--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 28, 2003
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS
$700,000,000
APPROXIMATELY
CDC MORTGAGE CAPITAL TRUST
SERIES 2003-HE3
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 and the Seller make 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shall be deemed superseded, amended and supplemented in its entirety by such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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 1
--------------------------------------------------------------------------------
XXXXXX XXXXXXX July 28, 2003
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
APPROXIMATELY $700,000,000
CDC MORTGAGE CAPITAL TRUST SERIES 2003-HE3
CDC MORTGAGE CAPITAL INC.
SELLER
OCWEN FEDERAL BANK FSB
SERVICER
TRANSACTION HIGHLIGHTS
----------------------
------------------------------------------------------------------------------------------------------------------------------------
MODIFIED
EXPECTED RATINGS AVG LIFE DURATION INITIAL FINAL
OFFERED (FITCH/MOODY'S/ TO CALL/ TO CALL/ PAYMENT WINDOW TO SUBORDINATION LEGAL
CLASSES DESCRIPTION BALANCE $ S&P) MTY(1)(2) MTY(1)(2)(3) CALL /MTY(1)(2) LEVEL BENCHMARK MATURITY
====================================================================================================================================
A-1(4) Floater 200,000,000 AAA/Aaa/AAA 2.72/2.93 2.66/2.84 09/03-08/11/ 18.75% 1 M LIBOR 11/25/2033
09/03-01/20
------------------------------------------------------------------------------------------------------------------------------------
A-2 Floater 110,000,000 AAA/Aaa/AAA 2.80/3.05 2.72/2.94 09/03-08/11/ 18.75% 1 M LIBOR 11/25/2033
09/03-03/21
------------------------------------------------------------------------------------------------------------------------------------
A-3(4) Floater 145,000,000 AAA/Aaa/AAA 2.80/3.05 2.73/2.95 09/03-08/11/ 18.75% 1 M LIBOR 11/25/2033
09/03-03/21
------------------------------------------------------------------------------------------------------------------------------------
A-4 Floater 80,000,000 AAA/Aaa/AAA 1.29/1.29 1.29/1.29 09/03-05/06/ 18.75% 1 M LIBOR 11/25/2033
09/03-05/06
------------------------------------------------------------------------------------------------------------------------------------
A-5 Floater 44,765,000 AAA/Aaa/AAA 5.49/6.19 5.26/5.86 05/06-08/11/ 18.75% 1 M LIBOR 11/25/2033
05/06-03/21
------------------------------------------------------------------------------------------------------------------------------------
M-1 Floater 45,311,000 AA/Aa2/AA 5.36/5.92 5.11/5.58 11/06-08/11/ 12.40% 1 M LIBOR 11/25/2033
11/06-03/18
------------------------------------------------------------------------------------------------------------------------------------
M-2 Floater 35,321,000 A/A2/A 5.34/5.84 4.90/5.29 10/06-08/11/ 7.45% 1 M LIBOR 11/25/2033
10/06-12/16
------------------------------------------------------------------------------------------------------------------------------------
M-3 Floater 7,849,000 A-/A3/A- 5.33/5.76 4.85/5.17 09/06-08/11/ 6.35% 1 M LIBOR 11/25/2033
09/06-04/15
------------------------------------------------------------------------------------------------------------------------------------
B-1 Floater 9,276,000 BBB+/Baa1/BBB+ 5.32/5.70 4.65/4.91 09/06-08/11/ 5.05% 1 M LIBOR 11/25/2033
09/06-10/14
------------------------------------------------------------------------------------------------------------------------------------
B-2 Floater 9,276,000 BBB/Baa2/BBB 5.32/5.62 4.59/4.78 09/06-08/11/ 3.75% 1 M LIBOR 11/25/2033
09/06-12/13
------------------------------------------------------------------------------------------------------------------------------------
B-3 Floater 13,202,000 BBB-/Baa3/BBB- 5.29/5.38 4.57/4.63 09/06-08/11/ 1.90% 1 M LIBOR 11/25/2033
09/06-01/13
------------------------------------------------------------------------------------------------------------------------------------
Notes: (1) Certificates are priced to the 10% optional clean-up call.
----- (2) Based on the pricing prepayment speed. See details below.
(3) Run at par.
(4) The Class A-1 and A-3 are each insured by FSA.
ISSUER: CDC Mortgage Capital Trust Series 2003-HE3
DEPOSITOR: Xxxxxx Xxxxxxx ABS Capital I Inc.
SELLER: CDC Mortgage Capital Inc.
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 2
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
ORIGINAL LOAN SELLERS: Aames Capital Corporation, Aegis Mortgage
Corporation, Ameriquest Mortgage Company, BNC
Mortgage, Inc., Chapel Mortgage Corporation,
Encore Credit Corp., First Banc Mortgage,
Inc., First NLC Financial Services, LLC, Impac
Funding Corporation (and it's affiliate,
Novelle Financial Services, Inc.), Master
Financial, Inc., People's Choice Home Loan,
Inc., and SIB Mortgage Corp.
SERVICER: Ocwen Federal Bank FSB
CLASS A-1/A-3 INSURER: Financial Security Assurance Inc.
TRUSTEE: Deutsche Bank National Trust Company
MANAGERS: Xxxxxx Xxxxxxx (lead manager); CDC Securities,
Banc of America Securities LLC and Countrywide
Securities, Inc. (co-managers)
RATING AGENCIES: Fitch Ratings, Xxxxx'x Investors Service,
Standard & Poor's Ratings Services
OFFERED CERTIFICATES: Class A-1, A-2, A-3, A-4, A-5, M-1, M-2, M-3,
B-1, B-2 and B-3 Certificates
EXPECTED PRICING DATE: July 30, 2003
EXPECTED CLOSING DATE: August 25, 2003 through DTC, Euroclear and
Clearstream, Luxembourg. The Offered
Certificates will be settled 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 September 25, 2003.
CUT-OFF DATE: August 1, 2003, for each Mortgage Loan
in the mortgage pool on the Closing Date. For
each Mortgage Loan subsequently acquired by
the Trust with funds from the Pre-Funding
Account (as described below), the first day of
the month in which such loan was acquired.
CLASS A-1/A-3 INSURANCE: Financial Security Assurance Inc., a
AAA/Aaa/AAA rated surety bond provider,
guarantees timely interest and ultimate
principal to the Class A-1 and Class A-3
Certificateholders.
DUE PERIOD FOR MORTGAGE LOANS: For any Distribution Date, the period
commencing on the second day of the calendar
month preceding the calendar month in which
such Distribution Date occurs and ending on the
first day of the calendar month in which such
Distribution Date occurs.
INTEREST ACCRUAL PERIOD FOR
THE OFFERED CERTIFICATES: The interest accrual period for the Offered
Certificates with respect to any Distribution
Date will be the period beginning with the
immediately preceding 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).
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 3
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
MORTGAGE LOANS: The Mortgage Loans will consist of two groups,
totaling approximately $714 million, of fixed
and adjustable rate, sub-prime, first-lien, and
second-lien residential mortgage loans. The
information on the Mortgage Loans described
herein is based on the Cut-Off Date pool of
approximately $559 million. It is expected that
up to approximately $155 million of Mortgage
Loans may be purchased by the trust for a period
of up to 3 months after the closing date (the
"Pre-Funding Period") as described below.
The Class A-1 Certificates will primarily
represent interests in the Group I Mortgage
Loans. The Class A-2, A-3, A-4, and A-5
Certificates will primarily represent interests
in the Group II Mortgage Loans. The Class M
Certificates, the Class B Certificates, the
Class X Certificates, the Class P Certificates
and the Residual Certificates will represent
interests in both the Group I Mortgage Loans and
the Group II Mortgage Loans.
GROUP I MORTGAGE LOANS: At the Cut-Off date, approximately $193 million
of Mortgage Loans with original principal
balance that conform to the original principal
balance limits for one- to four-family
residential mortgage loans guidelines for
purchase by Freddie Mac.
GROUP II MORTGAGE LOANS: At the Cut-Off date, approximately $366 million
of Mortgage Loans with original principal
balance that may or may not conform to the
original principal balance limits for one- to
four-family residential mortgage loans
guidelines for purchase by Freddie Mac.
PREFUNDING: On the Closing Date, approximately $155 million
from the sale of the Offered Certificates (the
"Pre-Funded Amount") will be deposited with the
Trustee into a separate account (the
"Pre-Funding Account") and be used by the Trust
to purchase additional Mortgage Loans during the
Pre-Funding Period. Approximately $53 million
and $101 million of the Pre-Funded Amount will
be allocated to purchase additional Mortgage
Loans for Group I and Group II, respectively.
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 Adjustable Rate Mortgage Loans: CPR of
25%.
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 4
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
CREDIT ENHANCEMENT: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the
Mortgage Loans;
2) 1.90% overcollateralization (funded
upfront ) based on the sum of the aggregate
principal balance as of the Cut-Off Date of
the Mortgage Loans acquired by the Trust on
the Closing Date and the Pre-Funded Amount.
After the Step-down Date, so long as a
Trigger Event is not in effect, the
required overcollateralization will equal
3.80% 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 sum of the
aggregate principal balance as of the
Cut-Off Date of the Mortgage Loans acquired
by the Trust on the Closing Date and the
Pre-Funded Amount;
3) Subordination of distributions on the
more subordinate classes of certificates to
the required distributions on the more
senior classes of certificates; and
4) An insurance policy issued by Financial
Security Assurance Inc. for the benefit of
the holders of the Class A-1 and Class A-3
Certificates only.
CREDIT ENHANCEMENT PERCENTAGE: For any Distribution Date, the percentage
obtained by dividing (x) the aggregate
Certificate Principal Balance of the subordinate
certificates (including 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
September 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
Credit Enhancement Percentage (calculated
for this purpose only after taking into
account scheduled and unscheduled payments
of principal on the mortgage loans on the
last day of the related Due Period but
prior to any applications of Principal
Distribution to the Offered Certificates on
the applicable Distribution Date) is
greater than or equal to 37.50%.
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 5
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
TRIGGER EVENT: A Delinquency Trigger Event is in effect if the
quotient (expressed as a percentage) of (x) the
three month rolling daily average of 60+ day
Delinquent Loans as of the last day of the Due
Period, over (y) the aggregate principal balance
of the Mortgage Loans equals or exceeds [37.5]%
of the prior period's Credit Enhancement
Percentage.
A Loss Trigger Event is in effect if the
aggregate amount of realized losses incurred
since the Cut-Off Date through the last day of
the related Due Period divided by the sum of the
aggregate principal balance as of the Cut-Off
Date of the Mortgage Loans acquired by the Trust
on the Closing Date and the Pre-Funded Amount
exceeds the applicable percentages described
below with respect to such Distribution Date:
Distribution Date Occurring In Loss Percentage
------------------------------ ---------------
September 2005 to August 2006 [3.00]%
September 2006 to August 2007 [4.25]%
September 2007 to August 2008 [5.25]%
September 2008 and Thereafter [6.00]%
INITIAL SUBORDINATION Class A-1: 18.75%
PERCENTAGE: Class A-2: 18.75%
Class A-3: 18.75%
Class A-4: 18.75%
Class A-5: 18.75%
Class M-1: 12.40%
Class M-2: 7.45%
Class M-3: 6.35%
Class B-1: 5.05%
Class B-2: 3.75%
Class B-3: 1.90%
OPTIONAL CLEAN-UP CALL: If the Class X certificates are 100% owned,
directly or indirectly, by CDC Mortgage Capital
Inc. or any of its affiliates, the servicer may
exercise a clean-up call when the current
aggregate principal balance of the Mortgage
Loans is less than or equal to 10% of the sum of
the aggregate principal balance as of the
Cut-Off Date of the Mortgage Loans acquired by
the Trust on the Closing Date and the Pre-Funded
Amount.
If the Class X certificates are not 100% owned,
directly or indirectly, by CDC Mortgage Capital
Inc. or any of its affiliates, then the majority
owner of the Class X certificates may exercise a
clean-up call when the current aggregate
principal balance of the Mortgage Loans is less
than or equal to 10% of the sum of the aggregate
principal balance as of the Cut-Off Date of the
Mortgage Loans acquired by the Trust on the
Closing Date and the Pre-Funded Amount.
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 6
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
STEP-UP COUPONS: For the Offered Certificates the coupon will
increase after the Optional Clean-up Call Date,
should the call not be exercised. The applicable
coupon for the Class A Certificates will
increase by 2 times its margin and the coupons
for the Class M-1, M-2, M-3, B-1, B-2 and B-3
Certificates will each increase by 1.5 times
their respective margins.
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
Net WAC Cap and (iii) the Loan Group I 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
Net WAC Cap and (iii) the Loan Group II Cap.
CLASS A-3 PASS-THROUGH RATE: The Class A-3 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
Net WAC Cap and (iii) the Loan Group II Cap.
CLASS A-4 PASS-THROUGH RATE: The Class A-4 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
Net WAC Cap and (iii) the Loan Group II Cap.
CLASS A-5 PASS-THROUGH RATE: The Class A-5 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
Net WAC Cap and (iii) the Loan Group II 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 Net 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 Net 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 Net 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 Net 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 Net WAC Cap.
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 7
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
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 Net WAC Cap.
NET WAC CAP: As to any Distribution Date, a per annum rate
(on an Actual/360 basis) equal to the weighted
average gross rate of the Mortgage Loans in
effect on the beginning of the related Due
Period less servicing, trustee fee, and other
rates, and in regards to the A-1 and the A-3
Certificates, the FSA fee rate.
LOAN GROUP I CAP: As to any Distribution Date, a per annum rate
equal to the 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
(including the FSA fee rate).
LOAN GROUP II CAP: As to any Distribution Date, a per annum rate
equal to the 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
(including the FSA fee rate in regards to the
Class A-3 Certificates).
GROUP II CLASS A CERTIFICATES: The Class A-2, A-3, A-4 and A-5 Certificates.
GROUP II CLASS A SEQUENTIAL
CERTIFICATES: The Class A-4 and A-5 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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 8
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
INTEREST DISTRIBUTIONS ON On each Distribution Date and after payment of
OFFERED CERTIFICATES: fees and reimbursements to the Servicer, FSA and
the Trustee, interest distributions from the
Interest Remittance Amount will be allocated as
follows:
(i) concurrently, with equal priority of
payments;
(A) payable solely from the remaining
Interest Remittance Amount relating to the
Group I Mortgage Loans or, to the extent such
amount is less than the Accrued Certificate
Interest for the Class A-1 Certificates, from
the amounts available with respect to the Group
II Mortgage Loans for that Distribution Date
after giving effect to the payment of the
Accrued Certificate Interest for the Group II
Class A Certificates Certificates for that
Distribution Date, to the Class A-1
Certificates, its Accrued Certificate Interest
and any unpaid interest shortfalls.
(B) payable solely from the remaining
Interest Remittance Amount relating to the
Group II Mortgage Loans or, to the extent such
amount is less than the Accrued Certificate
Interest for each of the Group II Class A
Certificates, from the amounts available with
respect to the Group I Mortgage Loans for that
Distribution Date after giving effect to the
payment of the Accrued Certificate Interest for
the Class A-1 Certificates for that Distribution
Date, to the holders of each of the Group II
Class A Certificates, its Accrued Certificate
Interest and any Unpaid Interest Shortfall;
(ii) payable from the remaining Interest
Remittance Amount for both Groups, to the Class
M-1 Certificates, its Accrued Certificate
Interest;
(iii) payable from the remaining Interest
Remittance Amount for both Groups, to the Class
M-2 Certificates, its Accrued Certificate
Interest;
(iv) payable from the remaining Interest
Remittance Amount for both Groups, to the Class
M-3 Certificates, its Accrued Certificate
Interest;
(v) payable from the remaining Interest
Remittance Amount for both Groups, to the Class
B-1 Certificates, its Accrued Certificate
Interest;
(vi) payable from the remaining Interest
Remittance Amount for both Groups, to the Class
B-2 Certificates, its Accrued Certificate
Interest; and
(vii) payable from the remaining Interest
Remittance Amount for both Groups, to the Class
B-3 Certificates, its Accrued Certificate
Interest.
PRINCIPAL DISTRIBUTIONS ON On each Distribution Date (a) prior to the
OFFERED CERTIFICATES: 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 beenreduced 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.
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 9
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
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.
All principal distributions to the Class A
Certificates on any Distribution Date will be
allocated between the Class A-1 Certificates and
the Group II Class A Certificates on a pro rata
basis based on the Class A Principal Allocation
Percentage for each such group on such
Distribution Date; However, if the Class
Certificate Balances of the Class A Certificates
in either Class A Certificate Group are reduced
to zero, then the remaining amount of principal
distributions distributable to the Class A
Certificates on that Distribution Date, and the
amount of those principal distributions
distributable on all subsequent Distribution
Dates, will be distributed to the holders of the
Class A certificates in the other Class A
Certificate Group remaining outstanding, in
accordance with the principal distribution
allocations described herein, until their Class
Certificate Balances have been reduced to zero.
Any payments of principal to the Class A-1
Certificates will be made first from payments
relating to the Group I Mortgage Loans, and any
payments of principal to the Group II Class A
Certificates will be made first from payments
relating to the Group II Mortgage Loans.
The principal distribution to the Group II Class
A Certificates will be allocated pro rata to the
Class A-2, Class A-3 and the Group II Class A
Sequential Certificates. The principal
distribution to the Group II Class A Sequential
Certificates will be allocated first to the
Class A-4 Certificates until those Certificates
are reduced to zero, then to the Class A-5
Certificates.
Notwithstanding the above, in the event that all
subordinate classes, including the Class X
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 10
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
Certificate have been reduced to zero, principal
distributions to the Group II Class A
Certificates will be distributed pro rata to the
Class A-2, Class A-3, Class A-4 and Class A-5
Certificates.
INTEREST RATE CAP: Beginning on the first Distribution Date, an
Interest Rate Cap will be pledged to the Trust,
for the benefit of the Offered Certificates
(other than the Class A-1 Certificates) for a
period of 30 months. During months 1 to 21, if
the 1-month LIBOR rate exceeds 6.75%, the
Interest Rate Cap pays the Trust the product of
(i) the difference between the then current
1-month LIBOR rate and 6.75% (on an Actual/360
day count basis) up to a maximum of 200 bps and
(ii) the Interest Rate Cap notional balance
equal to the balance of the Group II Class A
Certificates, M-1, M-2, M-3, B-1, B-2 and B-3
Certificates at the pricing speed ("Interest
Rate Cap Payment"). During months 22 to 30, if
the 1-month LIBOR rate exceeds 7.75%, the
Interest Rate Cap pays the Trust the product of
(i) the difference between the then current
1-month LIBOR rate and 7.75% (on an Actual/360
day count basis) up to a maximum of 100 bps and
(ii) the Interest Rate Cap notional balance
equal to the balance of the Group II Class A
Certificates, M-1, M-2, M-3, B-1, B-2 and B-3
Certificates at the pricing speed ("Interest
Rate Cap Payment").
CLASS A-1, A-2, A-3, A-4, As to any Distribution Date, any remaining
A-5, M-1, M-2, M-3, B-1, B-2 available funds and, with respect to the Offered
AND B-3 BASIS RISK CARRY Certificates other than the Class A-1
FORWARD AMOUNT: Certificates, any Interest Rate Cap Payment
received after payments of interest and
principal as described, and after payments in
respect of Unpaid Interest Shortfalls, and
realized loss amounts as described herein, will
be available to pay a supplemental interest
amount for the Class A Certificates, Class M-1,
M-2, M-3, B-1, B-2 and B-3 Certificates (in that
order) which equal the sum of:
(i) the excess, if any, of interest that
would otherwise be due on such Certificates
at the respective Pass-Through Rate
(without regard to the Net WAC Cap or Loan
Group I Cap with respect to the Class A-1,
or Loan Group II Cap with respect to the
Group II Class A Certificates) over
interest due such Certificates at a rate
equal to the Net WAC Cap (or Loan Group I
Cap with respect to the Class A-1 , or Loan
Group II Cap with respect to the Group II
Class A Certificates);
(ii) any respective Basis Risk Carry Forward
Amount remaining unpaid from prior
Distribution Dates; and
(iii) interest on the amount in clause (ii) at
the respective Pass-Through Rate (without
regard to the Net WAC Cap or Loan Group I
Cap with respect to the Class A-1 , or Loan
Group II Cap with respect to the Group II
Class A Certificates).
PRE-FUNDING ACCOUNT PAYMENT: Any funds in the Pre-Funding Account not used to
purchase additional Mortgage Loans during the
Pre-Funding Period will be paid to the Offered
Certificates pro rata.
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 11
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
ALLOCATION OF NET MONTHLY For any Distribution Date, any Net Monthly
EXCESS CASHFLOW: Excess Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, their
Unpaid Interest Shortfall;
(ii) to the Class M-1 Certificates, their
realized loss amount reimbursement;
(iii) to the Class M-2 Certificates, their
Unpaid Interest Shortfall;
(iv) to the Class M-2 Certificates, their
realized loss amount reimbursement;
(v) to the Class M-3 Certificates, their
Unpaid Interest Shortfall;
(vi) to the Class M-3 Certificates, their
realized loss amount reimbursement
(vii) to the Class B-1 Certificates, their
Unpaid Interest Shortfall;
(viii) to the Class B-1 Certificates, their
realized loss amount reimbursement;
(ix) to the Class B-2 Certificates, their
Unpaid Interest Shortfall;
(x) to the Class B-2 Certificates, their
realized loss amount reimbursement;
(xi) to the Class B-3 Certificates, their
Unpaid Interest Shortfall;
(xii) to the Class B-3 Certificates, their
realized loss amount reimbursement;
(xiii) concurrently, to the Class A-1 and
Group II Class A Certificates, any
Basis Risk Carry Forward Amount for
such classes; provided that the Class
A-1 Certificates shall not be entitled
to any Interest Rate Cap Payment; and
(xiv) sequentially, to the Class 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.
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 that class share of net interest
shortfalls and any shortfalls resulting from the
application of the Soldiers' and Sailors' Civil
Relief Act of 1940 or similar state or local
law.
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 On any Distribution Date, the excess of (i) the
AMOUNT: aggregate Principal Remittance Amount over (ii)
the Excess Subordinated Amount, if any.
PRINCIPAL REMITTANCE AMOUNT: On any Distribution Date, the sum of (i) all
scheduled payments of principal collected or
advanced on the Mortgage Loans during the prior
Due Period, (ii) the principal portion of all
partial and full prepayments received during the
month prior to the month during which such
Distribution Date occurs, (iii) the principal
portion of all net liquidation proceeds and net
insurance proceeds received during the month
prior to the month during which such
Distribution Date occurs, (iv) the principal
portion of repurchased Mortgage Loans with
respect to such Distribution Date, (v) the
principal portion of substitution adjustments
received in connection with the substitution of
a Mortgage Loan with respect to such
Distribution Date, and (vi) the principal
portion of the termination price if the Optional
Clean Up Call is exercised.
NET MONTHLY EXCESS CASHFLOW: For any Distribution Date is the amount of funds
available for distribution on such Distribution
Date remaining after making all payments of
interest and principal to the 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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 12
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
EXTRA PRINCIPAL DISTRIBUTION For any Distribution Date, the lesser of (i) the
AMOUNT: excess of (x) interest collected or advanced on
the Mortgage Loans during the related Due Period
(less fees and reimbursements owed to the
Servicer, the Trustee and FSA), over (y) the sum
of interest distribution on the Certificates on
such Distribution Date and (ii) the amount by
which the overcollateralization is deficient 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 For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the 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
62.50% and (ii) the aggregate principal balance
of the Mortgage Loans as of the last day of the
related Due Period and (B) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period minus
approximately $3,567,788.
CLASS A PRINCIPAL ALLOCATION For any Distribution Date, the percentage
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
Group II Class A 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 M-1 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the 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 75.20% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B)
the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period minus approximately $3,567,788.
CLASS M-2 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the 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 85.10% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B)
the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period minus approximately $3,567,788.
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 13
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
CLASS M-3 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the 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 87.30% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B)
the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period minus approximately $3,567,788.
CLASS B-1 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the 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 89.90% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B)
the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period minus approximately $3,567,788.
CLASS B-2 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (i) the 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 and
over (y) the lesser of (A) the product of (i)
approximately 92.50% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B)
the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period minus approximately $3,567,788.
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 14
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
CLASS B-3 PRINCIPAL For any Distribution Date, an amount equal to
DISTRIBUTION AMOUNT: the excess of (x) the sum of (I) the 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 and
over (y) the lesser of (A) the product of (i)
approximately 96.20% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B)
the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period minus approximately $3,567,788.
TRUST TAX STATUS: REMIC.
ERISA ELIGIBILITY: Subject the considerations in the Prospectus,
the Offered Certificates are ERISA eligible.
SMMEA ELIGIBILITY: It is anticipated that none of the Certificates
will be SMMEA eligible.
PROSPECTUS: The Offered 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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 15
SENSITIVITY ANALYSIS
--------------------
-----------------------------------------------------------------------------------------------------------------------------
TO 10% CALL
%PPC 50 60 75 100 125 150 175
-----------------------------------------------------------------------------------------------------------------------------
A-1 WAL 5.35 4.54 3.67 2.72 2.09 1.60 1.23
FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003
EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007
WINDOW 1 - 183 1 - 159 1 - 129 1 - 96 1 - 76 1 - 61 1 - 51
-----------------------------------------------------------------------------------------------------------------------------
A-2 WAL 5.42 4.62 3.74 2.80 2.16 1.67 1.29
FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003
EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007
WINDOW 1 - 183 1 - 159 1 - 129 1 - 96 1 - 76 1 - 61 1 - 51
-----------------------------------------------------------------------------------------------------------------------------
A-3 WAL 5.42 4.62 3.74 2.80 2.16 1.67 1.29
FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003
EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007
WINDOW 1 - 183 1 - 159 1 - 129 1 - 96 1 - 76 1 - 61 1 - 51
-----------------------------------------------------------------------------------------------------------------------------
A-4 WAL 2.48 2.10 1.70 1.29 1.04 0.87 0.74
FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003
EXPECTED FINAL MATURITY 3/25/2009 4/25/2008 5/25/2007 5/25/2006 10/25/2005 5/25/2005 2/25/2005
WINDOW 1 - 67 1 - 56 1 - 45 1 - 33 1 - 26 1 - 21 1 - 18
-----------------------------------------------------------------------------------------------------------------------------
A-5 WAL 10.68 9.13 7.39 5.49 4.17 3.10 2.27
FIRST PAYMENT DATE 3/25/2009 4/25/2008 5/25/2007 5/25/2006 10/25/2005 5/25/2005 2/25/2005
EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007
WINDOW 67 - 183 56 - 159 45 - 129 33 - 96 26 - 76 21 - 61 18 - 51
-----------------------------------------------------------------------------------------------------------------------------
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 16
SENSITIVITY ANALYSIS (CONT)
---------------------------
-----------------------------------------------------------------------------------------------------------------------------
TO 10% CALL
%PPC 50 60 75 100 125 150 175
-----------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.28 8.78 7.09 5.36 4.58 4.41 4.25
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 11/25/2006 2/25/2007 5/25/2007 11/25/2007
EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007
WINDOW 61 - 183 51 - 159 41 - 129 39 - 96 42 - 76 45 - 61 51 - 51
-----------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.28 8.78 7.09 5.34 4.45 4.03 3.97
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 11/25/2006 1/25/2007 3/25/2007
EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007
WINDOW 61 - 183 51 - 159 41 - 129 38 - 96 39 - 76 41 - 61 43 - 51
-----------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.28 8.78 7.09 5.33 4.41 3.91 3.71
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 11/25/2006 12/25/2006 2/25/2007
EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007
WINDOW 61 - 183 51 - 159 41 - 129 37 - 96 39 - 76 40 - 61 42 - 51
-----------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.28 8.78 7.09 5.32 4.39 3.87 3.64
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 10/25/2006 11/25/2006 12/25/2006
EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007
WINDOW 61 - 183 51 - 159 41 - 129 37 - 96 38 - 76 39 - 61 40 - 51
-----------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.28 8.78 7.09 5.32 4.38 3.84 3.56
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 10/25/2006 10/25/2006 11/25/2006
EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007
WINDOW 61 - 183 51 - 159 41 - 129 37 - 96 38 - 76 38 - 61 39 - 51
-----------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.23 8.73 7.05 5.29 4.33 3.78 3.48
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 9/25/2006 9/25/2006 10/25/2006
EXPECTED FINAL MATURITY 11/25/2018 11/25/2016 5/25/2014 8/25/2011 12/25/2009 9/25/2008 11/25/2007
WINDOW 61 - 183 51 - 159 41 - 129 37 - 96 37 - 76 37 - 61 38 - 51
-----------------------------------------------------------------------------------------------------------------------------
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 17
SENSITIVITY ANALYSIS (CONT)
---------------------------
-----------------------------------------------------------------------------------------------------------------------------
TO MATURITY
%PPC 50 60 75 100 125 150 175
-----------------------------------------------------------------------------------------------------------------------------
A-1 WAL 5.69 4.85 3.93 2.93 2.24 1.72 1.25
FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003
EXPECTED FINAL MATURITY 8/25/2030 8/25/2028 2/25/2025 1/25/2020 6/25/2016 11/25/2013 10/25/2011
WINDOW 1 - 324 1 - 300 1 - 258 1 - 197 1 - 154 1 - 123 1 - 98
-----------------------------------------------------------------------------------------------------------------------------
A-2 WAL 5.78 4.96 4.05 3.05 2.36 1.84 1.37
FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003
EXPECTED FINAL MATURITY 1/25/2031 4/25/2029 2/25/2026 3/25/2021 9/25/2017 2/25/2015 2/25/2013
WINDOW 1 - 329 1 - 308 1 - 270 1 - 211 1 - 169 1 - 138 1 - 114
-----------------------------------------------------------------------------------------------------------------------------
A-3 WAL 5.78 4.96 4.05 3.05 2.36 1.84 1.37
FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003
EXPECTED FINAL MATURITY 1/25/2031 4/25/2029 2/25/2026 3/25/2021 9/25/2017 2/25/2015 2/25/2013
WINDOW 1 - 329 1 - 308 1 - 270 1 - 211 1 - 169 1 - 138 1 - 114
-----------------------------------------------------------------------------------------------------------------------------
A-4 WAL 2.48 2.10 1.70 1.29 1.04 0.87 0.74
FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003 9/25/2003
EXPECTED FINAL MATURITY 3/25/2009 4/25/2008 5/25/2007 5/25/2006 10/25/2005 5/25/2005 2/25/2005
WINDOW 1 - 67 1 - 56 1 - 45 1 - 33 1 - 26 1 - 21 1 - 18
-----------------------------------------------------------------------------------------------------------------------------
A-5 WAL 11.69 10.08 8.25 6.19 4.73 3.57 2.48
FIRST PAYMENT DATE 3/25/2009 4/25/2008 5/25/2007 5/25/2006 10/25/2005 5/25/2005 2/25/2005
EXPECTED FINAL MATURITY 1/25/2031 4/25/2029 2/25/2026 3/25/2021 9/25/2017 2/25/2015 2/25/2013
WINDOW 67 - 329 56 - 308 45 - 270 33 - 211 26 - 169 21 - 138 18 - 114
-----------------------------------------------------------------------------------------------------------------------------
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 18
SENSITIVITY ANALYSIS (CONT)
---------------------------
-----------------------------------------------------------------------------------------------------------------------------
TO MATURITY
%PPC 50 60 75 100 125 150 175
-----------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.15 9.57 7.79 5.92 5.02 4.77 5.42
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 11/25/2006 2/25/2007 5/25/2007 11/25/2007
EXPECTED FINAL MATURITY 6/25/2028 1/25/2026 7/25/2022 3/25/2018 3/25/2015 1/25/2013 6/25/2011
WINDOW 61 - 298 51 - 269 41 - 227 39 - 175 42 - 139 45 - 113 51 - 94
-----------------------------------------------------------------------------------------------------------------------------
M-2 WAL 11.08 9.49 7.72 5.84 4.84 4.35 4.23
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 10/25/2006 11/25/2006 1/25/2007 3/25/2007
EXPECTED FINAL MATURITY 12/25/2026 5/25/2024 12/25/2020 12/25/2016 2/25/2014 2/25/2012 9/25/2010
WINDOW 61 - 280 51 - 249 41 - 208 38 - 160 39 - 126 41 - 102 43 - 85
-----------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.98 9.39 7.63 5.76 4.74 4.19 3.94
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 11/25/2006 12/25/2006 2/25/2007
EXPECTED FINAL MATURITY 9/25/2024 2/25/2022 11/25/2018 4/25/2015 10/25/2012 1/25/2011 10/25/2009
WINDOW 61 - 253 51 - 222 41 - 183 37 - 140 39 - 110 40 - 89 42 - 74
-----------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.90 9.32 7.57 5.70 4.68 4.12 3.84
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 10/25/2006 11/25/2006 12/25/2006
EXPECTED FINAL MATURITY 12/25/2023 5/25/2021 4/25/2018 10/25/2014 5/25/2012 9/25/2010 7/25/2009
WINDOW 61 - 244 51 - 213 41 - 176 37 - 134 38 - 105 39 - 85 40 - 71
-----------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.76 9.19 7.46 5.62 4.60 4.03 3.72
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 10/25/2006 10/25/2006 11/25/2006
EXPECTED FINAL MATURITY 10/25/2022 4/25/2020 5/25/2017 12/25/2013 10/25/2011 3/25/2010 2/25/2009
WINDOW 61 - 230 51 - 200 41 - 165 37 - 124 38 - 98 38 - 79 39 - 66
-----------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.38 8.85 7.16 5.38 4.40 3.84 3.52
FIRST PAYMENT DATE 9/25/2008 11/25/2007 1/25/2007 9/25/2006 9/25/2006 9/25/2006 10/25/2006
EXPECTED FINAL MATURITY 3/25/2021 10/25/2018 2/25/2016 1/25/2013 1/25/2011 8/25/2009 8/25/2008
WINDOW 61 - 211 51 - 182 41 - 150 37 - 113 37 - 89 37 - 72 38 - 60
-----------------------------------------------------------------------------------------------------------------------------
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 and the Seller make 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 and the Seller disclaim 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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 19
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
SENSITIVITY ANALYSIS (CONT)
------------------------------------------------------------------------------------------------------------------------------------
TO 10% CALL TO MATURITY
------------------------------------------------------------------------------------------------------------------------------------
CPR 20 25 30 CPR 20 25 30
------------------------------------------------------------------------------------------------------------------------------------
A-1 WAL 3.32 2.61 2.08 A-1 WAL 3.61 2.84 2.27
FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003
EXPECTED FINAL EXPECTED FINAL
MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 7/25/2024 9/25/2020 10/25/2017
WINDOW 1 - 117 1 - 93 1 - 76 WINDOW 1 - 251 1 - 205 1 - 170
------------------------------------------------------------------------------------------------------------------------------------
A-2 WAL 3.32 2.61 2.08 A-2 WAL 3.59 2.83 2.27
FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003
EXPECTED FINAL EXPECTED FINAL
MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 7/25/2024 8/25/2020 10/25/2017
WINDOW 1 - 117 1 - 93 1 - 76 WINDOW 1 - 251 1 - 204 1 - 170
------------------------------------------------------------------------------------------------------------------------------------
A-3 WAL 3.32 2.61 2.08 A-3 WAL 3.59 2.83 2.27
FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003
EXPECTED FINAL EXPECTED FINAL
MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 7/25/2024 8/25/2020 10/25/2017
WINDOW 1 - 117 1 - 93 1 - 76 WINDOW 1 - 251 1 - 204 1 - 170
------------------------------------------------------------------------------------------------------------------------------------
A-4 WAL 1.47 1.16 0.96 A-4 WAL 1.47 1.16 0.96
FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003 FIRST PAYMENT DATE 9/25/2003 9/25/2003 9/25/2003
EXPECTED FINAL EXPECTED FINAL
MATURITY 12/25/2006 3/25/2006 9/25/2005 MATURITY 12/25/2006 3/25/2006 9/25/2005
WINDOW 1 - 40 1 - 31 1 - 25 WINDOW 1 - 40 1 - 31 1 - 25
------------------------------------------------------------------------------------------------------------------------------------
A-5 WAL 6.63 5.19 4.08 A-5 WAL 7.39 5.81 4.60
FIRST PAYMENT DATE 12/25/2006 3/25/2006 9/25/2005 FIRST PAYMENT DATE 12/25/2006 3/25/2006 9/25/2005
EXPECTED FINAL EXPECTED FINAL
MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 7/25/2024 8/25/2020 10/25/2017
WINDOW 40 - 117 31 - 93 25 - 76 WINDOW 40 - 251 31 - 204 25 - 170
------------------------------------------------------------------------------------------------------------------------------------
1. Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
2. Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
3. A prefunding period exists for Periods 1 through 3
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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 20
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
SENSITIVITY ANALYSIS (CONT)
---------------------------
---------------------------------------------------------------------------------------------------------------------------------
TO 10% CALL TO MATURITY
M-1 WAL 6.40 5.20 4.60 M-1 WAL 7.06 5.73 5.04
FIRST PAYMENT DATE 9/25/2006 11/25/2006 2/25/2007 FIRST PAYMENT DATE 9/25/2006 11/25/2006 2/25/2007
EXPECTED FINAL EXPECTED FINAL
MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 2/25/2021 10/25/2017 4/25/2015
WINDOW 37 - 117 39 - 93 42 - 76 WINDOW 37 - 210 39 - 170 42 - 140
---------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 6.40 5.16 4.45 M-2 WAL 6.99 5.63 4.85
FIRST PAYMENT DATE 9/25/2006 10/25/2006 11/25/2006 FIRST PAYMENT DATE 9/25/2006 10/25/2006 11/25/2006
EXPECTED FINAL EXPECTED FINAL
MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 7/25/2019 6/25/2016 3/25/2014
WINDOW 37 - 117 38 - 93 39 - 76 WINDOW 37 - 191 38 - 154 39 - 127
---------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 6.40 5.15 4.40 M-3 WAL 6.91 5.56 4.74
FIRST PAYMENT DATE 9/25/2006 10/25/2006 11/25/2006 FIRST PAYMENT DATE 9/25/2006 10/25/2006 11/25/2006
EXPECTED FINAL EXPECTED FINAL
MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 9/25/2017 11/25/2014 11/25/2012
WINDOW 37 - 117 38 - 93 39 - 76 WINDOW 37 - 169 38 - 135 39 - 111
---------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 6.40 5.14 4.39 B-1 WAL 6.85 5.50 4.68
FIRST PAYMENT DATE 9/25/2006 9/25/2006 10/25/2006 FIRST PAYMENT DATE 9/25/2006 9/25/2006 10/25/2006
EXPECTED FINAL EXPECTED FINAL
MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 2/25/2017 5/25/2014 6/25/2012
WINDOW 37 - 117 37 - 93 38 - 76 WINDOW 37 - 162 37 - 129 38 - 106
---------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 6.40 5.13 4.37 B-2 WAL 6.75 5.41 4.59
FIRST PAYMENT DATE 9/25/2006 9/25/2006 10/25/2006 FIRST PAYMENT DATE 9/25/2006 9/25/2006 10/25/2006
EXPECTED FINAL EXPECTED FINAL
MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 3/25/2016 8/25/2013 10/25/2011
WINDOW 37 - 117 37 - 93 38 - 76 WINDOW 37 - 151 37 - 120 38 - 98
---------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 6.36 5.10 4.33 B-3 WAL 6.47 5.18 4.39
FIRST PAYMENT DATE 9/25/2006 9/25/2006 9/25/2006 FIRST PAYMENT DATE 9/25/2006 9/25/2006 9/25/2006
EXPECTED FINAL EXPECTED FINAL
MATURITY 5/25/2013 5/25/2011 12/25/2009 MATURITY 1/25/2015 9/25/2012 1/25/2011
WINDOW 37 - 117 37 - 93 37 - 76 WINDOW 37 - 137 37 - 109 37 - 89
---------------------------------------------------------------------------------------------------------------------------------
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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 21
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
--------------------------------------------------------------------------------------------------------------------------------
PERIOD A-1 CAP % A-2 CAP % A-3 CAP % A-4 CAP % A-5 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL
/360 /360 /360 /360 /360 /360 /360 /360 /360 /360 /360
--------------------------------------------------------------------------------------------------------------------------------
1 (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3)
2 (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3)
3 (3) (3) (3) (3) (3) (3) (3) (3) (3) (3) (3)
4 7.58 9.67 9.60 9.67 9.67 9.47 9.47 9.47 9.47 9.47 9.47
5 7.34 9.42 9.35 9.42 9.42 9.23 9.23 9.23 9.23 9.23 9.23
6 7.34 9.43 9.36 9.43 9.43 9.23 9.23 9.23 9.23 9.23 9.23
7 7.86 9.95 9.87 9.95 9.95 9.73 9.73 9.73 9.73 9.73 9.73
8 7.35 9.44 9.37 9.44 9.44 9.23 9.23 9.23 9.23 9.23 9.23
9 7.60 9.69 9.62 9.69 9.69 9.47 9.47 9.47 9.47 9.47 9.47
10 7.36 9.45 9.38 9.45 9.45 9.23 9.23 9.23 9.23 9.23 9.23
11 7.61 9.70 9.63 9.70 9.70 9.47 9.47 9.47 9.47 9.47 9.47
12 7.37 9.46 9.39 9.46 9.46 9.23 9.23 9.23 9.23 9.23 9.23
13 7.38 9.47 9.40 9.47 9.47 9.23 9.23 9.23 9.23 9.23 9.23
14 7.64 9.72 9.65 9.72 9.72 9.47 9.47 9.47 9.47 9.47 9.47
15 7.40 9.48 9.41 9.48 9.48 9.23 9.23 9.23 9.23 9.23 9.23
16 7.65 9.74 9.67 9.74 9.74 9.47 9.47 9.47 9.47 9.47 9.47
17 7.41 9.50 9.43 9.50 9.50 9.23 9.23 9.23 9.23 9.23 9.23
18 7.42 9.51 9.44 9.51 9.51 9.23 9.23 9.23 9.23 9.23 9.23
19 8.23 10.33 10.25 10.33 10.33 10.00 10.00 10.00 10.00 10.00 10.00
20 7.44 9.53 9.46 9.53 9.53 9.23 9.23 9.23 9.23 9.23 9.23
21 7.70 9.79 9.72 9.79 9.79 9.47 9.47 9.47 9.47 9.47 9.47
22 8.54 9.57 9.50 9.57 9.57 9.23 9.23 9.23 9.23 9.23 9.23
23 8.95 9.97 9.90 9.97 9.97 9.60 9.60 9.60 9.60 9.60 9.60
24 8.77 9.79 9.72 9.79 9.79 9.42 9.42 9.42 9.42 9.42 9.42
25 8.90 9.90 9.84 9.90 9.90 9.52 9.52 9.52 9.52 9.52 9.52
26 9.21 10.22 10.15 10.22 10.22 9.80 9.80 9.80 9.80 9.80 9.80
27 8.92 9.93 9.86 9.93 9.93 9.51 9.51 9.51 9.51 9.51 9.51
28 9.80 10.78 10.71 10.78 10.78 10.31 10.31 10.31 10.31 10.31 10.31
29 9.55 10.53 10.46 10.53 10.53 10.06 10.06 10.06 10.06 10.06 10.06
30 9.62 10.60 10.53 10.60 10.60 10.10 10.10 10.10 10.10 10.10 10.10
31 10.74 10.71 10.63 10.71 10.71 10.13 10.13 10.13 10.13 10.13 10.13
32 9.72 9.69 9.62 9.69 9.69 9.15 9.15 9.15 9.15 9.15 9.15
33 10.07 10.04 9.97 10.04 10.04 9.46 9.46 9.46 9.46 9.46 9.46
34 10.57 10.49 10.42 - 10.49 9.88 9.88 9.88 9.88 9.88 9.88
35 11.03 10.94 10.87 - 10.94 10.28 10.28 10.28 10.28 10.28 10.28
36 10.78 10.69 10.62 - 10.69 10.01 10.01 10.01 10.01 10.01 10.01
37 23.89 23.79 23.72 - 23.79 10.08 10.08 10.08 10.08 10.08 10.08
1. Cash available to pay current and prior interest and basis risk carry
forward amount divided by the current bond balance
2. Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
3. A prefunding period exists for Periods 1 through 3
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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 22
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
--------------------------------------------------------------------------------------------------------------------------------
PERIOD A-1 CAP % A-2 CAP % A-3 CAP % A-4 CAP % A-5 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL
/360 /360 /360 /360 /360 /360 /360 /360 /360 /360 /360
--------------------------------------------------------------------------------------------------------------------------------
38 12.98 12.89 12.82 - 12.89 10.42 10.42 10.42 10.42 10.42 10.42
39 12.51 12.41 12.34 - 12.41 10.08 10.08 10.08 10.08 10.08 10.08
40 13.53 13.40 13.33 - 13.40 11.03 11.03 11.03 11.03 11.03 11.03
41 13.11 12.98 12.91 - 12.98 10.72 10.72 10.72 10.72 10.72 10.72
42 13.17 13.03 12.97 - 13.03 10.78 10.78 10.78 10.78 10.78 10.78
43 14.66 14.50 14.43 - 14.50 12.00 12.00 12.00 12.00 12.00 12.00
44 13.23 13.09 13.03 - 13.09 10.84 10.84 10.84 10.84 10.84 10.84
45 13.68 13.53 13.46 - 13.53 11.20 11.20 11.20 11.20 11.20 11.20
46 13.66 13.48 13.41 - 13.48 11.21 11.21 11.21 11.21 11.21 11.21
47 14.15 13.97 13.90 - 13.97 11.62 11.62 11.62 11.62 11.62 11.62
48 13.74 13.55 13.49 - 13.55 11.28 11.28 11.28 11.28 11.28 11.28
49 13.78 13.59 13.52 - 13.59 11.32 11.32 11.32 11.32 11.32 11.32
50 14.24 14.04 13.97 - 14.04 11.69 11.69 11.69 11.69 11.69 11.69
51 13.77 13.59 13.52 - 13.59 11.32 11.32 11.32 11.32 11.32 11.32
52 14.34 14.14 14.07 - 14.14 11.79 11.79 11.79 11.79 11.79 11.79
53 13.88 13.69 13.62 - 13.69 11.42 11.42 11.42 11.42 11.42 11.42
54 13.89 13.70 13.63 - 13.70 11.42 11.42 11.42 11.42 11.42 11.42
55 14.86 14.66 14.58 - 14.66 12.22 12.22 12.22 12.22 12.22 12.22
56 13.90 13.71 13.64 - 13.71 11.43 11.43 11.43 11.43 11.43 11.43
57 14.37 14.16 14.09 - 14.16 11.81 11.81 11.81 11.81 11.81 11.81
58 13.95 13.76 13.69 - 13.76 11.48 11.48 11.48 11.48 11.48 11.48
59 14.42 14.23 14.16 - 14.23 11.87 11.87 11.87 11.87 11.87 11.87
60 13.96 13.77 13.70 - 13.77 11.49 11.49 11.49 11.49 11.49 11.49
61 13.96 13.78 13.71 - 13.78 11.49 11.49 11.49 11.49 11.49 11.49
62 14.43 14.24 14.17 - 14.24 11.87 11.87 11.87 11.87 11.87 11.87
63 13.96 13.77 13.71 - 13.77 11.49 11.49 11.49 11.49 11.49 11.49
64 14.43 14.24 14.17 - 14.24 11.87 11.87 11.87 11.87 11.87 11.87
65 13.96 13.77 13.71 - 13.77 11.49 11.49 11.49 11.49 11.49 11.49
66 13.96 13.77 13.71 - 13.77 11.48 11.48 11.48 11.48 11.48 11.48
67 15.46 15.25 15.18 - 15.25 12.71 12.71 12.71 12.71 12.71 12.71
68 13.95 13.77 13.70 - 13.77 11.48 11.48 11.48 11.48 11.48 11.48
69 14.42 14.23 14.16 - 14.23 11.86 11.86 11.86 11.86 11.86 11.86
70 13.95 13.77 13.70 - 13.77 11.48 11.48 11.48 11.48 11.48 11.48
71 14.42 14.23 14.16 - 14.23 11.86 11.86 11.86 11.86 11.86 11.86
72 13.95 13.77 13.70 - 13.77 11.48 11.48 11.48 11.48 11.48 11.48
73 13.95 13.77 13.70 - 13.77 11.47 11.47 11.47 11.47 11.47 11.47
74 14.42 14.23 14.16 - 14.23 11.86 11.86 11.86 11.86 11.86 11.86
75 13.95 13.76 13.70 - 13.76 11.47 11.47 11.47 11.47 11.47 11.47
76 14.41 14.22 14.15 - 14.22 11.85 11.85 11.85 11.85 11.85 11.85
77 13.95 13.76 13.70 - 13.76 11.47 11.47 11.47 11.47 11.47 11.47
78 13.95 13.76 13.69 - 13.76 11.47 11.47 11.47 11.47 11.47 11.47
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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 23
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
--------------------------------------------------------------------------------------------------------------------------------
PERIOD A-1 CAP % A-2 CAP % A-3 CAP % A-4 CAP % A-5 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL
/360 /360 /360 /360 /360 /360 /360 /360 /360 /360 /360
--------------------------------------------------------------------------------------------------------------------------------
79 15.44 15.24 15.17 - 15.24 12.69 12.69 12.69 12.69 12.69 12.69
80 13.95 13.76 13.69 - 13.76 11.46 11.46 11.46 11.46 11.46 11.46
81 14.41 14.22 14.15 - 14.22 11.85 11.85 11.85 11.85 11.85 11.85
82 13.94 13.76 13.69 - 13.76 11.46 11.46 11.46 11.46 11.46 11.46
83 14.41 14.22 14.15 - 14.22 11.84 11.84 11.84 11.84 11.84 11.84
84 13.94 13.76 13.69 - 13.76 11.46 11.46 11.46 11.46 11.46 11.46
85 13.94 13.76 13.69 - 13.76 11.46 11.46 11.46 11.46 11.46 11.46
86 14.34 14.15 14.08 - 14.15 11.84 11.84 11.84 11.84 11.84 11.84
87 12.25 12.07 12.00 - 12.07 11.46 11.46 11.46 11.46 11.46 11.46
88 12.68 12.49 12.42 - 12.49 11.84 11.84 11.84 11.84 11.84 11.84
89 12.29 12.10 12.03 - 12.10 11.45 11.45 11.45 11.45 11.45 11.45
90 12.30 12.12 12.05 - 12.12 11.45 11.45 11.45 11.45 11.45 11.45
91 13.64 13.44 13.36 - 13.44 12.68 12.68 12.68 12.68 12.68 12.68
92 12.34 12.15 12.08 - 12.15 11.45 11.45 11.45 11.45 11.45 11.45
93 12.77 12.58 12.51 - 12.58 11.83 11.83 11.83 11.83 11.83 11.83
94 12.37 12.19 12.12 - 12.19 11.45 11.45 11.45 11.45 11.45 11.45
95 12.81 12.62 12.55 - 12.62 11.83 11.83 11.83 11.83 11.83 11.83
96 12.41 12.23 12.16 - 12.23 11.45 11.45 11.45 11.45 11.45 11.45
97 12.43 12.25 12.18 - 12.25 11.44 11.44 11.44 11.44 11.44 11.44
98 12.87 12.68 12.61 - 12.68 11.83 11.83 11.83 11.83 11.83 11.83
99 12.48 12.29 12.22 - 12.29 11.44 11.44 11.44 11.44 11.44 11.44
100 12.92 12.72 12.65 - 12.72 11.82 11.82 11.82 11.82 11.82 11.82
101 12.52 12.33 12.27 - 12.33 11.44 11.44 11.44 11.44 11.44 11.44
102 12.54 12.36 12.29 - 12.36 11.44 11.44 11.44 11.44 11.44 11.44
103 13.44 13.24 13.17 - 13.24 12.23 12.23 12.23 12.23 12.23 12.23
104 12.59 12.41 12.34 - 12.41 11.44 11.44 11.44 11.44 11.44 11.44
105 13.04 12.85 12.78 - 12.85 11.82 11.82 11.82 11.82 11.82 11.82
106 12.64 12.46 12.39 - 12.46 11.44 11.44 11.44 11.44 11.44 11.44
107 13.09 12.90 12.83 - 12.90 11.82 11.82 11.82 11.82 11.82 11.82
108 12.70 12.51 12.44 - 12.51 11.43 11.43 11.43 11.43 11.43 11.43
109 12.72 12.54 12.47 - 12.54 11.43 11.43 11.43 11.43 11.43 11.43
110 13.18 12.99 12.92 - 12.99 11.81 11.81 11.81 11.81 11.81 11.81
111 12.78 12.59 12.53 - 12.59 11.43 11.43 11.43 11.43 11.43 11.43
112 13.24 13.05 12.98 - 13.05 11.81 11.81 11.81 11.81 11.81 11.81
113 12.84 12.66 12.59 - 12.66 11.43 11.43 11.43 11.43 11.43 11.43
114 12.87 12.69 12.62 - 12.69 11.43 11.43 11.43 11.43 11.43 11.43
115 14.29 14.09 14.01 - 14.09 12.65 12.65 12.65 12.65 12.65 -
116 12.94 12.75 12.68 - 12.75 11.43 11.43 11.43 11.43 11.43 -
117 13.41 13.21 13.14 - 13.21 11.81 11.81 11.81 11.81 11.81 -
118 13.01 12.82 12.75 - 12.82 11.43 11.43 11.43 11.43 11.43 -
119 13.48 13.29 13.22 - 13.29 11.81 11.81 11.81 11.81 11.81 -
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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 24
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
--------------------------------------------------------------------------------------------------------------------------------
PERIOD A-1 CAP % A-2 CAP % A-3 CAP % A-4 CAP % A-5 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL
/360 /360 /360 /360 /360 /360 /360 /360 /360 /360 /360
--------------------------------------------------------------------------------------------------------------------------------
120 13.08 12.89 12.83 - 12.89 11.42 11.42 11.42 11.42 11.42 -
121 13.12 12.93 12.86 - 12.93 11.42 11.42 11.42 11.42 11.42 -
122 13.60 13.40 13.33 - 13.40 11.80 11.80 11.80 11.80 11.80 -
123 13.20 13.01 12.94 - 13.01 11.42 11.42 11.42 11.42 11.42 -
124 13.68 13.49 13.42 - 13.49 11.80 11.80 11.80 11.80 11.80 -
125 13.28 13.09 13.03 - 13.09 11.42 11.42 11.42 11.42 11.42 -
126 13.32 13.14 13.07 - 13.14 11.42 11.42 11.42 11.42 11.42 -
127 14.81 14.60 14.52 - 14.60 12.64 12.64 12.64 12.64 12.64 -
128 13.41 13.23 13.16 - 13.23 11.42 11.42 11.42 11.42 - -
129 13.91 13.72 13.65 - 13.72 11.80 11.80 11.80 11.80 - -
130 13.51 13.32 13.25 - 13.32 11.42 11.42 11.42 11.42 - -
131 14.01 13.82 13.75 - 13.82 11.80 11.80 11.80 11.80 - -
132 13.61 13.42 13.35 - 13.42 11.42 11.42 11.42 11.42 - -
133 13.66 13.47 13.40 - 13.47 11.41 11.41 11.41 11.41 - -
134 14.17 13.98 13.91 - 13.98 11.79 11.79 11.79 11.79 - -
135 13.77 13.58 13.51 - 13.58 11.41 11.41 11.41 11.41 - -
136 14.29 14.09 14.02 - 14.09 11.79 11.79 11.79 11.79 - -
137 13.88 13.69 13.62 - 13.69 11.41 11.41 11.41 - - -
138 13.94 13.75 13.68 - 13.75 11.41 11.41 11.41 - - -
139 15.50 15.30 15.22 - 15.30 12.63 12.63 12.63 - - -
140 14.06 13.87 13.81 - 13.87 11.41 11.41 11.41 - - -
141 14.60 14.40 14.33 - 14.40 11.79 11.79 11.79 - - -
142 14.19 14.00 13.93 - 14.00 11.41 11.41 11.41 - - -
143 14.73 14.54 14.47 - 14.54 11.79 11.79 - - - -
144 14.33 14.14 14.07 - 14.14 11.41 11.41 - - - -
145 14.40 14.21 14.14 - 14.21 11.41 11.41 - - - -
146 14.95 14.76 14.69 - 14.76 11.79 11.79 - - - -
147 14.54 14.36 14.29 - 14.36 11.41 11.41 - - - -
148 15.11 14.91 14.84 - 14.91 11.79 11.79 - - - -
149 14.70 14.51 14.44 - 14.51 11.41 11.41 - - - -
150 14.78 14.59 14.52 - 14.59 11.41 11.41 - - - -
151 15.89 15.69 15.62 - 15.69 12.19 12.19 - - - -
152 14.95 14.76 14.69 - 14.76 11.41 11.41 - - - -
153 15.54 15.34 15.27 - 15.34 11.79 11.79 - - - -
154 15.12 14.93 14.87 - 14.93 11.41 11.41 - - - -
155 15.72 15.53 15.46 - 15.53 11.79 11.79 - - - -
156 15.31 15.12 15.05 - 15.12 11.41 11.41 - - - -
157 15.41 15.22 15.15 - 15.22 11.41 11.41 - - - -
158 16.02 15.83 15.76 - 15.83 11.79 11.79 - - - -
159 15.61 15.42 15.35 - 15.42 11.41 11.41 - - - -
160 16.24 16.04 15.97 - 16.04 11.79 11.79 - - - -
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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 25
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
--------------------------------------------------------------------------------------------------------------------------------
PERIOD A-1 CAP % A-2 CAP % A-3 CAP % A-4 CAP % A-5 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL
/360 /360 /360 /360 /360 /360 /360 /360 /360 /360 /360
--------------------------------------------------------------------------------------------------------------------------------
161 15.82 15.63 15.56 - 15.63 11.41 11.41 - - - -
162 15.93 15.74 15.67 - 15.74 11.41 11.41 - - - -
163 17.77 17.56 17.48 - 17.56 12.63 12.63 - - - -
164 16.16 15.97 15.90 - 15.97 11.41 - - - - -
165 16.82 16.63 16.56 - 16.63 11.79 - - - - -
166 16.40 16.21 16.15 - 16.21 11.41 - - - - -
167 17.08 16.89 16.82 - 16.89 11.79 - - - - -
168 16.66 16.47 16.40 - 16.47 11.41 - - - - -
169 16.79 16.60 16.53 - 16.60 11.41 - - - - -
170 17.49 17.30 17.23 - 17.30 11.79 - - - - -
171 17.07 16.88 16.81 - 16.88 11.41 - - - - -
172 17.79 17.59 17.52 - 17.59 11.79 - - - - -
173 17.36 17.17 17.10 - 17.17 11.41 - - - - -
174 17.51 17.32 17.25 - 17.32 11.41 - - - - -
175 19.57 19.36 19.28 - 19.36 12.63 - - - - -
176 17.83 17.64 17.57 - 17.64 11.41 - - - - -
177 18.86 18.67 18.60 - 18.67 11.85 - - - - -
178 18.46 18.27 18.20 - 18.27 11.48 - - - - -
179 19.41 19.21 19.14 - 19.21 - - - - - -
180 19.13 18.94 18.87 - 18.94 - - - - - -
181 19.46 19.27 19.20 - 19.27 - - - - - -
182 20.47 20.27 20.20 - 20.27 - - - - - -
183 20.17 19.98 19.92 - 19.98 - - - - - -
184 21.25 21.06 20.99 - 21.06 - - - - - -
185 20.99 20.80 20.73 - 20.80 - - - - - -
186 21.44 21.25 21.18 - 21.25 - - - - - -
187 24.27 24.06 23.99 - 24.06 - - - - - -
188 22.44 22.25 22.18 - 22.25 - - - - - -
189 23.77 23.57 23.50 - 23.57 - - - - - -
190 23.60 23.41 23.35 - 23.41 - - - - - -
191 25.07 24.87 24.80 - 24.87 - - - - - -
192 24.97 24.78 24.72 - 24.78 - - - - - -
193 25.75 25.56 25.49 - 25.56 - - - - - -
194 27.49 27.29 27.22 - 27.29 - - - - - -
195 27.54 27.35 27.28 - 27.35 - - - - - -
196 29.52 29.33 29.26 - 29.33 - - - - - -
197 29.72 29.53 29.46 - 29.53 - - - - - -
198 30.99 30.80 30.74 - 30.80 - - - - - -
199 34.67 34.46 34.39 - 34.46 - - - - - -
200 34.04 33.85 33.79 - 33.85 - - - - - -
201 37.08 36.89 36.82 - 36.89 - - - - - -
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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 26
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
--------------------------------------------------------------------------------------------------------------------------------
PERIOD A-1 CAP % A-2 CAP % A-3 CAP % A-4 CAP % A-5 CAP % M-1 CAP % M-2 CAP % M-3 CAP % B-1 CAP % B-2 CAP % B-3 CAP %
------ --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL ACTUAL
/360 /360 /360 /360 /360 /360 /360 /360 /360 /360 /360
--------------------------------------------------------------------------------------------------------------------------------
202 - 37.80 37.74 - 37.80 - - - - - -
203 - 41.59 41.52 - 41.59 - - - - - -
204 - 43.10 43.03 - 43.10 - - - - - -
205 - 46.50 46.43 - 46.50 - - - - - -
206 - 52.28 52.21 - 52.28 - - - - - -
207 - 55.63 55.57 - 55.63 - - - - - -
208 - 64.05 63.98 - 64.05 - - - - - -
209 - 70.22 70.15 - 70.22 - - - - - -
210 - 81.34 81.27 - 81.34 - - - - - -
211 - 107.57 107.49 - 107.57 - - - - - -
212 - 121.44 121.38 - 121.44 - - - - - -
213 - 168.93 168.86 - 168.93 - - - - - -
214 - 253.84 253.77 - 253.84 - - - - - -
215 - * ** - *** - - - - - -
* In period 215, the Class A-2 has a balance of $20,549 and is paid $17,526 in
interest
** In period 215, the Class A-3 has a balance of $27,087 and is paid $23,101 in
interest
*** In period 215, the Class A-5 has a balance of $23,307 and is paid $19,878 in
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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 27
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
TOTAL POOL
% OF MORTGAGE
AGGREGATE POOL BY WEIGHTED WEIGHTED WEIGHTED
CUT-OFF AGGREGATE AVERAGE AVERAGE AVERAGE
NUMBER OF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PRODUCT TYPES: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
--------------------------------------------------------------------------------------------------------------------------------
Fixed-10 Year 4 302,301 0.05 8.522 116 52.87 584
Fixed-15 Year 148 11,934,787 2.14 8.115 177 74.26 632
Fixed-20 Year 65 4,649,132 0.83 9.308 237 84.84 633
Fixed-25 Year 2 164,443 0.03 9.118 273 87.88 661
Fixed-30 Year 841 122,186,107 21.86 7.522 357 76.77 629
Fixed Balloon-15/30 147 13,728,463 2.46 9.765 176 86.25 643
ARM-2 Year/6 Month LIBOR 2,082 335,071,146 59.95 8.026 357 81.63 605
ARM-3 Year/6 Month LIBOR 493 68,987,741 12.34 8.271 357 80.44 597
ARM-5 Year/6 Month LIBOR 8 1,925,059 0.34 6.661 357 72.44 685
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
================================================================================================================================
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE
ORIGINATOR: LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE
--------------------------------------------------------------------------------------------------------------------------------
Aames 198 28,750,138 5.14 6.878 344 75.81 644
Aegis 1,135 148,319,777 26.54 8.464 352 82.48 606
Ameriquest 401 19,867,098 3.55 9.009 339 80.58 608
BNC 284 54,223,247 9.70 7.667 354 80.83 599
Chapel 343 63,152,008 11.30 8.102 325 79.13 644
Encore 940 167,525,558 29.97 7.652 353 78.40 599
First Banc 97 14,087,300 2.52 8.327 341 86.01 629
First NLC 37 5,675,774 1.02 8.108 340 80.67 618
Impac 5 1,551,341 0.28 7.246 358 85.62 587
Master Financial 37 3,958,590 0.71 7.630 340 82.59 613
Peoples Choice 20 3,225,499 0.58 8.246 358 84.49 642
SIB 293 48,612,850 8.70 8.171 345 82.01 615
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
================================================================================================================================
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE
LIEN POSITION: LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE
--------------------------------------------------------------------------------------------------------------------------------
1st Lien 3,584 548,695,993 98.17 7.931 350 80.04 611
2nd Lien 206 10,253,186 1.83 11.529 201 97.45 658
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
================================================================================================================================
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.
XXXXXX XXXXXXX
--------------------------------------------------------------------------------
Page 28
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
TOTAL POOL
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
RANGE OF GROSS MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE
INTEREST RATES(%): LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE
--------------------------------------------------------------------------------------------------------------------------------
5.000-5.999 74 15,007,160 2.68 5.818 344 69.63 679
6.000-6.999 591 119,542,325 21.39 6.657 349 76.93 640
7.000-7.999 1,008 177,414,838 31.74 7.557 352 81.04 616
8.000-8.999 1,027 147,037,402 26.31 8.542 350 82.34 595
9.000-9.999 663 71,520,813 12.80 9.477 348 81.72 580
10.000-10.999 220 16,929,667 3.03 10.407 325 79.49 572
11.000-11.999 135 8,025,155 1.44 11.494 262 85.09 607
12.000-12.999 64 2,982,506 0.53 12.455 223 91.09 629
13.000-13.999 8 489,314 0.09 13.512 240 94.18 637
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
================================================================================================================================
Minimum: 5.250%
Maximum: 13.750%
Weighted Average: 7.997%
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 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
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. 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.
MORGAN STANLEY Page 29
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
TOTAL POOL
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
RANGE OF CUT-OFF DATE MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE
PRINCIPAL BALANCE ($): LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE
--------------------------------------------------------------------------------------------------------------------------------
0.01-25,000.00 43 807,452 0.14 11.365 195 90.75 648
25,000.01-50,000.00 447 18,982,274 3.40 9.666 319 80.93 611
50,000.01-75,000.00 583 35,736,359 6.39 9.047 332 80.25 602
75,000.01-100,000.00 452 39,897,349 7.14 8.487 342 80.34 610
100,000.01-125,000.00 426 47,880,938 8.57 8.235 348 79.88 604
125,000.01-150,000.00 390 53,800,702 9.63 8.038 350 80.08 605
150,000.01-175,000.00 288 46,562,961 8.33 7.840 350 79.89 607
175,000.01-200,000.00 280 52,571,389 9.41 7.901 349 80.25 602
200,000.01-225,000.00 223 47,477,649 8.49 7.760 348 80.06 612
225,000.01-250,000.00 155 36,643,782 6.56 7.658 352 79.48 613
250,000.01-275,000.00 113 29,578,669 5.29 7.755 352 80.79 608
275,000.01-300,000.00 83 23,916,240 4.28 7.526 353 80.67 628
300,000.01-325,000.00 59 18,480,329 3.31 7.560 354 80.65 620
325,000.01-350,000.00 54 18,309,732 3.28 7.572 353 83.04 617
350,000.01-375,000.00 44 15,921,706 2.85 7.855 349 81.20 615
375,000.01-400,000.00 30 11,667,467 2.09 7.248 357 79.89 618
400,000.01-425,000.00 20 8,280,750 1.48 7.592 348 85.77 624
425,000.01-450,000.00 21 9,188,383 1.64 7.623 349 81.20 612
450,000.01-475,000.00 17 7,837,347 1.40 7.535 357 82.93 631
475,000.01-500,000.00 17 8,361,403 1.50 7.778 357 79.56 590
500,000.01-525,000.00 6 3,093,687 0.55 7.003 357 78.20 641
525,000.01-550,000.00 8 4,319,533 0.77 8.106 357 70.72 635
550,000.01-575,000.00 9 5,059,197 0.91 7.328 337 80.26 641
575,000.01-600,000.00 7 4,069,804 0.73 7.228 357 85.98 661
greater than or = 600,000.01 15 10,504,079 1.88 7.767 343 77.83 642
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
================================================================================================================================
Minimum: $9,904
Maximum: $997,846
Average: $147,480
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
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. 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.
MORGAN STANLEY Page 30
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
TOTAL POOL
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
ORIGINAL TERMS MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE
(MONTHS): LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE
-----------------------------------------------------------------------------------------------------------------------------
120 4 302,301 0.05 8.522 116 52.87 584
180 302 26,258,989 4.70 8.962 177 80.53 637
240 67 4,764,747 0.85 9.325 237 84.71 633
300 1 99,642 0.02 7.250 297 80.00 654
360 3,416 527,523,501 94.38 7.937 357 80.32 610
-----------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
=============================================================================================================================
Minimum: 120
Maximum: 360
Weighted Average: 350
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE WEIGHTED
CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL AVERAGE
RANGE OF REMAINING NUMBER OF PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV FICO
TERMS (MONTHS): MORTGAGE LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) SCORE
---------------------------------------------------------------------------------------------------------------------------------
109-120 4 302,301 0.05 8.522 116 52.87 584
169-180 302 26,258,989 4.70 8.962 177 80.53 637
229-240 67 4,764,747 0.85 9.325 237 84.71 633
289-300 1 99,642 0.02 7.250 297 80.00 654
349-360 3,416 527,523,501 94.38 7.937 357 80.32 610
---------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
=================================================================================================================================
Minimum: 115
Maximum: 359
Weighted Average: 347
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
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. 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.
MORGAN STANLEY Page 31
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
TOTAL POOL
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
RANGE OF ORIGINAL MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE
COMBINED LTV RATIOS (%): LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE
--------------------------------------------------------------------------------------------------------------------------------
less than or = 30.00 20 1,581,382 0.28 8.205 333 25.31 604
30.01-40.00 50 5,988,959 1.07 7.633 326 36.47 605
40.01-50.00 77 8,962,877 1.60 7.674 336 45.52 603
50.01-60.00 147 20,614,295 3.69 7.583 347 56.48 597
60.01-70.00 405 63,788,649 11.41 7.874 349 66.28 592
70.01-80.00 1,292 198,663,871 35.54 7.842 348 77.93 610
80.01-90.00 1,175 181,375,703 32.45 8.010 352 87.40 610
90.01-100.00 624 77,973,443 13.95 8.634 336 96.46 642
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
================================================================================================================================
Minimum: 11.97%
Maximum: 100.00%
Weighted Average: 80.36%
AGGREGATE % OF MORTGAGE WEIGHTED
CUT-OFF POOL BY AVERAGE WEIGHTED WEIGHTED WEIGHTED
NUMBER OF DATE AGGREGATE GROSS AVERAGE AVERAGE AVERAGE
RANGE OF GROSS MORTGAGE PRINCIPAL CUT-OFF DATE INTEREST REMAINING TERM ORIGINAL FICO
MARGINS (%): LOANS BALANCE ($) PRINCIPAL BALANCE RATE (%) (MONTHS) COMBINED LTV (%) SCORE
--------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,207 152,965,233 27.37 7.827 323 77.63 630
less than or = 5.000 83 20,861,929 3.73 7.193 357 76.75 672
5.001-5.500 175 36,874,816 6.60 7.107 357 80.67 618
5.501-6.000 422 87,559,699 15.67 7.454 357 83.15 619
6.001-6.500 655 82,713,190 14.80 8.035 356 79.97 592
6.501-7.000 289 49,502,090 8.86 8.038 357 80.67 591
7.001-7.500 317 52,418,402 9.38 8.441 356 80.59 600
7.501-8.000 217 31,893,785 5.71 8.778 357 85.28 599
8.001-8.500 181 21,366,064 3.82 9.210 357 83.31 585
8.501-9.000 122 12,697,782 2.27 9.645 357 83.21 576
greater than or = 9.001 122 10,096,189 1.81 10.268 357 78.70 566
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
================================================================================================================================
Non-Fixed Rate Minimum: 1.750%
Non-Fixed Rate Maximum: 12.176%
Non-Fixed Rate Weighted Average: 6.638%
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
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. 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.
MORGAN STANLEY Page 32
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
TOTAL POOL
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
RANGE OF MINIMUM MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE
MORTGAGE RATES(%): LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE
--------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,207 152,965,233 27.37 7.827 323 77.63 630
less than or = 5.000 10 1,394,978 0.25 7.153 357 78.96 689
5.001-5.500 10 2,346,372 0.42 5.761 357 65.20 626
5.501-6.000 31 6,643,034 1.19 6.148 356 73.28 645
6.001-6.500 108 24,177,768 4.33 6.547 357 79.79 649
6.501-7.000 246 51,746,311 9.26 6.915 356 79.80 632
7.001-7.500 341 68,709,815 12.29 7.443 357 82.60 621
7.501-8.000 398 68,614,728 12.28 7.843 357 82.15 604
8.001-8.500 358 56,820,155 10.17 8.377 357 82.15 595
8.501-9.000 430 59,894,559 10.72 8.805 357 83.20 585
9.001-9.500 260 29,226,892 5.23 9.291 356 82.17 574
9.501-10.000 229 22,669,687 4.06 9.781 357 81.49 568
10.001 -10.500 87 8,847,033 1.58 10.298 357 74.60 555
10.501-11.000 39 2,310,560 0.41 10.791 357 78.87 554
11.001-11.500 19 1,697,163 0.30 11.306 357 68.86 540
11.501-12.000 9 475,376 0.09 11.781 357 69.75 550
12.001-12.500 4 196,608 0.04 12.344 356 63.98 550
12.501-13.000 3 161,960 0.03 12.594 357 73.79 540
13.501-14.000 1 50,948 0.01 13.600 355 60.00 519
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
================================================================================================================================
Non-Fixed Rate Minimum: 2.750%
Non-Fixed Rate Maximum: 13.600%
Non-Fixed Rate Weighted Average: 7.990%
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
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. 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.
MORGAN STANLEY Page 33
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
TOTAL POOL
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
RANGE OF MAXIMUM MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE
LOAN RATES(%): LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE
--------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,207 152,965,233 27.37 7.827 323 77.63 630
less than or = 13.000 178 38,897,808 6.96 6.646 357 75.33 648
13.001-13.500 196 40,344,473 7.22 7.015 356 80.32 635
13.501-14.000 363 67,546,849 12.08 7.378 356 82.28 625
14.001-14.500 416 70,749,581 12.66 7.827 357 83.26 613
14.501-15.000 504 74,460,897 13.32 8.346 357 83.74 594
15.001-15.500 349 47,399,808 8.48 8.811 357 82.37 578
15.501-16.000 304 37,462,376 6.70 9.247 357 81.42 568
16.001-16.500 123 13,833,955 2.47 9.694 357 79.92 553
16.501-17.000 83 8,695,684 1.56 10.016 357 78.21 548
17.001-17.500 35 4,008,854 0.72 10.572 357 67.19 544
17.501-18.000 17 1,074,150 0.19 11.366 357 69.79 546
18.001-18.500 11 1,296,605 0.23 11.477 357 66.35 536
18.501-19.000 3 161,960 0.03 12.594 357 73.79 540
19.501-20.000 1 50,948 0.01 13.600 355 60.00 519
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
================================================================================================================================
Non-Fixed Rate Minimum: 9.000%
Non-Fixed Rate Maximum: 19.600%
Non-Fixed Rate Weighted Average: 14.479%
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
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. 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.
MORGAN STANLEY Page 34
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
TOTAL POOL
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
INITIAL PERIODIC CAP (%): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,207 152,965,233 27.37 7.827 323 77.63 630
1.000 67 12,517,832 2.24 8.104 357 84.97 622
1.500 624 114,141,237 20.42 7.840 357 79.99 589
2.000 533 64,334,479 11.51 7.919 354 81.53 598
3.000 1,345 211,198,055 37.78 8.225 357 81.92 613
4.000 6 1,415,658 0.25 8.940 356 84.05 591
5.000 7 2,021,598 0.36 6.802 358 72.56 681
6.000 1 355,087 0.06 9.375 355 93.68 603
------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
==============================================================================================================================
Minimum: 1.000%
Maximum: 6.000%
Weighted Average: 2.374%
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
SUBSEQUENT PERIODIC MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE
CAP (%): LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE
--------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,207 152,965,233 27.37 7.827 323 77.63 630
1.000 1,957 291,454,392 52.14 8.149 356 81.93 610
1.500 626 114,529,555 20.49 7.837 357 79.99 589
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
================================================================================================================================
Minimum: 1.000%
Maximum: 1.500%
Weighted Average: 1.141%
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
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. 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.
MORGAN STANLEY Page 35
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
TOTAL POOL
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
NEXT RATE ADJUSTMENT DATES: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
--------------------------------------------------------------------------------------------------------------------------------
Fixed Rate 1,207 152,965,233 27.37 7.827 323 77.63 630
December 2004 1 258,594 0.05 8.080 352 37.30 620
January 2005 8 1,245,491 0.22 7.991 353 83.56 674
February 2005 11 1,926,130 0.34 8.615 354 85.22 626
March 2005 126 15,803,996 2.83 8.550 354 80.69 613
April 2005 495 81,964,873 14.66 7.978 355 81.21 599
May 2005 1,071 171,324,500 30.65 8.050 357 82.24 609
June 2005 276 46,989,977 8.41 7.780 357 81.17 606
July 2005 94 15,557,585 2.78 8.143 359 79.56 575
March 2006 8 2,063,374 0.37 7.983 355 76.72 598
April 2006 76 13,555,031 2.43 7.676 356 80.67 600
May 2006 380 47,768,691 8.55 8.539 357 80.90 594
June 2006 25 4,782,553 0.86 7.600 358 76.21 612
July 2006 4 818,093 0.15 7.163 359 83.94 640
April 2008 1 299,481 0.05 6.875 356 77.05 687
May 2008 3 569,827 0.10 6.962 357 74.77 659
June 2008 4 1,055,752 0.19 6.437 358 69.87 699
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
================================================================================================================================
Non-Fixed Rate Weighted Average: July 2005
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
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. 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.
MORGAN STANLEY Page 36
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
TOTAL POOL
% OF MORTGAGE
POOL BY WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE WEIGHTED AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS AVERAGE ORIGINAL WEIGHTED
GEOGRAPHIC DISTRIBUTION MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING COMBINED LTV AVERAGE
OF MORTGAGED PROPERTIES: LOANS BALANCE ($) BALANCE RATE (%) TERM (MONTHS) (%) FICO SCORE
--------------------------------------------------------------------------------------------------------------------------------
California 1,037 217,118,254 38.84 7.509 351 78.06 614
Florida 373 44,234,769 7.91 8.221 347 82.79 613
Illinois 217 33,725,133 6.03 8.158 348 81.60 610
New Jersey 130 23,003,484 4.12 8.208 337 78.86 605
Ohio 218 19,026,133 3.40 8.520 349 86.52 608
Michigan 172 17,607,119 3.15 8.550 350 83.58 599
Massachusetts 83 16,847,507 3.01 8.061 352 76.70 609
New York 85 15,552,458 2.78 8.383 347 79.34 598
Virginia 73 11,598,139 2.07 8.379 331 82.26 619
Maryland 75 11,429,746 2.04 8.329 322 83.69 613
Pennsylvania 97 10,953,963 1.96 8.238 348 83.60 601
Texas 108 10,779,384 1.93 8.478 336 78.54 621
Connecticut 70 9,693,936 1.73 8.335 350 80.23 602
Colorado 59 9,008,345 1.61 8.364 328 81.88 606
Nevada 60 8,954,222 1.60 8.158 347 82.39 637
Other 933 99,416,589 17.79 8.347 348 82.16 610
--------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
================================================================================================================================
Number of States/District of Columbia Represented: 49
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
OCCUPANCY TYPE: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Primary 3,295 508,583,621 90.99 7.959 348 80.59 609
Investment 447 42,780,060 7.65 8.482 341 79.00 637
Non-Owner Occupied 35 5,534,348 0.99 7.536 344 70.05 642
Second Home 13 2,051,151 0.37 8.410 334 79.76 631
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
==================================================================================================================================
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
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. 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.
MORGAN STANLEY Page 37
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
TOTAL POOL
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PROPERTY TYPE: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 2,953 419,581,109 75.07 7.998 348 80.07 607
2-4 Family 309 55,395,534 9.91 8.019 343 79.96 635
Planned Unit Development 249 47,555,876 8.51 7.990 340 83.04 622
Condominium 246 32,741,739 5.86 7.914 353 80.93 616
Manufactured Housing 33 3,674,922 0.66 8.361 356 79.72 606
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
==================================================================================================================================
% OF
MORTGAGE
AGGREGATE POOL BY WEIGHTED WEIGHTED WEIGHTED
CUT-OFF AGGREGATE AVERAGE AVERAGE AVERAGE
NUMBER OF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
LOAN PURPOSE: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Refinance-Cashout 2,397 370,366,287 66.26 7.911 349 78.11 601
Purchase 1,045 137,551,305 24.61 8.273 342 86.50 643
Refinance-Rate/Term 348 51,031,587 9.13 7.879 347 80.10 604
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
==================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
DOCUMENTATION LEVEL: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Full Documentation 2,327 318,345,282 56.95 8.005 350 81.23 599
Stated Documentation 1,232 199,945,751 35.77 8.027 343 78.92 629
Limited/Alternate 204 37,369,358 6.69 7.746 354 80.51 617
No Ratio 27 3,288,788 0.59 8.253 275 81.71 660
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
==================================================================================================================================
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
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. 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.
MORGAN STANLEY Page 38
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
TOTAL POOL
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PREPAYMENT PENALTY TERM: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
No Prepayment Penalty 544 72,974,608 13.06 8.248 346 79.11 614
12 Months 219 41,447,767 7.42 8.228 339 80.69 611
24 Months 1,779 272,663,818 48.78 8.014 354 81.64 605
30 Months 18 2,308,354 0.41 9.330 357 73.57 583
36 Months 1,125 156,985,204 28.09 7.776 341 78.65 621
48 Months 1 179,514 0.03 6.550 357 90.00 642
60 Months 104 12,389,914 2.22 7.950 311 81.14 623
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
==================================================================================================================================
% OF
MORTGAGE
AGGREGATE POOL BY WEIGHTED WEIGHTED WEIGHTED
CUT-OFF AGGREGATE AVERAGE AVERAGE AVERAGE
NUMBER OF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
RANGE OF CREDIT SCORES: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
500-525 306 42,219,692 7.55 8.762 355 74.01 513
526-550 406 57,767,022 10.33 8.624 355 75.18 538
551-575 416 57,253,767 10.24 8.317 351 77.94 562
576-600 512 73,081,673 13.07 8.236 346 80.40 588
601-625 628 96,707,533 17.30 7.899 350 81.73 613
626-650 650 96,216,429 17.21 7.812 344 83.77 638
651-675 426 63,875,132 11.43 7.550 339 82.88 662
676-700 233 35,952,840 6.43 7.364 345 82.16 687
701-725 103 19,970,655 3.57 7.250 346 80.56 713
726-750 59 7,516,028 1.34 7.479 336 80.52 737
751-775 32 4,884,800 0.87 7.273 333 82.62 761
776-800 19 3,503,610 0.63 7.023 349 79.63 786
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,790 558,949,180 100.00 7.997 347 80.36 611
==================================================================================================================================
Minimum: 500
Maximum: 795
Weighted Average: 611
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
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. 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.
MORGAN STANLEY Page 39
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
GROUP II
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PRODUCT TYPES: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Fixed-10 Year 4 302,301 0.08 8.522 116 52.87 584
Fixed-15 Year 117 8,974,777 2.45 8.286 177 75.61 635
Fixed-20 Year 56 3,711,424 1.01 9.773 237 87.95 638
Fixed-25 Year 2 164,443 0.04 9.118 273 87.88 661
Fixed-30 Year 600 89,825,499 24.53 7.588 357 76.97 626
Fixed Balloon-15/30 134 11,481,840 3.14 10.003 176 88.05 642
ARM-2 Year/6 Month LIBOR 1,177 207,562,533 56.69 8.005 357 81.82 606
ARM-3 Year/6 Month LIBOR 279 42,181,565 11.52 8.170 357 81.21 602
ARM-5 Year/6 Month LIBOR 8 1,925,059 0.53 6.661 357 72.44 685
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
ORIGINATOR: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Aames 132 19,729,578 5.39 6.968 343 77.07 644
Aegis 685 89,534,940 24.45 8.469 350 82.30 607
Ameriquest 245 12,211,451 3.34 9.098 333 81.79 611
BNC 156 32,485,236 8.87 7.640 353 81.18 601
Chapel 257 48,730,871 13.31 8.161 324 79.37 643
Encore 575 109,228,933 29.83 7.680 353 78.83 600
First Banc 66 9,307,930 2.54 8.429 334 86.73 628
First NLC 24 3,683,794 1.01 8.359 331 82.08 606
Impac 4 1,236,341 0.34 7.117 358 84.51 568
Master Financial 27 2,554,790 0.70 7.676 330 83.17 620
Peoples Choice 15 2,340,597 0.64 8.475 358 84.78 656
SIB 191 35,084,982 9.58 8.013 342 82.05 617
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
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
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. 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.
MORGAN STANLEY
--------------------------------------------------------------------------------
Page 40
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
GROUP II
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
LIEN POSITION: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
1st Lien 2,171 355,876,257 97.20 7.901 349 80.11 612
2nd Lien 206 10,253,186 2.80 11.529 201 97.45 658
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF GROSS INTEREST MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
RATES(%): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
5.000-5.999 46 10,108,928 2.76 5.828 338 68.96 683
6.000-6.999 359 80,404,824 21.96 6.652 348 77.56 644
7.000-7.999 619 116,597,022 31.85 7.563 353 81.54 615
8.000-8.999 615 93,676,439 25.59 8.536 350 82.14 594
9.000-9.999 395 43,486,003 11.88 9.483 345 81.11 581
10.000-10.999 154 11,405,515 3.12 10.428 317 80.17 577
11.000-11.999 124 7,327,248 2.00 11.508 253 86.48 613
12.000-12.999 58 2,685,099 0.73 12.464 208 94.44 637
13.000-13.999 7 438,366 0.12 13.501 227 98.15 650
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
Minimum: 5.250%
Maximum: 13.750%
Weighted Average: 8.003%
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
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. 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.
MORGAN STANLEY Page 41
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
GROUP II
% OF
MORTGAGE
POOL BY WEIGHTED WEIGHTED WEIGHTED
AGGREGATE AGGREGATE AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF CUT-OFF DATE PRINCIPAL MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
BALANCES ($): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
0.01-25,000.00 41 762,288 0.21 11.431 191 91.94 651
25,000.01-50,000.00 309 12,934,959 3.53 9.894 308 82.71 613
50,000.01-75,000.00 369 22,607,395 6.17 9.154 323 81.22 605
75,000.01-100,000.00 278 24,524,117 6.70 8.619 334 80.40 608
100,000.01-125,000.00 249 27,923,937 7.63 8.246 346 80.53 603
125,000.01-150,000.00 210 28,836,373 7.88 8.067 347 79.48 605
150,000.01-175,000.00 159 25,765,362 7.04 7.840 350 79.98 604
175,000.01-200,000.00 161 30,388,191 8.30 7.799 347 80.29 610
200,000.01-225,000.00 126 26,736,717 7.30 7.870 345 80.38 611
225,000.01-250,000.00 89 21,029,847 5.74 7.745 351 79.58 613
250,000.01-275,000.00 64 16,686,339 4.56 7.750 354 82.16 608
275,000.01-300,000.00 47 13,558,133 3.70 7.699 353 82.58 627
300,000.01-325,000.00 38 11,921,713 3.26 7.568 352 77.99 619
325,000.01-350,000.00 52 17,634,904 4.82 7.588 353 82.80 613
350,000.01-375,000.00 40 14,475,684 3.95 7.758 353 80.85 617
375,000.01-400,000.00 29 11,292,300 3.08 7.238 357 79.89 619
400,000.01-425,000.00 18 7,474,745 2.04 7.637 347 84.67 623
425,000.01-450,000.00 19 8,331,389 2.28 7.474 348 80.80 609
450,000.01-475,000.00 17 7,837,347 2.14 7.535 357 82.93 631
475,000.01-500,000.00 17 8,361,403 2.28 7.778 357 79.56 590
500,000.01-525,000.00 6 3,093,687 0.84 7.003 357 78.20 641
525,000.01-550,000.00 8 4,319,533 1.18 8.106 357 70.72 635
550,000.01-575,000.00 9 5,059,197 1.38 7.328 337 80.26 641
575,000.01-600,000.00 7 4,069,804 1.11 7.228 357 85.98 661
greater than or = 600,000.01 15 10,504,079 2.87 7.767 343 77.83 642
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
Minimum: $9,904
Maximum: $997,846
Average: $154,030
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
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. 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.
MORGAN STANLEY Page 42
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
GROUP II
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
ORIGINAL TERMS (MONTHS): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
120 4 302,301 0.08 8.522 116 52.87 584
180 256 20,721,543 5.66 9.229 177 82.45 638
240 58 3,827,039 1.05 9.779 237 87.70 639
300 1 99,642 0.03 7.250 297 80.00 654
360 2,058 341,178,918 93.19 7.908 357 80.42 611
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
Minimum: 120
Maximum: 360
Weighted Average: 348
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF REMAINING TERMS MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
(MONTHS): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
109-120 4 302,301 0.08 8.522 116 52.87 584
169-180 256 20,721,543 5.66 9.229 177 82.45 638
229-240 58 3,827,039 1.05 9.779 237 87.70 639
289-300 1 99,642 0.03 7.250 297 80.00 654
349-360 2,058 341,178,918 93.19 7.908 357 80.42 611
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
Minimum: 115
Maximum: 359
Weighted Average: 345
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
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. 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.
MORGAN STANLEY Page 43
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
GROUP II
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF ORIGINAL COMBINED MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
LTV RATIOS (%) LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
less than or = 30.00 14 1,151,726 0.31 7.890 333 26.78 617
30.01-40.00 26 3,502,243 0.96 7.752 324 37.10 604
40.01-50.00 48 5,342,109 1.46 7.760 324 45.62 600
50.01-60.00 90 13,680,336 3.74 7.476 345 56.62 605
60.01-70.00 259 43,105,623 11.77 8.006 350 66.36 587
70.01-80.00 761 125,310,541 34.23 7.787 347 77.87 613
80.01-90.00 739 121,952,798 33.31 7.963 352 87.53 610
90.01-100.00 440 52,084,067 14.23 8.795 327 96.68 644
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
Minimum: 16.33%
Maximum: 100.00%
Weighted Average: 80.59%
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
RANGE OF GROSS MARGINS (%): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 913 114,460,285 31.26 7.960 320 78.28 628
less than or = 5.000 52 16,240,547 4.44 7.162 357 75.92 672
5.001-5.500 101 24,177,439 6.60 7.122 357 81.44 615
5.501-6.000 256 58,108,386 15.87 7.465 357 83.02 621
6.001-6.500 374 51,681,413 14.12 8.029 356 80.58 593
6.501-7.000 155 28,560,580 7.80 8.115 357 80.64 586
7.001-7.500 171 30,001,476 8.19 8.507 357 81.68 601
7.501-8.000 122 18,707,953 5.11 8.730 357 85.77 597
8.001-8.500 99 11,561,269 3.16 9.161 357 83.42 587
8.501-9.000 64 6,603,214 1.80 9.644 357 83.62 577
greater than or = 9.001 70 6,026,881 1.65 10.273 357 79.84 568
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
Non-Fixed Rate Minimum: 2.000%
Non-Fixed Rate Maximum: 11.350%
Non-Fixed Rate Weighted Average: 6.557%
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
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. 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.
MORGAN STANLEY Page 44
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
GROUP II
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
RANGE OF MINIMUM MORTGAGE RATES(%): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 913 114,460,285 31.26 7.960 320 78.28 628
less than or = 5.000 6 995,413 0.27 6.910 357 79.42 686
5.001-5.500 5 1,566,996 0.43 5.893 357 67.76 595
5.501-6.000 18 4,147,319 1.13 5.994 355 72.72 654
6.001-6.500 61 15,804,987 4.32 6.512 357 81.08 651
6.501-7.000 137 32,693,004 8.93 6.919 357 79.63 638
7.001-7.500 198 44,612,425 12.18 7.436 356 82.50 620
7.501-8.000 228 42,427,447 11.59 7.834 357 83.48 608
8.001-8.500 206 35,078,016 9.58 8.380 357 82.24 591
8.501-9.000 233 36,093,573 9.86 8.793 357 83.72 586
9.001-9.500 149 16,580,242 4.53 9.287 357 81.64 574
9.501-10.000 125 12,758,693 3.48 9.798 357 81.39 566
10.001-10.500 54 5,879,518 1.61 10.315 357 73.26 556
10.501-11.000 22 1,334,396 0.36 10.802 357 78.66 551
11.001-11.500 14 1,276,686 0.35 11.318 357 68.90 541
11.501-12.000 5 269,386 0.07 11.719 357 73.65 554
12.001-12.500 2 98,297 0.03 12.214 356 67.95 534
12.501-13.000 1 52,760 0.01 12.600 357 80.00 508
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
Non-Fixed Rate Minimum: 4.375%
Non-Fixed Rate Maximum: 12.600%
Non-Fixed Rate Weighted Average: 7.957%
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
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. 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.
MORGAN STANLEY Page 45
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
GROUP II
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
RANGE OF MAXIMUM MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
LOAN RATES (%): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 913 114,460,285 31.26 7.960 320 78.28 628
less than or = 13.000 112 27,902,999 7.62 6.653 357 75.48 649
13.001-13.500 112 25,839,904 7.06 7.050 356 80.68 633
13.501-14.000 192 39,727,329 10.85 7.385 357 83.23 631
14.001-14.500 247 45,056,611 12.31 7.802 357 83.32 613
14.501-15.000 288 46,720,434 12.76 8.339 357 84.61 594
15.001-15.500 195 27,954,563 7.64 8.816 357 82.10 572
15.501-16.000 154 20,257,668 5.53 9.215 357 81.95 571
16.001-16.500 73 8,039,525 2.20 9.657 357 80.13 556
16.501-17.000 48 5,437,163 1.49 10.013 357 77.93 543
17.001-17.500 25 3,134,527 0.86 10.566 357 66.72 546
17.501-18.000 10 651,560 0.18 11.396 357 70.95 555
18.001-18.500 7 894,115 0.24 11.455 357 66.61 536
18.501-19.000 1 52,760 0.01 12.600 357 80.00 508
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
Non-Fixed Rate Minimum: 10.875%
Non-Fixed Rate Maximum: 18.600%
Non-Fixed Rate Weighted Average: 14.437%
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
INITIAL PERIODIC CAP (%): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 913 114,460,285 31.26 7.960 320 78.28 628
1.000 37 7,730,498 2.11 8.049 357 84.94 622
1.500 363 72,377,209 19.77 7.888 357 80.80 591
2.000 284 36,502,492 9.97 7.848 355 82.15 600
3.000 770 132,034,771 36.06 8.158 357 81.83 614
4.000 3 1,002,590 0.27 8.519 356 92.39 615
5.000 7 2,021,598 0.55 6.802 358 72.56 681
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
Minimum: 1.000%
Maximum: 5.000%
Weighted Average: 2.382%
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
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. 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.
MORGAN STANLEY Page 46
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
GROUP II
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
SUBSEQUENT PERIODIC CAP (%): LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 913 114,460,285 31.26 7.960 320 78.28 628
1.000 1,101 179,291,950 48.97 8.077 356 81.98 612
1.500 363 72,377,209 19.77 7.888 357 80.80 591
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
Minimum: 1.000%
Maximum: 1.500%
Weighted Average: 1.144%
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
NEXT RATE ADJUSTMENT DATES: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate 913 114,460,285 31.26 7.960 320 78.28 628
January 2005 5 835,084 0.23 7.952 353 82.61 653
February 2005 5 1,013,061 0.28 8.213 354 85.31 626
March 2005 65 9,317,370 2.54 8.464 354 82.06 616
April 2005 272 49,738,427 13.58 7.991 356 81.59 600
May 2005 617 107,290,669 29.30 8.009 357 82.34 610
June 2005 163 30,218,797 8.25 7.806 357 80.96 606
July 2005 50 9,149,126 2.50 8.212 359 79.02 572
March 2006 6 1,665,679 0.45 7.925 355 77.13 597
April 2006 43 8,978,740 2.45 7.545 356 82.44 608
May 2006 213 27,926,153 7.63 8.484 357 81.11 597
June 2006 14 2,984,035 0.82 7.542 358 79.56 615
July 2006 3 626,959 0.17 6.758 359 86.67 669
April 2008 1 299,481 0.08 6.875 356 77.05 687
May 2008 3 569,827 0.16 6.962 357 74.77 659
June 2008 4 1,055,752 0.29 6.437 358 69.87 699
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
Non-Fixed Rate Weighted Average: July 2005
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
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. 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.
MORGAN STANLEY Page 47
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
GROUP II
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
GEOGRAPHIC DISTRIBUTION MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
OF MORTGAGED PROPERTIES: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
California 677 149,058,940 40.71 7.545 349 78.77 616
Florida 248 30,240,339 8.26 8.174 346 82.39 613
Illinois 119 19,232,155 5.25 8.238 350 82.37 608
New Jersey 81 15,455,091 4.22 8.208 333 78.97 611
Ohio 137 12,168,065 3.32 8.639 346 86.66 603
Michigan 102 10,811,760 2.95 8.570 350 82.68 603
New York 53 10,637,936 2.91 8.281 350 80.61 601
Massachusetts 51 10,018,085 2.74 8.040 352 76.36 609
Virginia 47 8,709,896 2.38 8.432 325 81.12 618
Maryland 50 7,882,765 2.15 8.379 316 84.31 614
Pennsylvania 63 7,224,037 1.97 8.194 346 84.34 604
Texas 68 7,188,444 1.96 8.560 335 79.51 622
Connecticut 47 6,276,850 1.71 8.326 347 80.12 600
Colorado 40 6,128,250 1.67 8.507 321 82.78 605
Nevada 37 6,120,122 1.67 8.191 343 82.10 642
Other 557 58,976,708 16.11 8.341 345 81.95 612
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
Number of States/District of Columbia Represented: 48
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
OCCUPANCY TYPE: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Primary 2,078 335,337,671 91.59 7.963 346 80.86 611
Investment 266 24,888,089 6.80 8.584 341 79.02 630
Non-Owner Occupied 22 4,065,833 1.11 7.534 346 68.19 642
Second Home 11 1,837,851 0.50 8.471 332 79.73 624
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
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
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. 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.
MORGAN STANLEY Page 48
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
GROUP II
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED WEIGHTED WEIGHTED
CUT-OFF CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PROPERTY TYPE: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 1,844 274,572,009 74.99 7.999 346 80.28 608
Planned Unit Development 178 35,528,288 9.70 7.991 338 83.09 624
2-4 Family 193 34,433,764 9.40 8.035 343 80.22 639
Condominium 146 19,682,569 5.38 7.974 351 80.99 611
Manufactured Housing 16 1,912,814 0.52 8.503 356 81.04 612
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
% OF
MORTGAGE
AGGREGATE POOL BY WEIGHTED WEIGHTED WEIGHTED
CUT-OFF AGGREGATE AVERAGE AVERAGE AVERAGE
NUMBER OF DATE CUT-OFF DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
LOAN PURPOSE: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Refinance-Cashout 1,468 237,894,531 64.98 7.886 348 78.20 602
Purchase 700 95,239,061 26.01 8.339 339 86.96 643
Refinance-Rate/Term 209 32,995,852 9.01 7.880 344 79.45 606
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
DOCUMENTATION LEVEL: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
Full Documentation 1,416 202,972,446 55.44 7.986 348 81.52 601
Stated Documentation 821 138,228,762 37.75 8.056 341 78.98 629
Limited/Alternate 120 22,535,981 6.16 7.789 353 82.01 613
No Ratio 20 2,392,255 0.65 8.374 251 82.20 653
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
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
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. 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.
MORGAN STANLEY Page 49
COLLATERAL SUMMARY
AS OF CUT-OFF DATE OF AUGUST 1, 2003
GROUP II
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
PREPAYMENT PENALTY TERM: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
No Prepayment Penalty 339 46,771,067 12.77 8.275 344 79.61 617
12 Months 141 28,142,926 7.69 8.270 336 81.81 611
24 Months 1,040 169,913,096 46.41 8.012 353 81.66 606
30 Months 8 1,014,512 0.28 9.558 357 61.64 588
36 Months 744 107,718,414 29.42 7.796 340 79.11 621
48 Months 1 179,514 0.05 6.550 357 90.00 642
60 Months 104 12,389,914 3.38 7.950 311 81.14 623
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE WEIGHTED WEIGHTED WEIGHTED
AGGREGATE CUT-OFF AVERAGE AVERAGE AVERAGE
NUMBER OF CUT-OFF DATE DATE GROSS REMAINING ORIGINAL WEIGHTED
MORTGAGE PRINCIPAL PRINCIPAL INTEREST TERM COMBINED AVERAGE
RANGE OF CREDIT SCORES: LOANS BALANCE ($) BALANCE RATE (%) (MONTHS) LTV (%) FICO SCORE
----------------------------------------------------------------------------------------------------------------------------------
500-525 179 24,561,602 6.71 8.816 353 74.57 512
526-550 245 36,742,518 10.04 8.617 356 74.79 538
551-575 261 37,845,616 10.34 8.267 350 77.94 562
576-600 330 51,539,284 14.08 8.263 345 80.09 587
601-625 382 61,294,696 16.74 7.965 350 82.44 613
626-650 405 61,585,644 16.82 7.777 340 83.47 637
651-675 291 43,007,859 11.75 7.610 336 83.55 662
676-700 137 23,059,036 6.30 7.375 341 83.26 687
701-725 70 15,150,051 4.14 7.214 345 80.40 714
726-750 41 5,400,309 1.47 7.540 333 80.50 736
751-775 23 3,267,645 0.89 7.706 321 84.74 761
776-800 13 2,675,182 0.73 6.952 350 79.70 787
----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,377 366,129,443 100.00 8.003 345 80.59 613
==================================================================================================================================
Minimum: 500
Maximum: 795
Weighted Average: 613
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
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