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Previous: MORGAN STANLEY DEAN WITTER CAPITAL I INC, 8-K, 2000-10-23 |
Next: SEDONA CORP, 424B2, 2000-10-23 |
<PAGE>
Tranche A1
Prepay CPR 0 (!YM) CPR 50 (!YM) CPR 100
Price / Yield
99/16 7.252 7.252 7.253
99/18 7.238 7.238 7.238
99/20 7.224 7.224 7.224
99/22 7.21 7.21 7.21
99/24 7.195 7.195 7.195
99/26 7.181 7.181 7.181
99/28 7.167 7.167 7.167
99/30 7.153 7.153 7.152
100/00 7.139 7.139 7.138
100/02 7.125 7.125 7.124
100/04 7.111 7.111 7.109
100/06 7.097 7.097 7.095
100/08 7.083 7.082 7.081
100/10 7.069 7.068 7.067
100/12 7.055 7.054 7.053
100/14 7.041 7.04 7.038
100/16 7.027 7.026 7.024
Average Life 5.7 5.6886 5.5988
First Prin 11/15/00 11/15/00 11/15/00
Last Prin 7/15/08 7/15/08 4/15/08
Payment Window 93 93 90
Accrual Factor 0.5917 0.5917 0.5917
Mod Duration @ 100/00 4.4082 4.4017 4.35
Spread Interp. @ 100/00 128.65 128.63 128.47
Tranche A2
Prepay CPR 0 (!YM) CPR 50 (!YM) CPR 100
Price / Yield
100/00 7.427 7.427 7.426
100/02 7.417 7.417 7.416
100/04 7.408 7.408 7.407
100/06 7.398 7.398 7.397
100/08 7.389 7.389 7.387
100/10 7.379 7.379 7.378
100/12 7.37 7.37 7.368
100/14 7.36 7.36 7.358
100/16 7.351 7.351 7.349
100/18 7.341 7.341 7.339
100/20 7.332 7.332 7.33
100/22 7.322 7.322 7.32
100/24 7.313 7.313 7.31
100/26 7.304 7.303 7.301
100/28 7.294 7.294 7.291
100/30 7.285 7.284 7.282
101/00 7.275 7.275 7.272
Average Life 9.3404 9.3142 9.1204
<PAGE>
First Prin 7/15/08 7/15/08 4/15/08
Last Prin 9/15/10 8/15/10 6/15/10
Payment Window 27 26 27
Accrual Factor 0.6133 0.6133 0.6133
Mod Duration @ 100/16 6.5271 6.5144 6.4193
Spread Interp. @ 100/16 152.99 152.95 152.6
Tranche B
Prepay CPR 0 (!YM) CPR 50 (!YM) CPR 100
Price / Yield
100/00 7.582 7.582 7.581
100/02 7.573 7.573 7.572
100/04 7.564 7.564 7.563
100/06 7.554 7.554 7.553
100/08 7.545 7.545 7.544
100/10 7.536 7.536 7.534
100/12 7.527 7.527 7.525
100/14 7.518 7.518 7.516
100/16 7.509 7.508 7.506
100/18 7.499 7.499 7.497
100/20 7.49 7.49 7.488
100/22 7.481 7.481 7.478
100/24 7.472 7.472 7.469
100/26 7.463 7.463 7.46
100/28 7.454 7.453 7.451
100/30 7.445 7.444 7.441
101/00 7.435 7.435 7.432
Average Life 9.875 9.862 9.625
First Prin 9/15/10 8/15/10 6/15/10
Last Prin 9/15/10 9/15/10 6/15/10
Payment Window 1 2 1
Accrual Factor 0.6258 0.6258 0.6258
Mod Duration @ 100/16 6.7405 6.7344 6.6239
Spread Interp. @ 100/16 169.22 169.2 168.8
Tranche C
Prepay CPR 0 (!YM) CPR 50 (!YM) CPR 100
Price / Yield
100/00 7.715 7.715 7.714
100/02 7.706 7.706 7.705
100/04 7.697 7.697 7.695
100/06 7.687 7.687 7.686
100/08 7.678 7.678 7.677
100/10 7.669 7.669 7.667
100/12 7.66 7.66 7.658
100/14 7.65 7.65 7.648
100/16 7.641 7.641 7.639
100/18 7.632 7.632 7.63
100/20 7.623 7.623 7.62
100/22 7.613 7.613 7.611
<PAGE>
100/24 7.604 7.604 7.602
100/26 7.595 7.595 7.592
100/28 7.586 7.586 7.583
100/30 7.577 7.577 7.573
101/00 7.568 7.568 7.564
Average Life 9.875 9.875 9.625
First Prin 9/15/10 9/15/10 6/15/10
Last Prin 9/15/10 9/15/10 6/15/10
Payment Window 1 1 1
Accrual Factor 0.6367 0.6367 0.6367
Mod Duration @ 100/16 6.6989 6.6989 6.5838
Spread Interp. @ 100/16 182.48 182.48 182.06
Tranche D
Prepay CPR 0 (!YM) CPR 50 (!YM) CPR 100
Price / Yield
100/00 7.807 7.807 7.806
100/02 7.798 7.798 7.797
100/04 7.789 7.789 7.788
100/06 7.779 7.779 7.778
100/08 7.77 7.77 7.769
100/10 7.761 7.761 7.759
100/12 7.752 7.752 7.75
100/14 7.742 7.742 7.74
100/16 7.733 7.733 7.731
100/18 7.724 7.724 7.721
100/20 7.714 7.714 7.712
100/22 7.705 7.705 7.703
100/24 7.696 7.696 7.693
100/26 7.687 7.687 7.684
100/28 7.678 7.678 7.674
100/30 7.668 7.668 7.665
101/00 7.659 7.659 7.656
Average Life 9.875 9.875 9.625
First Prin 9/15/10 9/15/10 6/15/10
Last Prin 9/15/10 9/15/10 6/15/10
Payment Window 1 1 1
Accrual Factor 0.6442 0.6442 0.6442
Mod Duration @ 100/16 6.6703 6.6703 6.5563
Spread Interp. @ 100/16 191.67 191.67 191.24
<TABLE>
<CAPTION>
Tranche X
Prepay CPR 0 (!YM) CPR 50 (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100
Default CDR 0 24 CDR 0 24 CDR 0 24
<S> <C> <C> <C> <C> <C> <C> <C>
1 2 3
Advances YES YES YES
Recv Mnth 12 12 12
Losses 0.35 0.35 0.35
Price / Yield
4.6281 10.487 10.45 10.161 9.552 8.849 8.165
<PAGE>
4.6481 10.376 10.34 10.049 9.439 8.735 8.05
4.6681 10.266 10.23 9.938 9.328 8.622 7.935
4.6881 10.157 10.121 9.828 9.217 8.51 7.822
4.7081 10.049 10.012 9.719 9.107 8.398 7.709
4.7281 9.941 9.904 9.61 8.997 8.287 7.597
4.7481 9.834 9.797 9.502 8.888 8.177 7.485
4.7681 9.728 9.691 9.395 8.78 8.068 7.375
4.7881 9.623 9.586 9.288 8.673 7.959 7.265
4.8081 9.518 9.481 9.182 8.566 7.851 7.156
4.8281 9.414 9.376 9.077 8.46 7.744 7.047
4.8481 9.311 9.273 8.972 8.355 7.638 6.939
4.8681 9.208 9.17 8.869 8.251 7.532 6.832
4.8881 9.106 9.068 8.765 8.147 7.427 6.726
4.9081 9.004 8.966 8.663 8.043 7.322 6.62
4.9281 8.904 8.865 8.561 7.941 7.218 6.515
4.9481 8.803 8.765 8.46 7.839 7.115 6.41
4.9681 8.704 8.666 8.359 7.738 7.012 6.307
4.9881 8.605 8.567 8.259 7.637 6.911 6.204
5.0081 8.507 8.468 8.16 7.537 6.809 6.101
5.0281 8.409 8.37 8.061 7.438 6.709 5.999
Average Life 8.8421 8.8209 8.6427 8.4656 8.2945 8.1292
First Prin 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00
Last Prin 10/15/14 10/15/14 5/15/14 10/15/14 10/15/14 10/15/14
Payment Window 168 168 163 168 168 168
Accrual Factor 0.0742 0.0742 0.0742 0.0742 0.0742 0.0742
Mod Duration @ 4.8281 3.9323 3.9275 3.8908 3.8639 3.8166 3.7722
Spread Interp. @ 4.8281 358.87 355.11 325 263.19 191.42 121.57
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Tranche X
Prepay CPR 0 (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100 (!YM) CPR 100
Default CDR 1 CDR 2 CDR 0 12 CDR 0 12
<S> <C> <C> <C> <C> <C> <C> <C>
Advances YES YES YES YES
Recv Mnth 12 12 12 12
Losses 0.35 0.35 0.35 0.35
Price / Yield
4.6281 10.487 10.161 9.021 7.754 9.311 8.353
4.6481 10.376 10.049 8.909 7.64 9.199 8.239
4.6681 10.266 9.938 8.798 7.528 9.087 8.126
4.6881 10.157 9.828 8.687 7.416 8.976 8.013
4.7081 10.049 9.719 8.577 7.305 8.866 7.902
4.7281 9.941 9.61 8.468 7.194 8.756 7.791
4.7481 9.834 9.502 8.359 7.085 8.648 7.681
4.7681 9.728 9.395 8.252 6.976 8.54 7.572
4.7881 9.623 9.288 8.145 6.868 8.432 7.463
4.8081 9.518 9.182 8.038 6.76 8.326 7.355
4.8281 9.414 9.077 7.933 6.653 8.22 7.248
4.8481 9.311 8.972 7.828 6.547 8.115 7.141
4.8681 9.208 8.869 7.723 6.442 8.01 7.035
4.8881 9.106 8.765 7.62 6.337 7.906 6.93
4.9081 9.004 8.663 7.517 6.233 7.803 6.826
4.9281 8.904 8.561 7.414 6.129 7.701 6.722
4.9481 8.803 8.46 7.313 6.026 7.599 6.619
4.9681 8.704 8.359 7.212 5.924 7.497 6.516
4.9881 8.605 8.259 7.111 5.823 7.397 6.414
5.0081 8.507 8.16 7.012 5.722 7.297 6.313
5.0281 8.409 8.061 6.912 5.622 7.197 6.212
Average Life 8.8421 8.6427 8.3364 8.044 8.4056 8.1779
First Prin 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00
Last Prin 10/15/14 5/15/14 10/15/14 10/15/14 10/15/14 10/15/14
Payment Window 168 163 168 168 168 168
Accrual Factor 0.0742 0.0742 0.0742 0.0742 0.0742 0.0742
Mod Duration @ 4.8281 3.9323 3.8908 3.874 3.8316 3.8654 3.8171
Spread Interp. @ 4.8281 358.87 325 210.29 82.11 239.08 141.69
</TABLE>
<PAGE>
Tranche A1
<TABLE>
<CAPTION>
Trigger _optionalCall NO
Prepay CPR 0 (!YM) CPR 25 (!YM) CPR 75 (!YM) CPR 100
Price / Yield
<S> <C> <C> <C> <C> <C>
99.8434 7.032 7.032 7.031 7.031
99.8834 7.023 7.023 7.022 7.022
99.9234 7.014 7.014 7.013 7.013
99.9634 7.005 7.005 7.004 7.004
100.0034 6.996 6.996 6.995 6.995
100.0434 6.987 6.987 6.986 6.986
100.0834 6.978 6.978 6.977 6.977
100.1234 6.969 6.969 6.968 6.967
100.1634 6.96 6.96 6.959 6.958
100.2034 6.951 6.951 6.95 6.949
100.2434 6.942 6.942 6.942 6.94
100.2834 6.933 6.933 6.933 6.931
100.3234 6.924 6.924 6.924 6.922
100.3634 6.915 6.915 6.915 6.913
100.4034 6.906 6.906 6.906 6.904
100.4434 6.897 6.897 6.897 6.895
100.4834 6.888 6.888 6.888 6.886
100.5234 6.879 6.879 6.879 6.877
100.5634 6.87 6.87 6.87 6.868
100.6034 6.862 6.861 6.861 6.859
100.6434 6.853 6.852 6.852 6.85
Average Life 5.7 5.7 5.68 5.6
First Prin 11/15/00 11/15/00 11/15/00 11/15/00
Last Prin 7/15/08 7/15/08 7/15/08 4/15/08
Payment Window 93 93 93 90
Accrual Factor 0.58 0.58 0.58 0.58
Mod Duration @ 100.2434 4.43 4.43 4.42 4.38
Spread Interp. @ 100.2434 128 128 128 128
</TABLE>
Tranche A2
<TABLE>
<CAPTION>
Trigger _optionalCall NO
Prepay CPR 0 (!YM) CPR 25 (!YM) CPR 75 (!YM) CPR 100
Price / Yield
<S> <C> <C> <C> <C> <C>
100.1319 7.243 7.243 7.243 7.242
100.1719 7.237 7.237 7.237 7.236
100.2119 7.231 7.231 7.231 7.23
100.2519 7.225 7.225 7.225 7.224
100.2919 7.219 7.219 7.219 7.218
100.3319 7.213 7.213 7.213 7.212
100.3719 7.207 7.207 7.207 7.205
100.4119 7.201 7.201 7.201 7.199
100.4519 7.195 7.195 7.195 7.193
100.4919 7.189 7.189 7.189 7.187
100.5319 7.183 7.183 7.183 7.181
100.5719 7.177 7.177 7.177 7.175
<PAGE>
100.6119 7.171 7.171 7.171 7.169
100.6519 7.165 7.165 7.164 7.163
100.6919 7.159 7.159 7.158 7.156
100.7319 7.153 7.153 7.152 7.15
100.7719 7.147 7.147 7.146 7.144
100.8119 7.141 7.141 7.14 7.138
100.8519 7.135 7.135 7.134 7.132
100.8919 7.129 7.129 7.128 7.126
100.9319 7.123 7.123 7.122 7.12
Average Life 9.34 9.33 9.29 9.12
First Prin 7/15/08 7/15/08 7/15/08 4/15/08
Last Prin 9/15/10 9/15/10 8/15/10 6/15/10
Payment Window 27 27 26 27
Accrual Factor 0.6 0.6 0.6 0.6
Mod Duration @ 100.5319 6.58 6.57 6.55 6.47
Spread Interp. @ 100.5319 153 153 153 153
</TABLE>
Tranche B
<TABLE>
<CAPTION>
Trigger _optionalCall NO
Prepay CPR 0 (!YM) CPR 25 (!YM) CPR 75 (!YM) CPR 100
Price / Yield
<S> <C> <C> <C> <C> <C>
100.0821 7.406 7.406 7.406 7.405
100.1221 7.401 7.401 7.4 7.399
100.1621 7.395 7.395 7.394 7.393
100.2021 7.389 7.389 7.389 7.388
100.2421 7.383 7.383 7.383 7.382
100.2821 7.377 7.377 7.377 7.376
100.3221 7.371 7.371 7.371 7.37
100.3621 7.365 7.365 7.365 7.364
100.4021 7.36 7.36 7.359 7.358
100.4421 7.354 7.354 7.353 7.352
100.4821 7.348 7.348 7.348 7.346
100.5221 7.342 7.342 7.342 7.34
100.5621 7.336 7.336 7.336 7.334
100.6021 7.331 7.331 7.33 7.328
100.6421 7.325 7.325 7.324 7.322
100.6821 7.319 7.319 7.318 7.316
100.7221 7.313 7.313 7.312 7.31
100.7621 7.307 7.307 7.307 7.305
100.8021 7.301 7.301 7.301 7.299
100.8421 7.296 7.296 7.295 7.293
100.8821 7.29 7.29 7.289 7.287
Average Life 9.88 9.88 9.82 9.62
First Prin 9/15/10 9/15/10 8/15/10 6/15/10
Last Prin 9/15/10 9/15/10 9/15/10 6/15/10
Payment Window 1 1 2 1
Accrual Factor 0.6125 0.6125 0.6125 0.6125
Mod Duration @ 100.4821 6.79 6.79 6.76 6.67
Spread Interp. @ 100.4821 169 169 169 169
</TABLE>
Tranche C
<PAGE>
<TABLE>
<CAPTION>
Trigger _optionalCall NO
Prepay CPR 0 (!YM) CPR 25 (!YM) CPR 75 (!YM) CPR 100
Price / Yield
<S> <C> <C> <C> <C> <C>
100.1022 7.557 7.557 7.557 7.556
100.1422 7.551 7.551 7.551 7.55
100.1822 7.545 7.545 7.545 7.544
100.2222 7.539 7.539 7.539 7.538
100.2622 7.533 7.533 7.533 7.532
100.3022 7.527 7.527 7.527 7.526
100.3422 7.521 7.521 7.521 7.52
100.3822 7.516 7.516 7.516 7.514
100.4222 7.51 7.51 7.51 7.508
100.4622 7.504 7.504 7.504 7.502
100.5022 7.498 7.498 7.498 7.496
100.5422 7.492 7.492 7.492 7.49
100.5822 7.486 7.486 7.486 7.484
100.6222 7.48 7.48 7.48 7.478
100.6622 7.475 7.475 7.475 7.472
100.7022 7.469 7.469 7.469 7.466
100.7422 7.463 7.463 7.463 7.46
100.7822 7.457 7.457 7.457 7.454
100.8222 7.451 7.451 7.451 7.448
100.8622 7.445 7.445 7.445 7.442
100.9022 7.439 7.439 7.439 7.436
Average Life 9.88 9.88 9.88 9.62
First Prin 9/15/10 9/15/10 9/15/10 6/15/10
Last Prin 9/15/10 9/15/10 9/15/10 6/15/10
Payment Window 1 1 1 1
Accrual Factor 0.625 0.625 0.625 0.625
Mod Duration @ 100.5022 6.74 6.74 6.74 6.63
Spread Interp. @ 100.5022 184 184 184 184
</TABLE>
Tranche D
<TABLE>
<CAPTION>
Trigger _optionalCall NO
Prepay CPR 0 (!YM) CPR 25 (!YM) CPR 75 (!YM) CPR 100
Price / Yield
<S> <C> <C> <C> <C> <C>
100.1185 7.677 7.677 7.677 7.676
100.1585 7.671 7.671 7.671 7.67
100.1985 7.665 7.665 7.665 7.664
100.2385 7.659 7.659 7.659 7.658
100.2785 7.653 7.653 7.653 7.652
100.3185 7.648 7.648 7.648 7.646
100.3585 7.642 7.642 7.642 7.64
100.3985 7.636 7.636 7.636 7.634
100.4385 7.63 7.63 7.63 7.628
100.4785 7.624 7.624 7.624 7.622
100.5185 7.618 7.618 7.618 7.616
100.5585 7.612 7.612 7.612 7.61
100.5985 7.606 7.606 7.606 7.604
100.6385 7.6 7.6 7.6 7.598
<PAGE>
100.6785 7.594 7.594 7.594 7.592
100.7185 7.589 7.589 7.589 7.586
100.7585 7.583 7.583 7.583 7.58
100.7985 7.577 7.577 7.577 7.574
100.8385 7.571 7.571 7.571 7.568
100.8785 7.565 7.565 7.565 7.562
100.9185 7.559 7.559 7.559 7.556
Average Life 9.88 9.88 9.88 9.62
First Prin 9/15/10 9/15/10 9/15/10 6/15/10
Last Prin 9/15/10 9/15/10 9/15/10 6/15/10
Payment Window 1 1 1 1
Accrual Factor 0.635 0.635 0.635 0.635
Mod Duration @ 100.5185 6.71 6.71 6.71 6.59
Spread Interp. @ 100.5185 196 196 196 196
</TABLE>
Tranche E
<TABLE>
<CAPTION>
Trigger _optionalCall NO
Prepay CPR 0 (!YM) CPR 25 (!YM) CPR 75 (!YM) CPR 100
Price / Yield
<S> <C> <C> <C> <C> <C>
100/04 7.964 7.964 7.965 7.963
100.165 7.958 7.958 7.959 7.957
100.205 7.952 7.952 7.953 7.951
100.245 7.946 7.946 7.947 7.945
100.285 7.94 7.94 7.941 7.939
100.325 7.934 7.934 7.935 7.933
100.365 7.928 7.928 7.929 7.927
100.405 7.922 7.922 7.923 7.921
100.445 7.916 7.916 7.917 7.915
100.485 7.91 7.91 7.911 7.909
100.525 7.904 7.904 7.905 7.903
100.565 7.898 7.899 7.899 7.897
100.605 7.892 7.893 7.893 7.891
100.645 7.886 7.887 7.887 7.885
100.685 7.88 7.881 7.881 7.879
100.725 7.874 7.875 7.875 7.873
100.765 7.869 7.869 7.869 7.867
100.805 7.863 7.863 7.864 7.86
100.845 7.857 7.857 7.858 7.854
100.885 7.851 7.851 7.852 7.848
100.925 7.845 7.845 7.846 7.842
Average Life 9.88 9.88 9.88 9.66
First Prin 9/15/10 9/15/10 9/15/10 6/15/10
Last Prin 9/15/10 9/15/10 9/15/10 7/15/10
Payment Window 1 1 1 2
Accrual Factor 0.662 0.662 0.662 0.662
Mod Duration @ 100.5250 6.63 6.63 6.63 6.53
Spread Interp. @ 100.5250 225 225 225 225
Tranche F
Trigger _optionalCall NO
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Prepay CPR 0 (!YM) CPR 25 (!YM) CPR 75 (!YM) CPR 100
Price / Yield
<S> <C> <C> <C> <C> <C>
99.7772 8.315 8.315 8.315 8.314
99.8172 8.309 8.309 8.309 8.308
99.8572 8.303 8.303 8.303 8.302
99.8972 8.296 8.297 8.297 8.296
99.9372 8.29 8.29 8.291 8.29
99.9772 8.284 8.284 8.285 8.284
100.0172 8.278 8.278 8.279 8.277
100.0572 8.272 8.272 8.273 8.271
100.0972 8.266 8.266 8.266 8.265
100.1372 8.26 8.26 8.26 8.259
100.1772 8.254 8.254 8.254 8.253
100.2172 8.248 8.248 8.248 8.247
100.2572 8.242 8.242 8.242 8.241
100.2972 8.236 8.236 8.236 8.234
100.3372 8.23 8.23 8.23 8.228
100.3772 8.224 8.224 8.224 8.222
100.4172 8.218 8.218 8.218 8.216
100.4572 8.212 8.212 8.212 8.21
100.4972 8.206 8.206 8.206 8.204
100.5372 8.2 8.2 8.2 8.198
100.5772 8.194 8.194 8.194 8.192
Average Life 9.95 9.94 9.92 9.71
First Prin 9/15/10 9/15/10 9/15/10 7/15/10
Last Prin 10/15/10 10/15/10 10/15/10 7/15/10
Payment Window 2 2 2 1
Accrual Factor 0.6862 0.6862 0.6862 0.6862
Mod Duration @ 100.1772 6.57 6.56 6.55 6.46
Spread Interp. @ 100.1772 260 260 260 260
</TABLE>
Tranche X
<TABLE>
<CAPTION>
Trigger _optionalCall YES _optionalCall YES _optionalCall YES _optionalCall YES _optionalCall YES
Prepay CPR 0 (!YM) CPR 25 (!YM) CPR 75 (!YM) CPR 100 (!YM) CPR 100
Default CDR 0 24
3
Advances YES
Recv Mnth 12
Losses 0.35
Price / Yield
<S> <C> <C> <C> <C> <C> <C>
5.3499 11.254 11.239 11.187 10.93 9.069
5.3899 11.059 11.044 10.992 10.733 8.867
5.4299 10.866 10.851 10.798 10.538 8.666
5.4699 10.675 10.66 10.607 10.345 8.468
5.5099 10.487 10.471 10.419 10.155 8.272
5.5499 10.301 10.285 10.232 9.967 8.078
5.5899 10.117 10.101 10.047 9.781 7.887
5.6299 9.935 9.918 9.865 9.597 7.698
5.6699 9.754 9.738 9.684 9.415 7.51
5.7099 9.576 9.56 9.506 9.235 7.325
5.7499 9.4 9.384 9.329 9.057 7.142
<PAGE>
5.7899 9.226 9.21 9.155 8.881 6.961
5.8299 9.054 9.037 8.982 8.707 6.782
5.8699 8.883 8.867 8.811 8.534 6.604
5.9099 8.715 8.698 8.642 8.364 6.429
5.9499 8.548 8.531 8.475 8.195 6.255
5.9899 8.383 8.366 8.31 8.028 6.083
6.0299 8.22 8.203 8.146 7.863 5.913
6.0699 8.058 8.041 7.984 7.7 5.745
6.1099 7.898 7.881 7.824 7.538 5.578
6.1499 7.739 7.722 7.665 7.378 5.413
Average Life 8.84 8.83 8.8 8.64 8.13
First Prin 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00
Last Prin 10/15/14 10/15/14 10/15/14 5/15/14 5/15/14
Payment Window 168 168 168 163 163
Accrual Factor 0.0872 0.0872 0.0872 0.0872 0.0872
Mod Duration @ 5.7499 3.91 3.91 3.9 3.87 3.76
Spread Interp. @ 5.7499 374 373 367 340 148
</TABLE>
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