EX-99.1 3 de757103-ex99_1.txt COMPUTATIONAL MATERIAL This Structural Term Sheet, Collateral Term Sheet, or Computational Materials, as appropriate (the "material"), was prepared solely by the Underwriter(s), is privileged and confidential, is intended for use by the addressee only, and may not be provided to any third party other than the addressee's legal, tax, financial and/or accounting advisors for the purposes of evaluating such information. Prospective investors are advised to read carefully, and should rely solely on, the final prospectus and prospectus supplement (the "Final Prospectus") related to the securities (the "Securities") in making their investment decisions. This material does not include all relevant information relating to the Securities described herein, particularly with respect to the risk and special considerations associated with an investment in the Securities. All information contained herein is preliminary and it is anticipated that such information will change. Any information contained herein will be more fully described in, and will be fully superceded by the preliminary prospectus supplement, if applicable, and the Final Prospectus. Although the information contained in the material is based on sources the Underwriter(s) believe(s) to be reliable, the Underwriter(s) make(s) no representation or warranty that such information is accurate or complete. Such information should not be viewed as projections, forecasts, predictions, or opinions with respect to value. Prior to making any investment decision, a prospective investor shall receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITAION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may hold long or short positions in or buy and sell Securities or related securities or perform for or solicit investment banking services from, any company mentioned herein. COMM 2004-LNB2 Red Notes: Offerred 900,610,000.00 Closing Date: 3/17/2004 First Payment Date: 4/10/2004
Assumed Balances S&P / Fitch / DBRS Class Name O% CPR WAL Final Type ------------------------------------------------------------------------------------------------------------------------------------ 135,894,000.00 AAA/AAA/AAA A1 3.90 12/10/08 Fixed 138,594,000.00 AAA/AAA/AAA A2 5.50 12/10/10 Fixed 108,197,000.00 AAA/AAA/AAA A3 7.50 08/10/13 Fixed 454,979,000.00 AAA/AAA/AAA A4 9.80 03/10/14 Fixed 25,420,000.00 AA/AA/AA B 9.98 03/10/14 Fixed/WAC Cap/WAC -/WAC 9,684,000.00 AA-/AA-/AA- C 9.98 03/10/14 Fixed/WAC Cap/WAC -/WAC 19,368,000.00 A/A/A D 10.09 10/10/15 Fixed/WAC Cap/WAC -/WAC 8,474,000.00 A-/A-/A- E 13.59 12/10/18 Fixed/WAC Cap/WAC -/WAC ------------------------------------------------------------------------------------------------------------------------------------ 9,684,000.00 BBB+/BBB+/BBB+ F 14.73 12/10/18 Fixed/WAC Cap/WAC -/WAC 10,894,000.00 BBB/BBB/BBB G 14.73 12/10/18 Fixed/WAC Cap/WAC -/WAC 10,895,000.00 BBB-/BBB-/BBB- H 14.73 12/10/18 Fixed/WAC Cap/WAC -/WAC 4,842,000.00 BB+/BB+/BB+ J 14.73 12/10/18 Fixed/WAC Cap 6,052,000.00 BB/BB/BB K 14.73 12/10/18 Fixed/WAC Cap 3,632,000.00 BB-/BB-/BB- L 14.73 12/10/18 Fixed/WAC Cap 4,842,000.00 B+/B+/B+ M 14.73 12/10/18 Fixed/WAC Cap 2,421,000.00 B/B/B N 14.73 01/10/19 Fixed/WAC Cap 1,210,000.00 B-/B-/B- O 14.81 01/10/19 Fixed/WAC Cap 13,316,042.00 UR/UR/UR P 15.55 04/10/28 Fixed/WAC Cap 968,398,042.00 X1 935,698,000.00 X2 ------------------------------------------------------------------------------------------------------------------------------------ Percentage Principal Principal Balances Subordination of Transaction Start End ---------------------------------------------------------------------------------------------------------------------------- 135,894,000.00 13.500% 14.033% 1 57 4/10/2004 12/10/08 138,594,000.00 13.500% 14.312% 57 81 12/10/08 12/10/10 108,197,000.00 13.500% 11.173% 81 113 12/10/10 08/10/13 454,979,000.00 13.500% 46.983% 113 120 08/10/13 03/10/14 25,420,000.00 10.875% 2.625% 120 120 03/10/14 03/10/14 9,684,000.00 9.875% 1.000% 120 120 03/10/14 03/10/14 19,368,000.00 7.875% 2.000% 120 139 03/10/14 10/10/15 8,474,000.00 7.000% 0.875% 139 177 10/10/15 12/10/18 ---------------------------------------------------------------------------------------------------------------------------- 9,684,000.00 6.000% 1.000% 177 177 12/10/18 12/10/18 10,894,000.00 4.875% 1.125% 177 177 12/10/18 12/10/18 10,895,000.00 3.750% 1.125% 177 177 12/10/18 12/10/18 4,842,000.00 3.250% 0.500% 177 177 12/10/18 12/10/18 6,052,000.00 2.625% 0.625% 177 177 12/10/18 12/10/18 3,632,000.00 2.250% 0.375% 177 177 12/10/18 12/10/18 4,842,000.00 1.750% 0.500% 177 177 12/10/18 12/10/18 2,421,000.00 1.500% 0.250% 177 178 12/10/18 01/10/19 1,210,000.00 1.375% 0.125% 178 178 01/10/19 01/10/19 13,316,042.00 0.000% 1.375% 178 289 01/10/19 04/10/28 968,398,042.00 935,698,000.00 ----------------------------------------------------------------------------------------------------------------------------
Total Periods A1 A2 A3 A4 B ---------------------------------------------------------------------------------------------------------------------------- 935,698,000.00 12 124,983,000.00 138,594,000.00 108,197,000.00 454,979,000.00 25,420,000.00 913,002,000.00 18 102,287,000.00 138,594,000.00 108,197,000.00 454,979,000.00 25,420,000.00 888,115,000.00 24 77,400,000.00 138,594,000.00 108,197,000.00 454,979,000.00 25,420,000.00 856,950,000.00 30 50,261,000.00 138,594,000.00 108,197,000.00 454,979,000.00 25,420,000.00 822,061,000.00 36 23,884,000.00 138,594,000.00 108,197,000.00 454,979,000.00 25,420,000.00 787,902,000.00 42 - 136,518,000.00 108,197,000.00 454,979,000.00 25,420,000.00 755,477,000.00 48 - 111,962,000.00 108,197,000.00 454,979,000.00 25,420,000.00 691,450,000.00 54 - 55,485,000.00 108,197,000.00 454,979,000.00 25,420,000.00 584,910,000.00 60 - - 64,015,000.00 454,979,000.00 25,420,000.00 561,301,000.00 66 - - 46,152,000.00 454,979,000.00 25,420,000.00 538,618,000.00 72 - - 28,996,000.00 454,979,000.00 25,420,000.00 491,120,000.00 78 - - - 441,778,000.00 25,420,000.00 424,861,000.00 84 - - - 380,384,000.00 25,420,000.00 ---------------------------------------------------------------------------------------------------------------------------- Total C D E F G H ------------------------------------------------------------------------------------------------------------------------------------ 935,698,000.00 9,684,000.00 19,368,000.00 8,474,000.00 9,684,000.00 10,894,000.00 10,895,000.00 913,002,000.00 9,684,000.00 19,368,000.00 8,474,000.00 9,684,000.00 10,894,000.00 10,895,000.00 888,115,000.00 9,684,000.00 19,368,000.00 8,474,000.00 9,684,000.00 10,894,000.00 10,895,000.00 856,950,000.00 9,684,000.00 19,368,000.00 8,474,000.00 9,684,000.00 10,894,000.00 10,895,000.00 822,061,000.00 9,684,000.00 19,368,000.00 8,474,000.00 9,684,000.00 10,894,000.00 10,895,000.00 787,902,000.00 9,684,000.00 19,368,000.00 8,474,000.00 9,684,000.00 10,894,000.00 4,684,000.00 755,477,000.00 9,684,000.00 19,368,000.00 8,474,000.00 9,684,000.00 7,709,000.00 - 691,450,000.00 9,684,000.00 19,368,000.00 8,474,000.00 9,684,000.00 159,000.00 - 584,910,000.00 9,684,000.00 19,368,000.00 8,474,000.00 2,970,000.00 - - 561,301,000.00 9,684,000.00 19,368,000.00 5,698,000.00 - - - 538,618,000.00 9,684,000.00 19,368,000.00 171,000.00 - - - 491,120,000.00 9,684,000.00 14,238,000.00 - - - - 424,861,000.00 9,684,000.00 9,373,000.00 - - - - ------------------------------------------------------------------------------------------------------------------------------------ Total J K L ---------------------------------------------------------------------- 935,698,000.00 4,842,000.00 6,052,000.00 3,632,000.00 913,002,000.00 4,842,000.00 6,052,000.00 3,632,000.00 888,115,000.00 4,842,000.00 6,052,000.00 3,632,000.00 856,950,000.00 4,842,000.00 5,658,000.00 - 822,061,000.00 1,988,000.00 - - 787,902,000.00 - - - 755,477,000.00 - - - 691,450,000.00 - - - 584,910,000.00 - - - 561,301,000.00 - - - 538,618,000.00 - - - 491,120,000.00 - - - 424,861,000.00 - - - ----------------------------------------------------------------------
4/10/2004 1 5/10/2004 2 6/10/2004 3 7/10/2004 4 8/10/2004 5 9/10/2004 6 10/10/2004 7 11/10/2004 8 12/10/2004 9 1/10/2005 10 2/10/2005 11 3/10/2005 12 4/10/2005 13 5/10/2005 14 6/10/2005 15 7/10/2005 16 8/10/2005 17 9/10/2005 18 10/10/2005 19 11/10/2005 20 12/10/2005 21 1/10/2006 22 2/10/2006 23 3/10/2006 24 4/10/2006 25 5/10/2006 26 6/10/2006 27 7/10/2006 28 8/10/2006 29 9/10/2006 30 10/10/2006 31 11/10/2006 32 12/10/2006 33 1/10/2007 34 2/10/2007 35 3/10/2007 36 4/10/2007 37 5/10/2007 38 6/10/2007 39 7/10/2007 40 8/10/2007 41 9/10/2007 42 10/10/2007 43 11/10/2007 44 12/10/2007 45 1/10/2008 46 2/10/2008 47 3/10/2008 48 4/10/2008 49 5/10/2008 50 6/10/2008 51 7/10/2008 52 8/10/2008 53 9/10/2008 54 10/10/2008 55 11/10/2008 56 12/10/2008 57 1/10/2009 58 2/10/2009 59 3/10/2009 60 4/10/2009 61 5/10/2009 62 6/10/2009 63 7/10/2009 64 8/10/2009 65 9/10/2009 66 10/10/2009 67 11/10/2009 68 12/10/2009 69 1/10/2010 70 2/10/2010 71 3/10/2010 72 4/10/2010 73 5/10/2010 74 6/10/2010 75 7/10/2010 76 8/10/2010 77 9/10/2010 78 10/10/2010 79 11/10/2010 80 12/10/2010 81 1/10/2011 82 2/10/2011 83 3/10/2011 84 4/10/2011 85 5/10/2011 86 6/10/2011 87 7/10/2011 88 8/10/2011 89 9/10/2011 90 10/10/2011 91 11/10/2011 92 12/10/2011 93 1/10/2012 94 2/10/2012 95 3/10/2012 96 4/10/2012 97 5/10/2012 98 6/10/2012 99 7/10/2012 100 8/10/2012 101 9/10/2012 102 10/10/2012 103 11/10/2012 104 12/10/2012 105 1/10/2013 106 2/10/2013 107 3/10/2013 108 4/10/2013 109 5/10/2013 110 6/10/2013 111 7/10/2013 112 8/10/2013 113 9/10/2013 114 10/10/2013 115 11/10/2013 116 12/10/2013 117 1/10/2014 118 2/10/2014 119 3/10/2014 120 4/10/2014 121 5/10/2014 122 6/10/2014 123 7/10/2014 124 8/10/2014 125 9/10/2014 126 10/10/2014 127 11/10/2014 128 12/10/2014 129 1/10/2015 130 2/10/2015 131 3/10/2015 132 4/10/2015 133 5/10/2015 134 6/10/2015 135 7/10/2015 136 8/10/2015 137 9/10/2015 138 10/10/2015 139 11/10/2015 140 12/10/2015 141 1/10/2016 142 2/10/2016 143 3/10/2016 144 4/10/2016 145 5/10/2016 146 6/10/2016 147 7/10/2016 148 8/10/2016 149 9/10/2016 150 10/10/2016 151 11/10/2016 152 12/10/2016 153 1/10/2017 154 2/10/2017 155 3/10/2017 156 4/10/2017 157 5/10/2017 158 6/10/2017 159 7/10/2017 160 8/10/2017 161 9/10/2017 162 10/10/2017 163 11/10/2017 164 12/10/2017 165 1/10/2018 166 2/10/2018 167 3/10/2018 168 4/10/2018 169 5/10/2018 170 6/10/2018 171 7/10/2018 172 8/10/2018 173 9/10/2018 174 10/10/2018 175 11/10/2018 176 12/10/2018 177 1/10/2019 178 2/10/2019 179 3/10/2019 180 4/10/2019 181 5/10/2019 182 6/10/2019 183 7/10/2019 184 8/10/2019 185 9/10/2019 186 10/10/2019 187 11/10/2019 188 12/10/2019 189 1/10/2020 190 2/10/2020 191 3/10/2020 192 4/10/2020 193 5/10/2020 194 6/10/2020 195 7/10/2020 196 8/10/2020 197 9/10/2020 198 10/10/2020 199 11/10/2020 200 12/10/2020 201 1/10/2021 202 2/10/2021 203 3/10/2021 204 4/10/2021 205 5/10/2021 206 6/10/2021 207 7/10/2021 208 8/10/2021 209 9/10/2021 210 10/10/2021 211 11/10/2021 212 12/10/2021 213 1/10/2022 214 2/10/2022 215 3/10/2022 216 4/10/2022 217 5/10/2022 218 6/10/2022 219 7/10/2022 220 8/10/2022 221 9/10/2022 222 10/10/2022 223 11/10/2022 224 12/10/2022 225 1/10/2023 226 2/10/2023 227 3/10/2023 228 4/10/2023 229 5/10/2023 230 6/10/2023 231 7/10/2023 232 8/10/2023 233 9/10/2023 234 10/10/2023 235 11/10/2023 236 12/10/2023 237 1/10/2024 238 2/10/2024 239 3/10/2024 240 4/10/2024 241 5/10/2024 242 6/10/2024 243 7/10/2024 244 8/10/2024 245 9/10/2024 246 10/10/2024 247 11/10/2024 248 12/10/2024 249 1/10/2025 250 2/10/2025 251 3/10/2025 252 4/10/2025 253 5/10/2025 254 6/10/2025 255 7/10/2025 256 8/10/2025 257 9/10/2025 258 10/10/2025 259 11/10/2025 260 12/10/2025 261 1/10/2026 262 2/10/2026 263 3/10/2026 264 4/10/2026 265 5/10/2026 266 6/10/2026 267 7/10/2026 268 8/10/2026 269 9/10/2026 270 10/10/2026 271 11/10/2026 272 12/10/2026 273 1/10/2027 274 2/10/2027 275 3/10/2027 276 4/10/2027 277 5/10/2027 278 6/10/2027 279 7/10/2027 280 8/10/2027 281 9/10/2027 282 10/10/2027 283 11/10/2027 284 12/10/2027 285 1/10/2028 286 2/10/2028 287 3/10/2028 288 4/10/2028 289 5/10/2028 290 6/10/2028 291 7/10/2028 292 8/10/2028 293 9/10/2028 294 10/10/2028 295 11/10/2028 296 12/10/2028 297 1/10/2029 298 2/10/2029 299 3/10/2029 300 4/10/2029 301 5/10/2029 302 6/10/2029 303 7/10/2029 304 8/10/2029 305 9/10/2029 306 10/10/2029 307 11/10/2029 308 12/10/2029 309 1/10/2030 310 2/10/2030 311 3/10/2030 312 4/10/2030 313 5/10/2030 314 6/10/2030 315 7/10/2030 316 8/10/2030 317 9/10/2030 318 10/10/2030 319 11/10/2030 320 12/10/2030 321 1/10/2031 322 2/10/2031 323 3/10/2031 324 4/10/2031 325 5/10/2031 326 6/10/2031 327 7/10/2031 328 8/10/2031 329 9/10/2031 330 10/10/2031 331 11/10/2031 332 12/10/2031 333 1/10/2032 334 2/10/2032 335 3/10/2032 336 4/10/2032 337 5/10/2032 338 6/10/2032 339 7/10/2032 340 8/10/2032 341 9/10/2032 342 10/10/2032 343 11/10/2032 344 12/10/2032 345 1/10/2033 346 2/10/2033 347 3/10/2033 348 4/10/2033 349 5/10/2033 350 6/10/2033 351 7/10/2033 352 8/10/2033 353 9/10/2033 354 10/10/2033 355 11/10/2033 356 12/10/2033 357 1/10/2034 358 2/10/2034 359 3/10/2034 360 4/10/2034 361 5/10/2034 362 6/10/2034 363 7/10/2034 364 8/10/2034 365 9/10/2034 366 10/10/2034 367 11/10/2034 368 12/10/2034 369 1/10/2035 370 2/10/2035 371 3/10/2035 372 4/10/2035 373 5/10/2035 374 6/10/2035 375 7/10/2035 376 8/10/2035 377 9/10/2035 378 10/10/2035 379 11/10/2035 380 12/10/2035 381 1/10/2036 382 2/10/2036 383 3/10/2036 384 4/10/2036 385 5/10/2036 386 6/10/2036 387 7/10/2036 388 8/10/2036 389 9/10/2036 390 10/10/2036 391 11/10/2036 392 12/10/2036 393 1/10/2037 394 2/10/2037 395 3/10/2037 396 4/10/2037 397 COMM 2004-LNB2 X2 Strip Gross Schedule is the minimum of the netwac at (a) "0cpr", (b) "100cpy", and (c) "100cpy, 25 CPR for loans with Yield Maintenance, and 6cdr with 12 month lag and 35 severity" NWAC sched is this schedule minus 3bps Payment Date Strip ------------ ----- 3/10/2004 4/10/2004 5.70400 5/10/2004 5.54550 6/10/2004 5.70390 7/10/2004 5.54540 8/10/2004 5.70370 9/10/2004 5.70370 10/10/2004 5.54520 11/10/2004 5.70360 12/10/2004 5.54520 1/10/2005 5.54510 2/10/2005 5.54510 3/10/2005 5.54540 4/10/2005 5.70330 5/10/2005 5.54500 6/10/2005 5.70320 7/10/2005 5.54490 8/10/2005 5.70310 9/10/2005 5.70300 10/10/2005 5.54480 11/10/2005 5.70290 12/10/2005 5.54480 1/10/2006 5.54470 2/10/2006 5.54470 3/10/2006 5.54510 4/10/2006 5.70270 5/10/2006 5.54470 6/10/2006 5.70270 7/10/2006 5.54480 8/10/2006 5.70280 9/10/2006 5.70290 10/10/2006 5.54490 11/10/2006 5.70300 12/10/2006 5.54500 1/10/2007 5.54500 2/10/2007 5.54500 3/10/2007 5.54560 4/10/2007 5.70310 5/10/2007 5.54510 6/10/2007 5.70310 7/10/2007 5.54510 8/10/2007 5.70310 9/10/2007 5.70320 10/10/2007 5.54520 11/10/2007 5.70320 12/10/2007 5.54520 1/10/2008 5.70320 2/10/2008 5.54520 3/10/2008 5.54550 4/10/2008 5.70330 5/10/2008 5.54530 6/10/2008 5.70330 7/10/2008 5.54530 8/10/2008 5.70340 9/10/2008 5.70340 10/10/2008 5.54540 11/10/2008 5.70460 12/10/2008 5.57110 1/10/2009 5.58540 2/10/2009 5.59600 3/10/2009 5.61220 4/10/2009 5.76640 5/10/2009 5.61160 6/10/2009 5.76640 7/10/2009 5.61160 8/10/2009 5.76640 9/10/2009 5.76650 10/10/2009 5.61170 11/10/2009 5.76650 12/10/2009 5.61170 1/10/2010 5.61170 2/10/2010 5.61170 3/10/2010 5.61240 4/10/2010 5.76650 5/10/2010 5.61170 6/10/2010 5.76650 7/10/2010 5.61170 8/10/2010 5.76850 9/10/2010 5.76850 10/10/2010 5.61400 11/10/2010 5.76850 12/10/2010 5.62040 1/10/2011 5.61950 2/10/2011 5.62430 3/10/2011 5.64680