EX-99.2 4 bear-ex992_091001.txt BEAR STEARNS BEAR, STEARNS & CO. INC. ATLANTA o BOSTON o CHICAGO ASSET-BACKED SECURITIES GROUP DALLAS o LOS ANGELES o NEW YORK o SAN FRANCISCO 245 Park Avenue FRANKFORT o GENEVA o HONG KONG New York, N.Y. 10167 LONDON o PARIS o TOKYO (212) 272-2000; (212) 272-7294 fax IRWIN HOME EQUITY LOAN TRUST 2001-2 PRELIMINARY TERM SHEET/COMPUTATIONAL MATERIALS --------- -------------------------- --------------------------- --------------- FAX TO: DATE: 09/07/01 COMPANY: Bear, Stearns & Co. Inc. # PAGES (incl. cover): 60 FAX NO: (212) 272-7294 PHONE NO: (212) 272-2703 --------- -------------------------- --------------------------- --------------- FROM: PHONE NO: --------- -------------------------- --------------------------- --------------- STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION The information contained in the attached materials (the "Information") may include various forms of performance analysis, security characteristics and securities pricing estimates for the securities addressed. Please read and understand this entire statement before utilizing the Information. The Information is provided solely by Bear Stearns, not as agent for any issuer, and although it may be based on data supplied to it by an issuer, the issuer has not participated in its preparation and makes no representations regarding its accuracy or completeness. Should you receive Information that refers to the "Statement Regarding Assumptions and Other Information," please refer to this statement instead. The Information is illustrative and is not intended to predict actual results which may differ substantially from those reflected in the Information. Performance analysis is based on certain assumptions with respect to significant factors that may prove not to be as assumed. You should understand the assumptions and evaluate whether they are appropriate for your purposes. Performance results are based on mathematical models that use inputs to calculate results. As with all models, results may vary significantly depending upon the value of the inputs given. Inputs to these models include but are not limited to: prepayment expectations (economic prepayment models, single expected lifetime prepayments or a vector of periodic prepayments), interest rate assumptions (parallel and nonparallel changes for different maturity instruments), collateral assumptions (actual pool level data, aggregated pool level data, reported factors or imputed factors), volatility assumptions (historically observed or implied current) and reported information (paydown factors, rate resets, and trustee statements). Models used in any analysis may be proprietary making the results difficult for any third party to reproduce. Contact your registered representative for detailed explanations of any modeling techniques employed in the Information. The Information addresses only certain aspects of the applicable security's characteristics and thus does not provide a complete assessment. As such, the Information may not reflect the impact of all structural characteristics of the security, including call events and cash flow priorities at all prepayment speeds and/or interest rates. You should consider whether the behavior of these securities should be tested as assumptions different from those included in the Information. The assumptions underlying the Information, including structure and collateral, may be modified from time to time to reflect changed circumstances. Any investment decision should be based only on the data in the prospectus and the prospectus supplement or private placement memorandum (Offering Documents) and the then current version of the Information. Any information herein regarding the collateral or the securities supersedes any prior information regarding the collateral or the securities and will be superseded by information regarding the collateral and/or the securities contained in the Offering Documents and any subsequent information regarding the collateral or the securities. Offering Documents contain data that is current as of their publication dates and after publication may no longer be complete or current and any subsequent information regarding the collateral or the securities. Contact your registered representative for Offering Documents, current Information or additional materials, including other models for performance analysis, which are likely to produce different results, and any further explanation regarding the Information. Any pricing estimates Bear Stearns has supplied at your request (a) represent our view, at the time determined, of the investment value of the securities between the estimated bid and offer levels, the spread between which may be significant due to market volatility or illiquidity, (b) do not constitute a bid by any person for any security, (c) may not constitute prices at which the securities could have been purchased or sold in any market, (d) have not been confirmed by actual trades, may vary from the value Bear Stearns assigns any such security while in its inventory, and may not take into account the size of a position you have in the security, and (e) may have been derived from matrix pricing that uses data relating to other securities whose prices are more readily ascertainable to produce a hypothetical price based on the estimated yield spread relationship between the securities. GENERAL INFORMATION: The data underlying the Information has been obtained from sources that we believe are reliable, but we do not guarantee the accuracy of the underlying data or computations based thereon. Bear Stearns and/or individuals employed thereby may have positions in these securities while the Information is circulating or during such period may engage in transactions with the issuer or its affiliates. We act as principal in transactions with you, and accordingly, you must determine the appropriateness for you of such transactions and address any legal, tax, or accounting considerations applicable to you. Bear Stearns shall not be a fiduciary or advisor unless we have agreed in writing to receive compensation specifically to act in such capacities. If you are subject to ERISA, the Information is being furnished on the condition that it will not form a primary basis for any investment decision. The Information is not a solicitation of any transaction in securities which may be made only by prospectus when required by law, in which event you may obtain such prospectus from Bear Stearns. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. IRWIN HOME EQUITY LOAN TRUST 2001-2 COMPUTATIONAL MATERIALS: PRELIMINARY TERM SHEET (PAGE 1 OF 16) -------------------------------------------------------------------------------- CHARACTERISTICS OF THE NOTES (A), (B), (C), (D), (E), (F), (G), (H), (I), (J), (K) -------------------------------------------------------------------------------
INITIAL APPROXIMATE AVG LIFE PRINCIPAL PRINCIPAL RATINGS OFFERED INITIAL NOTE TO CALL LOCKOUT WINDOW (MOODY'S/ COLLATERAL LEGAL FINAL SECURITIES BALANCE (C) COUPON (YEARS) (MONTHS) (MONTHS) S&P/FITCH) TYPE LOAN GROUP PAYMENT DATE ---------------- -------------- ---------- -------- -------- --------- ---------- ---------- ---------- ------------ Class IA-1 Notes $[89,444,000] Floater(d) 1.00 0 24 Aaa/AAA/AAA HEL Fixed Loan Group I 11/25/11 Class IA-2 Notes $[62,346,000] Fixed 3.00 23 32 Aaa/AAA/AAA HEL Fixed Loan Group I 11/25/15 Class IA-3 Notes $[28,140,000] Fixed (f) 6.45 54 56 Aaa/AAA/AAA HEL Fixed Loan Group I 2/25/27 ---------------- -------------- ---------- -------- -------- --------- ---------- ---------- ---------- ------------ Class IIA-1 Notes $[79,769,000] Floater(e) 1.00 0 22 Aaa/AAA/AAA HLTV Fixed Loan Group II 2/25/11 Class IIA-2 Notes $[11,754,000] Fixed 2.00 21 5 Aaa/AAA/AAA HLTV Fixed Loan Group II 11/25/11 Class IIA-3 Notes $[64,248,000] Fixed 3.00 25 26 Aaa/AAA/AAA HLTV Fixed Loan Group II 3/25/15 Class IIA-4 Notes $[21,246,000] Fixed 5.00 50 20 Aaa/AAA/AAA HLTV Fixed Loan Group II 1/25/16 Class IIA-5 Notes $[46,650,000] Fixed (f) 8.34 69 56 Aaa/AAA/AAA HLTV Fixed Loan Group II 2/25/27 ---------------- -------------- ---------- -------- -------- --------- ---------- ---------- ---------- ------------ Class IIIA-1 Notes $[130,000,000] Floater(g) 3.99 0 125 Aaa/AAA/AAA HELOC Loan Group III 7/25/26 ---------------- -------------- ---------- -------- -------- --------- ---------- ---------- ---------- ------------ Class M-1 Notes $[53,022,000] Floater(h) 7.09 42 83 Aa2/AA/AA ALL ALL 7/25/26 Class M-2 Notes $[43,904,000] Floater(i) 7.09 42 83 A2/A/A ALL ALL 7/25/26 Class B-1 Notes $[43,904,000] Floater(j) 7.09 42 83 Baa3/BBB/BBB ALL ALL 7/25/26 ---------------- -------------- ---------- -------- -------- --------- ---------- ---------- ---------- ------------ Class A- IO $[54,112,000] Fixed (k) 2.50 N/A N/A Aaa/AAA/AAA HEL/HLTV Fixed Group I & Group 3/25/04 (k) II ---------------- -------------- ---------- -------- -------- --------- ---------- ---------- ---------- ------------ NOTE: (a) Ppayment Assumptions: Group I Loans: 4% CPR building to 20% CPR over 12 mths; Group II Loans 2% CPR building to 15% CPR over 15 months; and Group III Loans: 22%PR less 2% constant draw rate ("CDR"), net 20% CPR. (b) Transaction priced to 10% clean-up call; after the clean-up call date, the coupon on the Class IA-3 notes and the Class IIA-5 notes then outstanding will step up by 50 bps, the margin on the Class IIIA-1 notes then outstanding will increase by 2x and the margin on the Class M-1 notes, Class M-2 notes, and Class B-1 notes then outstanding will increase by 1.5x. (c) The initial note balances shown above are subject to a permitted variance of plus or minus 5% (d) On any payment date, equal to the lesser of (i) LIBOR plus ____% per annum and (ii) 10.00% per annum. (e) On any payment date, equal to the lesser of (i) LIBOR plus ____% per annum and (ii) 10.00% per annum. (f) The note rate will increase by 0.50% per annum commencing on the Step-Up Date. The "STEP-UP DATE" is the first payment date on which the aggregate outstanding principal balance of the mortgage loans is less than 10% of the sum of (x) the aggregate principal balance of the mortgage loans as of the cut-off date and (y) the amount on deposit in the pre-funding account on the closing date. (g) On any payment date, equal to the least of (i) LIBOR plus ____% (or, for any payment on or after the related Step-Up Date, LIBOR plus ____% (the original margin multiplied by 2)) per annum, (ii) the weighted average net mortgage interest rate of the mortgage loans in loan group III and (iii) 12.00% per annum. (h) On any payment date, equal to the least of (i) LIBOR plus ____% (or, for any payment on or after the Step-Up Date, LIBOR plus ____% (the original margin multiplied by 1.5)) per annum, (ii) (a) the weighted average net mortgage interest rate of all of the mortgage loans, minus (b) on or prior to the payment date in March 2004, 1.00% plus (c) a rate equal to the amount, if any, received with respect to such payment date on the interest rate cap divided by the notional amount of the interest rate cap and (iii) 13.00% per annum. (i) On any payment date, equal to the least of (i) LIBOR plus ____% (or, for any payment on or after the Step-Up Date, LIBOR plus ____% (the original margin multiplied by 1.5)) per annum, (ii) (a) the weighted average net mortgage interest rate of all of the mortgage loans, minus (b) on or prior to the payment date in March 2004, 1.00% plus (c) a rate equal to the amount, if any, received with respect to such payment date on the interest rate cap divided by the notional amount of the interest rate cap and (iii) 13.00% per annum. (j) On any payment date, equal to the least of (i) LIBOR plus ____% (or, for any payment on or after the Step-Up Date, LIBOR plus ____% (the original margin multiplied by 1.5)) per annum, (ii) (a) the weighted average net mortgage interest rate of all of the mortgage loans, minus (b) on or prior to the payment date in March 2004, 1.00% plus (c) a rate equal to the amount, if any, received with respect to such payment date on the interest rate cap divided by the notional amount of the interest rate cap and (iii) 13.00% per annum. (k) The Class A-IO notes will have a notional balance equal to the lesser of (i) $54,112,000 (10.00% of the aggregate initial principal balance of the Group I and the Group II initial mortgage loans and additional mortgage loans) and (ii) the aggregate outstanding principal balance of the mortgage loans in loan groups I and II. The Class A-IO notes will not have a principal balance. Distributions on the Class A-IO notes are calculated at a 10% coupon on the outstanding notional balance for 30 months with a legal final of [March 25, 2004]. The modified duration on the Class A-IO notes is [1.23] years.
Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. IRWIN HOME EQUITY LOAN TRUST 2001-2 COMPUTATIONAL MATERIALS: PRELIMINARY TERM SHEET (PAGE 6 OF 16) -------------------------------------------------------------------------------- Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. $674,427,000 (SUBJECT TO A PERMITTED VARIANCE OF PLUS OR MINUS 5%) Title of the offered notes............ Home Equity Loan-Backed Term Notes, Series 2001-2. Issuer................................ Irwin Home Equity Loan Trust 2001-2. Depositor............................. Bear Stearns Asset Backed Securities, Inc. Transferor............................ IHE Funding Corp. II. Originator and master servicer........ Irwin Union Bank and Trust Company. Subservicer........................... Irwin Home Equity Corporation. Owner trustee......................... Wilmington Trust Company. Indenture trustee..................... Wells Fargo Bank Minnesota, National Association. Mortgage loans........................ Closed-end, fixed-rate home equity loans with combined loan-to-value ratios generally up to 100%, closed-end, fixed-rate home equity loans with combined loan-to-value ratios generally up to 125%, adjustable-rate home equity lines of credit with combined loan-to-value ratios generally up to 100% and adjustable-rate home equity lines of credit with combined loan-to-value ratios generally up to 125%, secured, in each case, by first, second or more junior mortgages or deeds of trust on one- to four-family residential properties with the characteristics specified in the tables attached hereto will be transferred to the issuer on the closing date. Additional fixed-rate home equity loans, adjustable-rate home equity lines of credit and additional draws on the initial home equity lines of credit, acquired by the transferor prior to the closing date will be sold to the issuer on the closing date. Along with the initial mortgage loans and the additional mortgage loans, the issuer will also purchase from Irwin Union Bank and Trust Company, mortgage loans consisting of fixed-rate home equity loans and adjustable-rate home equity lines of credit prior to March 31, 2002 and additional draws on previously acquired home equity lines of credit prior to September 30, 2005. Statistical calculation date........................ The close of business on July 31, 2001. Cut-off date.......................... The close of business on August 31, 2001 for the initial mortgage loans. In the case of any additional mortgage loan sold to the trust on the closing date, the later of August 31, 2001 and the origination date of such mortgage loan. For any subsequent mortgage loan sold to the trust after the closing date, the applicable sale date of such mortgage loan to the trust. Closing date.......................... On or about September[25], 2001. Payment dates......................... Beginning in October 2001 on the 25th day of each month or, if the 25th day is not a business day, on the next business day. Form of offered notes................. Book-entry form, same day funds through DTC, Clearstream or Euroclear. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
OFFERED NOTES ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- INITIAL RATING EXPECTED NOTE INITIAL NOTE (MOODY'S/ FINAL PAYMENT LEGAL FINAL CLASS RATE BALANCE(1) S&P/FITCH) DATE(2) PAYMENT DATE DESIGNATIONS ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- IA-1 Variable (3) $89,444,000 Aaa/AAA/AAA 9/25/2003 11/25/2011 Senior/ Variable Rate ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- IA-2 % $62,346,000 Aaa/AAA/AAA 4/25/2006 11/25/2015 Senior/Fixed Rate ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- IA-3 %(4) $28,140,000 Aaa/AAA/AAA 11/25/2010 2/25/2027 Senior/Fixed Rate ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- IIA-1 Variable (5) $79,769,000 Aaa/AAA/AAA 7/25/2003 2/25/2011 Senior/ Variable Rate ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- IIA-2 % $11,754,000 Aaa/AAA/AAA 11/25/2003 11/25/2011 Senior/Fixed Rate ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- IIA-3 % $64,248,000 Aaa/AAA/AAA 12/25/2005 3/25/2015 Senior/ Fixed Rate ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- IIA-4 % $21,246,000 Aaa/AAA/AAA 7/25/2007 1/25/2016 Senior/Fixed Rate ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- IIA-5 %(4) $46,650,000 Aaa/AAA/AAA 2/25/2012 2/25/2027 Senior/ Fixed Rate ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- IIIA-1 Variable (6) $130,000,000 Aaa/AAA/AAA 2/25/2012 7/25/2026 Senior/ Variable Rate ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- A-IO 10.000% (7) (8) Aaa/AAA/AAA 3/25/2004 3/25/2004 Senior/Fixed Rate/Interest Only ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- 2/25/2012 7/25/2026 Subordinate/ M-1 Variable (9) $53,022,000 Aa2/AA/AA Variable Rate ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- 2/25/2012 7/25/2026 Subordinate/ M-2 Variable (10) $43,904,000 A2/A/A Variable Rate ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- 2/25/2012 7/25/2026 Subordinate/ B-1 Variable (11) $43,904,000 Baa3/BBB/BBB Variable Rate ------------- ---------------- ---------------- ------------------ --------------- --------------- ----------------- Total Offered Notes $674,427,000 ------------- (1) Subject to a permitted variance of plus or minus 5%. (2) Based on the assumption that the master servicer has exercised its option to repurchase all of the mortgage loans and the other assumptions described herein. Due to losses and prepayments on the mortgage loans, the final payment dates on each class of offered notes may be substantially earlier or later than such dates. (3) On any payment date, equal to the lesser of (i) LIBOR plus ____% per annum and (ii) 10.00% per annum. (4) The note rate will increase by 0.50% per annum commencing on the Step-Up Date. The "STEP-UP DATE" is the first payment date on which the aggregate outstanding principal balance of the mortgage loans is less than 10% of the sum of (x) the aggregate principal balance of the mortgage loans as of the cut-off date and (y) the amount on deposit in the pre-funding account on the closing date. (5) On any payment date, equal to the lesser of (i) LIBOR plus ____% per annum and (ii) 10.00% per annum. (6) On any payment date, equal to the least of (i) LIBOR plus ____% (or, for any payment on or after the related Step-Up Date, LIBOR plus ____% (the original margin multiplied by 2)) per annum, (ii) the weighted average net mortgage interest rate of the mortgage loans in loan group III and (iii) 12.00% per annum. (7) The Class A-IO notes will be interest only notes. Interest will accrue on the notional balance of the Class A-IO notes. (8) The Class A-IO notes will have a notional balance equal to the lesser of (i) $54,112,000 (10.00% of the aggregate initial principal balance of the Group I and the Group II initial mortgage loans and additional mortgage loans) and (ii) the aggregate outstanding principal balance of the mortgage loans in loan groups I and II. The Class A-IO notes will not have a principal balance. (9) On any payment date, equal to the least of (i) LIBOR plus ____% (or, for any payment on or after the Step-Up Date, LIBOR plus ____% (the original margin multiplied by 1.5)) per annum, (ii) (a) the weighted average net mortgage interest rate of all of the mortgage loans, minus (b) on or prior to the payment date in March 2004, 1.00% plus (c) a rate equal to the amount, if any, received with respect to such payment date on the interest rate cap divided by the notional amount of the interest rate cap and (iii) 13.00% per annum. (10) On any payment date, equal to the least of (i) LIBOR plus ____% (or, for any payment on or after the Step-Up Date, LIBOR plus ____% (the original margin multiplied by 1.5)) per annum, (ii) (a) the weighted average net mortgage interest rate of all of the mortgage loans, minus (b) on or prior to the payment date in March 2004, 1.00% plus (c) a rate equal to the amount, if any, received with respect to such payment date on the interest rate cap divided by the notional amount of the interest rate cap and (iii) 13.00% per annum. (11) On any payment date, equal to the least of (i) LIBOR plus ____% (or, for any payment on or after the Step-Up Date, LIBOR plus ____% (the original margin multiplied by 1.5)) per annum, (ii) (a) the weighted average net mortgage interest rate of all of the mortgage loans, minus (b) on or prior to the payment date in March 2004, 1.00% plus (c) a rate equal to the amount, if any, received with respect to such payment date on the interest rate cap divided by the notional amount of the interest rate cap and (iii) 13.00% per annum.
Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. THE OFFERED NOTES The Class IA-1 notes, Class IA-2 notes, and the Class IA-3 notes are collectively referred to as the Group I notes. The Class IIA-1 notes, Class IIA-2 notes, Class IIA-3 notes, Class IIA-4 notes and the Class IIA-5 notes are collectively referred to as the Group II notes. The Class IIIA-1 notes and the variable funding notes are collectively referred to as the Group III notes. The Group I notes, the Group II notes and the Group III notes are collectively referred to as the Class A notes. The Class M-1 notes, the Class M-2 notes and the Class B-1 notes are collectively referred to as the subordinate notes. The Class A notes (other than the variable funding notes), the Class A-IO notes and the subordinate notes are collectively referred to as the offered notes. THE VARIABLE FUNDING NOTES In addition to the offered notes, the trust will also issue Home Equity Loan-Backed Variable Funding Notes, Series 2001-2. The variable funding notes will not be offered by this prospectus supplement. The variable funding notes will have a variable funding balance of $0 on the closing date. Any information concerning the variable funding notes included in this prospectus supplement is only included to provide you with a better understanding of the offered notes. During the managed amortization period, if amounts on deposit in the funding account and principal collections on the mortgage loans in loan group III are insufficient to fund all of the additional balances on the home equity lines of credit arising during the related collection period, the variable funding balance will be increased by the shortfall. After the termination of the managed amortization period, the variable funding balance will be increased by the principal balance of all additional balances on the home equity lines of credit arising during the related collection period. THE CERTIFICATES The trust will also issue Home Equity Loan-Backed Certificates, Series 2001-2, which will not be offered by this prospectus supplement. Any information concerning the certificates included in this prospectus supplement is only included to provide you with a better understanding of the offered notes. The certificates will be subordinated to the offered notes and the variable funding notes. The certificates will be issued pursuant to the trust agreement and will represent the beneficial ownership interests in the trust. THE TRUST The depositor will establish Irwin Home Equity Loan Trust 2001-2, a Delaware business trust. The trust will be established pursuant to a trust agreement, dated as of August 31, 2001, between the depositor and the owner trustee. The trust will issue the notes pursuant to an indenture dated as of August 31, 2001, between the issuer and the indenture trustee. The assets of the trust will include: o the unpaid principal balance of the mortgage loans as of the close of business on the initial cut-off date; o the unpaid principal balance as of the related cut-off date of mortgage loans added to the property of the trust after the closing date; and o any additions to the home equity lines of credit as a result of draws or new advances of money made pursuant to the applicable loan agreement after the cut-off date or related subsequent cut-off date. The unpaid principal balance of a home equity line of credit on any day will be equal to: o its cut-off date balance, o PLUS any additional balances relating to that home equity line of credit sold to the issuer before that day, o MINUS all collections credited against the principal balance of that home equity line of credit in accordance with the related loan agreement since the cut-off date or related subsequent cut-off date. The principal balance of a liquidated home equity line of credit or a closed-end home equity loan after the final recovery of related liquidation proceeds will be zero. In addition to the mortgage loans conveyed to the trust on the closing date, the property of the trust will include cash on deposit in the pre-funding account and the capitalized interest account and collections on the mortgage loans. Payments of interest and principal on the notes will be made only from payments received in connection with the mortgage loans MORTGAGE LOAN GROUPS The mortgage loans assigned and transferred to the issuer and pledged to the indenture trustee as of the closing date will be divided into three loan groups. Loan group I will include initial mortgage loans which consist solely of fixed-rate, closed-end home equity loans with combined loan-to-value ratios generally up to 100%, secured by first, second or more junior mortgages or deeds of trust on residential properties. Loan group II will include initial mortgage loans which consist solely of fixed-rate, closed-end home equity loans with combined loan-to-value ratios generally over 100% and generally up to 125%, secured by second or more junior mortgages or deeds of trust on residential properties. Loan group III will include initial mortgage loans which consist of (i) adjustable-rate home equity lines of credit with combined loan-to-value ratios generally up to 100% and (ii) adjustable-rate home equity lines of credit with combined loan-to-value ratios generally over 100% and generally up to 125%, secured in both cases by first, second or more junior mortgages or deeds of trust on residential properties. PRE-FUNDING ACCOUNT On the closing date, an amount equal to the excess of the aggregate initial principal balance of the offered notes plus the initial overcollateralization amount over the aggregate principal balance of the initial mortgage loans and the additional mortgage loans acquired by the trust on the closing date will be deposited from the proceeds of the sale of the offered notes into a pre-funding account. Approximately $[135.2] million will be allocated to purchasing subsequent home equity loans for loan group I, approximately $[150.8] million will be allocated to purchasing subsequent home equity loans for loan group II and approximately $[39.1] million will be allocated to purchasing subsequent home equity lines of credit for loan group III. The transferor will be obligated to sell mortgage loans to the trust after the closing date and the trust will be obligated, subject to the provisions of the sale and servicing agreement, to purchase such subsequent mortgage loans from funds on deposit in the pre-funding account during the period from the closing date until the earliest of (i) the date on which the amount on deposit in the pre-funding account is less than $100,000, (ii) March 31, 2002 and (iii) the occurrence, if any, of a servicer default under the sale and servicing agreement or an amortization event. Amounts on deposit in the pre-funding account will be invested in permitted investments specified in the indenture. Any amount remaining in the pre-funding account at the end of the pre-funding period that was allocated to purchase subsequent mortgage loans for loan groups I or II will be treated as principal collections for the related loan group. Any amount remaining in the pre-funding account at the end of the pre-funding period described above that was allocated to purchase subsequent home equity lines of credit for loan group III will generally be used to purchase additional balances through the end of the managed amortization period, and thereafter will be treated as principal collections for loan group III. CAPITALIZED INTEREST ACCOUNT On the closing date, the transferor will make a cash deposit from the proceeds of the sale of the offered notes into a capitalized interest account held by the indenture trustee, unless a letter of credit evidencing the availability of such amount is delivered to the indenture trustee on the closing date. Any letter of credit must be in form and substance, and from a provider, acceptable to the rating agencies. Amounts on deposit in the capitalized interest account will be withdrawn, or drawings under such letter of credit will be made, on each payment date during the pre-funding period to fund portions of the interest payments on the notes to the extent set forth in the indenture and the sale and servicing agreement. To the extent not needed to fund portions of the interest payments on the notes on the current or any future payment date, amounts on deposit in the capitalized interest account may be withdrawn by the transferor, or such letter of credit may be reduced, on any payment date during the pre-funding period. FUNDING ACCOUNT An account designated the "funding account" will be set up with the indenture trustee on the closing date. On each payment date during the period beginning at the end of the pre-funding period described above and terminating at the end of the managed amortization period, the indenture trustee, first from any amounts transferred from the pre-funding account to the funding account and second from principal collections on the mortgage loans, will apply such amounts to buy additional balances for loan group III, to the extent they are available. The managed amortization period will only be in effect for the Group III notes and will be the period beginning on the closing date and ending on the earlier of (1) September 30, 2005 and (2) the occurrence of an amortization event. To the extent that any amounts deposited in the funding account have not been applied to buy additional balances at the end of the managed amortization period, the amount left in the funding account will be paid treated as principal collections for loan group III. INTEREST PAYMENTS Interest payments on each class of the offered notes will be made monthly on each payment date, beginning in October 2001, at the respective note rates described above. The Class A-IO notes, which will be interest only notes, will only receive interest payments up to and including the payment date in March 2004. Interest on the Class A notes that are offered notes (other than the Class IA-1 notes, Class IIA-1 notes and Class IIIA-1 notes) and the Class A-IO notes for each payment date will accrue during the calendar month preceding the month in which such payment date occurs, on the basis of a 30-day month and a 360-day year. Interest on the Class IA-1 notes, Class IIA-1 notes, Class IIIA-1 notes and the subordinate notes for each payment date will accrue from the preceding payment date (or, in the case of the first payment date) from the closing date through the day before that payment date, on the basis of the actual number of days in that interest period and a 360-day year. Interest on the Class A notes and the Class A-IO notes is paid senior in priority to interest on the subordinate notes. All interest payments on the notes for any payment date will be allocated to the notes based on their respective interest accruals. Interest will accrue on the Class A-IO notes on the notional balance thereof. The initial notional balance of the Class A-IO notes will be $54,112,000 and will not be subject to reduction unless the aggregate principal balance of all of the home equity loans in loan groups I and II is reduced below $54,112,000 on or before March 1, 2004. The interest rate on the variable funding notes for any payment date will equal the note rate on the Class IIIA-1 notes for the related interest period. PRINCIPAL PAYMENTS Payments made to the holders of the Class A notes on each payment date with respect to the Principal Collection Distribution Amount, the Liquidation Loss Amount and the Overcollateralization Increase Amount will be distributed concurrently to (a) the Group I notes in the aggregate, (b) the Group II notes in the aggregate and (c) the Group III notes in the aggregate, in each case in proportion to the percentage of the Net Principal Collections derived from the related loan group (with respect to which any related notes are outstanding) for that payment date, until the principal balances of the Group I notes in the aggregate, the Group II notes in the aggregate and the Group III notes in the aggregate have been reduce to zero. During the managed amortization period, Principal Collections on the mortgage loans in loan group III may be used to fund additional balances created during the related collection period, which balances will be allocated to loan group III. This will reduce the Net Principal Collections for loan group III and the Principal Collection Distribution Amount. After either the Group I notes in the aggregate, the Group II notes in the aggregate or the Group III notes in the aggregate are reduced to zero, the Principal Collection Distribution Amount, Liquidation Loss Amount and the Overcollateralization Increase Amount will be distributed to the remaining class or classes of the Class A notes, as described in the next paragraph, to the extent necessary to pay principal due on those classes. Payments of principal that are allocated to the Group I notes and the Group II notes will be paid sequentially within the respective group of notes, which means that principal will not be paid on any class of notes unless the principal balance of each class of notes within such group with a lower numerical designation has been reduced to zero. Payments of principal that are allocated to the Group III notes will be paid to the Class IIIA-1 notes and the variable funding notes pro rata based on the outstanding principal balance or variable funding balance, as applicable, thereof until paid in full. Because principal payments on the Class A notes in respect of Liquidation Loss Amounts and Overcollateralization Increase Amounts will be allocated between the Group I notes, the Group II notes and the Group III notes in proportion to the Net Principal Collections for the related loan group, and not in proportion to the amount of Liquidation Loss Amounts on mortgage loans in the related loan group or the Overcollateralization Amount derived from that loan group, excess interest collections from one loan group may be applied on any payment date to make principal payments to the notes corresponding to another loan group. For at least thirty months after the closing date, no principal payments will be distributed to the Class M-1 notes, the Class M-2 notes and the Class B-1 notes, unless the principal balances of all of the Class A notes have been reduced to zero. In addition, if on any payment date the loss or delinquency tests are not satisfied, amounts otherwise payable to the Class M-1 notes, the Class M-2 notes or the Class B-1 notes with respect to principal will be paid to the Class A notes, and the Class M-1 notes, the Class M-2 notes and the Class B-1 notes will receive no distributions of principal on that payment date. No principal will be paid to the Class A-IO notes, which are interest only notes. On the related legal final payment date, principal will be due and payable on the notes in an amount equal to the related principal balance (or the variable funding balance in the case of the variable funding notes) remaining outstanding on that payment date. The release of overcollateralization after the step-down date is subject to the following loss and delinquency tests: o satisfaction of a cumulative liquidation loss amount test such that the fraction, (expressed as a percentage) of cumulative liquidation loss amounts as of the respective payment date divided by the principal balance of the initial mortgage loans and the additional mortgage loans is less than or equal to the percentage set forth below for the related collection period specified below: COLLECTION CUMULATIVE LIQUIDATION PERIOD LOSS AMOUNT PERCENTAGE 30 - 48 9.5% 49 - 60 11.25% 61 - 84 11.75% 85+ 12.25%; and o satisfaction of a delinquency test such that the three-month rolling average of the principal balance of the mortgage loans that are 60 days or more delinquent in the payment of principal and interest is less than 17.75% of the Senior Enhancement Percentage. PRIORITY OF PAYMENTS ON THE NOTES Payments of principal and interest on the mortgage loans will be collected each month. After retaining its master servicing fee and amounts that reimburse the master servicer or the subservicer for reimbursable expenses, the master servicer will forward all collections on the mortgage loans to the indenture trustee and on each payment date, these amounts and any interest rate cap payments, after the indenture trustee reimburses itself for any reimbursable expenses, will be allocated as follows: o FIRST, to pay any prepayment penalties collected on the mortgage loans to the holders of the certificates; o SECOND, for any payment date up to and including the March 2004 payment date, an amount not to exceed $[165,000] to the interest rate cap counterparty; o THIRD, to pay accrued and unpaid interest due on the principal balances of the notes at the respective note rates as follows: o (i) first, to the Class A notes and the Class A-IO notes, on a pro rata basis in accordance with the amount of accrued interest due thereon; o (ii) second, to the Class M-1 notes; o (iii) third, to the Class M-2 notes; and o (iv) fourth, to the Class B-1 notes; o FOURTH, to pay as principal on the notes (other than the Class A-IO notes), in an amount equal to the Principal Collection Distribution Amount for that payment date as follows: o (i) first, to the Class A notes, in the order described above under "Principal Payments," the amount necessary to reduce the aggregate principal balance of the Class A notes to the Class A Optimal Principal Balance; o (ii) second, to the Class M-1 notes, the amount necessary to reduce the principal balance of the Class M-1 notes to the Class M-1 Optimal Principal Balance; o (iii) third, to the Class M-2 notes, the amount necessary to reduce the principal balance of the Class M-2 notes to the Class M-2 Optimal Principal Balance; and o (iv) fourth, to the Class B-1 notes, the amount necessary to reduce the principal balance of the Class B-1 notes to the Class B Optimal Principal Balance; o FIFTH, to pay to the Class A notes, in the order described above under "Principal Payments," until the aggregate principal balance of the Class A notes has been reduced to the Class A Optimal Principal Balance, an amount equal to any Liquidation Loss Amounts incurred on the mortgage loans during the related collection period, and any Liquidation Loss Amounts allocated to the Class A notes on any previous payment date and not previously paid, plus interest on any previously unpaid amount; o SIXTH, to pay to the Class M-1 notes, until the principal balance of the Class M-1 notes has been reduced to the Class M-1 Optimal Principal Balance, an amount equal to any Liquidation Loss Amounts incurred on the mortgage loans during the related collection period and not paid to the holders of the Class A notes under clause FIFTH above, and any Liquidation Loss Amounts allocated to the Class M- I notes on any previous payment date and not previously paid, plus interest on any previously unpaid amount; o SEVENTH, to pay to the Class M-2 notes, until the principal balance of the Class M-2 notes has been reduced to the Class M-2 Optimal Principal Balance, an amount equal to any Liquidation Loss Amounts incurred on the mortgage loans during the related collection period and not paid to the holders of the Class A notes under clause FIFTH above or the Class M-1 notes under clause SIXTH above, and any Liquidation Loss Amounts allocated to the Class M-2 notes on any previous payment date and not previously paid, plus interest on any previously unpaid amount; o EIGHTH, to pay to the Class B-1 notes, until the principal balance of the Class B-1 notes has been reduced to the Class B-1 Optimal Principal Balance, an amount equal to any Liquidation Loss Amounts incurred on the mortgage loans during the related collection period and not paid to the holders of the Class A notes under clause FIFTH above, the Class M- 1 notes under clause SIXTH above or the Class M-2 notes under clause seventh above, and any Liquidation Loss Amounts allocated to the Class B-1 notes on any previous payment date and not previously paid, plus interest on any previously unpaid amount; o NINTH, to pay to the Class A notes, in the order described above under "-Principal Payments," the Overcollateralization Increase Amount, if any, to reduce the aggregate principal balance of the Class A notes to the Class A Optimal Principal Balance; o TENTH, to pay to the Class M-1 notes, the Overcollateralization Increase Amount, if any, to the extent not previously distributed to the Class A notes pursuant to clause NINTH above, to reduce the principal balance of the Class M-1 notes to the Class M- I Optimal Principal Balance; o ELEVENTH, to pay to the Class M-2 notes, the Overcollateralization Increase Amount, if any, to the extent not previously distributed to the Class A notes pursuant to clause NINTH above or the Class M-1 notes pursuant to clause TENTH above, to reduce the principal balance of the Class M-2 notes to the Class M-2 Optimal Principal Balance; o TWELFTH, to pay to the Class B-1 notes, the Overcollateralization Increase Amount, if any, to the extent not previously distributed to the Class A notes pursuant to clause NINTH above, the Class M-1 notes pursuant to clause TENTH above or the Class M-2 notes pursuant to clause ELEVENTH above, to reduce the principal balance of the Class B-1 notes to the Class B-1 Optimal Principal Balance; o THIRTEENTH, to pay the indenture trustee any unpaid expenses and other reimbursable amounts owed to the indenture trustee; o FOURTEENTH, to pay the holders of the Class IIIA-1 notes and the variable funding notes, PRO RATA, any unpaid interest carry-forward amounts (amounts that would have been paid on these notes if not for the application of the applicable interest rate caps), together with interest thereon; o FIFTEENTH, to pay the holders of the Class M-1 notes any unpaid interest carry-forward amounts (amounts that would have been paid on these notes if not for the application of the Class M-1 note interest rate cap), together with interest thereon; o SIXTEENTH, to pay the holders of the Class M-2 notes any unpaid interest carry-forward amounts (amounts that would have been paid on these notes if not for the application of the Class M-2 note interest rate cap), together with interest thereon; o SEVENTEENTH, to pay the holders of the Class B-1 notes any unpaid interest carry-forward amounts (amounts that would have been paid on these notes if not for the application of the Class B-1 note interest rate cap), together with interest thereon; and o EIGHTEENTH, any remaining amounts to the holders of the certificates. CREDIT ENHANCEMENT The credit enhancement provided for the benefit of the offered notes consists of: SUBORDINATION. To the extent no overcollateralization exists with respect to losses on the mortgage loans during the related collection period in excess of amounts available to be paid on that payment date pursuant to clauses FIFTH through EIGHTH above under "Priority of Payments on the Notes" will be allocated in full to the first class of notes listed below with a principal balance greater than zero: o Class B-1 notes; o Class M-2 notes; and o Class M-1 notes. When this occurs, the principal balance of the class of notes to which the loss is allocated is reduced, without a corresponding payment of principal. If none of the Class M-1 notes, Class M-2 notes or Class B-1 notes remain outstanding, losses will be allocated among the Class A notes, in proportion to their remaining principal balances. EXCESS SPREAD. The weighted average mortgage loan rate is generally expected to be higher than the sum of (a) the master servicing fee of 1.00%, (b) for any payment date up to and including the March 2004 payment date, the fee of the interest rate cap counterparty not expected to exceed [0.25]% and (c) the weighted average note rate. On each payment date, excess spread generated during the related collection period will be available to cover losses and build overcollateralization. OVERCOLLATERALIZATION. On the closing date, there will be overcollateralization equal to $1,012,976 (or 0.15% of the aggregate principal balance of the offered notes). In addition, excess interest that is not needed to cover losses will be used to make additional principal payments on the notes, until the aggregate principal balance of the mortgage loans exceeds the aggregate principal balance of the offered notes (other than the Class A-IO notes) and the variable funding balance of the variable funding notes by a specified amount. This excess will represent overcollateralization, which will absorb losses on the mortgage loans, to the extent of the overcollateralization, if they are not covered by excess interest. If the level of overcollateralization falls below what is required, the excess interest described above will be paid to the notes as principal, until the required level of overcollateralization is reached. INTEREST RATE CAP AGREEMENT. On the closing date, the trust will enter into an interest rate cap with Bear Stearns Financial Products, Inc., (Aaa/AAA) as the interest rate cap counterparty. The interest rate cap counterparty, an affiliate of one of the underwriters, will be required to make payments to the trust on any payment date for which LIBOR is greater than a specified rate. The required payment will be in an amount equal to the product of (1) LIBOR minus a specified rate and (2) the notional amount of the interest rate cap which will be equal to the lesser of (a) the then outstanding principal balance of the subordinate notes and (b) the initial principal balance of the subordinate notes reduced by any payments that would be paid to them under the specified pricing speed and assuming that there are no losses on the mortgage loans. LEGAL INVESTMENT Since the note rates on the subordinate notes are based on LIBOR and under certain prepayment and loss scenarios, payments on the subordinate notes would be supported in whole or in part by fixed rate mortgage loans, the interest rate cap will be acquired by the trust to make it more likely that the subordinate notes will be paid the applicable note rates based on LIBOR. OPTIONAL REDEMPTION The master servicer may, at its option repurchase all but not less than all of the mortgage loans on any payment date on which the aggregate outstanding principal balance of the mortgage loans (after applying payments received in the related collection period), is less than 10% of the sum of (x) the aggregate principal balance of the mortgage loans as of the related cut-off date and (y) the amount on deposit in the pre-funding account on the closing date. The purchase price must equal an amount equal to the sum of all accrued and unpaid interest (including interest carry-forward amounts on the Group III notes and the subordinate notes) and the outstanding principal balance of the notes. An exercise of the optional redemption will cause the aggregate outstanding note balance of the notes to be paid in full sooner than it otherwise would have been paid. RATINGS When issued, the offered notes will receive the ratings indicated in the chart above. A security rating is not a recommendation to buy, sell or hold a security and is subject to change or withdrawal at any time by the assigning rating agency. The ratings also do not address the rate of principal prepayments on the mortgage loans or the likelihood of the payment of any interest carry-forward amounts. The rate of prepayments, if different than originally anticipated, could adversely affect the yield realized by holders of the offered notes. The offered notes will not be "mortgage related securities" for purposes of the Secondary Mortgage Market Enhancement Act of 1984. You should consult your legal advisors in determining whether and to what extent the offered notes constitute legal investments for you. ERISA CONSIDERATIONS Subject to important considerations, the depositor expects that the offered notes may be purchased by persons investing assets of employee benefit plans or individual retirement accounts. Plans should consult with their legal advisors before investing in the offered notes. TAX STATUS For federal income tax purposes, the offered notes will be treated as debt. The trust itself will not be subject to tax. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. "Class A Optimal Principal Balance" means, with respect to any payment date prior to the Step-down Date or after the Step-down Date if the loss or delinquency tests have not been satisfied, zero; and with respect to any other payment date, an amount equal to the Pool Balance as of the preceding Determination Date minus the sum of (a) approximately [41.70]% of the Pool Balance as of the preceding Determination Date and (b) the Overcollateralization Target Amount for such payment date. "Class B Optimal Principal Balance" means, with respect to any payment date prior to the Step-down Date, zero; and with respect to any other payment date, the Pool Balance as of the preceding Determination Date minus the sum of (a) the aggregate of the principal balances of the Class A notes, the Class M-1 notes and the Class M-2 notes (after taking into account any payments made on such payment date in reduction of such principal balances) and (b) the Overcollateralization Target Amount for such payment date; PROVIDED, HOWEVER, that the Class B Optimal Principal Balance will not be reduced below the Class B Optimal Principal Balance on the prior payment date unless the loss and delinquency tests are satisfied. "Class M-1 Optimal Principal Balance" means, with respect to any payment date prior to the Step-down Date, zero; and with respect to any other payment date, the Pool Balance as of the preceding Determination Date minus the sum of (a) the aggregate principal balance of the Class A notes (after taking into account payments made on such payment date in reduction of such principal balance ), (b) approximately [26.00]% of the Pool Balance as of the preceding Determination Date, and (c) the Overcollateralization Target Amount for such payment date; PROVIDED, HOWEVER, that the Class M-l Optimal Principal Balance will not be reduced below the Class M-1 Optimal Principal Balance on the prior payment date unless the loss and delinquency tests are satisfied. "Class M-2 Optimal Principal Balance" means, with respect to any payment date prior to the Step-down Date, zero; and with respect to any other payment date, the Pool Balance as of the preceding Determination Date minus the sum of (a) the aggregate principal balances of the Class A notes and the Class M-1 notes (after taking into account payments made on such payment date in reduction of such principal balances), (b) approximately [13.00]% of the Pool Balance as of the preceding Determination Date, and (c) the Overcollateralization Target Amount for such payment date; PROVIDED, HOWEVER, that the Class M-2 Optimal Principal Balance will not be reduced below the Class M-2 Optimal Principal Balance on the prior payment date unless the loss and delinquency tests are satisfied. "Liquidation Loss Amount" means, with respect to any payment date and any liquidated mortgage loan, the unrecovered principal balance of the liquidated mortgage loan at the end of the related collection period in which the mortgage loan became a liquidated mortgage loan, after giving effect to the net liquidation proceeds for that mortgage loan. "Net Principal Collections" means, with respect to any payment date, o for loan group I, the Principal Collections for Loan Group I; o for loan group II, the Principal Collections for Loan Group II; o for loan group III, (1) during the managed amortization period, the difference (but not less than zero) of Principal Collections for Loan Group III minus Principal Collections for Loan Group III used by the trust to acquire additional balances during the related collection period and (2) after the managed amortization period, the Principal Collections for Loan Group III. "Overcollateralization Amount" means, with respect to any payment date, the amount, if any, by which the outstanding principal balance of the mortgage loans as of the close of business on the last day of the related collection period, after applying payments received in that collection period, plus amounts on deposit in the pre-funding account and the funding account, exceeds the principal balance of the notes on that payment date, after taking into account the payment of the Principal Collection Distribution Amount and the Liquidation Loss Amounts for such payment date. "Overcollateralization Increase Amount" means, with respect to any payment date, the amount necessary to increase the Overcollateralization Amount to the Overcollateralization Target Amount. "Overcollateralization Release Amount" means, with respect to any date of determination, the excess, if any, of the Overcollateralization Amount over the Overcollateralization Target Amount. "Overcollateralization Target Amount" means, as to any payment date prior to the Step-down Date, an amount equal to 4.50% of the initial Pool Balance. On or after the Step-down Date, the Overcollateralization Target Amount will be equal to the lesser of (a) the Overcollateralization Target Amount as of the initial payment date and (b) 9.00% of the current Pool Balance (after applying payments received in the related collection period), but not lower than approximately $[3,377,200], which is 0.50% of the initial Pool Balance. However, any scheduled reduction to the Overcollateralization Target Amount described in the preceding sentence shall not be made as of any payment date unless the loss and delinquency tests are satisfied. In addition, the Overcollateralization Target Amount may be reduced with the prior written consent of the rating agencies. "Pool Balance" means, with respect to any date, the aggregate of the sum of the principal balances of all mortgage loans conveyed to the trust as of that date and amounts, if any, on deposit in the Funding Account and the Pre-Funding Account. "Principal Collections" means, with respect to any payment date, an amount equal to the sum of: o the amount collected during the related collection period, including net liquidation proceeds, repurchase proceeds and proceeds of an optional purchase, allocated to principal of the mortgage loans pursuant to the terms of the related mortgage notes; o amounts remaining in the pre-funding account at the end of the pre-funding period and not transferred to the funding account; and o amounts remaining in the funding account at the end of the managed amortization period. "Principal Collection Distribution Amount" means, with respect to any payment date, the total Principal Collections for that payment date minus (1) any Overcollateralization Release Amount for such payment date and (2) during the managed amortization period, Principal Collections for Loan Group III used by the trust to acquire additional balances during the related collection period. "Senior Enhancement Percentage" means, with respect to any payment date, the percentage obtained by dividing: o the excess of (a) the Pool Balance as of the first day of the related collection period over (b) the aggregate principal balance of the Class A notes immediately prior to such payment date, by o the Pool Balance as of the first day of the related collection period. "Step-down Date" means the first payment date occurring after the payment date in March 2004 as to which the aggregate principal balance of the Class A notes (after applying payments received in the related collection period) will be able to be reduced on such payment date (such determination to be made by the master servicer prior to the indenture trustee making actual distributions on such payment date) to an amount equal to the excess, if any, of (a) the Pool Balance as of such payment date (after applying payments received in the related collection period) over (b) the greater of (i) approximately 9.00% of the Pool Balance as of the end of the related collection period, and (ii) 4.50% of the initial Pool Balance, provided that the loss and delinquency tests have been satisfied. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. Irwin Home Equity Loan Trust 2001-2 COMPUTATIONAL MATERIALS: COLLATERAL TABLES (PAGE 12 OF 33) --------------------------------------------------------------------------------
COLLATERAL SUMMARY INITIAL AGGREGATE MORTGAGE LOANS (AS OF THE STATISTICAL CALCULATION DATE) - HEL'S, HEL 125'S, HELOC'S AND HELOC 125'S TOTAL NUMBER OF LOANS: 8,508 TOTAL OUTSTANDING LOAN BALANCE: $355,771,166.60 AVERAGE LOAN PRINCIPAL BALANCE: $41,816.08 WA COUPON: 13.172% (6.650% to 21.400%) INDEX (EXCLUDING HEL'S & HEL 125'S): Prime WA NEXT RATE CHANGE DATE (EXCLUDING HEL'S & HEL 125'S): 1 month RATE RESET FREQUENCY (EXCLUDING HEL'S AND HEL 125'S): Monthly WA REMAINING TERM TO MATURITY (MONTHS): 217 (52 to 300) WA ORIGINAL TERM TO STATED MATURITY (MONTHS): 225 (60 to 300) WA CLTV: 106.07% WA DEBT-TO-INCOME: 41.89% LIEN POSITION: First Lien: 1.27% Second Lien: 96.45% Third Lien: 2.28% PROPERTY TYPE: Single-Family Dwelling: 85.96% Planned Unit 8.48% Development: Condominium: 4.59% Leasehold: 0.74% Multi-Family: 0.22% OCCUPANCY STATUS: Owner Occupied: 99.75% Non-Owner Occupied: 0.25% GEOGRAPHIC DISTRIBUTION: California: 25.43% (STATES NOT LISTED INDIVIDUALLY ACCOUNT Florida: 6.23% FOR LESS THAN 5.00% OF THE MORTGAGE Virginia: 5.53% LOAN PRINCIPAL BALANCE) CREDIT QUALITY: Excellent: 74.82% (PER IRWIN'S GUIDELINES) Superior: 15.93% Good: 7.67% Non-Prime: 1.01% Fair: 0.57% PREPAYMENT PENALTY: No Prepayment Penalty: 19.79% 6 Months: 0.01% 12 Months: 0.02% 24 Months: 0.57% 36 Months: 33.62% 42 Months: 0.02% 48 Months: 0.24% 60 Months: 45.73% ORIGINATION CHANNEL: Direct Mail: 44.02% Correspondent: 23.50% Broker: 23.33% Acquisition: 9.14% COLLATERAL SUMMARY INITIAL GROUP I MORTGAGE LOANS (AS OF THE STATISTICAL CALCULATION DATE) - HEL'S TOTAL NUMBER OF LOANS: 2,118 TOTAL OUTSTANDING LOAN BALANCE: $93,751,272.20 AVERAGE LOAN PRINCIPAL BALANCE: $44,264.06 WA COUPON: 11.431% (7.400% to 20.280%) WA REMAINING TERM TO MATURITY (MONTHS): 213 (52 to 300) WA ORIGINAL TERM TO STATED MATURITY (MONTHS): 217 (60 to 300) WA CLTV: 91.21% WA DEBT-TO-INCOME: 40.92% LIEN POSITION: First Lien: 1.90% Second Lien: 96.85% Third Lien: 1.25% PROPERTY TYPE: Single-Family Dwelling: 85.12% Planned Unit Development: 9.99% Condominium: 4.09% Multi-Family: 0.41% Leasehold: 0.39% OCCUPANCY STATUS: Owner Occupied: 99.62% Non-Owner Occupied: 0.38% GEOGRAPHIC DISTRIBUTION: California: 40.36% (STATES NOT LISTED INDIVIDUALLY ACCOUNT Florida: 5.57% FOR LESS THAN 5.00% OF THE MORTGAGE Virginia: 5.55% LOAN PRINCIPAL BALANCE) New Jersey: 5.29% CREDIT QUALITY: Excellent: 74.72% (PER IRWIN'S GUIDELINES) Superior: 16.79% Good: 7.85% Fair: 0.51% Non-Prime: 0.13% PREPAYMENT PENALTY: No Prepayment Penalty: 13.43% 12 Months: 0.08% 24 Months: 1.34% 36 Months: 31.46% 48 Months: 0.34% 60 Months: 53.35% ORIGINATION CHANNEL: Direct Mail: 55.97% Correspondent: 22.66% Broker: 21.37%
Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
COLLATERAL SUMMARY INITIAL GROUP II MORTGAGE LOANS (AS OF THE STATISTICAL CALCULATION DATE) - HEL 125'S TOTAL NUMBER OF LOANS: 3,907 TOTAL OUTSTANDING LOAN BALANCE: $163,877,369.68 AVERAGE LOAN PRINCIPAL BALANCE: $41,944.55 WA COUPON: 15.048% (8.990% to 21.400%) WA REMAINING TERM TO MATURITY (MONTHS): 230 (60 to 300) WA ORIGINAL TERM TO STATED MATURITY (MONTHS): 231 (61 to 300) WA CLTV: 118.11% WA DEBT-TO-INCOME: 41.79% LIEN POSITION: Second Lien: 98.67% Third Lien: 1.33% PROPERTY TYPE: Single-Family Dwelling: 84.22% Planned Unit Development: 9.51% Condominium: 5.43% Leasehold: 0.79% Multi-Family: 0.05% OCCUPANCY STATUS: Owner Occupied: 99.95% Non-Owner Occupied: 0.05% GEOGRAPHIC DISTRIBUTION: California: 18.63% (STATES NOT LISTED INDIVIDUALLY ACCOUNT Florida: 7.68% FOR LESS THAN 5.00% OF THE MORTGAGE Maryland: 7.13% LOAN PRINCIPAL BALANCE) Virginia: 6.56% CREDIT QUALITY: Excellent: 76.23% (PER IRWIN'S GUIDELINES) Superior: 15.98% Good: 7.71% Fair: 0.08% PREPAYMENT PENALTY: No Prepayment Penalty: 12.13% 6 Months: 0.02% 24 Months: 0.16% 36 Months: 44.67% 42 Months: 0.05% 48 Months: 0.19% 60 Months: 42.77% ORIGINATION CHANNEL: Correspondent: 38.06% Direct Mail: 34.67% Broker: 27.26%
Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
COLLATERAL SUMMARY INITIAL GROUP III MORTGAGE LOANS (AS OF THE STATISTICAL CALCULATION DATE) - HELOC'S AND HELOC 125'S TOTAL NUMBER OF LOANS: 2,483 TOTAL OUTSTANDING LOAN BALANCE: $98,142,524.72 AVERAGE LOAN PRINCIPAL BALANCE: $39,525.79 WA COUPON: 11.703% (6.650% to 18.900%) INDEX: Prime WA MARGIN: 4.71% WA LIFETME CAP: 20.11% WA LIFETME FLOOR: 10.45% WA NEXT RATE CHANGE DATE: 1 month RATE RESET FREQUENCY: Monthly WA REMAINING TERM TO MATURITY (MONTHS): 199 (57 to 240) WA ORIGINAL TERM TO STATED MATURITY (MONTHS): 221 (180 to 300) WA CLTV: 100.16% WA DEBT-TO-INCOME: 42.98% LIEN POSITION: First Lien: 2.80% Second Lien: 92.35% Third Lien: 4.85% PROPERTY TYPE: Single-Family Dwelling: 89.66% Planned Unit Development: 5.33% Condominium: 3.68% Leasehold: 1.01% Multi-Family: 0.32% OCCUPANCY STATUS: Owner Occupied: 99.53% Non-Owner Occupied: 0.47% GEOGRAPHIC DISTRIBUTION: California: 22.53% (STATES NOT LISTED INDIVIDUALLY ACCOUNT Illinois: 7.60% FOR LESS THAN 5.00% OF THE MORTGAGE New York: 6.22% LOAN PRINCIPAL BALANCE) Michigan: 5.51% Ohio: 5.21% Washington: 5.07% CREDIT QUALITY: Excellent: 72.54% (PER IRWIN'S GUIDELINES) Superior: 15.05% Good: 7.42% Non-Prime: 3.54% Fair: 1.44% PREPAYMENT PENALTY: No Prepayment Penalty: 38.65% 24 Months: 0.49% 36 Months: 17.23% 48 Months: 0.22% 60 Months: 43.40% ORIGINATION CHANNEL: Direct Mail: 48.22% Acquisitions: 33.15% Broker: 18.63%
Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL AGGREGATE MORTGAGE LOANS LIEN POSITION OF INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE LIEN POSITION LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- First Lien 92 $4,529,884.04 1.27% Second Lien 8,203 343,127,227.88 96.45 Third Lien 213 8,114,054.68 2.28 ----------------------------------------------------------------------------------------------------------- Total 8,508 $355,771,166.60 100.00% -----------------------------------------------------------------------------------------------------------
MORTGAGE INTEREST RATES OF INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE MORTGAGE INTEREST AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE RATES(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 6.000 to 6.999 10 $575,928.61 0.16% 7.000 to 7.999 136 8,155,977.29 2.29 8.000 to 8.999 296 14,295,150.70 4.02 9.000 to 9.999 605 29,611,278.95 8.32 10.000 to 10.999 820 38,371,142.38 10.79 11.000 to 11.999 1,100 46,413,693.82 13.05 12.000 to 12.999 1,077 43,013,714.01 12.09 13.000 to 13.999 1,152 48,892,392.89 13.74 14.000 to 14.999 989 40,978,744.92 11.52 15.000 to 15.999 752 28,271,832.04 7.95 16.000 to 16.999 575 22,213,510.08 6.24 17.000 to 17.999 444 16,542,078.39 4.65 18.000 to 18.999 284 9,692,689.87 2.72 19.000 to 19.999 203 6,910,054.73 1.94 20.000 + 65 1,832,977.92 0.52 ----------------------------------------------------------------------------------------------------------- Total 8,508 $355,771,166.60 100.00% -----------------------------------------------------------------------------------------------------------
The weighted average mortgage interest rate of the initial Aggregate Mortgage Loans as of the Statistical Calculation Date is approximately 13.172% per annum. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL AGGREGATE MORTGAGE LOANS CREDIT LIMIT UTILIZATION RATES OF INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE CREDIT LIMIT AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE UTILIZATION RATES(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 0.001 to 5.000 13 $11,710.55 * 5.001 to 10.000 9 40,573.11 0.01% 10.001 to 15.000 7 49,398.51 0.01 15.001 to 20.000 5 38,535.86 0.01 20.001 to 25.000 5 31,096.14 0.01 25.001 to 30.000 11 233,217.31 0.07 30.001 to 35.000 11 221,903.05 0.06 35.001 to 40.000 14 194,167.05 0.05 40.001 to 45.000 16 450,714.40 0.13 45.001 to 50.000 20 388,846.31 0.11 50.001 to 55.000 16 365,226.04 0.10 55.001 to 60.000 39 939,703.04 0.26 60.001 to 65.000 89 1,988,049.56 0.56 65.001 to 70.000 116 2,709,527.38 0.76 70.001 to 75.000 53 1,404,013.61 0.39 75.001 to 80.000 37 1,013,073.04 0.28 80.001 to 85.000 55 1,683,828.95 0.47 85.001 to 90.000 88 2,683,551.82 0.75 90.001 to 95.000 203 6,704,239.08 1.88 95.001 to 100.000 7,691 334,013,530.26 93.88 100.001 + 10 606,261.53 0.17 ----------------------------------------------------------------------------------------------------------- Total 8,508 $355,771,166.60 100.00% ----------------------------------------------------------------------------------------------------------- The weighted average credit limit utilization rate of the initial Aggregate Mortgage Loans as of the Statistical Calculation Date is approximately 98.44%. *Greater than 0.000% but less than 0.005%.
Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL AGGREGATE MORTGAGE LOANS COMBINED LOAN-TO-VALUE RATIOS OF INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE COMBINED LOAN-TO- AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE VALUE RATIOS(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 0.001 to 40.000 31 $1,182,974.17 0.33% 40.001 to 50.000 23 893,127.00 0.25 50.001 to 60.000 56 3,619,852.27 1.02 60.001 to 70.000 127 6,247,578.93 1.76 70.001 to 80.000 352 14,601,026.71 4.10 80.001 to 90.000 820 34,649,055.26 9.74 90.001 to 100.000 2,204 91,250,885.59 25.65 100.001 to 110.000 838 30,860,783.63 8.67 110.001 to 120.000 1,805 73,446,834.54 20.64 120.001 to 130.000 2,252 99,019,048.50 27.83 ----------------------------------------------------------------------------------------------------------- Total 8,508 $355,771,166.60 100.00% -----------------------------------------------------------------------------------------------------------
The minimum and maximum combined loan-to-value ratios of the initial Aggregate Mortgage Loans as of the Statistical Calculation Date are approximately 8.86% and 125.00%, respectively, and the weighted average combined loan-to-value ratio as of the Statistical Calculation Date of the initial Aggregate Mortgages Loans is approximately 106.07%. The "combined loan-to-value ratio" of an initial Aggregate Mortgage Loan as of the Statistical Calculation Date is the ratio, expressed as a percentage, equal to the sum of any outstanding first and other mortgage balance, if any, as of the date of origination of the related initial Aggregate Mortgage Loan plus the principal balance of such initial Aggregate Mortgage Loan as of the Statistical Calculation Date divided by the appraised value of the mortgaged property at origination. PRINCIPAL BALANCES OF INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE PRINCIPAL BALANCES LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- $0.01 to $25,000.00 2,103 $42,176,140.47 11.85% $25,000.01 to $50,000.00 4,407 162,735,908.66 45.74 $50,000.01 to $75,000.00 1,386 85,215,058.12 23.95 $75,000.01 to $100,000.00 430 38,062,149.31 10.70 $100,000.01 to $125,000.00 86 9,762,296.23 2.74 $125,000.01 to $150,000.00 42 5,839,929.73 1.64 $150,000.01 to $175,000.00 16 2,600,355.04 0.73 $175,000.01 to $200,000.00 17 3,231,080.32 0.91 $200,000.01 to $300,000.00 16 4,049,248.72 1.14 $300,000.01 to $400,000.00 2 765,000.00 0.22 $400,000.01 to $500,000.00 3 1,334,000.00 0.37 ----------------------------------------------------------------------------------------------------------- Total 8,508 $355,771,166.60 100.00% -----------------------------------------------------------------------------------------------------------
The average unpaid principal balance of the initial Aggregate Mortgage Loans as of the Statistical Calculation Date is approximately $41,816.08. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL AGGREGATE MORTGAGE LOANS MORTGAGED PROPERTIES SECURING INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE PROPERTY TYPE LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- Single-Family Dwelling 7,380 $305,812,696.83 85.96% Planned Unit Development 600 30,179,495.22 8.48 Condominium 427 16,347,046.82 4.59 Leasehold 80 2,647,919.49 0.74 Multi-Family 21 784,008.24 0.22 ----------------------------------------------------------------------------------------------------------- Total 8,508 $355,771,166.60 100.00% -----------------------------------------------------------------------------------------------------------
ORIGINAL TERM TO MATURITY OF INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE ORIGINAL TERM TO AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE MATURITY (MONTHS) LOANS MORTGAGE LOANS MORTGAGE LOANS ------------------------------------------------------------------------------------------------------------ 0 to 60 1 $17,966.98 0.01% 61 to 120 446 12,270,537.77 3.45 121 to 180 4,076 156,301,851.42 43.93 181 to 240 2,162 97,234,510.00 27.33 241 to 300 1,823 89,946,300.43 25.28 ------------------------------------------------------------------------------------------------------------ Total 8,508 $355,771,166.60 100.00% ------------------------------------------------------------------------------------------------------------
The weighted average original term to maturity of the initial Aggregate Mortgage Loans as of the Statistical Calculation Date is approximately 225 months. REMAINING TERM TO MATURITY OF INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE REMAINING TERM TO AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE MATURITY (MONTHS) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 0 to 60 113 $2,253,314.72 0.63% 61 to 120 624 18,710,756.50 5.26 121 to 180 3,930 152,721,009.70 42.93 181 to 240 2,032 92,810,046.74 26.09 241 to 300 1,809 89,276,038.94 25.09 ----------------------------------------------------------------------------------------------------------- Total 8,508 $355,771,166.60 100.00% -----------------------------------------------------------------------------------------------------------
The weighted average remaining term to maturity of the initial Aggregate Mortgage Loans as of the Statistical Calculation Date is approximately 217 months. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL AGGREGATE MORTGAGE LOANS YEAR OF ORIGINATION OF INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE YEAR OF ORIGINATION LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 2001 7,014 $309,336,420.43 86.95% 2000 169 5,945,497.41 1.67 1999 62 2,256,389.46 0.63 1998 300 10,154,549.96 2.85 1997 253 8,438,527.71 2.37 1996 347 7,942,276.74 2.23 1995 232 7,347,058.47 2.07 1994 62 1,786,786.06 0.50 1993 27 890,735.30 0.25 1992 24 945,915.36 0.27 1991 7 262,671.51 0.07 1990 8 297,425.10 0.08 1989 2 114,275.73 0.03 1988 1 52,637.36 0.01 ----------------------------------------------------------------------------------------------------------- Total 8,508 $355,771,166.60 100.00% -----------------------------------------------------------------------------------------------------------
The earliest month and year of origination of any initial Aggregate Mortgage Loan as of the Statistical Calculation Date is November 1988 and the latest month and year of origination of any initial Aggregate Mortgage loan as of the Statistical Calculation Date is July 2001. OCCUPANCY TYPE OF INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE OCCUPANCY TYPE LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- Owner Occupied 8,484 $354,879,029.29 99.75% Non-Owner Occupied 24 892,137.31 0.25 ----------------------------------------------------------------------------------------------------------- Total 8,508 $355,771,166.60 100.00% -----------------------------------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL AGGREGATE MORTGAGE LOANS CREDIT QUALITY OF INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE CREDIT QUALITY LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- Excellent 6,026 $266,178,383.45 74.82% Superior 1,498 56,691,654.61 15.93 Good 801 27,277,788.08 7.67 Fair 58 2,034,091.19 0.57 Non-Prime 125 3,589,249.27 1.01 ----------------------------------------------------------------------------------------------------------- Total 8,508 $355,771,166.60 100.00% -----------------------------------------------------------------------------------------------------------
Credit Grades run from Excellent to Superior to Good to Fair to Non-Prime in descending order. GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES SECURING INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE STATE LOANS MORTGAGE LOANS MORTGAGE LOANS ---------------------------------------------------------------------------------------------------------- California 1,745 $90,485,074.34 25.43% Florida 628 22,178,179.02 6.23 Virginia 476 19,663,004.30 5.53 Maryland 403 17,518,061.51 4.92 Illinois 427 17,349,016.25 4.88 Ohio 417 14,997,765.40 4.22 Washington 340 14,770,055.92 4.15 New Jersey 317 14,346,561.26 4.03 Michigan 375 13,626,747.93 3.83 Arizona 367 13,601,102.04 3.82 Pennsylvania 327 13,189,127.84 3.71 Georgia 351 12,610,171.37 3.54 Colorado 240 11,232,206.21 3.16 Oregon 208 8,559,125.76 2.41 Nevada 221 7,659,720.24 2.15 Missouri 209 7,588,336.02 2.13 Other (<2%) 1,457 56,396,911.19 15.85 ---------------------------------------------------------------------------------------------------------- Total 8,508 $355,771,166.60 100.00% ----------------------------------------------------------------------------------------------------------
No more than approximately 0.32% of the initial Aggregate Mortgage Loans as of the Statistical Calculation Date are secured by mortgaged properties located in any one zip code. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL AGGREGATE MORTGAGE LOANS DEBT-TO-INCOME RATIOS OF INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE DEBT-TO-INCOME AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE RATIOS(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 5.001 to 10.000 1 $31,302.72 0.01% 10.001 to 15.000 11 478,846.53 0.13 15.001 to 20.000 64 2,721,761.18 0.77 20.001 to 25.000 233 8,882,603.07 2.50 25.001 to 30.000 582 21,869,234.23 6.15 30.001 to 35.000 1,072 42,307,413.25 11.89 35.001 to 40.000 1,489 60,379,579.14 16.97 40.001 to 45.000 1,750 70,590,765.62 19.84 45.001 to 50.000 2,172 92,481,877.03 25.99 50.001 to 55.000 1,134 56,027,783.83 15.75 ------------------------------------------------------------------------------------------------------- Total 8,508 $355,771,166.60 100.00% -------------------------------------------------------------------------------------------------------
The weighted average debt-to-income ratio of the initial Aggregate Mortgage Loans as of the Statistical Calculation Date is approximately 41.89%. PREPAYMENT PENALTY FOR INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE MONTHS APPLICABLE LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 0 1,992 $70,396,636.43 19.79% 6 1 37,721.33 0.01 12 2 70,444.55 0.02 24 36 2,013,576.02 0.57 36 2,661 119,610,375.40 33.62 42 3 86,174.11 0.02 48 16 845,840.51 0.24 60 3,797 162,710,398.25 45.73 ----------------------------------------------------------------------------------------------------------- Total 8,508 $355,771,166.60 100.00% -----------------------------------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL AGGREGATE MORTGAGE LOANS ORIGINATION CHANNEL FOR INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE ORIGINATION CHANNEL LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- Direct Mail 3,793 $156,622,413.36 44.02% Correspondent 2,009 83,619,367.49 23.50 Broker 1,695 82,994,608.10 23.33 Acquisition 1,011 32,534,777.65 9.14 ----------------------------------------------------------------------------------------------------------- 8,508 $355,771,166.60 100.00% -----------------------------------------------------------------------------------------------------------
DELINQUENCY STATUS FOR INITIAL AGGREGATE MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE AGGREGATE MORTGAGE OF INITIAL AGGREGATE OF INITIAL AGGREGATE DELINQUENCY LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 0 7,871 $331,749,862.51 93.25% 1-29 637 24,021,304.09 6.75 ----------------------------------------------------------------------------------------------------------- Total 89,508 $355,771,166.60 100% -----------------------------------------------------------------------------------------------------------
LIEN POSITION OF INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I LIEN POSITION LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- First Lien 32 $1,781,840.31 1.90% Second Lien 2,054 90,797,824.82 96.85 Third Lien 32 1,171,607.07 1.25 ----------------------------------------------------------------------------------------------------------- Total 2.118 $93,751,272.20 100.00% -----------------------------------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP I MORTGAGE LOANS MORTGAGE INTEREST RATES OF INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE MORTGAGE INTEREST GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I RATES(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 7.000 to 7.999 80 $4,391,171.48 4.68% 8.000 to 8.999 157 7,223,423.49 7.70 9.000 to 9.999 268 13,679,827.15 14.59 10.000 to 10.999 308 14,736,051.80 15.72 11.000 to 11.999 401 18,924,662.33 20.19 12.000 to 12.999 343 15,303,134.67 16.32 13.000 to 13.999 316 12,701,300.85 13.55 14.000 to 14.999 147 4,513,185.84 4.81 15.000 to 15.999 74 1,723,404.64 1.84 16.000 to 16.999 16 327,219.95 0.35 17.000 to 17.999 3 117,884.68 0.13 19.000 to 19.999 4 85,509.50 0.09 20.000 + 1 24,495.82 0.03 ----------------------------------------------------------------------------------------------------------- Total 2,118 $93,751,272.20 100.00% -----------------------------------------------------------------------------------------------------------
The weighted average mortgage interest rate of the initial Group I Mortgage Loans as of the Statistical Calculation Date is approximately 11.431% per annum. COMBINED LOAN-TO-VALUE RATIOS OF INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE COMBINED LOAN-TO- GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I VALUE RATIOS(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 0.001 to 40.000 13 $471,642.48 0.50% 40.001 to 50.000 8 302,502.76 0.32 50.001 to 60.000 32 1,695,919.16 1.81 60.001 to 70.000 60 3,131,347.03 3.34 70.001 to 80.000 171 7,163,427.99 7.64 80.001 to 90.000 442 20,133,783.82 21.48 90.001 to 100.000 1,390 60,735,460.40 64.78 100.001 to 100.002 2 117,188.56 0.12 ----------------------------------------------------------------------------------------------------------- Total 2,118 $93,751,272.20 100.00% -----------------------------------------------------------------------------------------------------------
The minimum and maximum combined loan-to-value ratios of the initial Group I Mortgage Loans as of the Statistical Calculation Date are approximately 13.84% and 100.002%, respectively, and the weighted average combined loan-to-value ratio as of the Statistical Calculation Date of the initial Group I Mortgages Loans is approximately 91.21%. The "combined loan-to-value ratio" of an initial Group I Mortgage Loan as of the Statistical Calculation Date is the ratio, expressed as a percentage, equal to the sum of any outstanding first and other mortgage balance, if any, as of the date of origination of the related initial Group I Mortgage Loan plus the principal balance of such initial Group I Mortgage Loan as of the Statistical Calculation Date divided by the appraised value of the mortgaged property at origination. INITIAL GROUP I MORTGAGE LOANS PRINCIPAL BALANCES OF INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I PRINCIPAL BALANCES LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- $0.01 to $25,000.00 557 $11,240,092.72 11.99% $25,000.01 to $50,000.00 1,007 36,562,804.96 39.00 $50,000.01 to $75,000.00 336 20,707,852.77 22.09 $75,000.01 to $100,000.00 131 11,522,680.49 12.29 $100,000.01 to $125,000.00 30 3,357,461.43 3.58 $125,000.01 to $150,000.00 25 3,456,766.35 3.69 $150,000.01 to $175,000.00 10 1,647,799.91 1.76 $175,000.01 to $200,000.00 11 2,072,564.85 2.21 $200,000.01 to $300,000.00 9 2,263,248.72 2.41 $400,000.01 to $500,000.00 2 920,000.00 0.98 ----------------------------------------------------------------------------------------------------------- Total 2,118 $93,751,272.20 100.00% -----------------------------------------------------------------------------------------------------------
The average unpaid principal balance of the initial Group I Mortgage Loans as of the Statistical Calculation Date is approximately $44,264.06. MORTGAGED PROPERTIES SECURING INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I PROPERTY TYPE LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- Single-Family Dwelling 1,842 $79,798,312.78 85.12% Condominium 98 3,835,574.19 4.09 Planned Unit Development 156 9,365,510.79 9.99 Multi-Family 9 382,002.25 0.41 Leasehold 13 369,872.19 0.39 ----------------------------------------------------------------------------------------------------------- Total 2,118 $93,751,272.20 100.00% -----------------------------------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP I MORTGAGE LOANS ORIGINAL TERM TO MATURITY OF INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE ORIGINAL TERM GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I TO MATURITY LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 0 to 60 1 $17,966.98 0.02% 61 to 120 278 6,510,245.65 6.94 121 to 180 1,165 49,630,290.19 52.94 181 to 240 205 11,151,184.95 11.89 241 to 300 469 26,441,584.43 28.20 ----------------------------------------------------------------------------------------------------------- Total 2,118 $93,751,272.20 100.00% -----------------------------------------------------------------------------------------------------------
The weighted average original term to maturity of the initial Group I Mortgage Loans as of the Statistical Calculation Date is approximately 217 months. REMAINING TERM TO MATURITY OF INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE REMAINING TERM GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I TO MATURITY LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 0 to 60 107 $2,068,938.75 2.21% 61 to 120 172 4,459,273.88 4.76 121 to 180 1,165 49,630,290.19 52.94 181 to 240 205 11,151,184.95 11.89 241 to 300 469 26,441,584.43 28.20 ----------------------------------------------------------------------------------------------------------- Total 2,118 $93,751,272.20 100.00% -----------------------------------------------------------------------------------------------------------
The weighted average remaining term to maturity of the initial Group I Mortgage Loans as of the Statistical Calculation Date is approximately 213 months. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP I MORTGAGE LOANS YEAR OF ORIGINATION OF INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I YEARS OF ORIGINATION LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 2001 1,899 $88,759,133.06 94.68% 2000 36 1,536,996.34 1.64 1996 178 3,377,847.00 3.60 1995 5 77,295.80 0.08 ----------------------------------------------------------------------------------------------------------- Total 2,118 $93,751,272.20 100.00% -----------------------------------------------------------------------------------------------------------
The earliest month and year of origination of any initial Group I Mortgage Loan as of the Statistical Calculation Date is October 1995 and the latest month and year of origination of any initial Group I Mortgage Loan as of the Statistical Calculation Date is July 2001. OCCUPANCY TYPE OF INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I OCCUPANCY TYPE LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- Owner Occupied 2,107 $93,398,477.60 99.62% Non-Owner Occupied 11 352,794.60 0.38 ----------------------------------------------------------------------------------------------------------- Total 2,118 $93,751,272.20 100.00% -----------------------------------------------------------------------------------------------------------
CREDIT QUALITY OF INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I CREDIT QUALLITY LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- Excellent 1,511 $70,050,730.36 74.72% Superior 388 15,736,426.91 16.79 Good 205 7,363,932.13 7.85 Fair 10 482,714.36 0.51 Non-Prime 4 117,468.44 0.13 ----------------------------------------------------------------------------------------------------------- Total 2,118 $93,751,272.20 100.00% -----------------------------------------------------------------------------------------------------------
Credit grades run from Excellent to Superior to Good to Fair to Non-Prime in descending order. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP I MORTGAGE LOANS GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES SECURING INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I STATE LOANS MORTGAGE LOANS MORTGAGE LOANS ---------------------------------------------------------------------------------------------------------- California 677 $37,839,665.83 40.36% Florida 161 5,217,768.76 5.57 Virginia 116 5,203,944.74 5.55 New Jersey 101 4,955,335.00 5.29 Illinois 93 3,502,310.60 3.74 Georgia 102 3,443,674.10 3.67 Michigan 98 3,261,821.65 3.48 Maryland 85 3,131,231.93 3.34 Colorado 62 3,034,705.63 3.24 Pennsylvania 77 2,985,942.60 3.18 Washington 57 2,373,819.38 2.53 Oregon 51 2,132,765.58 2.27 Arizona 58 1,905,393.98 2.03 Other (<2%) 380 14,762,892.42 15.75 ---------------------------------------------------------------------------------------------------------- Total 2,118 $93,751,272.20 100.00% ----------------------------------------------------------------------------------------------------------
No more than approximately 0.73% of the initial Group I Mortgage Loans as of the Statistical Calculation Date are secured by mortgaged properties located in any one zip code. DEBT-TO-INCOME RATIOS OF INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE DEBT-TO-INCOME GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I RATIOS(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ---------------------------------------------------------------------------------------------------------- 10.001 to 15.000 2 $69,692.19 0.07% 15.001 to 20.000 24 840,615.40 0.90 20.001 to 25.000 85 3,210,497.00 3.42 25.001 to 30.000 184 7,060,881.27 7.53 30.001 to 35.000 298 13,065,203.22 13.94 35.001 to 40.000 408 17,032,820.91 18.17 40.001 to 45.000 424 17,802,769.49 18.99 45.001 to 50.000 455 21,071,157.57 22.48 50.001 to 55.000 238 13,597,635.15 14.50 ---------------------------------------------------------------------------------------------------------- Total 2,118 $93,751,272.20 100.00% ----------------------------------------------------------------------------------------------------------
The weighted average debt-to-income ratio of the initial Group 1 Mortgage Loans as of the Statistical Calculation Date is approximately 40.92%. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP I MORTGAGE LOANS PREPAYMENT PENALTY FOR INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I MONTHS APPLICABLE LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- No Prepayment Penalty 351 $12,590,094.25 13.43% 12 2 70,444.55 0.08 24 20 1,257,961.06 1.34 36 604 29,495,449.18 31.46 48 6 321,202.15 0.34 60 1,135 50,016,121.01 53.35 ----------------------------------------------------------------------------------------------------------- Total 2,118 $93,751,272.20 100.00% -----------------------------------------------------------------------------------------------------------
ORIGINATION CHANNEL FOR INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I ORIGINATION CHANNEL LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- Direct Mail 1,295 $52,473,240.83 55.97% Correspondent 473 21,243,157.59 22.66 Broker 350 20,034,873.78 21.37 ----------------------------------------------------------------------------------------------------------- Total 2,118 $93,751,272.20 100.00% -----------------------------------------------------------------------------------------------------------
DELINQUENCY STATUS FOR INITIAL GROUP I MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP I MORTGAGE OF INITIAL GROUP I OF INITIAL GROUP I DELINQUENCY LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 0 1,995 $89,126,086.54 95.07% 1-29 123 4,625,185.66 4.93 ----------------------------------------------------------------------------------------------------------- Total 2,118 $93,751,272.20 100% -----------------------------------------------------------------------------------------------------------
INITIAL GROUP II MORTGAGE LOANS LIEN POSITION OF INITIAL GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II LIEN POSITION LOANS MORTGAGE LOANS MORTGAGE LOANS ------------------------------------------------------------------------------------------------------------- Second Lien 3,849 $161,699,470.90 98.67% Third Lien 58 2,177,898.78 1.33 ------------------------------------------------------------------------------------------------------------- Total 3,907 $163,877,369.68 100.00% -------------------------------------------------------------------------------------------------------------
MORTGAGE INTEREST RATES OF INITIAL GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE MORTGAGE INTEREST GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II RATES(%) LOANS MORTGAGE LOANS MORTGAGE LOANS -------------------------------------------------------------------------------------------------------------- 8.000 to 8.999 2 $156,398.98 0.10% 9.000 to 9.999 36 2,099,965.91 1.28 10.000 to 10.999 96 5,604,235.99 3.42 11.000 to 11.999 165 8,257,094.60 5.04 12.000 to 12.999 339 15,681,099.31 9.57 13.000 to 13.999 614 28,566,330.95 17.43 14.000 to 14.999 666 29,270,640.75 17.86 15.000 to 15.999 560 22,167,416.67 13.53 16.000 to 16.999 475 18,597,884.88 11.35 17.000 to 17.999 413 15,354,880.98 9.37 18.000 to 18.999 278 9,488,393.33 5.79 19.000 to 19.999 199 6,824,545.23 4.16 20.000 + 64 1,808,482.10 1.10 -------------------------------------------------------------------------------------------------------------- Total 3,907 $163,877,369.68 100.00% --------------------------------------------------------------------------------------------------------------
The weighted average mortgage interest rate of the initial Group II Mortgage Loans as of the Statistical Calculation Date is approximately 15.048% per annum. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP II MORTGAGE LOANS COMBINED LOAN-TO-VALUE RATIOS OF INITIAL GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE COMBINED LOAN-TO- GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II VALUE RATIO(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ------------------------------------------------------------------------------------------------------------- 100.001 to 110.000 618 $23,481,415.33 14.33% 110.001 to 120.000 1,480 60,500,433.71 36.92 120.001 to 130.000 1,809 79,895,520.64 48.75 ------------------------------------------------------------------------------------------------------------- Total 3,907 $163,877,369.68 100.00% -------------------------------------------------------------------------------------------------------------
The minimum and maximum combined loan-to-value ratios of the initial Group II Mortgage Loans as of the Statistical Calculation Date are approximately 100.02% and 125.00%, respectively, and the weighted average combined loan-to-value ratio as of the Statistical Calculation Date of the initial Group II Mortgage Loans is approximately 118.11%. The "combined loan-to-value ratio" of an initial Group II Mortgage Loan as of the Statistical Calculation Date is the ratio, expressed as a percentage, equal to the sum of any outstanding first and other mortgage balance, if any, as of the date of origination of the related initial Group II Mortgage Loan plus the principal balance of such initial Group II Mortgage Loan as of the Statistical Calculation Date divided by the appraised value of the mortgaged property at origination. PRINCIPAL BALANCES OF INITIAL GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II PRINCIPAL BALANCES LOANS MORTGAGE LOANS MORTGAGE LOANS ------------------------------------------------------------------------------------------------------------- $0.01 to $25,000.00 736 $16,027,675.15 9.78% $25,000.01 to $50,000.00 2,272 84,973,716.41 51.85 $50,000.01 to $75,000.00 673 41,467,571.82 25.30 $75,000.01 to $100,000.00 191 17,028,347.08 10.39 $100,000.01 to $125,000.00 30 3,484,488.01 2.13 $125,000.01 to $150,000.00 3 436,716.08 0.27 $150,000.01 to $175,000.00 1 158,855.13 0.10 $200,000.01 to $300,000.00 1 300,000.00 0.18 ------------------------------------------------------------------------------------------------------------- Total 3,907 $163,877,369.68 100.00% -------------------------------------------------------------------------------------------------------------
The average unpaid principal balance of the initial Group II Mortgage Loans as of the Statistical Calculation Date is approximately $41,944.55. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP II MORTGAGE LOANS MORTGAGED PROPERTIES SECURING INITIAL GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II PROPERTY TYPE LOANS MORTGAGE LOANS MORTGAGE LOANS ------------------------------------------------------------------------------------------------------------ Single-Family Dwelling 3,283 $138,019,398.45 84.22% Planned Unit Development 344 15,581,212.03 9.51 Condominium 237 8,902,804.03 5.43 Leasehold 40 1,289,253.88 0.79 Multi-Family 3 84,701.29 0.05 ------------------------------------------------------------------------------------------------------------ Total 3,907 $163,877,369.68 100.00% ------------------------------------------------------------------------------------------------------------
ORIGINAL TERM TO MATURITY OF INITIAL GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE ORIGINAL TERM TO GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II MATURITY (MONTHS) LOANS MORTGAGE LOANS MORTGAGE LOANS -------------------------------------------------------------------------------------------------------------- 61 to 120 168 $5,760,292.12 3.52% 121 to 180 1,911 74,601,121.77 45.52 181 to 240 485 20,475,577.98 12.49 241 to 300 1,343 63,040,377.81 38.47 -------------------------------------------------------------------------------------------------------------- Total 3,907 $163,877,369.68 100.00% --------------------------------------------------------------------------------------------------------------
The weighted average original term to maturity of the initial Group II Mortgage Loans as of the Statistical Calculation Date is approximately 231 months. REMAINING TERM TO MATURITY OF GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE REMAINING TERM TO GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II MATURITY (MONTHS) LOANS MORTGAGE LOANS MORTGAGE LOANS -------------------------------------------------------------------------------------------------------------- 0 to 60 1 $20,384.81 0.01% 61 to 120 167 5,739,907.31 3.50 121 to 180 1,913 74,732,180.02 45.60 181 to 240 486 20,550,443.03 12.54 241 to 300 1,340 62,834,454.51 38.34 -------------------------------------------------------------------------------------------------------------- Total 3,907 $163,877,369.68 100.00% --------------------------------------------------------------------------------------------------------------
The weighted average remaining term to maturity of the initial Group II Mortgage Loans as of the Statistical Calculation Date is approximately 230 months. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP II MORTGAGE LOANS YEAR OF ORIGINATION OF INITIAL GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II YEARS OF ORIGINATION LOANS MORTGAGE LOANS MORTGAGE LOANS ------------------------------------------------------------------------------------------------------------- 2001 3,775 $159,499,668.61 97.33% 2000 132 4,377,701.07 2.67 ------------------------------------------------------------------------------------------------------------- Total 3,907 $163,877,369.68 100.00% -------------------------------------------------------------------------------------------------------------
The earliest month and year of origination of any initial Group II Mortgage Loan as of the Statistical Calculation Date is June 2000 and the latest month and year of origination of any initial Group II Mortgage Loan as of the Statistical Calculation Date is July 2001. OCCUPANCY TYPE OF INITIAL GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II OCCUPANCY TYPE LOANS MORTGAGE LOANS MORTGAGE LOANS ------------------------------------------------------------------------------------------------------------ Owner Occupied 3,905 $163,800,535.30 99.95% Non-Owner Occupied 2 76,834.38 0.05 ------------------------------------------------------------------------------------------------------------ Total 3,907 $163,877,369.68 100.00% ------------------------------------------------------------------------------------------------------------
CREDIT QUALITY OF INITIAL GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II CREDIT QUALITY LOANS MORTGAGE LOANS MORTGAGE LOANS ------------------------------------------------------------------------------------------------------------- Excellent 2,786 $124,930,276.58 76.23% Superior 731 26,180,045.13 15.98 Good 385 12,632,880.52 7.71 Fair 5 134,167.45 0.08 ------------------------------------------------------------------------------------------------------------- Total 3,907 $163,877,369.68 100.00% -------------------------------------------------------------------------------------------------------------
Credit grades run from Excellent to Superior to Good to Fair in descending order. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP II MORTGAGE LOANS GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES SECURING INITIAL GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II STATE LOANS MORTGAGE LOANS MORTGAGE LOANS ------------------------------------------------------------------------------------------------------------- California 648 $30,537,746.50 18.63% Florida 340 12,584,446.87 7.68 Maryland 260 11,680,801.93 7.13 Virginia 258 10,754,094.70 6.56 Ohio 216 8,082,629.74 4.93 Arizona 204 7,901,549.22 4.82 Pennsylvania 186 7,899,423.01 4.82 Washington 163 7,421,977.27 4.53 Illinois 140 6,385,970.17 3.90 Georgia 144 5,673,149.76 3.46 Nevada 143 5,282,888.39 3.22 Colorado 107 5,167,273.28 3.15 Michigan 116 4,954,739.45 3.02 New jersey 95 4,888,240.04 2.98 Oregon 106 4,451,548.43 2.72 Missouri 97 3,762,972.72 2.30 Other (<2%) 684 26,447,918.20 16.14 ------------------------------------------------------------------------------------------------------------- Total 3,907 $163,877,369.68 100.00% -------------------------------------------------------------------------------------------------------------
No more than approximately 0.26% of the initial Group II Mortgage Loans as of the Statistical Calculation Date are secured by mortgaged properties located in any one zip code. DEBT-TO-INCOME RATIOS OF INITIAL GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE DEBT-TO-INCOME GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II RATIOS(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ------------------------------------------------------------------------------------------------------------ 10.001 to 15.000 4 $140,251.21 0.09% 15.001 to 20.000 16 873,768.78 0.53 20.001 to 25.000 61 2,329,817.38 1.42 25.001 to 30.000 227 8,323,061.47 5.08 30.001 to 35.000 492 19,564,243.96 11.94 35.001 to 40.000 767 31,642,778.69 19.31 40.001 to 45.000 875 35,473,203.05 21.65 45.001 to 50.000 1,167 49,668,333.45 30.31 50.001 to 55.000 298 15,861,911.69 9.68 ------------------------------------------------------------------------------------------------------------ Total 3,907 $163,877,369.68 100.00% ------------------------------------------------------------------------------------------------------------
The weighted average debt-to-income ratio of the initial Group II Mortgage Loans as of the Statistical Calculation Date is approximately 41.79%. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP II MORTGAGE LOANS PREPAYMENT PENALTY FOR INITIAL GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II MONTHS APPLICABLE LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- No Prepayment Penalty 490 $19,877,931.79 12.13% 6 1 37,721.33 0.02 24 6 269,938.75 0.16 36 1,706 73,204,270.42 44.67 42 3 86,174.11 0.05 48 6 304,718.62 0.19 60 1,695 70,096,614.66 42.77 ----------------------------------------------------------------------------------------------------------- Total 3,907 $163,877,369.68 100.00% -----------------------------------------------------------------------------------------------------------
ORIGINATION CHANNEL FOR INITIAL GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II ORIGINATION CHANNEL LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- Broker 972 $44,677,288.27 27.26% Direct Mail 1,399 56,823,871.51 34.67 Correspondent 1,536 62,376,209.90 38.06 ----------------------------------------------------------------------------------------------------------- Total 3,907 $163,877,369.68 100.00% -----------------------------------------------------------------------------------------------------------
DELINQUENCY STATUS FOR INITIAL GROUP II MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP II MORTGAGE OF INITIAL GROUP II OF INITIAL GROUP II DELINQUENCY LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 0 3,610 $152,223,438.04 92.89% 1-29 297 11,653,931.64 7.11 ----------------------------------------------------------------------------------------------------------- Total 3,907 $163,877,369.68 100% -----------------------------------------------------------------------------------------------------------
INITIAL GROUP III MORTGAGE LOANS LIEN POSITION OF INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III LIEN POSITION LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- First Lien 60 $2,748,043.73 2.80% Second Lien 2,300 90,629,932.16 92.35 Third Lien 123 4,764,548.83 4.85 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
MORTGAGE INTEREST RATES OF GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE MORTGAGE INTEREST GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III RATES(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 6.000 to 6.999 10 $575,928.61 0.59% 7.000 to 7.999 56 3,764,805.81 3.84 8.000 to 8.999 137 6,915,328.23 7.05 9.000 to 9.999 301 13,831,485.89 14.09 10.000 to 10.999 416 18,030,854.59 18.37 11.000 to 11.999 534 19,231,936.89 19.60 12.000 to 12.999 395 12,029,480.03 12.26 13.000 to 13.999 222 7,624,761.09 7.77 14.000 to 14.999 176 7,194,918.33 7.33 15.000 to 15.999 118 4,381,010.73 4.46 16.000 to 16.999 84 3,288,405.25 3.35 17.000 to 17.999 28 1,069,312.73 1.09 18.000 to 18.999 6 204,296.54 0.21 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
The weighted average mortgage interest rate of the initial Group III Mortgage Loans as of the Statistical Calculation Date is approximately 11.703% per annum. INITIAL GROUP III MORTGAGE LOANS GROSS MARGIN OF INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III GROSS MARGINS(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- Less than 0.000 10 $75,928.61 0.59% 0.000 to 0.999 52 3,328,943.28 3.39 1.000 to 1.999 161 7,862,954.04 8.01 2.000 to 2.999 303 14,680,721.96 14.96 3.000 to 3.999 416 17,285,847.55 17.61 4.000 to 4.999 541 19,514,295.10 19.88 5.000 to 5.999 382 11,298,229.75 11.51 6.000 to 6.999 202 7,248,512.04 7.39 7.000 to 7.999 168 6,920,038.15 7.05 8.000 to 8.999 116 4,335,437.37 4.42 9.000 to 9.999 90 3,474,207.60 3.54 10.000 to 10.999 36 1,385,212.73 1.41 11.000 to 11.999 6 232,196.54 0.24 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
The weighted average gross margin of the initial Group III Mortgage Loans as of the Statistical Calculation Date is approximately 4.71% per annum. LIFETIME RATE CAPS OF INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE LIFETIME RATE GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III CAPS(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 15.000 to 15.999 47 3,087,129.87 3.15% 16.000 to 16.999 93 5,545,515.43 5.65% 17.000 to 17.999 120 6,430,779.57 6.55% 18.000 to 18.999 189 9,481,346.60 9.66% 19.000 to 19.999 1,198 40,616,764.17 41.39% 20.000 to 20.999 176 7,455,161.23 7.60% 21.000 to 21.999 168 6,530,080.12 6.65% 22.000 to 22.999 177 6,982,661.52 7.11% 23.000 to 23.999 146 5,588,966.92 5.69% 24.000 to 24.999 169 6,424,119.29 6.55% ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
The weighted average lifetime rate cap of the initial Group III Mortgage Loans as of the Statistical Calculation Date is approximately 20.11% per annum. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP III MORTGAGE LOANS LIFETIME RATE FLOORS OF INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE LIFETIME RATE GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III FLOORS(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 5.000 to 5.999 46 $3,051,430.06 3.11% 6.000 to 6.999 96 5,628,840.79 5.74 7.000 to 7.999 160 8,129,951.32 8.28 8.000 to 8.999 243 11,469,965.44 11.69 9.000 to 9.999 331 13,489,464.34 13.74 10.000 to 10.999 397 15,515,004.43 15.81 11.000 to 11.999 493 16,934,888.07 17.26 12.000 to 12.999 373 11,169,379.16 11.38 13.000 to 13.999 176 6,389,481.82 6.51 14.000 to 14.999 104 3,897,355.36 3.97 15.000 to 15.999 46 1,849,824.99 1.88 16.000 to 16.999 13 463,634.90 0.47 17.000 to 17.999 3 86,304.04 0.09 18.000 to 18.999 2 67,000.00 0.07 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
The weighted average lifetime rate floor of the initial Group III Mortgage Loans as of the Statistical Calculation Date is approximately 10.45% per annum. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP III MORTGAGE LOANS CREDIT LIMIT UTILIZATION RATES OF INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE CREDIT LIMIT GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III UTILIZATION RATES(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 0.001 to 5.000 13 $11,710.55 0.01% 5.001 to 10.000 7 38,081.48 0.04 10.001 to 15.000 7 49,398.51 0.05 15.001 to 20.000 5 38,535.86 0.04 20.001 to 25.000 4 25,501.14 0.03 25.001 to 30.000 11 233,217.31 0.24 30.001 to 35.000 10 208,977.74 0.21 35.001 to 40.000 12 178,563.74 0.18 40.001 to 45.000 11 384,748.71 0.39 45.001 to 50.000 19 373,643.52 0.38 50.001 to 55.000 14 341,329.22 0.35 55.001 to 60.000 22 650,015.06 0.66 60.001 to 65.000 31 816,748.43 0.83 65.001 to 70.000 38 1,142,077.00 1.16 70.001 to 75.000 30 970,277.62 0.99 75.001 to 80.000 35 967,572.73 0.99 80.001 to 85.000 53 1,632,192.08 1.66 85.001 to 90.000 87 2,664,456.12 2.71 90.001 to 95.000 195 6,484,190.08 6.61 95.001 to 100.000 1,869 80,325,026.29 81.85 100.001 + 10 606,261.53 0.62 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
The weighted average credit limit utilization rate of the initial Group III Mortgage Loans as of the Statistical Calculation Date is approximately 96.24%. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP III MORTGAGE LOANS COMBINED LOAN-TO-VALUE RATIOS OF INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE COMBINED LOAN- GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III VALUE RATIOS(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 0.001 to 40.000 18 $711,331.69 0.72% 40.001 to 50.000 15 590,624.24 0.60 50.001 to 60.000 24 1,923,933.11 1.96 60.001 to 70.000 67 3,116,231.90 3.18 70.001 to 80.000 181 7,437,598.72 7.58 80.001 to 90.000 378 14,515,271.44 14.79 90.001 to 100.000 814 30,515,425.19 31.09 100.001 to 110.000 218 7,262,179.74 7.40 110.001 to 120.000 325 12,946,400.83 13.19 120.001 to 125.000 443 19,123,527.86 19.49 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
The minimum and maximum combined loan-to-value ratios of the initial Group III Mortgage Loans as of the Statistical Calculation Date are approximately 8.86% and 125.00%, respectively, and the weighted average combined loan-to-value ratio as of the Statistical Calculation Date of the initial Group III Mortgages is approximately 100.16%. The "combined loan-to-value ratio" of an initial Group III Mortgage Loan as of the Statistical Calculation Date is the ratio, expressed as a percentage, equal to the sum of any outstanding first and other mortgage balance, if any, as of the date of origination of the related initial Group III Mortgage Loan plus the principal balance of such initial Group III Mortgage Loan as of the Statistical Calculation Date divided by the appraised value of the mortgaged property at origination. PRINCIPAL BALANCES OF INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III PRINCIPAL BALANCES LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- $0.01 to $25,000.00 810 $14,908,372.60 15.19% $25,000.01 to $50,000.00 1,128 41,199,387.29 41.98 $50,000.01 to $75,000.00 377 23,039,633.53 23.48 $75,000.01 to $100,000.00 108 9,511,121.74 9.69 $100,000.01 to $125,000.00 26 2,920,346.79 2.98 $125,000.01 to $150,000.00 14 1,946,447.30 1.98 $150,000.01 to $175,000.00 5 793,700.00 0.81 $175,000.01 to $200,000.00 6 1,158,515.47 1.18 $200,000.01 to $300,000.00 6 1,486,000.00 1.51 $300,000.01 to $400,000.00 2 765,000.00 0.78 $400,000.01 to $500,000.00 1 414,000.00 0.42 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
The average unpaid principal balance of the initial Group III Mortgage Loans as of the Statistical Calculation Date is approximately $39,525.79. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP III MORTGAGE LOANS MORTGAGED PROPERTIES SECURING INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III PROPERTY TYPE LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- Single-Family Dwelling 2,225 $87,994,985.60 89.66% Planned Unit Development 100 5,232,772.40 5.33 Condominium 92 3,608,668.60 3.68 Leasehold 27 988,793.42 1.01 Multi-Family 9 317,304.70 0.32 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
ORIGINAL TERM TO MATURITY OF INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE ORIGINAL TERM TO GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III MATURITY (MONTHS) LOANS MORTGAGE LOANS MORTGAGE LOANS ------------------------------------------------------------------------------------------------------------ 121 to 180 1,000 $32,070,439.46 32.68% 181 to 240 1,472 65,607,747.07 66.85 241 to 300 11 464,338.19 0.47 ------------------------------------------------------------------------------------------------------------ Total 2,483 $98,142,524.72 100.00% ------------------------------------------------------------------------------------------------------------
The weighted average original term to maturity of the initial Group III Mortgage Loans as of the Statistical Calculation Date is approximately 221 months. REMAINING TERM TO MATURITY OF INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE REMAINING TERM TO GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III MATURITY (MONTHS) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 0 to 60 5 $163,991.16 0.17% 61 to 120 285 8,511,575.31 8.67 121 to 180 852 28,358,539.49 28.90 181 to 240 1,341 61,108,418.76 62.26 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
The weighted average remaining term to maturity of the initial Group III Mortgage Loans as of the Statistical Calculation Date is approximately 199 months. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP III MORTGAGE LOANS YEAR OF ORIGINATION OF INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III YEAR OF ORIGINATION LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 2001 1,340 $61,077,618.76 62.23% 2000 1 30,800.00 0.03 1999 62 2,256,389.46 2.30 1998 300 10,154,549.96 10.35 1997 253 8,438,527.71 8.60 1996 169 4,564,429.74 4.65 1995 227 7,269,762.67 7.41 1994 62 1,786,786.06 1.82 1993 27 890,735.30 0.91 1992 24 945,915.36 0.96 1991 7 262,671.51 0.27 1990 8 297,425.10 0.30 1989 2 114,275.73 0.12 1988 1 52,637.36 0.05 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
The earliest month and year of origination of any initial Group III Mortgage Loan as of the Statistical Calculation Date is November 1988 and the latest month and year of origination of any initial Group III Mortgage Loan as of the Statistical Calculation Date is July 2001. OCCUPANCY TYPE OF INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III OCCUPANCY TYPE LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- Owner Occupied 2,472 $97,680,016.39 99.53% Non-Owner Occupied 11 462,508.33 0.47 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
CREDIT QUALITY OF INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III CREDIT QUALITY LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- Excellent 1,729 $71,197,376.51 72.54% Superior 379 14,775,182.57 15.05 Good 211 7,280,975.43 7.42 Fair 43 1,417,209.38 1.44 Non-Prime 121 3,471,780.83 3.54 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
Credit Grades run from Excellent to Superior to Good to Fair to Non-Prime in descending order. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. INITIAL GROUP III MORTGAGE LOANS GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES SECURING INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III STATE LOANS MORTGAGE LOANS MORTGAGE LOANS ---------------------------------------------------------------------------------------------------------- California 420 $22,107,662.01 22.53% Illinois 194 7,460,735.48 7.60 New York 159 6,103,306.78 6.22 Michigan 161 5,410,186.83 5.51 Ohio 153 5,110,616.34 5.21 Washington 120 4,974,259.27 5.07 New Jersey 121 4,502,986.22 4.59 Florida 127 4,375,963.39 4.46 Arizona 105 3,794,158.84 3.87 Virginia 102 3,704,964.86 3.78 Georgia 105 3,493,347.51 3.56 Colorado 71 3,030,227.30 3.09 Maryland 58 2,706,027.65 2.76 Missouri 72 2,359,888.23 2.40 Pennsylvania 64 2,303,762.23 2.35 Indiana 60 2,139,017.59 2.18 Connecticut 37 2,026,717.42 2.07 Oregon 51 1,974,811.75 2.01 Others (<2%) 303 10,563,885.02 10.76 ---------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% ----------------------------------------------------------------------------------------------------------
No more than approximately 0.59% of the initial Group III Mortgage Loans as of the Statistical Calculation Date are secured by mortgaged properties located in any one zip code. DEBT-TO-INCOME RATIOS OF INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE DEBT-TO-INCOME GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III RATIOS(%) LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 5.001 to 10.000 1 $31,302.72 0.03% 10.001 to 15.000 5 268,903.13 0.27 15.001 to 20.000 24 1,007,377.00 1.03 20.001 to 25.000 87 3,342,288.69 3.41 25.001 to 30.000 171 6,485,291.49 6.61 30.001 to 35.000 282 9,677,966.07 9.86 35.001 to 40.000 314 11,703,979.54 11.93 40.001 to 45.000 451 17,314,793.08 17.64 45.001 to 50.000 550 21,742,386.01 22.15 50.001 to 55.000 598 26,568,236.99 27.07 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
The weighted average debt-to-income ratio of the initial Group III Mortgage Loans as of the Statistical Calculation Date is approximately 42.98%. INITIAL GROUP III MORTGAGE LOANS PREPAYMENT PENALTY FOR INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III MONTHS APPLICABLE LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- No Prepayment Penalty 1,151 $37,928,610.39 38.65% 24 10 485,676.21 0.49 36 351 16,910,655.80 17.23 48 4 219,919.74 0.22 60 967 42,597,662.58 43.40 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
ORIGINATION CHANNEL FOR INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III ORIGINATION CHANNEL LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- Direct Mail 1,099 $47,325,301.02 48.22% Acquisitions 1,011 32,534,777.65 33.15 Broker 373 18,282,446.05 18.63 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
DELINQUENCY STATUS FOR INITIAL GROUP III MORTGAGE LOANS
PERCENTAGE OF STATISTICAL UNPAID CALCULATION DATE NUMBER OF INITIAL PRINCIPAL BALANCE PRINCIPAL BALANCE GROUP III MORTGAGE OF INITIAL GROUP III OF INITIAL GROUP III DELINQUENCY LOANS MORTGAGE LOANS MORTGAGE LOANS ----------------------------------------------------------------------------------------------------------- 0 2,266 $90,400,337.93 92.11% 1-29 217 7,742,186.79 7.89 ----------------------------------------------------------------------------------------------------------- Total 2,483 $98,142,524.72 100.00% -----------------------------------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. Irwin Home Equity Loan Trust 2001-2 COMPUTATIONAL MATERIALS: SENSITIVITY TABLES AND NET FUND CAP (PAGE 16 OF 10) -------------------------------------------------------------------------------- SENSITIVITY TABLES*
Class IA-1 (To Call) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 20.00% 0.00% 10.00% 15.00% 25.00% 30.00% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 1.00 3.96 1.56 1.21 0.86 0.77 Modified Duration (years) 3.50 1.47 1.15 0.83 0.74 Principal Lockout (months) 0 0 0 0 0 0 First Principal Payment 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01 Principal Window (months) 24 102 40 30 20 17 Illustrative Yield @ Par 3.79% 3.79% 3.79% 3.79% 3.79% 3.79% ---------------------------------------------------------------------------------------------------------------- Class IA-2 (To Call) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 20.00% 0.00% 10.00% 15.00% 25.00% 30.00% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 3.00 11.02 4.97 3.76 2.49 2.12 Modified Duration (years) 2.70 8.09 4.24 3.31 2.27 1.95 Principal Lockout (months) 23 101 39 29 19 16 First Principal Payment 9/25/03 3/25/10 1/25/05 3/25/04 5/25/03 2/25/03 Principal Window (months) 32 57 47 39 27 23 Illustrative Yield @ Par 5.33% 5.42% 5.38% 5.35% 5.30% 5.28% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IA-3 (To Call) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 20.00% 0.00% 10.00% 15.00% 25.00% 30.00% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 6.45 13.92 9.59 7.80 5.43 4.64 Modified Duration (years) 5.10 8.95 6.92 5.93 4.43 3.88 Principal Lockout (months) 54 157 85 67 45 38 First Principal Payment 4/25/06 11/25/14 11/25/08 5/25/07 7/25/05 12/25/04 Principal Window (months) 56 21 65 62 49 43 Illustrative Yield @ Par 6.43% 6.47% 6.45% 6.44% 6.42% 6.41% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IIA-1 (To Call) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 1.00 4.42 1.52 1.19 0.88 0.79 Modified Duration (years) 0.96 3.88 1.44 1.14 0.85 0.76 Principal Lockout (months) 0 0 0 0 0 0 First Principal Payment 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01 Principal Window (months) 22 102 37 28 19 17 Illustrative Yield @ Par 3.79% 3.79% 3.79% 3.79% 3.79% 3.79% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IIA-2 (To Call) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 2.00 8.95 3.30 2.47 1.70 1.49 Modified Duration (years) 1.86 7.04 2.98 2.28 1.59 1.40 Principal Lockout (months) 21 101 36 27 18 16 First Principal Payment 7/25/03 3/25/10 10/25/04 1/25/04 4/25/03 2/25/03 Principal Window (months) 5 11 7 5 4 3 Illustrative Yield @ Par 4.91% 5.05% 4.98% 4.95% 4.88% 4.85% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IIA-3 (To Call) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 3.00 11.22 5.00 3.74 2.52 2.18 Modified Duration (years) 2.70 8.21 4.26 3.30 2.29 2.00 Principal Lockout (months) 25 111 42 31 21 18 First Principal Payment 11/25/03 1/25/11 4/25/05 5/25/04 7/25/03 4/25/03 Principal Window (months) 26 43 39 31 22 19 Illustrative Yield @ Par 5.33% 5.42% 5.38% 5.35% 5.30% 5.28% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IIA-4 (To Call) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 5.00 13.31 7.82 6.13 4.22 3.66 Modified Duration (years) 4.20 8.92 6.06 4.98 3.63 3.19 Principal Lockout (months) 50 153 80 61 42 36 First Principal Payment 12/25/05 7/25/14 6/25/08 11/25/06 4/25/05 10/25/04 Principal Window (months) 20 12 27 24 17 15 Illustrative Yield @ Par 6.02% 6.07% 6.05% 6.04% 6.01% 5.99% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IIA-5 (To Call) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 8.34 15.43 11.84 9.94 7.08 6.11 Modified Duration (years) 6.18 9.36 7.93 7.02 5.46 4.86 Principal Lockout (months) 69 164 106 84 58 50 First Principal Payment 7/25/07 6/25/15 8/25/10 10/25/08 8/25/06 12/25/05 Principal Window (months) 56 61 74 68 46 38 Illustrative Yield @ Par 6.67% 6.70% 6.69% 6.68% 6.66% 6.65% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IIIA-1 (To Call) ---------------------------------------------------------------------------------------------------------------- ------------ Gross CPR 22.00% 2.00% 12.00% 17.00% 27.00% 32.00% Draw Rate 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 3.99 16.91 7.19 5.25 3.14 2.54 Modified Duration (years) 3.40 11.98 5.69 4.33 2.75 2.27 Principal Lockout (months) 0 48 0 0 0 0 First Principal Payment 10/25/01 10/25/05 10/25/01 10/25/01 10/25/01 10/25/01 Principal Window (months) 125 214 184 152 104 88 Illustrative Yield @ Par 3.92% 3.92% 3.92% 3.92% 3.92% 3.92% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class M-1 (To Call) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumptions 100% 0% 50% 75% 125% 150% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 7.09 18.14 11.31 8.85 5.83 4.91 Modified Duration (years) 5.91 12.31 8.67 7.11 4.99 4.30 Principal Lockout (months) 42 172 74 54 34 30 First Principal Payment 4/25/05 2/25/16 12/25/07 4/25/06 8/25/04 4/25/04 Principal Window (months) 83 90 110 98 70 58 Illustrative Yield @ Par 4.33% 4.33% 4.33% 4.33% 4.33% 4.33% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class M-2 (To Call) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumptions 100% 0% 50% 75% 125% 150% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 7.09 18.14 11.31 8.85 5.83 4.91 Modified Duration (years) 5.80 11.85 8.44 6.95 4.91 4.24 Principal Lockout (months) 42 172 74 54 34 30 First Principal Payment 4/25/05 2/25/16 12/25/07 4/25/06 8/25/04 4/25/04 Principal Window (months) 83 90 110 98 70 58 Illustrative Yield @ Par 4.80% 4.80% 4.80% 4.80% 4.80% 4.80% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class B-1 (To Call) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumptions 100% 0% 50% 75% 125% 150% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 7.09 18.14 11.31 8.85 5.83 4.91 Modified Duration (years) 5.61 11.09 8.05 6.69 4.78 4.13 Principal Lockout (months) 42 172 74 54 34 30 First Principal Payment 4/25/05 2/25/16 12/25/07 4/25/06 8/25/04 4/25/04 Principal Window (months) 83 90 110 98 70 58 Illustrative Yield @ Par 5.62% 5.63% 5.63% 5.62% 5.62% 5.62% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class A-IO (To Call) ---------------------------------------------------------------------------------------------------------------- Flat CPR 25% 30% 35% 40% 45% 50% ---------------------------------------------------------------------------------------------------------------- Modified Duration (years) 1.23 1.23 1.23 1.23 1.23 1.23 Illustrative Yield @ Par 5.75% 5.75% 5.75% 5.75% 5.75% 5.75% ----------------------------------------------------------------------------------------------------------------
*BASED ON SEPTEMBER 25, 2001 SETTLEMENT DATE. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. SENSITIVITY TABLES*
---------------------------------------------------------------------------------------------------------------- Class IA-1 (To Maturity) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 20.00% 0.00% 10.00% 15.00% 25.00% 30.00% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 1.00 3.96 1.56 1.21 0.86 0.77 Modified Duration (years) 0.96 3.50 1.47 1.15 0.83 0.74 Principal Lockout (months) 0 0 0 0 0 0 First Principal Payment 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01 Principal Window (months) 24 102 40 30 20 17 Illustrative Yield @ Par 3.79% 3.79% 3.79% 3.79% 3.79% 3.79% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IA-2 (To Maturity) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 20.00% 0.00% 10.00% 15.00% 25.00% 30.00% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 3.00 11.02 4.97 3.76 2.49 2.12 Modified Duration (years) 2.70 8.09 4.24 3.31 2.27 1.95 Principal Lockout (months) 23 101 39 29 19 16 First Principal Payment 9/25/03 3/25/10 1/25/05 3/25/04 5/25/03 2/25/03 Principal Window (months) 32 57 47 39 27 23 Illustrative Yield @ Par 5.33% 5.42% 5.38% 5.35% 5.30% 5.28% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IA-3 (To Maturity) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 20.00% 0.00% 10.00% 15.00% 25.00% 30.00% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 6.45 13.92 9.59 7.80 5.43 4.64 Modified Duration (years) 5.10 8.95 6.92 5.93 4.43 3.88 Principal Lockout (months) 54 157 85 67 45 38 First Principal Payment 4/25/06 11/25/14 11/25/08 5/25/07 7/25/05 12/25/04 Principal Window (months) 56 21 65 62 49 43 Illustrative Yield @ Par 6.43% 6.47% 6.45% 6.44% 6.42% 6.41% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IIA-1 (To Maturity) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 1.00 4.42 1.52 1.19 0.88 0.79 Modified Duration (years) 0.96 3.88 1.44 1.14 0.85 0.76 Principal Lockout (months) 0 0 0 0 0 0 First Principal Payment 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01 Principal Window (months) 22 102 37 28 19 17 Illustrative Yield @ Par 3.79% 3.79% 3.79% 3.79% 3.79% 3.79% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IIA-2 (To Maturity) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 2.00 8.95 3.30 2.47 1.70 1.49 Modified Duration (years) 1.86 7.04 2.98 2.28 1.59 1.40 Principal Lockout (months) 21 101 36 27 18 16 First Principal Payment 7/25/03 3/25/10 10/25/04 1/25/04 4/25/03 2/25/03 Principal Window (months) 5 11 7 5 4 3 Illustrative Yield @ Par 4.91% 5.05% 4.98% 4.95% 4.88% 4.85% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IIA-3 (To Maturity) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 3.00 11.22 5.00 3.74 2.52 2.18 Modified Duration (years) 2.70 8.21 4.26 3.30 2.29 2.00 Principal Lockout (months) 25 111 42 31 21 18 First Principal Payment 11/25/03 1/25/11 4/25/05 5/25/04 7/25/03 4/25/03 Principal Window (months) 26 43 39 31 22 19 Illustrative Yield @ Par 5.33% 5.42% 5.38% 5.35% 5.30% 5.28% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IIA-4 (To Maturity) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 5.00 13.31 7.82 6.13 4.22 3.66 Modified Duration (years) 4.20 8.92 6.06 4.98 3.63 3.19 Principal Lockout (months) 50 153 80 61 42 36 First Principal Payment 12/25/05 7/25/14 6/25/08 11/25/06 4/25/05 10/25/04 Principal Window (months) 20 12 27 24 17 15 Illustrative Yield @ Par 6.02% 6.07% 6.05% 6.04% 6.01% 5.99% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IIA-5 (To Maturity) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumption 100% 0% 50% 75% 125% 150% Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 8.48 15.43 11.84 9.99 7.31 6.40 Modified Duration (years) 6.24 9.36 7.93 7.04 5.58 5.02 Principal Lockout (months) 69 164 106 84 58 50 First Principal Payment 7/25/07 6/25/15 8/25/10 10/25/08 8/25/06 12/25/05 Principal Window (months) 77 61 74 79 72 66 Illustrative Yield @ Par 6.68% 6.70% 6.69% 6.68% 6.67% 6.67% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class IIIA-1 (To Maturity) ---------------------------------------------------------------------------------------------------------------- Gross CPR 22.00% 2.00% 12.00% 17.00% 27.00% 32.00% Draw Rate 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 4.68 17.23 7.87 5.96 3.77 3.09 Modified Duration (years) 3.82 12.11 6.02 4.73 3.15 2.64 Principal Lockout (months) 0 48 0 0 0 0 First Principal Payment 10/25/01 10/25/05 10/25/01 10/25/01 10/25/01 10/25/01 Principal Window (months) 237 249 287 269 207 184 Illustrative Yield @ Par 3.94% 3.92% 3.93% 3.94% 3.95% 3.95% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class M-1 (To Maturity) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumptions 100% 0% 50% 75% 125% 150% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 7.71 18.46 11.95 9.50 6.41 5.43 Modified Duration (years) 6.27 12.43 8.97 7.45 5.35 4.64 Principal Lockout (months) 42 172 74 54 34 30 First Principal Payment 4/25/05 2/25/16 12/25/07 4/25/06 8/25/04 4/25/04 Principal Window (months) 171 124 202 192 155 135 Illustrative Yield @ Par 4.35% 4.33% 4.34% 4.35% 4.35% 4.35% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class M-2 (To Maturity) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumptions 100% 0% 50% 75% 125% 150% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 7.69 18.46 11.92 9.46 6.38 5.40 Modified Duration (years) 6.13 11.96 8.71 7.26 5.24 4.55 Principal Lockout (months) 42 172 74 54 34 30 First Principal Payment 4/25/05 2/25/16 12/25/07 4/25/06 8/25/04 4/25/04 Principal Window (months) 157 122 192 177 141 124 Illustrative Yield @ Par 4.83% 4.80% 4.81% 4.82% 4.83% 4.83% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class B-1 (To Maturity) ---------------------------------------------------------------------------------------------------------------- % of Prepayment Assumptions 100% 0% 50% 75% 125% 150% ---------------------------------------------------------------------------------------------------------------- Average Life (years) 7.58 18.43 11.79 9.36 6.28 5.31 Modified Duration (years) 5.87 11.18 8.25 6.92 5.04 4.38 Principal Lockout (months) 42 172 74 54 34 30 First Principal Payment 4/25/05 2/25/16 12/25/07 4/25/06 8/25/04 4/25/04 Principal Window (months) 146 119 174 157 127 110 Illustrative Yield @ Par 5.67% 5.63% 5.65% 5.66% 5.67% 5.68% ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- Class A-IO (To Maturity) ---------------------------------------------------------------------------------------------------------------- Flat CPR 25% 30% 35% 40% 45% 50% ---------------------------------------------------------------------------------------------------------------- Modified Duration (years) 1.23 1.23 1.23 1.23 1.23 1.23 Illustrative Yield @ Par 5.75% 5.75% 5.75% 5.75% 5.75% 5.75% ----------------------------------------------------------------------------------------------------------------
*BASED ON SEPTEMBER 25, 2001 SETTLEMENT DATE. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. SENSITIVITY TABLES* Base Case:
Payment Period Date Group I AAA's Group II AAA's Group III AAA's Subordinates ---------------------------------------------------------------------------------------------------- 1 10/25/01 9.25 12.88 10.23 11.08 2 11/25/01 9.24 12.87 9.98 11.03 3 12/25/01 9.23 12.86 9.98 11.03 4 1/25/02 9.22 12.85 9.98 11.02 5 2/25/02 9.21 12.84 9.98 11.02 6 3/25/02 9.20 12.83 9.98 11.01 7 4/25/02 9.18 12.82 9.98 11.01 8 5/25/02 9.17 12.81 9.98 11.00 9 6/25/02 9.15 12.79 9.97 10.99 10 7/25/02 9.14 12.78 9.97 10.98 11 8/25/02 9.12 12.76 9.97 10.97 12 9/25/02 9.10 12.74 9.96 10.96 13 10/25/02 9.08 12.72 9.96 10.94 14 11/25/02 9.05 12.70 9.96 10.93 15 12/25/02 9.03 12.68 9.95 10.91 16 1/25/03 9.01 12.65 9.95 10.89 17 2/25/03 8.99 12.63 9.94 10.88 18 3/25/03 8.96 12.61 9.94 10.86 19 4/25/03 8.94 12.59 9.94 10.84 20 5/25/03 8.92 12.56 9.93 10.82 21 6/25/03 8.89 12.54 9.93 10.80 22 7/25/03 8.87 12.51 9.92 10.78 23 8/25/03 8.84 12.49 9.92 10.76 24 9/25/03 8.82 12.47 9.91 10.74 25 10/25/03 8.79 12.44 9.91 10.72 26 11/25/03 8.77 12.41 9.90 10.70 27 12/25/03 8.74 12.39 9.90 10.68 28 1/25/04 8.72 12.36 9.89 10.66 29 2/25/04 8.69 12.34 9.89 10.64 30 3/25/04 8.66 12.31 9.89 10.61 31 4/25/04 10.40 14.05 10.19 12.23 32 5/25/04 10.40 14.05 10.19 12.23 33 6/25/04 10.40 14.05 10.19 12.24 34 7/25/04 10.40 14.05 10.19 12.24 35 8/25/04 10.40 14.05 10.19 12.25 36 9/25/04 10.40 14.05 10.19 12.25 37 10/25/04 10.40 14.05 10.19 12.26 38 11/25/04 10.40 14.05 10.19 12.26 39 12/25/04 10.40 14.05 10.19 12.27 40 1/25/05 10.40 14.06 10.19 12.27 41 2/25/05 10.40 14.06 10.19 12.28 42 3/25/05 10.40 14.06 10.19 12.28 43 4/25/05 10.40 14.06 10.19 12.29 44 5/25/05 10.40 14.06 10.19 12.29 45 6/25/05 10.40 14.06 10.19 12.30 46 7/25/05 10.40 14.06 10.19 12.30 47 8/25/05 10.40 14.06 10.19 12.31 48 9/25/05 10.40 14.06 10.19 12.31 49 10/25/05 10.40 14.06 10.19 12.32 50 11/25/05 10.40 14.06 10.19 12.32 51 12/25/05 10.40 14.06 10.19 12.33 52 1/25/06 10.40 14.06 10.19 12.33 53 2/25/06 10.40 14.07 10.19 12.34 54 3/25/06 10.40 14.07 10.19 12.35 55 4/25/06 10.40 14.07 10.19 12.35 56 5/25/06 10.40 14.07 10.19 12.36 57 6/25/06 10.40 14.07 10.19 12.36 58 7/25/06 10.40 14.07 10.19 12.37 59 8/25/06 10.40 14.07 10.19 12.37 60 9/25/06 10.40 14.07 10.19 12.38 61 10/25/06 10.39 14.07 10.19 12.38 62 11/25/06 10.39 14.07 10.19 12.39 63 12/25/06 10.39 14.07 10.19 12.39 64 1/25/07 10.39 14.08 10.19 12.40 65 2/25/07 10.39 14.08 10.19 12.40 66 3/25/07 10.39 14.08 10.19 12.41 67 4/25/07 10.39 14.08 10.19 12.41 68 5/25/07 10.39 14.08 10.19 12.42 69 6/25/07 10.39 14.08 10.19 12.42 70 7/25/07 10.39 14.08 10.19 12.43 71 8/25/07 10.39 14.08 10.19 12.43 72 9/25/07 10.39 14.08 10.19 12.44 73 10/25/07 10.39 14.08 10.19 12.44 74 11/25/07 10.39 14.09 10.19 12.45 75 12/25/07 10.39 14.09 10.19 12.45 76 1/25/08 10.39 14.09 10.19 12.46 77 2/25/08 10.39 14.09 10.19 12.47 78 3/25/08 10.39 14.09 10.19 12.47 79 4/25/08 10.39 14.09 10.19 12.48 80 5/25/08 10.38 14.09 10.19 12.48 81 6/25/08 10.38 14.09 10.19 12.49 82 7/25/08 10.38 14.10 10.19 12.49 83 8/25/08 10.38 14.10 10.19 12.50 84 9/25/08 10.38 14.10 10.19 12.50 85 10/25/08 10.38 14.10 10.19 12.51 86 11/25/08 10.38 14.10 10.19 12.51 87 12/25/08 10.38 14.10 10.19 12.52 88 1/25/09 10.38 14.10 10.19 12.52 89 2/25/09 10.38 14.11 10.19 12.53 90 3/25/09 10.38 14.11 10.19 12.53 91 4/25/09 10.38 14.11 10.19 12.54 92 5/25/09 10.38 14.11 10.19 12.54 93 6/25/09 10.38 14.11 10.19 12.55 94 7/25/09 10.39 14.11 10.19 12.55 95 8/25/09 10.39 14.12 10.19 12.56 96 9/25/09 10.39 14.12 10.19 12.56 97 10/25/09 10.39 14.12 10.19 12.57 98 11/25/09 10.39 14.12 10.19 12.57 99 12/25/09 10.39 14.12 10.19 12.58 100 1/25/10 10.39 14.13 10.19 12.58 101 2/25/10 10.40 14.13 10.19 12.59 102 3/25/10 10.40 14.13 10.19 12.59 103 4/25/10 10.40 14.13 10.19 12.60 104 5/25/10 10.40 14.13 10.19 12.60 105 6/25/10 10.40 14.14 10.19 12.61 106 7/25/10 10.40 14.14 10.19 12.61 107 8/25/10 10.40 14.14 10.19 12.62 108 9/25/10 10.41 14.14 10.19 12.62 109 10/25/10 10.41 14.14 10.19 12.63 110 11/25/10 10.41 14.15 10.19 12.63 111 12/25/10 10.41 14.15 10.19 12.63 112 1/25/11 10.41 14.15 10.19 12.64 113 2/25/11 10.41 14.15 10.19 12.64 114 3/25/11 10.42 14.16 10.19 12.65 115 4/25/11 10.42 14.16 10.19 12.65 116 5/25/11 10.42 14.16 10.19 12.66 117 6/25/11 10.42 14.17 10.19 12.66 118 7/25/11 10.42 14.17 10.19 12.67 119 8/25/11 10.43 14.17 10.19 12.67 120 9/25/11 10.43 14.17 10.19 12.68 121 10/25/11 10.43 14.18 10.19 12.68 122 11/25/11 10.43 14.18 10.19 12.69 123 12/25/11 10.43 14.18 10.19 12.69 124 1/25/12 10.44 14.19 10.19 12.70
*PAYMENTS RECEIVED FROM CAP PROVIDER ARE ALLOCATED TO SUBORDINATED NOTES FOR CAP SCHEDULE, AND ARE ALSO AVAILABLE TO SENIOR SECURITIES SUBJECT TO HARD COPIES. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. + LIBOR 100:
Payment Period Date Group I AAA's Group II AAA's Group III AAA's Subordinates ---------------------------------------------------------------------------------------------------- 1 10/25/01 9.25 12.88 10.23 11.08 2 11/25/01 9.24 12.87 9.98 11.03 3 12/25/01 9.23 12.86 9.98 11.03 4 1/25/02 9.22 12.85 9.98 11.02 5 2/25/02 9.21 12.84 9.98 11.02 6 3/25/02 9.20 12.83 9.98 11.01 7 4/25/02 9.18 12.82 9.98 11.01 8 5/25/02 9.17 12.81 9.98 11.00 9 6/25/02 9.15 12.79 9.97 10.99 10 7/25/02 9.14 12.78 9.97 10.98 11 8/25/02 9.12 12.76 9.97 10.97 12 9/25/02 9.10 12.74 9.96 10.96 13 10/25/02 9.08 12.72 9.96 10.94 14 11/25/02 9.05 12.70 9.95 10.93 15 12/25/02 9.03 12.68 9.95 10.91 16 1/25/03 9.01 12.65 9.95 10.89 17 2/25/03 8.99 12.63 9.94 10.88 18 3/25/03 8.96 12.61 9.94 10.86 19 4/25/03 8.94 12.59 9.93 10.84 20 5/25/03 8.92 12.56 9.93 10.82 21 6/25/03 8.89 12.54 9.93 10.80 22 7/25/03 8.87 12.51 9.92 10.78 23 8/25/03 8.84 12.49 9.92 10.76 24 9/25/03 8.82 12.47 9.91 10.74 25 10/25/03 8.79 12.44 9.91 10.72 26 11/25/03 8.77 12.41 9.90 10.70 27 12/25/03 8.74 12.39 9.90 10.68 28 1/25/04 8.72 12.36 9.89 10.66 29 2/25/04 8.69 12.34 9.89 10.64 30 3/25/04 8.66 12.31 9.88 10.61 31 4/25/04 10.40 14.05 10.19 12.23 32 5/25/04 10.40 14.05 10.19 12.23 33 6/25/04 10.40 14.05 10.19 12.24 34 7/25/04 10.40 14.05 10.19 12.24 35 8/25/04 10.40 14.05 10.19 12.25 36 9/25/04 10.40 14.05 10.19 12.25 37 10/25/04 10.40 14.05 10.19 12.26 38 11/25/04 10.40 14.05 10.19 12.26 39 12/25/04 10.40 14.05 10.19 12.27 40 1/25/05 10.40 14.06 10.19 12.27 41 2/25/05 10.40 14.06 10.19 12.28 42 3/25/05 10.40 14.06 10.19 12.28 43 4/25/05 10.40 14.06 10.19 12.29 44 5/25/05 10.40 14.06 10.19 12.29 45 6/25/05 10.40 14.06 10.19 12.30 46 7/25/05 10.40 14.06 10.19 12.30 47 8/25/05 10.40 14.06 10.19 12.31 48 9/25/05 10.40 14.06 10.19 12.31 49 10/25/05 10.40 14.06 10.19 12.32 50 11/25/05 10.40 14.06 10.19 12.32 51 12/25/05 10.40 14.06 10.19 12.33 52 1/25/06 10.40 14.06 10.19 12.33 53 2/25/06 10.40 14.07 10.19 12.34 54 3/25/06 10.40 14.07 10.19 12.35 55 4/25/06 10.40 14.07 10.19 12.35 56 5/25/06 10.40 14.07 10.19 12.36 57 6/25/06 10.40 14.07 10.19 12.36 58 7/25/06 10.40 14.07 10.19 12.37 59 8/25/06 10.40 14.07 10.19 12.37 60 9/25/06 10.40 14.07 10.19 12.38 61 10/25/06 10.39 14.07 10.19 12.38 62 11/25/06 10.39 14.07 10.19 12.39 63 12/25/06 10.39 14.07 10.19 12.39 64 1/25/07 10.39 14.08 10.19 12.40 65 2/25/07 10.39 14.08 10.19 12.40 66 3/25/07 10.39 14.08 10.19 12.41 67 4/25/07 10.39 14.08 10.19 12.41 68 5/25/07 10.39 14.08 10.19 12.42 69 6/25/07 10.39 14.08 10.19 12.42 70 7/25/07 10.39 14.08 10.19 12.43 71 8/25/07 10.39 14.08 10.19 12.43 72 9/25/07 10.39 14.08 10.19 12.44 73 10/25/07 10.39 14.08 10.19 12.44 74 11/25/07 10.39 14.09 10.19 12.45 75 12/25/07 10.39 14.09 10.19 12.45 76 1/25/08 10.39 14.09 10.19 12.46 77 2/25/08 10.39 14.09 10.19 12.47 78 3/25/08 10.39 14.09 10.19 12.47 79 4/25/08 10.39 14.09 10.19 12.48 80 5/25/08 10.38 14.09 10.19 12.48 81 6/25/08 10.38 14.09 10.19 12.49 82 7/25/08 10.38 14.10 10.19 12.49 83 8/25/08 10.38 14.10 10.19 12.50 84 9/25/08 10.38 14.10 10.19 12.50 85 10/25/08 10.38 14.10 10.19 12.51 86 11/25/08 10.38 14.10 10.19 12.51 87 12/25/08 10.38 14.10 10.19 12.52 88 1/25/09 10.38 14.10 10.19 12.52 89 2/25/09 10.38 14.11 10.19 12.53 90 3/25/09 10.38 14.11 10.19 12.53 91 4/25/09 10.38 14.11 10.19 12.54 92 5/25/09 10.38 14.11 10.19 12.54 93 6/25/09 10.38 14.11 10.19 12.55 94 7/25/09 10.39 14.11 10.19 12.55 95 8/25/09 10.39 14.12 10.19 12.56 96 9/25/09 10.39 14.12 10.19 12.56 97 10/25/09 10.39 14.12 10.19 12.57 98 11/25/09 10.39 14.12 10.19 12.57 99 12/25/09 10.39 14.12 10.19 12.58 100 1/25/10 10.39 14.13 10.19 12.58 101 2/25/10 10.40 14.13 10.19 12.59 102 3/25/10 10.40 14.13 10.19 12.59 103 4/25/10 10.40 14.13 10.19 12.60 104 5/25/10 10.40 14.13 10.19 12.60 105 6/25/10 10.40 14.14 10.19 12.61 106 7/25/10 10.40 14.14 10.19 12.61 107 8/25/10 10.40 14.14 10.19 12.62 108 9/25/10 10.41 14.14 10.19 12.62 109 10/25/10 10.41 14.14 10.19 12.63 110 11/25/10 10.41 14.15 10.19 12.63 111 12/25/10 10.41 14.15 10.19 12.63 112 1/25/11 10.41 14.15 10.19 12.64 113 2/25/11 10.41 14.15 10.19 12.64 114 3/25/11 10.42 14.16 10.19 12.65 115 4/25/11 10.42 14.16 10.19 12.65 116 5/25/11 10.42 14.16 10.19 12.66 117 6/25/11 10.42 14.17 10.19 12.66 118 7/25/11 10.42 14.17 10.19 12.67 119 8/25/11 10.43 14.17 10.19 12.67 120 9/25/11 10.43 14.17 10.19 12.68 121 10/25/11 10.43 14.18 10.19 12.68 122 11/25/11 10.43 14.18 10.19 12.69 123 12/25/11 10.43 14.18 10.19 12.69 124 1/25/12 10.44 14.19 10.19 12.70
*PAYMENTS RECEIVED FROM CAP PROVIDER ARE ALLOCATED TO SUBORDINATED NOTES FOR CAP SCHEDULE, AND ARE ALSO AVAILABLE TO SENIOR SECURITIES SUBJECT TO HARD CAPS. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. + LIBOR 300:
Payment Period Date Group I AAA's Group II AAA's Group III AAA's Subordinates ---------------------------------------------------------------------------------------------------- 1 10/25/01 9.25 12.88 10.23 11.08 2 11/25/01 9.24 12.87 9.98 11.03 3 12/25/01 9.23 12.86 9.98 11.03 4 1/25/02 9.22 12.85 9.98 11.02 5 2/25/02 9.21 12.84 9.98 11.02 6 3/25/02 9.19 12.83 9.98 11.01 7 4/25/02 9.18 12.82 9.98 11.01 8 5/25/02 9.17 12.81 9.97 11.00 9 6/25/02 9.15 12.79 9.97 10.99 10 7/25/02 9.13 12.78 9.97 10.98 11 8/25/02 9.12 12.76 9.96 10.97 12 9/25/02 9.10 12.74 9.96 10.96 13 10/25/02 9.08 12.72 9.96 10.94 14 11/25/02 9.05 12.70 9.95 10.93 15 12/25/02 9.03 12.68 9.95 10.91 16 1/25/03 9.01 12.65 9.95 10.89 17 2/25/03 8.99 12.63 9.94 10.88 18 3/25/03 8.96 12.61 9.94 10.86 19 4/25/03 8.94 12.59 9.93 10.84 20 5/25/03 8.92 12.56 9.93 10.82 21 6/25/03 8.89 12.54 9.92 10.80 22 7/25/03 8.87 12.52 9.92 10.78 23 8/25/03 8.85 12.49 9.91 10.76 24 9/25/03 8.82 12.47 9.91 10.74 25 10/25/03 8.79 12.44 9.91 10.72 26 11/25/03 8.77 12.42 9.90 10.70 27 12/25/03 8.74 12.39 9.90 10.68 28 1/25/04 8.72 12.36 9.89 10.66 29 2/25/04 8.69 12.34 9.89 10.64 30 3/25/04 8.66 12.31 9.88 10.61 31 4/25/04 10.40 14.05 10.19 12.23 32 5/25/04 10.40 14.05 10.19 12.23 33 6/25/04 10.40 14.05 10.19 12.24 34 7/25/04 10.40 14.05 10.19 12.24 35 8/25/04 10.40 14.05 10.19 12.25 36 9/25/04 10.40 14.05 10.19 12.25 37 10/25/04 10.40 14.05 10.19 12.26 38 11/25/04 10.40 14.05 10.19 12.26 39 12/25/04 10.40 14.05 10.19 12.27 40 1/25/05 10.40 14.06 10.19 12.27 41 2/25/05 10.40 14.06 10.19 12.28 42 3/25/05 10.40 14.06 10.19 12.28 43 4/25/05 10.40 14.06 10.19 12.29 44 5/25/05 10.40 14.06 10.19 12.29 45 6/25/05 10.40 14.06 10.19 12.30 46 7/25/05 10.40 14.06 10.19 12.30 47 8/25/05 10.40 14.06 10.19 12.31 48 9/25/05 10.40 14.06 10.19 12.31 49 10/25/05 10.40 14.06 10.19 12.32 50 11/25/05 10.40 14.06 10.19 12.32 51 12/25/05 10.40 14.06 10.19 12.33 52 1/25/06 10.40 14.06 10.19 12.33 53 2/25/06 10.40 14.07 10.19 12.34 54 3/25/06 10.40 14.07 10.19 12.35 55 4/25/06 10.40 14.07 10.19 12.35 56 5/25/06 10.40 14.07 10.19 12.36 57 6/25/06 10.40 14.07 10.19 12.36 58 7/25/06 10.40 14.07 10.19 12.37 59 8/25/06 10.40 14.07 10.19 12.37 60 9/25/06 10.40 14.07 10.19 12.38 61 10/25/06 10.39 14.07 10.19 12.38 62 11/25/06 10.39 14.07 10.19 12.39 63 12/25/06 10.39 14.07 10.19 12.39 64 1/25/07 10.39 14.08 10.19 12.40 65 2/25/07 10.39 14.08 10.19 12.40 66 3/25/07 10.39 14.08 10.19 12.41 67 4/25/07 10.39 14.08 10.19 12.41 68 5/25/07 10.39 14.08 10.19 12.42 69 6/25/07 10.39 14.08 10.19 12.42 70 7/25/07 10.39 14.08 10.19 12.43 71 8/25/07 10.39 14.08 10.19 12.43 72 9/25/07 10.39 14.08 10.19 12.44 73 10/25/07 10.39 14.08 10.19 12.44 74 11/25/07 10.39 14.09 10.19 12.45 75 12/25/07 10.39 14.09 10.19 12.45 76 1/25/08 10.39 14.09 10.19 12.46 77 2/25/08 10.39 14.09 10.19 12.47 78 3/25/08 10.39 14.09 10.19 12.47 79 4/25/08 10.39 14.09 10.19 12.48 80 5/25/08 10.38 14.09 10.19 12.48 81 6/25/08 10.38 14.09 10.19 12.49 82 7/25/08 10.38 14.10 10.19 12.49 83 8/25/08 10.38 14.10 10.19 12.50 84 9/25/08 10.38 14.10 10.19 12.50 85 10/25/08 10.38 14.10 10.19 12.51 86 11/25/08 10.38 14.10 10.19 12.51 87 12/25/08 10.38 14.10 10.19 12.52 88 1/25/09 10.38 14.10 10.19 12.52 89 2/25/09 10.38 14.11 10.19 12.53 90 3/25/09 10.38 14.11 10.19 12.53 91 4/25/09 10.38 14.11 10.19 12.54 92 5/25/09 10.38 14.11 10.19 12.54 93 6/25/09 10.38 14.11 10.19 12.55 94 7/25/09 10.39 14.11 10.19 12.55 95 8/25/09 10.39 14.12 10.19 12.56 96 9/25/09 10.39 14.12 10.19 12.56 97 10/25/09 10.39 14.12 10.19 12.57 98 11/25/09 10.39 14.12 10.19 12.57 99 12/25/09 10.39 14.12 10.19 12.58 100 1/25/10 10.39 14.13 10.19 12.58 101 2/25/10 10.40 14.13 10.19 12.59 102 3/25/10 10.40 14.13 10.19 12.59 103 4/25/10 10.40 14.13 10.19 12.60 104 5/25/10 10.40 14.13 10.19 12.60 105 6/25/10 10.40 14.14 10.19 12.61 106 7/25/10 10.40 14.14 10.19 12.61 107 8/25/10 10.40 14.14 10.19 12.62 108 9/25/10 10.41 14.14 10.19 12.62 109 10/25/10 10.41 14.14 10.19 12.63 110 11/25/10 10.41 14.15 10.19 12.63 111 12/25/10 10.41 14.15 10.19 12.63 112 1/25/11 10.41 14.15 10.19 12.64 113 2/25/11 10.41 14.15 10.19 12.64 114 3/25/11 10.42 14.16 10.19 12.65 115 4/25/11 10.42 14.16 10.19 12.65 116 5/25/11 10.42 14.16 10.19 12.66 117 6/25/11 10.42 14.17 10.19 12.66 118 7/25/11 10.42 14.17 10.19 12.67 119 8/25/11 10.43 14.17 10.19 12.67 120 9/25/11 10.43 14.17 10.19 12.68 121 10/25/11 10.43 14.18 10.19 12.68 122 11/25/11 10.43 14.18 10.19 12.69 123 12/25/11 10.43 14.18 10.19 12.69
*PAYMENTS RECEIVED FROM CAP PROVIDER ARE ALLOCATED TO SUBORDINATED NOTES FOR CAP SCHEDULE, AND ARE ALSO AVAILABLE TO SENIOR SECURITIES SUBJECT TO HARD CAPS. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc. + Libor 500:
+ Libor 500 Payment Period Date Group I AAA's Group II AAA's Group III AAA's Subordinates ------------------------------------------------------------------------------------------------ 1 10/25/01 9.25 12.88 10.23 11.20 2 11/25/01 9.24 12.87 9.98 11.15 3 12/25/01 9.23 12.86 9.98 11.15 4 1/25/02 9.22 12.85 9.98 11.15 5 2/25/02 9.21 12.84 9.98 11.15 6 3/25/02 9.19 12.83 9.98 11.14 7 4/25/02 9.18 12.82 9.97 11.14 8 5/25/02 9.17 12.81 9.97 11.13 9 6/25/02 9.15 12.79 9.97 11.12 10 7/25/02 9.13 12.78 9.97 11.12 11 8/25/02 9.12 12.76 9.96 11.11 12 9/25/02 9.10 12.74 9.96 11.10 13 10/25/02 9.08 12.72 9.96 11.08 14 11/25/02 9.05 12.70 9.95 11.07 15 12/25/02 9.03 12.68 9.95 11.06 16 1/25/03 9.01 12.65 9.94 11.04 17 2/25/03 8.99 12.63 9.94 11.03 18 3/25/03 8.97 12.61 9.93 11.01 19 4/25/03 8.94 12.59 9.93 11.00 20 5/25/03 8.92 12.56 9.93 10.98 21 6/25/03 8.89 12.54 9.92 10.97 22 7/25/03 8.87 12.52 9.92 10.95 23 8/25/03 8.85 12.49 9.91 10.93 24 9/25/03 8.82 12.47 9.91 10.92 25 10/25/03 8.79 12.44 9.90 10.90 26 11/25/03 8.77 12.42 9.90 10.88 27 12/25/03 8.74 12.39 9.89 10.86 28 1/25/04 8.72 12.36 9.89 10.84 29 2/25/04 8.69 12.34 9.88 10.82 30 3/25/04 8.66 12.31 9.88 10.80 31 4/25/04 10.40 14.05 10.19 12.73 32 5/25/04 10.40 14.05 10.19 12.75 33 6/25/04 10.40 14.05 10.19 12.76 34 7/25/04 10.40 14.05 10.19 12.78 35 8/25/04 10.40 14.05 10.19 12.79 36 9/25/04 10.40 14.05 10.19 12.81 37 10/25/04 10.40 14.05 10.19 12.82 38 11/25/04 10.40 14.05 10.19 12.84 39 12/25/04 10.40 14.05 10.19 12.85 40 1/25/05 10.40 14.06 10.19 12.87 41 2/25/05 10.40 14.06 10.19 12.88 42 3/25/05 10.40 14.06 10.19 12.90 43 4/25/05 10.40 14.06 10.19 12.92 44 5/25/05 10.40 14.06 10.19 12.93 45 6/25/05 10.40 14.06 10.19 12.93 46 7/25/05 10.40 14.06 10.19 12.94 47 8/25/05 10.40 14.06 10.19 12.94 48 9/25/05 10.40 14.06 10.19 12.95 49 10/25/05 10.40 14.06 10.19 12.95 50 11/25/05 10.40 14.06 10.19 12.96 51 12/25/05 10.40 14.06 10.19 12.96 52 1/25/06 10.40 14.06 10.19 12.97 53 2/25/06 10.40 14.07 10.19 12.97 54 3/25/06 10.40 14.07 10.19 12.98 55 4/25/06 10.40 14.07 10.19 12.98 56 5/25/06 10.40 14.07 10.19 12.99 57 6/25/06 10.40 14.07 10.19 12.99 58 7/25/06 10.40 14.07 10.19 13.00 59 8/25/06 10.40 14.07 10.19 13.00 60 9/25/06 10.40 14.07 10.19 13.01 61 10/25/06 10.39 14.07 10.19 13.01 62 11/25/06 10.39 14.07 10.19 13.02 63 12/25/06 10.39 14.07 10.19 13.02 64 1/25/07 10.39 14.08 10.19 13.03 65 2/25/07 10.39 14.08 10.19 13.04 66 3/25/07 10.39 14.08 10.19 13.04 67 4/25/07 10.39 14.08 10.19 13.05 68 5/25/07 10.39 14.08 10.19 13.05 69 6/25/07 10.39 14.08 10.19 13.06 70 7/25/07 10.39 14.08 10.19 13.06 71 8/25/07 10.39 14.08 10.19 13.07 72 9/25/07 10.39 14.08 10.19 13.07 73 10/25/07 10.39 14.08 10.19 13.08 74 11/25/07 10.39 14.09 10.19 13.08 75 12/25/07 10.39 14.09 10.19 13.09 76 1/25/08 10.39 14.09 10.19 13.09 77 2/25/08 10.39 14.09 10.19 13.10 78 3/25/08 10.39 14.09 10.19 13.10 79 4/25/08 10.39 14.09 10.19 13.11 80 5/25/08 10.38 14.09 10.19 13.11 81 6/25/08 10.38 14.09 10.19 13.12 82 7/25/08 10.38 14.10 10.19 13.12 83 8/25/08 10.38 14.10 10.19 13.13 84 9/25/08 10.38 14.10 10.19 13.13 85 10/25/08 10.38 14.10 10.19 13.14 86 11/25/08 10.38 14.10 10.19 13.15 87 12/25/08 10.38 14.10 10.19 13.15 88 1/25/09 10.38 14.10 10.19 13.16 89 2/25/09 10.38 14.11 10.19 13.16 90 3/25/09 10.38 14.11 10.19 13.17 91 4/25/09 10.38 14.11 10.19 13.17 92 5/25/09 10.38 14.11 10.19 13.18 93 6/25/09 10.38 14.11 10.19 13.18 94 7/25/09 10.39 14.11 10.19 13.19 95 8/25/09 10.39 14.12 10.19 13.19 96 9/25/09 10.39 14.12 10.19 13.20 97 10/25/09 10.39 14.12 10.19 13.20 98 11/25/09 10.39 14.12 10.19 13.20 99 12/25/09 10.39 14.12 10.19 13.21 100 1/25/10 10.39 14.13 10.19 13.21 101 2/25/10 10.40 14.13 10.19 13.22 102 3/25/10 10.40 14.13 10.19 13.22 103 4/25/10 10.40 14.13 10.19 13.23 104 5/25/10 10.40 14.13 10.19 13.23 105 6/25/10 10.40 14.14 10.19 13.24 106 7/25/10 10.40 14.14 10.19 13.24 107 8/25/10 10.40 14.14 10.19 13.25 108 9/25/10 10.41 14.14 10.19 13.25 109 10/25/10 10.41 14.14 10.19 13.26 110 11/25/10 10.41 14.15 10.19 13.26 111 12/25/10 10.41 14.15 10.19 13.27 112 1/25/11 10.41 14.15 10.19 13.27 113 2/25/11 10.41 14.15 10.19 13.28 114 3/25/11 10.42 14.16 10.19 13.28 115 4/25/11 10.42 14.16 10.19 13.29 116 5/25/11 10.42 14.16 10.19 13.29 117 6/25/11 10.42 14.17 10.19 13.30 118 7/25/11 10.42 14.17 10.19 13.30 119 8/25/11 10.43 14.17 10.19 13.31 120 9/25/11 10.43 14.17 10.19 13.31 121 10/25/11 10.43 14.18 10.19 13.32 122 11/25/11 10.43 14.18 10.19 13.32 123 12/25/11 10.43 14.18 10.19 13.33 124 1/25/12 10.44 14.19 10.19 13.33
*PAYMENTS RECEIVED FROM CAP PROVIDER ARE ALLOCATED TO SUBORDINATED NOTES FOR CAP SCHEDULE, AND ARE ALSO AVAILABLE TO SENIOR SECURITIES SUBJECT TO HARD CAPS. Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc.