EXHIBIT 99
--------------------------------------------------------------------------------
August 11, 2003
XXXXXX XXXXXXX
SECURITIZED PRODUCTS GROUP [GRAPHIC OMITTED]
--------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS
$621,712,000
Approximately
XXXXXX XXXXXXX ABS CAPITAL I INC.
SERIES 2003-NC8
MORTGAGE PASS-THROUGH CERTIFICATES
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 1
--------------------------------------------------------------------------------
August 11, 2003
XXXXXX XXXXXXX
Securitized Products Group
--------------------------------------------------------------------------------
Approximately $621,712,000
XXXXXX XXXXXXX ABS CAPITAL I INC., SERIES 2003-NC8
XXXXXX XXXXXXX ABS CAPITAL I INC.
Depositor
PROVIDENT CONSUMER FINANCIAL SERVICES
Servicer
TRANSACTION HIGHLIGHTS
Modified
Expected Ratings Avg Life Duration Initial
Offered (S&P/Fitch/ to Call / To Call / Payment Window Subordination
Classes Description Balance Moody's) Mty(1)(2) Mty(1)(2)(3) To Call / Mty(1)(2) Level Benchmark
------- ----------- ------- -------- --------- ------------ ------------------- ----- ---------
A-1 Not Offered 708,882,000 **************************************Not Offered*******************************************
A-2 Floater 386,901,000 AAA/AAA/Aaa 2.79/3.08 2.71 / 2.97 10/03-08/11 / 10/03-03/21 19.50% 1 Mo. LIBOR
M-1 Floater 87,118,000 AA/AA/Aa2 5.31/5.87 5.06 / 5.53 12/06-08/11 / 12/06-04/18 13.10% 1 Mo. LIBOR
M-2 Floater 71,464,000 A/A/A2 5.28/5.78 4.86 / 5.25 11/06-08/11 / 11/06-01/17 7.85% 1 Mo. LIBOR
M-3 Floater 23,822,000 A-/A-/A3 5.27/5.70 4.80 / 5.12 10/06-08/11 / 10/06-05/15 6.10% 1 Mo. LIBOR
B-1 Floater 20,418,000 BBB+/BBB+/Baa1 5.26/5.62 4.57 / 4.82 10/06-08/11 / 10/06-08/14 4.60% 1 Mo. LIBOR
B-2 Floater 14,293,000 BBB/BBB/Baa2 5.26/5.52 4.54 / 4.71 10/06-08/11 / 10/06-09/13 3.55% 1 Mo. LIBOR
B-3 Floater 17,696,000 BBB-/BBB-/Baa3 5.25/5.35 4.53 / 4.60 10/06-08/11 / 10/06-10/12 2.25% 1 Mo. LIBOR
NOTES:
(1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
ISSUER:
Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2003-NC8.
DEPOSITOR:
Xxxxxx Xxxxxxx ABS Capital I Inc.
ORIGINATOR:
NC Capital Corporation.
SERVICER:
PROVIDENT CONSUMER FINANCIAL SERVICES.
TRUSTEE:
Deutsche Bank National Trust Company.
MANAGERS:
Xxxxxx Xxxxxxx (lead manager), Xxxxxxxx Capital Partners, L.P. and
Xxxxxxxx & Partners, L.P.
RATING AGENCIES:
Standard & Poor's, Fitch Ratings and Xxxxx'x Investors Service.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 2
OFFERED CERTIFICATES:
Classes A-2, M-1, M-2, M-3, B-1, B-2 and B-3 Certificates.
EXPECTED CLOSING DATE:
September 25, 2003 through DTC and Euroclear or Clearstream. The
Certificates will be sold without accrued interest.
DISTRIBUTION DATES:
The 25th of each month, or if such day is not a business day, on the next
business day, beginning October 25, 2003.
FINAL SCHEDULED DISTRIBUTION DATE:
The Distribution Date occurring in September 2033.
DUE PERIOD:
For any Distribution Date, the period commencing on the second day of the
month preceding the month in which such Distribution Date occurs and
ending on the first day of the month in which such Distribution Date
occurs.
INTEREST ACCRUAL PERIOD:
The interest accrual period for the Offered Certificates with respect to
any Distribution Date will be the period beginning with the previous
Distribution Date (or, in the case of the first Distribution Date, the
Closing Date) and ending on the day prior to the current Distribution
Date (on an actual/360 day count basis).
MORTGAGE LOANS:
The Trust will consist of two groups of adjustable and fixed rate
sub-prime residential mortgage loans.
GROUP I MORTGAGE LOANS:
Approximately $880.6 million of Mortgage Loans with original principal
balances that conform to the original principal balance limits for one-
to four-family residential mortgage loan guidelines for purchase by
Freddie Mac.
GROUP II MORTGAGE LOANS:
Approximately $480.6 million of Mortgage Loans that predominantly have
original principal balances that do not conform to the original principal
balance limits for one- to four-family residential mortgage loan
guidelines for purchase by Freddie Mac.
PRICING PREPAYMENT SPEED:
o FIXED RATE MORTGAGE LOANS: CPR starting at approximately 1.5333%
CPR in month 1 and increasing to 23% CPR in month 15 (23%/15 CPR
increase for each month), and remaining at 23% CPR thereafter
o ARM MORTGAGE LOANS: CPR of 25%
CREDIT ENHANCEMENT:
The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage Loans,
2) 2.25% overcollateralization (funded upfront). On and after the
Step-down Date, so long as a Trigger Event is not in effect, the
required overcollateralization will equal 4.50% of the aggregate
principal balance of the Mortgage Loans as of the last day of the
applicable Due Period, subject to a 0.50% floor, based on the
aggregate principal balance of the Mortgage Loans as of the
cut-off date, provided, however, that if, on any distribution
date, a Delinquency Trigger Event exists, the required
overcollateralization will not be reduced to the applicable
percentage of the then Stated Principal Balance of the mortgage
loans but instead remain the same as the prior period's required
overcollateralization until the distribution date on which a
Delinquency Trigger Event no longer exists; provided, further,
that if, on any distribution date, a Cumulative Loss Trigger Event
exists, the required overcollateralization will be an amount equal
to 2.75% of the aggregate Stated Principal Balance of the mortgage
loans as of the cut-off date until the distribution date on which
a Cumulative Loss Trigger Event no longer exists, and
3) Subordination of distributions on the more subordinate classes of
certificates (if applicable) to the required distributions on the
more senior classes of certificates.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 3
SENIOR ENHANCEMENT PERCENTAGE:
For any Distribution Date, the percentage obtained by dividing (x) the
aggregate Certificate Principal Balance of the subordinate certificates
(together with any overcollateralization and taking into account the
distributions of the Principal Distribution Amount for such Distribution
Date) by (y) the aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period.
STEP-DOWN DATE:
The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in October 2006; and
(b) The Distribution Date on which the aggregate balance of the
Class A Certificates is reduced to zero; and
(y) The first Distribution Date on which the Senior Enhancement
Percentage (calculated for this purpose only after taking into
account payments of principal on the Mortgage Loans on the last
day of the related Due Period but prior to principal distributions
to the certificates on the applicable Distribution Date) is
greater than or equal to approximately 39.00%.
TRIGGER EVENT:
Either a Delinquency Trigger Event or a Cumulative Loss Trigger Event.
DELINQUENCY TRIGGER EVENT:
A Delinquency Trigger Event is in effect on any Distribution Date if on
that Distribution Date the 60 Day+ Rolling Average equals or exceeds 40%
of the prior period's Senior Enhancement Percentage. The 60 Day+ Rolling
Average will equal the rolling 3 month average percentage of Mortgage
Loans that are 60 or more days delinquent.
CUMULATIVE LOSS TRIGGER EVENT:
A Cumulative Loss Trigger Event is in effect on any Distribution Date if
the aggregate amount of Realized Losses incurred since the cut-off date
through the last day of the related Prepayment Period divided by the
aggregate Stated Principal Balance of the mortgage loans as of the
cut-off date exceeds the applicable percentages described below with
respect to such distribution date:
MONTHS 25- 36 [ ] for the first month, plus an additional
1/12th of [ ] for each month thereafter
(e.g., [ ] in Month 31)
MONTHS 37- 48 [ ] for the first month, plus an additional
1/12th of [ ] for each month thereafter
(e.g., [ ] in Month 43)
MONTHS 49- 60 [ ] for the first month, plus an additional
1/12th of [ ] for each month thereafter
(e.g., [ ] in Month 55)
MONTHS 61- THEREAFTER [ ]
INITIAL SUBORDINATION PERCENTAGE:
Class A: 19.50%
Class M-1: 13.10%
Class M-2: 7.85%
Class M-3: 6.10%
Class B-1: 4.60%
Class B-2: 3.55%
Class B-3: 2.25%
OPTIONAL CLEAN-UP CALL:
When the current aggregate principal balance of the Mortgage Loans is
less than or equal to 10% of the aggregate principal balance of the
Mortgage Loans as of the cut-off date. The applicable fixed margin will
increase by 2x on the Class A Certificates and by 1.5x on all other
Certificates on and after the first distribution date on which the
Optional Clean-up Call is exercisable.
STEP-UP COUPONS:
For all Offered Certificates the coupon will increase after the optional
clean-up call date, should the call not be exercised.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 4
CLASS A-1 PASS-THROUGH RATE:
The Class A-1 Certificates will accrue interest at a variable rate equal
to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up Call is exercisable),
(ii) the Loan Group I Cap and (iii) the WAC Cap.
CLASS A-2 PASS-THROUGH RATE:
The Class A-2 Certificates will accrue interest at a variable rate equal
to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up Call is exercisable),
(ii) the Loan Group II Cap and (iii) the WAC Cap.
CLASS M-1 PASS-THROUGH RATE:
The Class M-1 Certificates will accrue interest at a variable rate equal
to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS M-2 PASS-THROUGH RATE:
The Class M-2 Certificates will accrue interest at a variable rate equal
to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS M-3 PASS-THROUGH RATE:
The Class M-3 Certificates will accrue interest at a variable rate equal
to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS B-1 PASS-THROUGH RATE:
The Class B-1 Certificates will accrue interest at a variable rate equal
to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS B-2 PASS-THROUGH RATE:
The Class B-2 Certificates will accrue interest at a variable rate equal
to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS B-3 PASS-THROUGH RATE:
The Class B-3 Certificates will accrue interest at a variable rate equal
to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
WAC CAP:
As to any Distribution Date a per annum rate equal to the product of (i)
the weighted average gross rate of the Mortgage Loans in effect on the
beginning of the related Due Period less servicing, trustee and other fee
rates, and (ii) a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days in the related Interest
Accrual Period.
LOAN GROUP I CAP:
As to any Distribution Date, a per annum rate equal to the product of (i)
weighted average gross rate of the Group I Mortgage Loans in effect on
the beginning of the related Due Period less servicing, trustee and other
fee rates, and (ii) a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days in the related Interest
Accrual Period.
LOAN GROUP II CAP:
As to any Distribution Date, a per annum rate equal to the product of (i)
weighted average gross rate of the Group II Mortgage Loans in effect on
the beginning of the related Due Period less servicing, trustee and other
fee rates, and (ii) a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days in the related Interest
Accrual Period.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 5
CLASS A-1 BASIS RISK CARRY FORWARD AMOUNT:
As to any Distribution Date, the supplemental interest amount for the
Class A-1 Certificates will equal the sum of:
(i) The excess, if any, of interest that would otherwise be due on
such Certificates at the Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser of the Loan Group I Cap
or WAC Cap;
(ii) Any Class A-1 Basis Risk Carry Forward Amount remaining unpaid
from prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the related Class A-1
Pass-Through Rate (without regard to the Loan Group I Cap or WAC
Cap).
CLASS A-2 BASIS RISK CARRY FORWARD AMOUNT:
As to any Distribution Date, the supplemental interest amount for the
Class A-2 Certificates will equal the sum of:
(i) The excess, if any, of interest that would otherwise be due on
such Certificates at the Class A-2 Pass-Through Rate (without
regard to the Loan Group II Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser of the Loan Group II
Cap or WAC Cap;
(ii) Any Class A-2 Basis Risk Carry Forward Amount remaining unpaid
from prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the related Class A-2
Pass-Through Rate (without regard to the Loan Group II Cap or WAC
Cap).
CLASS M-1, M-2, M-3, B-1, B-2 AND B-3 BASIS RISK CARRY FORWARD AMOUNTS:
As to any Distribution Date, the supplemental interest amount for each of
the Class M-1, M-2, M-3, B-1, B-2 and B-3 Certificates will equal the sum
of:
(i) The excess, if any, of interest that would otherwise be due on
such Certificates at such Certificates' applicable Pass-Through
Rate (without regard to the WAC Cap) over interest due such
Certificates at a rate equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for such class remaining
unpaid for such Certificate from prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the Certificates'
applicable Pass-Through Rate (without regard to the WAC Cap).
INTEREST DISTRIBUTIONS ON OFFERED CERTIFICATES:
On each Distribution Date and after payments of servicing and trustee
fees and other expenses, interest distributions from the Interest
Remittance Amount will be allocated as follows:
(i) The portion of the Interest Remittance Amount attributable to the
Group I Mortgage Loans will be allocated according to the related
Accrued Certificate Interest and any unpaid interest shortfall
amounts for such class, as applicable, FIRST, to the Class A-1
Certificates and SECOND, to the Class A-2 Certificates;
(ii) The portion of the Interest Remittance Amount attributable to the
Group II Mortgage Loans will be allocated according to the related
Accrued Certificate Interest and any unpaid interest shortfall
amounts for such class, as applicable, FIRST, to the Class A-2
Certificates and SECOND, to the Class A-1 Certificates;
(iii) To the Class M-1 Certificates, its Accrued Certificate Interest;
(iv) To the Class M-2 Certificates, its Accrued Certificate Interest;
(v) To the Class M-3 Certificates, its Accrued Certificate Interest;
(vi) To the Class B-1 Certificates, its Accrued Certificate Interest;
(vii) To the Class B-2 Certificates, its Accrued Certificate Interest,
and
(viii) To the Class B-3 Certificates, its Accrued Certificate Interest.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 6
PRINCIPAL DISTRIBUTIONS ON OFFERED CERTIFICATES:
On each Distribution Date (a) prior to the Stepdown Date or (b) on which
a Trigger Event is in effect, principal distributions from the Principal
Distribution Amount will be allocated as follows:
(i) to the Class A Certificates, allocated between the Class A
Certificates as described below, until the Certificate Principal
Balances thereof have been reduced to zero;
(ii) to the Class M-1 Certificates, until the Certificate Principal
Balance thereof has been reduced to zero;
(iii) to the Class M-2 Certificates, until the Certificate Principal
Balance thereof has been reduced to zero;
(iv) to the Class M-3 Certificates, until the Certificate Principal
Balance thereof has been reduced to zero;
(v) to the Class B-1 Certificates, until the Certificate Principal
Balance thereof has been reduced to zero;
(vi) to the Class B-2 Certificates, until the Certificate Principal
Balance thereof has been reduced to zero; and
(vii) to the Class B-3 Certificates, until the Certificate Principal
Balance thereof has been reduced to zero.
On each Distribution Date (a) on or after the Stepdown Date and (b) on
which a Trigger Event is not in effect, the principal distributions from
the Principal Distribution Amount will be allocated as follows:
(i) to the Class A Certificates, the lesser of the Principal
Distribution Amount and the Class A Principal Distribution Amount,
allocated between the Class A Certificates as described below,
until the Certificate Principal Balances thereof have been reduced
to zero;
(ii) to the Class M-1 Certificates, the lesser of the remaining
Principal Distribution Amount and the Class M-1 Principal
Distribution Amount, until the Certificate Principal Balance
thereof has been reduced to zero;
(iii) to the Class M-2 Certificates, the lesser of the remaining
Principal Distribution Amount and the Class M-2 Principal
Distribution Amount, until the Certificate Principal Balance
thereof has been reduced to zero;
(iv) to the Class M-3 Certificates, the lesser of the remaining
Principal Distribution Amount and the Class M-3 Principal
Distribution Amount, until the Certificate Principal Balance
thereof has been reduced to zero;
(v) to the Class B-1 Certificates, the lesser of the remaining
Principal Distribution Amount and the Class B-1 Principal
Distribution Amount, until the Certificate Principal Balance
thereof has been reduced to zero;
(vi) to the Class B-2 Certificates, the lesser of the remaining
Principal Distribution Amount and the Class B-2 Principal
Distribution Amount, until the Certificate Principal Balance
thereof has been reduced to zero; and
(vii) to the Class B-3 Certificates, the lesser of the remaining
Principal Distribution Amount and the Class B-3 Principal
Distribution Amount, until the Certificate Principal Balance
thereof has been reduced to zero.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 7
All principal distributions to the Class A Certificates on any
Distribution Date will be allocated between the Class A-1 Certificates
and the Class A-2 Certificates on a PRO RATA basis based on the Class A
Principal Allocation Percentage for each such class on such Distribution
Date; provided, however, that if the Certificate Principal Balance of
either class of Class A Certificates is reduced to zero, then the
remaining amount of principal distributions distributable to the class of
Class A Certificates on such Distribution Date and all subsequent
Distribution Dates, will be distributed to the remaining outstanding
Class A Certificates until the Certificate Principal Balance thereof has
been reduced to zero.
INTEREST RATE CAP:
Beginning on the first Distribution Date, and for a period of 35 months
thereafter, an Interest Rate Cap will be pledged to the Trust for the
benefit of the Offered Certificates.
For the first 22 months if the 1-month LIBOR rate exceeds 5.850%, the
Interest Rate Cap pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate and 5.850% (on an Actual/360
day count basis) up to a maximum of 240bps and (ii) the Interest Rate Cap
Notional Balance ("the Interest Rate Cap Payment") as described herein.
For the next 6 months if the 1-month LIBOR rate exceeds 6.850%, the
Interest Rate Cap pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate and 6.850% (on an Actual/360
day count basis) up to a maximum of 140bps and (ii) the Interest Rate Cap
Notional Balance ("the Interest Rate Cap Payment") as described herein.
For the next 8 months if the 1-month LIBOR rate exceeds 7.750%, the
Interest Rate Cap pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate and 7.750% (on an Actual/360
day count basis) up to a maximum of 50bps and (ii) the Interest Rate Cap
Notional Balance ("the Interest Rate Cap Payment") as described herein.
INTEREST RATE CAP PAYMENT ALLOCATION:
The Interest Rate Cap Payment shall be available to pay any Basis Risk
Carry Forward Amount due to the Offered Certificates on a pro rata basis.
ALLOCATION OF NET MONTHLY EXCESS CASHFLOW:
For any Distribution Date, any Net Monthly Excess Cashflow shall be paid
as follows:
(i) to the Class M-1 Certificates, the unpaid interest shortfall
amount;
(ii) to the Class M-1 Certificates, the allocated unreimbursed realized
loss amount;
(iii) to the Class M-2 Certificates, the unpaid interest shortfall
amount;
(iv) to the Class M-2 Certificates, the allocated unreimbursed realized
loss amount;
(v) to the Class M-3 Certificates, the unpaid interest shortfall
amount;
(vi) to the Class M-3 Certificates, the allocated unreimbursed realized
loss amount;
(vii) to the Class B-1 Certificates, the unpaid interest shortfall
amount;
(viii) to the Class B-1 Certificates, the allocated unreimbursed realized
loss amount;
(ix) to the Class B-2 Certificates, the unpaid interest shortfall
amount;
(x) to the Class B-2 Certificates, the allocated unreimbursed realized
loss amount;
(xi) to the Class B-3 Certificates, the unpaid interest shortfall
amount;
(xii) to the Class B-3 Certificates, the allocated unreimbursed realized
loss amount;
(XIII) CONCURRENTLY, any Class A-1 Basis Risk Carry Forward Amount to the
Class A-1 Certificates, and any Class A-2 Basis Risk Carry Forward
Amount to the Class A-2 Certificates; and
(XIV) SEQUENTIALLY, to Classes M-1, M-2, M-3, B-1, B-2 and B-3
Certificates, in such order, any Basis Risk Carry Forward Amount
for such classes.
INTEREST REMITTANCE AMOUNT:
For any Distribution Date, the portion of available funds for such
Distribution Date attributable to interest received or advanced on the
Mortgage Loans.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 8
ACCRUED CERTIFICATE INTEREST:
For any Distribution Date and each class of Offered Certificates, equals
the amount of interest accrued during the related interest accrual period
at the related Pass-through Rate, reduced by any prepayment interest
shortfalls and shortfalls resulting from the application of the Soldiers'
and Sailors' Civil Relief Act of 1940 or similar state law allocated to
such class.
PRINCIPAL DISTRIBUTION AMOUNT:
On any Distribution Date, the sum of (i) the Basic Principal Distribution
Amount and (ii) the Extra Principal Distribution Amount.
BASIC PRINCIPAL DISTRIBUTION AMOUNT:
On any Distribution Date, the excess of (i) the aggregate principal
remittance amount over (ii) the Excess Subordinated Amount, if any.
NET MONTHLY EXCESS CASHFLOW:
For any Distribution Date is the amount of funds available for
distribution on such Distribution Date remaining after making all
distributions of interest and principal on the certificates.
EXTRA PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, the lesser of (i) the excess of (x) interest
collected or advanced with respect to the Mortgage Loans with due dates
in the related Due Period (less servicing and trustee fees and expenses),
over (y) the sum of interest payable on the Certificates on such
Distribution Date and (ii) the overcollateralization deficiency amount
for such Distribution Date.
EXCESS SUBORDINATED AMOUNT:
For any Distribution Date, means the excess, if any of (i) the
overcollateralization and (ii) the required overcollateralization for
such Distribution Date.
CLASS A PRINCIPAL ALLOCATION PERCENTAGE:
For any Distribution Date, the percentage equivalent of a fraction,
determined as follows: (i) in the case of the Class A-1 Certificates the
numerator of which is (x) the portion of the principal remittance amount
for such Distribution Date that is attributable to principal received or
advanced on the Group I Mortgage Loans and the denominator of which is
(y) the principal remittance amount for such Distribution Date and (ii)
in the case of the Class A-2 Certificates, the numerator of which is (x)
the portion of the principal remittance amount for such Distribution Date
that is attributable to principal received or advanced on the Group II
Mortgage Loans and the denominator of which is (y) the principal
remittance amount for such Distribution Date.
CLASS A PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, an amount equal to the excess of (x) the
aggregate Certificate Principal Balance of the Class A Certificates
immediately prior to such Distribution Date over (y) the lesser of (A)
the product of (i) approximately 61.00% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the related Due
Period and (B) the excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related Due Period over
$6,806,109.
CLASS M-1 PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, an amount equal to the excess of (x) the sum
of (i) the aggregate Certificate Principal Balance of the Class A
Certificates (after taking into account the payment of the Class A
Principal Distribution Amount on such Distribution Date) and (ii) the
Certificate Principal Balance of the Class M-1 Certificates immediately
prior to such Distribution Date over (y) the lesser of (A) the product of
(i) approximately 73.80% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period over $6,806,109.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 9
CLASS M-2 PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, an amount equal to the excess of (x) the sum
of (i) the aggregate Certificate Principal Balance of the Class A
Certificates (after taking into account the payment of the Class A
Principal Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal Distribution Amount
on such Distribution Date) and (iii) the Certificate Principal Balance of
the Class M-2 Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i) approximately 84.30% and
(ii) the aggregate principal balance of the Mortgage Loans as of the last
day of the related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of the last day of
the related Due Period over $6,806,109.
CLASS M-3 PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, an amount equal to the excess of (x) the sum
of (i) the aggregate Certificate Principal Balance of the Class A
Certificates (after taking into account the payment of the Class A
Principal Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal Distribution Amount
on such Distribution Date), (iii) the Certificate Principal Balance of
the Class M-2 Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such Distribution Date) and
(iv) the Certificate Principal Balance of the Class M-3 Certificates
immediately prior to such Distribution Date over (y) the lesser of (A)
the product of (i) approximately 87.80% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the related Due
Period and (B) the excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related Due Period over
$6,806,109.
CLASS B-1 PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, an amount equal to the excess of (x) the sum
of (i) the aggregate Certificate Principal Balance of the Class A
Certificates (after taking into account the payment of the Class A
Principal Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal Distribution Amount
on such Distribution Date), (iii) the Certificate Principal Balance of
the Class M-2 Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such Distribution Date), (iv)
the Certificate Principal Balance of the Class M-3 Certificates (after
taking into account the payment of the Class M-3 Principal Distribution
Amount on such Distribution Date) and (v) the Certificate Principal
Balance of the Class B-1 Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the product of (i)
approximately 90.80% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period over $6,806,109.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 10
CLASS B-2 PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, an amount equal to the excess of (x) the sum
of (i) the aggregate Certificate Principal Balance of the Class A
Certificates (after taking into account the payment of the Class A
Principal Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal Distribution Amount
on such Distribution Date), (iii) the Certificate Principal Balance of
the Class M-2 Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such Distribution Date), (iv)
the Certificate Principal Balance of the Class M-3 Certificates (after
taking into account the payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the Certificate Principal Balance
of the Class B-1 Certificates (after taking into account the payment of
the Class B-1 Principal Distribution Amount on such Distribution Date)
and (vi) the Certificate Principal Balance of the Class B-2 Certificates
immediately prior to such Distribution Date over (y) the lesser of (A)
the product of (i) approximately 92.90% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the related Due
Period and (B) the excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related Due Period over
$6,806,109.
CLASS B-3 PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, an amount equal to the excess of (x) the sum
of (i) the aggregate Certificate Principal Balance of the Class A
Certificates (after taking into account the payment of the Class A
Principal Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal Distribution Amount
on such Distribution Date), (iii) the Certificate Principal Balance of
the Class M-2 Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such Distribution Date), (iv)
the Certificate Principal Balance of the Class M-3 Certificates (after
taking into account the payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the Certificate Principal Balance
of the Class B-1 Certificates (after taking into account the payment of
the Class B-1 Principal Distribution Amount on such Distribution Date),
(vi) the Certificate Principal Balance of the Class B-2 Certificates
(after taking into account the payment of the Class B-2 Principal
Distribution Amount on such Distribution Date) and (vii) the Certificate
Principal Balance of the Class B-3 Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the product of (i)
approximately 95.50% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period over $6,806,109.
TRUST TAX STATUS:
REMIC.
ERISA ELIGIBILITY:
Subject to the considerations in the Prospectus, all Offered Certificates
are ERISA eligible.
SMMEA ELIGIBILITY:
It is not anticipated that any of the Offered Certificates will be SMMEA
eligible.
PROSPECTUS:
The Class A-2, Class M-1, Class M-2, Class M-3, Class B-1, Class B-2 and
Class B-3 Certificates are being offered pursuant to a prospectus
supplemented by a prospectus supplement (together, the "Prospectus").
Complete information with respect to the Offered Certificates and the
collateral securing them is contained in the Prospectus. The information
herein is qualified in its entirety by the information appearing in the
Prospectus. To the extent that the information herein is inconsistent
with the Prospectus, the Prospectus shall govern in all respects. Sales
of the Offered Certificates may not be consummated unless the purchaser
has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF
INFORMATION THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN
THE OFFERED CERTIFICATES.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 11
WEIGHTED AVERAGE LIFE SENSITIVITY
TO CALL
----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
----- ----------------------------------------------------------------------------------------------------------------------------
A-2 WAL (YRS) 5.38 4.58 3.73 2.79 2.15 1.64 1.25
FIRST PAYMENT DATE 10/25/2003 10/25/2003 10/25/2003 10/25/2003 10/25/2003 10/25/2003 10/25/2003
EXPECTED FINAL MATURITY 12/25/2018 10/25/2016 5/25/2014 8/25/2011 12/25/2009 10/25/2008 9/25/2006
WINDOW 1 - 183 1 - 157 1 - 128 1 - 95 1 - 75 1 - 61 1 - 36
----- ----------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.20 8.67 7.01 5.31 4.59 4.55 4.12
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 12/25/2006 4/25/2007 8/25/2007 9/25/2006
EXPECTED FINAL MATURITY 12/25/2018 10/25/2016 5/25/2014 8/25/2011 12/25/2009 10/25/2008 11/25/2007
WINDOW 60 - 183 50 - 157 40 - 128 39 - 95 43 - 75 47 - 61 36 - 50
----- ----------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.20 8.67 7.01 5.28 4.43 4.06 4.02
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 11/25/2006 1/25/2007 2/25/2007 5/25/2007
EXPECTED FINAL MATURITY 12/25/2018 10/25/2016 5/25/2014 8/25/2011 12/25/2009 10/25/2008 11/25/2007
WINDOW 60 - 183 50 - 157 40 - 128 38 - 95 40 - 75 41 - 61 44 - 50
----- ----------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.20 8.67 7.01 5.27 4.36 3.90 3.71
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 12/25/2006 1/25/2007 3/25/2007
EXPECTED FINAL MATURITY 12/25/2018 10/25/2016 5/25/2014 8/25/2011 12/25/2009 10/25/2008 11/25/2007
WINDOW 60 - 183 50 - 157 40 - 128 37 - 95 39 - 75 40 - 61 42 - 50
----- ----------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.20 8.67 7.01 5.26 4.34 3.85 3.61
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 11/25/2006 12/25/2006 1/25/2007
EXPECTED FINAL MATURITY 12/25/2018 10/25/2016 5/25/2014 8/25/2011 12/25/2009 10/25/2008 11/25/2007
WINDOW 60 - 183 50 - 157 40 - 128 37 - 95 38 - 75 39 - 61 40 - 50
----- ----------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.20 8.67 7.01 5.26 4.33 3.82 3.53
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 11/25/2006 11/25/2006 12/25/2006
EXPECTED FINAL MATURITY 12/25/2018 10/25/2016 5/25/2014 8/25/2011 12/25/2009 10/25/2008 11/25/2007
WINDOW 60 - 183 50 - 157 40 - 128 37 - 95 38 - 75 38 - 61 39 - 50
----- ----------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.19 8.66 7.00 5.25 4.31 3.77 3.47
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 10/25/2006 11/25/2006 11/25/2006
EXPECTED FINAL MATURITY 12/25/2018 10/25/2016 5/25/2014 8/25/2011 12/25/2009 10/25/2008 11/25/2007
WINDOW 60 - 183 50 - 157 40 - 128 37 - 95 37 - 75 38 - 61 38 - 50
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 12
WEIGHTED AVERAGE LIFE SENSITIVITY
TO MATURITY
-----------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
---- ------------------------------------------------------------------------------------------------------------------------------
A-2 WAL (YRS) 5.76 4.96 4.07 3.08 2.39 1.86 1.25
FIRST PAYMENT DATE 10/25/2003 10/25/2003 10/25/2003 10/25/2003 10/25/2003 10/25/2003 10/25/2003
EXPECTED FINAL MATURITY 2/25/2031 4/25/2029 1/25/2026 3/25/2021 8/25/2017 1/25/2015 9/25/2006
WINDOW 1 - 329 1 - 307 1 - 268 1 - 210 1 - 167 1 - 136 1 - 36
---- ------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.07 9.49 7.72 5.87 5.03 4.90 5.95
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 12/25/2006 4/25/2007 8/25/2007 9/25/2006
EXPECTED FINAL MATURITY 8/25/2028 3/25/2026 9/25/2022 4/25/2018 4/25/2015 2/25/2013 2/25/2013
WINDOW 60 - 299 50 - 270 40 - 228 39 - 175 43 - 139 47 - 113 36 - 113
---- ------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 11.00 9.41 7.65 5.78 4.82 4.38 4.33
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 11/25/2006 1/25/2007 2/25/2007 5/25/2007
EXPECTED FINAL MATURITY 3/25/2027 8/25/2024 3/25/2021 1/25/2017 3/25/2014 4/25/2012 10/25/2010
WINDOW 60 - 282 50 - 251 40 - 210 38 - 160 40 - 126 41 - 103 44 - 85
---- ------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.90 9.31 7.55 5.70 4.69 4.17 3.94
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 12/25/2006 1/25/2007 3/25/2007
EXPECTED FINAL MATURITY 12/25/2024 5/25/2022 3/25/2019 5/25/2015 12/25/2012 3/25/2011 11/25/2009
WINDOW 60 - 255 50 - 224 40 - 186 37 - 140 39 - 111 40 - 90 42 - 74
---- ------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.79 9.21 7.46 5.62 4.62 4.07 3.80
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 11/25/2006 12/25/2006 1/25/2007
EXPECTED FINAL MATURITY 10/25/2023 3/25/2021 2/25/2018 8/25/2014 4/25/2012 8/25/2010 6/25/2009
WINDOW 60 - 241 50 - 210 40 - 173 37 - 131 38 - 103 39 - 83 40 - 69
---- ------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.64 9.06 7.34 5.52 4.53 3.97 3.67
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 11/25/2006 11/25/2006 12/25/2006
EXPECTED FINAL MATURITY 5/25/2022 11/25/2019 12/25/2016 9/25/2013 7/25/2011 1/25/2010 12/25/2008
WINDOW 60 - 224 50 - 194 40 - 159 37 - 120 38 - 94 38 - 76 39 - 63
---- ------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.35 8.80 7.11 5.35 4.38 3.83 3.52
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 10/25/2006 11/25/2006 11/25/2006
EXPECTED FINAL MATURITY 12/25/2020 8/25/2018 11/25/2015 10/25/2012 11/25/2010 7/25/2009 7/25/2008
WINDOW 60 - 207 50 - 179 40 - 146 37 - 109 37 - 86 38 - 70 38 - 58
-----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 13
CPR SENSITIVITY
TO CALL
----------------------------------------------------------------------------------------
CPR (%) 20 25 30
----- ----------------------------------------------------------------------------------
A-2 WAL (YRS) 3.25 2.54 2.00
FIRST PAYMENT DATE 10/25/2003 10/25/2003 10/25/2003
EXPECTED FINAL MATURITY 6/25/2013 5/25/2011 12/25/2009
WINDOW 1 - 117 1 - 92 1 - 75
----- ----------------------------------------------------------------------------------
M-1 WAL 6.36 5.17 4.62
FIRST PAYMENT DATE 10/25/2006 1/25/2007 4/25/2007
EXPECTED FINAL MATURITY 6/25/2013 5/25/2011 12/25/2009
WINDOW 37 - 117 40 - 92 43 - 75
----- ----------------------------------------------------------------------------------
M-2 WAL 6.36 5.12 4.44
FIRST PAYMENT DATE 10/25/2006 11/25/2006 1/25/2007
EXPECTED FINAL MATURITY 6/25/2013 5/25/2011 12/25/2009
WINDOW 37 - 117 38 - 92 40 - 75
----- ----------------------------------------------------------------------------------
M-3 WAL 6.36 5.10 4.37
FIRST PAYMENT DATE 10/25/2006 11/25/2006 12/25/2006
EXPECTED FINAL MATURITY 6/25/2013 5/25/2011 12/25/2009
WINDOW 37 - 117 38 - 92 39 - 75
----- ----------------------------------------------------------------------------------
B-1 WAL 6.36 5.10 4.35
FIRST PAYMENT DATE 10/25/2006 10/25/2006 11/25/2006
EXPECTED FINAL MATURITY 6/25/2013 5/25/2011 12/25/2009
WINDOW 37 - 117 37 - 92 38 - 75
----- ----------------------------------------------------------------------------------
B-2 WAL 6.36 5.09 4.33
FIRST PAYMENT DATE 10/25/2006 10/25/2006 11/25/2006
EXPECTED FINAL MATURITY 6/25/2013 5/25/2011 12/25/2009
WINDOW 37 - 117 37 - 92 38 - 75
----- ----------------------------------------------------------------------------------
B-3 WAL 6.36 5.08 4.32
FIRST PAYMENT DATE 10/25/2006 10/25/2006 10/25/2006
EXPECTED FINAL MATURITY 6/25/2013 5/25/2011 12/25/2009
WINDOW 37 - 117 37 - 92 37 - 75
----------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 14
CPR SENSITIVITY
TO MATURITY
----------------------------------------------------------------------------------------
CPR (%) 20 25 30
----- ----------------------------------------------------------------------------------
A-2 WAL (YRS) 3.51 2.76 2.19
FIRST PAYMENT DATE 10/25/2003 10/25/2003 10/25/2003
EXPECTED FINAL MATURITY 5/25/2024 8/25/2020 9/25/2017
WINDOW 1 - 248 1 - 203 1 - 168
----- ----------------------------------------------------------------------------------
M-1 WAL 7.02 5.71 5.07
FIRST PAYMENT DATE 10/25/2006 1/25/2007 4/25/2007
EXPECTED FINAL MATURITY 5/25/2021 12/25/2017 5/25/2015
WINDOW 37 - 212 40 - 171 43 - 140
----- ----------------------------------------------------------------------------------
M-2 WAL 6.96 5.61 4.85
FIRST PAYMENT DATE 10/25/2006 11/25/2006 1/25/2007
EXPECTED FINAL MATURITY 11/25/2019 9/25/2016 5/25/2014
WINDOW 37 - 194 38 - 156 40 - 128
----- ----------------------------------------------------------------------------------
M-3 WAL 6.87 5.52 4.72
FIRST PAYMENT DATE 10/25/2006 11/25/2006 12/25/2006
EXPECTED FINAL MATURITY 12/25/2017 1/25/2015 1/25/2013
WINDOW 37 - 171 38 - 136 39 - 112
----- ----------------------------------------------------------------------------------
B-1 WAL 6.78 5.45 4.64
FIRST PAYMENT DATE 10/25/2006 10/25/2006 11/25/2006
EXPECTED FINAL MATURITY 12/25/2016 4/25/2014 5/25/2012
WINDOW 37 - 159 37 - 127 38 - 104
----- ----------------------------------------------------------------------------------
B-2 WAL 6.67 5.34 4.54
FIRST PAYMENT DATE 10/25/2006 10/25/2006 11/25/2006
EXPECTED FINAL MATURITY 11/25/2015 5/25/2013 8/25/2011
WINDOW 37 - 146 37 - 116 38 - 95
----- ----------------------------------------------------------------------------------
B-3 WAL 6.46 5.17 4.39
FIRST PAYMENT DATE 10/25/2006 10/25/2006 10/25/2006
EXPECTED FINAL MATURITY 10/25/2014 7/25/2012 12/25/2010
WINDOW 37 - 133 37 - 106 37 - 87
----------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 15
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%)
---------------------------------------------------------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
0 - - - - - - -
1 9.56 9.35 9.35 9.35 9.35 9.35 9.35
2 9.40 9.18 9.18 9.18 9.18 9.18 9.18
3 9.71 9.45 9.45 9.45 9.45 9.45 9.45
4 9.51 9.24 9.24 9.24 9.24 9.24 9.24
5 9.52 9.25 9.25 9.25 9.25 9.25 9.25
6 10.02 9.72 9.72 9.72 9.72 9.72 9.72
7 9.53 9.25 9.25 9.25 9.25 9.25 9.25
8 9.78 9.48 9.48 9.48 9.48 9.48 9.48
9 9.55 9.25 9.25 9.25 9.25 9.25 9.25
10 9.79 9.48 9.48 9.48 9.48 9.48 9.48
11 9.56 9.25 9.25 9.25 9.25 9.25 9.25
12 9.57 9.25 9.25 9.25 9.25 9.25 9.25
13 9.82 9.48 9.48 9.48 9.48 9.48 9.48
14 9.59 9.25 9.25 9.25 9.25 9.25 9.25
15 9.84 9.48 9.48 9.48 9.48 9.48 9.48
16 9.61 9.25 9.25 9.25 9.25 9.25 9.25
17 9.62 9.25 9.25 9.25 9.25 9.25 9.25
18 10.41 9.99 9.99 9.99 9.99 9.99 9.99
19 9.64 9.25 9.25 9.25 9.25 9.25 9.25
20 9.90 9.48 9.48 9.48 9.48 9.48 9.48
21 9.67 9.25 9.25 9.25 9.25 9.25 9.25
22 9.92 9.48 9.48 9.48 9.48 9.48 9.48
23 9.70 9.29 9.29 9.29 9.29 9.29 9.29
24 9.72 9.29 9.29 9.29 9.29 9.29 9.29
25 10.01 9.55 9.55 9.55 9.55 9.55 9.55
26 9.75 9.29 9.29 9.29 9.29 9.29 9.29
27 10.05 9.55 9.55 9.55 9.55 9.55 9.55
28 9.79 9.29 9.29 9.29 9.29 9.29 9.29
29 9.88 9.42 9.42 9.42 9.42 9.42 9.42
30 10.91 10.38 10.38 10.38 10.38 10.38 10.38
31 9.93 9.42 9.42 9.42 9.42 9.42 9.42
32 10.27 9.72 9.72 9.72 9.72 9.72 9.72
33 9.98 9.42 9.42 9.42 9.42 9.42 9.42
34 10.33 9.72 9.72 9.72 9.72 9.72 9.72
35 11.06 10.48 10.48 10.48 10.48 10.48 10.48
36 11.10 10.48 10.48 10.48 10.48 10.48 10.48
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance.
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 16
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%)
---------------------------------------------------------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
37 29.59 10.31 10.31 10.31 10.31 10.31 10.31
38 12.70 9.98 9.98 9.98 9.98 9.98 9.98
39 13.05 10.31 10.31 10.31 10.31 10.31 10.31
40 12.56 9.97 9.97 9.97 9.97 9.97 9.97
41 13.48 11.03 11.03 11.03 11.03 11.03 11.03
42 14.88 12.21 12.21 12.21 12.21 12.21 12.21
43 13.44 11.03 11.03 11.03 11.03 11.03 11.03
44 13.89 11.40 11.40 11.40 11.40 11.40 11.40
45 13.44 11.03 11.03 11.03 11.03 11.03 11.03
46 13.89 11.39 11.39 11.39 11.39 11.39 11.39
47 14.11 11.74 11.74 11.74 11.74 11.74 11.74
48 14.10 11.74 11.74 11.74 11.74 11.74 11.74
49 14.57 12.13 12.13 12.13 12.13 12.13 12.13
50 14.10 11.74 11.74 11.74 11.74 11.74 11.74
51 14.57 12.13 12.13 12.13 12.13 12.13 12.13
52 14.10 11.73 11.73 11.73 11.73 11.73 11.73
53 14.13 11.76 11.76 11.76 11.76 11.76 11.76
54 15.10 12.57 12.57 12.57 12.57 12.57 12.57
55 14.13 11.76 11.76 11.76 11.76 11.76 11.76
56 14.60 12.15 12.15 12.15 12.15 12.15 12.15
57 14.12 11.76 11.76 11.76 11.76 11.76 11.76
58 14.59 12.15 12.15 12.15 12.15 12.15 12.15
59 14.14 11.77 11.77 11.77 11.77 11.77 11.77
60 14.14 11.77 11.77 11.77 11.77 11.77 11.77
61 14.61 12.16 12.16 12.16 12.16 12.16 12.16
62 14.14 11.77 11.77 11.77 11.77 11.77 11.77
63 14.61 12.16 12.16 12.16 12.16 12.16 12.16
64 14.14 11.77 11.77 11.77 11.77 11.77 11.77
65 14.14 11.76 11.76 11.76 11.76 11.76 11.76
66 15.65 13.02 13.02 13.02 13.02 13.02 13.02
67 14.13 11.76 11.76 11.76 11.76 11.76 11.76
68 14.61 12.15 12.15 12.15 12.15 12.15 12.15
69 14.13 11.76 11.76 11.76 11.76 11.76 11.76
70 14.60 12.15 12.15 12.15 12.15 12.15 12.15
71 14.13 11.76 11.76 11.76 11.76 11.76 11.76
72 14.13 11.76 11.76 11.76 11.76 11.76 11.76
73 14.60 12.15 12.15 12.15 12.15 12.15 12.15
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance.
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 17
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%)
---------------------------------------------------------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
74 14.13 11.75 11.75 11.75 11.75 11.75 11.75
75 14.60 12.14 12.14 12.14 12.14 12.14 12.14
76 14.13 11.75 11.75 11.75 11.75 11.75 11.75
77 14.13 11.75 11.75 11.75 11.75 11.75 11.75
78 15.64 13.01 13.01 13.01 13.01 13.01 13.01
79 14.13 11.75 11.75 11.75 11.75 11.75 11.75
80 14.60 12.14 12.14 12.14 12.14 12.14 12.14
81 14.13 11.75 11.75 11.75 11.75 11.75 11.75
82 14.60 12.14 12.14 12.14 12.14 12.14 12.14
83 14.13 11.74 11.74 11.74 11.74 11.74 11.74
84 14.13 11.74 11.74 11.74 11.74 11.74 11.74
85 14.60 12.13 12.13 12.13 12.13 12.13 12.13
86 14.13 11.74 11.74 11.74 11.74 11.74 11.74
87 14.60 12.13 12.13 12.13 12.13 12.13 12.13
88 14.13 11.74 11.74 11.74 11.74 11.74 11.74
89 14.13 11.74 11.74 11.74 11.74 11.74 11.74
90 15.64 12.99 12.99 12.99 12.99 12.99 12.99
91 14.13 11.73 11.73 11.73 11.73 11.73 11.73
92 14.60 12.13 12.13 12.13 12.13 12.13 12.13
93 12.27 11.73 11.73 11.73 11.73 11.73 11.73
94 12.49 12.12 12.12 12.12 12.12 12.12 12.12
95 12.11 11.73 11.73 11.73 11.73 11.73 11.73
96 12.13 11.73 11.73 11.73 11.73 11.73 11.73
97 12.56 12.12 12.12 12.12 12.12 12.12 12.12
98 12.18 11.73 11.73 11.73 11.73 11.73 11.73
99 12.61 12.12 12.12 12.12 12.12 12.12 12.12
100 12.23 11.73 11.73 11.73 11.73 11.73 11.73
101 12.25 11.73 11.73 11.73 11.73 11.73 11.73
102 13.12 12.53 12.53 12.53 12.53 12.53 12.53
103 12.30 11.72 11.72 11.72 11.72 11.72 11.72
104 12.74 12.11 12.11 12.11 12.11 12.11 12.11
105 12.36 11.72 11.72 11.72 11.72 11.72 11.72
106 12.80 12.11 12.11 12.11 12.11 12.11 12.11
107 12.41 11.72 11.72 11.72 11.72 11.72 11.72
108 12.44 11.72 11.72 11.72 11.72 11.72 11.72
109 12.89 12.11 12.11 12.11 12.11 12.11 12.11
110 12.50 11.72 11.72 11.72 11.72 11.72 11.72
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance.
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 18
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%)
---------------------------------------------------------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
111 12.95 12.11 12.11 12.11 12.11 12.11 12.11
112 12.57 11.72 11.72 11.72 11.72 11.72 -
113 12.60 11.72 11.72 11.72 11.72 11.72 -
114 13.99 12.97 12.97 12.97 12.97 12.97 -
115 12.67 11.71 11.71 11.71 11.71 11.71 -
116 13.13 12.10 12.10 12.10 12.10 12.10 -
117 12.75 11.71 11.71 11.71 11.71 11.71 -
118 13.21 12.10 12.10 12.10 12.10 12.10 -
119 12.83 11.71 11.71 11.71 11.71 11.71 -
120 12.87 11.71 11.71 11.71 11.71 11.71 -
121 13.34 12.10 12.10 12.10 12.10 12.10 -
122 12.95 11.71 11.71 11.71 11.71 11.71 -
123 13.43 12.10 12.10 12.10 12.10 - -
124 13.04 11.71 11.71 11.71 11.71 - -
125 13.09 11.71 11.71 11.71 11.71 - -
126 14.54 12.96 12.96 12.96 12.96 - -
127 13.18 11.71 11.71 11.71 11.71 - -
128 13.67 12.10 12.10 12.10 12.10 - -
129 13.28 11.70 11.70 11.70 11.70 - -
130 13.78 12.09 12.09 12.09 12.09 - -
131 13.39 11.70 11.70 11.70 11.70 - -
132 13.44 11.70 11.70 11.70 11.70 - -
133 13.95 12.09 12.09 12.09 12.09 - -
134 13.56 11.70 11.70 11.70 - - -
135 14.07 12.09 12.09 12.09 - - -
136 13.68 11.70 11.70 11.70 - - -
137 13.74 11.70 11.70 11.70 - - -
138 15.29 12.95 12.95 12.95 - - -
139 13.87 11.70 11.70 11.70 - - -
140 14.41 12.09 12.09 12.09 - - -
141 14.01 11.70 11.70 11.70 - - -
142 14.55 12.09 12.09 12.09 - - -
143 14.16 11.70 11.70 11.70 - - -
144 14.23 11.70 11.70 - - - -
145 14.79 12.09 12.09 - - - -
146 14.39 11.70 11.70 - - - -
147 14.95 12.09 12.09 - - - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance.
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 19
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%)
---------------------------------------------------------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
148 14.56 11.70 11.70 - - - -
149 14.64 11.70 11.70 - - - -
150 15.75 12.50 12.50 - - - -
151 14.82 11.70 11.70 - - - -
152 15.41 12.09 12.09 - - - -
153 15.01 11.70 11.70 - - - -
154 15.61 12.08 12.08 - - - -
155 15.21 11.69 11.69 - - - -
156 15.31 11.69 11.69 - - - -
157 15.93 12.08 12.08 - - - -
158 15.53 11.69 11.69 - - - -
159 16.16 12.08 12.08 - - - -
160 15.75 11.69 11.69 - - - -
161 15.87 11.69 11.69 - - - -
162 17.71 12.95 12.95 - - - -
163 16.12 11.69 11.69 - - - -
164 16.79 12.08 12.08 - - - -
165 16.38 11.69 - - - - -
166 17.06 12.08 - - - - -
167 16.65 11.69 - - - - -
168 16.79 11.69 - - - - -
169 17.50 12.08 - - - - -
170 17.09 11.70 - - - - -
171 17.82 12.09 - - - - -
172 17.40 11.70 - - - - -
173 17.56 11.70 - - - - -
174 19.63 12.95 - - - - -
175 17.90 11.70 - - - - -
176 18.68 12.09 - - - - -
177 18.26 11.70 - - - - -
178 19.06 12.09 - - - - -
179 18.64 11.70 - - - - -
180 18.85 - - - - - -
181 19.82 - - - - - -
182 19.54 - - - - - -
183 20.58 - - - - - -
184 20.32 - - - - - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance.
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 20
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
PERIOD A-2 CAP (%) M-1 CAP (%) M-2 CAP (%) M-3 CAP (%) B-1 CAP (%) B-2 CAP (%) B-3 CAP (%)
---------------------------------------------------------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
185 20.75 - - - - - -
186 23.48 - - - - - -
187 21.70 - - - - - -
188 22.97 - - - - - -
189 22.80 - - - - - -
190 24.20 - - - - - -
191 24.09 - - - - - -
192 24.82 - - - - - -
193 26.47 - - - - - -
194 26.48 - - - - - -
195 28.35 - - - - - -
196 28.49 - - - - - -
197 29.66 - - - - - -
198 33.09 - - - - - -
199 32.42 - - - - - -
200 35.20 - - - - - -
201 35.90 - - - - - -
202 39.26 - - - - - -
203 40.41 - - - - - -
204 43.25 - - - - - -
205 48.16 - - - - - -
206 50.66 - - - - - -
207 57.48 - - - - - -
208 61.87 - - - - - -
209 69.94 - - - - - -
210 89.43 - - - - - -
211 96.09 - - - - - -
212 123.34 - - - - - -
213 158.99 - - - - - -
214 249.50 - - - - - -
215 718.28 - - - - - -
216 - - - - - - -
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance.
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 21
XXXXXX XXXXXXX
2003-NC8
All records
================================================================================
-------------------------------------------------------------------------------
SUMMARY STATISTIC
-------------------------------------------------------------------------------
Number of Mortgage Loans: 8,331
Aggregate Principal Balance ($): 1,361,221,758
Weighted Average Current Mortgage Rate (%): 7.473
Non-Zero Weighted Average Margin (%): 5.593
Non-Zero Weighted Average Maximum Rate (%): 14.370
Weighted Average Stated Original Term (months): 354
Weighted Average Stated Remaining Term (months): 352
Weighted Average Combined Original LTV (%): 80.18
% First Liens: 98.59
% Owner Occupied: 94.37
% Purchase: 25.08
% Full Doc: 58.52
Non-Zero Weighted Average Credit Score: 600
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
PRODUCT TYPES Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------- --------------- ---------- --------- ---------- ---------
Fixed - 10 Year 21 1,321,284 0.1 8.424 118 64.52
Fixed - 15 Year 191 15,974,284 1.17 7.868 178 72.58
Fixed - 20 Year 503 29,605,227 2.17 9.828 238 90.22
Fixed - 25 Year 4 376,813 0.03 9.006 298 81.64
Fixed - 30 Year 1,725 251,233,443 18.46 7.598 358 77.45
ARM - 2 Year/6 Month 5,660 1,012,002,660 74.35 7.43 358 80.69
ARM - 3 Year/6 Month 162 28,539,174 2.10 7.231 358 81.10
ARM - 10 Year IO/1 Month 65 22,168,873 1.63 4.851 298 79.81
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
RANGE OF GROSS INTEREST Mortgage Principal Principal Interest Term Original
RATES (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- --------------- ---------- --------- ---------- ---------
4.000 - 4.999 55 18,493,702 1.36 4.774 298 80.13
5.000 - 5.999 322 77,977,870 5.73 5.691 355 78.32
6.000 - 6.999 1,975 422,911,943 31.07 6.618 355 79.46
7.000 - 7.999 2,821 486,890,990 35.77 7.518 354 81.05
8.000 - 8.999 1,773 235,835,066 17.33 8.449 353 80.22
9.000 - 9.999 729 75,457,906 5.54 9.447 351 78.56
10.000 - 10.999 482 33,038,680 2.43 10.648 306 84.08
11.000 - 11.999 149 8,646,549 0.64 11.586 299 82.20
12.000 - 12.999 25 1,969,053 0.14 12.339 335 77.67
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
Minimum: 4.320
Maximum: 12.990
Weighted Average: 7.473
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
----------------------------------------------------------------------------------------------------------------------------------
Page 1 of 7
XXXXXX XXXXXXX
2003-NC8
All records
================================================================================
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
RANGE OF CUT-OFF DATE Mortgage Principal Principal Interest Term Original
PRINCIPAL BALANCES ($) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- --------------- ---------- --------- ---------- ---------
1 - 25,000 51 1,164,997 0.09 11.179 234 99.25
25,001 - 50,000 577 23,225,348 1.71 9.587 301 80.84
50,001 - 75,000 1,041 65,480,028 4.81 8.732 328 78.72
75,001 - 100,000 1,066 93,814,431 6.89 8.108 345 78.14
100,001 - 125,000 953 107,302,357 7.88 7.851 353 79.12
125,001 - 150,000 868 119,267,563 8.76 7.682 355 78.97
150,001 - 175,000 710 115,060,892 8.45 7.602 355 78.61
175,001 - 200,000 616 115,620,052 8.49 7.523 356 78.70
200,001 - 225,000 536 114,025,687 8.38 7.29 355 79.76
225,001 - 250,000 407 96,681,577 7.10 7.236 356 80.18
250,001 - 275,000 338 88,509,873 6.50 7.125 355 81.92
275,001 - 300,000 265 76,279,319 5.60 7.153 356 81.91
300,001 - 325,000 220 68,964,166 5.07 7.103 356 82.38
325,001 - 350,000 154 52,011,241 3.82 7.04 354 82.45
350,001 - 375,000 140 50,633,054 3.72 7.04 357 83.40
375,001 - 400,000 128 49,835,929 3.66 6.92 354 82.66
400,001 - 425,000 51 21,184,881 1.56 6.95 355 81.07
425,001 - 450,000 54 23,653,189 1.74 7.079 356 82.48
450,001 - 475,000 41 18,945,664 1.39 6.908 356 81.19
475,001 - 500,000 78 38,432,503 2.82 6.69 353 79.33
500,001 - 750,000 37 21,129,007 1.55 6.372 345 80.69
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
Minimum: 19,955
Maximum: 748,767
Average: 163,392
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
ORIGINAL TERMS (MONTHS) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- --------------- ---------- --------- ---------- ---------
120 21 1,321,284 0.1 8.424 118 64.52
180 191 15,974,284 1.17 7.868 178 72.58
240 503 29,605,227 2.17 9.828 238 90.22
300 69 22,545,685 1.66 4.92 298 79.84
360 7,547 1,291,775,277 94.90 7.458 358 80.07
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 354
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
RANGE OF STATED REMAINING Mortgage Principal Principal Interest Term Original
TERMS (MONTHS) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- ---------- --------- ---------- ---------
109 - 120 21 1,321,284 0.1 8.424 118 64.52
169 - 180 191 15,974,284 1.17 7.868 178 72.58
229 - 240 503 29,605,227 2.17 9.828 238 90.22
289 - 300 69 22,545,685 1.66 4.92 298 79.84
349 - 360 7,547 1,291,775,277 94.90 7.458 358 80.07
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
-----------------------------------------------------------------------------------------------------
Minimum: 117
Maximum: 359
Weighted Average: 352
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 7
XXXXXX XXXXXXX
2003-NC8
All records
================================================================================
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
RANGE OF COMBINED ORIGINAL Mortgage Principal Principal Interest Term Original
LTV RATIOS (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- ---------- --------- ---------- ---------
<= 10.00 3 128,255 0.01 7.382 358 8.26
15.01 - 20.00 9 579,971 0.04 7.284 341 18.51
20.01 - 25.00 9 643,122 0.05 7.256 308 21.88
25.01 - 30.00 17 1,209,207 0.09 7.644 342 27.56
30.01 - 35.00 33 3,082,220 0.23 7.35 327 32.63
35.01 - 40.00 50 4,872,547 0.36 7.696 352 38.13
40.01 - 45.00 68 8,162,738 0.60 7.295 349 42.67
45.01 - 50.00 93 12,897,723 0.95 7.254 345 48.02
50.01 - 55.00 130 18,600,811 1.37 7.517 346 52.62
55.01 - 60.00 182 25,951,681 1.91 7.363 352 58.01
60.01 - 65.00 365 58,240,105 4.28 7.433 350 63.32
65.01 - 70.00 540 85,871,570 6.31 7.669 352 68.77
70.01 - 75.00 773 126,497,990 9.29 7.550 352 74.10
75.01 - 80.00 2,222 363,957,821 26.74 7.347 353 79.61
80.01 - 85.00 1,590 276,289,138 20.3 7.539 354 84.57
85.01 - 90.00 1,543 297,109,163 21.83 7.338 356 89.65
90.01 - 95.00 302 58,519,665 4.30 7.185 355 94.78
95.01 - 100.00 402 18,608,031 1.37 11.068 236 99.97
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
Minimum: 6.60
Maximum: 100.00
Weighted Average: 80.18
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
RANGE OF GROSS MARGINS (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- ---------- --------- ---------- ---------
Fixed Rate Loans 2,444 298,511,052 21.93 7.839 335 78.41
<= 3.500 57 18,665,898 1.37 4.822 298 80.13
3.501 - 4.000 12 4,578,443 0.34 5.296 310 79.54
4.501 - 5.000 2 421,060 0.03 6.531 358 70.88
5.001 - 5.500 3,181 601,807,557 44.21 7.209 358 82.43
5.501 - 6.000 1,518 272,076,488 19.99 7.337 358 80.17
6.001 - 6.500 843 128,812,037 9.46 8.136 358 76.29
6.501 - 7.000 248 33,182,904 2.44 9.117 358 71.70
7.001 - 7.500 25 3,075,399 0.23 9.593 358 70.85
7.501 - 8.000 1 90,919 0.01 9.99 358 67.41
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 7.750
Non-Zero Weighted Average: 5.593
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
----------------------------------------------------------------------------------------------------------------------------------
Page 3 of 7
XXXXXX XXXXXXX
2003-NC8
All records
================================================================================
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
RANGE of MINIMUM MORTGAGE Mortgage Principal Principal Interest Term Original
RATES (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- ---------- --------- ---------- ---------
Fixed Rate Loans 2,444 298,511,052 21.93 7.839 335 78.41
<=5.000 63 20,067,788 1.47 4.792 302 79.81
5.001 - 5.500 94 24,500,993 1.80 5.395 349 77.85
5.501 - 6.000 255 59,959,803 4.40 5.873 358 78.81
6.001 - 6.500 530 122,068,291 8.97 6.345 358 80.20
6.501 - 7.000 1,025 218,974,941 16.09 6.828 358 81.34
7.001 - 7.500 1,003 188,080,899 13.82 7.317 358 81.99
7.501 - 8.000 1,117 190,929,943 14.03 7.807 358 81.77
8.001 - 8.500 659 98,162,250 7.21 8.289 358 81.28
8.501 - 9.000 522 71,193,398 5.23 8.782 358 79.48
9.001 - 9.500 249 28,371,538 2.08 9.278 358 78.77
9.501 - 10.000 192 22,127,039 1.63 9.772 358 76.47
10.001 -10.500 76 7,579,204 0.56 10.31 358 73.83
10.501 - 11.000 59 6,268,400 0.46 10.792 358 71.09
11.001 - 11.500 21 2,089,607 0.15 11.334 358 65.19
11.501 - 12.000 14 1,089,755 0.08 11.823 358 66.51
12.001 - 12.500 6 1,069,543 0.08 12.303 358 73.60
12.501 - 13.000 2 177,315 0.01 12.794 358 81.82
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.320
Maximum: 12.870
Non-Zero Weighted Average: 7.370
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
RANGE OF MAXIMUM LOAN Mortgage Principal Principal Interest Term Original
RATES (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- ---------- --------- ---------- ---------
Fixed Rate Loans 2,444 298,511,052 21.93 7.839 335 78.41
<= 12.500 159 44,824,295 3.29 5.13 328 78.67
12.501 - 13.000 255 59,960,366 4.40 5.876 358 78.84
13.001 - 13.500 536 123,155,972 9.05 6.354 358 80.28
13.501 - 14.000 1,031 219,714,441 16.14 6.83 358 81.34
14.001 - 14.500 995 186,848,513 13.73 7.319 358 81.99
14.501 - 15.000 1,116 190,921,859 14.03 7.81 358 81.76
15.001 - 15.500 659 98,083,872 7.21 8.292 358 81.26
15.501 - 16.000 521 71,074,703 5.22 8.783 358 79.49
16.001 - 16.500 246 27,814,950 2.04 9.277 358 78.68
16.501 - 17.000 191 22,037,912 1.62 9.772 358 76.44
17.001 - 17.500 76 7,579,204 0.56 10.31 358 73.83
17.501 - 18.000 59 6,268,400 0.46 10.792 358 71.09
18.001 - 18.500 21 2,089,607 0.15 11.334 358 65.19
18.501 - 19.000 14 1,089,755 0.08 11.823 358 66.51
19.001 - 19.500 6 1,069,543 0.08 12.303 358 73.60
19.501 - 20.000 2 177,315 0.01 12.794 358 81.82
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12.000
Maximum: 19.870
Non-Zero Weighted Average: 14.370
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
----------------------------------------------------------------------------------------------------------------------------------
Page 4 of 7
XXXXXX XXXXXXX
2003-NC8
All records
================================================================================
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
INITIAL PERIODIC CAP (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- ---------- --------- ---------- ---------
Fixed Rate Loans 2,444 298,511,052 21.93 7.839 335 78.41
1.000 24 3,639,037 0.27 7.791 358 83.04
1.500 5,797 1,036,625,931 76.15 7.423 358 80.69
3.000 66 22,445,738 1.65 4.882 298 79.75
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.530
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
SUBSEQEUNT PERIODIC CAP (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- ---------- --------- ---------- ---------
Fixed Rate Loans 2,444 298,511,052 21.93 7.839 335 78.41
1.000 25 3,915,903 0.29 7.763 358 82.48
1.500 5,797 1,036,625,931 76.15 7.423 358 80.69
3.000 65 22,168,873 1.63 4.851 298 79.81
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.529
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
NEXT RATE ADJUSTMENT DATES Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- ---------- --------- ---------- ---------
Fixed Rate 2,444 298,511,052 21.93 7.839 335 78.41
Aug-2003 65 22,168,873 1.63 4.851 298 79.81
Apr-2005 1 459,375 0.03 7.100 355 90.00
May-2005 51 9,720,693 0.71 7.534 356 82.84
Jun-2005 898 166,226,396 12.21 7.425 357 80.87
Jul-2005 4,708 835,300,622 61.36 7.430 358 80.63
Aug-2005 2 295,575 0.02 7.416 359 70.69
May-2006 3 596,694 0.04 7.197 356 74.53
Jun-2006 27 5,621,452 0.41 7.304 357 80.81
Jul-2006 132 22,321,027 1.64 7.214 358 81.35
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
Non-Zero Weighted Average: 20050622
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
----------------------------------------------------------------------------------------------------------------------------------
Page 5 of 7
XXXXXX XXXXXXX
2003-NC8
All records
================================================================================
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
GEOGRAPHIC DISTRIBUTION OF Mortgage Principal Principal Interest Term Original
MORTGAGED PROPERTIES Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- ---------- --------- ---------- ---------
California 2,577 565,754,269 41.56 7.152 353 80.08
Florida 665 81,635,737 6.0 7.861 352 80.77
New York 357 80,331,996 5.9 7.356 353 77.71
Illinois 367 59,361,903 4.36 7.507 354 80.32
Texas 585 55,888,553 4.11 8.204 331 78.73
Massachusetts 238 50,122,617 3.68 7.296 355 77.21
New Jersey 243 47,150,371 3.46 7.645 350 77.86
Michigan 404 46,762,394 3.44 7.943 356 79.92
Washington 178 28,442,256 2.09 7.336 350 82.43
Virginia 142 28,265,856 2.08 7.271 352 82.28
Colorado 143 23,189,945 1.70 7.479 351 82.05
Maryland 136 23,018,875 1.69 7.591 352 80.34
Connecticut 121 21,582,032 1.59 7.487 356 81.11
Ohio 191 19,116,262 1.40 8.058 354 82.77
Minnesota 127 18,256,175 1.34 7.54 354 80.87
Other 1,857 212,342,517 15.60 7.897 352 81.59
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
OCCUPANCY Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- ---------- --------- ---------- ---------
Primary 7,807 1,284,577,887 94.37 7.472 352 80.40
Investment 495 70,598,494 5.19 7.537 353 76.50
Second Home 29 6,045,377 0.44 7.023 354 76.85
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
PROPERTY TYPE Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- ---------- --------- ---------- ---------
Single Family Residence 6,595 1,043,895,852 76.69 7.503 352 80.04
PUD 766 138,958,382 10.21 7.445 350 82.17
2-4 Family 516 109,040,962 8.01 7.338 354 78.52
Condo 454 69,326,563 5.09 7.306 351 81.02
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
LOAN PURPOSE Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- ---------- --------- ---------- ---------
Refinance - Cashout 4,838 799,060,080 58.70 7.549 352 78.25
Purchase 2,114 341,370,944 25.08 7.283 350 84.62
Refinance - Rate Term 1,379 220,790,734 16.22 7.494 353 80.32
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
----------------------------------------------------------------------------------------------------------------------------------
Page 6 of 7
XXXXXX XXXXXXX
2003-NC8
All records
================================================================================
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
DOCUMENTATION LEVEL Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- ---------- --------- ---------- ---------
Full 5,304 796,574,172 58.52 7.383 352 80.59
Stated Documentation 2,675 499,084,141 36.66 7.639 352 79.28
Limited 352 65,563,445 4.82 7.315 353 82.13
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
CREDIT SCORE Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- --------- -------- --------- --------
500 - 524 912 127,757,847 9.39 8.384 355 74.46
525 - 549 1,256 185,491,183 13.63 8.151 355 77.76
550 - 574 1,284 203,804,964 14.97 7.708 355 79.53
575 - 599 1,177 192,713,196 14.16 7.577 354 80.16
600 - 624 1,148 196,341,647 14.42 7.180 353 81.78
625 - 649 1,030 179,756,421 13.21 7.085 350 82.42
650 - 674 728 127,391,868 9.36 6.985 349 82.33
675 - 699 379 66,549,202 4.89 6.840 346 82.62
700 - 724 200 39,468,317 2.90 6.503 338 82.40
725 - 749 123 24,078,359 1.77 6.561 338 82.59
750 - 774 58 10,726,933 0.79 6.558 342 82.37
775 - 799 32 6,759,773 0.50 6.327 338 80.90
800 + 4 382,046 0.03 7.163 358 63.37
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 500
Maximum: 814
Non-Zero Weighted Average: 600
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
PREPAYMENT PENALTY TERM Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- --------- -------- --------- --------
0 1,631 246,401,623 18.10 7.556 343 79.67
12 598 132,841,475 9.76 7.206 353 80.74
24 4,713 799,487,891 58.73 7.456 356 80.87
36 1,389 182,490,770 13.41 7.632 344 77.46
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
-------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 25
------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
LIEN POSITION Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------- -------------- --------- -------- --------- --------
1st Lien 7,917 1,342,079,808 98.59 7.422 354 79.9
2nd Lien 414 19,141,950 1.41 11.074 236 99.8
----------------------------------------------------------------------------------------------------
TOTAL: 8,331 1,361,221,758 100.00 7.473 352 80.18
------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
----------------------------------------------------------------------------------------------------------------------------------
Page 7 of 7
2003-NC8 XXXXXX XXXXXXX
GROUP 2
================================================================================
-----------------------------------------------------
SUMMARY STATISTICS
-----------------------------------------------------
Number of Mortgage Loans: 2,801
Aggregate Principal Balance ($): 480,623,118
Weighted Average Current Mortgage Rate (%): 7.513
Non-Zero Weighted Average Margin (%): 5.487
Non-Zero Weighted Average Maximum Rate (%): 14.064
Weighted Average Stated Original Term (months): 348
Weighted Average Stated Remaining Term (months): 346
Weighted Average Combined Original LTV (%): 81.33
% First Liens: 96.02
% Owner Occupied: 95.84
% Purchase: 27.15
% Full Doc: 60.83
Non-Zero Weighted Average Credit Score: 605
------------------------------------------------------
--------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
PRODUCT TYPES Loans Balance ($) Balance Rate (%) (Months) LTV
-----------------------------------------------------------------------------------------------------------
Fixed - 10 Year 18 1,145,167 0.24 8.527 118 65.89
Fixed - 15 Year 119 8,833,143 1.84 8.393 178 75.66
Fixed - 20 Year 461 24,053,827 5.00 10.446 238 94.02
Fixed - 25 Year 3 288,937 0.06 8.586 298 82.14
Fixed - 30 Year 999 132,208,790 27.51 7.988 358 78.42
ARM - 2 Year/6 Month 1,130 289,785,984 60.29 7.183 358 81.94
ARM - 3 Year/6 Month 34 8,441,449 1.76 6.92 358 81.19
ARM - 10 Year IO/1 Month 37 15,865,821 3.30 4.86 298 79.60
-----------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
-------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
RANGE OF GROSS INTEREST RATES (%) Loans Balance ($) Balance Rate (%) (Months) LTV
-----------------------------------------------------------------------------------------------------------
4.000 - 4.999 30 12,678,000 2.64 4.766 298 79.91
5.000 - 5.999 101 34,384,320 7.15 5.686 352 79.35
6.000 - 6.999 499 145,525,240 30.28 6.607 356 81.19
7.000 - 7.999 717 150,607,870 31.34 7.521 353 81.49
8.000 - 8.999 646 82,272,467 17.12 8.457 346 79.87
9.000 - 9.999 319 28,379,302 5.9 9.476 339 79.43
10.000 - 10.999 355 19,799,183 4.12 10.779 272 91.87
11.000 - 11.999 114 5,470,930 1.14 11.681 265 91.21
12.000 - 12.999 20 1,505,807 0.31 12.308 328 77.46
----------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
--------------------------------------------------------------------------------------------------------------
Minimum: 4.320
Maximum: 12.990
Weighted Average: 7.513
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
----------------------------------------------------------------------------------------------------------------------------------
Page 1 of 7
2003-NC8 XXXXXX XXXXXXX
GROUP 2
================================================================================
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
RANGE OF CUT-OFF DATE Mortgage Principal Principal Interest Term Original
PRINCIPAL BALANCES ($) Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
1 - 25,000 51 1,164,997 0.24 11.179 234 99.25
25,001 - 50,000 390 15,184,531 3.16 10.072 276 86.15
50,001 - 75,000 490 30,469,142 6.34 9.251 307 81.97
75,001 - 100,000 371 32,293,793 6.72 8.512 332 79.80
100,001 - 125,000 251 28,366,197 5.90 8.06 347 79.77
125,001 - 150,000 190 25,828,364 5.37 7.878 350 80.51
150,001 - 175,000 113 18,292,309 3.81 7.942 351 77.60
175,001 - 200,000 87 16,386,832 3.41 7.726 354 78.42
200,001 - 225,000 82 17,514,853 3.64 7.57 352 79.25
225,001 - 250,000 39 9,275,031 1.93 7.533 358 79.99
250,001 - 275,000 38 9,977,533 2.08 7.378 350 81.32
275,001 - 300,000 30 8,667,046 1.80 7.438 358 79.09
300,001 - 325,000 42 13,316,743 2.77 7.239 358 83.83
325,001 - 350,000 139 46,937,601 9.77 7.006 354 82.77
350,001 - 375,000 125 45,163,246 9.40 7.025 356 83.15
375,001 - 400,000 115 44,743,228 9.31 6.878 353 82.42
400,001 - 425,000 48 19,932,985 4.15 6.951 355 81.53
425,001 - 450,000 53 23,203,886 4.83 7.074 356 82.33
450,001 - 475,000 39 18,015,256 3.75 6.942 356 81.44
475,001 - 500,000 74 36,512,244 7.60 6.667 353 79.42
500,001 - 750,000 34 19,377,302 4.03 6.299 344 81.02
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
-----------------------------------------------------------------------------------------------------------
Minimum: 19,955
Maximum: 748,767
Average: 171,590
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
ORIGINAL TERMS (MONTHS) Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
120 18 1,145,167 0.24 8.527 118 65.89
180 119 8,833,143 1.84 8.393 178 75.66
240 461 24,053,827 5.00 10.446 238 94.02
300 40 16,154,758 3.36 4.927 298 79.64
360 2,163 430,436,222 89.56 7.425 358 80.84
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 348
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
RANGE OF STATED REMAINING Mortgage Principal Principal Interest Term Original
TERMS (MONTHS) Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
109 - 120 18 1,145,167 0.24 8.527 118 65.89
169 - 180 119 8,833,143 1.84 8.393 178 75.66
229 - 240 461 24,053,827 5.00 10.446 238 94.02
289 - 300 40 16,154,758 3.36 4.927 298 79.64
349 - 360 2,163 430,436,222 89.56 7.425 358 80.84
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
-----------------------------------------------------------------------------------------------------------
Minimum: 117
Maximum: 358
Weighted Average: 346
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
----------------------------------------------------------------------------------------------------------------------------------
Page 2 of 7
2003-NC8 XXXXXX XXXXXXX
GROUP 2
================================================================================
-----------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
RANGE OF COMBINED Mortgage Principal Principal Interest Term Original
ORIGINAL LTV RATIOS (%) Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
<= 10.00 2 69,860 0.01 8.077 358 6.80
15.01 - 20.00 2 114,966 0.02 8.484 275 19.27
20.01 - 25.00 3 180,594 0.04 7.987 334 22.98
25.01 - 30.00 1 41,552 0.01 8.49 118 28.00
30.01 - 35.00 10 860,880 0.18 7.97 318 32.72
35.01 - 40.00 11 616,167 0.13 8.743 327 38.81
40.01 - 45.00 18 1,802,813 0.38 7.91 331 42.00
45.01 - 50.00 30 3,929,687 0.82 7.136 330 48.23
50.01 - 55.00 38 5,600,799 1.17 7.947 352 52.59
55.01 - 60.00 57 8,010,266 1.67 7.337 349 57.93
60.01 - 65.00 101 19,366,756 4.03 7.401 346 63.11
65.01 - 70.00 154 26,339,429 5.48 7.531 348 68.70
70.01 - 75.00 237 44,763,479 9.31 7.40 347 73.92
75.01 - 80.00 687 120,475,022 25.07 7.384 348 79.58
80.01 - 85.00 486 99,759,038 20.76 7.413 351 84.53
85.01 - 90.00 453 106,236,380 22.1 7.242 356 89.66
90.01 - 95.00 109 23,847,397 4.96 7.223 353 94.77
95.01 - 100.00 402 18,608,031 3.87 11.068 236 99.97
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
-----------------------------------------------------------------------------------------------------------
Minimum: 6.60
Maximum: 100.00
Weighted Average: 81.33
------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
RANGE OF GROSS MARGINS (%) Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,600 166,529,865 34.65 8.369 329 80.45
<= 3.500 30 12,678,000 2.64 4.766 298 79.91
3.501 - 4.000 8 3,789,951 0.79 5.248 307 79.42
5.001 - 5.500 660 185,360,166 38.57 6.985 358 83.29
5.501 - 6.000 303 76,218,927 15.86 7.173 358 81.18
6.001 - 6.500 144 27,828,208 5.79 7.907 358 76.92
6.501 - 7.000 51 7,544,207 1.57 9.032 358 74.78
7.001 - 7.500 5 673,794 0.14 10.621 358 69.39
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 3.000
Maximum: 7.250
Non-Zero Weighted Average: 5.487
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
----------------------------------------------------------------------------------------------------------------------------------
Page 3 of 7
2003-NC8 XXXXXX XXXXXXX
GROUP 2
================================================================================
------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
RANGE OF Mortgage Principal Principal Interest Term Original
MINIMUM MORTGAGE RATES (%) Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,600 166,529,865 34.65 8.369 329 80.45
<=5.000 30 12,678,000 2.64 4.766 298 79.91
5.001 - 5.500 34 12,422,233 2.58 5.372 342 78.95
5.501 - 6.000 81 26,224,584 5.46 5.886 358 79.52
6.001 - 6.500 134 42,374,962 8.82 6.343 358 81.41
6.501 - 7.000 237 72,702,963 15.13 6.821 358 83.29
7.001 - 7.500 196 53,505,235 11.13 7.288 358 83.38
7.501 - 8.000 210 49,778,394 10.36 7.812 358 82.55
8.001 - 8.500 112 21,496,946 4.47 8.285 358 81.76
8.501 - 9.000 78 12,097,430 2.52 8.754 358 79.23
9.001 - 9.500 32 3,987,187 0.83 9.307 358 81.00
9.501 - 10.000 29 3,667,684 0.76 9.756 358 74.07
10.001 -10.500 13 1,025,031 0.21 10.287 358 73.07
10.501 - 11.000 8 931,106 0.19 10.816 358 72.02
11.001 - 11.500 1 177,878 0.04 11.20 358 61.17
11.501 - 12.000 3 240,008 0.05 11.892 358 72.4
12.001 - 12.500 3 783,612 0.16 12.331 358 72.65
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.320
Maximum: 12.500
Non-Zero Weighted Average: 7.058
------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
RANGE OF Mortgage Principal Principal Interest Term Original
MAXIMUM LOAN RATES (%) Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,600 166,529,865 34.65 8.369 329 80.45
<= 12.500 64 25,100,233 5.22 5.066 320 79.43
12.501 - 13.000 81 26,224,584 5.46 5.886 358 79.52
13.001 - 13.500 135 42,709,217 8.89 6.349 358 81.48
13.501 - 14.000 237 72,702,963 15.13 6.821 358 83.29
14.001 - 14.500 195 53,170,980 11.06 7.289 358 83.34
14.501 - 15.000 210 49,778,394 10.36 7.812 358 82.55
15.001 - 15.500 112 21,442,954 4.46 8.290 358 81.80
15.501 - 16.000 79 12,321,157 2.56 8.749 358 79.24
16.001 - 16.500 31 3,817,451 0.79 9.308 358 80.82
16.501 - 17.000 29 3,667,684 0.76 9.756 358 74.07
17.001 - 17.500 13 1,025,031 0.21 10.287 358 73.07
17.501 - 18.000 8 931,106 0.19 10.816 358 72.02
18.001 - 18.500 1 177,878 0.04 11.20 358 61.17
18.501 - 19.000 3 240,008 0.05 11.892 358 72.40
19.001 - 19.500 3 783,612 0.16 12.331 358 72.65
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12.000
Maximum: 19.500
Non-Zero Weighted Average: 14.064
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
----------------------------------------------------------------------------------------------------------------------------------
Page 4 of 7
2003-NC8 MORGAN STANLEY
GROUP 2
================================================================================
------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
INITIAL PERIODIC CAP (%) Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,600 166,529,865 34.65 8.369 329 80.45
1.000 2 503,991 0.10 7.808 358 88.32
1.500 1,162 297,723,441 61.95 7.174 358 81.91
3.000 37 15,865,821 3.30 4.860 298 79.60
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100 7.513 346 81.33
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.575
------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
SUBSEQEUNT PERIODIC CAP (%) Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,600 166,529,865 34.65 8.369 329 80.45
1.000 2 503,991 0.10 7.808 358 88.32
1.500 1,162 297,723,441 61.95 7.174 358 81.91
3.000 37 15,865,821 3.30 4.860 298 79.60
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
-----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.575
------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
NEXT RATE ADJUSTMENT DATES Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
Fixed Rate 1,600 166,529,865 34.65 8.369 329 80.45
August 2003 37 15,865,821 3.30 4.860 298 79.60
April 2005 1 459,375 0.10 7.100 355 90.00
May 2005 13 3,472,523 0.72 7.393 356 82.98
June 2005 173 47,141,347 9.81 7.191 357 82.18
July 2005 943 238,712,739 49.67 7.178 358 81.86
June 2006 7 2,316,300 0.48 6.867 357 85.66
July 2006 27 6,125,148 1.27 6.940 358 79.50
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
------------------------------------------------------------------------------------------------------------
Non-Zero Weighted Average: 20050603
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan
Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan
Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
----------------------------------------------------------------------------------------------------------------------------------
Page 5 of 7
2003-NC8 MORGAN STANLEY
GROUP 2
================================================================================
------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
GEOGRAPHIC DISTRIBUTION OF Mortgage Principal Principal Interest Term Original
MORTGAGED PROPERTIES Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
California 788 206,821,710 43.03 7.145 348 82.43
Florida 249 30,381,614 6.32 7.865 346 79.74
Texas 332 29,460,087 6.13 8.40 320 78.39
New York 96 23,935,528 4.98 7.341 349 76.32
New Jersey 75 16,045,145 3.34 7.702 350 78.23
Michigan 116 14,894,718 3.10 7.833 355 79.49
Illinois 85 13,928,576 2.90 7.477 348 80.77
Massachusetts 57 13,308,620 2.77 7.225 348 80.92
Virginia 49 12,328,996 2.57 7.092 346 83.12
Connecticut 58 11,590,248 2.41 7.618 355 80.43
Washington 61 10,173,043 2.12 7.354 337 84.58
Colorado 55 8,406,940 1.75 7.647 346 82.12
Maryland 40 7,127,656 1.48 7.887 348 83.42
Oregon 52 6,155,545 1.28 7.454 331 80.81
Georgia 41 6,077,288 1.26 8.145 348 82.67
Other 647 69,987,403 14.56 8.057 346 82.00
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
-----------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
OCCUPANCY Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
Primary 2,660 460,618,131 95.84 7.517 346 81.49
Investment 127 15,937,235 3.32 7.609 345 77.85
Second Home 14 4,067,752 0.85 6.704 353 77.21
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
PROPERTY TYPE Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
Single Family Residence 2,297 384,780,717 80.06 7.551 346 81.07
PUD 331 65,231,716 13.57 7.424 345 83.18
Condo 148 21,422,255 4.46 7.471 340 80.26
2-4 Family 25 9,188,430 1.91 6.654 350 81.56
--------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
-----------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
LOAN PURPOSE Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
Refinance - Cashout 1,547 269,930,753 56.16 7.575 348 79.14
Purchase 807 130,479,311 27.15 7.396 339 85.95
Refinance - Rate Term 447 80,213,054 16.69 7.493 350 81.18
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
-----------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan
Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan
Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
----------------------------------------------------------------------------------------------------------------------------------
Page 6 of 7
2003-NC8 MORGAN STANLEY
GROUP 2
================================================================================
------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
DOCUMENTATION LEVEL Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
Full 1,958 292,358,769 60.83 7.505 346 81.68
Stated Documentation 731 163,002,942 33.91 7.554 346 80.27
Limited 112 25,261,408 5.26 7.336 348 84.11
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
CREDIT SCORE Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
500 - 524 276 37,317,448 7.76 8.496 351 74.24
525 - 549 410 63,567,360 13.23 8.141 352 78.32
550 - 574 387 67,051,784 13.95 7.764 351 80.24
575 - 599 373 64,472,356 13.41 7.645 351 80.94
600 - 624 393 74,286,290 15.46 7.269 348 82.16
625 - 649 386 67,226,654 13.99 7.294 345 84.40
650 - 674 261 47,062,632 9.79 7.102 340 83.99
675 - 699 152 26,215,459 5.45 6.990 334 84.46
700 - 724 73 14,995,727 3.12 6.368 321 83.34
725 - 749 54 11,338,518 2.36 6.342 325 84.47
750 - 774 19 3,472,177 0.72 6.897 332 84.85
775 - 799 15 3,394,918 0.71 6.485 329 81.85
800 + 2 221,795 0.05 7.056 358 76.88
---------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 500
Maximum: 814
Non-Zero Weighted Average: 605
------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
PREPAYMENT PENALTY TERM Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
0 759 107,582,361 22.38 7.607 332 80.01
12 204 53,854,006 11.21 7.161 351 82.07
24 1,081 229,802,260 47.81 7.337 353 82.65
36 757 89,384,491 18.60 8.064 341 79.07
----------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
----------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 25
------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
LIEN POSITION Loans Balance ($) Balance Rate (%) (Months) LTV
---------------------------------------------------------------------------------------------------------
1st Lien 2,387 461,481,168 96.02 7.365 350 80.57
2nd Lien 414 19,141,950 3.98 11.074 236 99.80
----------------------------------------------------------------------------------------------------------
TOTAL: 2,801 480,623,118 100.00 7.513 346 81.33
----------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan
Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan
Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
----------------------------------------------------------------------------------------------------------------------------------
Page 7 of 7
