Exhibit 99.1
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
$333,629,921
(APPROXIMATE OFFERED)
SASCO 2003-7H
AURORA LOAN SERVICES, MASTER SERVICER
CITIBANK, N.A, TRUSTEE
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Expected
WAL at Payment Initial
Approx. Security Pricing(2) Window(2) Loss Ratings:
Class(1) Size ($) Coupon Description (To Maturity) (To Maturity) Coverage S&P/Fitch
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A1-I $111,560,000 6.00% Senior PT 3.27 03/03-11/32 2.50% AAA/AAA
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A1-II $186,290,000 6.50% Senior PT 3.28 03/03-08/32 2.50% AAA/AAA
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A-IO-F(3) Notional 1.00% Senior IO 3.35 03/03-09/32 2.50%(5) AAA/AAA
A-PO-F(3) $1,116,821 0.00% Ratio Strip PO 3.32 03/03-10/32 2.50%(5) AAA/AAA
B1-F(3) $4,292,000 Variable(6) Subordinate 5.86 03/03-10/32 1.10%(5) None/AA
B2-F(3) $1,534,000 Variable(6) Subordinate 5.86 03/03-09/32 0.60%(5) None/A
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A1-III $26,945,000 4.50% Senior PT 2.42 03/03-08/07 4.35% AAA/AAA
A-IO-III Notional 1.00% Senior IO 2.42 03/03-08/07 4.35% AAA/AAA
B1-III $915,000 Variable(7) Subordinate 4.00 03/03-08/07 1.10% None/AA
B2-III $141,000 Variable(7) Subordinate 4.00 03/03-08/07 0.60% None/A
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B3(4) $836,000 Variable(8) Subordinate 5.70 03/03-09/32 0.35%(5) None/BBB
B4(4) $503,000 Variable(8) Subordinate 5.70 03/03-08/32 0.20%(5) None/BB
B5(4) $334,000 Variable(8) Subordinate 5.70 03/03-07/32 0.10%(5) None/B
B6(4) $336,815 Variable(8) Subordinate 5.70 03/03-07/32 N/A Not Rated
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R $100 6.00% Residual 0.07 03/03-03/03 2.50% AAA/AAA
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(1) Classes B4, B5, and B6 (shaded in gray) will be privately offered.
(2) Pricing speed is 25% CPR.
(3) Combined tranches, each with two unseverable components (corresponding to
fixed rate Collateral Pools 1 and 2)
(4) Combined subordinate tranches, each with three unseverable components.
(5) Expected loss coverage for all relevant tranche components.
(6) The coupon of this class equals the weighted average of its two component
coupons.
(7) Net mortgage rate certificates, based on the net mortgage rate of
Collateral Pool 3.
(8) The coupon of this class equals the weighted average of its three
component coupons.
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This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). 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. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. 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. Xxxxxx 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 and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
1
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Deal Overview:
o The collateral is comprised of three pools of first lien, fully amortizing
mortgage loans:
o Collateral Pool 1 is composed of fixed rate loans with net mortgage
rates less than 6.45%;
o Collateral Pool 2 is composed of fixed rate loans with net mortgage
rates greater than or equal to 6.45%;
o Collateral Pool 3 is composed of 5 year Hybrid ARMs that are indexed
to 6-month LIBOR.
o The trust will issue 15 classes of Certificates: 12 classes will be
publicly offered and 3 classes will be privately offered (Classes B4, B5
and B6 will be offered privately).
o Class A-PO-F is a Principal-Only Certificate and will receive no payments
of interest. It shall consist of two components, A-PO-F (I) and A-PO-F
(II), corresponding to Collateral Pools 1 and 2, respectively.
o Class A-IO-F is an Interest-Only Certificate and will receive no payments
of principal. It shall consist of two components, A-IO-F (I) and A-IO-F
(II), corresponding to Collateral Pools 1 and 2, respectively.
o Class A-IO-III is an Interest-Only Certificate and will receive no
payments of principal. It shall receive cash flows from Collateral Pool 3.
o Class A1-I, Class A1-II, Class A1-III, Class A-PO-F, Class A-IO-F, Class
A-IO-III, and Class R are each Senior Certificates.
o The trust will issue 8 classes of subordinate certificates:
o Class B1-F and B2-F, each consisting of two components, (I) and
(II), each receiving cash flows from Collateral Pool 1 and
Collateral Pool 2, respectively.
o Class B1-III and Class B2-III, which receive cash flows from
Collateral Pool 3.
o Class B3, Class B4, Class B5, and Class B6, each consisting of three
components, corresponding to each of the three Collateral Pools.
o Realized Losses from Collateral Pool 1 will be applied to the Component B6
(I), Component B5 (I), Component B4 (I), Component B3 (I), Component B2-F
(I) and Component B1-F (I), in that order, until their principal balances
are reduced to zero.
o Realized Losses from Collateral Pool 2 will be applied to the Component B6
(II), Component B5 (II), Component B4 (II), Component B3 (II), Component
B2-F (II) and Component B1-F (II), in that order, until their principal
balances are reduced to zero.
o Realized Losses from Collateral Pool 3 will be applied to the Component B6
(III), Component B5 (III), Component B4 (III), Component B3 (III), Class
B2-III and Class B1-III, in that order, until their principal balances are
reduced to zero.
o ALS maintains a 5% Clean up Call on the collateral on an aggregate basis.
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This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). 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. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. 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. Xxxxxx 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 and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
2
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Specific Terms of the Offering:
Cut-Off Date: February 1, 2003
Expected Settlement Date: February 28, 2003
Distribution Dates: 25th of each month, or the next business
day after the 25th day of the month if
the 25th is not a business day,
beginning on March 25, 2003.
Issuer: Structured Asset Securities Corp.
("SASCO")
Master Servicer: Aurora Loan Services ("ALS")
Servicers: ALS, Commercial Federal, Countrywide,
SunTrust, GMAC Mortgage, Washington
Mutual, Xxxxxxxxxx, and Xxxxx Fargo.
Trustee: Citibank, N.A
Rating Agencies: S&P: AAA certificates only
Fitch: All certificates
Day Count: 30/360: All Classes.
Delay Days: 24 Day Delay: All Classes.
Registration: Book-entry form through DTC
SMMEA Eligibility: The Senior Certificates and the Class B1
Certificates will be SMMEA eligible.
ERISA Eligibility: The Senior Certificates
(with the exception of the Class R
Certificate) will be ERISA eligible.
Tax Status: REMIC for Federal income tax purposes.
5% Optional Termination: The transaction may be called by ALS as
Master Servicer when the aggregate
outstanding mortgage balance is less
than 5% of the Cut-Off Date aggregate
collateral loan balance.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). 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. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. 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. Xxxxxx 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 and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
3
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Terms of the Offering -Interest Rates:
Interest Rates: Ratio Strip Target Rate
Collateral Pool 1--6.00%
Collateral Pool 2--6.50%
Discount Mortgage Loans. With respect to
Collateral Pools 1 and 2, a Discount
Mortgage Loan is a loan with a Net WAC
less than the relevant Ratio Strip
Target Rate.
Class A1-I is a senior certificate and
will accrue interest a rate of 6.00%.
Class A1-II is a senior certificate and
will accrue interest a rate of 6.50%.
Class A-PO-F is a senior principal-only
certificate consisting of two
components, corresponding to Collateral
Pools 1 and 2. It will not be entitled
to payments of interest. The balance of
Component A-PO-F (I) is the sum of the
relevant PO Percentage of the Discount
Mortgage Loans in Collateral Pool 1. The
balance of Component A-PO-F (II) is the
sum of the relevant PO Percentage of the
Discount Mortgage Loans in Collateral
Pool 2.
Class A-IO-F is a senior interest only
certificate. Components A-IO-F (I) and
A-IO-F (II) will accrue interest at a
fixed rate of 1.00%. The notional
balance of Component A-IO-F (I) for any
payment period equals 1) the difference
between the Net WAC of the non-PO
portion of Collateral Pool 1 and the
Collateral Pool 1 Ratio Strip Target
Rate, multiplied by 2) the outstanding
principal balance of the non-PO portion
of Collateral Pool 1, divided by 3) the
Class A-IO-F Certificate rate. The
notional balance of Component A-IO-F
(II) for any payment period equals 1)
the difference between the Net WAC of
the non-PO portion of Collateral Pool 2
for that period and the Collateral Pool
2 Ratio Strip Target Rate, multiplied by
2) the outstanding principal balance of
the non-PO portion of Collateral Pool 2,
divided by 3) the Class A-IO-F
Certificate rate.
Class A1-III is a senior certificate and
will accrue interest at a rate equal to
the lesser of (1) 4.50% and (2) the Net
WAC of Collateral Pool 3.
Class A-IO-III is a senior interest only
certificate and will accrue interest at
a fixed rate of 1.00%. Its notional
balance for any payment period equals 1)
the difference between the Net WAC of
Collateral Pool 3 and the Class A1-III
Certificate rate, if any, multiplied by
2) the outstanding principal balance of
the Class A1-III Certificates, divided
by 3) the Class A-IO-III Certificate
rate.
Class R is a senior certificate and will
accrue interest at a rate of 6.00%
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). 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. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. 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. Xxxxxx 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 and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
4
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Terms of the Offering -Interest Rates (cont.):
Components B1-F (I), B2-F (I), B3 (I),
B4 (I), B5 (I) and B6 (I) will accrue
interest at a rate of 6.00%
Components B1-F (II), B2-F (II), B3
(II), B4 (II), B5 (II) and B6 (II) will
accrue interest at a rate of 6.50%
Classes B1-III, B2-III, Components B3
(III), B4 (III), B5 (III) and B6 (III)
will accrue interest at a rate equal to
the Net WAC of Collateral Pool 3.
Classes B1-F, B2-F, B3, B4, B5 and B6
will accrue interest at a rate equal to
the weighted average of each of the
corresponding tranche components rates
weighted by the corresponding tranche
component balances.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). 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. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. 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. Xxxxxx 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 and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
5
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Terms of the Offering -Credit Enhancement:
Credit Enhancement: Subordination of the lower rated
classes.
Subordinate Certificates For any Class or Component of
Lockout of Prepayments Subordinate Certificates in each
and Recoveries: respective pool, other than the Class B6
components (as applicable), on any
distribution date for which the Credit
Support Percentage of that Class or
Component is less than its original
Credit Support Percentage, no
distributions of prepayments or
recoveries allocable to principal will
be made to any Class or Component of
lower priority than it. The amount
otherwise distributable to such classes
of lower priority shall be allocated pro
rata among the remaining Classes or
Components of Subordinate Certificates
within the respective pool.
Credit Support Percentage: For any Class or Component of
Certificates with respect to each
Collateral Pool, on any distribution
date, the sum of the Class Percentages
of each Class of lower priority (before
applying distributions for that date) in
the related pool.
Class Percentage: For any Class or Component of
Certificates with respect to each
Collateral Pool, on any distribution
date, the percentage equivalent of a
fraction, the numerator of which is the
outstanding balance of that Class or
Component, immediately prior to that
distribution date and the denominator of
which is the aggregate principal amount
of all Classes or Components of
Certificates immediately prior to that
date in the related pool.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). 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. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. 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. Xxxxxx 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 and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
6
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Terms of the Offering - Distribution of Principal:
Shifting Interest Structure with 5 year lockout*
Collateral Pool 1 Subordinate Test % = Pool 1 Subordinate Amount / Collateral
Pool 1 collateral balance.
Collateral Pool 2 Subordinate Test % = Pool 2 Subordinate Amount / Collateral
Pool 2 collateral balance.
Collateral Pool 3 Subordinate Test % = Pool 3 Subordinate Amount / Collateral
Pool 3 collateral balance.
Pool 1 Subordinate Amount = The Collateral Pool 1 collateral balance, less the
current principal balance of the Collateral Pool 1 senior certificates.
Pool 2 Subordinate Amount = The Collateral Pool 2 collateral balance, less the
current principal balance of the Collateral Pool 2 senior certificates.
Pool 3 Subordinate Amount = The Collateral Pool 3 collateral balance, less the
current principal balance of the Collateral Pool 3 senior certificates.
o *For each Collateral Pool, if the corresponding Pool Subordinate Test %
for ANY Collateral Pool is less than or equal to 2 times the original Pool
Subordinate Test %:
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Distribution Dates (months) Shift Percentage
--------------------------------------------------------------------------------
1 - 60 100%
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61 - 72 70%
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73 - 84 60%
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85 - 96 40%
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97 - 108 20%
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109+ 0%
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o *For each Collateral Pool, if the corresponding Pool Subordinate Test %
for ALL Collateral Pools are greater than 2 times the original Pool
Subordinate Test %:
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Distribution Dates (months) Shift Percentage
--------------------------------------------------------------------------------
1 - 36 50%
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37+ 0%
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(*If the respective AAA loss coverage for all groups doubles based on the
initial cut-off date loss coverage during the first 36 months of the
transaction, the respective Senior certificates will be entitled to 50% of the
Subordinate certificates' percentage of pre-payments, subject to cumulative loss
and delinquency tests. After month 36, if the respective AAA loss coverage for
all groups doubles based on the initial loss coverage as of the cut-off date,
the respective Senior certificates will only be entitled to pre-payments based
on the respective Collateral Pool Senior certificate percentage only, subject to
cumulative loss and delinquency tests).
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). 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. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. 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. Xxxxxx 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 and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
7
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Terms of the Offering - Distribution of Principal (cont.):
Pool Senior Percentage: For Collateral Pools 1 and 2, on any
distribution date, the percentage
equivalent of a fraction, the numerator
of which is the sum of the class
principal amounts of each non-PO class
of senior certificates and the
denominator of which is the related
non-PO Collateral Pool balance for the
immediately preceding distribution date.
For Collateral Pool 3, the percentage
equivalent of a fraction, the numerator
of which is the Class A1-III principal
balance and the denominator of which is
the Collateral Pool 3 balance for the
immediately preceding distribution date.
Pool Subordinate Percentage: For each Collateral Pool, on any
distribution date, one minus its Senior
Percentage.
Pool Senior Prepayment For each Collateral Pool, on any
Percentage: distribution date, the sum of (1) the
Pool Senior Percentage and (2) the
product of (a) the Senior Principal
Prepayment Shift Percentage for that
distribution date multiplied by (b) the
related Pool Subordinate Percentage for
that distribution date.
Pool Subordinate For each Collateral Pool, on any
Prepayment Percentage: distribution date, one minus its Pool
Senior Prepayment Percentage.
Pool Senior Principal For each Collateral Pool, on any
Distribution Amount: distribution date, the sum of (1) the
product of (a) the related Pool Senior
Percentage and (b) the related scheduled
principal collections (for Collateral
Pool 1 and 2, the related non-PO portion
of such collections) and (2) the product
of (a) the related Senior Prepayment
Percentage and (b) the related
unscheduled principal collections (for
Collateral Pool 1 and 2, the related
non-PO portion of such collections).
Pool Subordinate Principal For each Collateral Pool, on any
Distribution Amount: distribution date, the sum of (1) the
product of (a) the related Pool
Subordinate Percentage and (b) the
related scheduled principal collections
(for Collateral Pool 1 and 2, the
related non-PO portion of such
collections); and (2) the product of (a)
the related Subordinate Prepayment
Percentage and (b) the related
unscheduled principal collections (for
Collateral Pool 1 and 2, the related
non-PO portion of such collections).
PO Percentage: For Collateral Pools 1 and 2, with
respect to each Discount Mortgage Loan
in such pool on each Distribution Date,
the percentage equivalent of a fraction,
the numerator of which is the Ratio
Strip Target Rate minus the Net Mortgage
Rate of such Discount Mortgage Loan and
the denominator of which is the Ratio
Strip Target Rate.
Pool PO Principal For Collateral Pools 1 and 2, on each
Distribution Amount: Distribution Date, the sum of the
following with respect to the Discount
Mortgage Loans: (1) The relevant PO
Percentage of scheduled principal
collections and (2) The relevant PO
Percentage of unscheduled principal
collections.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). 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. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. 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. Xxxxxx 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 and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
8
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Principal Paydown Rules:
I. Pay Senior PDA concurrently as follows:
Pool 1 Senior PDA:
1) Pay Class R until reduced to zero.
2) Pay Class A1-I until reduced to zero.
Pool 1 PO PDA:
1) Pay Component A-PO-F (I) until reduced to zero.
Pool 2 Senior PDA:
1) Pay Class A1-II until reduced to zero.
Pool 2 PO PDA:
1) Pay Component A-PO-F (II) until reduced to zero.
Pool 3 Senior PDA:
1) Pay Class A1-III until reduced to zero.
II. Pay Subordinate PDA concurrently as follows*: *Subject to credit support
tests
Pool 1 Subordinate PDA:
1) Pay Component B1-F (I), B2-F (I), B3 (I), B4 (I), B5 (I), and B6 (I)
on a pro-rata basis until reduced to zero.
Pool 2 Subordinate PDA:
1) Pay Component B1-F (II), B2-F (II), B3 (II), B4 (II), B5 (II), and
B6 (II) on a pro-rata basis until reduced to zero.
Pool 3 Subordinate PDA:
1) Pay Class B1-III, Class B2-III, Component B3 (III), B4 (III), B5
(III) and B6 (III) on a pro-rata basis until reduced to zero.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). 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. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. 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. Xxxxxx 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 and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
9
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Prepayment Sensitivity:
0% CPR 12.5% CPR 25% CPR 37.5% CPR 50% CPR
WAL Window WAL Window WAL Window WAL Window WAL Window
A1-I 19.33 1 - 357 6.35 1 - 357 3.27 1 - 357 2.04 1 - 355 1.40 1 - 300
A1-II 19.60 1 - 354 6.41 1 - 354 3.28 1 - 354 2.05 1 - 353 1.40 1 - 307
A-IO-F 19.63 1 - 355 6.52 1 - 355 3.35 1 - 355 2.10 1 - 349 1.45 1 - 275
A-PO-F 19.22 1 - 357 6.44 1 - 357 3.32 1 - 356 2.09 1 - 311 1.44 1 - 226
B1-F 19.50 1 - 357 10.74 1 - 357 5.86 1 - 356 4.15 1 - 329 3.19 1 - 251
B2-F 19.50 1 - 357 10.74 1 - 357 5.86 1 - 355 4.15 1 - 325 3.19 1 - 246
A1-III 4.37 1 - 54 3.26 1 - 54 2.42 1 - 54 1.79 1 - 54 1.32 1 - 54
A-IO-III 4.37 1 - 54 3.26 1 - 54 2.42 1 - 54 1.79 1 - 54 1.32 1 - 54
B1-III 4.37 1 - 54 4.37 1 - 54 4.00 1 - 54 3.46 1 - 54 2.94 1 - 54
B2-III 4.37 1 - 54 4.37 1 - 54 4.00 1 - 54 3.46 1 - 54 2.94 1 - 54
B3 18.23 1 - 357 10.21 1 - 357 5.70 1 - 355 4.10 1 - 319 3.17 1 - 240
B4 18.20 1 - 357 10.20 1 - 357 5.70 1 - 354 4.09 1 - 313 3.17 1 - 233
B5 18.23 1 - 357 10.21 1 - 357 5.70 1 - 353 4.10 1 - 306 3.17 1 - 227
B6 18.21 1 - 357 10.20 1 - 357 5.70 1 - 353 4.09 1 - 306 3.17 1 - 227
R 0.07 1 - 1 0.07 1 - 1 0.07 1 - 1 0.07 1 - 1 0.07 1 - 1
--------------------------------------------------------------------------------
Contacts
--------------------------------------------------------------------------------
MBS Trading Xxxxxxxxx Xxxxxxx (000) 000-0000
ABS/MBS Finance Xxxx Xxxxxx (000) 000-0000
Xxxxx Xxxxxxxx (000) 000-0000
ABS/MBS Structuring Xxxxxxxxxx Xxxxx (000) 000-0000
Sei-Xxxxx Xxxx (000) 000-0000
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). 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. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. 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. Xxxxxx 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 and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
10
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Collateral Summary:
------------------------------------------------------------------------------------------------------------------------
Fixed (Net WAC < 6.45%) Fixed (Net WAC >= 6.45%) 5/1 Hybrid ARMs
Pool 1 Pool 2 Pool 3
Total Number of Loans 833 1,516 168
Total Outstanding Loan Balance $115,533,682.33 $191,099,470.34 $28,170,584.39
Average Loan Principal Balance $138,696 $126,055 $167,682
Range of Loan Principal Balance $11,407-$388,224 $13,250-$461,084 $50,673-$388,535
Weighted Average Coupon 6.489% 7.268% 6.780%
Range of Coupons 5.250%-7.625% 6.750%-9.625% 3.750%-8.125%
Weighted Average Margin N/A N/A 2.663%
Range of Margins N/A N/A 2.250%-2.750%
Weighted Average Initial Periodic Cap N/A N/A 5.024%
Range of Initial Periodic Caps N/A N/A 5.000%-6.000%
Weighted Average Periodic Cap N/A N/A 1.000%
Range of Periodic Caps N/A N/A 1.000%-1.000%
Weighted Average Maximum Rate N/A N/A 11.804%
Weighted Average Floor N/A N/A 2.671%
Weighted Average Original Term (mo.) 360 360 360
Weighted Average Remaining Term (mo.) 356 353 355
Range of Remaining Term (mo.) 177-360 234-360 344-357
Weighted Average Original LTV 101.18% 101.33% 100.52%
Range of Original LTV 90.68%-103.00% 90.20%-103.00% 90.09%-103.00%
Weighted Average FICO 742 742 732
Range of FICO 662-818 620-824 644-797
Weighted Average Next Reset Date N/A N/A August 20, 2007
Lien Position
First 100.00% 100.00% 100.00%
Second 0.00% 0.00% 0.00%
Geographic Distribution
(Other states account individually for NC - 6.86% PA - 7.25% NC - 31.14%
less than 5% of the Cut-off Date
principal balance) TX - 6.17% TX - 7.20% TN - 9.64%
SC - 5.95% NC - 6.99% GA - 9.03%
VA - 5.73% MI - 6.61% CA - 7.40%
FL - 5.44% VA - 5.64% MD - 6.85%
MI - 5.25% FL - 5.24% AZ - 6.04%
Occupancy Status
Primary Home 100.00% 100.00% 98.71%
Investment 0.00% 0.00% 1.29%
Second Home 0.00% 0.00% 0.00%
------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). 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. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. 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. Xxxxxx 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 and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
11
