Exhibit 99.1
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
$307,144,100
(APPROXIMATE OFFERED)
SASCO 2002-22H
AURORA LOAN SERVICES, MASTER SERVICER
CITIBANK, N.A, TRUSTEE
-------------------------------------------------------------------------------------------------------------------------------
Expected
WAL at Payment Initial
Approx. Security Pricing (1) Window (1) Loss Ratings:
Class Size ($) Coupon Description (To Maturity) (To Maturity) Coverage Moodys / Fitch
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
1A $242,826,000 7.00% Senior PT 3.28 11/02-04/32 3.00% Aaa / AAA
1AX $242,826,100 Variable Senior IO 3.28 11/02-04/32 3.00% Aaa / AAA
B1-I $ 4,506,000 Variable Subordinate 5.89 11/02-04/32 1.20% None / AA
B2-I $ 1,502,000 Variable Subordinate 5.89 11/02-04/32 0.60% None / A
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
2A $ 56,181,000 Variable Senior PT 3.24 11/02-07/32 3.00% Aaa / AAA
B1-II $ 926,000 Variable Subordinate 5.82 11/02-07/32 1.40% None / AA
B2-II $ 405,000 Variable Subordinate 5.82 11/02-07/32 0.70% None / A
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
B3(2) $ 798,000 Variable Subordinate 5.88 11/02-07/32 (3) None / BBB
B4(2) $ 490,000 Variable Subordinate 5.88 11/02-07/32 0.20%(4) None / BB
B5(2) $ 307,000 Variable Subordinate 5.88 11/02-07/32 0.10%(4) None / B
B6(2) $ 314,370 Variable Subordinate 5.88 11/02-07/32 N/A None / None
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
R $ 100 Variable Residual 0.07 11/02-11/02 3.00% Aaa / AAA
-------------------------------------------------------------------------------------------------------------------------------
(1) Pricing speed is 25% CPR.
(2) Combined subordinate tranches, each with two unseverable components.
(3) 0.35% expected loss coverage for component B3 (I) and 0.40% expected
loss coverage for component B3 (II).
(4) Expected loss coverage for both tranche components.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
1
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Deal Overview:
--------------
o The collateral is comprised of two pools of first lien, fully amortizing
mortgage loans:
> Collateral Pool 1 is composed of fixed rate loans.
> Collateral Pool 2 is composed of 5 year Hybrid ARMs that are indexed
to either 1-month, 6-month or 1-year LIBOR.
o The trust will issue 12 classes of Certificates: 9 classes will be
publicly offered and 3 classes will be privately offered (Classes B4, B5
and B6 will be offered privately).
o Class 1AX are Interest-Only Certificates. They will receive no payments of
principal.
o Interest and principal on the Collateral Pool 1 and 2 offered certificates
will be payable solely from amounts collected from the mortgage loans in
each respective Collateral Pool. The only class of offered certificates
that will be combined from both Collateral Pools is the Class B3.
o Realized Losses from Collateral Pool 1 will be applied to the Component B6
(I), Component B5 (I), Component B4 (I), Component B3 (I), Class B2-I and
Class B1-I, in that order, until their principal balances are reduced to
zero.
o Realized Losses from Collateral Pool 2 will be applied to the Component B6
(II), Component B5 (II), Component B4 (II), Component B3 (II), Class B2-II
and Class B1-II, in that order, until their principal balances are reduced
to zero.
o ALS maintains a 5% Clean up Call on the collateral on an aggregate basis.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
2
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Specific Terms of the Offering:
-------------------------------
Cut-Off Date: October 1, 2002
Expected Settlement Date: October 30, 2002
Distribution Dates: 25th of each month, or the next business day after
the 25th day of the month if the 25th is not a
business day, beginning on November 25, 2002.
Issuer: Structured Asset Securities Corp. ("SASCO")
Master Servicer: Aurora Loan Services ("ALS")
Servicers: ALS, Bank of America, Chase Manhattan Mortgage
Corporation, Countrywide, GMAC, Suntrust,
Washington Mutual, Xxxxxxxxxx and Xxxxx Fargo
Trustee: Citibank, N.A
Rating Agencies: Moodys: AAA certificates only
Fitch: All certificates
Day Count: 30/360
Delay Days: 24 Day Delay: All Classes.
Registration: Book-entry form through DTC
SMMEA Eligibility: The Senior Certificates and the Class B1
Certificates will be SMMEA eligible.
ERISA Eligibility: The Senior Certificates (with the exception of the
Class R) will be ERISA eligible.
Tax Status: REMIC for Federal income tax purposes.
5% Optional Termination: The transaction may be called by ALS when the
aggregate outstanding mortgage balance is less
than 5% of the Cut-Off Date aggregate collateral
loan balance.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
3
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Terms of the Offering -Interest Rates:
--------------------------------------
Interest Rates: Class 1A is a senior certificate and will accrue
interest at a rate equal to the lesser of (1)
7.00% and (2) the Net WAC of Collateral Pool 1.
Class 1AX is a senior interest-only certificate.
It will accrue interest at a rate equal to the
greater of (1) the Net WAC of Collateral Pool 1
minus 7.00% and (2) 0.00%. The notional balance of
the Class will be equal to the principal balance
of Class 1A and Class R.
Class 2A is a senior certificate and will accrue
interest at a rate equal to the Net WAC of
Collateral Pool 2.
Classes B1-I and B2-I, Components B3 (I), B4 (I),
B5 (I) and B6 (I) will accrue interest at a rate
equal to the Net WAC of Collateral Pool 1.
Classes B1-II, B2-II, Components B3 (II), B4 (II),
B5 (II) and B6 (II) will accrue interest at a rate
equal to the Net WAC of Collateral Pool 2.
Class R is a senior certificate and will accrue
interest at a rate equal to the lesser of (1)
7.00% and (2) the Net WAC of Collateral Pool 1.
Classes B3, B4, B5 and B6 will accrue interest at
a rate equal to the weighted average of each of
the corresponding tranche components rates
weighted by the corresponding tranche component
balances.
Credit Enhancement: Subordination of the lower rated classes.
Subordinate Certificates For any Class or Component of Subordinate
Lockout of Prepayments Certificates in each respective pool, other than
and Recoveries: the Component B6 (I) or B6 (II) (as applicable),
on any distribution date for which the Credit
Support Percentage of that Class or Component is
less than its original Credit Support Percentage,
no distributions of prepayments or recoveries
allocable to principal will be made to any Class
or Component of lower priority than it. The amount
otherwise distributable to such classes of lower
priority shall be allocated pro rata among the
remaining Classes or Components of Subordinate
Certificates within the respective pool.
Credit Support Percentage: For any Class or Component of Certificates with
respect to either Collateral Pool, on any
distribution date, the sum of the Class
Percentages of each Class of lower priority
(before applying distributions for that date) in
the related pool.
Class Percentage: For any Class or Component of Certificates with
respect to a either Collateral Pool, on any
distribution date, the percentage equivalent of a
fraction, the numerator of which is the
outstanding balance of that Class or Component,
immediately prior to that distribution date and
the denominator of which is the aggregate
principal amount of all Classes or Components of
Certificates immediately prior to that date in the
related pool.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
4
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Terms of the Offering - Distribution of Principal:
--------------------------------------------------
Shifting Interest Structure with 5 year lockout*
Collateral Pool 1 Subordinate Test % = Pool 1 Subordinate Amount / Collateral
Pool 1 collateral balance.
Collateral Pool 2 Subordinate Test % = Pool 2 Subordinate Amount / Collateral
Pool 2 collateral balance.
Pool 1 Subordinate Amount = The Collateral Pool 1 collateral balance, less the
current principal balance of the Collateral Pool 1 senior certificates.
Pool 2 Subordinate Amount = The Collateral Pool 2 collateral balance, less the
current principal balance of the Collateral Pool 2 senior certificates.
o *For each Collateral Pool, if the corresponding Pool Subordinate Test % is
less than or equal to 2 times the original Pool Subordinate Test %:
--------------------------------------------------------------------
Distribution Dates (months) Shift Percentage
--------------------------------------------------------------------
1 - 60 100%
--------------------------------------------------------------------
61 - 72 70%
--------------------------------------------------------------------
73 - 84 60%
--------------------------------------------------------------------
85 - 96 40%
--------------------------------------------------------------------
97 - 108 20%
--------------------------------------------------------------------
109+ 0%
--------------------------------------------------------------------
o *For each Collateral Pool, if the corresponding Pool Subordinate Test % is
greater than 2 times the original Pool Subordinate Test %:
--------------------------------------------------------------------
Distribution Dates (months) Shift Percentage
--------------------------------------------------------------------
1 - 36 50%
--------------------------------------------------------------------
37+ 0%
--------------------------------------------------------------------
(*In relation to any Collateral Pool, if the respective AAA loss coverage
doubles based on the initial cut-off date loss coverage during the first 36
months of the transaction, the respective Senior certificates will be entitled
to 50% of the Subordinate certificates' percentage of pre-payments, subject to
cumulative loss and delinquency tests. After month 36, if the respective AAA
loss coverage doubles based on the initial loss coverage as of the cut-off date,
the respective Senior certificates will only be entitled to pre-payments based
on the respective Collateral Pool Senior certificate percentage only, subject to
cumulative loss and delinquency tests).
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
5
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Terms of the Offering - Distribution of Principal (cont.):
----------------------------------------------------------
Pool Senior Percentage: For each Collateral Pool, on any distribution
date, the percentage equivalent of a fraction, the
numerator of which is the sum of the class
principal amounts of each class of senior
certificates (excluding the balance of Class 1AX
in the case of Collateral Pool 1) and the
denominator of which is the related Collateral
Pool balance for the immediately preceding
distribution date.
Pool Subordinate Percentage: For each Collateral Pool, on any distribution
date, one minus its Senior Percentage.
Pool Senior Prepayment For each Collateral Pool, on any distribution
Percentage: date, the sum of (1) the Pool Senior Percentage
and (2) the product of (a) the Senior Principal
Prepayment Shift Percentage for that distribution
date multiplied by (b) the related Pool
Subordinate Percentage for that distribution date.
Pool Subordinate For each Collateral Pool, on any distribution
Prepayment Percentage: date, one minus its Pool Senior Prepayment
Percentage.
Pool Senior Principal For each Collateral Pool, on any distribution
Distribution Amount: date, the sum of (1) the product of (a) the
related Pool Senior Percentage and (b) the related
scheduled principal collections and (2) the
product of (a) the related Senior Prepayment
Percentage and (b) the related unscheduled
principal collections.
Pool Subordinate Principal For each Collateral Pool, on any distribution
Distribution Amount: date, the sum of (1) the product of (a) the
related Pool Subordinate Percentage and (b) the
related scheduled principal collections; and (2)
the product of (a) the related Subordinate
Prepayment Percentage and (b) the related
unscheduled principal collections.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
6
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Principal Paydown Rules:
------------------------
I. Pay Senior PDA as follows:
-----------------------------
Pool 1 Senior PDA:
1) Pay Class R, until reduced to zero.
2) Pay Class 1A until reduced to zero.
Pool 2 Senior PDA:
1) Pay Class 2A, until reduced to zero.
II. Pay Subordinate PDA as follows*:
------------------------------------
*Subject to credit support tests
Pool 1 Subordinate PDA:
1) Pay Class B1-I, Class B2-I, Component B3 (I), B4 (I), B5 (I) and B6 (I) on
a pro-rata basis until reduced to zero.
Pool 2 Subordinate PDA:
1) Pay Class B1-II, Class B2-II, Component B3 (II), B4 (II), B5 (II) and B6
(II) on a pro-rata basis until reduced to zero.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
7
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Prepayment Sensitivity:
-----------------------
---------------------------------------------------------------------------------------------------------------------------
0 CPR 12.5%CPR 25% CPR 37.5% CPR 50% CPR
----------------------------------------------------------------------------------------------------------------
Payment Payment Payment Payment Payment
WAL Window WAL Window WAL Window WAL Window WAL Window
Class (yrs.) (To Mat.) (yrs.) (To Mat.) (yrs.) (To Mat.) (yrs.) (To Mat.) (yrs.) (To Mat.)
---------------------------------------------------------------------------------------------------------------------------
1A 19.92 11/02-04/32 6.43 11/02-04/32 3.28 11/02-04/32 2.04 11/02-04/32 1.40 11/02-03/31
1AX 19.92 11/02-04/32 6.43 11/02-04/32 3.28 11/02-04/32 2.04 11/02-04/32 1.40 11/02-03/31
2A 18.41 11/02-07/32 6.24 11/02-07/32 3.24 11/02-07/32 2.03 11/02-07/32 1.39 11/02-05/29
B1-I 19.92 11/02-04/32 10.87 11/02-04/32 5.89 11/02-04/32 4.17 11/02-04/32 3.20 11/02-08/28
B2-I 19.92 11/02-04/32 10.87 11/02-04/32 5.89 11/02-04/32 4.17 11/02-04/32 3.20 11/02-05/27
B1-II 18.41 11/02-07/32 10.48 11/02-07/32 5.82 11/02-07/32 4.14 11/02-05/32 3.19 11/02-06/25
B2-II 18.41 11/02-07/32 10.48 11/02-07/32 5.82 11/02-07/32 4.14 11/02-03/32 3.19 11/02-06/25
B3 19.59 11/02-07/32 10.78 11/02-07/32 5.88 11/02-07/32 4.16 11/02-04/32 3.20 11/02-06/26
B4 19.57 11/02-07/32 10.78 11/02-07/32 5.88 11/02-07/32 4.16 11/02-04/32 3.20 11/02-10/25
B5 19.64 11/02-07/32 10.80 11/02-07/32 5.88 11/02-07/32 4.16 11/02-03/32 3.20 11/02-04/25
B6 19.62 11/02-07/32 10.79 11/02-07/32 5.88 11/02-07/32 4.16 11/02-10/31 3.20 11/02-03/26
R 0.07 11/02-11/02 0.07 11/02-11/02 0.07 11/02-11/02 0.07 11/02-11/02 0.07 11/02-11/02
---------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Contacts
--------------------------------------------------------------------------------
MBS Trading Xxx Xxxxxxx (000) 000-0000
Xxxxxxxxx Xxxxxxx (000) 000-0000
Residential Finance Xxx Xxxxx (000) 000-0000
Xxxxxx Xxxxxxx (000) 000-0000
Will Dorado (000) 000-0000
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
8
EXTERNAL USE
XXXXXX BROTHERS MORTGAGE BACKED SECURITIES
Collateral Summary:
-------------------
------------------------------------------------------------------------------------------------------------------
Fixed 5/1 Hybrid ARMs
Pool 1 Pool 2
Total Number of Loans 1,956 321
Total Outstanding Loan Balance $250,336,715.07 $57,918,755.76
Average Loan Principal Balance $127,984 $108,432
Range of Loan Principal Balance $12,339 - $498,242 $45,221 - $539,507
Weighted Average Coupon 7.702% 6.978%
Range of Coupons 6.125% - 10.000% 4.500% - 8.500%
Weighted Average Margin N/A 2.441%
Range of Margins N/A 2.250% - 2.750%
Weighted Average Initial Periodic Cap N/A 5.012%
Range of Initial Periodic Caps N/A 1.000% - 6.000%
Weighted Average Periodic Cap N/A 1.307%
Range of Periodic Caps N/A 1.000% - 2.000%
Weighted Average Maximum Rate N/A 12.006%
Weighted Average Floor N/A 2.499%
Weighted Average Original Term (mo.) 359 360
Weighted Average Remaining Term (mo.) 354 356
Range of Remaining Term (mo.) 162 - 360 342 - 359
Weighted Average Original LTV 101.64% 100.94%
Range of Original LTV 80.00% - 103.00% 40.00% - 103.00%
Weighted Average FICO 739 735
Range of FICO 615 - 819 660 - 808
Weighted Average Next Reset Date N/A May 25, 2007
Lien Position
First 100.00% 100.00%
Second 0.00% 0.00%
Geographic Distribution
(Other states account individually for less than TX - 8.41% NC - 20.82%
5% of the Cut-off Date principal balance) CA - 8.15% CA - 13.26%
FL - 6.52% GA - 9.17%
NC - 5.63% MD - 8.86%
VA - 5.06% VA - 7.18%
TN - 5.83%
Occupancy Status
Primary Home 99.58% 98.75%
Investment 0.42% 0.32%
Second Home 0.00% 0.93%
------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
9
