EXHIBIT 99.1
------------
--------------------------------------------------------------------------------
XXXXXX XXXXXXX October 20, 2003
Securitized Products Group
[Logo MorganStanley]
--------------------------------------------------------------------------------
Computational Materials
$750,000,000
Approximately
CDC Mortgage Capital Trust
Series 2003-He4
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information shall be deemed superseded, amended and supplemented in its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
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XXXXXX XXXXXXX October 20, 2003
Securitized Products Group
[Logo MorganStanley]
--------------------------------------------------------------------------------
Approximately $750,000,000
CDC Mortgage Capital Trust Series 2003-He4
CDC Mortgage Capital Inc.
Seller
Ocwen Federal Bank Fsb
Servicer
Transaction Highlights
----------------------
------------------------------------------------------------------------------------------------------------------------------------
Expected Modified Payment
Ratings Avg Life Duration Window to Initial Final
Offered Fitch/Moody's/ to Call/ to Call/ Call/ Subordination Legal
Classes Description Balance $ S&P) Mty(1)(2) Mty(1)(2)(3) Mty(1)(2)(3) Level Benchmark Maturity
====================================================================================================================================
A-1(4) FLOATER 200,000,000 AAA/AAA/AAA 2.83/3.06 2.75/2.96 12/03-12/11 / 18.00% 1 M LIBOR 03/25/2034
12/03-07/21
------------------------------------------------------------------------------------------------------------------------------------
A-2 FLOATER 301,100,000 AAA/AAA/AAA 1.49/1.49 1.48/1.48 12/03-07/07 / 18.00% 1 M LIBOR 03/25/2034
12/03-07/07
------------------------------------------------------------------------------------------------------------------------------------
A-3 FLOATER 122,316,000 AAA/AAA/AAA 6.12/6.94 5.84/6.54 07/07-12/11 / 18.00% 1 M LIBOR 03/25/2034
07/07-07/21
------------------------------------------------------------------------------------------------------------------------------------
M-1 FLOATER 49,417,000 AA/AA2/AA 5.39/5.94 5.13/5.60 01/07-12/11 / 11.50% 1 M LIBOR 03/25/2034
01/07-06/18
------------------------------------------------------------------------------------------------------------------------------------
M-2 FLOATER 38,013,000 A/A2/A 5.38/5.85 4.94/5.31 12/06-12/11 / 6.50% 1 M LIBOR 03/25/2034
12/06-12/16
------------------------------------------------------------------------------------------------------------------------------------
M-3 FLOATER 11,404,000 A-/A3/A- 5.37/5.74 4.89/5.18 12/06-12/11 / 5.00% 1 M LIBOR 03/25/2034
12/06-02/15
------------------------------------------------------------------------------------------------------------------------------------
B-1 FLOATER 11,404,000 BBB+/BAA1/BBB+ 5.37/5.64 4.68/4.87 12/06-12/11 / 3.50% 1 M LIBOR 03/25/2034
12/06-04/14
------------------------------------------------------------------------------------------------------------------------------------
B-2 FLOATER 7,603,000 BBB/BAA2/BBB 5.37/5.47 4.61/4.68 12/06-12/11 / 2.50% 1 M LIBOR 03/25/2034
12/06-02/13
------------------------------------------------------------------------------------------------------------------------------------
B-3 FLOATER 8,743,000 BBB-/BAA3/BBB- 5.14/5.14 4.45/4.45 12/06-12/11 / 1.35% 1 M LIBOR 03/25/2034
12/06-12/11
------------------------------------------------------------------------------------------------------------------------------------
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 Certificates are insured by FSA.
Issuer: CDC Mortgage Capital Trust Series 2003-HE4
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: Accredited Home Lenders, Inc., Aegis Mortgage
Corporation, Ameriquest Mortgage Company, BNC Mortgage,
Inc., Chapel : Mortgage Corporation, CIT Group, Encore
Credit Corp., First Banc Mortgage, Inc., First Guaranty
Mortgage Corporation, Impac Funding Corporation (and
it's affiliate, Novelle Financial Services, Inc.),
Lenders Direct Capital Corporation, Master Financial,
Inc., People's Choice Home Loan, Inc., and SIB Mortgage
Corp.
Servicer: Ocwen Federal Bank FSB
Class A-1 Insurer: Financial Security Assurance Inc.
Trustee: Deutsche Bank National Trust Company
Managers: Xxxxxx Xxxxxxx (lead manager); CDC Securities, Banc of
America Securities LLC, X.X. Xxxxxx Securities LLC and
Countrywide Securities Corporation (co-managers).
Rating Agencies: Fitch Ratings, Xxxxx'x Investors Service, Standard &
Poor's Ratings Services
Class A Certificates: Class A-1, A-2 and A-3 Certificates
Class A Sequential Class A-2 and A-3 Certificates
Certificates:
Class M Certificates: Class M-1, M-2 and M-3 Certificates
Class B Certificates: Class B-1, B-2 and B-3 Certificates
Offered Certificates: Class A, M and B Certificates
Expected Pricing Date: October 23, 2003
Expected Closing Date: November 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 December 26,
2003.
Cut-Off Date: November 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 Insurance: Financial Security Assurance Inc., a AAA/Aaa/AAA rated
surety bond provider, guarantees timely interest and
ultimate principal to the Class A-1 Certificateholders.
Due Period for For any Distribution Date, the period commencing on the
Mortgage Loans: 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 The interest accrual period for the Offered Certificates
Period the Offered with respect to any Distribution Date will be the period
Certificates: 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 approximately
$760,263,558 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 $619,729,919. It is
expected that up to approximately $140.5 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.
Prefunding: On the Closing Date, approximately $140.5 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.
Pricing Prepayment Speed: * 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.
* Adjustable Rate Mortgage Loans: CPR of 25%.
Credit Enhancement: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage
Loans;
2) 1.35% 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 2.70% 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 Certificates only.
Senior Enhancement For any Distribution Date, the percentage obtained
Percentage: 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
December 2006; and
(b) The Distribution Date on which the
aggregate balance of the Class A
Certificates is reduced to zero; and
(y) the first Distribution Date on which the
Senior Enhancement Percentage (calculated for
this purpose only after taking into account
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 36.00%.
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)
----------------------
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 44.50% of
the prior period's Senior 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
------------------------------ ---------------
December 2003 to November 2006 N/A
December 2006 to November 2007 4.00%
December 2007 to November 2008 5.00%
December 2008 and Thereafter 5.75%
Initial Subordination Class A: 18.00%
Percentage: Class M-1: 11.50%
Class M-2: 6.50%
Class M-3: 5.00%
Class B-1: 3.50%
Class B-2: 2.50%
Class B-3: 1.35%
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.
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 and Class B Certificates will each
increase by 1.5 times their respective margins.
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)
----------------------
Class A-1 Pass-Through Rate: The Class A-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 A-2 Pass-Through Rate: The Class A-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 A-3 Pass-Through Rate: The Class A-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 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.
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, the FSA fee rate (in the
case of the Class A-1 Certificates only) and other
fees.
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)
----------------------
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 to the Class A Certificates, its
Accrued Certificate Interest and any portion
of Accrued Certificate Interest from prior
Distribution Dates remaining unpaid and one
month's interest on such unpaid amount at
the applicable pass-through rate ("Unpaid
Interest Shortfall");
(ii) to the Class M-1 Certificates, its Accrued
Certificate Interest;
(iii) to the Class M-2 Certificates, its Accrued
Certificate Interest;
(iv) to the Class M-3 Certificates, its Accrued
Certificate Interest;
(v) to the Class B-1 Certificates, its Accrued
Certificate Interest;
(vi) to the Class B-2 Certificates, its Accrued
Certificate Interest; and
(vii) 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
been reduced to zero;
(vi) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero; and
(vii) to the Class B-3 Certificates, until the
Certificate Principal Balance thereof has
been reduced to zero.
On each Distribution Date (a) on or after the
Stepdown Date and (b) on which a Trigger Event is
not in effect, the principal distributions from
the Principal Distribution Amount will be
allocated as follows:
(i) to the Class A Certificates, the lesser of
the Principal Distribution Amount and the
Class A Principal Distribution Amount,
allocated between the Class A Certificates
as described below, until the Certificate
Principal Balances thereof have been reduced
to zero;
(ii) to the Class M-1 Certificates, the lesser of
the remaining Principal Distribution Amount
and the Class M-1 Principal Distribution
Amount, until the Certificate Principal
Balance thereof has been reduced to zero;
(iii) to the Class M-2 Certificates, the lesser of
the remaining Principal Distribution Amount
and the Class M-2 Principal Distribution
Amount, until the Certificate Principal
Balance thereof has been reduced to zero;
(iv) to the Class M-3 Certificates, the lesser of
the remaining Principal Distribution Amount
and the Class M-3 Principal Distribution
Amount, until the Certificate Principal
Balance thereof has been reduced to zero;
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)
----------------------
(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 Distributions Date will be
allocated on a pro rata basis between the A-1
Certificates and the Class A Sequential
Certificates. Any amount distributed to the Class
A Sequential Certificates will be allocated first
to the Class A-2 Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero; then to the Class A-3
Certificates, until the Certificate Principal
Balance thereof has been reduced to zero.
Notwithstanding the above, in the event that all
subordinate classes, including the Class X
certificates, have been reduced to zero, principal
distributions to Class A Sequential Certificates
will be distributed on a pro rata basis.
Class A Certificates Beginning on the first Distribution Date, and for
Interest Rate Caps: a period of 35 months thereafter, an Interest Rate
Cap will be pledged to the Trust for the benefit
of the Class A Certificates.
For its duration, the Class A Interest Rate Cap
pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate (not
to exceed the cap ceiling) and the cap strike (on
an actual/360 day count basis) and (ii) the Class
A Interest Rate Cap Notional Balance ("the Class A
Interest Rate Cap Payment") as described on the
schedule herein.
Class A Certificates The Class A Interest Rate Cap Payment shall be
Interest Rate Cap available to pay any Basis Risk Carry Forward
Allocation: Amount due to the Class A-1, Class A-2 and Class
A-3 Certificates on a pro rata basis.
Class M Certificates Beginning on the first Distribution Date, and for
Interest Rate Cap: a period of 44 months thereafter, an Interest Rate
Cap will be pledged to the Trust for the benefit
of the Class M Certificates.
For its duration, the Class M Interest Rate Cap
pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate (not
to exceed the cap ceiling) and the cap strike (on
an actual/360 day count basis) and (ii) the Class
M Interest Rate Cap Notional Balance ("the Class M
Interest Rate Cap Payment") as described on the
schedule herein.
Class M Certificates The Class M Interest Rate Cap Payment shall be
Interest Rate Cap available to pay any Basis Risk Carry Forward
Allocation: Amount due to the Class M-1, Class M-2 and Class
M-3 Certificates on a pro rata 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 8
Transaction Highlights (cont'd)
----------------------
Class B Certificates Beginning on the first Distribution Date, and for
Interest Rate Cap: a period of 44 months thereafter, an Interest Rate
Cap will be pledged to the Trust for the benefit
of the Class B Certificates.
For its duration, the Class B Interest Rate Cap
pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate (not
to exceed the cap ceiling) and the cap strike (on
an actual/360 day count basis) and (ii) the Class
B Interest Rate Cap Notional Balance ("the Class B
Interest Rate Cap Payment") as described on the
schedule herein.
Class B Certificates The Class B Interest Rate Cap Payment shall be
Interest Rate Cap available to pay any Basis Risk Carry Forward
Allocation: Amount due to the Class B-1, Class B-2 and Class
B-3 Certificates on a pro rata basis.
Class A, M, and B Basis As to any Distribution Date, any remaining
Risk Carry Forward available funds and, with respect to the Offered
Amount: Certificates 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, 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) over interest due such
Certificates at a rate equal to the Net WAC
Cap;
(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).
Pre-Funding Account Any funds in the Pre-Funding Account not used to
Payment: purchase additional Mortgage Loans during the
Pre-Funding Period will be paid to the Offered
Certificates pro rata. 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 9
Transaction Highlights (cont'd)
----------------------
Allocation of Net Monthly For any Distribution Date, any Net Monthly Excess
Excess Cashflow: 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) pro rata, to the Class A-1, A-2, A-3
Certificates, any Basis Risk Carry Forward
Amount for such classes; 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 For any Distribution Date, the portion of
Amount: available funds for such Distribution Date
attributable to interest received or advanced on
the Mortgage Loans.
Accrued Certificate For any Distribution Date and each class of
Interest: 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 On any Distribution Date, the sum of (i) the Basic
Amount: 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 due during the
prior Due Period and collected or advanced on the
Mortgage Loans prior to the related Servicer
Remittance Date, (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, 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 10
Transaction Highlights (cont'd)
----------------------
Extra Principal For any Distribution Date, the lesser of (i) the
Distribution Amount: excess of (x) interest collected or advanced on
the Mortgage Loans and available for distribution
on the Distribution Date (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 For any Distribution Date, means the excess, if
Amount 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 the
Distribution Amount: 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 64.00% and (ii) the
aggregate scheduled principal balance of the
Mortgage Loans as of the last day of the related
Due Period and (B) the aggregate scheduled
principal balance of the Mortgage Loans as of the
last day of the related Due Period minus
approximately $3,801,318.
Class M-1 Principal For any Distribution Date, an amount equal to the
Distribution Amount: 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 77.00% and (ii) the aggregate
scheduled principal balance of the Mortgage Loans
as of the last day of the related Due Period and
(B) the aggregate scheduled principal balance of
the Mortgage Loans as of the last day of the
related Due Period minus approximately $3,801,318.
Class M-2 Principal For any Distribution Date, an amount equal to the
Distribution Amount: 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 87.00% 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 $3,801,318.
Class M-3 Principal For any Distribution Date, an amount equal to the
Distribution Amount: 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 90.00% and (ii) the
aggregate scheduled principal balance of the
Mortgage Loans as of the last day of the related
Due Period and (B) the aggregate scheduled
principal balance of the Mortgage Loans as of the
last day of the related Due Period minus
approximately $3,801,318.
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)
----------------------
Class B-1 Principal For any Distribution Date, an amount equal to the
Distribution Amount: 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 93.00% and (ii) the
aggregate scheduled principal balance of the
Mortgage Loans as of the last day of the related
Due Period and (B) the aggregate scheduled
principal balance of the Mortgage Loans as of the
last day of the related Due Period minus
approximately $3,801,318.
Class B-2 Principal For any Distribution Date, an amount equal to the
Distribution Amount: 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 95.00% and (ii)
the aggregate scheduled principal balance of the
Mortgage Loans as of the last day of the related
Due Period and (B) the aggregate scheduled
principal balance of the Mortgage Loans as of the
last day of the related Due Period minus
approximately $3,801,318.
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)
----------------------
Class B-3 Principal For any Distribution Date, an amount equal to the
Distribution Amount: 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 97.30% and (ii)
the aggregate scheduled principal balance of the
Mortgage Loans as of the last day of the related
Due Period and (B) the aggregate scheduled
principal balance of the Mortgage Loans as of the
last day of the related Due Period minus
approximately $3,801,318.
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 13
Sensitivity Analysis
--------------------
-----------------------------------------------------------------------------------------------------------------------------------
To 10% Call
-----------------------------------------------------------------------------------------------------------------------------------
%PPC 50 60 75 100 125 150 175
-----------------------------------------------------------------------------------------------------------------------------------
A-1 WAL 5.46 4.65 3.77 2.83 2.19 1.71 1.33
First Payment Date 12/25/2003 12/25/2003 12/25/2003 12/25/2003 12/25/2003 12/25/2003 12/25/2003
Expected Final Maturity 3/25/2019 2/25/2017 8/25/2014 12/25/2011 3/25/2010 1/25/2009 3/25/2008
Window 1 - 184 1 - 159 1 - 129 1 - 97 1 - 76 1 - 62 1 - 52
-----------------------------------------------------------------------------------------------------------------------------------
A-2 WAL 2.88 2.44 1.98 1.49 1.19 0.99 0.84
First Payment Date 12/25/2003 12/25/2003 12/25/2003 12/25/2003 12/25/2003 12/25/2003 12/25/2003
Expected Final Maturity 1/25/2011 11/25/2009 9/25/2008 7/25/2007 6/25/2006 12/25/2005 8/25/2005
Window 1 - 86 1 - 72 1 - 58 1 - 44 1 - 31 1 - 25 1 - 21
-----------------------------------------------------------------------------------------------------------------------------------
A-3 WAL 11.80 10.09 8.17 6.12 4.66 3.49 2.53
First Payment Date 1/25/2011 11/25/2009 9/25/2008 7/25/2007 6/25/2006 12/25/2005 8/25/2005
Expected Final Maturity 3/25/2019 2/25/2017 8/25/2014 12/25/2011 3/25/2010 1/25/2009 3/25/2008
Window 86 - 184 72 - 159 58 - 129 44 - 97 31 - 76 25 - 62 21 - 52
-----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.31 8.80 7.12 5.39 4.56 4.33 4.30
First Payment Date 12/25/2008 2/25/2008 4/25/2007 1/25/2007 4/25/2007 7/25/2007 12/25/2007
Expected Final Maturity 3/25/2019 2/25/2017 8/25/2014 12/25/2011 3/25/2010 1/25/2009 3/25/2008
Window 61 - 184 51 - 159 41 - 129 38 - 97 41 - 76 44 - 62 49 - 52
-----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.31 8.80 7.12 5.38 4.45 4.00 3.88
First Payment Date 12/25/2008 2/25/2008 4/25/2007 12/25/2006 2/25/2007 3/25/2007 5/25/2007
Expected Final Maturity 3/25/2019 2/25/2017 8/25/2014 12/25/2011 3/25/2010 1/25/2009 3/25/2008
Window 61 - 184 51 - 159 41 - 129 37 - 97 39 - 76 40 - 62 42 - 52
-----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.31 8.80 7.12 5.37 4.41 3.89 3.65
First Payment Date 12/25/2008 2/25/2008 4/25/2007 12/25/2006 1/25/2007 2/25/2007 3/25/2007
Expected Final Maturity 3/25/2019 2/25/2017 8/25/2014 12/25/2011 3/25/2010 1/25/2009 3/25/2008
Window 61 - 184 51 - 159 41 - 129 37 - 97 38 - 76 39 - 62 40 - 52
-----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.31 8.80 7.12 5.37 4.40 3.86 3.58
First Payment Date 12/25/2008 2/25/2008 4/25/2007 12/25/2006 1/25/2007 1/25/2007 2/25/2007
Expected Final Maturity 3/25/2019 2/25/2017 8/25/2014 12/25/2011 3/25/2010 1/25/2009 3/25/2008
Window 61 - 184 51 - 159 41 - 129 37 - 97 38 - 76 38 - 62 39 - 52
-----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.31 8.80 7.12 5.37 4.38 3.83 3.52
First Payment Date 12/25/2008 2/25/2008 4/25/2007 12/25/2006 12/25/2006 1/25/2007 1/25/2007
Expected Final Maturity 3/25/2019 2/25/2017 8/25/2014 12/25/2011 3/25/2010 1/25/2009 3/25/2008
Window 61 - 184 51 - 159 41 - 129 37 - 97 37 - 76 38 - 62 38 - 52
-----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 9.91 8.43 6.82 5.14 4.19 3.66 3.36
First Payment Date 12/25/2008 2/25/2008 4/25/2007 12/25/2006 12/25/2006 12/25/2006 12/25/2006
Expected Final Maturity 3/25/2019 2/25/2017 8/25/2014 12/25/2011 3/25/2010 1/25/2009 3/25/2008
Window 61 - 184 51 - 159 41 - 129 37 - 97 37 - 76 37 - 62 37 - 52
-----------------------------------------------------------------------------------------------------------------------------------
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
Sensitivity Analysis (cont)
-------------------
-----------------------------------------------------------------------------------------------------------------------------------
To Maturity
-----------------------------------------------------------------------------------------------------------------------------------
%PPC 50 60 75 100 125 150 175
A-1 WAL 5.82 4.99 4.07 3.06 2.38 1.87 1.42
First Payment Date 12/25/2003 12/25/2003 12/25/2003 12/25/2003 12/25/2003 12/25/2003 12/25/2003
Expected Final Maturity 4/25/2031 8/25/2029 6/25/2026 7/25/2021 1/25/2018 6/25/2015 6/25/2013
Window 1 - 329 1 - 309 1 - 271 1 - 212 1 - 170 1 - 139 1 - 115
-----------------------------------------------------------------------------------------------------------------------------------
A-2 WAL 2.88 2.44 1.98 1.49 1.19 0.99 0.84
First Payment Date 12/25/2003 12/25/2003 12/25/2003 12/25/2003 12/25/2003 12/25/2003 12/25/2003
Expected Final Maturity 1/25/2011 11/25/2009 9/25/2008 7/25/2007 6/25/2006 12/25/2005 8/25/2005
Window 1 - 86 1 - 72 1 - 58 1 - 44 1 - 31 1 - 25 1 - 21
-----------------------------------------------------------------------------------------------------------------------------------
A-3 WAL 13.04 11.26 9.21 6.94 5.32 4.02 2.85
First Payment Date 1/25/2011 11/25/2009 9/25/2008 7/25/2007 6/25/2006 12/25/2005 8/25/2005
Expected Final Maturity 4/25/2031 8/25/2029 6/25/2026 7/25/2021 1/25/2018 6/25/2015 6/25/2013
Window 86 - 329 72 - 309 58 - 271 44 - 212 31 - 170 25 - 139 21 - 115
-----------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.17 9.59 7.82 5.94 5.00 4.68 5.03
First Payment Date 12/25/2008 2/25/2008 4/25/2007 1/25/2007 4/25/2007 7/25/2007 12/25/2007
Expected Final Maturity 8/25/2028 3/25/2026 10/25/2022 6/25/2018 5/25/2015 4/25/2013 9/25/2011
Window 61 - 297 51 - 268 41 - 227 38 - 175 41 - 138 44 - 113 49 - 94
-----------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 11.07 9.49 7.73 5.85 4.83 4.31 4.13
First Payment Date 12/25/2008 2/25/2008 4/25/2007 12/25/2006 2/25/2007 3/25/2007 5/25/2007
Expected Final Maturity 12/25/2026 5/25/2024 1/25/2021 12/25/2016 4/25/2014 4/25/2012 11/25/2010
Window 61 - 277 51 - 246 41 - 206 37 - 157 39 - 125 40 - 101 42 - 84
-----------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.93 9.35 7.61 5.74 4.71 4.14 3.85
First Payment Date 12/25/2008 2/25/2008 4/25/2007 12/25/2006 1/25/2007 2/25/2007 3/25/2007
Expected Final Maturity 5/25/2024 10/25/2021 9/25/2018 2/25/2015 10/25/2012 2/25/2011 11/25/2009
Window 61 - 246 51 - 215 41 - 178 37 - 135 38 - 107 39 - 87 40 - 72
-----------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.76 9.20 7.48 5.64 4.62 4.03 3.71
First Payment Date 12/25/2008 2/25/2008 4/25/2007 12/25/2006 1/25/2007 1/25/2007 2/25/2007
Expected Final Maturity 1/25/2023 7/25/2020 8/25/2017 4/25/2014 1/25/2012 7/25/2010 5/25/2009
Window 61 - 230 51 - 200 41 - 165 37 - 125 38 - 98 38 - 80 39 - 66
-----------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.49 8.96 7.26 5.47 4.47 3.90 3.57
First Payment Date 12/25/2008 2/25/2008 4/25/2007 12/25/2006 12/25/2006 1/25/2007 1/25/2007
Expected Final Maturity 2/25/2021 10/25/2018 2/25/2016 2/25/2013 2/25/2011 10/25/2009 10/25/2008
Window 61 - 207 51 - 179 41 - 147 37 - 111 37 - 87 38 - 71 38 - 59
-----------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 9.91 8.43 6.82 5.14 4.19 3.66 3.36
First Payment Date 12/25/2008 2/25/2008 4/25/2007 12/25/2006 12/25/2006 12/25/2006 12/25/2006
Expected Final Maturity 3/25/2019 2/25/2017 8/25/2014 12/25/2011 3/25/2010 1/25/2009 3/25/2008
Window 61 - 184 51 - 159 41 - 129 37 - 97 37 - 76 37 - 62 37 - 52
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 (cont)
-------------------
--------------------------------------------------------------------------------
To 10% Call
--------------------------------------------------------------------------------
CPR 20 25 30
--------------------------------------------------------------------------------
A-1 WAL 3.33 2.62 2.09
First Payment Date 12/25/2003 12/25/2003 12/25/2003
Expected Final Maturity 8/25/2013 7/25/2011 3/25/2010
Window 1 - 117 1 - 92 1 - 76
--------------------------------------------------------------------------------
A-2 WAL 1.71 1.33 1.09
First Payment Date 12/25/2003 12/25/2003 12/25/2003
Expected Final Maturity 3/25/2008 11/25/2006 4/25/2006
Window 1 - 52 1 - 36 1 - 29
--------------------------------------------------------------------------------
A-3 WAL 7.34 5.79 4.56
First Payment Date 3/25/2008 11/25/2006 4/25/2006
Expected Final Maturity 8/25/2013 7/25/2011 3/25/2010
Window 52 - 117 36 - 92 29 - 76
--------------------------------------------------------------------------------
M-1 WAL 6.38 5.16 4.57
First Payment Date 12/25/2006 2/25/2007 5/25/2007
Expected Final Maturity 8/25/2013 7/25/2011 3/25/2010
Window 37 - 117 39 - 92 42 - 76
--------------------------------------------------------------------------------
M-2 WAL 6.38 5.13 4.43
First Payment Date 12/25/2006 1/25/2007 2/25/2007
Expected Final Maturity 8/25/2013 7/25/2011 3/25/2010
Window 37 - 117 38 - 92 39 - 76
--------------------------------------------------------------------------------
M-3 WAL 6.38 5.12 4.38
First Payment Date 12/25/2006 12/25/2006 1/25/2007
Expected Final Maturity 8/25/2013 7/25/2011 3/25/2010
Window 37 - 117 37 - 92 38 - 76
--------------------------------------------------------------------------------
B-1 WAL 6.38 5.10 4.36
First Payment Date 12/25/2006 12/25/2006 1/25/2007
Expected Final Maturity 8/25/2013 7/25/2011 3/25/2010
Window 37 - 117 37 - 92 38 - 76
--------------------------------------------------------------------------------
B-2 WAL 6.38 5.10 4.35
First Payment Date 12/25/2006 12/25/2006 12/25/2006
Expected Final Maturity 8/25/2013 7/25/2011 3/25/2010
Window 37 - 117 37 - 92 37 - 76
--------------------------------------------------------------------------------
B-3 WAL 6.10 4.89 4.14
First Payment Date 12/25/2006 12/25/2006 12/25/2006
Expected Final Maturity 8/25/2013 7/25/2011 3/25/2010
Window 37 - 117 37 - 92 37 - 76
--------------------------------------------------------------------------------
To Maturity
--------------------------------------------------------------------------------
CPR 20 25 30
--------------------------------------------------------------------------------
A-1 WAL 3.61 2.85 2.28
First Payment Date 12/25/2003 12/25/2003 12/25/2003
Expected Final Maturity 10/25/2024 12/25/2020 1/25/2018
Window 1 - 251 1 - 205 1 - 170
--------------------------------------------------------------------------------
A-2 WAL 1.71 1.33 1.09
First Payment Date 12/25/2003 12/25/2003 12/25/2003
Expected Final Maturity 3/25/2008 11/25/2006 4/25/2006
Window 1 - 52 1 - 36 1 - 29
--------------------------------------------------------------------------------
A-3 WAL 8.30 6.59 5.21
First Payment Date 3/25/2008 11/25/2006 4/25/2006
Expected Final Maturity 10/25/2024 12/25/2020 1/25/2018
Window 52 - 251 36 - 205 29 - 170
--------------------------------------------------------------------------------
M-1 WAL 7.03 5.70 5.01
First Payment Date 12/25/2006 2/25/2007 5/25/2007
Expected Final Maturity 3/25/2021 11/25/2017 5/25/2015
Window 37 - 208 39 - 168 42 - 138
--------------------------------------------------------------------------------
M-2 WAL 6.94 5.59 4.81
First Payment Date 12/25/2006 1/25/2007 2/25/2007
Expected Final Maturity 7/25/2019 6/25/2016 3/25/2014
Window 37 - 188 38 - 151 39 - 124
--------------------------------------------------------------------------------
M-3 WAL 6.83 5.49 4.68
First Payment Date 12/25/2006 12/25/2006 1/25/2007
Expected Final Maturity 5/25/2017 8/25/2014 9/25/2012
Window 37 - 162 37 - 129 38 - 106
--------------------------------------------------------------------------------
B-1 WAL 6.70 5.37 4.57
First Payment Date 12/25/2006 12/25/2006 1/25/2007
Expected Final Maturity 5/25/2016 10/25/2013 1/25/2012
Window 37 - 150 37 - 119 38 - 98
--------------------------------------------------------------------------------
B-2 WAL 6.50 5.21 4.43
First Payment Date 12/25/2006 12/25/2006 12/25/2006
Expected Final Maturity 12/25/2014 9/25/2012 1/25/2011
Window 37 - 133 37 - 106 37 - 86
--------------------------------------------------------------------------------
B-3 WAL 6.10 4.89 4.14
First Payment Date 12/25/2006 12/25/2006 12/25/2006
Expected Final Maturity 8/25/2013 7/25/2011 3/25/2010
Window 37 - 117 37 - 92 37 - 76
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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap)(1)(2)
Period A-1 Cap % A-2 Cap % A-3 Cap % M-1 Cap % M-2 Cap % M-3 Cap % B-1 Cap % B-2 Cap % B-3 Cap %
------ --------- --------- --------- --------- --------- --------- --------- --------- ---------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
1 (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)
4 9.79 9.86 9.86 9.83 9.83 9.83 9.83 9.83 9.83
5 9.32 9.39 9.39 9.37 9.37 9.37 9.37 9.37 9.37
6 9.55 9.62 9.62 9.59 9.59 9.59 9.59 9.59 9.59
7 9.33 9.39 9.39 9.37 9.37 9.37 9.37 9.37 9.37
8 9.56 9.63 9.63 9.59 9.59 9.59 9.59 9.59 9.59
9 9.33 9.40 9.40 9.37 9.37 9.37 9.37 9.37 9.37
10 9.34 9.41 9.41 9.37 9.37 9.37 9.37 9.37 9.37
11 9.57 9.64 9.64 9.59 9.59 9.59 9.59 9.59 9.59
12 9.35 9.41 9.41 9.37 9.37 9.37 9.37 9.37 9.37
13 9.58 9.65 9.65 9.59 9.59 9.59 9.59 9.59 9.59
14 9.36 9.42 9.42 9.37 9.37 9.37 9.37 9.37 9.37
15 9.36 9.43 9.43 9.37 9.37 9.37 9.37 9.37 9.37
16 10.10 10.18 10.18 10.09 10.09 10.09 10.09 10.09 10.09
17 9.37 9.44 9.44 9.37 9.37 9.37 9.37 9.37 9.37
18 9.61 9.68 9.68 9.59 9.59 9.59 9.59 9.59 9.59
19 9.38 9.45 9.45 9.37 9.37 9.37 9.37 9.37 9.37
20 9.62 9.69 9.69 9.59 9.59 9.59 9.59 9.59 9.59
21 9.40 9.47 9.47 9.37 9.37 9.37 9.37 9.37 9.37
22 10.42 10.49 10.49 9.96 9.96 9.96 9.96 9.96 9.96
23 10.77 10.84 10.84 10.29 10.29 10.29 10.29 10.29 10.29
24 10.59 10.66 10.66 10.11 10.11 10.11 10.11 10.11 10.11
25 10.96 11.03 11.03 10.46 10.46 10.46 10.46 10.46 10.46
26 10.69 10.76 10.76 10.19 10.19 10.19 10.19 10.19 10.19
27 10.70 10.77 10.77 10.19 10.19 10.19 10.19 10.19 10.19
28 11.37 11.45 11.45 11.21 11.21 11.21 11.21 11.21 11.21
29 10.49 10.56 10.56 10.34 10.34 10.34 10.34 10.34 10.34
30 10.83 10.90 10.90 10.66 10.66 10.66 10.66 10.66 10.66
31 10.59 10.66 10.66 10.41 10.41 10.41 10.41 10.41 10.41
32 10.90 10.97 10.97 10.69 10.69 10.69 10.69 10.69 10.69
33 10.61 10.68 10.68 10.41 10.41 10.41 10.41 10.41 10.41
34 10.49 10.56 10.56 10.40 10.40 10.40 10.40 10.40 10.40
35 10.88 10.95 10.95 10.75 10.75 10.75 10.75 10.75 10.75
36 10.62 10.69 10.69 10.48 10.48 10.48 10.48 10.48 10.48
37 18.66 18.73 18.73 10.84 10.84 10.84 10.84 10.84 10.84
(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 and 1 Year CMT 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 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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap)(1)(2)
Period A-1 Cap % A-2 Cap % A-3 Cap % M-1 Cap % M-2 Cap % M-3 Cap % B-1 Cap % B-2 Cap % B-3 Cap %
------ --------- --------- --------- --------- --------- --------- --------- --------- ---------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
38 10.85 10.92 10.92 10.53 10.53 10.53 10.53 10.53 10.53
39 10.81 10.88 10.88 10.53 10.53 10.53 10.52 10.52 10.52
40 12.53 12.61 12.61 11.36 11.36 11.36 11.36 11.36 11.36
41 11.35 11.42 11.42 10.35 10.35 10.35 10.35 10.35 10.35
42 11.77 11.84 11.84 10.72 10.72 10.72 10.72 10.72 10.72
43 11.44 11.51 11.51 10.43 10.43 10.43 10.43 10.43 10.43
44 11.82 11.89 11.89 10.76 10.76 10.76 10.76 10.76 10.76
45 11.44 -- 11.50 10.43 10.43 10.43 10.43 10.43 10.43
46 11.81 -- 11.88 10.29 10.29 10.29 10.29 10.29 10.29
47 12.23 -- 12.30 10.66 10.66 10.66 10.66 10.66 10.66
48 11.86 -- 11.93 10.34 10.34 10.34 10.34 10.34 10.34
49 12.29 -- 12.36 10.71 10.71 10.71 10.71 10.71 10.71
50 11.89 -- 11.96 10.37 10.37 10.37 10.37 10.37 10.37
51 11.89 -- 11.96 10.37 10.37 10.37 10.37 10.37 10.37
52 12.79 -- 12.86 11.15 11.15 11.15 11.15 11.15 11.15
53 11.97 -- 12.03 10.44 10.44 10.44 10.44 10.44 10.44
54 12.37 -- 12.44 10.79 10.79 10.79 10.79 10.79 10.79
55 11.97 -- 12.04 10.44 10.44 10.44 10.44 10.44 10.44
56 12.37 -- 12.44 10.79 10.79 10.79 10.79 10.79 10.79
57 11.97 -- 12.04 10.44 10.44 10.44 10.44 10.44 10.44
58 12.06 -- 12.12 10.52 10.52 10.52 10.52 10.52 10.52
59 12.46 -- 12.53 10.88 10.88 10.88 10.88 10.88 10.88
60 12.07 -- 12.14 10.53 10.53 10.53 10.53 10.53 10.53
61 12.48 -- 12.55 10.89 10.89 10.89 10.89 10.89 10.89
62 12.07 -- 12.14 10.54 10.54 10.54 10.54 10.54 10.54
63 12.07 -- 12.14 10.53 10.53 10.53 10.53 10.53 10.53
64 13.42 -- 13.50 11.72 11.72 11.72 11.72 11.72 11.72
65 12.13 -- 12.19 10.59 10.59 10.59 10.59 10.59 10.59
66 12.53 -- 12.60 10.94 10.94 10.94 10.94 10.94 10.94
67 12.13 -- 12.20 10.59 10.59 10.59 10.59 10.59 10.59
68 12.54 -- 12.61 10.94 10.94 10.94 10.94 10.94 10.94
69 12.13 -- 12.20 10.59 10.59 10.59 10.59 10.59 10.59
70 12.13 -- 12.20 10.59 10.59 10.59 10.59 10.59 10.59
71 12.54 -- 12.61 10.95 10.95 10.95 10.95 10.95 10.95
72 12.13 -- 12.20 10.59 10.59 10.59 10.59 10.59 10.59
73 11.67 -- 11.74 10.94 10.94 10.94 10.94 10.94 10.94
74 10.97 -- 11.04 10.59 10.59 10.59 10.59 10.59 10.59
75 10.98 -- 11.05 10.59 10.59 10.59 10.59 10.59 10.59
(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 and 1 Year CMT 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 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
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-1 Cap % A-2 Cap % A-3 Cap % M-1 Cap % M-2 Cap % M-3 Cap % B-1 Cap % B-2 Cap % B-3 Cap %
------ --------- --------- --------- --------- --------- --------- --------- --------- ---------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
76 12.17 - 12.25 11.72 11.72 11.72 11.72 11.72 11.72
77 11.01 - 11.07 10.58 10.58 10.58 10.58 10.58 10.58
78 11.38 - 11.45 10.94 10.94 10.94 10.94 10.94 10.94
79 11.03 - 11.09 10.58 10.58 10.58 10.58 10.58 10.58
80 11.41 - 11.48 10.93 10.93 10.93 10.93 10.93 10.93
81 11.05 - 11.12 10.58 10.58 10.58 10.58 10.58 10.58
82 11.06 - 11.13 10.58 10.58 10.58 10.58 10.58 10.58
83 11.44 - 11.51 10.93 10.93 10.93 10.93 10.93 10.93
84 11.09 - 11.15 10.58 10.58 10.58 10.58 10.58 10.58
85 11.47 - 11.54 10.93 10.93 10.93 10.93 10.93 10.93
86 11.11 - 11.18 10.57 10.57 10.57 10.57 10.57 10.57
87 11.12 - 11.19 10.57 10.57 10.57 10.57 10.57 10.57
88 12.33 - 12.41 11.70 11.70 11.70 11.70 11.70 11.70
89 11.15 - 11.22 10.57 10.57 10.57 10.57 10.57 10.57
90 11.54 - 11.61 10.92 10.92 10.92 10.92 10.92 10.92
91 11.18 - 11.25 10.57 10.57 10.57 10.57 10.57 10.57
92 11.57 - 11.64 10.92 10.92 10.92 10.92 10.92 10.92
93 11.21 - 11.28 10.56 10.56 10.56 10.56 10.56 10.56
94 11.23 - 11.30 10.56 10.56 10.56 10.56 10.56 10.56
95 11.62 - 11.69 10.91 10.91 10.91 10.91 10.91 10.91
96 11.26 - 11.33 10.56 10.56 10.56 10.56 10.56 10.56
97 11.66 - 11.73 10.91 10.91 10.91 10.91 10.91 10.91
98 11.30 - 11.37 10.56 10.56 10.56 10.56 10.56 10.56
99 11.32 - 11.38 10.56 10.56 10.56 10.56 10.56 -
100 12.12 - 12.19 11.28 11.28 11.28 11.28 11.28 -
101 11.35 - 11.42 10.55 10.55 10.55 10.55 10.55 -
102 11.75 - 11.82 10.90 10.90 10.90 10.90 10.90 -
103 11.40 - 11.46 10.55 10.55 10.55 10.55 10.55 -
104 11.80 - 11.87 10.90 10.90 10.90 10.90 10.90 -
105 11.44 - 11.51 10.55 10.55 10.55 10.55 10.55 -
106 11.46 - 11.53 10.55 10.55 10.55 10.55 10.55 -
107 11.87 - 11.94 10.90 10.90 10.90 10.90 10.90 -
108 11.51 - 11.57 10.55 10.55 10.55 10.55 10.55 -
109 11.92 - 11.99 10.90 10.90 10.90 10.90 10.90 -
110 11.56 - 11.62 10.54 10.54 10.54 10.54 10.54 -
111 11.58 - 11.65 10.54 10.54 10.54 10.54 10.54 -
112 12.85 - 12.93 11.67 11.67 11.67 11.67 11.67 -
113 11.63 - 11.70 10.54 10.54 10.54 10.54 - -
(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 and 1 Year CMT 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 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-1 Cap % A-2 Cap % A-3 Cap % M-1 Cap % M-2 Cap % M-3 Cap % B-1 Cap % B-2 Cap % B-3 Cap %
------ --------- --------- --------- --------- --------- --------- --------- --------- ---------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
114 12.05 - 12.12 10.89 10.89 10.89 10.89 - -
115 11.69 - 11.76 10.54 10.54 10.54 10.54 - -
116 12.11 - 12.18 10.89 10.89 10.89 10.89 - -
117 11.75 - 11.82 10.54 10.54 10.54 10.54 - -
118 11.78 - 11.85 10.54 10.54 10.54 10.54 - -
119 12.21 - 12.28 10.89 10.89 10.89 10.89 - -
120 11.84 - 11.91 10.53 10.53 10.53 10.53 - -
121 12.27 - 12.34 10.88 10.88 10.88 10.88 - -
122 11.91 - 11.98 10.53 10.53 10.53 10.53 - -
123 11.95 - 12.01 10.53 10.53 10.53 10.53 - -
124 13.27 - 13.34 11.66 11.66 11.66 11.66 - -
125 12.02 - 12.09 10.53 10.53 10.53 10.53 - -
126 12.46 - 12.53 10.88 10.88 10.88 10.88 - -
127 12.09 - 12.16 10.53 10.53 10.53 10.53 - -
128 12.54 - 12.61 10.88 10.88 10.88 - - -
129 12.18 - 12.24 10.53 10.53 10.53 - - -
130 12.22 - 12.29 10.52 10.52 10.52 - - -
131 12.67 - 12.74 10.87 10.87 10.87 - - -
132 12.30 - 12.37 10.52 10.52 10.52 - - -
133 12.76 - 12.83 10.87 10.87 10.87 - - -
134 12.40 - 12.46 10.52 10.52 10.52 - - -
135 12.44 - 12.51 10.52 10.52 10.52 - - -
136 13.83 - 13.91 11.65 11.65 11.65 - - -
137 12.54 - 12.61 10.52 10.52 10.52 - - -
138 13.01 - 13.08 10.87 10.87 - - - -
139 12.65 - 12.72 10.52 10.52 - - - -
140 13.13 - 13.20 10.87 10.87 - - - -
141 12.76 - 12.83 10.52 10.52 - - - -
142 12.82 - 12.88 10.52 10.52 - - - -
143 13.30 - 13.37 10.87 10.87 - - - -
144 12.93 - 13.00 10.52 10.52 - - - -
145 13.43 - 13.50 10.87 10.87 - - - -
146 13.06 - 13.13 10.51 10.51 - - - -
147 13.13 - 13.19 10.51 10.51 - - - -
148 14.10 - 14.18 11.24 11.24 - - - -
149 13.26 - 13.33 10.51 10.51 - - - -
150 13.78 - 13.85 10.86 10.86 - - - -
151 13.40 - 13.47 10.51 10.51 - - - -
(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 and 1 Year CMT 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)
Period A-1 Cap % A-2 Cap % A-3 Cap % M-1 Cap % M-2 Cap % M-3 Cap % B-1 Cap % B-2 Cap % B-3 Cap %
------ --------- --------- --------- --------- --------- --------- --------- --------- ---------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
152 13.93 - 14.00 10.86 10.86 - - - -
153 13.56 - 13.62 10.51 10.51 - - - -
154 13.63 - 13.70 10.51 10.51 - - - -
155 14.17 - 14.24 10.86 10.86 - - - -
156 13.80 - 13.87 10.51 10.51 - - - -
157 14.35 - 14.42 10.86 10.86 - - - -
158 13.97 - 14.04 10.51 10.51 - - - -
159 14.06 - 14.13 10.51 10.51 - - - -
160 15.67 - 15.74 11.64 11.64 - - - -
161 14.25 - 14.31 10.51 - - - - -
162 14.82 - 14.89 10.86 - - - - -
163 14.44 - 14.51 10.51 - - - - -
164 15.03 - 15.10 10.86 - - - - -
165 14.65 - 14.72 10.51 - - - - -
166 14.76 - 14.82 10.51 - - - - -
167 15.36 - 15.43 10.86 - - - - -
168 14.98 - 15.05 10.51 - - - - -
169 15.60 - 15.67 10.86 - - - - -
170 15.22 - 15.29 10.51 - - - - -
171 15.34 - 15.41 10.51 - - - - -
172 17.13 - 17.20 11.64 - - - - -
173 15.60 - 15.67 10.51 - - - - -
174 16.26 - 16.33 10.86 - - - - -
175 15.87 - 15.94 10.51 - - - - -
176 16.54 - 16.61 10.86 - - - - -
177 16.20 - 16.27 10.51 - - - - -
178 16.47 - 16.54 - - - - - -
179 17.30 - 17.37 - - - - - -
180 17.02 - 17.09 - - - - - -
181 17.88 - 17.95 - - - - - -
182 17.60 - 17.67 - - - - - -
183 17.91 - 17.98 - - - - - -
184 20.20 - 20.27 - - - - - -
185 18.60 - 18.66 - - - - - -
186 19.61 - 19.68 - - - - - -
187 19.38 - 19.45 - - - - - -
188 20.48 - 20.55 - - - - - -
(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 and 1 Year CMT 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 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 % M-1 Cap % M-2 Cap % M-3 Cap % B-1 Cap % B-2 Cap % B-3 Cap %
------ --------- --------- --------- --------- --------- --------- --------- --------- ---------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
189 20.28 - 20.35 - - - - - -
190 20.79 - 20.85 - - - - - -
191 22.04 - 22.11 - - - - - -
192 21.92 - 21.99 - - - - - -
193 23.31 - 23.38 - - - - - -
194 23.26 - 23.32 - - - - - -
195 24.02 - 24.09 - - - - - -
196 26.57 - 26.65 - - - - - -
197 25.78 - 25.85 - - - - - -
198 27.70 - 27.77 - - - - - -
199 27.95 - 28.02 - - - - - -
200 30.20 - 30.27 - - - - - -
201 30.67 - 30.74 - - - - - -
202 32.31 - 32.38 - - - - - -
203 35.33 - 35.40 - - - - - -
204 36.36 - 36.43 - - - - - -
205 40.20 - 40.27 - - - - - -
206 41.91 - 41.98 - - - - - -
207 45.54 - 45.60 - - - - - -
208 55.33 - 55.41 - - - - - -
209 55.55 - 55.61 - - - - - -
210 64.82 - 64.89 - - - - - -
211 72.35 - 72.42 - - - - - -
212 88.77 - 88.84 - - - - - -
213 106.39 - 106.46 - - - - - -
214 140.96 - 141.03 - - - - - -
215 218.75 - 218.82 - - - - - -
216 * - ** - - - - - -
* In period 216, the Class A-1 has a balance of $30,041 and is paid
$14,145 in interest
** In Period 216, the Class A-3 has a balance of $63,599 and is paid
$29,949 in interest
(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 and 1 Year CMT 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
Interest Rate Cap Schedule
Class A Cap Notional Balance Class M Cap Notional Balance Class B Cap Notional Balance
----------------------------------- ---------------------------------- ----------------------------------
Period Balance $ Strike % Ceiling % Balance $ Strike % Ceiling % Balance $ Strike % Ceiling %
1 623,416,000.00 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
2 611,808,833.21 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
3 599,627,345.94 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
4 586,548,603.93 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
5 572,566,548.50 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
6 558,527,355.46 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
7 544,430,154.17 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
8 530,275,608.04 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
9 516,065,906.61 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
10 501,804,739.79 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
11 487,499,797.15 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
12 473,158,604.22 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
13 458,799,937.36 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
14 444,710,549.01 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
15 430,908,564.85 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
16 417,410,044.10 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
17 404,229,399.91 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
18 391,359,286.19 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
19 378,792,429.87 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
20 366,521,727.63 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
21 354,540,241.92 6.500 9.000 98,834,000.00 5.500 8.100 27,750,000.00 3.150 5.750
22 342,841,197.14 7.750 10.250 98,834,000.00 6.600 8.800 27,750,000.00 4.300 6.500
23 331,415,883.17 7.750 10.250 98,834,000.00 6.600 8.800 27,750,000.00 4.300 6.500
24 320,259,867.52 7.750 10.250 98,834,000.00 6.600 8.800 27,750,000.00 4.300 6.500
25 309,366,842.02 7.750 10.250 98,834,000.00 6.600 8.800 27,750,000.00 4.300 6.500
26 298,730,645.74 7.750 10.250 98,834,000.00 6.600 8.800 27,750,000.00 4.300 6.500
27 288,345,419.28 7.750 10.250 98,834,000.00 6.600 8.800 27,750,000.00 4.300 6.500
28 278,205,278.72 8.500 10.250 98,834,000.00 7.200 9.050 27,750,000.00 4.900 6.750
29 268,304,477.52 8.500 10.250 98,834,000.00 7.200 9.050 27,750,000.00 4.900 6.750
30 258,637,403.40 8.500 10.250 98,834,000.00 7.200 9.050 27,750,000.00 4.900 6.750
31 249,198,575.11 8.500 10.250 98,834,000.00 7.200 9.050 27,750,000.00 4.900 6.750
32 239,982,639.44 8.500 10.250 98,834,000.00 7.200 9.050 27,750,000.00 4.900 6.750
33 230,984,368.23 8.500 10.250 98,834,000.00 7.200 9.050 27,750,000.00 4.900 6.750
34 222,198,697.92 9.250 10.250 98,834,000.00 7.800 9.050 27,750,000.00 5.500 6.750
35 213,620,506.92 9.250 10.250 98,834,000.00 7.800 9.050 27,750,000.00 5.500 6.750
36 205,245,015.76 9.250 10.250 98,834,000.00 7.800 9.050 27,750,000.00 5.500 6.750
37 98,834,000.00 7.800 9.050 27,750,000.00 5.500 6.750
38 96,255,295.71 7.800 9.050 23,800,794.36 5.500 6.750
39 89,235,585.59 7.800 9.050 23,231,409.44 5.500 6.750
40 82,381,866.90 8.550 9.050 22,675,488.47 6.250 6.750
41 78,827,560.05 8.550 9.050 22,132,715.38 6.250 6.750
42 76,940,155.11 8.550 9.050 21,602,781.47 6.250 6.750
43 75,097,404.32 8.550 9.050 21,085,385.29 6.250 6.750
44 73,298,259.09 8.550 9.050 20,580,232.41 6.250 6.750
45 71,541,695.30 8.550 9.050 20,087,035.28 6.250 6.750
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
Collateral Summary
As of the Cut-off Date (1)
% of
Mortgage
Pool by Weighted Weighted Weighted
Aggregate Aggregate Average Average Average
Number of Cut-off Date Cut-off Date Gross Remaining Original Weighted
Mortgage Principal Principal Interest Term Combined Average
PRODUCT TYPE: Loans Balance ($) Balance Rate (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Fixed--15 Year 123 12,472,830 2.01 7.021 177 72.31 641
Fixed--20 Year 61 5,037,965 0.81 8.429 236 83.90 629
Fixed--25 Year 2 302,887 0.05 6.500 298 81.71 645
Fixed--30 Year 1,272 184,945,613 29.84 7.391 357 79.91 644
Fixed Balloon--15/30 137 9,255,215 1.49 9.425 177 86.47 650
ARM--6 Month LIBOR 4 662,371 0.11 6.848 356 76.04 608
ARM--2 Year/6 Month LIBOR 2,190 346,767,269 55.95 7.556 357 81.06 611
ARM--3 Year/6 Month LIBOR 343 56,756,313 9.16 7.436 357 80.40 622
ARM--5 Year/6 Month LIBOR 8 2,979,646 0.48 6.691 357 80.37 644
ARM--5 Year/1 Year CMT 1 549,811 0.09 4.500 357 80.00 629
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
% of
Mortgage
Pool by Weighted Weighted Weighted
Aggregate Aggregate Average Average Average
Number of Cut-off Date Cut-off Date Gross Remaining Original Weighted
Mortgage Principal Principal Interest Term Combined Average
ORIGINATOR: Loans Balance ($) Balance Rate (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Encore 851 155,622,069 25.11 7.286 350 77.21 606
Peoples Choice 723 111,648,649 18.02 7.596 355 81.06 627
Accredited 571 85,581,137 13.81 7.511 350 79.72 627
CIT 341 48,221,412 7.78 6.788 355 82.26 630
Master Financial 327 39,885,276 6.44 7.598 349 83.46 634
Chapel 205 36,770,749 5.93 7.723 336 80.06 640
FGMC 222 33,633,188 5.43 7.544 339 83.50 674
SIB 124 22,905,622 3.70 7.695 354 83.00 611
Impac 100 21,237,041 3.43 7.443 353 82.92 623
First Banc 148 19,795,675 3.19 8.201 341 85.58 626
Ameriquest 377 18,670,796 3.01 9.041 336 82.44 603
BNC 85 17,343,953 2.80 7.471 354 81.68 608
Aegis 54 6,567,350 1.06 8.135 344 81.59 607
Lenders Direct 13 1,847,004 0.30 7.593 351 81.48 657
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
(1) Cut-off date principal balances are scheduled balances as of November
1, 2003
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
Collateral Summary
As of the Cut-off Date (1)
% of Mortgage
Pool by Weighted
Aggregate Cut- Aggregate Cut- Weighted Weighted Average
Number of off Date off Date Average Gross Average Original Weighted
LIEN Mortgage Principal Principal Interest Rate Remaining Combined Average FICO
POSITION: Loans Balance ($) Balance (%) Term (Months) LTV (%) Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
1st Lien 3,869 606,771,082 97.91 7.445 351 80.21 623
2nd Lien 272 12,958,837 2.09 10.643 263 97.63 664
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
% of Mortgage
Pool by Weighted
RANGE OF Aggregate Cut- Aggregate Cut- Weighted Weighted Average
GROSS Number of off Date off Date Average Gross Average Original Weighted
INTEREST Mortgage Principal Principal Interest Rate Remaining Combined Average FICO
RATES(%): Loans Balance ($) Balance (%) Term (Months) LTV (%) Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
4.000-4.999 4 1,076,041 0.17 4.710 357 79.04 693
5.000-5.999 229 46,904,678 7.57 5.758 341 74.58 670
6.000-6.999 1,037 196,586,493 31.72 6.627 352 79.11 645
7.000-7.999 1,247 206,420,003 33.31 7.564 352 81.75 616
8.000-8.999 891 114,346,810 18.45 8.514 352 81.91 594
9.000-9.999 417 36,113,607 5.83 9.505 346 82.28 587
10.000-10.999 202 12,907,323 2.08 10.532 313 87.27 611
11.000-11.999 87 4,357,513 0.70 11.547 286 86.02 604
12.000-12.999 24 889,446 0.14 12.598 249 83.12 608
13.000-13.999 3 128,006 0.02 13.176 227 99.46 655
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
Minimum: 4.500%
Maximum: 13.500%
Weighted Average: 7.512%
(1) Cut-off date principal balances are scheduled balances as of November
1, 2003
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
Collateral Summary
As of the Cut-off Date (1)
% 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 Mortgage Principal Principal Interest Rate Term Combined Average
PRINCIPAL BALANCES ($): Loans Balance ($) Balance (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
0.01-25,000.00 59 1,164,362 0.19 10.875 246 93.19 660
25,000.01-50,000.00 457 18,975,001 3.06 9.421 323 82.67 616
50,000.01-75,000.00 593 36,151,013 5.83 8.410 337 81.21 616
75,000.01-100,000.00 480 42,035,908 6.78 7.950 345 80.56 622
100,000.01-125,000.00 510 57,160,114 9.22 7.655 347 80.00 619
125,000.01-150,000.00 418 57,454,401 9.27 7.474 351 81.34 621
150,000.01-175,000.00 319 51,942,885 8.38 7.407 349 79.84 619
175,000.01-200,000.00 319 59,965,977 9.68 7.373 350 79.75 618
200,000.01-225,000.00 234 49,744,652 8.03 7.398 355 80.72 616
225,000.01-250,000.00 149 35,438,299 5.72 7.307 354 81.07 615
250,000.01-275,000.00 128 33,507,901 5.41 7.125 353 80.97 631
275,000.01-300,000.00 105 30,130,787 4.86 7.304 353 79.66 624
300,000.01-325,000.00 81 25,342,004 4.09 7.089 350 80.86 632
325,000.01-350,000.00 66 22,285,218 3.60 7.295 354 82.73 634
350,000.01-375,000.00 54 19,546,342 3.15 7.382 354 82.08 624
375,000.01-400,000.00 51 19,946,647 3.22 7.387 353 82.62 644
400,000.01-425,000.00 19 7,824,296 1.26 7.093 347 80.48 629
425,000.01-450,000.00 16 6,983,654 1.13 7.460 357 79.17 660
450,000.01-475,000.00 13 6,053,164 0.98 6.742 356 80.84 648
475,000.01-500,000.00 29 14,174,199 2.29 7.057 357 78.10 635
500,000.01-525,000.00 5 2,600,022 0.42 7.450 357 75.93 645
525,000.01-550,000.00 9 4,851,362 0.78 6.280 358 73.56 646
550,000.01-575,000.00 10 5,623,390 0.91 6.820 357 77.35 622
575,000.01-600,000.00 6 3,545,924 0.57 7.015 358 77.31 639
>= 600,000.01 11 7,282,399 1.18 6.954 357 78.46 654
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
Minimum: $11,094
Maximum: $878,171
Average: $149,657
(1) Cut-off date principal balances are scheduled balances as of November
1, 2003
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
Collateral Summary
As of the Cut-off Date (1)
% of
Mortgage Pool Weighted Weighted
Aggregate by Aggregate Weighted Average Average
Number of Cut-off Date Cut-off Date Average Gross Remaining Original Weighted
ORIGINAL TERM Mortgage Principal Principal Interest Rate Term Combined Average FICO
(MONTHS): Loans Balance ($) Balance (%) (Months) LTV (%) Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
120 1 29,687 0.00 8.900 118 25.32 545
180 266 22,203,975 3.58 8.023 177 78.16 645
228 1 155,301 0.03 6.490 226 80.00 638
240 62 5,077,581 0.82 8.440 236 83.87 629
300 2 302,887 0.05 6.500 298 81.71 645
360 3,809 591,960,489 95.52 7.485 357 80.64 623
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
Minimum: 120
Maximum: 360
Weighted Average: 352
% of
Mortgage Pool Weighted Weighted
Aggregate by Aggregate Weighted Average Average
RANGE OF Number of Cut-off Date Cut-off Date Average Gross Remaining Original Weighted
REMAINING TERMS Mortgage Principal Principal Interest Rate Term Combined Average FICO
(MONTHS): Loans Balance ($) Balance (%) (Months) LTV (%) Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
109-120 1 29,687 0.00 8.900 118 25.32 545
169-180 266 22,203,975 3.58 8.023 177 78.16 645
217-228 1 155,301 0.03 6.490 226 80.00 638
229-240 62 5,077,581 0.82 8.440 236 83.87 629
289-300 2 302,887 0.05 6.500 298 81.71 645
337-348 1 201,924 0.03 6.990 348 80.00 654
349-360 3,808 591,758,565 95.49 7.485 357 80.64 623
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
Minimum: 118
Maximum: 359
Weighted Average: 349
(1) Cut-off date principal balances are scheduled balances as of November
1, 2003
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 the Cut-off Date (1)
% of
Mortgage Pool Weighted Weighted
Aggregate by Aggregate Weighted Average Average
RANGE OF ORIGINAL Number of Cut-off Date Cut-off Date Average Gross Remaining Original Weighted
COMBINED LTV Mortgage Principal Principal Interest Rate Term Combined Average FICO
RATIOS (%): Loans Balance ($) Balance (%) (Months) LTV (%) Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
<= 30.00 20 1,507,229 0.24 7.360 308 25.04 657
30.01-40.00 34 3,702,552 0.60 7.381 310 34.98 607
40.01-50.00 55 7,870,171 1.27 6.750 348 46.53 632
50.01-60.00 145 20,147,550 3.25 7.265 343 56.18 598
60.01-70.00 349 56,686,300 9.15 7.437 347 66.79 603
70.01-80.00 1,633 263,050,953 42.45 7.340 351 78.38 629
80.01-90.00 1,346 205,035,453 33.08 7.575 352 87.23 615
90.01-100.00 559 61,729,712 9.96 8.291 339 96.88 656
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
Minimum: 10.80%
Maximum: 100.00%
Weighted Average: 80.58%
% of
Mortgage Pool Weighted Weighted
Aggregate by Aggregate Weighted Average Average
Number of Cut-off Date Cut-off Date Average Gross Remaining Original Weighted
RANGE OF GROSSS Mortgage Principal Principal Interest Rate Term Combined Average FICO
MARGINS (%): Loans Balance ($) Balance (%) (Months) LTV (%) Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Fixed Rate Loans 1,595 212,014,510 34.21 7.481 336 79.85 644
<=5.000 180 33,707,096 5.44 6.690 358 80.66 653
5.001-5.500 553 100,372,118 16.20 7.127 357 81.20 629
5.501-6.000 537 96,243,163 15.53 7.300 357 81.72 620
6.001-6.500 687 88,107,400 14.22 7.872 356 80.21 594
6.501-7.000 281 46,494,063 7.50 7.920 357 80.54 596
7.001-7.500 151 23,196,259 3.74 8.391 356 81.90 590
7.501-8.000 87 12,167,257 1.96 8.514 356 79.67 577
8.001-8.500 40 4,824,844 0.78 8.596 353 80.73 594
8.501-9.000 22 1,903,467 0.31 8.823 356 77.83 573
>=9.001 8 699,742 0.11 10.492 356 77.17 572
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
Non-Fixed Rate Minimum: 2.750%
Non-Fixed Rate Maximum: 10.930%
Non-Fixed Rate Weighted Average: 6.083%
(1) Cut-off date principal balances are scheduled balances as of November
1, 2003
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 the Cut-off Date (1)
% 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 MINIMUM Mortgage Principal Principal Interest Rate Term Combined Average
MORTGAGE RATES (%): Loans Balance ($) Balance (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Fixed Rate Loans 1,595 212,014,510 34.21 7.481 336 79.85 644
<=5.000 24 4,770,296 0.77 5.840 357 85.78 684
5.001-5.500 37 7,390,366 1.19 5.908 355 83.23 667
5.501-6.000 130 23,903,478 3.86 6.060 357 79.73 650
6.001-6.500 235 45,196,575 7.29 6.455 357 78.53 643
6.501-7.000 440 84,007,198 13.56 6.916 357 81.67 631
7.001-7.500 362 62,648,594 10.11 7.379 357 81.54 615
7.501-8.000 454 76,018,002 12.27 7.863 357 81.62 602
8.001-8.500 290 41,148,806 6.64 8.314 356 81.42 587
8.501-9.000 300 36,576,242 5.90 8.812 356 80.87 576
9.001-9.500 114 11,748,911 1.90 9.329 355 81.50 557
9.501-10.000 89 8,786,341 1.42 9.808 355 78.00 572
10.001-10.500 36 2,422,320 0.39 10.244 356 77.94 551
10.501-11.000 17 1,462,967 0.24 10.749 357 72.30 535
11.001-11.500 3 155,676 0.03 11.192 353 78.10 565
11.501-12.000 10 1,206,357 0.19 11.703 356 65.04 525
12.001-12.500 4 231,404 0.04 12.329 356 64.14 537
12.501-13.000 1 41,875 0.01 12.850 353 60.00 577
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
Non-Fixed Rate Minimum: 2.750%
Non-Fixed Rate Maximum: 12.850%
Non-Fixed Rate Weighted Average: 7.466%
(1) Cut-off date principal balances are scheduled balances as of November
1, 2003
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.
MORGAN STANLEY
--------------------------------------------------------------------------------
Page 29
Collateral Summary
As of the Cut-off Date (1)
% 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 MAXIMUM LOAN Mortgage Principal Principal Interest Rate Term Combined Average
RATES (%): Loans Balance ($) Balance (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Fixed Rate Loans 1,595 212,014,510 34.21 7.481 336 79.85 644
<= 13.000 493 96,239,203 15.53 6.419 357 80.77 646
13.001-13.500 280 50,023,114 8.07 6.974 357 80.65 629
13.501-14.000 444 81,236,501 13.11 7.322 357 81.19 622
14.001-14.500 329 51,136,496 8.25 7.684 357 81.11 609
14.501-15.000 424 55,818,381 9.01 8.124 356 82.19 592
15.001-15.500 226 30,813,898 4.97 8.524 356 81.27 574
15.501-16.000 198 25,742,369 4.15 9.015 356 80.17 569
16.001-16.500 74 7,948,948 1.28 9.483 356 82.87 554
16.501-17.000 39 4,871,759 0.79 9.898 356 76.10 557
17.001-17.500 14 1,307,590 0.21 10.380 357 73.41 545
17.501-18.000 17 1,423,471 0.23 10.984 356 69.50 536
18.001-18.500 4 231,404 0.04 12.329 356 64.14 537
18.501-19.000 4 922,275 0.15 11.733 356 65.58 522
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
Non-Fixed Rate Minimum: 8.250%
Non-Fixed Rate Maximum: 18.900%
Non-Fixed Rate Weighted Average: 14.015%
(1) Cut-off date principal balances are scheduled balances as of November
1, 2003
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 the Cut-off Date (1)
% of
Mortgage
Pool by Weighted Weighted Weighted
Aggregate Aggregate Average Average Average
Number of Cut-off Date Cut-off Date Gross Remaining Original Weighted
Mortgage Principal Principal Interest Rate Term Combined Average
INITIAL PERIODIC CAP (%): Loans Balance ($) Balance (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Fixed Rate Loans 1,595 212,014,510 34.21 7.481 336 79.85 644
1.000 109 17,736,831 2.86 7.987 356 84.45 613
1.500 830 147,115,448 23.74 7.629 357 79.71 601
2.000 319 27,558,990 4.45 8.082 354 82.54 601
3.000 1,283 214,224,677 34.57 7.354 357 81.33 622
4.000 1 129,519 0.02 8.500 354 76.47 581
5.000 4 949,944 0.15 6.103 357 78.18 689
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
Non-Fixed Rate Minimum: 1.000%
Non-Fixed Rate Maximum: 5.000%
Non-Fixed Rate Weighted Average: 2.309%
% of
Mortgage
Pool by Weighted Weighted Weighted
Aggregate Aggregate Average Average Average
Number of Cut-off Date Cut-off Date Gross Remaining Original Weighted
SUBSEQUENT PERIODIC CAP Mortgage Principal Principal Interest Rate Term Combined Average
(%): Loans Balance ($) Balance (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Fixed Rate Loans 1,595 212,014,510 34.21 7.481 336 79.85 644
1.000 2,053 316,743,871 51.11 7.502 357 81.50 620
1.500 492 90,421,727 14.59 7.637 357 79.06 587
2.000 1 549,811 0.09 4.500 357 80.00 629
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
Non-Fixed Rate Minimum: 1.000%
Non-Fixed Rate Maximum: 2.000%
Non-Fixed Rate Weighted Average: 1.112%
(1) Cut-off date principal balances are scheduled balances as of November
1, 2003
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 the Cut-off Date (1)
% of
Mortgage
Pool by Weighted Weighted Weighted
Aggregate Aggregate Average Average Average
Number of Cut-off Date Cut-off Date Gross Remaining Original Weighted
NEXT RATE ADJUSTMENT Mortgage Principal Principal Interest Rate Term Combined Average
DATE: Loans Balance ($) Balance (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Fixed Rate Loans 1,595 212,014,510 34.21 7.481 336 79.85 644
November 2003 1 129,516 0.02 6.250 355 78.87 571
December 2003 2 304,670 0.05 6.988 356 75.61 576
February 2004 1 228,184 0.04 7.000 357 75.00 671
November 2004 1 201,924 0.03 6.990 348 80.00 654
December 2004 1 198,498 0.03 8.500 350 85.00 614
February 2005 2 162,001 0.03 7.708 352 82.77 649
March 2005 52 5,144,329 0.83 7.854 352 83.83 613
April 2005 117 11,493,677 1.85 8.222 353 82.59 593
May 2005 222 24,550,632 3.96 8.007 354 82.64 601
June 2005 173 25,074,026 4.05 7.641 355 82.69 608
July 2005 307 53,998,038 8.71 7.878 356 80.73 595
August 2005 450 76,503,274 12.34 7.264 356 81.13 625
September 2005 847 146,296,717 23.61 7.434 358 80.40 614
October 2005 18 3,144,152 0.51 7.614 359 80.38 613
December 2005 1 145,260 0.02 8.599 349 90.00 522
February 2006 2 220,743 0.04 7.673 352 81.62 590
March 2006 1 226,883 0.04 7.890 353 95.00 642
April 2006 12 1,869,043 0.30 7.496 353 79.89 632
May 2006 17 3,028,016 0.49 7.640 354 84.71 615
June 2006 17 2,563,852 0.41 7.241 355 81.97 592
July 2006 27 5,076,513 0.82 7.253 356 75.49 586
August 2006 75 12,967,798 2.09 7.273 357 81.89 634
September 2006 190 30,557,495 4.93 7.521 358 79.86 625
October 2006 1 100,709 0.02 6.500 359 90.00 699
June 2008 1 488,331 0.08 7.990 355 64.05 644
August 2008 4 2,138,615 0.35 5.476 357 83.43 662
September 2008 4 902,512 0.15 7.534 358 81.73 595
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
Non-Fixed Rate Weighted Average: September 2005
(1) Cut-off date principal balances are scheduled balances as of November
1, 2003
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 the Cut-off Date (1)
% of
Mortgage
Pool by Weighted Weighted Weighted
Aggregate Aggregate Average Average Average
GEOGRAPHIC DISTRIBUTION Number of Cut-off Date Cut-off Date Gross Remaining Original Weighted
OF MORTGAGED Mortgage Principal Principal Interest Rate Term Combined Average
PROPERTIES: Loans Balance ($) Balance (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
California 1,130 240,827,286 38.86 7.236 351 78.52 622
Florida 540 68,332,660 11.03 7.694 347 81.76 635
Illinois 261 37,062,883 5.98 7.845 349 81.48 620
Ohio 223 19,321,467 3.12 7.876 350 83.03 614
Texas 188 18,729,970 3.02 7.847 344 80.71 618
New Jersey 90 18,212,244 2.94 7.581 348 79.18 632
New York 86 17,453,710 2.82 7.642 351 83.38 628
Michigan 146 14,777,190 2.38 7.954 348 82.66 616
Colorado 94 14,077,359 2.27 7.151 355 84.23 635
Virginia 72 13,934,078 2.25 7.737 346 83.64 630
Massachusetts 59 13,613,591 2.20 7.706 349 75.49 604
Pennsylvania 128 13,612,917 2.20 7.638 352 82.13 625
Washington 69 10,781,018 1.74 7.392 351 82.02 613
Hawaii 53 10,493,651 1.69 7.173 355 81.31 655
Indiana 114 9,956,790 1.61 7.872 351 84.20 618
Other 888 98,543,106 15.90 7.684 347 82.33 620
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
Number of States/District of Columbia Represented: 49
% of
Mortgage
Pool by Weighted Weighted Weighted
Aggregate Aggregate Average Average Average
Number of Cut-off Date Cut-off Date Gross Remaining Original Weighted
Mortgage Principal Principal Interest Rate Term Combined Average
OCCUPANCY TYPE: Loans Balance ($) Balance (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Primary 3,558 557,354,285 89.94 7.458 350 80.77 621
Non-Owner Occupied 561 60,077,872 9.69 7.991 345 78.63 648
Second Home 22 2,297,762 0.37 8.011 344 85.59 659
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
(1) Cut-off date principal balances are scheduled balances as of November
1, 2003
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 the Cut-off Date (1)
% of
Mortgage
Pool by Weighted Weighted Weighted
Aggregate Aggregate Average Average Average
Number of Cut-off Date Cut-off Date Gross Remaining Original Weighted
Mortgage Principal Principal Interest Rate Term Combined Average
PROPERTY TYPE: Loans Balance ($) Balance (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Single Family Residence 3,144 457,920,969 73.89 7.503 349 80.65 620
Planned Unit Development 340 63,660,452 10.27 7.374 351 81.62 629
2-4 Family 310 54,308,312 8.76 7.668 348 79.35 638
Condominium 324 41,322,233 6.67 7.615 349 80.15 639
Manufactured Housing 23 2,517,953 0.41 7.472 336 74.23 612
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
% of
Mortgage
Pool by Weighted Weighted Weighted
Aggregate Aggregate Average Average Average
Number of Cut-off Date Cut-off Date Gross Remaining Original Weighted
Mortgage Principal Principal Interest Rate Term Combined Average
LOAN PURPOSE: Loans Balance ($) Balance (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Refinance--Cashout 2,198 341,835,868 55.16 7.439 349 78.44 607
Purchase 1,500 209,222,497 33.76 7.667 351 84.53 653
Refinance--Rate/Term 443 68,671,554 11.08 7.399 348 79.18 617
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
% of
Mortgage
Pool by Weighted Weighted Weighted
Aggregate Aggregate Average Average Average
Number of Cut-off Date Cut-off Date Gross Remaining Original Weighted
Mortgage Principal Principal Interest Rate Term Combined Average
DOCUMENTATION LEVEL: Loans Balance ($) Balance (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Full Documentation 2,287 320,449,009 51.71 7.460 350 80.62 606
Stated Documentation 1,611 256,756,823 41.43 7.589 349 80.17 642
Limited/Alternate 155 26,944,062 4.35 7.324 352 80.82 629
No Ratio 88 15,580,026 2.51 7.621 339 85.89 667
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
(1) Cut-off date principal balances are scheduled balances as of November
1, 2003
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 the Cut-off Date (1)
% of
Mortgage
Pool by Weighted Weighted Weighted
Aggregate Aggregate Average Average Average
Number of Cut-off Date Cut-off Date Gross Remaining Original Weighted
PREPAYMENT PENALTY Mortgage Principal Principal Interest Rate Term Combined Average
TERM: Loans Balance ($) Balance (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
No Prepayment Penalty 840 119,674,776 19.31 7.703 349 81.14 625
6 Months 8 1,713,358 0.28 7.151 357 80.39 630
12 Months 205 38,209,469 6.17 7.660 345 80.35 632
18 Months 1 372,537 0.06 8.250 356 87.88 611
24 Months 1,669 249,784,710 40.31 7.599 355 81.31 610
30 Months 4 510,051 0.08 8.168 357 81.19 588
36 Months 1,245 185,287,120 29.90 7.285 345 79.43 637
60 Months 169 24,177,898 3.90 7.169 341 79.25 643
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
% of
Mortgage
Pool by Weighted Weighted Weighted
Aggregate Aggregate Average Average Average
Number of Cut-off Date Cut-off Date Gross Remaining Original Weighted
Mortgage Principal Principal Interest Rate Term Combined Average
RANGE OF CREDIT SCORES: Loans Balance ($) Balance (%) (Months) LTV (%) FICO Score
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
500-525 263 36,856,138 5.95 8.408 352 76.49 514
526-550 415 57,710,812 9.31 8.186 353 76.04 539
551-575 468 65,406,149 10.55 7.908 354 78.13 563
576-600 437 63,532,056 10.25 7.653 351 80.22 588
601-625 593 92,262,971 14.89 7.507 350 82.35 614
626-650 617 95,047,176 15.34 7.257 347 82.04 638
651-675 550 86,786,631 14.00 7.230 347 82.58 662
676-700 304 43,928,744 7.09 7.238 348 82.50 687
701-725 245 39,632,489 6.40 6.998 348 82.39 712
726-750 132 19,627,582 3.17 6.973 351 80.99 737
751-775 80 11,886,183 1.92 6.945 343 82.38 761
776-800 34 6,475,134 1.04 6.398 351 72.47 785
Above 800 3 577,856 0.09 6.072 358 55.00 808
--------------------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Total: 4,141 619,729,919 100.00 7.512 349 80.58 624
=========================== ============ ============ ============ ============ ============ ============ ============
Minimum: 501
Maximum: 813
Weighted Average: 624
(1) Cut-off date principal balances are scheduled balances as of November
1, 2003
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
FOR ADDITIONAL INFORMATION PLEASE CALL:
Morgan Stanley
-------------------------------------------------------------------------------
Asset Backed Finance
--------------------
Jessica Bellamy 212-761-2229
Forchi Chen 212-761-2154
ABS Syndicate & Trading
-----------------------
Jay Hallik 212-761-2252
Rick Onkey 212-761-2122
Vanessa Vanacker 212-761-2016
Rating Agency Contacts
--------------------------------------------------------------------------------
Standard & Poor's
-----------------
Connor Kelly 212-438-2448
Moody's
-------
Karin Kelner 212-553-7191
Fitch
-----
Wen Hsu 212-908-0633
