EXHIBIT 99.1
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This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx")
considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of the
information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus
or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of
any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus
or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions
and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or
the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be
relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or warranties for, statements contained in, and omissions from
the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others associated with
it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform
or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not
necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this
material is current as of the date appearing on this material only. Information in this material regarding any assets backing any
securities discussed herein supercedes all prior information regarding such assets. Xxxxxx Xxxxxxx is acting as the lead underwriter
and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In
addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We recommend that such investors obtain the advice
of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
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FICO SCORE Note: Cells in red font are calculations
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FICO
TOTAL BALANCE ADJUSTED
---------------------- BALANCE[1] WA COMBINED WA WA % SFD/ % Owner % FULL % CASHOUT
AMOUNT %[2] LTV AMOUNT %[2] LTV DTI FICO PUD OCC. DOC. REFI
--------------- ---- ------ ----------- ---- ----------- ----- ---- ------ ------- ------ ----------
FICO NA 0% > 65.0 0%
0 - 499.99 0% > 65.0 0%
500 - 549.99 203,793,920.33 29% > 70.0 149,818,405 21% 75.33 40.01 527 92.30 97.30 74.10 73.70
550 - 574.99 104,593,471.39 15% > 70.0 81,943,064 12% 77.36 39.12 562 92.20 96.10 69.10 73.50
575 - 599.99 93,892,513.95 13% > 70.0 73,888,946 10% 78.63 40.14 587 89.00 94.50 62.70 63.40
600 - 619.99 69,885,048.55 10% > 70.0 58,366,723 8% 80.17 39.66 609 87.90 93.50 59.60 64.60
620 - 649.99 109,427,883.29 15% > 80.0 48,156,487 7% 80.51 39.77 634 86.20 93.30 59.50 60.70
650 - 679.99 58,788,267.38 8% > 80.0 32,778,634 5% 82.65 40.06 664 82.30 91.10 54.50 57.90
680 - 699.99 28,646,537.98 4% > 85.0 10,500,115 1% 83.23 40.74 689 91.50 96.10 50.40 53.50
700 - 749.99 31,742,013.14 4% > 85.0 8,370,496 1% 82.02 39.07 718 78.60 90.40 38.80 38.30
750 - 799.99 10,364,799.50 1% > 85.0 3,769,430 1% 83.25 41.07 770 81.70 89.80 53.60 38.10
800 + 315,813.80 0% > 85.0 0% 83.23 31.88 801 100.00 100.00 35.40 64.60
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TOTAL 711,450,269 100% 467,592,300 66% 78.68 39.83 595 88.90 94.80 63.70 65.20
FICO: AVERAGE 595 MIN: 500 MAX: 802
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DEBT TO INCOME (DTI) RATIO
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DTI
TOTAL BALANCE ADJUSTED
----------------- BALANCE[1] WA COMBINED WA WA % SFD/ % Owner % FULL % CASHOUT
AMOUNT %[2] FICO AMOUNT %[2] LTV DTI FICO PUD OCC. DOC. REFI
----------- ---- ------ ----------- ---- ----------- ----- ---- ------ ------- ------ ----------
<= 20 23,196,640 3% < 550 7,099,802 1% 76.62 15.64 587 90.90 79.70 46.40 62.30
20.001 - 25.00 31,169,422 4% < 550 10,467,281 1% 76.60 22.85 593 88.20 88.20 64.10 64.60
25.001 - 30.00 57,487,408 8% < 575 27,418,569 4% 76.36 27.67 587 88.60 96.30 60.70 68.70
30.001 - 35.00 82,478,578 12% < 575 34,941,459 5% 78.40 32.56 593 89.70 94.10 62.90 67.30
35.001 - 40.00 121,902,380 17% < 600 65,906,113 9% 78.75 37.59 599 85.30 94.60 57.10 66.70
40.001 - 45.00 162,125,088 23% < 625 101,789,360 14% 80.13 42.78 600 91.00 96.50 59.40 64.60
45.001 - 50.00 175,327,697 25% < 650 139,391,197 20% 80.10 47.87 602 88.90 95.50 69.10 60.30
50.001 - 55.00 51,096,404 7% < 675 49,875,922 7% 75.04 52.75 561 89.50 96.80 84.20 71.10
55+ 6,666,653 1% < 700 6,666,653 1% 72.78 56.77 561 83.30 100.00 86.40 90.00
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TOTAL 711,450,269 100% 443,556,355 62% 78.68 39.83 595 88.90 94.80 63.70 65.20
DTI: AVERAGE 39.83 MIN: 4.03 MAX: 59.96
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LOAN TO VALUE (LTV) RATIO
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LTV
TOTAL BALANCE ADJUSTED
------------------ BALANCE[1] WA COMBINED WA WA % SFD/ % Owner % FULL % CASHOUT
AMOUNT %[2] DTI AMOUNT %[2] LTV DTI FICO PUD OCC. DOC. REFI
----------- ---- ------ ------------- ---- ----------- ----- ---- ------ ------- ------ ---------
< 60.00 50,887,448 7% > 50 7,128,615.55 1% 50.22 38.87 579 84.70 94.30 61.40 82.20
60.01 - 70.00 86,669,134 12% > 50 11,135,764.01 2% 66.71 38.58 574 88.60 92.40 56.80 79.50
70.01 - 80.00 284,615,275 40% > 50 19,507,832.34 3% 77.98 39.89 587 88.00 93.60 61.40 64.90
80.01 - 85.00 152,652,706 21% > 50 16,599,889.93 2% 84.62 40.42 591 90.60 94.90 67.70 63.80
85.01 - 90.00 100,509,879 14% > 50 3,291,954.96 0% 89.75 40.01 628 90.50 98.50 61.10 56.80
90.01 - 95.00 20,128,113 3% > 50 99,000.00 0% 94.84 39.12 645 87.70 99.70 86.30 49.50
95.01 - 100.00 15,987,715 2% > 50 0% 99.86 42.61 648 92.10 100.00 100.00 23.10
100+ 0% > 50 0%
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TOTAL 711,450,269 100% 57,763,056.79 8% 78.68 39.83 595 88.90 94.80 63.70 65.20
LTV: AVERAGE 78.68 MIN: 11.36 MAX: 100.00
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[1] BALANCE OF THE COLLATERAL CUT COMBINED WITH SECOND QUALIFIER, I.E. (LTV), FICO, DTI ETC. ALL OTHER CUTS EXCEPT THE ADJUSTED
BALANCE ARE ONLY FOR THE MAIN BUCKET
[2] PERCENT OF THE AGGREGATE PRINCIPAL BALANCE - CALCULATED AUTOMATICALLY.
PRINCIPAL BALANCE
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SCHEDULED PRINCIPAL TOTAL BALANCE
----------------------- WA WA COMBINED WA % SFD/ % OWNER % CASHOUT % FULL
BALANCE AMOUNT %[2] FICO LTV DTI PUD OCC. REFI DOC
----------- ---- ----- ----------- ----- ------- ------- --------- -------
0 - $50K 18,796,800 3% 601 82.72 38.31 89.10 91.10 47.70 85.90
$51 - $200K 322,107,562 45% 583 77.84 38.93 87.60 93.70 66.40 72.00
$200.1 - $250K 88,791,326 12% 588 77.85 39.94 89.10 97.20 69.70 63.40
$250.1 - $300K 69,069,351 10% 592 78.37 41.20 87.30 96.30 69.70 62.10
$300.1 - $400K 127,417,518 18% 608 81.13 40.80 91.20 96.90 63.80 49.90
$400.1 - $500K 64,737,393 9% 619 78.71 40.62 90.10 94.40 56.70 52.00
$500.1 - $600K 14,984,119 2% 646 79.37 41.69 96.10 88.40 55.90 40.50
$600.1 - $700K 3,251,200 0% 694 76.75 40.60 80.00 80.00 60.30 39.80
$700.1 - $800K 2,295,000 0% 662 65.52 43.36 100.00 100.00 100.00 67.50
$800.1 - $900K 0 0%
$900.1 - $1000K 0%
>$1000K 0%
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TOTAL 711,450,269 100% 595 78.68 39.83 88.90 94.80 65.20 63.70
PRINCIPAL BALANCE: AVERAGE 158,806.00 MIN: 14,780.00 MAX: 800,000.00
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Page 1 of 3
DOCUMENTATION TYPE
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DOC TYPE TOTAL BALANCE
--------------------- WA WA COMBINED WA % SFD/ % OWNER % CASHOUT
AMOUNT %[2] FICO LTV DTI PUD OCC. REFI
----------- ---- ---- ----------- ----- ------ ------- ---------
Full Doc 453,399,463 64% 586 79.41 40.62 90.00 96.20 66.80
Stated Doc 216,946,100 30% 615 77.32 38.72 85.90 92.80 60.50
Limited Doc 41,104,706 6% 581 77.74 36.87 92.10 90.20 72.00
NINA 0%
Other 0%
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TOTAL 711,450,269 100% 595 78.68 39.83 88.90 94.80 65.20
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PROPERTY TYPE
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PROPERTY TYPE TOTAL BALANCE
-------------------- WA WA COMBINED WA % OWNER % CASHOUT % FULL
AMOUNT %[2] FICO LTV DTI OCC. REFI DOC
----------- ---- ---- ----------- ----- ------- --------- ------
Single Family 555,950,778 78% 591 78.76 39.73 96.20 65.00 64.50
PUD 76,218,637 11% 601 79.68 40.71 97.40 66.90 64.70
Townhouse 0%
2 - 4 Family 46,525,509 7% 620 76.70 39.88 76.20 67.20 50.50
Condo 28,008,313 4% 608 78.26 40.16 90.00 59.50 64.30
Manufactured 4,747,032 1% 579 74.73 34.62 96.90 68.10 81.10
Other 0%
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TOTAL 711,450,269 100% 595 78.68 39.83 94.80 65.20 63.70
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PRIMARY MORTGAGE INSURANCE
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MORTGAGE INSURANCE TOTAL BALANCE
-------------------- WA WA COMBINED WA % OWNER % CASHOUT % FULL IS MI DOWN
AMOUNT %[2] FICO LTV DTI OCC. REFI DOC TO 60 LTV
----------- ---- ---- ----------- ----- ------- --------- ------ ----------
Loans >80 LTV w/MI 0%
Loans >80 LTV w/o MI 0%
Other 0%
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TOTAL 0 0%
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LOAN PURPOSE
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LOAN PURPOSE TOTAL BALANCE
--------------------- WA WA COMBINED WA % SFD/ % OWNER
AMOUNT %[2] FICO LTV DTI PUD OCC.
----------- ---- ---- ----------- ----- ------ -------
Debt Consolidation 0%
Refinance - Cashout 463,683,631 65% 586 77.04 39.77 89.00 95.30
Purchase 130,746,555 18% 633 84.31 40.24 87.40 93.50
Refinance - Rate Term 117,020,083 16% 585 78.88 39.60 90.00 94.10
Other 0%
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TOTAL 711,450,269 100% 595 78.68 39.83 88.90 94.80
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FIXED VS. FLOATING COLLATERAL
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COLLATERAL TYPE
TOTAL BALANCE
------------------- WA WA COMBINED WA % SFD/ % Owner % CASHOUT
AMOUNT %[2] FICO LTV DTI PUD OCC. REFI INDEX MARGIN
----------- ---- ------ ----------- ----- ------ ------- --------- ----- ------
Fixed 200,791,975 28% 614 78.32 39.73 86.40 93.70 68.60 0.00
Floating 0%
A2/6 470,406,420 66% 579 78.68 39.87 89.40 95.10 64.90 6 Month Libor 6.60
A3/6 11,248,191 2% 575 77.70 39.42 98.20 97.00 57.10 6 Month Libor 6.70
Other 29,003,683.44 4% 714 81.52 40.03 94.10 96.20 48.60 1 Month Libor 3.60
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TOTAL 711,450,269 100% 595 78.68 39.83 88.90 94.80 65.20 6.50
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LIEN STATUS
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LIEN STATUS
TOTAL BALANCE
------------------- WA WA COMBINED WA % SFD/ % Owner % CASHOUT
AMOUNT %[2] FICO LTV DTI PUD OCC. REFI
----------- ---- ------ ----------- ----- ------ ------- ---------
First Lien 694,923,159 98% 593 78.18 39.77 88.80 94.70 66.10
Second Lien 16,527,111 2% 647 99.52 42.42 92.30 100.00 25.60
Third Lien 0%
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TOTAL 711,450,269 100% 595 78.68 39.83 88.90 94.80 65.20
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Page 2 of 3
OCCUPANCY STATUS
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OCCUPANCY TYPE
TOTAL BALANCE
----------------------- WA WA COMBINED WA % SFD/ % Owner % CASHOUT
AMOUNT %[2] FICO LTV DTI PUD OCC. REFI
------------ ---- ------ ----------- ----- ------ ------- ---------
Primary Residence 674,375,313 95% 593 78.85 40.06 90.30 100.00 65.60
Second Home 2,141,806 0% 694 81.02 34.72 69.70 0.00 58.30
Investment 34,933,151 5% 613 75.13 35.60 61.70 0.00 58.20
Non-owner 0%
Other 0%
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TOTAL 711,450,269 100% 595 78.68 39.83 88.90 94.80 65.20
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PREPAYMENT PENALTY
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PREPAYMENT CHARGES
TERM AT ORIGINATION
TOTAL BALANCE
----------------------- # OF WA WA COMBINED WA % SFD/ % OWNER % CASHOUT
AMOUNT %[2] LOANS FICO LTV DTI PUD OCC. REFI
----------- ---- ----- ---- ------------ ----- ------- ------- ---------
0 Months 147,201,662 21% 1,000 618 79.19 38.95 86.70 95.10 61.10
6 Months 757,586 0% 6 601 80.96 31.87 100.00 100.00 67.80
12 Months 52,517,299 7% 226 603 76.81 38.70 83.70 93.60 65.10
24 Months 380,850,072 54% 2,319 580 79.07 40.34 90.50 95.40 65.20
36 Months 130,123,651 18% 929 608 77.69 39.82 88.70 93.00 69.80
60 Months 0%
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Total 0%
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TOTAL 711,450,269 100% 4,480 595 78.68 39.83 88.90 94.80 65.20
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SECTION 32 LOANS
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TOTAL BALANCE
----------------------- WA WA COMBINED WA % SFD/ % Owner % CASHOUT
AMOUNT %[2] FICO LTV DTI PUD OCC. REFI
------------ ---- ----- ----------- ----- ------ ------- ---------
Section 32 Loans 0 0% 0 0 0 0 0 0
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Total - 0 0 0 0 0 0
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GA % AND TOP 5 STATES TOP 5 ORIGINATORS SERVICERS
--------------------- ----------------- ---------
STATE %[2] ORIGINATOR %[2] SERVICER %[2]
--------------------------------- ------------------------------------- ----------------------------------
GEORGIA* 0.00 New Century 100 Provident 100
California 43.61
Florida 6.15
Texas 3.96
Michigan 3.65
Illinois 3.97
---------------------------------
* No Post 10/1/2002 Georgia Loans
STRESS ANALYSIS
Assuming LIBOR Ramp: 1 month LIBOR+300 over 36 months; 50% Loss Severity;
12 month lag for liquidation losses, Solve for first dollar of principal loss,
i.e. breakeven CDR and corresponding cumulative losses.
BREAKEVEN CDR CUMULATIVE LOSSES
----------------------------------------------- ----------------------------
25 CPR 40 CPR 60 CPR 25 CPR 40 CPR 60 CPR
------ ------ ------ ------ ------ ------
AA
A
BBB
BBB-
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Default Ramp - 0 to 4.5 CDR over 36 months; and other assumptions remaining same
as breakeven CDR, solve for a multiple of default ramp at first dollar principal
loss for the following prepayment speeds:
MULTIPLE OF DEFAULT RAMP CUMULATIVE LOSSES
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25 CPR 40 CPR 60 CPR 25 CPR 40 CPR 60 CPR
--------------------------------------------- --------------------------------
AA
A
BBB
BBB-
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Page 3 of 3
