Free Writing Prospectus
Filed Pursuant to Rule 433
Registration No. 333-130524
[C-BASS LOGO]
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The asset-backed securities referred to in these materials, and the asset pools
backing them, are subject to modification or revision (including the possibility
that one or more classes of securities may be split, combined or eliminated at
any time prior to issuance or availability of a final prospectus) and are
offered on a "when, as and if issued" basis. You understand that, when you are
considering the purchase of these securities, a contract of sale will come into
being no sooner than the date on which the relevant class has been priced and we
have confirmed the allocation of securities to be made to you; any "indications
of interest" expressed by you, and any "soft circles" generated by us, will not
create binding contractual obligations for you or us.
Because the asset-backed securities are being offered on a "when, as and if
issued" basis, any contract of sale will terminate, by its terms, without any
further obligation or liability between us, if the securities themselves, or the
particular class to which the contract relates, are not issued. Because the
asset-backed securities are subject to modification or revision, any such
contract also is conditioned upon the understanding that no material change will
occur with respect to the relevant class of securities prior to the closing
date. If a material change does occur with respect to such class, our contract
will terminate, by its terms, without any further obligation or liability
between us (the "Automatic Termination"). If an Automatic Termination occurs, we
will provide you with revised offering materials reflecting the material change
and give you an opportunity to purchase such class. To indicate your interest in
purchasing the class, you must communicate to us your desire to do so within
such timeframe as may be designated in connection with your receipt of the
revised offering materials.
RMBS New Issue Term Sheet
$342,804,000 Offered Certificates (approximate)
C-BASS Mortgage Loan
Asset-Backed Certificates, Series 2007-CB5
Offered Certificates: A-1, A-2, A-3,
M-1, M-2, M-3, M-4, M-5, M-6, M-7, M-8 & M-9
Asset Backed Funding Corporation
Depositor
Credit-Based Asset Servicing and Securitization LLC
Seller
Litton Loan Servicing LP
Servicer
May 23, 2007
[BANK OF AMERICA SECURITIES LOGO]
Banc of America Securities LLC
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The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
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C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
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DISCLAIMER
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This free writing prospectus is being delivered to you solely to provide you
with information about the offering of the securities referred to in this free
writing prospectus and to solicit an offer to purchase the securities, when, as
and if issued. Any such offer to purchase made by you will not be accepted and
will not constitute a contractual commitment by you to purchase any of the
securities until we have accepted your offer to purchase securities. We will not
accept any offer by you to purchase the securities, and you will not have any
contractual commitment to purchase any of the securities until after you have
received certain additional information. You may withdraw your offer to purchase
securities at any time prior to our acceptance of your offer.
The information in this free writing prospectus supersedes information contained
in any prior similar free writing prospectus relating to these securities prior
to the time of your commitment to purchase.
This free writing prospectus is not an offer to sell or solicitation of an offer
to buy these securities in any state where such offer, solicitation or sale is
not permitted.
IRS CIRCULAR 230 NOTICE
THIS FREE WRITING PROSPECTUS IS NOT INTENDED OR WRITTEN TO BE
USED, AND CANNOT BE USED, FOR THE PURPOSE OF AVOIDING U.S.
FEDERAL, STATE OR LOCAL TAX PENALTIES. THIS FREE WRITING
PROSPECTUS IS WRITTEN AND PROVIDED BY THE UNDERWRITER IN
CONNECTION WITH THE PROMOTION OR MARKETING OF THE
TRANSACTIONS OR MATTERS ADDRESSED HEREIN. INVESTORS SHOULD
SEEK ADVICE BASED ON THEIR PARTICULAR CIRCUMSTANCES FROM AN
INDEPENDENT TAX ADVISOR.
ANY DISCLAIMERS OR OTHER NOTICES THAT MAY APPEAR BELOW THIS DOCUMENT ARE NOT
APPLICABLE TO THIS COMMUNICATION AND SHOULD BE DISREGARDED. SUCH DISCLAIMERS OR
OTHER NOTICES WERE AUTOMATICALLY GENERATED AS A RESULT OF THIS COMMUNICATION
BEING SENT VIA BLOOMBERG OR ANOTHER EMAIL SYSTEM.
Banc of America Securities LLC
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The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
2
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C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
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C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB5
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CERTIFICATES/1/
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Expected Expected/Final
Principal Scheduled
Expected Class/ Expected Window Distribution Expected Ratings
Approximate Interest Principal WAL (yrs) (mos) Date/5/ __________________________
Class Size/2/ Type Type (Call/Mat) (Call/Mat) (Call/Mat) Moody's S&P DBRS/8/
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A-1(3)(4)(6) 165,332,000 Floating Seq 1.00 / 1.00 1-22 / 1-22 Mar-09/Mar-09 Aaa AAA AAA
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A-2(3)(4)(6) 91,555,000 Floating Seq 3.00 / 3.00 22-73 / 22-73 Jun-13/Jun-13 Aaa AAA AAA
- ------------------------------------------------------------------------------------------------------------------------------------
A-3(3)(4)(6) 22,908,000 Floating Seq 6.38 / 8.79 73-77 / 73-183 Oct-13/Aug-22 Aaa AAA AAA
- ------------------------------------------------------------------------------------------------------------------------------------
M-1(3)(4) 12,993,000 Floating Mezz 4.78 / 5.29 46-77 / 46-153 Oct-13/Feb-20 Aa1 AA+ AA(h)
- ------------------------------------------------------------------------------------------------------------------------------------
M-2(3)(4) 12,281,000 Floating Mezz 4.62 / 5.11 43-77 / 43-147 Oct-13/Aug-19 Aa2 AA AA
- ------------------------------------------------------------------------------------------------------------------------------------
M-3(3)(4) 6,941,000 Floating Mezz 4.54 / 5.01 42-77 / 42-139 Oct-13/Dec-18 Aa3 AA- AA
- ------------------------------------------------------------------------------------------------------------------------------------
M-4(3)(4) 6,230,000 Floating Mezz 4.50 / 4.95 41-77 / 41-133 Oct-13/Jun-18 A1 A+ AA(l)
- ------------------------------------------------------------------------------------------------------------------------------------
M-5(3)(4) 5,874,000 Floating Mezz 4.46 / 4.89 40-77 / 40-128 Oct-13/Jan-18 A2 A A
- ------------------------------------------------------------------------------------------------------------------------------------
M-6(3)(4) 5,518,000 Floating Mezz 4.44 / 4.84 39-77 / 39-122 Oct-13/Jul-17 A3 A- A(l)
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M-7(3)(4) 5,340,000 Floating Mezz 4.41 / 4.77 39-77 / 39-115 Oct-13/Dec-16 Baa1 BBB+ BBB(h)
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M-8(3)(4) 3,738,000 Floating Mezz 4.39 / 4.70 38-77 / 38-107 Oct-13/Apr-16 Baa2 BBB BBB(h)
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M-9(3)(4) 4,094,000 Floating Mezz 4.38 / 4.62 38-77 / 38-100 Oct-13/Sep-15 Baa3 BBB- BBB
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B-1(3)(4)(7) 3,560,000 Fixed Sub Not offered hereby Ba1 BB+ BB(h)
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(1) The Offered Certificates will be priced to the Optional Termination Date.
The Senior and Class M Certificates will settle flat. The Class B-1
Certificates will settle with accrued interest, beginning on May 1, 2007.
(2) The Approximate Size is subject to a permitted variance of plus or minus
5%.
(3) The certificate margins on the Senior Certificates will equal 2 times their
original applicable margins on the first Distribution Date after the
Optional Termination Date. The certificate margin on each class of the
Class M Certificates will equal 1.5 times its original certificate margin
on the first Distribution Date after the Optional Termination Date. The
coupon on the Class B-1 Certificates will increase by 0.50% on the first
Distribution Date after the Optional Termination Date.
(4) The Certificates will be subject to a Rate Cap as described herein.
(5) The Expected Final Scheduled Distribution Date is calculated based on the
Pricing Speed.
(6) The Class A-1, Class A-2 and Class A-3 Certificates will be sized based on
investor demand and may be either combined or further divided.
(7) The Subordinate Certificates will be privately placed and will not be
offered pursuant to the prospectus. Information presented herein for the
Subordinate Certificates is solely to assist purchasers of the Offered
Certificates.
(8) The symbols (h) and (l) represent DBRS's high and low subcategories,
respectively.
Banc of America Securities LLC
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The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
3
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C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
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PRICING SPEED
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Fixed Rate Mortgage Loans: The Pricing Speed for the fixed rate Mortgage
Loans is 23% HEP (assumes that prepayments
start at 2.3% CPR in month 1, increase to 23%
CPR by month 10, and remain constant at 23%
CPR thereafter).
Adjustable Rate The Pricing Speed for the adjustable rate
Mortgage Loans: Mortgage Loans is 100% PPC (assumes that
prepayments start at 2% CPR in month 1, an
additional CPR of 1/11th of 28% for each
month thereafter, building to 30% CPR in
month 12 and remaining constant at 30% CPR
until month 22, increasing to and remaining
constant at 50% CPR from month 23 until month
27 and decreasing and remaining constant at
35% CPR from month 28 and thereafter).
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SUMMARY OF IMPORTANT DATES
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Deal Information Collateral Information
Expected Pricing Week of May 21st, 2007 Cut-off Date 05/01/2007
Expected Closing 05/31/2007
First Distribution 06/25/2007
Expected Stepdown 06/25/2010
Bond Information
Initial Final Scheduled REMIC
Accrual Interest Accrual Delay Distribution Date Maturity
Class Dated Date Days* Method Days (Call/Mat) ** Date ***
A-1 05/31/2007 0 Act/360 0 04/25/2037 04/25/2047
A-2 05/31/2007 0 Act/360 0 04/25/2037 04/25/2047
A-3 05/31/2007 0 Act/360 0 04/25/2037 04/25/2047
M-1 05/31/2007 0 Act/360 0 04/25/2037 04/25/2047
M-2 05/31/2007 0 Act/360 0 04/25/2037 04/25/2047
M-3 05/31/2007 0 Act/360 0 04/25/2037 04/25/2047
M-4 05/31/2007 0 Act/360 0 04/25/2037 04/25/2047
M-5 05/31/2007 0 Act/360 0 04/25/2037 04/25/2047
M-6 05/31/2007 0 Act/360 0 04/25/2037 04/25/2047
M-7 05/31/2007 0 Act/360 0 04/25/2037 04/25/2047
M-8 05/31/2007 0 Act/360 0 04/25/2037 04/25/2047
M-9 05/31/2007 0 Act/360 0 04/25/2037 04/25/2047
B-1 Not offered hereby
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* See footnote (1) on page 3.
** The Final Scheduled Distribution Date is calculated as the month after the
maturity of the latest maturing 30-year Mortgage Loan in the Mortgage Pool.
*** The REMIC Maturity Date is the Distribution Date following the scheduled
maturity date for the Mortgage Loan with the latest possible maturity date.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
4
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
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CONTACTS
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Banc of America Securities LLC
Mortgage Trading/Syndicate
- --------------------------
Pat Beranek (212) 847-5095 patrick.beranek@bankofamerica.com
Ileana Chu (212) 847-5095 ileana.i.chu@bankofamerica.com
Charlene Balfour (212) 847-5095 charlene.c.balfour @bankofamerica.com
Aaron Books (212) 847-5095 aaron.s.books@bankofamerica.com
Jordan Chirico (212) 847-5095 jordan.chirico@bankofamerica.com
Global Structured Finance Fax: (704) 388-9668
- -------------------------
Chris Schiavone (704) 387-1853 chris.schiavone@bankofamerica.com
Juanita Deane-Warner (212) 583-8405 juanita.l.deane-warner@bankofamerica.com
Niki Hogue (704) 387-1855 nikole.hogue@bankofamerica.com
Adarsh Dhand (704) 683-5412 adarsh.dhand@bankofamerica.com
Rahul Mukherjee (704) 683-5179 rahul.mukherjee@bankofamerica.com
Brandon Crooks (704) 388-1720 brandon.crooks@bankofamerica.com
Ken Hart (704) 683-5707 james.k.hart@bankofamerica.com
Rating Agencies
Odile Grisard Boucher- Moody's (212) 553-1382 odile.grisardboucher@moodys.com
Sudhir Sharma - S&P (212) 438-3047 sudhir_sharma@standardandpoors.com
Quincy Tang - DBRS (212) 806-3256 qtang@dbrs.com
- ----------------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
5
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SUMMARY OF TERMS
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Title of Securities: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5.
Senior Certificates: The Class A-1, Class A-2 and Class A-3
Certificates.
Class M Certificates: The Class M-1, Class M-2, Class M-3, Class M-4,
Class M-5, Class M-6, Class M-7, Class M-8 and
Class M-9 Certificates (collectively, the
"Mezzanine Certificates").
Subordinate Certificates: The Class B-1 Certificates. The Subordinate
Certificates will be privately placed and will
not be offered pursuant to the prospectus.
Offered Certificates: The Senior Certificates and the Class M
Certificates.
Certificates: The Senior Certificates, the Class M
Certificates, the Subordinate Certificates, the
Class CE-1, C lass CE-2, Class P, Class R and
Class R-X Certificates.
Lead Manager: Banc of America Securities LLC.
Co-Manager: Barclays Capital Inc.
Depositor: Asset Backed Funding Corporation.
Servicer: Litton Loan Servicing LP, a subsidiary of the
Seller.
Seller: Credit-Based Asset Servicing and Securitization
LLC ("C-BASS").
Sponsor: C-BASS
Trustee: LaSalle Bank National Association.
Supplemental Interest Trust
Trustee: LaSalle Bank National Association.
Custodian: The Bank of New York.
Significant Originators Fieldstone Mortgage Company (22.50%),
(+10%) Wilmington Finance, Inc. (19.99%), New Century
Mortgage Corporation (19.93%) and People's
Choice Home Loan, Inc. (19.70%).
Swap Provider [ ]. The Swap Provider will be rated at least
"A2" by Moody's and "A" by S&P.
Cap Provider [ ]. The Cap Provider will be rated at least
"A2" by Moody's and "A" by S&P.
Rating Agencies: Moody's Investors Service ("Moody's"), Standard
& Poor's ("S&P"), Dominion Bond Rating Service,
Inc ("DBRS")
Cut-off Date: The close of business on May 1, 2007.
Closing Date: On or about May 31, 2007.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
6
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SUMMARY OF TERMS
- --------------------------------------------------------------------------------
Distribution Dates: Distribution of principal and interest on the
Certificates will be made on the 25th day of
each month or, if such day is not a business
day, on the first business day thereafter,
commencing in June 2007.
Payment Delay: With respect to the Senior and Class M
Certificates, 0 days. With respect to the Class
B-1 Certificates, 24 days.
Day Count: With respect to the Senior and Class M
Certificates, Actual/360. With respect to the
Class B-1 Certificates, 30/360.
Collection Period: The period from the second day of a calendar
month through the first day of the following
calendar month.
Prepayment Period: The period from the 16th day of a calendar
month through the 15th day of the following
calendar month (or, in the case of the first
Prepayment Period, the period from the Cut-off
Date through the 15th of the following calendar
month).
Servicing Fee: 0.50% per annum; provided, however, for so as
long as Litton Loan Servicing LP remains as
servicer, 0.15% per annum (payable monthly) of
the servicing fee will be paid to Litton Loan
Servicing LP and 0.35% per annum (payable
monthly) will be paid to the holder(s) of the
Class CE-2 Certificates.
Trustee Fee: 0.01% per annum.
Optional Termination Date: Any Distribution Date on which the aggregate
principal balance of the Mortgage Loans is 10%
or less than the aggregate Cut-off Date
principal balance of the Mortgage Loans.
Denomination: $100,000 minimum and increments $1 in excess
thereof for the Senior Certificates, the
Mezzanine Certificates and the Subordinate
Certificates.
ERISA Eligibility: The Offered Certificates, exclusive of the
right to receive payments from the Supplemental
Interest Trust in respect of the Interest Rate
Swap Agreement and the Interest Rate Cap
Agreement, are expected to be eligible for
purchase by or on behalf of an employee benefit
plan or arrangement, including an individual
retirement account, subject to Title I of the
Employee Retirement Income Security Act of
1974, as amended ("ERISA"), or Section 4975 of
the Internal Revenue Code of 1986, as amended
(the "Code") (collectively, a "Plan") subject
to certain conditions.
Prior to the termination of the Supplemental
Interest Trust, a Plan must also meet the
requirements of an investor-based class
exemption to be eligible to purchase the
Offered Certificates.
Investors should consult with their counsel
with respect to the consequences under ERISA
and the Code of a Plan's acquisition and
ownership of the Offered Certificates.
SMMEA Eligibility: The Offered Certificates will not be SMMEA
eligible.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
7
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SUMMARY OF TERMS
- --------------------------------------------------------------------------------
Tax Status: For federal income tax purposes, certain
segregated portions of the Trust will be
treated as one or more "real estate mortgage
investment conduits" (each, a "REMIC"). Each of
the Offered Certificates represent an interest
in two assets for federal income tax purposes:
(i) a "regular interest" in a REMIC, which will
be treated as newly-originated debt instruments
for most federal income tax purposes and (ii)
the right to payment of Rate Cap Carryover
Amounts and the obligation to make payments to
the Supplemental Interest Trust, which is
expected to represent an interest in a notional
principal contract for federal income tax
purposes.
Monthly Servicer Advances: The Servicer is required to advance at least
one business day prior to each Distribution
Date scheduled principal and interest payments
(net of the Servicing Fee) that were due during
the related Collection Period that are not
received by the related determination date
until it deems such advances to be
non-recoverable. The Servicer will make only
limited advances with respect to the unpaid
principal balance remaining at maturity of a
balloon loan, will not make any advances of
principal on REO properties and is not required
to make any advances of principal on second
lien mortgage loans. The Servicer is not
obligated to make such advance with respect to
a reduction in the monthly payment due to
bankruptcy proceedings or the application of
the Servicemembers Civil Relief Act (the
"Relief Act") or any similar state or local
laws.
Mortgage Loans: The Mortgage Loans consist of 1,667 conforming
and non-conforming, fixed rate and adjustable
rate, conventional closed-end Mortgage Loans
with an aggregate principal balance of
approximately $355,973,433 secured by 1st and
2nd lien, level pay, dual amortization step
pay, interest only, and balloon mortgages on
primarily 1-4 family properties and will be
serviced by Litton Loan Servicing LP.
The statistical information presented herein
concerning the mortgage loans is based on the
pool of mortgage loans as of the cut off date,
which is May 1, 2007. The information regarding
the mortgage loans is based on the principal
balance of the mortgage loans as of the cut off
date assuming the timely receipt of principal
scheduled to be paid on the mortgage loans on
or prior to the cut off date. It is possible
that principal prepayments in part or in full
may occur between the cut-off date and the
closing date. Moreover, certain mortgage loans
included in the mortgage loan pool as of the
cut off date may not be included in the final
mortgage loan pool due to prepayments in full,
or as a result of not meeting the eligibility
requirements for the final mortgage loan pool,
and certain other mortgage loans may be
included in the final mortgage loan pool. As a
result of the foregoing, the statistical
distribution of characteristics as of the cut
off date and as of the closing date for the
final mortgage loan pool may vary somewhat from
the statistical distribution of such
characteristics as of the cut off date as
presented herein, although such variance should
not be material. In addition, the final
mortgage loan pool may vary plus or minus 5.0%
from the cut-off pool of mortgage loans
described in this free writing prospectus.
Please see the collateral tables herein for
additional information.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
8
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SUMMARY OF TERMS
- --------------------------------------------------------------------------------
Realized Losses: Losses resulting from the liquidation of
defaulted mortgage loans will first be applied
to excess interest, if any, amounts in the
Supplemental Interest Trust, if any, and will
then reduce the level of the
Overcollateralization Amount. If there is no
excess interest, no amounts in the Supplemental
Interest Trust and no Overcollateralization
Amount, such losses will be allocated to the
Class M Certificates and the Subordinate
Certificates in reverse order of seniority as
follows: to the Class B-1, Class M-9, Class
M-8, Class M-7, Class M-6, Class M-5, Class
M-4, Class M-3, Class M-2 and Class M-1
Certificates in that order. Realized Losses
will not be allocated to the Senior
Certificates.
Special Hazard Losses: Special Hazard Losses are generally Realized
Losses that result from direct physical damage
to mortgaged properties caused by natural
disasters and other hazards (i) which are not
covered by hazard insurance policies (such as
earthquakes) and (ii) for which claims have
been submitted and rejected by the related
hazard insurer and any shortfall in insurance
proceeds for partial damage due to the
application of the co-insurance clauses
contained in hazard insurance policies. Special
Hazard Losses will be allocated as described
above, except that if the aggregate amount of
such losses, as of any date of determination,
exceeds the greatest of (i) 1.00% of the
principal balance of the Mortgage Loans as of
the Cut-off Date, (ii) two times the amount of
the principal balance of the largest Mortgage
Loan or (iii) an amount equal to the aggregate
principal balances of the Mortgage Loans in the
largest zip-code concentration in the State of
California, such excess losses will be
allocated among all the outstanding classes
(other than the Senior Certificates), pro rata,
based on their respective certificate principal
balances. Any losses allocated as Special
Hazard Losses will not be reimbursed through
excess interest.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
9
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SUMMARY OF TERMS
- --------------------------------------------------------------------------------
Interest Rate Swap On the Closing Date, the Supplemental Interest
Agreement Trust Trustee on behalf of the supplemental
interest trust (the "Supplemental Interest
Trust") will enter into an Interest Rate Swap
Agreement with a notional amount equal to, on
each Distribution Date, the "Swap Notional
Amount." Under the Interest Rate Swap
Agreement, on or before each Distribution Date
commencing with the Distribution Date in June
2007 and ending with the Distribution Date in
April 2011 the Supplemental Interest Trust
Trustee, on behalf of the Supplemental Interest
Trust, shall be obligated to pay to the Swap
Provider a fixed amount for that Distribution
Date, equal to the product of (x) a fixed rate
equal to 5.20% per annum, (y) the Swap Notional
Amount (as set forth in the Swap Schedule
below) for that Distribution Date and (z) a
fraction, the numerator of which is 30 (or, for
the first Distribution Date, the number of days
elapsed from and including the effective date
(as defined in the Interest Rate Swap
Agreement) to but excluding the first
Distribution Date, determined on a 30/360
basis) and the denominator of which is 360, and
the Swap Provider will be obligated to pay to
the Supplemental Interest Trust Trustee (on
behalf of the Supplemental Interest Trust) a
floating amount for that Distribution Date,
equal to the product of (x) One-Month LIBOR, as
determined pursuant to the Interest Rate Swap
Agreement, for the related calculation period
(as defined in the Interest Rate Swap
Agreement), (y) the Swap Notional Amount (as
set forth in the Swap Schedule below) for that
Distribution Date, and (z) a fraction, the
numerator of which is equal to the actual
number of days in the related calculation
period and the denominator of which is 360.
Only the net amount of the two obligations will
be paid by the appropriate party ("Net Swap
Payment"). See the attached schedule for the
Swap Notional Amount for each Distribution
Date.
Generally, the Net Swap Payment will be
deposited into a swap account (the "Swap
Account") by the Supplemental Interest Trust
Trustee pursuant to the Pooling and Servicing
Agreement and amounts on deposit in the Swap
Account will be distributed as described below
under "Supplemental Interest Trust
Distributions" and in accordance with the terms
set forth in the Pooling and Servicing
Agreement. The Swap Account will be part of the
Supplemental Interest Trust but not an asset of
any REMIC.
Upon early termination of the Interest Rate
Swap Agreement, the Supplemental Interest Trust
or the Swap Provider may be liable to make a
termination payment (the "Swap Termination
Payment") to the other party (regardless of
which party caused the termination). The Swap
Termination Payment will be computed in
accordance with the procedures set forth in the
Interest Rate Swap Agreement. In the event that
the Supplemental Interest Trust is required to
make a Swap Termination Payment, that payment
will be paid on the related Distribution Date,
and on any subsequent Distribution Dates until
paid in full generally, prior to distributions
to certificateholders.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
10
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SUMMARY OF TERMS
- --------------------------------------------------------------------------------
Interest Rate Swap In the event that the Supplemental Interest
Agreement (cont.) Trust receives a Swap Termination Payment, and
a successor Swap Provider cannot be obtained,
then such Swap Termination Payment will be
deposited into a reserve account and the
Supplemental Interest Trust Trustee, on each
subsequent Distribution Date, will withdraw the
amount of any Net Swap Payment due to the
Supplemental Interest Trust (calculated in
accordance with the terms of the original
Interest Rate Swap Agreement) and administer
such Net Swap Payment in accordance with the
terms of the Pooling and Servicing Agreement.
A "Defaulted Swap Termination Payment" means
any payment required to be made by the
Supplemental Interest Trust to the Swap
Provider pursuant to the Interest Rate Swap
Agreement as a result of an event of default
under the Interest Rate Swap Agreement with
respect to which the Swap Provider is the
defaulting party or a termination event
(including a downgrade termination event) under
that agreement with respect to which the Swap
Provider is the sole Affected Party (as defined
in the Interest Rate Swap Agreement).
Interest Rate Cap Agreement On the Closing Date, the Supplemental Interest
Trust Trustee will enter into an Interest Rate
Cap Agreement with an initial notional amount
of $2,326,599. Under the Interest Rate Cap
Agreement, the Cap Provider will be obligated
to pay, on or before each Distribution Date
commencing with the Distribution Date in July
2007 and ending with the Distribution Date in
May 2012, to the Supplemental Interest Trust
Trustee an amount equal to the product of (a)
the excess, if any, of (i) the then current
1-month LIBOR rate over (ii) 5.32%, (b) an
amount equal to the lesser of (x) the Maximum
Cap Notional Amount set forth herein and (y)
the excess, if any, of (A) the aggregate
certificate balance of the Senior and Mezzanine
Certificates (prior to taking into account any
distributions on such distribution date) over
(B) the then current notional amount set forth
on the attached Interest Rate Swap Agreement
schedule, and (c) a fraction, the numerator of
which is equal to the actual number of days in
the related calculation period and the
denominator of which is 360.
Generally, the interest rate cap payments will
be deposited into the Supplemental Interest
Trust by the Supplemental Interest Trust
Trustee pursuant to the Pooling and Servicing
Agreement and amounts on deposit in the
Supplemental Interest Trust will be distributed
as described below under "Supplemental Interest
Trust Distributions" and in accordance with the
terms set forth in the Pooling and Servicing
Agreement.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
11
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
CREDIT ENHANCEMENT
- --------------------------------------------------------------------------------
Credit Enhancement: Credit enhancement for the structure is
provided by Excess Interest, the Supplemental
Interest Trust, Overcollateralization and
Subordination.
Certificate Credit Enhancement
------------------------------
(1) The Senior Certificates are enhanced by
Excess Interest, approximately 18.70% in
Class M and Subordinate Certificates and
the Overcollateralization Amount.
(2) The Class M-1 Certificates are enhanced by
Excess Interest, approximately 15.05% in
Class M and Subordinate Certificates and
the Overcollateralization Amount.
(3) The Class M-2 Certificates are enhanced by
Excess Interest, approximately 11.60% in
Class M and Subordinate Certificates and
the Overcollateralization Amount.
(4) The Class M-3 Certificates are enhanced by
Excess Interest, approximately 9.65% in
Class M and Subordinate Certificates and
the Overcollateralization Amount.
(5) The Class M-4 Certificates are enhanced by
Excess Interest, approximately 7.90% in
Class M and Subordinate Certificates and
the Overcollateralization Amount.
(6) The Class M-5 Certificates are enhanced by
Excess Interest, approximately 6.25% in
Class M and Subordinate Certificates and
the Overcollateralization Amount.
(7) The Class M-6 Certificates are enhanced by
Excess Interest, approximately 4.70% in
Class M and Subordinate Certificates and
the Overcollateralization Amount.
(8) The Class M-7 Certificates are enhanced by
Excess Interest, approximately 3.20% in
Class M and Subordinate Certificates and
the Overcollateralization Amount.
(9) The Class M-8 Certificates are enhanced by
Excess Interest, approximately 2.15% in
Class M and Subordinate Certificates and
the Overcollateralization Amount.
(10) The Class M-9 Certificates are enhanced
by Excess Interest, approximately 1.00% in
Subordinate Certificates and the
Overcollateralization Amount.
(11) The Class B-1 Certificates are enhanced by
Excess Interest and the
Overcollateralization Amount.
Target Overcollateralization Prior to the Stepdown Date, 2.70% of the
Amount: aggregate principal balance of the Mortgage
Loans as of the Cut-off Date. On and after the
Stepdown Date, if a Trigger Event is not in
effect, the greater of (x) the lesser of (i)
2.70% of the aggregate principal balance of the
Mortgage Loans as of the Cut-off Date and (ii)
5.40% of the aggregate current principal
balance of the Mortgage Loans and (y) 0.50% of
the aggregate principal balance of the Mortgage
Loans as of the Cut-off Date. If a Trigger
Event is in effect, the Target
Overcollateralization Amount will be the Target
Overcollateralization Amount from the previous
period. On any Distribution Date following the
reduction of the Certificate Principal Balance
of the Offered Certificates and the Class B-1
Certificates to zero, the Target
Overcollateralization Amount will be zero.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
12
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
CREDIT ENHANCEMENT
- --------------------------------------------------------------------------------
Overcollateralization Floor: For any Distribution Date, the
Overcollateralization Floor (the "OC Floor")
will equal 0.50% of the aggregate principal
balance of the Mortgage Loans as of the Cut-off
Date.
Overcollateralization On any Distribution Date, the excess, if any,
Amount: of (x) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Collection Period (after giving effect
to collections of unscheduled principal
received during the related Prepayment Period)
over (y) the aggregate certificate principal
balance of all classes of Certificates (after
taking into account all distributions of
principal on such Distribution Date and the
increase of any certificate principal balance
as a result of subsequent recoveries).
Overcollateralization On any Distribution Date, the excess, if any,
Deficiency: of (x) the Target Overcollateralization Amount
for such Distribution Date over (y) the
Overcollateralization Amount for such
Distribution Date, calculated for this purpose
after taking into account the reduction on such
Distribution Date of the certificate principal
balances of all classes of Certificates
resulting from the distribution of the
Principal Distribution Amount (but not the
Extra Principal Distribution Amount) on such
Distribution Date, but prior to taking into
account any applied realized loss amounts on
such Distribution Date.
Overcollateralization Release On any Distribution Date, on or after the
Amount: Stepdown Date on which a Trigger Event is not
in effect, the lesser of (x) the Principal
Remittance Amount for such Distribution Date
and (y) the excess, if any, of (i) the
Overcollateralization Amount for such
Distribution Date, assuming that 100% of the
Principal Remittance Amount is applied as a
principal payment on the Certificates on such
Distribution Date, over (ii) the Target
Overcollateralization Amount for such
Distribution Date. With respect to any
Distribution Date before the Stepdown Date or
on which a Trigger Event is in effect, the
Overcollateralization Release Amount will be
zero.
Senior Enhancement On any Distribution Date, is the percentage
Percentage: obtained by dividing (x) the sum of (i) the
aggregate certificate principal balance of the
Class M and Subordinate Certificates, in each
case before taking into account principal
distributions on such Distribution Date and
(ii) the Overcollateralization Amount,
calculated for this purpose only after taking
into account the reduction of the certificate
principal balance of all classes of
Certificates resulting from the distribution of
the Principal Distribution Amount (but not the
Extra Principal Distribution Amount), on such
Distribution Date, by (y) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Collection Period
(after giving effect to collections of
unscheduled principal received during the
related Prepayment Period).
Expected Credit Support
Percentage:
Initial After Stepdown
Class Credit Support Support
----- ------------------ ---------------
Senior 21.40% 42.80%
M-1 17.75% 35.50%
M-2 14.30% 28.60%
M-3 12.35% 24.70%
M-4 10.60% 21.20%
M-5 8.95% 17.90%
M-6 7.40% 14.80%
M-7 5.90% 11.80%
M-8 4.85% 9.70%
M-9 3.70% 7.40%
B-1 2.70% 5.40%
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
13
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TRIGGER EVENT
- --------------------------------------------------------------------------------
Stepdown Date: The earlier to occur of (i) the Distribution
Date on which the aggregate certificate
principal balance of the Senior Certificates is
reduced to zero and (ii) the later to occur of
(x) the Distribution Date in June 2010, and (y)
the first Distribution Date on which the Senior
Enhancement Percentage is greater than or equal
to 42.80%.
Trigger Event: Is in effect on a Distribution Date if any one
of the following conditions exist as of the
last day of the related Collection Period:
i. The "Rolling Six Month 60+ Delinquency
Percentage" equals or exceeds 37.38% of the
Senior Enhancement Percentage; or
ii. The aggregate amount of realized losses
incurred since the Cut-off Date through
the last day of such related Collection
Period (reduced by the aggregate amount of
subsequent recoveries received since the
Cut-off Date through the last day of the
related Collection Period) divided by the
initial aggregate principal balance of the
Mortgage Loans exceeds the applicable
percentages set forth below with respect
to such Distribution Date:
Distribution Dates Cumulative Realized Loss Percentage
------------------ -----------------------------------
June 2009 - May 2010 1.50% for the first month, plus an additional
1/12th of 2.00% for each month thereafter,
June 2010- May 2011 3.50% for the first month, plus an additional
1/12th of 1.95% for each month thereafter,
June 2011 - May 2012 5.45% for the first month, plus an additional
1/12th of 1.60% for each month thereafter,
June 2012 - May 2013 7.05% for the first month, plus an additional
1/12th of 0.90% for each month thereafter,
June 2013 - May 2014 7.95% for the first month, plus an additional
1/12th of 0.15% for each month thereafter,
June 2014 - May 2015 8.10% for the first month, plus an additional
1/12th of 0.05% for each month thereafter,
June 2015 and thereafter 8.15%
40-Year Trigger Event Is in effect if on the 241st Distribution Date
or any Distribution Date thereafter, (i) the
aggregate principal balance of the Mortgage
Loans with 40-year original terms to maturity
as of the last day of the related Collection
Period (after taking into consideration
collections of unscheduled principal received
during the related Prepayment Period), exceeds
(ii) the Overcollateralization Amount for such
Distribution Date (after giving effect to all
principal distributions on such Distribution
Date other than principal distributions
resulting from this event).
60+ Day Delinquent Loan: Each Mortgage Loan with respect to which any
portion of a monthly payment is, as of the last
day of the prior Collection Period, two months
or more past due, each Mortgage Loan in
foreclosure, all REO Property and each Mortgage
Loan for which the Mortgagor has filed for
bankruptcy after the Closing Date.
Rolling Six Month 60+ Day With respect to any Distribution Date, the
Delinquency Percentage: average of the percentage equivalents of the
fractions determined for each of the six
immediately preceding Collection Periods, the
numerator of each of which is equal to the
aggregate Principal Balance of Mortgage Loans
that are 60+ Day Delinquent Loans as of the end
of the day immediately preceding the end of
each such Collection Period, and the
denominator of which is the aggregate Mortgage
Loan balance as of the end of the related
Collection Period.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
14
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PASS-THROUGH RATES
- --------------------------------------------------------------------------------
Pass-Through Rate: On each Distribution Date prior to and
including the Optional Termination Date, the
Pass-Through Rate for the Certificates is as
follows:
The Pass-Through Rate for the Senior and Class
M Certificates for any Distribution Date will
be the lesser of:
(i) the sum of (x) one-month LIBOR as
determined for the related period and (y)
the related certificate margin for the
applicable class, and
(ii) the Rate Cap for such Distribution Date.
The Pass-Through Rate for the Class B-1
Certificates for any Distribution Date will be
the lesser of:
(i) the certificate coupon for such
Distribution Date, and
(ii) the Rate Cap for such Distribution Date.
On each Distribution Date after the Optional
Termination Date, the certificate margins for
the Senior Certificates will be equal to 2
times their respective initial margins and for
the Class M Certificates, the related
certificate margins will be 1.5 times their
respective initial margins.
On the Distribution Date after the Optional
Termination Date, the coupon on the Class B-1
Certificates will increase by 0.50% per annum.
Interest Accrual: Interest will accrue on the Certificates at the
applicable Pass-Through Rate.
o Interest on the Senior and Class M
Certificates will accrue initially from
the Closing Date to (but excluding) the
first Distribution Date, and thereafter,
from the prior Distribution Date to (but
excluding) the applicable Distribution
Date on an Actual/360 basis.
o Interest on the Class B-1 Certificates
will accrue on such Certificates from and
including the first day of the calendar
month preceding that Distribution Date up
to and including the last day of such
month, on a 30/360 basis.
Net Mortgage The Net Mortgage Interest Rate for each
Interest Rate: Mortgage Loan is the applicable mortgage
interest rate specified in the related mortgage
note less the sum of (a) the applicable
Servicing Fee rate and (b) the Trustee Fee
rate.
Net Maximum Mortgage The Net Maximum Mortgage Interest Rate for each
Interest Rate: Mortgage Loan is (a) (i) in the case of the
adjustable rate Mortgage Loans, the applicable
maximum mortgage interest rate specified in the
related mortgage note and (ii) in the case of
the fixed rate Mortgage Loans, the applicable
mortgage interest rate specified in the related
mortgage note less (b) the sum of the
applicable Servicing Fee rate and the Trustee
Fee rate.
Net WAC: The average of the Net Mortgage Interest Rates
for the Mortgage Loans, weighted on the basis
of the principal balances of the Mortgage Loans
as of the first day of the related Collection
Period.
Net Maximum WAC: The average of the Net Maximum Mortgage
Interest Rates for the Mortgage Loans, weighted
on the basis of the principal balances of the
Mortgage Loans as of the first day of the
related Collection Period.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
15
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PASS-THROUGH RATES
- --------------------------------------------------------------------------------
Maximum Rate Cap: For the Senior Certificates and the Class M
Certificates, the Maximum Rate Cap for any
Distribution Date will be a per annum rate
(expressed on the basis of an assumed 360-day
year and the actual number of days elapsed
during the related accrual period) equal to (i)
the Net Maximum WAC plus (ii) 12 times the
quotient of (a) the Net Swap Payment and Swap
Termination Payment, if any, made to the Trust
(only if such Swap Termination Payment is not
due to a Swap Provider Trigger Event (as
defined in the Interest Rate Swap Agreement))
and (b) the aggregate principal balance of the
Mortgage Loans as of the first day of the
related Collection Period. Any interest
shortfall due to the Maximum Rate Cap will not
be reimbursed.
Rate Cap: The Rate Cap for any Distribution Date will be
a per annum rate (expressed, other than in the
case of the Class B-1 Certificates, on the
basis of an assumed 360-day year and the actual
number of days elapsed during the related
accrual period) equal to (i) the Net WAC less
(ii) 12 times the quotient of (a) the Net Swap
Payment and Swap Termination Payment, if any,
made to the Swap Provider (only if such Swap
Termination Payment is not due to a Swap
Provider Trigger Event (as defined in the
Interest Rate Swap Agreement)) and (b) the
aggregate principal balance of the Mortgage
Loans as of the first day of the related
Collection Period.
Accrued Certificate Interest: For each class of the Certificates and for each
Distribution Date, an amount equal to the
interest accrued during the related accrual
period on the certificate principal balance of
such class of Certificates, minus such class'
interest percentage of shortfalls caused by the
Relief Act or similar state laws for such
Distribution Date.
Interest Carry Forward As of any Distribution Date, the excess, if
Amount: any, of (a) the sum of (x) any Interest Carry
Forward Amount for the prior Distribution Date
(along with interest on such amount at the
applicable Pass Through Rate on the basis of
the related accrual method) and (y) the Accrued
Certificate Interest for such Distribution Date
over (b) the amount of interest actually
distributed on such class on such Distribution
Date.
Rate Cap Carryover Amount: On any Distribution Date for any class of
Certificates, the excess of (x) the amount of
interest such class of certificates would have
been entitled to receive on such Distribution
Date if the Pass-Through Rate had not been
limited by the Rate Cap, up to but not
exceeding the related Maximum Rate Cap, if
applicable, over (y) the amount of interest
such class of certificates received on such
Distribution Date based on the Rate Cap,
together with the unpaid portion of any such
excess from prior Distribution Dates (and
interest accrued thereon at the then applicable
Pass-Through Rate (not limited by the Rate Cap)
on such class). No Rate Cap Carryover Amount
will be paid with respect to a class of
certificates once the principal balance has
been reduced to zero.
Monthly Excess Interest Any amount remaining pursuant to clause (xiii)
Amount: under Interest Distributions below.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
16
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INTEREST DISTRIBUTIONS
- --------------------------------------------------------------------------------
Interest Remittance Amount: As of any Distribution Date, (A) the sum,
without duplication, of (i) all interest
collected or advanced with respect to the
related Collection Period on the Mortgage Loans
received by the Servicer on or prior to the
Determination Date for such Distribution Date
(less the Servicing Fee, certain amounts
available for reimbursement of advances and
servicing advances and certain other
reimbursable expenses or indemnification
payments pursuant to the Pooling and Servicing
Agreement), (ii) all compensating interest paid
by the Servicer on such Distribution Date with
respect to the Mortgage Loans, (iii) the
portion of any payment in connection with any
principal prepayment (other than any prepayment
interest excess), substitution, purchase price,
termination price, liquidation proceeds (net of
certain expenses) or insurance proceeds
relating to interest with respect to the
Mortgage Loans received during the related
prepayment period and (iv) any Reimbursement
Amount received during the related prepayment
period less (B) the Trustee Fee and less (C)
any amounts payable to the Swap Provider
(including any Net Swap Payment and any Swap
Termination Payment owed to the Swap Provider,
other than a Defaulted Swap Termination
Payment)).
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
17
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INTEREST DISTRIBUTIONS
- --------------------------------------------------------------------------------
Distributions of interest to the Certificates will be made from the Interest
Remittance Amount as follows:
(i) concurrently, to the Class A-1, Class A-2 and Class A-3 Certificates, pro
rata, the applicable Accrued Certificate Interest thereon for such
Distribution Date;
(ii) concurrently, to the Class A-1, Class A-2 and Class A-3 Certificates, pro
rata, the applicable Interest Carry Forward Amount thereon for such
Distribution Date; and
(iii) to the Class M-1 Certificates, the Accrued Certificate Interest thereon
for such Distribution Date;
(iv) to the Class M-2 Certificates, the Accrued Certificate Interest thereon for
such Distribution Date;
(v) to the Class M-3 Certificates, the Accrued Certificate Interest thereon for
such Distribution Date;
(vi) to the Class M-4 Certificates, the Accrued Certificate Interest thereon for
such Distribution Date;
(vii) to the Class M-5 Certificates, the Accrued Certificate Interest thereon
for such Distribution Date;
(viii) to the Class M-6 Certificates, the Accrued Certificate Interest thereon
for such Distribution Date;
(ix) to the Class M-7 Certificates, the Accrued Certificate Interest thereon for
such Distribution Date;
(x) to the Class M-8 Certificates, the Accrued Certificate Interest thereon for
such Distribution Date;
(xi) to the Class M-9 Certificates, the Accrued Certificate Interest thereon for
such Distribution Date;
(xii) to the Class B-1 Certificates, the Accrued Certificate Interest thereon
for such Distribution Date; and
(xiii) the amount, if any, remaining will be distributed as the Excess Cashflow.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
18
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS
- --------------------------------------------------------------------------------
Principal Remittance Amount: With respect to any Distribution Date, to the
extent of funds available, (A) the amount equal
to the sum, less certain amounts available for
reimbursement of Advances and Servicing
Advances and certain other reimbursable
expenses of the following amounts, without
duplication, with respect to the related
Mortgage Loans of: (i) each payment of
principal on a Mortgage Loan due during the
related Collection Period and received by the
servicer on or prior to the related
Determination Date, including any Advances with
respect thereto, (ii) all full and partial
principal prepayments received by the servicer
during the related Prepayment Period, (iii) the
insurance proceeds and liquidation proceeds
(net of certain expenses) allocable to
principal actually collected by the servicer
during the related Prepayment Period, (iv) the
portion of the purchase price paid in
connection with the repurchase of a Mortgage
Loan allocable to principal of all repurchased
Mortgage Loans with respect to the related
Prepayment Period, (v) any Substitution
Adjustments received during the related
Prepayment Period, and (vi) on the Distribution
Date on which the trust is to be terminated in
accordance with the Pooling and Servicing
Agreement, that portion of the termination
price in respect of principal less (B) any
amounts payable to the Swap Provider (including
any Net Swap Payment and any Swap Termination
Payment owed to the Swap Provider, other than a
Defaulted Swap Termination Payment), not
covered by the Interest Remittance Amount.
Principal Distribution The sum of (i) the Principal Remittance Amount,
Amount: less the Overcollateralization Release Amount,
if any, and (ii) the Extra Principal
Distribution Amount.
Senior Principal Distribution As of any Distribution Date prior to the
Amount: Stepdown Date and on any Distribution Date
thereafter on which the Trigger Event is in
effect, the related Senior Principal
Distribution Amount will equal 100% of the
Principal Distribution Amount.
As of any Distribution Date on or after the
Stepdown Date and as long as a Trigger Event is
not in effect, the excess of (x) the aggregate
outstanding certificate principal balance of
the Senior Certificates immediately prior to
such Distribution Date over (y) the lesser of
(A) the product of (i) approximately 57.20% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Collection Period (after giving effect
to collections of unscheduled principal
received during the related Prepayment Period)
and (B) the excess of the aggregate principal
balance of the Mortgage Loans as of the last
day of the related Collection Period (after
giving effect to collections of unscheduled
principal received during the related
Prepayment Period) minus the OC Floor.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
19
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS
- --------------------------------------------------------------------------------
Class M-1 Principal With respect to any Distribution Date, on or
Distribution Amount: after the Stepdown Date and to the extent the
Trigger Event is not in effect, the excess of
(i) the sum of (a) the aggregate outstanding
certificate principal balance of the Senior
Certificates after distribution of the Senior
Principal Distribution Amount on the related
Distribution Date and (b) the outstanding
certificate principal balance of the Class M-1
Certificates immediately prior to such
Distribution Date over (ii) the lesser of (A)
the product of (x) approximately 64.50% and (y)
the aggregate principal balance of the Mortgage
Loans on the last day of the related Collection
Period (after giving effect to collections of
unscheduled principal received during the
related Prepayment Period) and (B) the
outstanding aggregate principal balance of the
Mortgage Loans on the last day of the related
Collection Period (after giving effect to
collections of unscheduled principal received
during the related Prepayment Period) minus the
OC Floor.
Class M-2 Principal With respect to any Distribution Date, on or
Distribution Amount: after the Stepdown Date and to the extent the
Trigger Event is not in effect, the excess of
(i) the sum of (a) the aggregate outstanding
certificate principal balance of the Senior
Certificates and Class M-1 Certificates after
distribution of the Senior Principal
Distribution Amount and Class M-1 Principal
Distribution Amount on the related Distribution
Date and (b) the outstanding certificate
principal balance of the Class M-2 Certificates
immediately prior to such Distribution Date
over (ii) the lesser of (A) the product of (x)
approximately 71.40% and (y) the aggregate
principal balance of the Mortgage Loans on the
last day of the related Collection Period
(after giving effect to collections of
unscheduled principal received during the
related Prepayment Period) and (B) the
outstanding aggregate principal balance of the
Mortgage Loans on the last day of the related
Collection Period (after giving effect to
collections of unscheduled principal received
during the related Prepayment Period) minus the
OC Floor.
Class M-3 Principal With respect to any Distribution Date, on or
Distribution Amount: after the Stepdown Date and to the extent the
Trigger Event is not in effect, the excess of
(i) the sum of (a) the aggregate outstanding
certificate principal balance of the Senior
Certificates and the Class M-1 and Class M-2
Certificates after distribution of the Senior
Principal Distribution Amount, the Class M-1
and Class M-2 Principal Distribution Amounts on
the related Distribution Date and (b) the
outstanding certificate principal balance of
the Class M-3 Certificates immediately prior to
such Distribution Date over (ii) the lesser of
(A) the product of (x) approximately 75.30% and
(y) the aggregate principal balance of the
Mortgage Loans on the last day of the related
Collection Period (after giving effect to
collections of unscheduled principal received
during the related Prepayment Period) and (B)
the outstanding aggregate principal balance of
the Mortgage Loans on the last day of the
related Collection Period (after giving effect
to collections of unscheduled principal
received during the related Prepayment Period)
minus the OC Floor.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
20
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS
- --------------------------------------------------------------------------------
Class M-4 Principal With respect to any Distribution Date, on or
Distribution Amount: after the Stepdown Date and to the extent the
Trigger Event is not in effect, the excess of
(i) the sum of (a) the aggregate outstanding
certificate principal balance of the Senior
Certificates and the Class M-1, Class M-2 and
Class M-3 Certificates after distribution of
the Senior Principal Distribution Amount and
the Class M-1, Class M-2 and Class M-3
Principal Distribution Amounts on the related
Distribution Date and (b) the outstanding
certificate principal balance of the Class M-4
Certificates immediately prior to such
Distribution Date over (ii) the lesser of (A)
the product of (x) approximately 78.80% and (y)
the aggregate principal balance of the Mortgage
Loans on the last day of the related Collection
Period (after giving effect to collections of
unscheduled principal received during the
related Prepayment Period) and (B) the
outstanding aggregate principal balance of the
Mortgage Loans on the last day of the related
Collection Period (after giving effect to
collections of unscheduled principal received
during the related Prepayment Period) minus the
OC Floor.
Class M-5 Principal With respect to any Distribution Date, on or
Distribution Amount: after the Stepdown Date and to the extent the
Trigger Event is not in effect, the excess of
(i) the sum of (a) the aggregate outstanding
certificate principal balance of the Senior
Certificates and the Class M-1, Class M-2,
Class M-3 and Class M-4 Certificates after
distribution of the Senior Principal
Distribution Amount and the Class M-1, Class
M-2, Class M-3 and Class M-4 Principal
Distribution Amounts on the related
Distribution Date and (b) the outstanding
certificate principal balance of the Class M-5
Certificates immediately prior to such
Distribution Date over (ii) the lesser of (A)
the product of (x) approximately 82.10% and (y)
the aggregate principal balance of the Mortgage
Loans on the last day of the related Collection
Period (after giving effect to collections of
unscheduled principal received during the
related Prepayment Period) and (B) the
outstanding aggregate principal balance of the
Mortgage Loans on the last day of the related
Collection Period (after giving effect to
collections of unscheduled principal received
during the related Prepayment Period) minus the
OC Floor.
Class M-6 Principal With respect to any Distribution Date, on or
Distribution Amount: after the Stepdown Date and to the extent the
Trigger Event is not in effect, the excess of
(i) the sum of (a) the aggregate outstanding
certificate principal balance of the Senior
Certificates and the Class M-1, Class M-2,
Class M-3, Class M-4 and Class M-5 Certificates
after distribution of the Senior Principal
Distribution Amount and the Class M-1, Class
M-2, Class M-3, Class M-4 and Class M-5
Principal Distribution Amounts on the related
Distribution Date and (b) the outstanding
certificate principal balance of the Class M-6
Certificates immediately prior to such
Distribution Date over (ii) the lesser of (A)
the product of (x) approximately 85.20% and (y)
the aggregate principal balance of the Mortgage
Loans on the last day of the related Collection
Period (after giving effect to collections of
unscheduled principal received during the
related Prepayment Period) and (B) the
outstanding aggregate principal balance of the
Mortgage Loans on the last day of the related
Collection Period (after giving effect to
collections of unscheduled principal received
during the related Prepayment Period) minus the
OC Floor.
Class M-7 Principal With respect to any Distribution Date, on or
Distribution Amount: after the Stepdown Date and to the extent the
Trigger Event is not in effect, the excess of
(i) the sum of (a) the aggregate outstanding
certificate principal balance of the Senior
Certificates and the Class M-1, Class M-2,
Class M-3, Class M-4, Class M-5 and Class M-6
Certificates after distribution of the Senior
Principal Distribution Amount and the Class
M-1, Class M-2, Class M-3, Class M-4, Class M-5
and Class M-6 Principal Distribution Amounts on
the related Distribution Date and (b) the
outstanding certificate principal balance of
the Class M-7 Certificates immediately prior to
such Distribution Date over (ii) the lesser of
(A) the product of (x) approximately 88.20% and
(y) the aggregate principal balance of the
Mortgage Loans on the last day of the related
Collection Period (after giving effect to
collections of unscheduled principal received
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
21
during the related Prepayment Period) and (B)
the outstanding aggregate principal balance of
the Mortgage Loans on the last day of the
related Collection Period (after giving effect
to collections of unscheduled principal
received during the related Prepayment Period)
minus the OC Floor.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
22
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS
- --------------------------------------------------------------------------------
Class M-8 Principal With respect to any Distribution Date, on or
Distribution Amount: after the Stepdown Date and to the extent the
Trigger Event is not in effect, the excess of
(i) the sum of (a) the aggregate outstanding
certificate principal balance of the Senior
Certificates and the Class M-1, Class M-2,
Class M-3, Class M-4, Class M-5, Class M-6 and
Class M-7 Certificates after distribution of
the Senior Principal Distribution Amount and
the Class M-1, Class M-2, Class M-3, Class M-4,
Class M-5, Class M-6 and Class M-7 Principal
Distribution Amounts on the related
Distribution Date and (b) the outstanding
certificate principal balance of the Class M-8
Certificates immediately prior to such
Distribution Date over (ii) the lesser of (A)
the product of (x) approximately 90.30% and (y)
the aggregate principal balance of the Mortgage
Loans on the last day of the related Collection
Period (after giving effect to collections of
unscheduled principal received during the
related Prepayment Period) and (B) the
outstanding aggregate principal balance of the
Mortgage Loans on the last day of the related
Collection Period (after giving effect to
collections of unscheduled principal received
during the related Prepayment Period) minus the
OC Floor.
Class M-9 Principal With respect to any Distribution Date, on or
Distribution Amount: after the Stepdown Date and to the extent the
Trigger Event is not in effect, the excess of
(i) the sum of (a) the aggregate outstanding
certificate principal balance of the Senior
Certificates and the Class M-1, Class M-2,
Class M-3, Class M-4, Class M-5, Class M-6,
Class M-7 and Class M-8 Certificates after
distribution of the Senior Principal
Distribution Amount and the Class M-1, Class
M-2, Class M-3, Class M-4, Class M-5, Class
M-6, Class M-7 and Class M-8 Principal
Distribution Amounts on the related
Distribution Date and (b) the outstanding
certificate principal balance of the Class M-9
Certificates immediately prior to such
Distribution Date over (ii) the lesser of (A)
the product of (x) approximately 92.60% and (y)
the aggregate principal balance of the Mortgage
Loans on the last day of the related Collection
Period (after giving effect to collections of
unscheduled principal received during the
related Prepayment Period) and (B) the
outstanding aggregate principal balance of the
Mortgage Loans on the last day of the related
Collection Period (after giving effect to
collections of unscheduled principal received
during the related Prepayment Period) minus the
OC Floor.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
23
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS
- --------------------------------------------------------------------------------
Class B-1 Principal With respect to any Distribution Date, on or
Distribution Amount: after the Stepdown Date and to the extent the
Trigger Event is not in effect, the excess of
(i) the sum of (a) the aggregate outstanding
certificate principal balance of the Senior and
Class M Certificates after distribution of the
Senior Principal Distribution Amount and the
Class M-1, Class M-2, Class M-3, Class M-4,
Class M-5, Class M-6, Class M-7, Class M-8 and
Class M-9 Principal Distribution Amounts on the
related Distribution Date and (b) the
outstanding certificate principal balance of
the Class B-1 Certificates immediately prior to
such Distribution Date over (ii) the lesser of
(A) the product of (x) approximately 94.60% and
(y) the aggregate principal balance of the
Mortgage Loans on the last day of the related
Collection Period (after giving effect to
collections of unscheduled principal received
during the related Prepayment Period) and (B)
the outstanding aggregate principal balance of
the Mortgage Loans on the last day of the
related Collection Period (after giving effect
to collections of unscheduled principal
received during the related Prepayment Period)
minus the OC Floor.
Extra Principal As of any Distribution Date, the lesser of (x)
Distribution Amount: the Monthly Excess Interest Amount for such
Distribution Date and (y) the
Overcollateralization Deficiency for such
Distribution Date.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
24
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS
- --------------------------------------------------------------------------------
With respect to each Distribution Date (a) before the Stepdown Date or (b) on
which a Trigger Event is in effect, the Principal Distribution Amount will be
distributed in the following order of priority:
first, sequentially, to the Class A-1, Class A-2 and Class A-3 Certificates, in
that order, the Senior Principal Distribution Amount until the certificate
principal balances thereof have beeen reduced to zero.
second, to the Class M-1 Certificates, until the certificate principal balance
thereof has been reduced to zero;
third, to the Class M-2 Certificates, until the certificate principal balance
thereof has been reduced to zero;
fourth, to the Class M-3 Certificates, until the certificate principal balance
thereof has been reduced to zero;
fifth, to the Class M-4 Certificates, until the certificate principal balance
thereof has been reduced to zero;
sixth, to the Class M-5 Certificates, until the certificate principal balance
thereof has been reduced to zero;
seventh, to the Class M-6 Certificates, until the certificate principal balance
thereof has been reduced to zero;
eighth, to the Class M-7 Certificates, until the certificate principal balance
thereof has been reduced to zero;
ninth, to the Class M-8 Certificates, until the certificate principal balance
thereof has been reduced to zero
tenth, to the Class M-9 Certificates, until the certificate principal balance
thereof has been reduced to zero;
eleventh, to the Class B-1 Certificates, until the certificate principal balance
thereof has been reduced to zero and
twelfth, any remaining Principal Distribution Amount will be distributed as part
of Excess Cashflow.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
25
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS
- --------------------------------------------------------------------------------
With respect to each Distribution Date (a) on or after the Stepdown Date and (b)
as long as a Trigger Event is not in effect, the Principal Distribution Amount
will be distributed in the following order of priority:
first, sequentially, to the Class A-1, Class A-2 and Class A-3 Certificates, in
that order, the Senior Principal Distribution Amount until the certificate
principal balances thereof have beeen reduced to zero;
second, to the Class M-1 Certificates, the Class M-1 Principal Distribution
Amount until the certificate principal balance thereof has been reduced to zero;
third, to the Class M-2 Certificates, the Class M-2 Principal Distribution
Amount until the certificate principal balance thereof has been reduced to zero;
fourth, to the Class M-3 Certificates, the Class M-3 Principal Distribution
Amount until the certificate principal balance thereof has been reduced to zero;
fifth, to the Class M-4 Certificates, the Class M-4 Principal Distribution
Amount until the certificate principal balance thereof has been reduced to zero;
sixth, to the Class M-5 Certificates, the Class M-5 Principal Distribution
Amount until the certificate principal balance thereof has been reduced to zero;
seventh, to the Class M-6 Certificates, the Class M-6 Principal Distribution
Amount until the certificate principal balance thereof has been reduced to zero;
eighth, to the Class M-7 Certificates, the Class M-7 Principal Distribution
Amount until the certificate principal balance thereof has been reduced to zero;
ninth, to the Class M-8 Certificates, the Class M-8 Principal Distribution
Amount until the certificate principal balance thereof has been reduced to zero;
tenth, to the Class M-9 Certificates, the Class M-9 Principal Distribution
Amount until the certificate principal balance thereof has been reduced to zero;
eleventh, to the Class B-1 Certificates, the Class B-1 Principal Distribution
Amount until the certificate principal balance thereof has been reduced to zero;
and
twelfth, any remaining Principal Distribution Amount will be distributed as part
of Excess Cashflow.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
26
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
EXCESS CASHFLOW
- --------------------------------------------------------------------------------
On any Distribution Date, the sum of the Monthly Excess Interest Amount, the
Overcollateralization Release Amount (reduced by amounts paid as part of the
Principal Distribution Amount) and any portion of the Principal Distribution
Amount (without duplication) remaining after principal distributions on the
Senior, Class M and Subordinate Certificates will be applied in the following
order of priority:
(i) to fund any remaining applicable Accrued Certificate Interest for such
Distribution Date, pro rata, among the Senior Certificates;
(ii) to fund the remaining Interest Carry Forward Amounts, if any, pro rata,
among the Senior Certificates;
(iii) to fund any remaining Accrued Certificate Interest for such Distribution
Date to the Class M-1 Certificates;
(iv) to fund the Interest Carry Forward Amount for the Class M-1 Certificates,
if any;
(v) to fund the Class M-1 realized loss amortization amount for such
Distribution Date;
(vi) to fund any remaining Accrued Certificate Interest for such Distribution
Date to the Class M-2 Certificates;
(vii) to fund the Interest Carry Forward Amount for the Class M-2 Certificates,
if any;
(viii) to fund the Class M-2 realized loss amortization amount for such
Distribution Date;
(ix) to fund any remaining Accrued Certificate Interest for such Distribution
Date to the Class M-3 Certificates;
(x) to fund the Interest Carry Forward Amount for the Class M-3 Certificates,
if any;
(xi) to fund the Class M-3 realized loss amortization amount for such
Distribution Date;
(xii) to fund any remaining Accrued Certificate Interest for such Distribution
Date to the Class M-4 Certificates;
(xiii) to fund the Interest Carry Forward Amount for the Class M-4 Certificates,
if any;
(xiv) to fund the Class M-4 realized loss amortization amount for such
Distribution Date;
(xv) to fund any remaining Accrued Certificate Interest for such Distribution
Date to the Class M-5 Certificates;
(xvi) to fund the Interest Carry Forward Amount for the Class M-5 Certificates,
if any;
(xvii) to fund the Class M-5 realized loss amortization amount for such
Distribution Date;
(xviii) to fund any remaining Accrued Certificate Interest for such Distribution
Date to the Class M-6 Certificates;
(xix) to fund the Interest Carry Forward Amount for the Class M-6 Certificates,
if any;
(xx) to fund the Class M-6 realized loss amortization amount for such
Distribution Date;
(xxi) to fund any remaining Accrued Certificate Interest for such Distribution
Date to the Class M-7 Certificates;
(xxii) to fund the Interest Carry Forward Amount for the Class M-7 Certificates,
if any;
(xxiii) to fund the Class M-7 realized loss amortization amount for such
Distribution Date;
(xxiv) to fund any remaining Accrued Certificate Interest for such Distribution
Date to the Class M-8 Certificates;
(xxv) to fund the Interest Carry Forward Amount for the Class M-8 Certificates,
if any;
(xxvi) to fund the Class M-8 realized loss amortization amount for such
Distribution Date;
(xxvii) to fund any remaining Accrued Certificate Interest for such Distribution
Date to the Class M-9 Certificates;
(xxviii) to fund the Interest Carry Forward Amount for the Class M-9
Certificates, if any;
(xxix) to fund the Class M-9 realized loss amortization amount for such
Distribution Date;
(xxx) to fund any remaining Accrued Certificate Interest for such Distribution
Date to the Class B-1 Certificates;
(xxxi) to fund the Interest Carry Forward Amount for the Class B-1 Certificates,
if any;
(xxxii) to fund the Class B-1 realized loss amortization amount for such
Distribution Date;
(xxxiii) from amounts otherwise distributable to the Class CE-1 Certificates, to
fund the amount of any Rate Cap Carryover Amount, pro rata based on their
respective Rate Cap Carryover Amounts, to the Senior Certificates;
(xxxiv) from amounts otherwise distributable to the Class CE-1 Certificates, to
fund the amount of any Rate Cap Carryover Amount sequentially to the Class
M Certificates and Subordinate Certificates;
(xxxv) from amounts otherwise distributable to the Class CE-1 Certificates, to
the Supplemental Interest Trust to fund any Defaulted Swap Termination
Payment;
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
27
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
EXCESS CASHFLOW (cont.)
- --------------------------------------------------------------------------------
(xxxvi) from amounts otherwise distributable to the Class CE-1 Certificates, if
a 40-Year Trigger Event is in effect, then the amount, if available,
necessary to increase the Overcollateralization Amount for such
Distribution Date so that a 40-Year Trigger Event is no longer in effect
will be distributed sequentially, to the Class A-1, Class A-2, Class A-3,
Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class
M-7, Class M-8, Class M-9 and Class B-1 Certificates, in that order, until
their respective Certificate Principal Balances have been reduced to zero;
and
(xxxvii) to fund distributions to the holders of the Class CE-1, Class P, Class
R and Class R-X Certificates in the amounts specified in the Pooling and
Servicing Agreement.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
28
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SUPPLEMENTAL INTEREST TRUST DISTRIBUTIONS
- --------------------------------------------------------------------------------
On any Distribution Date and after all distributions made under Interest
Distributions and Principal Distributions above, funds in the Supplemental
Interest Trust with respect to the Interest Rate Swap Agreement and the Interest
Rate Cap Agreement will be distributed in the following order of priority:
(i) to the Swap Provider, all Net Swap Payments, if any, owed to the Swap
Provider for such distribution date;
(ii) to the Swap Provider, any Swap Termination Payment, other than a Defaulted
Swap Termination Payment, if any, owed to the Swap Provider;
(iii) to pay any remaining Accrued Certificate Interest and any Interest Carry
Forward Amounts on the Senior Certificates, pro rata, and then to pay any
remaining Accrued Certificate Interest and any Interest Carry Forward
Amounts on the Class M Certificates, sequentially in alphanumeric order;
(iv) to pay any principal on the Certificates then entitled to distributions of
principal, in accordance with the principal payments provisions described
herein, in an amount necessary to maintain the applicable Target
Overcollateralization Amount;
(v) to pay the Class M Certificates sequentially in alphanumeric order any
Realized Losses;
(vi) to pay concurrently in proportion of their respective Rate Cap Carryover
Amounts after giving effect to distributions already made on such
Distribution Date, to the Senior Certificates, any remaining Rate Cap
Carryover Amounts;
(vii) to pay the Class M Certificates sequentially in alphanumeric order any
remaining Rate Cap Carryover Amounts;
(viii) to the Swap Provider, any Defaulted Swap Termination Payment, to the
extent not already paid; and
(ix) to the holders of the Class CE-1 Certificates, any remaining amounts.
Amounts distributed in respect of clauses (iv) and (v) above, together with
amounts distributed in respect of such clauses on prior Distribution Dates,
shall not exceed the aggregate of current or prior Realized Losses not
previously reimbursed by recoveries or through Excess Cashflow.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
29
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SWAP SCHEDULE
- --------------------------------------------------------------------------------
Swap Swap
Distribution Notional Distribution Notional
Period Date Amount ($) Strike (%) Period Date Amount ($) Strike (%)
1 6/25/2007 342,804,000 5.200 31 12/25/2009 46,563,383 5.200
2 7/25/2007 335,222,130 5.200 32 1/25/2010 41,602,652 5.200
3 8/25/2007 326,920,509 5.200 33 2/25/2010 38,655,580 5.200
4 9/25/2007 317,926,908 5.200 34 3/25/2010 36,273,134 5.200
5 10/25/2007 307,822,293 5.200 35 4/25/2010 33,943,868 5.200
6 11/25/2007 296,626,755 5.200 36 5/25/2010 32,680,480 5.200
7 12/25/2007 284,553,590 5.200 37 6/25/2010 31,465,422 5.200
8 1/25/2008 271,823,802 5.200 38 7/25/2010 30,296,767 5.200
9 2/25/2008 259,170,670 5.200 39 8/25/2010 29,172,666 5.200
10 3/25/2008 246,914,820 5.200 40 9/25/2010 28,091,349 5.200
11 4/25/2008 235,168,744 5.200 41 10/25/2010 27,051,120 5.200
12 5/25/2008 223,960,233 5.200 42 11/25/2010 26,050,356 5.200
13 6/25/2008 213,252,648 5.200 43 12/25/2010 25,087,499 5.200
14 7/25/2008 203,025,214 5.200 44 1/25/2011 24,161,058 5.200
15 8/25/2008 193,270,124 5.200 45 2/25/2011 23,269,604 5.200
16 9/25/2008 183,911,712 5.200 46 3/25/2011 22,411,766 5.200
17 10/25/2008 174,579,962 5.200 47 4/25/2011 21,586,229 5.200
18 11/25/2008 165,401,044 5.200 48 and thereafter N/A N/A
19 12/25/2008 152,833,173 5.200
20 1/25/2009 109,203,081 5.200
21 2/25/2009 85,523,159 5.200
22 3/25/2009 73,740,662 5.200
23 4/25/2009 66,836,880 5.200
24 5/25/2009 63,641,042 5.200
25 6/25/2009 60,757,507 5.200
26 7/25/2009 58,106,375 5.200
27 8/25/2009 55,684,572 5.200
28 9/25/2009 53,370,444 5.200
29 10/25/2009 51,158,850 5.200
30 11/25/2009 48,860,165 5.200
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
30
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INTEREST RATE CAP SCHEDULE
- --------------------------------------------------------------------------------
Maximum Cap Maximum Cap
Distribution Notional Distribution Notional
Period Date Amount ($)* Strike (%) Period Date Amount ($)* Strike (%)
1 6/25/2007 N/A N/A 35 4/25/2010 79,812,760 5.320
2 7/25/2007 2,326,599 5.320 36 5/25/2010 77,161,001 5.320
3 8/25/2007 5,088,117 5.320 37 6/25/2010 74,585,217 5.320
4 9/25/2007 8,260,581 5.320 38 7/25/2010 75,753,873 5.320
5 10/25/2007 11,819,890 5.320 39 8/25/2010 74,947,839 5.320
6 11/25/2007 15,755,155 5.320 40 9/25/2010 72,869,739 5.320
7 12/25/2007 19,964,102 5.320 41 10/25/2010 70,850,513 5.320
8 1/25/2008 24,348,193 5.320 42 11/25/2010 68,888,426 5.320
9 2/25/2008 28,592,426 5.320 43 12/25/2010 66,981,840 5.320
10 3/25/2008 32,567,629 5.320 44 1/25/2011 65,129,198 5.320
11 4/25/2008 36,233,407 5.320 45 2/25/2011 63,328,984 5.320
12 5/25/2008 39,586,332 5.320 46 3/25/2011 61,579,740 5.320
13 6/25/2008 42,650,271 5.320 47 4/25/2011 59,880,033 5.320
14 7/25/2008 45,440,990 5.320 48 5/25/2011 79,020,177 5.320
15 8/25/2008 47,968,715 5.320 49 6/25/2011 76,650,672 5.320
16 9/25/2008 50,272,042 5.320 50 7/25/2011 74,355,261 5.320
17 10/25/2008 52,508,398 5.320 51 8/25/2011 72,131,542 5.320
18 11/25/2008 54,613,621 5.320 52 9/25/2011 69,977,192 5.320
19 12/25/2008 58,014,487 5.320 53 10/25/2011 67,889,967 5.320
20 1/25/2009 91,992,308 5.320 54 11/25/2011 65,867,683 5.320
21 2/25/2009 106,121,348 5.320 55 12/25/2011 63,908,272 5.320
22 3/25/2009 108,709,355 5.320 56 1/25/2012 62,009,679 5.320
23 4/25/2009 106,995,210 5.320 57 2/25/2012 60,168,213 5.320
24 5/25/2009 103,347,918 5.320 58 3/25/2012 58,383,149 5.320
25 6/25/2009 100,191,619 5.320 59 4/25/2012 56,652,259 5.320
26 7/25/2009 97,252,848 5.320 60 5/25/2012 54,974,095 5.320
27 8/25/2009 94,427,169 5.320 61 and thereafter N/A N/A
28 9/25/2009 91,662,326 5.320
29 10/25/2009 88,958,087 5.320
30 11/25/2009 86,498,356 5.320
31 12/25/2009 84,188,924 5.320
32 1/25/2010 84,690,496 5.320
33 2/25/2010 83,322,224 5.320
34 3/25/2010 81,527,394 5.320
* Based upon actual pricing levels, the maximum cap notional amount may be
adjusted on the pricing date by no more than +/- 3% of the applicable amount.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
31
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DESCRIPTION OF THE MORTGAGE LOANS
- --------------------------------------------------------------------------------
C-BASS Series 2007-CB5
Mortgage Loan Characteristics Summary Report
Summary Total Minimum Maximum
- ---------------------------------------------------------------------------------------------------------
Aggregate Current Principal Balance $355,973,432.73
Number of Mortgage Loans 1,667
Average Current Principal Loan Balance $213,541.35 $12,563.35 $997,646.25
Average Original Principal Loan Balance $213,909.43 $12,600.00 $999,999.00
Weighted Average Original Combined Loan-to-Value Ratio 81.19% 9.51% 100.00%
Weighted Average Mortgage Loan Rate 8.228% 5.625% 14.500%
Weighted Average Gross Margin 6.139% 2.000% 9.910%
Weighted Average Initial Periodic Rate Cap 2.575% 1.000% 6.000%
Weighted Average Subsequent Periodic Rate Cap 1.151% 1.000% 8.000%
(1) Weighted Average Minimum Mortgage Rate 8.236% 5.625% 12.850%
Weighted Average Maximum Mortgage Rate 14.584% 11.950% 19.990%
Weighted Average Original Term to Maturity (months) 359 180 480
Weighted Average Remaining Term to Maturity (months) 355 163 478
Weighted Average Term to Roll (months) 24 1 58
(1) Weighted Average Credit Score 638 500 819
- ---------------------------------------------------------------------------------------------------------
(1) Non-Zero Weighted average.
- --------------------------------------------------------------------------------
Percent of Statistical
Calculation Date
Range Principal Balance
----- -----------------
Loan Type Fixed 27.96%
ARMs 72.04%
Lien First 97.40%
Second 2.60%
Balloon Loans 36.71%
Interest Only Loans 17.02%
Dual Amortization Step Loans 3.13%
FHA Insured Loans 0.00%
Seller Financed Loans 0.00%
Simple Interest Loans 0.00%
Section 32 Loans 0.00%
Loans with Borrower PMI 0.00%
Loans with Prepayment Penalties 84.31%
- --------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
32
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Current Principal Balances
- ----------------------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Range of Number of Current Current Average Average Average
Current Principal Mortgage Principal Principal Mortgage Credit Loan-to-Value
Balances Loans Balance Balance Coupon Score Ratio
- ----------------------------------------------------------------------------------------------------------------------------
$1 - $50,000 93 3,166,459 0.89 11.075 662 87.62
- ----------------------------------------------------------------------------------------------------------------------------
$50,001 - $100,000 246 18,775,290 5.27 9.568 627 83.10
- ----------------------------------------------------------------------------------------------------------------------------
$100,001 - $150,000 294 36,853,205 10.35 8.824 619 78.47
- ----------------------------------------------------------------------------------------------------------------------------
$150,001 - $200,000 307 53,689,073 15.08 8.387 630 79.22
- ----------------------------------------------------------------------------------------------------------------------------
$200,001 - $250,000 217 48,589,053 13.65 8.329 627 81.33
- ----------------------------------------------------------------------------------------------------------------------------
$250,001 - $300,000 151 41,139,027 11.56 8.113 638 80.68
- ----------------------------------------------------------------------------------------------------------------------------
$300,001 - $350,000 120 38,869,832 10.92 8.181 627 82.39
- ----------------------------------------------------------------------------------------------------------------------------
$350,001 - $400,000 77 29,040,374 8.16 7.837 646 83.06
- ----------------------------------------------------------------------------------------------------------------------------
$400,001 - $450,000 48 20,388,209 5.73 7.968 643 82.01
- ----------------------------------------------------------------------------------------------------------------------------
$450,001 - $500,000 40 18,950,425 5.32 7.383 679 82.18
- ----------------------------------------------------------------------------------------------------------------------------
$500,001 - $550,000 33 17,266,638 4.85 7.734 664 82.92
- ----------------------------------------------------------------------------------------------------------------------------
$550,001 - $600,000 10 5,713,230 1.60 7.281 688 85.59
- ----------------------------------------------------------------------------------------------------------------------------
$600,001 - $650,000 6 3,741,321 1.05 7.451 632 76.12
- ----------------------------------------------------------------------------------------------------------------------------
$650,001 - $700,000 5 3,437,426 0.97 7.250 663 83.80
- ----------------------------------------------------------------------------------------------------------------------------
$700,001 - $750,000 5 3,681,301 1.03 7.773 680 82.76
- ----------------------------------------------------------------------------------------------------------------------------
$750,001 - $800,000 5 3,889,887 1.09 7.697 660 77.29
- ----------------------------------------------------------------------------------------------------------------------------
$800,001 - $850,000 6 5,012,030 1.41 7.700 676 78.82
- ----------------------------------------------------------------------------------------------------------------------------
$900,001 - $950,000 3 2,773,006 0.78 6.927 661 83.05
- ----------------------------------------------------------------------------------------------------------------------------
$950,001 - $1,000,000 1 997,646 0.28 7.990 590 80.00
- ----------------------------------------------------------------------------------------------------------------------------
Total: 1,667 355,973,433 100.00 8.228 638 81.19
- ----------------------------------------------------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
33
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Credit Scores
- ------------------------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Number of Current Current Average Average Average
Range of Mortgage Principal Principal Mortgage Credit Loan-to-Value
Credit Scores Loans Balance Balance Coupon Score Ratio
- ------------------------------------------------------------------------------------------------------------------------------
1 - 500 3 426,351 0.12 10.035 500 69.50
- ------------------------------------------------------------------------------------------------------------------------------
501 - 520 35 5,948,968 1.67 10.515 510 66.92
- ------------------------------------------------------------------------------------------------------------------------------
521 - 540 64 11,836,412 3.33 9.421 532 75.20
- ------------------------------------------------------------------------------------------------------------------------------
541 - 560 107 21,830,519 6.13 8.787 551 76.18
- ------------------------------------------------------------------------------------------------------------------------------
561 - 580 130 25,137,010 7.06 8.569 570 76.68
- ------------------------------------------------------------------------------------------------------------------------------
581 - 600 180 36,065,431 10.13 8.738 590 84.13
- ------------------------------------------------------------------------------------------------------------------------------
601 - 620 208 43,995,915 12.36 8.327 610 81.41
- ------------------------------------------------------------------------------------------------------------------------------
621 - 640 203 42,570,786 11.96 8.191 631 82.58
- ------------------------------------------------------------------------------------------------------------------------------
641 - 660 212 47,584,159 13.37 8.110 650 82.10
- ------------------------------------------------------------------------------------------------------------------------------
661 - 680 158 33,980,966 9.55 8.026 670 83.41
- ------------------------------------------------------------------------------------------------------------------------------
681 - 700 120 27,773,364 7.80 7.880 690 83.82
- ------------------------------------------------------------------------------------------------------------------------------
701 - 720 89 20,894,447 5.87 7.564 710 83.66
- ------------------------------------------------------------------------------------------------------------------------------
721 - 740 59 13,276,693 3.73 7.442 730 82.28
- ------------------------------------------------------------------------------------------------------------------------------
741 - 760 43 9,177,739 2.58 7.276 750 78.39
- ------------------------------------------------------------------------------------------------------------------------------
761 - 780 36 9,910,790 2.78 7.192 772 81.34
- ------------------------------------------------------------------------------------------------------------------------------
781 - 800 16 4,085,459 1.15 7.061 790 75.60
- ------------------------------------------------------------------------------------------------------------------------------
801 or greater 4 1,478,424 0.42 8.049 814 79.34
- ------------------------------------------------------------------------------------------------------------------------------
Total: 1,667 355,973,433 100.00 8.228 638 81.19
- ------------------------------------------------------------------------------------------------------------------------------
As of the cut-off date, the weighted average credit score is approximately 638
Original Term to Maturity (months)
- -------------------------------------------------------------------------------------------------------------------
Percent of
Range of Aggregate the Aggregate Weighted Weighted Weighted
Original Term Number of Current Current Average Average Average
to Maturity Mortgage Principal Principal Mortgage Credit Loan-to-Value
(months) Loans Balance Balance Coupon Score Ratio
- -----------------------------------------------------------------------------------------------------------------
121 - 180 143 8,820,186 2.48 10.419 656 85.44
- ------------------------------------------------------------------------------------------------------------------
181 - 240 10 788,811 0.22 8.225 678 67.17
- ------------------------------------------------------------------------------------------------------------------
301 - 360 1,461 334,727,559 94.03 8.151 638 80.61
- ------------------------------------------------------------------------------------------------------------------
421 - 480 53 11,636,877 3.27 8.781 621 95.49
- ------------------------------------------------------------------------------------------------------------------
Total: 1,667 355,973,433 100.00 8.228 638 81.19
- ------------------------------------------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
34
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Remaining Term to Maturity (months)
- ------------------------------------------------------------------------------------------------------------
Percent of
Range of Aggregate the Aggregate Weighted Weighted Weighted
Remaining Term to Number of Current Current Average Average Average
Maturity Mortgage Principal Principal Mortgage Credit Loan-to-Value
(months) Loans Balance Balance Coupon Score Ratio
- ------------------------------------------------------------------------------------------------------------
121 - 180 143 8,820,186 2.48 10.419 656 85.44
- -----------------------------------------------------------------------------------------------------------
181 - 240 10 788,811 0.22 8.225 678 67.17
- -----------------------------------------------------------------------------------------------------------
301 - 360 1,461 334,727,559 94.03 8.151 638 80.61
- -----------------------------------------------------------------------------------------------------------
421 - 480 53 11,636,877 3.27 8.781 621 95.49
- -----------------------------------------------------------------------------------------------------------
Total: 1,667 355,973,433 100.00 8.228 638 81.19
- -----------------------------------------------------------------------------------------------------------
Property Types
- ----------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Number of Current Current Average Average Average
Mortgage Principal Principal Mortgage Credit Loan-to-Value
Property Types Loans Balance Balance Coupon Score Ratio
- ----------------------------------------------------------------------------------------------------------------
Single Family 1,184 241,791,160 67.92 8.259 633 80.73
- ----------------------------------------------------------------------------------------------------------------
PUD 266 62,723,994 17.62 8.127 637 82.79
- ----------------------------------------------------------------------------------------------------------------
Condominium 126 25,698,703 7.22 8.280 654 81.14
- ----------------------------------------------------------------------------------------------------------------
2-Family 66 17,885,781 5.02 8.083 680 82.41
- ----------------------------------------------------------------------------------------------------------------
3-Family 16 4,841,752 1.36 8.445 680 80.84
- ----------------------------------------------------------------------------------------------------------------
4-Family 8 2,656,511 0.75 7.859 675 78.27
- ----------------------------------------------------------------------------------------------------------------
Townhouse 1 375,532 0.11 8.050 622 80.00
- ----------------------------------------------------------------------------------------------------------------
Total: 1,667 355,973,433 100.00 8.228 638 81.19
- ----------------------------------------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
35
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Occupancy Types
- ------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Number of Current Current Average Average Average
Mortgage Principal Principal Mortgage Credit Loan-to-Value
Occupancy Types Loans Balance Balance Coupon Score Ratio
- ------------------------------------------------------------------------------------------------------
Primary 1,498 322,647,571 90.64 8.207 635 81.27
- ------------------------------------------------------------------------------------------------------
Non-Owner Occupied 146 29,023,728 8.15 8.376 668 80.42
- ------------------------------------------------------------------------------------------------------
Second Home 23 4,302,135 1.21 8.780 647 80.16
- ------------------------------------------------------------------------------------------------------
Total: 1,667 355,973,433 100.00 8.228 638 81.19
- ------------------------------------------------------------------------------------------------------
Loan Purpose
- -------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Number of Current Current Average Average Average
Mortgage Principal Principal Mortgage Credit Loan-to-Value
Loan Purpose Loans Balance Balance Coupon Score Ratio
- ------------------------------------------------------------------------------------------------------------
Equity Refinance 960 216,583,677 60.84 8.205 628 78.23
- ------------------------------------------------------------------------------------------------------------
Purchase 583 113,236,482 31.81 8.356 655 86.96
- ------------------------------------------------------------------------------------------------------------
Rate/Term Refinance 124 26,153,274 7.35 7.866 652 80.71
- ------------------------------------------------------------------------------------------------------------
Total: 1,667 355,973,433 100.00 8.228 638 81.19
- ------------------------------------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
36
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Current Mortgage Interest Rates
- -------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Range of Number of Current Current Average Average Average
Current Mortgage Mortgage Principal Principal Mortgage Credit Loan-to-Value
Interest Rates Loans Balance Balance Coupon Score Ratio
- -------------------------------------------------------------------------------------------------------------
5.5001 - 6.0000 13 3,855,718 1.08 5.894 708 68.84
- ------------------------------------------------------------------------------------------------------------
6.0001 - 6.5000 78 23,342,546 6.56 6.344 686 73.25
- ------------------------------------------------------------------------------------------------------------
6.5001 - 7.0000 185 49,487,876 13.90 6.837 669 76.28
- ------------------------------------------------------------------------------------------------------------
7.0001 - 7.5000 185 50,458,950 14.17 7.322 653 78.78
- ------------------------------------------------------------------------------------------------------------
7.5001 - 8.0000 221 57,056,617 16.03 7.813 638 79.65
- ------------------------------------------------------------------------------------------------------------
8.0001 - 8.5000 169 40,832,202 11.47 8.307 632 84.18
- ------------------------------------------------------------------------------------------------------------
8.5001 - 9.0000 239 49,378,288 13.87 8.809 621 85.81
- ------------------------------------------------------------------------------------------------------------
9.0001 - 9.5000 127 22,917,436 6.44 9.288 623 89.74
- ------------------------------------------------------------------------------------------------------------
9.5001 - 10.0000 166 26,199,254 7.36 9.802 609 88.15
- ------------------------------------------------------------------------------------------------------------
10.0001 - 10.5000 64 9,031,416 2.54 10.315 604 85.27
- ------------------------------------------------------------------------------------------------------------
10.5001 - 11.0000 65 7,997,968 2.25 10.788 601 80.45
- ------------------------------------------------------------------------------------------------------------
11.0001 - 11.5000 50 6,584,756 1.85 11.347 567 71.92
- ------------------------------------------------------------------------------------------------------------
11.5001 - 12.0000 57 6,025,883 1.69 11.799 597 76.46
- ------------------------------------------------------------------------------------------------------------
12.0001 - 12.5000 30 1,714,622 0.48 12.278 632 89.64
- ------------------------------------------------------------------------------------------------------------
12.5001 - 13.0000 11 777,666 0.22 12.875 595 78.70
- ------------------------------------------------------------------------------------------------------------
13.5001 - 14.0000 6 271,457 0.08 13.689 674 89.30
- ------------------------------------------------------------------------------------------------------------
14.0001 - 14.5000 1 40,778 0.01 14.500 754 99.79
- ------------------------------------------------------------------------------------------------------------
Total: 1,667 355,973,433 100.00 8.228 638 81.19
- ------------------------------------------------------------------------------------------------------------
As of the cut-off date, the weighted average mortgage rate is approximately
8.228%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
37
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Original Combined Loan-to-Value Ratios
- -----------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Range of Number of Current Current Average Average Average
Original Combined Mortgage Principal Principal Mortgage Credit Loan-to-Value
Loan-to-Value Ratios Loans Balance Balance Coupon Score Ratio
- -----------------------------------------------------------------------------------------------------------------
0.01 - 50.00 80 10,846,262 3.05 8.148 615 38.49
- -----------------------------------------------------------------------------------------------------------------
50.01 - 55.00 40 8,008,378 2.25 7.806 629 53.37
- -----------------------------------------------------------------------------------------------------------------
55.01 - 60.00 55 11,981,851 3.37 7.873 619 58.30
- -----------------------------------------------------------------------------------------------------------------
60.01 - 65.00 66 13,071,871 3.67 8.497 605 63.25
- -----------------------------------------------------------------------------------------------------------------
65.01 - 70.00 103 22,444,163 6.31 8.301 614 68.65
- -----------------------------------------------------------------------------------------------------------------
70.01 - 75.00 90 19,306,471 5.42 7.935 630 73.58
- -----------------------------------------------------------------------------------------------------------------
75.01 - 80.00 405 106,533,578 29.93 7.670 658 79.63
- -----------------------------------------------------------------------------------------------------------------
80.01 - 85.00 140 31,475,813 8.84 8.200 621 84.26
- -----------------------------------------------------------------------------------------------------------------
85.01 - 90.00 269 60,550,233 17.01 8.444 634 89.52
- -----------------------------------------------------------------------------------------------------------------
90.01 - 95.00 125 29,889,196 8.40 8.568 641 94.73
- -----------------------------------------------------------------------------------------------------------------
95.01 - 100.00 294 41,865,615 11.76 9.329 648 99.89
- -----------------------------------------------------------------------------------------------------------------
Total: 1,667 355,973,433 100.00 8.228 638 81.19
- -----------------------------------------------------------------------------------------------------------------
As of the cut-off date, the weighted average original combined loan-to-value
ratio is approximately 81.19%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
38
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Geographic Distribution
- -------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Number of Current Current Average Average Average
Mortgage Principal Principal Mortgage Credit Loan-to-Value
Geographic Distribution Loans Balance Balance Coupon Score Ratio
- -------------------------------------------------------------------------------------------------------------
CA 291 93,749,078 26.34 7.933 651 79.24
- ------------------------------------------------------------------------------------------------------------
FL 270 58,784,713 16.51 8.187 631 79.30
- ------------------------------------------------------------------------------------------------------------
WA 88 20,386,340 5.73 8.013 628 82.61
- ------------------------------------------------------------------------------------------------------------
TX 140 18,797,476 5.28 8.744 624 87.12
- ------------------------------------------------------------------------------------------------------------
MD 59 14,930,412 4.19 7.895 626 80.80
- ------------------------------------------------------------------------------------------------------------
AZ 70 14,675,177 4.12 8.238 632 80.45
- ------------------------------------------------------------------------------------------------------------
NY 42 12,114,354 3.40 8.172 649 73.64
- ------------------------------------------------------------------------------------------------------------
IL 50 9,696,037 2.72 8.726 639 88.04
- ------------------------------------------------------------------------------------------------------------
NJ 50 9,436,645 2.65 8.948 658 82.96
- ------------------------------------------------------------------------------------------------------------
HI 19 7,319,052 2.06 7.230 667 75.67
- ------------------------------------------------------------------------------------------------------------
PA 47 7,290,585 2.05 8.495 638 81.29
- ------------------------------------------------------------------------------------------------------------
NV 39 7,096,184 1.99 8.252 634 76.86
- ------------------------------------------------------------------------------------------------------------
OR 33 7,037,625 1.98 8.147 626 81.66
- ------------------------------------------------------------------------------------------------------------
VA 29 6,941,981 1.95 7.873 645 81.56
- ------------------------------------------------------------------------------------------------------------
CT 34 6,475,279 1.82 7.925 648 78.76
- ------------------------------------------------------------------------------------------------------------
GA 35 5,338,920 1.50 8.728 618 83.81
- ------------------------------------------------------------------------------------------------------------
TN 44 5,260,970 1.48 9.150 629 86.49
- ------------------------------------------------------------------------------------------------------------
UT 23 4,523,070 1.27 8.235 640 80.37
- ------------------------------------------------------------------------------------------------------------
MO 34 4,385,312 1.23 9.058 618 87.71
- ------------------------------------------------------------------------------------------------------------
MA 26 4,018,346 1.13 8.630 655 83.44
- ------------------------------------------------------------------------------------------------------------
CO 25 3,467,975 0.97 8.940 635 86.99
- ------------------------------------------------------------------------------------------------------------
MI 19 2,760,203 0.78 9.072 613 91.83
- ------------------------------------------------------------------------------------------------------------
ID 17 2,577,483 0.72 8.303 637 80.65
- ------------------------------------------------------------------------------------------------------------
KS 16 2,394,212 0.67 8.877 631 89.23
- ------------------------------------------------------------------------------------------------------------
MS 11 1,902,169 0.53 8.696 617 78.04
- ------------------------------------------------------------------------------------------------------------
MN 10 1,892,281 0.53 8.478 620 82.19
- ------------------------------------------------------------------------------------------------------------
LA 11 1,864,260 0.52 8.601 640 81.13
- ------------------------------------------------------------------------------------------------------------
AL 13 1,644,246 0.46 8.876 607 89.77
- ------------------------------------------------------------------------------------------------------------
DE 6 1,434,854 0.40 8.024 641 81.56
- ------------------------------------------------------------------------------------------------------------
MT 4 1,422,945 0.40 8.971 642 85.57
- ------------------------------------------------------------------------------------------------------------
IA 10 1,400,921 0.39 9.711 620 89.56
- ------------------------------------------------------------------------------------------------------------
NM 10 1,327,505 0.37 8.337 615 84.67
- ------------------------------------------------------------------------------------------------------------
ME 6 1,270,408 0.36 6.909 632 79.19
- ------------------------------------------------------------------------------------------------------------
RI 5 1,269,533 0.36 7.253 649 81.03
- ------------------------------------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
39
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------
NH 7 1,266,750 0.36 8.207 613 81.65
- --------------------------------------------------------------------------------------
OK 10 1,188,342 0.33 8.692 635 89.29
- --------------------------------------------------------------------------------------
AR 11 1,171,023 0.33 9.375 622 90.78
- --------------------------------------------------------------------------------------
IN 9 1,151,195 0.32 9.499 623 88.42
- --------------------------------------------------------------------------------------
NC 8 1,146,024 0.32 9.132 627 91.51
- --------------------------------------------------------------------------------------
OH 9 1,069,160 0.30 7.947 667 88.49
- --------------------------------------------------------------------------------------
NE 8 956,039 0.27 8.833 611 90.32
- --------------------------------------------------------------------------------------
WY 3 871,944 0.24 8.101 650 88.76
- --------------------------------------------------------------------------------------
DC 2 591,322 0.17 8.695 702 91.10
- --------------------------------------------------------------------------------------
SC 3 463,370 0.13 8.392 606 88.12
- --------------------------------------------------------------------------------------
WI 4 416,290 0.12 9.498 628 94.11
- --------------------------------------------------------------------------------------
ND 1 277,455 0.08 8.990 620 90.00
- --------------------------------------------------------------------------------------
WV 2 261,292 0.07 9.188 572 93.90
- --------------------------------------------------------------------------------------
KY 1 132,762 0.04 9.050 551 90.00
- --------------------------------------------------------------------------------------
AK 2 98,993 0.03 9.495 654 70.62
- --------------------------------------------------------------------------------------
VT 1 24,923 0.01 10.125 680 90.00
- --------------------------------------------------------------------------------------
Total: 1,667 355,973,433 100.00 8.228 638 81.19
- --------------------------------------------------------------------------------------
Loan Documentation
- ---------------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Number of Current Current Average Average Average
Mortgage Principal Principal Mortgage Credit Loan-to-Value
Loan Documentation Loans Balance Balance Coupon Score Ratio
- ---------------------------------------------------------------------------------------------------------------------
Full Documentation 782 151,681,496 42.61 8.038 627 83.09
- ---------------------------------------------------------------------------------------------------------------------
Stated/Stated Documentation 432 103,879,432 29.18 8.390 642 78.32
- ---------------------------------------------------------------------------------------------------------------------
Stated Income Documentation 250 52,022,297 14.61 8.785 655 83.18
- ---------------------------------------------------------------------------------------------------------------------
Limited Documentation 125 33,614,369 9.44 7.811 634 80.95
- ---------------------------------------------------------------------------------------------------------------------
No Documentation 64 11,578,477 3.25 8.018 701 72.78
- ---------------------------------------------------------------------------------------------------------------------
Alternate Documentation 14 3,197,361 0.90 8.038 617 84.74
- ---------------------------------------------------------------------------------------------------------------------
Total: 1,667 355,973,433 100.00 8.228 638 81.19
- ---------------------------------------------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
40
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Prepayment Penalty Term
- ------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Number of Current Current Average Average Average
Prepayment Penalty Mortgage Principal Principal Mortgage Credit Loan-to-Value
Term (months) Loans Balance Balance Coupon Score Ratio
- ------------------------------------------------------------------------------------------------------------
0 331 55,855,829 15.69 8.961 636 83.48
- ------------------------------------------------------------------------------------------------------------
6 11 1,562,665 0.44 8.550 629 92.39
- ------------------------------------------------------------------------------------------------------------
12 69 18,873,540 5.30 8.318 651 75.12
- ------------------------------------------------------------------------------------------------------------
24 684 156,633,917 44.00 8.320 634 82.75
- ------------------------------------------------------------------------------------------------------------
36 566 122,800,090 34.50 7.753 643 78.93
- ------------------------------------------------------------------------------------------------------------
60 6 247,392 0.07 11.127 670 85.15
- ------------------------------------------------------------------------------------------------------------
Total: 1,667 355,973,433 100.00 8.228 638 81.19
- ------------------------------------------------------------------------------------------------------------
Interest-Only Term
- -------------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Number of Current Current Average Average Average
Interest-Only Mortgage Principal Principal Mortgage Credit Loan-to-Value
Term (months) Loans Balance Balance Coupon Score Ratio
- -------------------------------------------------------------------------------------------------------------------
0 1,446 295,404,052 82.98 8.281 634 81.81
- -------------------------------------------------------------------------------------------------------------------
24 15 3,317,977 0.93 10.695 581 65.87
- -------------------------------------------------------------------------------------------------------------------
36 3 777,000 0.22 10.914 556 63.95
- -------------------------------------------------------------------------------------------------------------------
60 154 42,980,804 12.07 7.889 662 79.92
- -------------------------------------------------------------------------------------------------------------------
84 35 10,055,725 2.82 7.451 670 77.07
- -------------------------------------------------------------------------------------------------------------------
120 14 3,437,875 0.97 7.201 699 74.84
- -------------------------------------------------------------------------------------------------------------------
Total: 1,667 355,973,433 100.00 8.228 638 81.19
- -------------------------------------------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
41
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Range of Debt-to-Income Ratios
- -------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Range of Number of Current Current Average Average Average
Debt-to-Income Mortgage Principal Principal Mortgage Credit Loan-to-Value
Ratios Loans Balance Balance Coupon Score Ratio
- -------------------------------------------------------------------------------------------------------
Not Calculated 64 11,578,477 3.25 8.018 701 72.78
- -------------------------------------------------------------------------------------------------------
0.01 - 20.00 62 13,628,970 3.83 8.146 627 82.47
- -------------------------------------------------------------------------------------------------------
20.01 - 25.00 67 12,426,435 3.49 8.209 640 81.93
- -------------------------------------------------------------------------------------------------------
25.01 - 30.00 102 18,435,196 5.18 8.154 632 78.20
- -------------------------------------------------------------------------------------------------------
30.01 - 35.00 160 31,553,377 8.86 8.091 636 79.73
- -------------------------------------------------------------------------------------------------------
35.01 - 40.00 219 40,811,009 11.46 8.226 632 79.14
- -------------------------------------------------------------------------------------------------------
40.01 - 45.00 299 64,881,141 18.23 8.293 635 81.62
- -------------------------------------------------------------------------------------------------------
45.01 - 50.00 418 92,908,807 26.10 8.229 638 82.52
- -------------------------------------------------------------------------------------------------------
50.01 - 55.00 176 41,699,222 11.71 8.277 631 82.05
- -------------------------------------------------------------------------------------------------------
55.01 - 60.00 100 28,050,798 7.88 8.341 651 83.63
- -------------------------------------------------------------------------------------------------------
Total: 1,667 355,973,433 100.00 8.228 638 81.19
- -------------------------------------------------------------------------------------------------------
As of the cut-off date, the weighted average DTI (excluding mortgage loans for
which DTI was not calculated) is approximately 42.29%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
42
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Range of Gross Margins
- ------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Number of Current Current Average Average Average
Range of Mortgage Principal Principal Mortgage Credit Loan-to-Value
Gross Margins Loans Balance Balance Coupon Score Ratio
- ------------------------------------------------------------------------------------------------------------
1.5001 - 2.0000 1 123,413 0.05 6.350 726 65.00
- ------------------------------------------------------------------------------------------------------------
2.5001 - 3.0000 8 2,131,774 0.83 7.566 707 82.96
- ------------------------------------------------------------------------------------------------------------
3.0001 - 3.5000 1 246,500 0.10 5.950 756 85.00
- ------------------------------------------------------------------------------------------------------------
3.5001 - 4.0000 6 1,739,740 0.68 7.051 697 84.14
- ------------------------------------------------------------------------------------------------------------
4.0001 - 4.5000 18 4,223,080 1.65 7.238 667 75.77
- ------------------------------------------------------------------------------------------------------------
4.5001 - 5.0000 37 7,907,910 3.08 7.410 680 78.16
- ------------------------------------------------------------------------------------------------------------
5.0001 - 5.5000 185 37,752,618 14.72 8.400 634 86.66
- ------------------------------------------------------------------------------------------------------------
5.5001 - 6.0000 211 48,120,978 18.76 8.548 624 79.34
- ------------------------------------------------------------------------------------------------------------
6.0001 - 6.5000 351 95,260,865 37.15 7.973 643 81.37
- ------------------------------------------------------------------------------------------------------------
6.5001 - 7.0000 150 36,132,194 14.09 8.491 613 80.85
- ------------------------------------------------------------------------------------------------------------
7.0001 - 7.5000 37 8,502,933 3.32 8.875 627 80.00
- ------------------------------------------------------------------------------------------------------------
7.5001 - 8.0000 45 12,725,094 4.96 9.217 619 88.09
- ------------------------------------------------------------------------------------------------------------
8.0001 - 8.5000 4 840,111 0.33 9.586 630 97.03
- ------------------------------------------------------------------------------------------------------------
8.5001 - 9.0000 1 264,732 0.10 10.510 546 90.00
- ------------------------------------------------------------------------------------------------------------
9.0001 - 9.5000 3 292,823 0.11 11.427 540 79.96
- ------------------------------------------------------------------------------------------------------------
9.5001 - 10.0000 1 176,596 0.07 11.910 570 95.00
- ------------------------------------------------------------------------------------------------------------
Total: 1,059 256,441,362 100.00 8.281 634 81.89
- ------------------------------------------------------------------------------------------------------------
As of the cut-off date, the weighted average gross margin is approximately
6.139%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
43
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Initial Periodic Rate Caps
- --------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Number of Current Current Average Average Average
Initial Periodic Mortgage Principal Principal Mortgage Credit Loan-to-Value
Rate Caps Loans Balance Balance Coupon Score Ratio
- --------------------------------------------------------------------------------------------------------------
1.000 18 4,199,592 1.64 7.701 659 73.83
- ------------------------------------------------------------------------------------------------------------
1.500 5 809,171 0.32 7.528 653 81.90
- ------------------------------------------------------------------------------------------------------------
2.000 440 102,305,760 39.89 8.192 633 79.69
- ------------------------------------------------------------------------------------------------------------
3.000 587 147,916,401 57.68 8.343 635 83.69
- ------------------------------------------------------------------------------------------------------------
5.000 6 715,939 0.28 12.249 536 62.43
- ------------------------------------------------------------------------------------------------------------
6.000 3 494,499 0.19 8.827 702 95.12
- ------------------------------------------------------------------------------------------------------------
Total: 1,059 256,441,362 100.00 8.281 634 81.89
- ------------------------------------------------------------------------------------------------------------
As of the cut-off date, the weighted average initial periodic rate cap is
approximately 2.575%.
Subsequent Periodic Rate Caps
- ----------------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Number of Current Current Average Average Average
Subsequent Periodic Mortgage Principal Principal Mortgage Credit Loan-to-Value
Rate Caps Loans Balance Balance Coupon Score Ratio
- ----------------------------------------------------------------------------------------------------------------------
1.000 771 189,628,598 73.95 8.236 634 82.85
- ---------------------------------------------------------------------------------------------------------------------
1.500 259 62,243,371 24.27 8.239 640 80.07
- ---------------------------------------------------------------------------------------------------------------------
2.000 15 2,369,629 0.92 10.349 581 66.89
- ---------------------------------------------------------------------------------------------------------------------
3.000 13 2,028,487 0.79 11.160 543 66.20
- ---------------------------------------------------------------------------------------------------------------------
8.000 1 171,278 0.07 11.500 503 70.00
- ---------------------------------------------------------------------------------------------------------------------
Total: 1,059 256,441,362 100.00 8.281 634 81.89
- ---------------------------------------------------------------------------------------------------------------------
As of the cut-off date, the weighted average subsequent periodic rate cap is
approximately 1.151%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
44
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Maximum Mortgage Rates
- ---------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Range of Number of Current Current Average Average Average
Maximum Mortgage Mortgage Principal Principal Mortgage Credit Loan-to-Value
Rates Loans Balance Balance Coupon Score Ratio
- ---------------------------------------------------------------------------------------------------------
11.501 - 12.000 1 246,500 0.10 5.950 756 85.00
- -------------------------------------------------------------------------------------------------------
12.001 - 12.500 28 10,398,428 4.05 6.321 683 74.85
- -------------------------------------------------------------------------------------------------------
12.501 - 13.000 71 21,971,588 8.57 6.805 678 79.44
- -------------------------------------------------------------------------------------------------------
13.001 - 13.500 101 30,888,969 12.05 7.235 657 79.08
- -------------------------------------------------------------------------------------------------------
13.501 - 14.000 131 35,777,519 13.95 7.616 644 79.86
- -------------------------------------------------------------------------------------------------------
14.001 - 14.500 123 32,789,762 12.79 7.988 631 81.66
- -------------------------------------------------------------------------------------------------------
14.501 - 15.000 210 48,107,421 18.76 8.489 627 84.75
- -------------------------------------------------------------------------------------------------------
15.001 - 15.500 105 22,162,566 8.64 8.938 628 89.07
- -------------------------------------------------------------------------------------------------------
15.501 - 16.000 117 23,175,274 9.04 9.364 612 88.05
- -------------------------------------------------------------------------------------------------------
16.001 - 16.500 48 9,037,659 3.52 9.751 618 86.16
- -------------------------------------------------------------------------------------------------------
16.501 - 17.000 43 7,428,021 2.90 10.193 599 80.69
- -------------------------------------------------------------------------------------------------------
17.001 - 17.500 21 3,750,482 1.46 10.876 588 73.19
- -------------------------------------------------------------------------------------------------------
17.501 - 18.000 23 4,341,310 1.69 11.105 578 73.94
- -------------------------------------------------------------------------------------------------------
18.001 - 18.500 17 2,791,178 1.09 10.943 554 65.35
- -------------------------------------------------------------------------------------------------------
18.501 - 19.000 12 2,068,166 0.81 12.025 552 62.44
- -------------------------------------------------------------------------------------------------------
19.001 - 19.500 7 1,272,654 0.50 11.410 530 68.48
- -------------------------------------------------------------------------------------------------------
19.501 - 20.000 1 233,865 0.09 11.990 507 60.00
- -------------------------------------------------------------------------------------------------------
Total: 1,059 256,441,362 100.00 8.281 634 81.89
- -------------------------------------------------------------------------------------------------------
As of the cut-off date, the weighted average maximum mortgage rate is
approximately 14.584%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
45
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Minimum Mortgage Rates
- ---------------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Range of Number of Current Current Average Average Average
Minimum Mortgage Mortgage Principal Principal Mortgage Credit Loan-to-Value
Rates Loans Balance Balance Coupon Score Ratio
- ---------------------------------------------------------------------------------------------------------------------
<= 2.000 59 12,770,703 4.98 9.037 607 83.04
- --------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 5 1,478,738 0.58 6.551 667 72.35
- --------------------------------------------------------------------------------------------------------------------
6.001 - 6.500 39 13,910,381 5.42 6.329 681 73.52
- --------------------------------------------------------------------------------------------------------------------
6.501 - 7.000 93 27,953,361 10.90 6.840 676 79.78
- --------------------------------------------------------------------------------------------------------------------
7.001 - 7.500 123 36,469,142 14.22 7.328 653 78.75
- --------------------------------------------------------------------------------------------------------------------
7.501 - 8.000 158 43,057,902 16.79 7.828 639 79.88
- --------------------------------------------------------------------------------------------------------------------
8.001 - 8.500 106 27,361,217 10.67 8.293 632 83.67
- --------------------------------------------------------------------------------------------------------------------
8.501 - 9.000 182 39,503,349 15.40 8.806 622 86.48
- --------------------------------------------------------------------------------------------------------------------
9.001 - 9.500 91 17,873,989 6.97 9.285 627 91.00
- --------------------------------------------------------------------------------------------------------------------
9.501 - 10.000 99 17,656,637 6.89 9.819 601 88.54
- --------------------------------------------------------------------------------------------------------------------
10.001 - 10.500 32 5,966,621 2.33 10.384 592 82.25
- --------------------------------------------------------------------------------------------------------------------
10.501 - 11.000 31 5,089,019 1.98 10.779 586 76.63
- --------------------------------------------------------------------------------------------------------------------
11.001 - 11.500 25 4,249,220 1.66 11.099 554 66.57
- --------------------------------------------------------------------------------------------------------------------
11.501 - 12.000 13 2,813,127 1.10 11.844 553 66.05
- --------------------------------------------------------------------------------------------------------------------
12.001 >= 3 287,958 0.11 12.577 574 81.92
- --------------------------------------------------------------------------------------------------------------------
Total: 1,059 256,441,362 100.00 8.281 634 81.89
- --------------------------------------------------------------------------------------------------------------------
As of the cut-off date, the weighted average minimum mortgage rate is
approximately 8.236%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
46
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Next Mortgage Rate Adjustment (month-year)
- -------------------------------------------------------------------------------------------------------------------
Percent of
Aggregate the Aggregate Weighted Weighted Weighted
Next Mortgage Rate Number of Current Current Average Average Average
Adjustment Mortgage Principal Principal Mortgage Credit Loan-to-Value
(month-year) Loans Balance Balance Coupon Score Ratio
- --------------------------------------------------------------------------------------------------------------------
June 2007 1 124,970 0.05 11.750 576 54.80
- ------------------------------------------------------------------------------------------------------------------
July 2007 2 446,000 0.17 7.670 681 84.95
- ------------------------------------------------------------------------------------------------------------------
September 2007 4 743,043 0.29 9.081 608 70.36
- ------------------------------------------------------------------------------------------------------------------
October 2007 2 235,770 0.09 8.813 562 62.41
- ------------------------------------------------------------------------------------------------------------------
November 2007 1 130,400 0.05 7.540 584 80.00
- ------------------------------------------------------------------------------------------------------------------
March 2008 2 170,993 0.07 8.439 555 82.08
- ------------------------------------------------------------------------------------------------------------------
April 2008 3 480,592 0.19 8.896 523 86.44
- ------------------------------------------------------------------------------------------------------------------
May 2008 2 426,645 0.17 9.384 515 81.27
- ------------------------------------------------------------------------------------------------------------------
June 2008 5 631,787 0.25 9.324 590 69.92
- ------------------------------------------------------------------------------------------------------------------
July 2008 17 4,072,263 1.59 9.928 573 69.41
- ------------------------------------------------------------------------------------------------------------------
August 2008 9 1,225,707 0.48 9.624 570 79.77
- ------------------------------------------------------------------------------------------------------------------
September 2008 9 2,094,315 0.82 9.228 592 78.94
- ------------------------------------------------------------------------------------------------------------------
October 2008 146 34,863,632 13.60 8.553 632 81.01
- ------------------------------------------------------------------------------------------------------------------
November 2008 66 15,711,247 6.13 8.424 635 84.23
- ------------------------------------------------------------------------------------------------------------------
December 2008 91 27,047,746 10.55 8.113 641 83.87
- ------------------------------------------------------------------------------------------------------------------
January 2009 94 26,326,900 10.27 8.210 632 82.28
- ------------------------------------------------------------------------------------------------------------------
February 2009 134 27,309,164 10.65 8.559 623 86.98
- ------------------------------------------------------------------------------------------------------------------
March 2009 214 48,889,676 19.06 8.277 640 81.43
- ------------------------------------------------------------------------------------------------------------------
May 2009 2 294,504 0.11 9.174 520 90.00
- ------------------------------------------------------------------------------------------------------------------
June 2009 1 323,000 0.13 7.950 614 95.00
- ------------------------------------------------------------------------------------------------------------------
August 2009 2 872,614 0.34 9.383 735 96.76
- ------------------------------------------------------------------------------------------------------------------
September 2009 2 394,389 0.15 8.923 608 95.61
- ------------------------------------------------------------------------------------------------------------------
October 2009 17 4,281,437 1.67 8.397 617 77.99
- ------------------------------------------------------------------------------------------------------------------
November 2009 17 5,489,649 2.14 8.086 623 77.40
- ------------------------------------------------------------------------------------------------------------------
December 2009 22 6,233,246 2.43 7.257 652 81.53
- ------------------------------------------------------------------------------------------------------------------
January 2010 19 6,570,681 2.56 8.037 632 81.28
- ------------------------------------------------------------------------------------------------------------------
February 2010 29 5,575,296 2.17 8.727 603 83.62
- ------------------------------------------------------------------------------------------------------------------
March 2010 71 14,645,159 5.71 8.043 640 79.96
- ------------------------------------------------------------------------------------------------------------------
April 2011 1 134,635 0.05 7.875 789 90.00
- ------------------------------------------------------------------------------------------------------------------
June 2011 1 53,290 0.02 9.375 642 80.00
- ------------------------------------------------------------------------------------------------------------------
September 2011 1 247,201 0.10 6.875 599 79.51
- ------------------------------------------------------------------------------------------------------------------
October 2011 20 6,070,430 2.37 7.147 686 76.77
- ------------------------------------------------------------------------------------------------------------------
November 2011 39 10,130,666 3.95 7.755 657 77.88
- ------------------------------------------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
47
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
December 2011 4 1,441,282 0.56 7.540 635 83.68
- ------------------------------------------------------------------------------------------------------------------
January 2012 3 1,055,547 0.41 7.102 660 78.94
- ------------------------------------------------------------------------------------------------------------------
February 2012 1 160,061 0.06 6.500 694 100.00
- ------------------------------------------------------------------------------------------------------------------
March 2012 5 1,537,424 0.60 7.061 720 84.81
- ------------------------------------------------------------------------------------------------------------------
Total: 1,059 256,441,362 100.00 8.281 634 81.89
- ------------------------------------------------------------------------------------------------------------------
As of the cut-off date, the weighted average months to next interest rate
adjustment is approximately 24 months.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
48
[C-BASS LOGO]
- --------------------------------------------------------------------------------
The asset-backed securities referred to in these materials, and the asset pools
backing them, are subject to modification or revision (including the possibility
that one or more classes of securities may be split, combined or eliminated at
any time prior to issuance or availability of a final prospectus) and are
offered on a "when, as and if issued" basis. You understand that, when you are
considering the purchase of these securities, a contract of sale will come into
being no sooner than the date on which the relevant class has been priced and we
have confirmed the allocation of securities to be made to you; any "indications
of interest" expressed by you, and any "soft circles" generated by us, will not
create binding contractual obligations for you or us.
Because the asset-backed securities are being offered on a "when, as and if
issued" basis, any contract of sale will terminate, by its terms, without any
further obligation or liability between us, if the securities themselves, or the
particular class to which the contract relates, are not issued. Because the
asset-backed securities are subject to modification or revision, any such
contract also is conditioned upon the understanding that no material change will
occur with respect to the relevant class of securities prior to the closing
date. If a material change does occur with respect to such class, our contract
will terminate, by its terms, without any further obligation or liability
between us (the "Automatic Termination"). If an Automatic Termination occurs, we
will provide you with revised offering materials reflecting the material change
and give you an opportunity to purchase such class. To indicate your interest in
purchasing the class, you must communicate to us your desire to do so within
such timeframe as may be designated in connection with your receipt of the
revised offering materials.
RMBS New Issue Term Sheet
$342,804,000 Offered Certificates (approximate)
C-BASS Mortgage Loan
Asset-Backed Certificates, Series 2007-CB5
Offered Certificates: A-1, A-2, A-3,
M-1, M-2, M-3, M-4, M-5, M-6, M-7, M-8 & M-9
Asset Backed Funding Corporation
Depositor
Credit-Based Asset Servicing and Securitization LLC
Seller
Litton Loan Servicing LP
Servicer
May 23, 2007
[BANK OF AMERICA SECURITIES LOGO]
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DISCLAIMER
- --------------------------------------------------------------------------------
This free writing prospectus is being delivered to you solely to provide you
with information about the offering of the securities referred to in this free
writing prospectus and to solicit an offer to purchase the securities, when, as
and if issued. Any such offer to purchase made by you will not be accepted and
will not constitute a contractual commitment by you to purchase any of the
securities until we have accepted your offer to purchase securities. We will not
accept any offer by you to purchase the securities, and you will not have any
contractual commitment to purchase any of the securities until after you have
received certain additional information. You may withdraw your offer to purchase
securities at any time prior to our acceptance of your offer.
The information in this free writing prospectus supersedes information contained
in any prior similar free writing prospectus relating to these securities prior
to the time of your commitment to purchase.
This free writing prospectus is not an offer to sell or solicitation of an offer
to buy these securities in any state where such offer, solicitation or sale is
not permitted.
IRS CIRCULAR 230 NOTICE
THIS FREE WRITING PROSPECTUS IS NOT INTENDED OR WRITTEN TO BE
USED, AND CANNOT BE USED, FOR THE PURPOSE OF AVOIDING U.S.
FEDERAL, STATE OR LOCAL TAX PENALTIES. THIS FREE WRITING
PROSPECTUS IS WRITTEN AND PROVIDED BY THE UNDERWRITER IN
CONNECTION WITH THE PROMOTION OR MARKETING OF THE
TRANSACTIONS OR MATTERS ADDRESSED HEREIN. INVESTORS SHOULD
SEEK ADVICE BASED ON THEIR PARTICULAR CIRCUMSTANCES FROM AN
INDEPENDENT TAX ADVISOR.
ANY DISCLAIMERS OR OTHER NOTICES THAT MAY APPEAR BELOW THIS DOCUMENT ARE NOT
APPLICABLE TO THIS COMMUNICATION AND SHOULD BE DISREGARDED. SUCH DISCLAIMERS OR
OTHER NOTICES WERE AUTOMATICALLY GENERATED AS A RESULT OF THIS COMMUNICATION
BEING SENT VIA BLOOMBERG OR ANOTHER EMAIL SYSTEM.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
2
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------
CONTACTS
- ----------------------------------------------------------------------------------------------
Banc of America Securities LLC
Mortgage Trading/Syndicate
- --------------------------
Pat Beranek (212) 847-5095 patrick.beranek@bankofamerica.com
Ileana Chu (212) 847-5095 ileana.i.chu@bankofamerica.com
Charlene Balfour (212) 847-5095 charlene.c.balfour @bankofamerica.com
Aaron Books (212) 847-5095 aaron.s.books@bankofamerica.com
Jordan Chirico (212) 847-5095 jordan.chirico@bankofamerica.com
Global Structured Finance Fax: (704) 388-9668
- -------------------------
Chris Schiavone (704) 387-1853 chris.schiavone@bankofamerica.com
Juanita Deane-Warner (212) 583-8405 juanita.l.deane-warner@bankofamerica.com
Niki Hogue (704) 387-1855 nikole.hogue@bankofamerica.com
Adarsh Dhand (704) 683-5412 adarsh.dhand@bankofamerica.com
Rahul Mukherjee (704) 683-5179 rahul.mukherjee@bankofamerica.com
Brandon Crooks (704) 388-1720 brandon.crooks@bankofamerica.com
Ken Hart (704) 683-5707 james.k.hart@bankofamerica.com
Rating Agencies
Odile Grisard Boucher- Moody's (212) 553-1382 odile.grisardboucher@moodys.com
Sudhir Sharma - S&P (212) 438-3047 sudhir_sharma@standardandpoors.com
Quincy Tang - DBRS (212) 806-3256 qtang@dbrs.com
- ----------------------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
3
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Rate Cap Schedule
-----------------
- --------------------------------------------------------------------------------
Effective Effective
Month Rate Cap/1/ Rate/2/ Month Rate Cap/1/ Rate/2/
- --------------------------------------------------------------------------------
1 9.26 24.06 41 9.45 25.36
2 7.72 22.47 42 9.14 25.04
3 7.47 22.37 43 9.43 25.33
4 7.47 22.36 44 9.12 25.12
5 7.71 22.45 45 9.12 25.13
6 7.46 22.35 46 10.03 26.14
7 7.72 22.44 47 9.11 25.17
8 7.47 22.34 48 9.40 25.43
9 7.47 22.33 49 9.09 25.06
10 7.93 22.54 50 9.38 25.45
11 7.47 22.32 51 9.07 25.09
12 7.72 22.42 52 9.06 25.09
13 7.47 22.31 53 9.35 25.44
14 7.72 22.42 54 9.08 25.11
15 7.47 22.30 55 9.39 25.47
16 7.47 22.29 56 9.10 25.13
17 7.72 22.41 57 9.09 25.12
18 7.48 22.30 58 9.70 25.83
19 7.75 22.44 59 9.07 25.10
20 8.24 23.00 60 9.39 25.46
21 8.53 23.28 61 9.09 10.57
22 9.46 24.08 62 9.38 10.91
23 8.66 23.39 63 9.07 10.54
24 8.94 23.61 64 9.06 10.52
25 8.65 23.38 65 9.35 10.86
26 9.09 23.94 66 9.05 10.51
27 8.85 23.80 67 9.34 10.86
28 8.89 23.83 68 9.03 10.49
29 9.19 24.08 69 9.02 10.48
30 8.90 23.84 70 9.97 11.58
31 9.19 24.09 71 9.00 10.44
32 9.02 24.27 72 9.29 10.79
33 9.06 24.41 73 8.98 10.43
34 9.99 25.37 74 9.26 10.77
35 9.12 24.50 75 8.95 10.40
36 9.42 24.77 76 8.94 10.38
37 9.11 24.49 77 9.23 10.71
38 9.44 25.11
39 9.14 24.99
40 9.14 25.04
- --------------------------------------------------------------------------------
(1) Assumes 1-month LIBOR remains constant at 5.32000% and 6-month LIBOR
remains constant at 5.37000% and run at the Pricing Speed to call.
(2) Assumes 1mL and 6mL increase to 20% and payments are received from the swap
agreement and the interest rate cap agreement, run at the pricing speed.
The Effective Rate is defined as the Net Mortgage Rate (adjusted based on
Act/360 basis) plus a per annum rate equal to the quotient of (a) the sum
of (i) the positive amount received from the swap agreement and (ii) cash
received from the interest rate cap agreement for that distribution dates,
over (b) the current Class A and M bond balance (prior to distributions) *
360 / number of days.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
4
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY (to Call)(1)
-------------------------
- ------------------------------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 200% PPC
- ------------------------------------------------------------------------------------------------------------------------------
Class A-1
Average Life (yrs.) 17.53 1.81 1.27 1.00 0.83 0.70 0.54
Modified Duration (yrs.) 10.55 1.66 1.18 0.94 0.79 0.67 0.51
First Principal Payment Date 6/25/2007 6/25/2007 6/25/2007 6/25/2007 6/25/2007 6/25/2007 6/25/2007
Last Principal Payment Date 11/25/2032 2/25/2011 11/25/2009 3/25/2009 12/25/2008 9/25/2008 5/25/2008
Payment Windows (mos.) 1 to 306 1 to 45 1 to 30 1 to 22 1 to 19 1 to 16 1 to 12
Class A-2
Average Life (yrs.) 28.24 6.90 4.51 3.00 2.03 1.70 1.28
Modified Duration (yrs.) 13.86 5.47 3.83 2.66 1.87 1.58 1.21
First Principal Payment Date 11/25/2032 2/25/2011 11/25/2009 3/25/2009 12/25/2008 9/25/2008 5/25/2008
Last Principal Payment Date 1/25/2037 1/25/2020 9/25/2015 6/25/2013 2/25/2010 7/25/2009 11/25/2008
Payment Windows (mos.) 306 to 356 45 to 152 30 to 100 22 to 73 19 to 33 16 to 26 12 to 18
Class A-3
Average Life (yrs.) 29.65 13.28 8.79 6.38 3.73 2.35 1.49
Modified Duration (yrs.) 14.04 9.11 6.76 5.22 3.25 2.15 1.39
First Principal Payment Date 1/25/2037 1/25/2020 9/25/2015 6/25/2013 2/25/2010 7/25/2009 11/25/2008
Last Principal Payment Date 1/25/2037 9/25/2020 3/25/2016 10/25/2013 4/25/2012 12/25/2009 11/25/2008
Payment Windows (mos.) 356 to 356 152 to 160 100 to 106 73 to 77 33 to 59 26 to 31 18 to 18
(1) Run at a price of 100.0000%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
5
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY (to Call)(1)
-------------------------
- ------------------------------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 200% PPC
- ------------------------------------------------------------------------------------------------------------------------------
Class M1
Average Life (yrs.) 29.02 8.70 5.77 4.78 4.90 3.75 1.76
Modified Duration (yrs.) 13.91 6.53 4.71 4.06 4.17 3.29 1.63
First Principal Payment Date 8/25/2033 7/25/2011 8/25/2010 3/25/2011 4/25/2012 12/25/2009 11/25/2008
Last Principal Payment Date 1/25/2037 9/25/2020 3/25/2016 10/25/2013 4/25/2012 4/25/2011 3/25/2009
Payment Windows (mos.) 315 to 356 50 to 160 39 to 106 46 to 77 59 to 59 31 to 47 18 to 22
Class M2
Average Life (yrs.) 28.99 8.70 5.76 4.62 4.63 3.90 1.82
Modified Duration (yrs.) 13.87 6.53 4.70 3.94 3.97 3.41 1.68
First Principal Payment Date 8/25/2033 7/25/2011 7/25/2010 12/25/2010 8/25/2011 4/25/2011 3/25/2009
Last Principal Payment Date 1/25/2037 9/25/2020 3/25/2016 10/25/2013 4/25/2012 4/25/2011 3/25/2009
Payment Windows (mos.) 315 to 356 50 to 160 38 to 106 43 to 77 51 to 59 47 to 47 22 to 22
Class M3
Average Life (yrs.) 28.98 8.70 5.76 4.54 4.28 3.82 1.80
Modified Duration (yrs.) 13.81 6.51 4.69 3.87 3.70 3.34 1.66
First Principal Payment Date 8/25/2033 7/25/2011 7/25/2010 11/25/2010 5/25/2011 1/25/2011 2/25/2009
Last Principal Payment Date 1/25/2037 9/25/2020 3/25/2016 10/25/2013 4/25/2012 4/25/2011 3/25/2009
Payment Windows (mos.) 315 to 356 50 to 160 38 to 106 42 to 77 48 to 59 44 to 47 21 to 22
Class M4
Average Life (yrs.) 28.95 8.70 5.75 4.50 4.12 3.60 1.73
Modified Duration (yrs.) 13.59 6.47 4.67 3.82 3.56 3.16 1.60
First Principal Payment Date 8/25/2033 7/25/2011 7/25/2010 10/25/2010 2/25/2011 10/25/2010 1/25/2009
Last Principal Payment Date 1/25/2037 9/25/2020 3/25/2016 10/25/2013 4/25/2012 4/25/2011 3/25/2009
Payment Windows (mos.) 315 to 356 50 to 160 38 to 106 41 to 77 45 to 59 41 to 47 20 to 22
(1) Run at a price of 100.0000%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
6
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY (to Call)(1)
-------------------------
- ------------------------------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 200% PPC
- ------------------------------------------------------------------------------------------------------------------------------
Class M5
Average Life (yrs.) 28.93 8.70 5.75 4.46 4.00 3.45 1.69
Modified Duration (yrs.) 13.51 6.45 4.66 3.79 3.46 3.03 1.57
First Principal Payment Date 8/25/2033 7/25/2011 6/25/2010 9/25/2010 12/25/2010 8/25/2010 1/25/2009
Last Principal Payment Date 1/25/2037 9/25/2020 3/25/2016 10/25/2013 4/25/2012 4/25/2011 3/25/2009
Payment Windows (mos.) 315 to 356 50 to 160 37 to 106 40 to 77 43 to 59 39 to 47 20 to 22
Class M6
Average Life (yrs.) 28.93 8.70 5.75 4.44 3.91 3.33 1.66
Modified Duration (yrs.) 13.14 6.38 4.61 3.74 3.37 2.93 1.54
First Principal Payment Date 8/25/2033 7/25/2011 6/25/2010 8/25/2010 11/25/2010 6/25/2010 12/25/2008
Last Principal Payment Date 1/25/2037 9/25/2020 3/25/2016 10/25/2013 4/25/2012 4/25/2011 3/25/2009
Payment Windows (mos.) 315 to 356 50 to 160 37 to 106 39 to 77 42 to 59 37 to 47 19 to 22
Class M7
Average Life (yrs.) 28.92 8.70 5.75 4.41 3.84 3.25 1.63
Modified Duration (yrs.) 12.45 6.23 4.54 3.67 3.28 2.83 1.50
First Principal Payment Date 8/25/2033 7/25/2011 6/25/2010 8/25/2010 9/25/2010 5/25/2010 12/25/2008
Last Principal Payment Date 1/25/2037 9/25/2020 3/25/2016 10/25/2013 4/25/2012 4/25/2011 3/25/2009
Payment Windows (mos.) 315 to 356 50 to 160 37 to 106 39 to 77 40 to 59 36 to 47 19 to 22
Class M8
Average Life (yrs.) 28.92 8.70 5.75 4.39 3.79 3.18 1.63
Modified Duration (yrs.) 11.52 6.01 4.42 3.58 3.18 2.73 1.49
First Principal Payment Date 8/25/2033 7/25/2011 6/25/2010 7/25/2010 9/25/2010 4/25/2010 12/25/2008
Last Principal Payment Date 1/25/2037 9/25/2020 3/25/2016 10/25/2013 4/25/2012 4/25/2011 3/25/2009
Payment Windows (mos.) 315 to 356 50 to 160 37 to 106 38 to 77 40 to 59 35 to 47 19 to 22
Class M9
Average Life (yrs.) 28.92 8.70 5.75 4.38 3.75 3.13 1.63
Modified Duration (yrs.) 11.52 6.01 4.42 3.58 3.15 2.70 1.49
First Principal Payment Date 8/25/2033 7/25/2011 6/25/2010 7/25/2010 8/25/2010 3/25/2010 12/25/2008
Last Principal Payment Date 1/25/2037 9/25/2020 3/25/2016 10/25/2013 4/25/2012 4/25/2011 3/25/2009
Payment Windows (mos.) 315 to 356 50 to 160 37 to 106 38 to 77 39 to 59 34 to 47 19 to 22
(1) Run at a price of 100.0000%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
7
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY (to Maturity)(1)
-----------------------------
- ------------------------------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 200% PPC
- ------------------------------------------------------------------------------------------------------------------------------
Class A-1
Average Life (yrs.) 17.53 1.81 1.27 1.00 0.83 0.70 0.54
Modified Duration (yrs.) 10.55 1.66 1.18 0.94 0.79 0.67 0.51
First Principal Payment Date 6/25/2007 6/25/2007 6/25/2007 6/25/2007 6/25/2007 6/25/2007 6/25/2007
Last Principal Payment Date 11/25/2032 2/25/2011 11/25/2009 3/25/2009 12/25/2008 9/25/2008 5/25/2008
Payment Windows (mos.) 1 to 306 1 to 45 1 to 30 1 to 22 1 to 19 1 to 16 1 to 12
Class A-2
Average Life (yrs.) 28.24 6.90 4.51 3.00 2.03 1.70 1.28
Modified Duration (yrs.) 13.86 5.47 3.83 2.66 1.87 1.58 1.21
First Principal Payment Date 11/25/2032 2/25/2011 11/25/2009 3/25/2009 12/25/2008 9/25/2008 5/25/2008
Last Principal Payment Date 1/25/2037 1/25/2020 9/25/2015 6/25/2013 2/25/2010 7/25/2009 11/25/2008
Payment Windows (mos.) 306 to 356 45 to 152 30 to 100 22 to 73 19 to 33 16 to 26 12 to 18
Class A-3
Average Life (yrs.) 29.72 17.44 11.94 8.79 5.28 2.35 1.49
Modified Duration (yrs.) 14.05 10.67 8.35 6.66 4.27 2.15 1.39
First Principal Payment Date 1/25/2037 1/25/2020 9/25/2015 6/25/2013 2/25/2010 7/25/2009 11/25/2008
Last Principal Payment Date 3/25/2037 9/25/2034 8/25/2027 8/25/2022 6/25/2019 12/25/2009 11/25/2008
Payment Windows (mos.) 356 to 358 152 to 328 100 to 243 73 to 183 33 to 145 26 to 31 18 to 18
(1) Run at a price of 100.0000%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
8
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY (to Maturity)(1)
-----------------------------
- ------------------------------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 200% PPC
- ------------------------------------------------------------------------------------------------------------------------------
Class M1
Average Life (yrs.) 29.05 9.60 6.43 5.29 5.91 6.27 3.87
Modified Duration (yrs.) 13.92 6.87 5.05 4.37 4.88 5.09 3.34
First Principal Payment Date 8/25/2033 7/25/2011 8/25/2010 3/25/2011 4/25/2012 12/25/2009 11/25/2008
Last Principal Payment Date 3/25/2037 6/25/2031 5/25/2024 2/25/2020 4/25/2017 2/25/2017 1/25/2014
Payment Windows (mos.) 315 to 358 50 to 289 39 to 204 46 to 153 59 to 119 31 to 117 18 to 80
Class M2
Average Life (yrs.) 29.02 9.57 6.40 5.11 5.01 4.69 2.63
Modified Duration (yrs.) 13.88 6.86 5.04 4.24 4.23 4.00 2.38
First Principal Payment Date 8/25/2033 7/25/2011 7/25/2010 12/25/2010 8/25/2011 5/25/2011 5/25/2009
Last Principal Payment Date 3/25/2037 8/25/2030 8/25/2023 8/25/2019 11/25/2016 12/25/2014 5/25/2012
Payment Windows (mos.) 315 to 358 50 to 279 38 to 195 43 to 147 51 to 114 48 to 91 24 to 60
Class M3
Average Life (yrs.) 29.00 9.54 6.38 5.01 4.65 4.12 2.10
Modified Duration (yrs.) 13.81 6.84 5.02 4.16 3.95 3.57 1.92
First Principal Payment Date 8/25/2033 7/25/2011 7/25/2010 11/25/2010 5/25/2011 1/25/2011 2/25/2009
Last Principal Payment Date 3/25/2037 8/25/2029 10/25/2022 12/25/2018 4/25/2016 7/25/2014 1/25/2012
Payment Windows (mos.) 315 to 358 50 to 267 38 to 185 42 to 139 48 to 107 44 to 86 21 to 56
Class M4
Average Life (yrs.) 28.98 9.51 6.35 4.95 4.47 3.88 1.99
Modified Duration (yrs.) 13.60 6.78 4.98 4.10 3.80 3.37 1.82
First Principal Payment Date 8/25/2033 7/25/2011 7/25/2010 10/25/2010 2/25/2011 10/25/2010 1/25/2009
Last Principal Payment Date 3/25/2037 12/25/2028 3/25/2022 6/25/2018 12/25/2015 3/25/2014 10/25/2011
Payment Windows (mos.) 315 to 358 50 to 259 38 to 178 41 to 133 45 to 103 41 to 82 20 to 53
(1) Run at a price of 100.0000%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
9
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY (to Maturity)(1)
-----------------------------
- ------------------------------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 200% PPC
- ------------------------------------------------------------------------------------------------------------------------------
Class M5
Average Life (yrs.) 28.96 9.47 6.32 4.89 4.34 3.71 1.93
Modified Duration (yrs.) 13.52 6.75 4.95 4.05 3.69 3.23 1.77
First Principal Payment Date 8/25/2033 7/25/2011 6/25/2010 9/25/2010 12/25/2010 8/25/2010 1/25/2009
Last Principal Payment Date 3/25/2037 3/25/2028 9/25/2021 1/25/2018 8/25/2015 12/25/2013 7/25/2011
Payment Windows (mos.) 315 to 358 50 to 250 37 to 172 40 to 128 43 to 99 39 to 79 20 to 50
Class M6
Average Life (yrs.) 28.95 9.42 6.28 4.84 4.23 3.58 1.89
Modified Duration (yrs.) 13.15 6.65 4.89 3.98 3.59 3.11 1.73
First Principal Payment Date 8/25/2033 7/25/2011 6/25/2010 8/25/2010 11/25/2010 6/25/2010 12/25/2008
Last Principal Payment Date 3/25/2037 5/25/2027 2/25/2021 7/25/2017 3/25/2015 8/25/2013 4/25/2011
Payment Windows (mos.) 315 to 358 50 to 240 37 to 165 39 to 122 42 to 94 37 to 75 19 to 47
Class M7
Average Life (yrs.) 28.95 9.35 6.23 4.77 4.12 3.47 1.84
Modified Duration (yrs.) 12.46 6.46 4.77 3.89 3.47 2.99 1.67
First Principal Payment Date 8/25/2033 7/25/2011 6/25/2010 8/25/2010 9/25/2010 5/25/2010 12/25/2008
Last Principal Payment Date 3/25/2037 5/25/2026 5/25/2020 12/25/2016 10/25/2014 4/25/2013 12/25/2010
Payment Windows (mos.) 315 to 358 50 to 228 37 to 156 39 to 115 40 to 89 36 to 71 19 to 43
Class M8
Average Life (yrs.) 28.94 9.25 6.16 4.70 4.03 3.36 1.81
Modified Duration (yrs.) 11.52 6.19 4.61 3.76 3.34 2.86 1.63
First Principal Payment Date 8/25/2033 7/25/2011 6/25/2010 7/25/2010 9/25/2010 4/25/2010 12/25/2008
Last Principal Payment Date 3/25/2037 3/25/2025 7/25/2019 4/25/2016 3/25/2014 10/25/2012 8/25/2010
Payment Windows (mos.) 315 to 358 50 to 214 37 to 146 38 to 107 40 to 82 35 to 65 19 to 39
Class M9
Average Life (yrs.) 28.94 9.12 6.06 4.62 3.93 3.27 1.77
Modified Duration (yrs.) 11.52 6.16 4.57 3.71 3.27 2.80 1.60
First Principal Payment Date 8/25/2033 7/25/2011 6/25/2010 7/25/2010 8/25/2010 3/25/2010 12/25/2008
Last Principal Payment Date 3/25/2037 2/25/2024 10/25/2018 9/25/2015 10/25/2013 6/25/2012 4/25/2010
Payment Windows (mos.) 315 to 358 50 to 201 37 to 137 38 to 100 39 to 77 34 to 61 19 to 35
(1) Run at a price of 100.0000%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
10
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Excess Spread Table(1)
----------------------
Static LIBOR/2/ Fwd LIBOR/3/ Static LIBOR/2/ Fwd LIBOR/3/
Month (bps) (bps) Month (bps) (bps)
- --------------------------------------------------------------------------------
1 330 330 41 405 409
2 242 242 42 391 396
3 241 241 43 404 408
4 241 241 44 389 395
5 242 242 45 389 395
6 240 240 46 429 433
7 241 242 47 388 394
8 239 240 48 398 409
9 238 240 49 379 382
10 243 246 50 396 401
11 237 241 51 377 383
12 240 245 52 376 382
13 236 240 53 393 399
14 240 244 54 378 384
15 235 241 55 397 402
16 235 241 56 380 386
17 240 246 57 379 386
18 235 242 58 413 419
19 242 250 59 377 384
20 308 320 60 396 403
21 335 350 61 379 380
22 377 392 62 396 398
23 346 366 63 377 380
24 357 377 64 376 378
25 346 359 65 392 395
26 373 380 66 374 377
27 367 373 67 391 393
28 371 376 68 372 375
29 384 389 69 371 374
30 372 379 70 422 425
31 385 390 71 368 371
32 385 392 72 385 388
33 390 398 73 366 365
34 430 436 74 382 382
35 396 405 75 364 364
36 408 417 76 362 362
37 395 395 77 379 379
38 396 398
39 387 391
40 390 394
- --------------------------------------------------------------------------------
(1) Excess Spread includes Monthly Excess Interest Amount and the payments, if
any, received from the Supplemental Interest Trust.
(2) Assumes 1-month LIBOR remains constant at 5.32000% and 6-month LIBOR
remains constant at 5.37000% and run at the Pricing Speed to call.
(3) Assumes 1-month Forward LIBOR and 6-month Forward LIBOR and run at the
Pricing Speed to call.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
11
- --------------------------------------------------------------------------------
C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5 [LOGO]
$342,804,000 (approximate)
- --------------------------------------------------------------------------------
Break-Even Tables
-----------------
Static LIBOR(1) Fwd LIBOR(2)
- -------------------------------------------------------------------------
Collateral Collateral
CDR Break(3) Loss (%) CDR Break(3) Loss (%)
Class M1 30.6 21.13 30.7 21.17
Class M2 24.0 18.14 24.1 18.19
Class M3 20.7 16.43 20.8 16.48
Class M4 17.9 14.84 18.1 14.95
Class M5 15.5 13.36 15.7 13.49
Class M6 13.4 11.97 13.5 12.04
Class M7 11.4 10.55 11.5 10.62
Class M8 10.0 9.49 10.1 9.57
Class M9 8.7 8.46 8.8 8.54
- -------------------------------------------------------------------------
(1) Assumes 1-month LIBOR remains constant at 5.32000% and 6-month LIBOR
remains constant at 5.37000% and run at the pricing speed to maturity.
Assumes principal and interest advancing, 40% severity rate with a 12 month
lag and triggers are in effect at all times.
(2) Assumes 1-month Forward LIBOR and 6-month Forward LIBOR and run at the
pricing speed to maturity. Assumes principal and interest advancing, 40%
severity rate with a 12 month lag and triggers are in effect at all times.
(3) CDR Break means when the certificates receive first principal dollar loss.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
(the "Underwriter") and its affiliates may acquire, hold or sell positions in
these securities, or in related derivatives, and may have an investment or
commercial banking relationship with the issuer. The information contained in
these materials may be based on assumptions regarding market conditions and
other matters as reflected herein. Banc of America Securities LLC makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are 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.
12