3.84
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 3.84 3.87 3.86 3.84 3.83
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 3.83 3.86 3.85 3.83 3.82
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 3.82 3.85 3.83 3.81 3.80
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 3.81 3.84 3.82 3.80 3.79
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 3.79 3.82 3.81 3.79 3.78
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 3.78 3.81 3.80 3.78 3.77
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 3.77 3.80 3.79 3.77 3.75
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 3.76 3.79 3.77 3.75 3.74
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 3.75 3.78 3.76 3.74 3.73
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 3.74 3.77 3.75 3.73 3.72
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 3.73 3.75 3.74 3.72 3.70
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 3.72 3.74 3.73 3.71 3.69
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 3.71 3.73 3.71 3.69 3.68
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 6.61 6.10 5.88 5.78 5.63
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 5.73 5.34 5.16 5.08 4.96
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 05/10/2009 03/10/2009 02/10/2009 01/10/2009 12/10/2008
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 01/10/2011 01/10/2011 01/10/2011 01/10/2011 11/10/2010
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 21 23 24 25 24
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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 2004-2 Initial Balance: 125,682,000
Settlement Date: 04/14/04 Initial Pass-Through Rate: 3.990%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 4.01 4.01 4.01 4.01 4.01
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 4.00 4.00 4.00 4.00 4.00
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 3.99 3.99 3.99 3.99 3.98
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 3.98 3.98 3.98 3.97 3.97
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 3.97 3.97 3.97 3.96 3.96
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 3.96 3.96 3.95 3.95 3.95
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 3.95 3.95 3.94 3.94 3.94
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 3.93 3.94 3.93 3.93 3.93
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 3.92 3.93 3.92 3.92 3.92
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 3.91 3.92 3.91 3.91 3.91
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 3.90 3.91 3.90 3.90 3.90
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 3.89 3.89 3.89 3.89 3.89
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 3.88 3.88 3.88 3.88 3.88
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 3.87 3.87 3.87 3.87 3.87
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 3.86 3.86 3.86 3.86 3.85
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 3.85 3.85 3.85 3.85 3.84
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 3.84 3.84 3.84 3.84 3.83
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 7.09 6.89 6.87 6.85 6.68
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 6.06 5.92 5.90 5.89 5.76
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 01/10/2011 01/10/2011 01/10/2011 01/10/2011 11/10/2010
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 03/10/2013 04/10/2011 04/10/2011 04/10/2011 01/10/2011
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 27 4 4 4 3
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
RATING AGENCIES DO NOT ADDRESS THE LIKELIHOOD OF RECEIPT OF PREPAYMENT PENALTIES
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
BANC OF AMERICA SECURITIES LLC
PRICE/YIELD TABLE - CLASS A-5
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM SERIES 2004-2 Initial Balance: 254,120,181
Settlement Date: 04/14/04 Initial Pass-Through Rate: 4.415%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 4.44 4.45 4.44 4.44 4.44
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 4.43 4.44 4.43 4.43 4.43
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 4.43 4.43 4.43 4.42 4.42
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 4.42 4.42 4.42 4.42 4.42
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 4.41 4.41 4.41 4.41 4.41
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 4.40 4.41 4.40 4.40 4.40
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 4.39 4.40 4.39 4.39 4.39
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 4.38 4.39 4.38 4.38 4.38
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 4.38 4.38 4.38 4.37 4.37
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 4.37 4.37 4.37 4.37 4.36
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 4.36 4.36 4.36 4.36 4.36
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 4.35 4.36 4.35 4.35 4.35
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 4.34 4.35 4.34 4.34 4.34
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 4.34 4.34 4.33 4.33 4.33
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 4.33 4.33 4.33 4.32 4.32
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 4.32 4.32 4.32 4.32 4.31
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 4.31 4.32 4.31 4.31 4.31
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 9.64 9.42 9.34 9.30 9.14
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 7.70 7.55 7.50 7.47 7.37
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 03/10/2013 04/10/2011 04/10/2011 04/10/2011 01/10/2011
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 02/10/2014 02/10/2014 02/10/2014 02/10/2014 12/10/2013
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 12 35 35 35 36
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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 2004-2 Initial Balance: 27,045,564
Settlement Date: 04/14/04 Initial Pass-Through Rate: 4.509%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 4.54 4.54 4.54 4.54 4.54
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 4.53 4.53 4.53 4.53 4.53
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 4.52 4.52 4.52 4.52 4.52
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 4.51 4.51 4.51 4.51 4.51
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 4.51 4.51 4.51 4.51 4.50
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 4.50 4.50 4.50 4.50 4.50
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 4.49 4.49 4.49 4.49 4.49
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 4.48 4.48 4.48 4.48 4.48
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 4.47 4.47 4.47 4.47 4.47
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 4.47 4.47 4.47 4.47 4.46
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 4.46 4.46 4.46 4.46 4.46
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 4.45 4.45 4.45 4.45 4.45
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 4.44 4.44 4.44 4.44 4.44
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 4.43 4.43 4.43 4.43 4.43
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 4.43 4.43 4.43 4.43 4.42
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 4.42 4.42 4.42 4.42 4.42
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 4.41 4.41 4.41 4.41 4.41
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 9.83 9.82 9.82 9.82 9.73
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 7.79 7.78 7.78 7.78 7.73
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 02/10/2014 02/10/2014 02/10/2014 02/10/2014 12/10/2013
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 03/10/2014 02/10/2014 02/10/2014 02/10/2014 01/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 2 1 1 1 2
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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.
PRICE/YIELD TABLE - CLASS C
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM SERIES 2004-2 Initial Balance: 12,811,056
Settlement Date: 04/14/04 Initial Pass-Through Rate: 4.549%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 4.58 4.58 4.58 4.58 4.58
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 4.57 4.57 4.57 4.57 4.57
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 4.56 4.56 4.56 4.56 4.56
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 4.55 4.55 4.55 4.55 4.55
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 4.55 4.55 4.55 4.55 4.55
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 4.54 4.54 4.54 4.54 4.54
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 4.53 4.53 4.53 4.53 4.53
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 4.52 4.52 4.52 4.52 4.52
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 4.51 4.51 4.51 4.51 4.51
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 4.51 4.51 4.51 4.51 4.50
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 4.50 4.50 4.50 4.50 4.50
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 4.49 4.49 4.49 4.49 4.49
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 4.48 4.48 4.48 4.48 4.48
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 4.47 4.47 4.47 4.47 4.47
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 4.47 4.47 4.47 4.47 4.46
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 4.46 4.46 4.46 4.46 4.46
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 4.45 4.45 4.45 4.45 4.45
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 9.91 9.90 9.87 9.84 9.74
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 7.82 7.81 7.80 7.78 7.71
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 03/10/2014 02/10/2014 02/10/2014 02/10/2014 01/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 03/10/2014 03/10/2014 03/10/2014 03/10/2014 01/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 1 2 2 2 1
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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.
PRICE/YIELD TABLE - CLASS D
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM SERIES 2004-2 Initial Balance: 24,198,662
Settlement Date: 04/14/04 Initial Pass-Through Rate: 4.599%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 4.63 4.63 4.63 4.63 4.63
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 4.62 4.62 4.62 4.62 4.62
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 4.61 4.61 4.61 4.61 4.61
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 4.60 4.60 4.60 4.60 4.60
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 4.60 4.60 4.60 4.60 4.60
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 4.59 4.59 4.59 4.59 4.59
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 4.58 4.58 4.58 4.58 4.58
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 4.57 4.57 4.57 4.57 4.57
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 4.56 4.56 4.56 4.56 4.56
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 4.56 4.56 4.56 4.56 4.56
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 4.55 4.55 4.55 4.55 4.55
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 4.54 4.54 4.54 4.54 4.54
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 4.53 4.53 4.53 4.53 4.53
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 4.52 4.52 4.52 4.52 4.52
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 4.52 4.52 4.52 4.52 4.52
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 4.51 4.51 4.51 4.51 4.51
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 4.50 4.50 4.50 4.50 4.50
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 9.91 9.91 9.91 9.91 9.74
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 7.80 7.80 7.80 7.80 7.70
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 03/10/2014 03/10/2014 03/10/2014 03/10/2014 01/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 03/10/2014 03/10/2014 03/10/2014 03/10/2014 01/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 1 1 1 1 1
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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 E
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM SERIES 2004-2 Initial Balance: 11,387,606
Settlement Date: 04/14/04 Initial Pass-Through Rate: 4.678%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 4.71 4.71 4.71 4.71 4.71
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 4.70 4.70 4.70 4.70 4.70
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 4.69 4.69 4.69 4.69 4.69
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 4.68 4.68 4.68 4.68 4.68
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 4.68 4.68 4.68 4.68 4.68
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 4.67 4.67 4.67 4.67 4.67
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 4.66 4.66 4.66 4.66 4.66
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 4.65 4.65 4.65 4.65 4.65
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 4.64 4.64 4.64 4.64 4.64
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 4.64 4.64 4.64 4.64 4.64
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 4.63 4.63 4.63 4.63 4.63
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 4.62 4.62 4.62 4.62 4.62
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 4.61 4.61 4.61 4.61 4.61
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 4.60 4.60 4.60 4.60 4.60
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 4.60 4.60 4.60 4.60 4.60
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 4.59 4.59 4.59 4.59 4.59
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 4.58 4.58 4.58 4.58 4.58
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 9.91 9.91 9.91 9.91 9.81
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 7.77 7.77 7.77 7.77 7.71
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 03/10/2014 03/10/2014 03/10/2014 03/10/2014 01/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 03/10/2014 03/10/2014 03/10/2014 03/10/2014 02/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 1 1 1 1 2
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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.
PRICE/YIELD TABLE - CLASS A-1
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM SERIES 2004-2 Initial Balance: 117,783,000
Settlement Date: 04/14/04 Initial Pass-Through Rate: 2.8340%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
99.750000000 2.91 2.91 2.91 2.91 2.91
- ------------------------------------------------------------------------------------------------------------------------------------
99.812500000 2.89 2.89 2.89 2.89 2.89
- ------------------------------------------------------------------------------------------------------------------------------------
99.875000000 2.87 2.87 2.87 2.87 2.87
- ------------------------------------------------------------------------------------------------------------------------------------
99.937500000 2.85 2.85 2.85 2.85 2.85
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 2.83 2.83 2.83 2.83 2.83
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 2.81 2.81 2.81 2.81 2.81
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 2.79 2.79 2.79 2.79 2.79
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 2.77 2.77 2.77 2.77 2.77
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 2.75 2.75 2.75 2.75 2.75
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 2.73 2.73 2.73 2.73 2.73
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 2.71 2.71 2.71 2.71 2.71
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 2.70 2.70 2.69 2.69 2.69
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 2.68 2.68 2.68 2.68 2.67
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 2.66 2.66 2.66 2.66 2.65
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 2.64 2.64 2.64 2.64 2.63
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 2.62 2.62 2.62 2.62 2.61
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 2.60 2.60 2.60 2.60 2.59
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 3.50 3.49 3.49 3.47 3.40
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 3.27 3.26 3.25 3.24 3.18
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 05/10/2004 05/10/2004 05/10/2004 05/10/2004 05/10/2004
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 01/10/2009 01/10/2009 01/10/2009 01/10/2009 11/10/2008
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 57 57 57 57 55
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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 2004-2 Initial Balance: 195,500,000
Settlement Date: 04/14/04 Initial Pass-Through Rate: 3.377%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 3.38 3.38 3.38 3.38 3.38
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 3.37 3.37 3.37 3.37 3.37
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 3.35 3.35 3.35 3.35 3.35
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 3.34 3.34 3.34 3.34 3.34
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 3.33 3.33 3.33 3.33 3.32
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 3.31 3.31 3.31 3.31 3.31
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 3.30 3.30 3.30 3.30 3.30
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 3.28 3.28 3.28 3.28 3.28
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 3.27 3.27 3.27 3.27 3.27
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 3.26 3.26 3.25 3.25 3.25
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 3.24 3.24 3.24 3.24 3.24
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 3.23 3.23 3.23 3.23 3.22
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 3.21 3.21 3.21 3.21 3.21
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 3.20 3.20 3.20 3.20 3.20
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 3.19 3.18 3.18 3.18 3.18
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 3.17 3.17 3.17 3.17 3.17
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 3.16 3.16 3.16 3.16 3.15
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 4.87 4.87 4.86 4.86 4.79
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 4.43 4.42 4.42 4.41 4.35
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 01/10/2009 01/10/2009 01/10/2009 01/10/2009 11/10/2008
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 05/10/2009 05/10/2009 05/10/2009 05/10/2009 05/10/2009
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 5 5 5 5 7
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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 2004-2 Initial Balance: 283,402,000
Settlement Date: 04/14/04 Initial Pass-Through Rate: 3.867%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 3.88 3.88 3.88 3.88 3.88
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 3.87 3.87 3.87 3.87 3.87
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 3.86 3.86 3.86 3.86 3.86
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 3.85 3.85 3.85 3.85 3.85
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 3.84 3.84 3.84 3.84 3.84
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 3.83 3.83 3.83 3.83 3.83
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 3.82 3.82 3.82 3.82 3.81
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 3.81 3.81 3.80 3.80 3.80
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 3.79 3.79 3.79 3.79 3.79
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 3.78 3.78 3.78 3.78 3.78
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 3.77 3.77 3.77 3.77 3.77
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 3.76 3.76 3.76 3.76 3.76
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 3.75 3.75 3.75 3.75 3.75
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 3.74 3.74 3.74 3.74 3.74
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 3.73 3.73 3.73 3.73 3.72
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 3.72 3.72 3.72 3.72 3.71
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 3.71 3.71 3.71 3.71 3.70
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 6.61 6.60 6.58 6.56 6.40
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 5.73 5.72 5.71 5.69 5.58
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 05/10/2009 05/10/2009 05/10/2009 05/10/2009 05/10/2009
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 01/10/2011 01/10/2011 01/10/2011 01/10/2011 11/10/2010
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 21 21 21 21 19
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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 2004-2 Initial Balance: 125,682,000
Settlement Date: 04/14/04 Initial Pass-Through Rate: 3.990%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 4.01 4.01 4.01 4.01 4.01
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 4.00 4.00 4.00 4.00 4.00
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 3.99 3.99 3.99 3.99 3.98
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 3.98 3.98 3.98 3.98 3.97
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 3.97 3.97 3.97 3.96 3.96
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 3.96 3.96 3.95 3.95 3.95
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 3.95 3.94 3.94 3.94 3.94
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 3.93 3.93 3.93 3.93 3.93
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 3.92 3.92 3.92 3.92 3.92
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 3.91 3.91 3.91 3.91 3.91
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 3.90 3.90 3.90 3.90 3.90
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 3.89 3.89 3.89 3.89 3.89
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 3.88 3.88 3.88 3.88 3.88
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 3.87 3.87 3.87 3.87 3.87
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 3.86 3.86 3.86 3.86 3.86
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 3.85 3.85 3.85 3.85 3.85
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 3.84 3.84 3.84 3.84 3.84
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 7.09 7.05 7.02 6.98 6.79
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 6.06 6.04 6.01 5.99 5.85
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 01/10/2011 01/10/2011 01/10/2011 01/10/2011 11/10/2010
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 03/10/2013 11/10/2012 08/10/2012 06/10/2012 05/10/2012
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 27 23 20 18 19
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
No Defaults on any Mortgage Loan
- ------------------------------------------------------------------------------------------------------------------------------------
RATING AGENCIES DO NOT ADDRESS THE LIKELIHOOD OF RECEIPT OF PREPAYMENT PENALTIES
This material is for your private information and Banc of America Securities LLC
(the "Underwriter") is not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriter considers
reliable, but the Underwriter does not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriter makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriter and its
affiliates, directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant to
such registration statement. Information contained in this material is current
as of the date appearing in this material only. Information in this material
regarding any assets backing any securities discussed herein supersedes all
prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded in its entirety by the information contained in
any final prospectus and prospectus supplement for any securities actually sold
to you, which you should read before making any investment decision. This
material is furnished solely by the Underwriter and not by the issuer of the
securities. The issuer of the securities has not prepared, reviewed or
participated in the preparation of this material, is not responsible for the
accuracy of this material and has not authorized the dissemination of this
material. The Underwriter is acting as Underwriter and not acting as agent for
the issuer in connection with the proposed transaction.
BANC OF AMERICA SECURITIES LLC
PRICE/YIELD TABLE - CLASS A-5
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM SERIES 2004-2 Initial Balance: 254,120,181
Settlement Date: 04/14/04 Initial Pass-Through Rate: 4.415%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 4.44 4.44 4.44 4.44 4.44
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 4.43 4.43 4.43 4.43 4.43
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 4.43 4.43 4.43 4.43 4.42
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 4.42 4.42 4.42 4.42 4.42
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 4.41 4.41 4.41 4.41 4.41
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 4.40 4.40 4.40 4.40 4.40
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 4.39 4.39 4.39 4.39 4.39
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 4.38 4.38 4.38 4.38 4.38
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 4.38 4.38 4.38 4.38 4.38
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 4.37 4.37 4.37 4.37 4.37
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 4.36 4.36 4.36 4.36 4.36
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 4.35 4.35 4.35 4.35 4.35
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 4.34 4.34 4.34 4.34 4.34
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 4.34 4.34 4.34 4.34 4.33
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 4.33 4.33 4.33 4.33 4.33
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 4.32 4.32 4.32 4.32 4.32
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 4.31 4.31 4.31 4.31 4.31
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 9.64 9.62 9.59 9.57 9.41
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 7.70 7.69 7.67 7.66 7.56
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 03/10/2013 11/10/2012 08/10/2012 06/10/2012 05/10/2012
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 02/10/2014 02/10/2014 02/10/2014 02/10/2014 12/10/2013
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 12 16 19 21 20
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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 2004-2 Initial Balance: 27,045,564
Settlement Date: 04/14/04 Initial Pass-Through Rate: 4.509%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 4.54 4.54 4.54 4.54 4.54
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 4.53 4.53 4.53 4.53 4.53
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 4.52 4.52 4.52 4.52 4.52
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 4.51 4.51 4.51 4.51 4.51
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 4.51 4.51 4.51 4.51 4.50
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 4.50 4.50 4.50 4.50 4.50
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 4.49 4.49 4.49 4.49 4.49
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 4.48 4.48 4.48 4.48 4.48
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 4.47 4.47 4.47 4.47 4.47
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 4.47 4.47 4.47 4.47 4.46
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 4.46 4.46 4.46 4.46 4.46
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 4.45 4.45 4.45 4.45 4.45
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 4.44 4.44 4.44 4.44 4.44
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 4.43 4.43 4.43 4.43 4.43
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 4.43 4.43 4.43 4.43 4.42
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 4.42 4.42 4.42 4.42 4.42
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 4.41 4.41 4.41 4.41 4.41
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 9.83 9.82 9.82 9.82 9.73
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 7.79 7.78 7.78 7.78 7.73
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 02/10/2014 02/10/2014 02/10/2014 02/10/2014 12/10/2013
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 03/10/2014 02/10/2014 02/10/2014 02/10/2014 01/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 2 1 1 1 2
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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 2004-2 Initial Balance: 12,811,056
Settlement Date: 04/14/04 Initial Pass-Through Rate: 4.549%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 4.58 4.58 4.58 4.58 4.58
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 4.57 4.57 4.57 4.57 4.57
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 4.56 4.56 4.56 4.56 4.56
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 4.55 4.55 4.55 4.55 4.55
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 4.55 4.55 4.55 4.55 4.55
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 4.54 4.54 4.54 4.54 4.54
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 4.53 4.53 4.53 4.53 4.53
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 4.52 4.52 4.52 4.52 4.52
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 4.51 4.51 4.51 4.51 4.51
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 4.51 4.51 4.51 4.51 4.50
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 4.50 4.50 4.50 4.50 4.50
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 4.49 4.49 4.49 4.49 4.49
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 4.48 4.48 4.48 4.48 4.48
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 4.47 4.47 4.47 4.47 4.47
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 4.47 4.47 4.47 4.47 4.46
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 4.46 4.46 4.46 4.46 4.46
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 4.45 4.45 4.45 4.45 4.45
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 9.91 9.90 9.87 9.84 9.74
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 7.82 7.81 7.80 7.78 7.71
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 03/10/2014 02/10/2014 02/10/2014 02/10/2014 01/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 03/10/2014 03/10/2014 03/10/2014 03/10/2014 01/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 1 2 2 2 1
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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.
PRICE/YIELD TABLE - CLASS D
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM SERIES 2004-2 Initial Balance: 24,198,662
Settlement Date: 04/14/04 Initial Pass-Through Rate: 4.599%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 4.63 4.63 4.63 4.63 4.63
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 4.62 4.62 4.62 4.62 4.62
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 4.61 4.61 4.61 4.61 4.61
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 4.60 4.60 4.60 4.60 4.60
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 4.60 4.60 4.60 4.60 4.60
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 4.59 4.59 4.59 4.59 4.59
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 4.58 4.58 4.58 4.58 4.58
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 4.57 4.57 4.57 4.57 4.57
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 4.56 4.56 4.56 4.56 4.56
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 4.56 4.56 4.56 4.56 4.56
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 4.55 4.55 4.55 4.55 4.55
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 4.54 4.54 4.54 4.54 4.54
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 4.53 4.53 4.53 4.53 4.53
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 4.52 4.52 4.52 4.52 4.52
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 4.52 4.52 4.52 4.52 4.52
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 4.51 4.51 4.51 4.51 4.51
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 4.50 4.50 4.50 4.50 4.50
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 9.91 9.91 9.91 9.91 9.74
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 7.80 7.80 7.80 7.80 7.70
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 03/10/2014 03/10/2014 03/10/2014 03/10/2014 01/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 03/10/2014 03/10/2014 03/10/2014 03/10/2014 01/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 1 1 1 1 1
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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 E
- ------------------------------------------------------------------------------------------------------------------------------------
Security ID: BACM SERIES 2004-2 Initial Balance: 11,387,606
Settlement Date: 04/14/04 Initial Pass-Through Rate: 4.678%
Accrual Start Date: 04/01/04
First Pay Date: 05/10/04
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
100.000000000 4.71 4.71 4.71 4.71 4.71
- ------------------------------------------------------------------------------------------------------------------------------------
100.062500000 4.70 4.70 4.70 4.70 4.70
- ------------------------------------------------------------------------------------------------------------------------------------
100.125000000 4.69 4.69 4.69 4.69 4.69
- ------------------------------------------------------------------------------------------------------------------------------------
100.187500000 4.68 4.68 4.68 4.68 4.68
- ------------------------------------------------------------------------------------------------------------------------------------
100.250000000 4.68 4.68 4.68 4.68 4.68
- ------------------------------------------------------------------------------------------------------------------------------------
100.312500000 4.67 4.67 4.67 4.67 4.67
- ------------------------------------------------------------------------------------------------------------------------------------
100.375000000 4.66 4.66 4.66 4.66 4.66
- ------------------------------------------------------------------------------------------------------------------------------------
100.437500000 4.65 4.65 4.65 4.65 4.65
- ------------------------------------------------------------------------------------------------------------------------------------
100.500000000 4.64 4.64 4.64 4.64 4.64
- ------------------------------------------------------------------------------------------------------------------------------------
100.562500000 4.64 4.64 4.64 4.64 4.64
- ------------------------------------------------------------------------------------------------------------------------------------
100.625000000 4.63 4.63 4.63 4.63 4.63
- ------------------------------------------------------------------------------------------------------------------------------------
100.687500000 4.62 4.62 4.62 4.62 4.62
- ------------------------------------------------------------------------------------------------------------------------------------
100.750000000 4.61 4.61 4.61 4.61 4.61
- ------------------------------------------------------------------------------------------------------------------------------------
100.812500000 4.60 4.60 4.60 4.60 4.60
- ------------------------------------------------------------------------------------------------------------------------------------
100.875000000 4.60 4.60 4.60 4.60 4.60
- ------------------------------------------------------------------------------------------------------------------------------------
100.937500000 4.59 4.59 4.59 4.59 4.59
- ------------------------------------------------------------------------------------------------------------------------------------
101.000000000 4.58 4.58 4.58 4.58 4.58
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (YRS) 9.91 9.91 9.91 9.91 9.81
- ------------------------------------------------------------------------------------------------------------------------------------
MOD DUR 7.77 7.77 7.77 7.77 7.71
- ------------------------------------------------------------------------------------------------------------------------------------
FIRSTPRINPAY 03/10/2014 03/10/2014 03/10/2014 03/10/2014 01/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
MATURITY 03/10/2014 03/10/2014 03/10/2014 03/10/2014 02/10/2014
- ------------------------------------------------------------------------------------------------------------------------------------
PRIN WINDOW (MONTHS) 1 1 1 1 2
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ASSUMPTIONS TREASURY CURVE AS OF
- ------------------------------------------------------------------------------------------------------------------------------------
1% Cleanup Call is Not Exercised TERM (YRS) YIELD (BEY%)
Initial Balance is as of April 2004 1/12 1.526
Prepay Rates are a Constant % of CPR 1/4 1.526
100% of All Prepayment Premiums are assumed to be collected 1/2 1.526
Prepayment Premiums are allocated to one or more classes 2 1.526
of the offered certificates as described under "Description of the Certificates-Distributions- 3 1.933
Distributions of Prepayment Premiums" in the Prospectus Supplement. 5 2.738
No Extensions on any Mortgage Loan 10 3.775
No Delinquencies on any Mortgage Loan 30 4.708
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.