LEHMAN
BROTHERS
MORTGAGE BACKED
SECURITIES
|
$2,297,417,000
(Approximate)
STRUCTURED ASSET INVESTMENT LOAN
TRUST,
SERIES 2005-6
SENIOR/SUBORDINATE
CERTIFICATES
Available Funds
Floaters
No Hard Cap – Act/360
– No Delay
|
Investors are urged to
read the final Prospectus Supplement and the related Prospectus,
which will be filed with the Securities and Exchange Commission and
may be accessed free of charge on the SEC’s web site,
www.sec.gov. A copy of the Prospectus Supplement and
Prospectus will be provided by Lehman Brothers Inc. upon request.
(The Prospectus Supplement and Prospectus are referred to
collectively as the "Offering Document"). The Offering
Document contains important information about the offered
securities that is not contained in these materials.
Information contained herein does not purport to be complete
and is subject to the same qualifications and assumptions, and
should be considered by investors only in the light of the same
warnings, lack of assurances and representations and other
precautionary matters, as disclosed in the Offering Document.
The analyses contained herein have been prepared on the basis
of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest
rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman
Brothers Inc., and any of its affiliates, make no representation or
warranty as to the actual rate or timing of payments on any of the
underlying assets or the payments or yield on the securities.
This information supersedes any prior versions
hereof.
|
To 10% Call
|
|
|
|
|
Est.
|
Payment
|
Initial
|
|
Legal
|
Expected
|
|
|
Approximate
|
Coupon/
|
WAL (2)
|
Window (2)
|
C/E (3)
|
Initial
|
Final
|
Ratings
|
|
Class
|
Size ($) (1)
|
Benchmark
|
(yrs.)
|
(mos.)
|
(%)
|
Margin
|
Maturity
|
(S&P/Moody’s/Fitch)
|
|
A1 (4)
|
478,380,000
|
1 M LIBOR
|
2.14
|
1-77
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A2 (4)
|
53,153,000
|
1 M LIBOR
|
2.14
|
1-77
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A3 (5)
|
531,683,000
|
1 M LIBOR
|
2.14
|
1-77
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A4 (6)
|
99,022,000
|
1 M LIBOR
|
0.88
|
1-23
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A5 (6)
|
46,000,000
|
1 M LIBOR
|
3.00
|
23-60
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A6 (6)
|
23,716,000
|
1 M LIBOR
|
6.10
|
60-77
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A7 (7)
|
419,977,000
|
1 M LIBOR
|
0.86
|
1-23
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A8 (7)
|
203,126,000
|
1 M LIBOR
|
3.00
|
23-61
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A9 (7)
|
92,554,000
|
1 M LIBOR
|
6.13
|
61-77
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
M1
|
69,269,000
|
1 M LIBOR
|
4.57
|
42-77
|
12.65%
|
TBD
|
7/25/2035
|
AA+/Aa1/AA+
|
|
M2
|
64,651,000
|
1 M LIBOR
|
4.49
|
41-77
|
9.85%
|
TBD
|
7/25/2035
|
AA/Aa2/AA
|
|
M3
|
39,252,000
|
1 M LIBOR
|
4.45
|
40-77
|
8.15%
|
TBD
|
7/25/2035
|
AA-/Aa3/AA-
|
|
M4
|
34,634,000
|
1 M LIBOR
|
4.42
|
39-77
|
6.65%
|
TBD
|
7/25/2035
|
A+/A1/A+
|
|
M5
|
34,634,000
|
1 M LIBOR
|
4.40
|
38-77
|
5.15%
|
TBD
|
7/25/2035
|
A/A2/A
|
|
M6
|
26,553,000
|
1 M LIBOR
|
4.38
|
38-77
|
4.00%
|
TBD
|
7/25/2035
|
A-/A3/A-
|
|
M7
|
34,635,000
|
1 M LIBOR
|
4.37
|
37-77
|
2.50%
|
TBD
|
7/25/2035
|
BBB/Baa2/BBB
|
|
M8
|
23,090,000
|
1 M LIBOR
|
4.19
|
37-76
|
1.50%
|
TBD
|
7/25/2035
|
BBB-/Baa3/BBB-
|
|
M9-A
|
5,772,000
|
1 M LIBOR
|
3.78
|
37-60
|
1.00%
|
TBD
|
7/25/2035
|
BBB-/NR/BBB-
|
|
M9-F
|
5,772,000
|
[6.00]%
|
3.78
|
37-60
|
1.00%
|
N/A
|
7/25/2035
|
BBB-/NR/BBB-
|
|
M10-A
|
5,772,000
|
1 M LIBOR
|
3.19
|
37-46
|
0.50%
|
TBD
|
7/25/2035
|
BBB-/NR/BB+
|
|
M10-F
|
5,772,000
|
[6.00]%
|
3.19
|
37-46
|
0.50%
|
N/A
|
7/25/2035
|
BBB-/NR/BB+
|
|
To Maturity
|
|
|
|
|
Est.
|
Payment
|
Initial
|
|
Legal
|
Expected
|
|
|
Approximate
|
Coupon/
|
WAL (2)
|
Window (2)
|
C/E (3)
|
Initial
|
Final
|
Ratings
|
|
Class
|
Size ($) (1)
|
Benchmark
|
(yrs.)
|
(mos.)
|
(%)
|
Margin
|
Maturity
|
(S&P/Moody’s/Fitch)
|
|
A1 (4)
|
478,380,000
|
1 M LIBOR
|
2.34
|
1-170
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A2 (4)
|
53,153,000
|
1 M LIBOR
|
2.34
|
1-170
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A3 (5)
|
531,683,000
|
1 M LIBOR
|
2.33
|
1-169
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A4 (6)
|
99,022,000
|
1 M LIBOR
|
0.88
|
1-23
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A5 (6)
|
46,000,000
|
1 M LIBOR
|
3.00
|
23-60
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A6 (6)
|
23,716,000
|
1 M LIBOR
|
7.69
|
60-172
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A7 (7)
|
419,977,000
|
1 M LIBOR
|
0.86
|
1-23
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A8 (7)
|
203,126,000
|
1 M LIBOR
|
3.00
|
23-61
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
A9 (7)
|
92,554,000
|
1 M LIBOR
|
7.65
|
61-172
|
15.65%
|
TBD
|
7/25/2035
|
AAA/Aaa/AAA
|
|
M1
|
69,269,000
|
1 M LIBOR
|
5.00
|
42-135
|
12.65%
|
TBD
|
7/25/2035
|
AA+/Aa1/AA+
|
|
M2
|
64,651,000
|
1 M LIBOR
|
4.90
|
41-129
|
9.85%
|
TBD
|
7/25/2035
|
AA/Aa2/AA
|
|
M3
|
39,252,000
|
1 M LIBOR
|
4.83
|
40-121
|
8.15%
|
TBD
|
7/25/2035
|
AA-/Aa3/AA-
|
|
M4
|
34,634,000
|
1 M LIBOR
|
4.77
|
39-115
|
6.65%
|
TBD
|
7/25/2035
|
A+/A1/A+
|
|
M5
|
34,634,000
|
1 M LIBOR
|
4.70
|
38-108
|
5.15%
|
TBD
|
7/25/2035
|
A/A2/A
|
|
M6
|
26,553,000
|
1 M LIBOR
|
4.61
|
38-100
|
4.00%
|
TBD
|
7/25/2035
|
A-/A3/A-
|
|
M7
|
34,635,000
|
1 M LIBOR
|
4.48
|
37-92
|
2.50%
|
TBD
|
7/25/2035
|
BBB/Baa2/BBB
|
|
M8
|
23,090,000
|
1 M LIBOR
|
4.19
|
37-76
|
1.50%
|
TBD
|
7/25/2035
|
BBB-/Baa3/BBB-
|
|
M9-A
|
5,772,000
|
1 M LIBOR
|
3.78
|
37-60
|
1.00%
|
TBD
|
7/25/2035
|
BBB-/NR/BBB-
|
|
M9-F
|
5,772,000
|
[6.00]%
|
3.78
|
37-60
|
1.00%
|
N/A
|
7/25/2035
|
BBB-/NR/BBB-
|
|
M10-A
|
5,772,000
|
1 M LIBOR
|
3.19
|
37-46
|
0.50%
|
TBD
|
7/25/2035
|
BBB-/NR/BB+
|
|
M10-F
|
5,772,000
|
[6.00]%
|
3.19
|
37-46
|
0.50%
|
N/A
|
7/25/2035
|
BBB-/NR/BB+
|
(1)
Subject to a permitted
variance of + 5% in the aggregate.
(2)
The Certificates will be
priced assuming a prepayment speed equal to 30% CPR. Assumes
a closing date of 5/30/05, dated date of 5/25/05 and first payment
date of 6/25/05.
(3)
Initial Credit
Enhancement includes overcollateralization of approximately
0.50%.
(4)
The Class A1 and A2
Certificates are the Senior Certificates of Group 1.
(5)
The Class A3 Certificates
are the Senior Certificates of Group 2.
(6)
The Class A4, A5 and A6
Certificates are the Senior Certificates of Group 3.
(7)
The Class A7, A8 and A9
Certificates are the Senior Certificates of Group 4.
Principal Payment
Priority
On each Distribution
Date, principal in the amount of any Net Swap Payment or swap
termination payment due to the Swap Counterparty and remaining
unpaid (after application of interest received or advanced for this
purpose on such Distribution Date), will be deposited into the swap
account and paid as described in the Swap Account Payment Priority,
to be paid from each of Group 1, Group 2, Group 3 and Group 4 in
proportion to the aggregate collateral balance of each group and
then from the unrelated groups, to the extent unpaid. Any
funds remaining will be paid in the following order of
priority:
I.
Prior to the Stepdown
Date, or whenever a Trigger Event is in effect:
1)
Concurrently, to the
Senior Certificates:
A)
All principal from Group
1 will be paid to the Class A1 and A2 Certificates:
a.
If a Sequential Trigger
Event (as defined herein) is not in effect, all principal from
Group 1 will be paid to the Class A1 and Class A2 Certificates,
pro rata in proportion to their outstanding balance, until
they have been reduced to zero; or
b.
If a Sequential Trigger
Event is in effect, all principal from Group 1 will be paid to the
Class A1 and Class A2 Certificates, sequentially and in that order,
until they have been reduced to zero;
B)
All principal from Group
2 will be paid to the Class A3 Certificates, until they have been
reduced to zero;
C)
All principal from Group
3 will be paid to the Class A4, Class A5 and Class A6 Certificates,
sequentially and in that order, until they have been reduced to
zero; and
D)
All principal from Group
4 will be paid to the Class A7, Class A8 and Class A9 Certificates,
sequentially and in that order, until they have been reduced to
zero;
2)
If the Senior
Certificates related to any group have been retired, all principal
from that group will be allocated to the Senior Certificates of the
unrelated groups, pro rata based on the aggregate principal
balance of the Senior Certificates related to each Group, to be
paid as described above, until all the Senior Certificates have
been reduced to zero;
3)
To the Class M1, M2, M3,
M4, M5, M6, M7 and M8 Certificates, sequentially and in that order,
until reduced to zero;
4)
To the Class M9-A and
M9-F Certificates, concurrently and in proportion to their
outstanding principal balance, until reduced to zero;
and
5)
To the Class M10-A and
M10-F Certificates, concurrently and in proportion to their
outstanding principal balance, until reduced to zero.
II.
On or after the Stepdown
Date and as long as a Trigger Event is not in effect:
1)
All principal from each
Group will be allocated to the related Senior Certificates, to be
paid as described in (I)(1) above, provided, however, that
principal will only be allocated to the Senior Certificates in the
amount required to achieve the Targeted Senior Enhancement
Percentage in the aggregate;
2)
If the Senior
Certificates related to any group have been retired, all principal
from that group will be allocated to the Senior Certificates of the
unrelated groups, pro rata based on the aggregate principal
balance of the Senior Certificates related to each Group, to be
paid as described above, until the Targeted Senior Enhancement
Percentage has been reached in the aggregate;
3)
To the Class M1, M2, M3,
M4, M5, M6, M7 and M8 Certificates, sequentially and in that order,
until the Credit Enhancement behind each class is equal to two
times the related initial enhancement percentage;
4)
To the Class M9-A and
M9-F Certificates, concurrently and in proportion to their
outstanding principal balance, until the aggregate Credit
Enhancement behind the Class M9-A and M9-F Certificates is equal to
two times the related initial enhancement percentage in the
aggregate;
and
5)
To the Class M10-A and
M10-F Certificates, concurrently and in proportion to their
outstanding principal balance, until the aggregate Credit
Enhancement behind the Class M10-A and M10-F Certificates is equal
to two times the related initial enhancement percentage in
the aggregate.
The Stepdown Date is the
later of (i) the Distribution Date upon which the original Senior
Enhancement Percentage (as defined herein) doubles to meet the
Targeted Senior Enhancement Percentage of 31.30%, or (ii) the 37th
distribution date.
Interest Payment
Priority
The Interest Rates for
the Class A1, A2, A3, A4, A5, A6, A7, A8, A9, M1, M2, M3, M4, M5,
M6, M7, M8, M9-A and M10-A Certificates (the “LIBOR
Certificates”) will be equal to the lesser of (i) one-month
LIBOR plus their respective margins and (ii) their Net Funds Cap
(as defined herein). Interest for the LIBOR Certificates will
be calculated on an actual/360 basis.
The Interest Rates for
the Class M9-F and M10-F Certificates (the “Fixed Rate
Certificates”) will be equal to the lesser of (i) the stated
fixed rate and (ii) the Subordinate Net Funds Cap. Interest
for the Fixed Rate Certificates will be calculated on a 30/360
basis.
The “Accrual
Period” for the LIBOR Certificates for each Distribution Date
will be the one-month period beginning on the immediately preceding
Distribution Date (or on June 25, 2005, in the case of the first
Accrual Period) and ending on the day immediately preceding the
related Distribution Date. The
“Accrual
Period” for the Fixed Rate Certificates for each Distribution
Date will be the calendar month preceding the related Distribution
Date.
Interest received or
advanced on each Distribution Date will be allocated in the
following priority:
(1)
To pay fees: Servicing
Fee and any applicable Mortgage Insurance Fee;
(2)
To deposit into the Swap
Account (as defined below) any Net Swap Payment (as defined below)
or any swap termination payment owed to the Swap Counterparty
pursuant to the swap agreement, to be paid from any of Group 1,
Group 2, Group 3 and Group 4 Interest in an amount proportionate to
the aggregate collateral balance of the related Group;
(3)
To deposit into the Swap
Account any Net Swap Payment or any swap termination payment owed
to the Swap Counterparty pursuant to the swap agreement, in an
amount proportionate to the aggregate collateral balance of the
unrelated Groups, to the extent not paid above;
(4)
On each Distribution
Date beginning with July 2015, to the Final Maturity Reserve Fund,
the Final Maturity Reserve Fund Amount;
(5)
To pay Current Interest
and Carryforward Interest to the Class A1 and Class A2 Certificates
from Group 1 Interest on a pro rata basis;
(6)
To pay Current Interest
and Carryforward Interest to the Class A3 Certificates from Group 2
Interest;
(7)
To pay Current Interest
and Carryforward Interest to the Class A4, Class A5 and Class A6
Certificates from Group 3 Interest on a pro rata
basis;
(8)
To pay Current Interest
and Carryforward Interest to the Class A7, Class A8 and Class A9
Certificates from Group 4 Interest on a pro rata
basis;
(9)
To pay Current Interest
and Carryforward Interest to the Senior Certificates on a pro
rata basis, to the extent not paid above;
(10)
To pay Current Interest
and Carryforward Interest to the Class M1, M2, M3, M4, M5, M6, M7
and M8 Certificates, sequentially and in that order;
(11)
To pay Current Interest
and Carryforward Interest to the Class M9-A and M9-F Certificates
on a pro rata basis;
(12)
To pay Current Interest
and Carryforward Interest to the Class M10-A and M10-F Certificates
on a pro rata basis;
(13)
To pay the Credit Risk
Manager Fee;
(14)
To pay to the Trustee
previously unreimbursed extraordinary costs, liabilities and
expenses, to the extent provided in the trust agreement;
(15)
Any interest remaining
after the application of (1) through (14) above will be deemed
excess interest for such Distribution Date and will be distributed
as principal , according to the principal distribution rule
in effect for such Distribution Date, as needed to maintain the
Overcollateralization Target;
(16)
To pay concurrently in
proportion to their respective Basis Risk Shortfall and Unpaid
Basis Risk Shortfall amounts, to the Class A1, A2, A3, A4, A5, A6,
A7, A8 and A9 Certificates, any Basis Risk Shortfall and Unpaid
Basis Risk Shortfall amounts;
(17)
To pay sequentially to
the Class M1, M2, M3, M4, M5, M6, M7 and M8 Certificates any Basis
Risk Shortfall and Unpaid Basis Risk Shortfall amounts;
(18)
To pay to the Class M9-A
and M9-F Certificates, concurrently in proportion to their
respective Basis Risk Shortfall and Unpaid Basis Risk Shortfall
amounts, any Basis Risk Shortfall and Unpaid Basis Risk Shortfall
amounts;
(19)
To pay to the Class
M10-A and M10-F Certificates, concurrently in proportion to their
respective Basis Risk Shortfall and Unpaid Basis Risk Shortfall
amounts, any Basis Risk Shortfall and Unpaid Basis Risk Shortfall
amounts;
(20)
To pay sequentially to
the Class M1, M2, M3, M4, M5, M6, M7 and M8 Certificates any
Deferred Amounts;
(21)
To pay to the Class M9-A
and M9-F Certificates, concurrently in proportion to their
respective Deferred Amounts, any Deferred Amounts;
(22)
To pay to the Class
M10-A and M10-F Certificates, concurrently in proportion to their
respective Deferred Amounts, any Deferred Amounts; and
(23)
To pay remaining amounts
to the holder of the Class X Certificates.
Interest Rate Swap
Agreement
The 59-month Interest
Rate Swap Agreement (the “Swap Agreement”) will
obligate the Trust to pay a predetermined annual rate (as shown
below) on the swap notional amount in each period. The Trust will
receive payments equal to an annual rate of one-month LIBOR on the
swap notional amount for each period over the life of the Swap
Agreement. Payments on both legs of the swap are calculated
on an actual/360 basis. The payments will be netted against
each other each month (the “Net Swap Payment”) and will
be deposited into an account (the “Swap
Account”).
|
Month
|
Notional Balance
($)
|
Rate of Payment by
Trust
(%)
|
|
Month
|
Notional Balance
($)
|
Rate of Payment by
Trust
(%)
|
|
1
|
0
|
0.00
|
|
31
|
386,199,000
|
4.14
|
|
2
|
2,227,113,000
|
3.53
|
|
32
|
362,435,000
|
4.15
|
|
3
|
2,158,949,000
|
3.61
|
|
33
|
341,586,000
|
4.16
|
|
4
|
2,092,860,000
|
3.70
|
|
34
|
323,178,000
|
4.17
|
|
5
|
2,028,783,000
|
3.78
|
|
35
|
305,749,000
|
4.17
|
|
6
|
1,966,658,000
|
3.85
|
|
36
|
289,249,000
|
4.18
|
|
7
|
1,906,424,000
|
3.85
|
|
37
|
273,626,000
|
4.19
|
|
8
|
1,848,024,000
|
3.85
|
|
38
|
258,834,000
|
4.20
|
|
9
|
1,791,403,000
|
3.88
|
|
39
|
244,829,000
|
4.20
|
|
10
|
1,736,505,000
|
3.89
|
|
40
|
231,567,000
|
4.21
|
|
11
|
1,683,279,000
|
3.91
|
|
41
|
219,009,000
|
4.21
|
|
12
|
1,631,674,000
|
3.93
|
|
42
|
207,118,000
|
4.22
|
|
13
|
1,570,095,000
|
3.94
|
|
43
|
195,857,000
|
4.23
|
|
14
|
1,508,892,000
|
3.95
|
|
44
|
185,195,000
|
4.23
|
|
15
|
1,448,181,000
|
3.96
|
|
45
|
175,097,000
|
4.24
|
|
16
|
1,388,076,000
|
3.98
|
|
46
|
165,536,000
|
4.25
|
|
17
|
1,328,685,000
|
3.99
|
|
47
|
156,481,000
|
4.25
|
|
18
|
1,270,110,000
|
4.09
|
|
48
|
147,906,000
|
4.26
|
|
19
|
1,212,448,000
|
4.12
|
|
49
|
139,786,000
|
4.27
|
|
20
|
1,155,793,000
|
4.13
|
|
50
|
132,096,000
|
4.27
|
|
21
|
1,100,229,000
|
4.15
|
|
51
|
124,814,000
|
4.28
|
|
22
|
1,045,837,000
|
4.16
|
|
52
|
117,917,000
|
4.28
|
|
23
|
992,691,000
|
4.17
|
|
53
|
111,386,000
|
4.29
|
|
24
|
940,856,000
|
4.11
|
|
54
|
105,201,000
|
4.30
|
|
25
|
696,672,000
|
4.09
|
|
55
|
99,343,000
|
4.30
|
|
26
|
610,286,000
|
4.10
|
|
56
|
93,795,000
|
4.31
|
|
27
|
543,957,000
|
4.11
|
|
57
|
88,541,000
|
4.32
|
|
28
|
491,541,000
|
4.12
|
|
58
|
83,565,000
|
4.33
|
|
29
|
449,291,000
|
4.13
|
|
59
|
78,852,000
|
4.34
|
|
30
|
414,744,000
|
4.13
|
|
60
|
74,392,000
|
4.35
|
Swap Account Payment
Priority
All payments due under
the Swap Agreement and any swap termination payment pursuant to the
Swap Agreement will be deposited into the Swap Account, and
allocated in the following order of priority:
(1)
To pay any Net Swap
Payment owed to the Swap Counterparty pursuant to the Swap
Agreement;
(2)
To pay any swap
termination payment to the Swap Counterparty, to the extent the
termination is not due to a default on the part of the Swap
Counterparty;
(3)
To pay Current Interest
and Carryforward Interest to the Senior Certificates on a pro
rata basis, to the extent unpaid;
(4)
To pay Current Interest
and Carryforward Interest to the Class M1, M2, M3, M4, M5, M6, M7
and M8 Certificates, sequentially and in that order, to the extent
unpaid;
(5)
To pay Current Interest
and Carryforward Interest to the Class M9-A and M9-F Certificates
on a pro rata basis, to the extent unpaid;
(6)
To pay Current Interest
and Carryforward Interest to the Class M10-A and M10-F Certificates
on a pro rata basis, to the extent unpaid;
(7)
To be paid as principal,
in accordance with the principal distribution rules in effect for
such Distribution Date, as needed to maintain the
Overcollateralization Target*;
(8)
To pay concurrently in
proportion to their respective Basis Risk Shortfall and Unpaid
Basis Risk Shortfall amounts, to the Class A1, A2, A3, A4, A5, A6,
A7, A8 and A9 Certificates, any Basis Risk Shortfall and Unpaid
Basis Risk Shortfall amounts, to the extent not yet
paid;
(9)
To pay sequentially to
the Class M1, M2, M3, M4, M5, M6, M7 and M8 Certificates any Basis
Risk Shortfall and Unpaid Basis Risk Shortfall amounts, to the
extent not yet paid;
(10)
To pay to the Class M9-A
and M9-F Certificates, concurrently in proportion to their
respective Basis Risk Shortfall and Unpaid Basis Risk Shortfall
amounts, any Basis Risk Shortfall and Unpaid Basis Risk Shortfall
amounts, to the extent not yet paid;
(11)
To pay to the Class
M10-A and M10-F Certificates, concurrently in proportion to their
respective Basis Risk Shortfall and Unpaid Basis Risk Shortfall
amounts, any Basis Risk Shortfall and Unpaid Basis Risk Shortfall
amounts, to the extent not yet paid;
(12)
To pay sequentially to
the Class M1, M2, M3, M4, M5, M6, M7 and M8 Certificates any
Deferred Amounts, to the extent not yet paid*;
(13)
To pay to the Class M9-A
and M9-F Certificates, concurrently in proportion to their
respective Deferred Amounts, any Deferred Amounts, to the extent
not yet paid*;
(14)
To pay to the Class
M10-A and M10-F Certificates, concurrently in proportion to their
respective Deferred Amounts, any Deferred Amounts, to the extent
not yet paid*;
(15)
To pay any swap
termination payment to the Swap Counterparty, to the extent the
termination is due to a default on the part of the Swap
Counterparty; and
(16)
All remaining amounts to
the holder of the Class X Certificates.
* Amounts paid under
steps (7), (12), (13) and (14) must be limited to Cumulative
Realized Losses.
Carryforward
Interest
“Carryforward
Interest” for each Class of LIBOR Certificates and Fixed Rate
Certificates for any Distribution Date will be the sum of (1) the
amount, if any, by which (x) the sum of (A) Current Interest for
such Class for the immediately preceding Distribution Date and (B)
any unpaid Carryforward Interest from previous Distribution Dates
exceeds (y) the amount distributed in respect of interest on such
Class on such immediately preceding Distribution Date, and (2)
interest on such amount for the related Accrual Period at the
applicable Interest Rate.
“
Current Interest”
for any Class of LIBOR Certificates and Fixed Rate Certificates for
any Distribution Date will be the aggregate amount of interest
accrued at the applicable Interest Rate during the related Accrual
Period on the Class Principal Amount of that Class.
Net Funds
Cap
The “Senior Net
Funds Cap” for each Distribution Date and each Group will be
the annual rate equal to the excess, if any, of (x) a fraction,
expressed as a percentage, the numerator of which is the product of
(1) the excess, if any, of (i) the related Optimal Interest
Remittance Amount (as defined below) for such date over (ii) the
proportionate share of any Net Swap Payment and any swap
termination payment due to the Swap Counterparty, and (2) 12, and
the denominator of which is the related Group balance for the
immediately preceding Distribution Date, multiplied by (b) a
fraction, the numerator of which is 30 and the denominator of which
is the actual number of days in the accrual period over (y) the
Final Maturity Reserve Fund Rate.
The “Subordinate
Net Funds Cap” for any Distribution Date will be the weighted
average of the Senior Net Funds Caps for the four groups, weighted
on the basis of their Group Subordinate Amounts; provided, however,
on any Distribution Date after the Senior Certificates related to
any three Groups have been reduced to zero, such weighting shall be
on the basis of the principal balance of each Group and further
provided that with respect to the Class M9-F and M10-F
Certificates, clause (b) for each Group will be equal to
1.
The “Optimal
Interest Remittance Amount” with respect to each Distribution
Date and each Group will be equal to the product of (A) (x) the
weighted average of the Net Mortgage Rates (as defined below) of
the Mortgage Loans in the Group, as of the first day of the related
Collection Period divided by (y) 12 and (B) the aggregate Group
balance for the immediately preceding Distribution Date.
The “Net Mortgage
Rate” with respect to any Mortgage Loan will be the Mortgage
Rate thereof reduced by the sum of the Servicing Fee Rate and, in
the case of an Insured Mortgage Loan, the Mortgage Insurance Fee
Rate.
Final Maturity
Reserve Fund
On each Distribution
Date beginning with July 2015, an amount (the “Final Maturity
Reserve Fund Amount”) equal to the product of (x) the Final
Maturity Reserve Fund Rate, (y) the outstanding pool balance on
such Distribution Date and (z) a fraction, the numerator of which
is the actual number of days in the related Accrual Period and the
denominator of which is 360 will be deposited into the Final
Maturity Reserve Fund. On the Distribution Date in July 2035,
amounts on deposit in the Final Maturity Reserve Fund will be
distributed as principal.
Origination and
Servicing
The majority of the
Mortgage Loans were originated by BNC Mortgage (62.36%), Option One
(20.74%) and Aurora (8.19%) and as of the Closing Date are serviced
by Option One (83.05%), Aurora (9.56%), Wells Fargo (4.00%),
JPMorgan Chase (2.84%), and Ocwen (0.55%). Approximately
0.52% and 74.51% of the Mortgage Loans serviced by Option One are
expected to transfer to another servicer on or about July 1, 2005
and August 1, 2005, respectively.
Mortgage
Insurance
Approximately 83.49% of
the first lien Mortgage Loans with over 80% Loan-to-Value
(“LTV”) will be covered by a loan level primary
mortgage insurance policy provided by MGIC, RMIC, PMI and certain
other providers. This coverage will generally reduce the LTV
of the insured loans to 60%.
Credit Risk
Manager
The MurrayHill Company
(“MurrayHill”) will act as a credit risk manager on
behalf of the Trust. MurrayHill’s primary function will
be to monitor and advise the servicers with respect to default
management and reporting for the benefit of the Trust. The
following summarizes some of MurrayHill’s monthly
activities:
·
Monitoring of all loans
that are 60 or more days delinquent to ensure all foreclosure
timelines are met or forbearance plans are established.
·
Monitoring of the
servicers’ claim process for loans with mortgage insurance to
ensure insurance claims are filed in an accurate and timely
way.
·
Review of the prepayment
penalty collections by the servicers.
Basis Risk
Shortfall
With respect to each
Distribution Date, to the extent that (a) the amount of interest
payable to a Class, as calculated without regard to the applicable
Net Funds Cap, exceeds (b) the amount calculated at the stated rate
(such excess, a “Basis Risk Shortfall”), that Class
will be entitled to the amount of such Basis Risk Shortfall or
Unpaid Basis Risk Shortfall, plus interest thereon at the
applicable Interest Rate, before the Class X and Class R
Certificates are entitled to any distributions. The
“Unpaid Basis Risk Shortfall” for any Class of
Certificates on any Distribution Date will be the aggregate of all
Basis Risk Shortfalls for such Class for all previous Distribution
Dates, together with interest thereon at the applicable Interest
Rate, less all payments made with respect to such Class in respect
of such Basis Risk Shortfalls on or prior to such Distribution
Date.
Losses
Losses that are not
covered by mortgage insurance are allocated in the following order:
excess spread, overcollateralization, the Class M10-A and M10-F
Certificates pro rata in proportion to their respective
Class Principal Amounts, the Class M9-A and M9-F Certificates
pro rata in proportion to their respective Class Principal
Amounts and the remaining Class M Certificates in inverse order of
priority. The allocation of losses to a class will result in
a writedown of its principal amount and is referred to as an
“Applied Loss Amount”. The balance of the Class
A1, A2, A3, A4, A5, A6, A7, A8 and A9 Certificates will not be
reduced by allocation of Applied Loss Amounts.
Deferred Amount & Subsequent
Recoveries
With respect to each
Distribution Date, the “Deferred Amount” for each Class
of Class M Certificates will be equal to the amount by which (x)
the aggregate of Applied Loss Amounts previously applied in
reduction of the Class Principal Amount thereof exceeds (y) the sum
of (i) the aggregate of amounts previously distributed in
reimbursement thereof and (ii) the amount by which the Principal
Amount of such class has been increased due to Subsequent
Recoveries.
A “Subsequent
Recovery” is an amount recovered with respect to a Mortgage
Loan after it has been liquidated and the loss has been passed
through to the Trust. Subsequent Recoveries will increase the
principal amount of classes which have been allocated an Applied
Loss Amount, in order of seniority, by an amount equal to the
lesser of (i) the outstanding Deferred Amount for such class and
(ii) the amount of Subsequent Recoveries available after
application to more senior classes. Funds related to
Subsequent Recoveries will be included in the remittance amount for
the related Distribution Date.
10% Optional
Redemption
The transaction can be
called by the Master Servicer, Aurora Loan Services LLC (an
affiliate of Lehman Brothers), on any Distribution Date following
the month in which the loan principal balance of the Mortgage Loans
is reduced to less than 10% of the Cut-off Date loan principal
balance. If the optional redemption is not exercised on the
first Distribution Date on which it is able to be exercised,
beginning with the next succeeding Distribution Date, the margins
on the Class A1, A2, A3, A4, A5, A6, A7, A8 and A9 Certificates
will double and the margins on the Class M1, M2, M3, M4, M5, M6,
M7, M8, M9-A and M10-A Certificates will increase to 1.5 times
their initial margins and the stated rate on the Class M9-F and
M10-F Certificates will be equal to [6.50]%.
Credit
Enhancement
Subordination
Classes A1, A2, A3, A4,
A5, A6, A7, A8 and A9 will have limited protection by means of the
subordination of the Class M Certificates. Classes A1, A2,
A3, A4, A5, A6, A7, A8 and A9 will have the preferential right to
receive interest due to them and principal available for
distribution over Classes having a lower priority of distribution.
Each Class of Class M Certificates will be senior to all
other Classes of Class M Certificates with a higher numerical
designation. If on any Distribution Date after giving effect
to all realized losses and distributions of principal on such
Distribution Date, the aggregate Certificate Principal Amount
exceeds the aggregate loan balance, the Class M Certificates will
be reduced by the Applied Loss Amount in the following order: the
Class M10-A and M10-F Certificates pro rata in proportion to
their respective Class Principal Amounts, until reduced to zero,
the Class M9-A and M9-F Certificates pro rata in proportion
to their respective Class Principal Amounts, until reduced to zero
and the remaining Class M Certificates in inverse order of
priority, until all of the Class M Certificates have been reduced
to zero.
Overcollateralization
Excess interest may be
used to pay down the Certificates so the aggregate loan balance
exceeds the aggregate certificate balance (Overcollateralization or
“OC”). Excess interest will be used to maintain
the OC Target.
The “OC
Target” will not step down. The OC Target with respect
to any Distribution Date is equal to the initial OC, or
approximately 0.50% of the Cut-off Date collateral balance.
Trigger
Events
A “Trigger
Event” will have occurred with respect to any Distribution
Date if the Rolling Three Month Delinquency Rate as of the last day
of the immediately preceding month equals or exceeds 47.00% of the
Senior Enhancement Percentage for that Distribution Date, or if the
Cumulative Realized Losses exceed:
Distribution
Date
Loss
Percentage
July 2008 to June
2009
2.45% for the first
month, plus an additional 1/12th of
1.05% for each month
thereafter
July 2009 to June
2010
3.50% for the first
month, plus an additional 1/12th of
0.75% for each month
thereafter
July 2010 to June
2011
4.25% for the first
month, plus an additional 1/12th of
0.25% for each month
thereafter
July 2011 and
thereafter
4.50%
A “Sequential
Trigger Event” is in effect on any Distribution Date if (a)
before the 37th Distribution Date, the fraction, expressed as a
percentage, obtained by dividing (x) the aggregate amount of
cumulative Realized Losses incurred on the Mortgage Loans from the
Cut-off Date through the last day of the related Collection Period
by (y) the Cut-off Date Balance exceeds 2.45%, or (b) on or after
the 37th Distribution Date, a Trigger Event is in
effect.
The “Rolling Three
Month Delinquency Rate” with respect to any Distribution Date
will be the average of the Delinquency Rates for each of the three
(or one and two, in the case of the first and second Distribution
Dates) immediately preceding months.
The “Delinquency
Rate” for any month will be the fraction, expressed as a
percentage, the numerator of which is the aggregate outstanding
principal balance of all Mortgage Loans 60 or more days delinquent
(including all foreclosures and REO Properties) as of the close of
business on the last day of such month, and the denominator of
which is the aggregate loan balance as of the close of business on
the last day of such month.
“Cumulative
Realized Losses” with respect to any Distribution Date will
be equal to the fraction, expressed as a percentage, obtained by
dividing (x) the aggregate amount of cumulative Realized Losses
incurred on the Mortgage Loans from the Cut-off Date through the
last day of the related Collection Period by (y) the Cut-off Date
Balance.
The “Senior
Enhancement Percentage” for any Distribution Date will be the
fraction, expressed as a percentage, the numerator of which is the
sum of the total Certificate Principal Amount of the Class M
Certificates and the Overcollateralization Amount (which, for
purposes of this definition only, will not be less than zero), and
the denominator of which is the aggregate loan balance, after
giving effect to distributions on that Distribution
Date.
|
Lehman Brothers
Contacts
|
|
|
|
|
|
MBS Trading
|
Matt Miller
|
(212) 526-8315
|
|
|
Rishi Bansal
|
(212) 526-8315
|
|
|
Alar Randmere
|
(212) 526-8315
|
|
|
Sumit Chhabra
|
(212) 526-8315
|
|
|
Alok Sharma
|
(212) 526-8315
|
|
|
David Wong
|
(212) 526-8315
|
|
|
Anish Kumar
|
(212) 526-8315
|
|
|
|
|
|
Syndicate
|
Kevin White
|
(212) 526-9519
|
|
|
Dan Covello
|
(212) 526-9519
|
|
|
Paul Tedeschi
|
(212) 526-9519
|
|
|
|
|
|
MBS Banking
|
Ellen Kiernan
|
(212) 526-4279
|
|
|
Angel Lau
|
(212) 526-9245
|
|
|
Jenna Levine
|
(212) 526-1453
|
|
|
Christina Barretto
|
(212) 526-2185
|
|
|
Patrick Fruzzetti
|
(212) 526-2693
|
|
|
Elena Yu
|
(212) 526-0524
|
|
|
|
|
|
Rating Agency Contacts
|
|
|
|
|
|
S&P
|
Eliza Chu
|
(212) 438-7317
|
|
Moody’s
|
Mike Labuskes
|
(212) 553-2935
|
|
Fitch
|
Lori Samuels
|
(212) 908-0264
|
|
|
|
|
|
Summary of Terms
|
|
Issuer:
|
Structured Asset Investment Loan
Trust, Series 2005-6
|
|
Depositor:
|
Structured Asset Securities
Corporation
|
|
Trustee:
|
U.S. Bank National
Association
|
|
Securities
Administrator:
|
Wells Fargo Bank, N.A.
|
|
Master
Servicer:
|
Aurora Loan Services
|
|
Credit Risk
Manager:
|
The MurrayHill Company
|
|
Lead
Underwriter:
|
Lehman Brothers Inc.
|
|
Swap
Counterparty:
|
[TBD]
|
|
Distribution
Date:
|
25 th of each month,
or the next succeeding Business Day, beginning in July
2005.
|
|
Statistical Calculation
Date:
|
Approximately 61.88% of the
Mortgage Loans are as of May 16, 2005. Approximately 38.12%
of the Mortgage Loans are as of May 1, 2005.
|
|
Cut-Off Date:
|
June 1, 2005
|
|
Pricing Date:
|
June [ · ], 2005
|
|
Closing
Date:
|
June 30, 2005
|
|
Settlement
Date:
|
June 30, 2005
|
|
Delay Days:
|
0 day delay – LIBOR
Certificates
24 day
delay – Fixed Rate Certificates
|
|
Dated Date:
|
June 25, 2005
|
|
Day Count:
|
Actual/360 – LIBOR
Certificates
30/360
– Fixed Rate Certificates
|
|
Collection
Period:
|
2 nd day of prior
month through 1 st day of month of such
distribution
|
|
Final Maturity Reserve Fund
Rate:
|
Prior to the Distribution Date in
July 2015, 0.00%. On each Distribution Date beginning with
July 2015, 0.05% per annum.
|
|
Summary of Terms (continued)
|
|
Servicing Fee:
|
The servicing fee for
approximately 79.26% of the Mortgage Loans is equal to 0.50% of the
loan principal balance annually. Approximately 20.74% of the
Mortgage Loans have a servicing fee equal to 0.30% annually for the
first 10 Distribution Dates, 0.40% for Distribution Dates 11
through 30, and 0.65% thereafter.
|
|
Clearing/Registration:
|
Book-entry through DTC and
Euroclear.
|
|
Denomination:
|
Minimum $25,000; increments $1 in
excess thereof for the Class A Certificates. Minimum
$100,000; increments $1 in excess thereof for the Class M
Certificates.
|
|
SMMEA
Eligibility:
|
None of the classes are expected
to be SMMEA eligible
|
|
ERISA
Eligibility:
|
The Class A and Class M
Certificates are expected to be ERISA eligible, subject to certain
investor-based qualifications.
|
|
Tax Status:
|
REMIC for Federal income tax
purposes.
|
|
Sensitivity Analysis - To 10%
Call
|
|
|
|
|
|
|
|
|
% CPR
|
20%
|
25%
|
30%
|
35%
|
40%
|
|
|
|
|
|
|
|
|
Class A1
|
|
|
|
|
|
|
Avg. Life (yrs)
|
3.44
|
2.69
|
2.14
|
1.73
|
1.38
|
|
Window (mos)
|
1-120
|
1-95
|
1-77
|
1-65
|
1-55
|
|
Expected Final Mat.
|
5/25/2015
|
4/25/2013
|
10/25/2011
|
10/25/2010
|
12/25/2009
|
|
|
|
|
|
|
|
|
Class A2
|
|
|
|
|
|
|
Avg. Life (yrs)
|
3.44
|
2.69
|
2.14
|
1.73
|
1.38
|
|
Window (mos)
|
1-120
|
1-95
|
1-77
|
1-65
|
1-55
|
|
Expected Final Mat.
|
5/25/2015
|
4/25/2013
|
10/25/2011
|
10/25/2010
|
12/25/2009
|
|
|
|
|
|
|
|
|
Class A3
|
|
|
|
|
|
|
Avg. Life (yrs)
|
3.44
|
2.69
|
2.14
|
1.73
|
1.38
|
|
Window (mos)
|
1-120
|
1-95
|
1-77
|
1-65
|
1-55
|
|
Expected Final Mat.
|
5/25/2015
|
4/25/2013
|
10/25/2011
|
10/25/2010
|
12/25/2009
|
|
|
|
|
|
|
|
|
Class A4
|
|
|
|
|
|
|
Avg. Life (yrs)
|
1.39
|
1.08
|
0.88
|
0.73
|
0.62
|
|
Window (mos)
|
1-37
|
1-29
|
1-23
|
1-20
|
1-17
|
|
Expected Final Mat.
|
6/25/2008
|
10/25/2007
|
4/25/2007
|
1/25/2007
|
10/25/2006
|
|
|
|
|
|
|
|
|
Class A5
|
|
|
|
|
|
|
Avg. Life (yrs)
|
5.09
|
3.91
|
3.00
|
2.25
|
1.90
|
|
Window (mos)
|
37-94
|
29-74
|
23-60
|
20-36
|
17-31
|
|
Expected Final Mat.
|
3/25/2013
|
7/25/2011
|
5/25/2010
|
5/25/2008
|
12/25/2007
|
|
|
|
|
|
|
|
|
Class A6
|
|
|
|
|
|
|
Avg. Life (yrs)
|
9.54
|
7.52
|
6.10
|
5.12
|
3.68
|
|
Window (mos)
|
94-120
|
74-95
|
60-77
|
36-65
|
31-55
|
|
Expected Final Mat.
|
5/25/2015
|
4/25/2013
|
10/25/2011
|
10/25/2010
|
12/25/2009
|
|
|
|
|
|
|
|
|
Class A7
|
|
|
|
|
|
|
Avg. Life (yrs)
|
1.35
|
1.06
|
0.86
|
0.72
|
0.61
|
|
Window (mos)
|
1-36
|
1-28
|
1-23
|
1-19
|
1-16
|
|
Expected Final Mat.
|
5/25/2008
|
9/25/2007
|
4/25/2007
|
12/25/2006
|
9/25/2006
|
|
|
|
|
|
|
|
|
Class A8
|
|
|
|
|
|
|
Avg. Life (yrs)
|
5.02
|
3.88
|
3.00
|
2.27
|
1.90
|
|
Window (mos)
|
36-96
|
28-75
|
23-61
|
19-51
|
16-31
|
|
Expected Final Mat.
|
5/25/2013
|
8/25/2011
|
6/25/2010
|
8/25/2009
|
12/25/2007
|
|
|
|
|
|
|
|
Assumes a closing date of
5/30/05, dated date of 5/25/05 and first payment date of
6/25/05.
|
Sensitivity Analysis - To 10%
Call
|
|
|
|
|
|
|
|
|
% CPR
|
20%
|
25%
|
30%
|
35%
|
40%
|
|
|
|
|
|
|
|
|
Class A9
|
|
|
|
|
|
|
Avg. Life (yrs)
|
9.57
|
7.56
|
6.13
|
5.15
|
3.70
|
|
Window (mos)
|
96-120
|
75-95
|
61-77
|
51-65
|
31-55
|
|
Expected Final Mat.
|
5/25/2015
|
4/25/2013
|
10/25/2011
|
10/25/2010
|
12/25/2009
|
|
|
|
|
|
|
|
|
Class M1
|
|
|
|
|
|
|
Avg. Life (yrs)
|
6.49
|
5.23
|
4.57
|
4.35
|
4.48
|
|
Window (mos)
|
37-120
|
39-95
|
42-77
|
46-65
|
51-55
|
|
Expected Final Mat.
|
5/25/2015
|
4/25/2013
|
10/25/2011
|
10/25/2010
|
12/25/2009
|
|
|
|
|
|
|
|
|
Class M2
|
|
|
|
|
|
|
Avg. Life (yrs)
|
6.49
|
5.21
|
4.49
|
4.17
|
4.13
|
|
Window (mos)
|
37-120
|
39-95
|
41-77
|
43-65
|
46-55
|
|
Expected Final Mat.
|
5/25/2015
|
4/25/2013
|
10/25/2011
|
10/25/2010
|
12/25/2009
|
|
|
|
|
|
|
|
|
Class M3
|
|
|
|
|
|
|
Avg. Life (yrs)
|
6.49
|
5.19
|
4.45
|
4.07
|
3.92
|
|
Window (mos)
|
37-120
|
38-95
|
40-77
|
42-65
|
44-55
|
|
Expected Final Mat.
|
5/25/2015
|
4/25/2013
|
10/25/2011
|
10/25/2010
|
12/25/2009
|
|
|
|
|
|
|
|
|
Class M4
|
|
|
|
|
|
|
Avg. Life (yrs)
|
6.49
|
5.19
|
4.42
|
4.01
|
3.80
|
|
Window (mos)
|
37-120
|
38-95
|
39-77
|
40-65
|
42-55
|
|
Expected Final Mat.
|
5/25/2015
|
4/25/2013
|
10/25/2011
|
10/25/2010
|
12/25/2009
|
|
|
|
|
|
|
|
|
Class M5
|
|
|
|
|
|
|
Avg. Life (yrs)
|
6.49
|
5.19
|
4.40
|
3.96
|
3.72
|
|
Window (mos)
|
37-120
|
37-95
|
38-77
|
39-65
|
40-55
|
|
Expected Final Mat.
|
5/25/2015
|
4/25/2013
|
10/25/2011
|
10/25/2010
|
12/25/2009
|
|
|
|
|
|
|
|
|
Class M6
|
|
|
|
|
|
|
Avg. Life (yrs)
|
6.49
|
5.17
|
4.38
|
3.92
|
3.65
|
|
Window (mos)
|
37-120
|
37-95
|
38-77
|
39-65
|
39-55
|
|
Expected Final Mat.
|
5/25/2015
|
4/25/2013
|
10/25/2011
|
10/25/2010
|
12/25/2009
|
|
|
|
|
|
|
|
|
Class M7
|
|
|
|
|
|
|
Avg. Life (yrs)
|
6.49
|
5.17
|
4.37
|
3.89
|
3.59
|
|
Window (mos)
|
37-120
|
37-95
|
37-77
|
38-65
|
38-55
|
|
Expected Final Mat.
|
5/25/2015
|
4/25/2013
|
10/25/2011
|
10/25/2010
|
12/25/2009
|
|
|
|
|
|
|
|
|
Class M8
|
|
|
|
|
|
|
Avg. Life (yrs)
|
6.24
|
4.97
|
4.19
|
3.72
|
3.43
|
|
Window (mos)
|
37-119
|
37-94
|
37-76
|
37-64
|
37-54
|
|
Expected Final Mat.
|
4/25/2015
|
3/25/2013
|
9/25/2011
|
9/25/2010
|
11/25/2009
|
|
|
|
|
|
|
|
Assumes a closing date of
5/30/05, dated date of 5/25/05 and first payment date of
6/25/05.
|
Sensitivity Analysis - To 10%
Call
|
|
|
|
|
|
|
|
|
% CPR
|
20%
|
25%
|
30%
|
35%
|
40%
|
|
|
|
|
|
|
|
|
Class M9-A
|
|
|
|
|
|
|
Avg. Life (yrs)
|
5.61
|
4.47
|
3.78
|
3.35
|
3.12
|
|
Window (mos)
|
37-93
|
37-73
|
37-60
|
37-50
|
37-42
|
|
Expected Final Mat.
|
2/25/2013
|
6/25/2011
|
5/25/2010
|
7/25/2009
|
11/25/2008
|
|
|
|
|
|
|
|
|
Class M9-F
|
|
|
|
|
|
|
Avg. Life (yrs)
|
5.61
|
4.47
|
3.78
|
3.35
|
3.12
|
|
Window (mos)
|
37-93
|
37-73
|
37-60
|
37-50
|
37-42
|
|
Expected Final Mat.
|
2/25/2013
|
6/25/2011
|
5/25/2010
|
7/25/2009
|
11/25/2008
|
|
|
|
|
|
|
|
|
Class M10-A
|
|
|
|
|
|
|
Avg. Life (yrs)
|
4.38
|
3.56
|
3.19
|
3.07
|
3.07
|
|
Window (mos)
|
37-73
|
37-57
|
37-46
|
37-39
|
37-37
|
|
Expected Final Mat.
|
6/25/2011
|
2/25/2010
|
3/25/2009
|
8/25/2008
|
6/25/2008
|
|
|
|
|
|
|
|
|
Class M10-F
|
|
|
|
|
|
|
Avg. Life (yrs)
|
4.38
|
3.56
|
3.19
|
3.07
|
3.07
|
|
Window (mos)
|
37-73
|
37-57
|
37-46
|
37-39
|
37-37
|
|
Expected Final Mat.
|
6/25/2011
|
2/25/2010
|
3/25/2009
|
8/25/2008
|
6/25/2008
|
|
|
|
|
|
|
|
Assumes a closing date of
5/30/05, dated date of 5/25/05 and first payment date of
6/25/05.
|
Sensitivity Analysis - To
Maturity
|
|
|
|
|
|
|
|
|
% CPR
|
20%
|
25%
|
30%
|
35%
|
40%
|
|
|
|
|
|
|
|
|
Class A1
|
|
|
|
|
|
|
Avg. Life (yrs)
|
3.72
|
2.92
|
2.34
|
1.88
|
1.51
|
|
Window (mos)
|
1-251
|
1-204
|
1-170
|
1-142
|
1-121
|
|
Expected Final Mat.
|
4/25/2026
|
5/25/2022
|
7/25/2019
|
3/25/2017
|
6/25/2015
|
|
|
|
|
|
|
|
|
Class A2
|
|
|
|
|
|
|
Avg. Life (yrs)
|
3.72
|
2.92
|
2.34
|
1.88
|
1.51
|
|
Window (mos)
|
1-251
|
1-204
|
1-170
|
1-142
|
1-121
|
|
Expected Final Mat.
|
4/25/2026
|
5/25/2022
|
7/25/2019
|
3/25/2017
|
6/25/2015
|
|
|
|
|
|
|
|
|
Class A3
|
|
|
|
|
|
|
Avg. Life (yrs)
|
3.72
|
2.92
|
2.33
|
1.88
|
1.51
|
|
Window (mos)
|
1-251
|
1-205
|
1-169
|
1-142
|
1-121
|
|
Expected Final Mat.
|
4/25/2026
|
6/25/2022
|
6/25/2019
|
3/25/2017
|
6/25/2015
|
|
|
|
|
|
|
|
|
Class A4
|
|
|
|
|
|
|
Avg. Life (yrs)
|
1.39
|
1.08
|
0.88
|
0.73
|
0.62
|
|
Window (mos)
|
1-37
|
1-29
|
1-23
|
1-20
|
1-17
|
|
Expected Final Mat.
|
6/25/2008
|
10/25/2007
|
4/25/2007
|
1/25/2007
|
10/25/2006
|
|
|
|
|
|
|
|
|
Class A5
|
|
|
|
|
|
|
Avg. Life (yrs)
|
5.09
|
3.91
|
3.00
|
2.25
|
1.90
|
|
Window (mos)
|
37-94
|
29-74
|
23-60
|
20-36
|
17-31
|
|
Expected Final Mat.
|
3/25/2013
|
7/25/2011
|
5/25/2010
|
5/25/2008
|
12/25/2007
|
|
|
|
|
|
|
|
|
Class A6
|
|
|
|
|
|
|
Avg. Life (yrs)
|
11.95
|
9.44
|
7.69
|
6.40
|
4.77
|
|
Window (mos)
|
94-255
|
74-207
|
60-172
|
36-144
|
31-122
|
|
Expected Final Mat.
|
8/25/2026
|
8/25/2022
|
9/25/2019
|
5/25/2017
|
7/25/2015
|
|
|
|
|
|
|
|
|
Class A7
|
|
|
|
|
|
|
Avg. Life (yrs)
|
1.35
|
1.06
|
0.86
|
0.72
|
0.61
|
|
Window (mos)
|
1-36
|
1-28
|
1-23
|
1-19
|
1-16
|
|
Expected Final Mat.
|
5/25/2008
|
9/25/2007
|
4/25/2007
|
12/25/2006
|
9/25/2006
|
|
|
|
|
|
|
|
|
Class A8
|
|
|
|
|
|
|
Avg. Life (yrs)
|
5.02
|
3.88
|
3.00
|
2.27
|
1.90
|
|
Window (mos)
|
36-96
|
28-75
|
23-61
|
19-51
|
16-31
|
|
Expected Final Mat.
|
5/25/2013
|
8/25/2011
|
6/25/2010
|
8/25/2009
|
12/25/2007
|
|
|
|
|
|
|
|
Assumes a closing date of
5/30/05, dated date of 5/25/05 and first payment date of
6/25/05.
|
Sensitivity Analysis - To
Maturity
|
|
|
|
|
|
|
|
|
% CPR
|
20%
|
25%
|
30%
|
35%
|
40%
|
|
|
|
|
|
|
|
|
Class A9
|
|
|
|
|
|
|
Avg. Life (yrs)
|
11.78
|
9.36
|
7.65
|
6.38
|
4.74
|
|
Window (mos)
|
96-254
|
75-206
|
61-172
|
51-144
|
31-122
|
|
Expected Final Mat.
|
7/25/2026
|
7/25/2022
|
9/25/2019
|
5/25/2017
|
7/25/2015
|
|
|
|
|
|
|
|
|
Class M1
|
|
|
|
|
|
|
Avg. Life (yrs)
|
7.13
|
5.74
|
5.00
|
4.70
|
4.84
|
|
Window (mos)
|
37-205
|
39-165
|
42-135
|
46-113
|
51-96
|
|
Expected Final Mat.
|
6/25/2022
|
2/25/2019
|
8/25/2016
|
10/25/2014
|
5/25/2013
|
|
|
|
|
|
|
|
|
Class M2
|
|
|
|
|
|
|
Avg. Life (yrs)
|
7.09
|
5.69
|
4.90
|
4.50
|
4.41
|
|
Window (mos)
|
37-195
|
39-157
|
41-129
|
43-107
|
46-91
|
|
Expected Final Mat.
|
8/25/2021
|
6/25/2018
|
2/25/2016
|
4/25/2014
|
12/25/2012
|
|
|
|
|
|
|
|
|
Class M3
|
|
|
|
|
|
|
Avg. Life (yrs)
|
7.06
|
5.65
|
4.83
|
4.38
|
4.18
|
|
Window (mos)
|
37-183
|
38-147
|
40-121
|
42-101
|
44-85
|
|
Expected Final Mat.
|
8/25/2020
|
8/25/2017
|
6/25/2015
|
10/25/2013
|
6/25/2012
|
|
|
|
|
|
|
|
|
Class M4
|
|
|
|
|
|
|
Avg. Life (yrs)
|
7.01
|
5.60
|
4.77
|
4.28
|
4.04
|
|
Window (mos)
|
37-176
|
38-140
|
39-115
|
40-96
|
42-81
|
|
Expected Final Mat.
|
1/25/2020
|
1/25/2017
|
12/25/2014
|
5/25/2013
|
2/25/2012
|
|
|
|
|
|
|
|
|
Class M5
|
|
|
|
|
|
|
Avg. Life (yrs)
|
6.94
|
5.54
|
4.70
|
4.20
|
3.92
|
|
Window (mos)
|
37-167
|
37-132
|
38-108
|
39-90
|
40-76
|
|
Expected Final Mat.
|
4/25/2019
|
5/25/2016
|
5/25/2014
|
11/25/2012
|
9/25/2011
|
|
|
|
|
|
|
|
|
Class M6
|
|
|
|
|
|
|
Avg. Life (yrs)
|
6.84
|
5.45
|
4.61
|
4.11
|
3.81
|
|
Window (mos)
|
37-154
|
37-122
|
38-100
|
39-83
|
39-71
|
|
Expected Final Mat.
|
3/25/2018
|
7/25/2015
|
9/25/2013
|
4/25/2012
|
4/25/2011
|
|
|
|
|
|
|
|
|
Class M7
|
|
|
|
|
|
|
Avg. Life (yrs)
|
6.65
|
5.29
|
4.48
|
3.97
|
3.66
|
|
Window (mos)
|
37-142
|
37-112
|
37-92
|
38-76
|
38-65
|
|
Expected Final Mat.
|
3/25/2017
|
9/25/2014
|
1/25/2013
|
9/25/2011
|
10/25/2010
|
|
|
|
|
|
|
|
|
Class M8
|
|
|
|
|
|
|
Avg. Life (yrs)
|
6.24
|
4.97
|
4.19
|
3.72
|
3.43
|
|
Window (mos)
|
37-119
|
37-94
|
37-76
|
37-64
|
37-54
|
|
Expected Final Mat.
|
4/25/2015
|
3/25/2013
|
9/25/2011
|
9/25/2010
|
11/25/2009
|
|
|
|
|
|
|
|
Assumes a closing date of
5/30/05, dated date of 5/25/05 and first payment date of
6/25/05.
|
Sensitivity Analysis - To
Maturity
|
|
|
|
|
|
|
|
|
% CPR
|
20%
|
25%
|
30%
|
35%
|
40%
|
|
|
|
|
|
|
|
|
Class M9-A
|
|
|
|
|
|
|
Avg. Life (yrs)
|
5.61
|
4.47
|
3.78
|
3.35
|
|