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XXXXXX XXXXXXX September 6, 2001
Securitized Products Group
[XXXXXX XXXXXX GRAPHIC OMITTED]
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COMPUTATIONAL MATERIALS
$175,000,000
APPROXIMATELY
AAMES MORTGAGE TRUST 2001-3
MORTGAGE LOAN PASS-THROUGH CERTIFICATES
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
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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PAGE 1
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XXXXXX XXXXXXX September 6, 2001
Securitized Products Group
[XXXXXX XXXXXX GRAPHIC OMITTED]
-------------------------------------------------------------------------------
$175,000,000 (APPROXIMATELY)
AAMES MORTGAGE TRUST 2001-3
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 2001-3
TRANSACTION HIGHLIGHTS
EXPECTED MODIFIED
RATINGS AVG LIFE DURATION PAYMENT
(XXXXX'X/ TO CALL / TO CALL / WINDOW TO DAY
CLASS(1) DESCRIPTION S&P) BALANCE COUPON(4) MTY(3) MTY(2)(3) CALL / MTY(3) COUNT
----------- ---------------- ------------ --------------- ---------- -------------- ------------- ---------------- ---------------
A-1 Fixed-Senior Aaa/AAA TBD 3.18 / 3.28 2.67 / 2.72 133 / 223 30 / 360
132,663,000
----------- ---------------- ------------ --------------- ---------- -------------- ------------- ---------------- ---------------
A-2 Fixed-Senior Aaa/AAA TBD 3.20 / 3.32 2.67 / 2.72 133 / 224 30 / 360
16,087,000
----------- ---------------- ------------ --------------- ---------- -------------- ------------- ---------------- ---------------
A-IO Fixed-Senior Aaa/AAA (5) TBD n/a n/a n/a 30 / 360
----------- ---------------- ------------ --------------- ---------- -------------- ------------- ---------------- ---------------
M-1 Fixed-Sub Aa2/AA 10,937,500 TBD 6.11 / 6.33 4.73 / 4.82 97 / 147 30 / 360
----------- ---------------- ------------ --------------- ---------- -------------- ------------- ---------------- ---------------
M-2 Fixed-Sub A2/A 8,312,500 TBD 6.11 / 6.26 4.66 / 4.72 97 / 130 30 / 360
----------- ---------------- ------------ --------------- ---------- -------------- ------------- ---------------- ---------------
B Fixed-Sub Baa2/BBB 7,000,000 TBD 6.05 / 6.07 4.55 / 4.56 97 / 109 30 / 360
----------- ---------------- ------------ --------------- ---------- -------------- ------------- ---------------- ---------------
TOTAL 175,000,000
----------- ---------------- ------------ --------------- ---------- -------------- ------------- ---------------- ---------------
(1) The Class A-1 Certificates are backed primarily by the cash flows from a
pool of conforming fixed rate and adjustable rate mortgage loans (the
"GROUP I MORTGAGE LOANS"). The Class A-2 Certificates are backed primarily
by the cash flows from a pool of nonconforming fixed rate and adjustable
rate Mortgage Loans (the "GROUP II MORTGAGE LOANS"). The Class M-1, Class
M-2 and Class B Certificates are backed by the cash flows from both the
Group I Mortgage Loans and the Group II Mortgage Loans. The class sizes are
subject to a +/- 5% variance.
(2) The Certificates are subject to a 5% Clean-up Call. The coupon on the Class
A-1, Class A-2, Class M-1, Class M-2 and Class B Certificates will increase
by 0.50% after the first date on which the Clean-up Call is exercisable.
(3) See "Pricing Prepayment Speed" herein.
(4) All Certificates, other than the Class A-IO Certificates, are subject to
the Net WAC Cap.
(5) The Class A-IO Certificates will not receive any principal payments, but
will accrue interest on its notional balance, which initially equals
$35,000,000 and reduces to $0.00 from month 4 through month 37 and remains
at $0.00 thereafter pursuant to the IO Notional Balance Schedule.
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
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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PAGE 2
TRANSACTION HIGHLIGHTS (CONT'D)
Issuer: Aames Mortgage Trust 2001-3.
Sponsor: Aames Capital Corporation, a California corporation
and a wholly-owned subsidiary of Aames Financial
Corporation.
Depositor: Aames Capital Acceptance Corporation, a Delaware
corporation and a wholly-owned subsidiary of Aames
Financial Corporation.
Servicer: Countrywide Home Loans, Inc. ("Countrywide")
Underwriters: XXXXXX XXXXXXX (LEAD AND BOOK MANAGER); COUNTRYWIDE
SECURITIES CORPORATION, GREENWICH CAPITAL MARKETS,
INC. AND XXXXXX BROTHERS (CO-MANAGERS).
Trustee: Bankers Trust Company of California, N.A.
Rating Agencies: S&P and Xxxxx'x.
Statistical Calculation
Date: September 1, 2001
Cut-Off Date: The close of business on September 1, 2001 or for
Mortgage Loans originated after the Cut-Off Date, the
origination date of such Mortgage Loans.
Settlement Date: On or about September 25, 2001.
Distribution Date: The 25th of each month (or next succeeding business
day), beginning October 25, 2001.
Certificates Offered: The "SENIOR CERTIFICATES" will consist of (i) the
Class A-1, Class A-2 (the "CLASS A CERTIFICATES") and
Class A-IO Certificates. The "SUBORDINATE
CERTIFICATES" will consist of the Class M-1, Class
M-2 and Class B Certificates. The Senior Certificates
and the Subordinate Certificates are collectively
referred to herein as the "CERTIFICATES".
Registration: The Certificates will be available in book-entry
form through DTC and upon request through Euroclear
or Clearstream, Luxembourg.
Accrued Interest: The Certificates will settle with accrued
interest. The price to be paid by investors for the
Certificates will include accrued interest from
September 1, 2001 up to, but not including, the
Settlement Date (24 days).
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 3
TRANSACTION HIGHLIGHTS (CONT'D)
Interest Accrual Period: The interest accrual period for the Certificates with
respect to any Distribution Date will be the calendar
month preceding such Distribution Date (based on a
360-day year consisting of twelve 30-day months).
Clean-up Call: The clean-up call can occur when the ending principal
balance of the Mortgage Loans is less than or equal
to 5% of the original principal balance of the loans.
Denominations: $25,000 minimum; increments of $1,000.
Federal Tax Status: The Certificates will be treated as REMIC regular
interests for Federal income tax purposes.
ERISA: The Certificates are expected to be "ERISA" eligible.
SMMEA: It is anticipated that the Class A-1, Class A-2,
Class A-IO and Class M-1 Certificates will be SMMEA
eligible.
Pricing Prepayment
Speed: Fixed rate Mortgage Loans: 115% of PPC (100% PPC is
equal to 4% - 20% CPR over 12 months)
Adjustable rate Mortgage Loans: 27% CPR
Mortgage Loans: The Trust will consist of two groups of sub-prime
residential mortgage loans.
Group I
Mortgage Loans: Group I consists of 1,650 conforming fixed rate and
adjustable rate Statistical Calculation Mortgage
Loans with an aggregate balance of approximately
$131,072,773. Approximately $25,000,932 of Additional
Mortgage Loans will be added to Group I on or prior
to the Closing Date.
Group II
Mortgage Loans: Group II consists primarily of 41
non-conforming fixed rate and adjustable rate
Statistical Calculation Mortgage Loans with an
aggregate balance of approximately $15,892,809.
Approximately $3,033,486 of Additional Mortgage Loans
will be added to Group II on or prior to the Closing
Date.
Collateral Description: For further information, please see the attached
collateral term sheet.
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
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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PAGE 4
TRANSACTION HIGHLIGHTS (CONT'D)
Net WAC Cap: As to any Distribution Date, a per annum rate equal to:
(i) the weighted average gross rate of the
Mortgage Loans less the rates at which
certain fees (servicing, trustee, other) are
calculated; minus
(ii) the certificate rate on the Class A-IO
Certificates multiplied by a fraction equal to:
(a) the notional balance of the Class A-IO
Certificates prior to such Distribution
Date, divided by
(b) the balance of the Mortgage Loans.
Net Rate Cap
Carryover: As to any Distribution Date and the Senior (other than
the Class A-IO) and Subordinate Certificates, the
sum of
(i) the excess, if any, of interest due such
Certificates (without regard to the Net
WAC Cap) over interest due such
Certificates at a rate equal to the Net
WAC Cap;
(ii) any Net Rate Cap Carryover remaining unpaid from
prior Distribution Dates; and
(iii) interest on the amount in clause (ii) at the
related pass-through rate (without regard to the
Net WAC Cap)
Credit Enhancement: Credit enhancement for the Certificates will consist of
(i) Excess Interest Collections, (ii)
Overcollateralization and (iii) the subordination of
Certificates with lower payment priorities.
Excess
Interest Collections: For each Distribution Date, the interest collections
from the Mortgage Loans minus the sum of (i) the
interest paid on the Certificates and (ii) the
servicing, trustee and certain other fees paid in
respect of the Mortgage Loans paid on the related
Distribution Date.
Overcollateralization: The Certificateholders will be entitled to receive
distributions of Excess Interest Collections as
principal until the overcollateralization amount equals
the Required Overcollateralization Amount. This
distribution of interest as principal will have the
effect of accelerating the amortization of the
Certificates relative to the underlying Mortgage Loans.
On any Distribution Date, the Overcollateralization
Amount will be the amount by which the balance of the
Mortgage Loans (the "MORTGAGE LOAN BALANCE") exceeds
the balance of the Certificates (the "CERTIFICATE
PRINCIPAL BALANCE"). On any Distribution Date on which
the Mortgage Loan Balance does not exceed the
Certificate Principal Balance by the Required
Overcollateralization Amount, Excess Interest
Collections will be distributed as principal to the
Certificateholders to increase the overcollateralization
amount to the Required Overcollateralization Amount.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx 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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 5
TRANSACTION HIGHLIGHTS (CONT'D)
Credit Enhancement
Percentage:
Initial Credit Target Credit Enhancement
Enhancement After Stepdown Date
-------------- -------------------------
Rating Percent Rating Percent
------ ------- ------ --------
Aaa/AAA 15.00% Aaa/AAA 35.50%
Aa2/AA 8.75% Aa2/AA 23.00%
A2/A 4.00% A2/A 13.50%
Baa2/BBB 0.00% Baa2/BBB 5.50%
Required
Overcollateralization
Amount: On any Distribution Date on which a Delinquency
Event or a Cumulative Loss Event has not occurred,
the Required Overcollateralization Amount is
equal to:
(i) prior to the Stepdown Date, 2.75% of the initial
Mortgage Loan Balance;
(ii) on or after the Stepdown Date, the greater of:
(a) the lesser of:
(x) 2.75% of the initial Mortgage Loan
Balance; and
(y) 5.50% of the current Mortgage Loan
Balance;
(b) 0.50% of the initial balance of the
Certificates (the "OC FLOOR").
On any Distribution Date on which a Delinquency Event
or a Cumulative Loss Event has occurred, the Required
Overcollateralization Amount is equal to the Required
Overcollateralization Amount as of the preceding
Distribution Date.
Subordination Required
Overcollateralization
Amount: On any Distribution Date on which a Delinquency Event
or a Cumulative Loss Event has not occurred, the
Subordination Required Overcollateralization Amount
is equal to the Required Overcollateralization Amount
exclusive of the OC Floor calculation, otherwise the
Subordination Required Overcollateralization Amount
is equal to the Required Overcollateralization
Amount.
Delinquency Event: The three-month rolling average of the percentage of
Mortgage Loans 60+ days delinquent exceeds [50%] of
the percentage equal to the credit enhancement
provided to the Senior Certificates.
Cumulative Loss Event: For any Distribution Date in the applicable period
below, if cumulative losses on the Mortgage Loans
exceed the applicable percentage of the initial
Mortgage Loan Balance:
Distribution Periods Percentage
-------------------- ----------
37-48 [3.50]%
49-60 [4.00]%
After 60 [4.50]%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 6
TRANSACTION HIGHLIGHTS (CONT'D)
Stepdown Date: The later to occur of
(x) the earlier of:
(a) the Distribution Date occurring in
October 2004; 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 Mortgage
Loan Balance has been reduced to 50% of the
Mortgage Loan Balance as of the Cut-off Date.
Subordination Increase
Amount: As to any Distribution Date the lesser of the
Subordination Deficiency and Excess Interest
Collections.
Subordination
Deficiency: As to any Distribution Date, the excess, if any,
of the Required Overcollateralization Amount over
the Overcollateralization Amount after giving
effect to the distribution of principal from the
Mortgage Loans (but prior to the distribution of
any Subordination Increase Amount).
Excess OC Amount: As to any Distribution Date, the lesser of (i) the
principal payments received on the Mortgage Loans and
(ii) the excess, if any, of the Overcollateralization
Amount over the Required Overcollateralization Amount
(assuming 100% of the distribution of principal
payments received on the Mortgage Loans is
distributed to the Certificates).
Priority of Distributions: Available Funds will be distributed in the following
order of priority, in each case, to the extent of
funds remaining:
1. To the Servicer and the Trustee, the
related fees;
2. To the Senior Certificates, concurrently,
the related Accrued Certificate Interest and
any Interest Carry Forward Amount for
such Class of Certificates for such
Distribution Date;
3. Sequentially, to the Class M-1, Class M-2 and
Class B Certificates, the Accrued Certificate
Interest;
4. To the Class A Certificates, the Senior
Principal Distribution Amount for such
Distribution Date, excluding any Subordination
Increase Amount;
5. Sequentially, to the Class M-1, Class M-2 and
Class B Certificates, the related principal
distribution amount due (until the related
required credit enhancement level is met),
excluding any Subordination Increase Amounts;
6. To the Certificates, the related Subordination
Increase Amount, distributed in the order of
priorities set forth in 4 and 5 above;
7. To the holders of the Class M-1 Certificates,
in an amount equal to the Interest Carry Forward
Amount for such class;
8. To the holders of the Class M-1 Certificates,
in an amount equal to the Realized Loss Amount
allocable to the Class M-1 Certificates:
9. To the holders of the Class M-2 Certificates,
in an amount equal to the Interest Carry
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 7
TRANSACTION HIGHLIGHTS (CONT'D)
Forward Amount for such class;
10. To the holders of the Class M-2 Certificates,
in an amount equal to the Realized Loss Amount
allocable to the Class M-2 Certificates:
11. To the holders of the Class B Certificates, in
an amount equal to the Interest Carry Forward
Amount for such class;
12. To the holders of the Class B Certificates, in
an amount equal to the Realized Loss Amount
allocable to the Class B Certificates:
13. Sequentially, (a) concurrently to the Class A-1
and Class A-2 Certificates, pro rata, and
(b) sequentially to the Class M-1, Class M-2
and Class B Certificates, in that order, the
related Net Rate Cap Carryover;
14. To the Class C Certificates, the amounts
required by the pooling and servicing agreement;
15. To the residual certificates, any remaining
amounts.
On any Distribution Date, any Interest Shortfalls to
the extent not covered by Compensating Interest
paid by the Servicer will be allocated, first, to
the interest distribution amount with respect to
the Class C Certificates, and thereafter, to the
Accrued Certificate Interest with respect to the
Senior Certificates and Subordinate Certificates
on a pro rata basis based on the respective
amounts of interest accrued on such Certificates
for such Distribution Date. THE HOLDERS OF THE
OFFERED CERTIFICATES WILL NOT BE ENTITLED TO
REIMBURSEMENT FOR ANY SUCH INTEREST SHORTFALLS.
Interest Shortfall: As to any Class of Certificates and any Distribution
Date, is the amount equal to the sum of Relief
Act Shortfalls and Prepayment Interest Shortfalls.
Accrued Certificate
Interest: As to any Distribution Date and for any Class of
Certificates, the amount of interest due thereon
in respect of any Interest Period at the
applicable pass-through rate, less the related
pro rata share of Interest Shortfalls.
Interest Carry Forward
Amount: As to any Distribution Date and for any Class of
Certificates, the amount, if any, by which (i)
the Accrued Certificate Interest on such Class
for the preceding Distribution Date plus any
outstanding Interest Carry Forward Amount with
respect to such Class from the second preceding
Distribution Date (together with interest on such
outstanding Interest Carry Forward Amount at the
related pass-through rate for the related
Interest Period to the extent lawful) exceeds
(ii) the amount of interest actually distributed
to the holders of such Certificates on such
preceding Distribution Date.
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 8
TRANSACTION HIGHLIGHTS (CONT'D)
Servicing Advances: Each month the Servicer will determine
the amount of any unpaid interest due on the
Mortgage Loans. If the Servicer believes that
unpaid interest can be recovered from the related
Mortgage Loan, then the Servicer will either:
o Advance the unpaid interest to the trust
out of its own funds; or
o Advance the unpaid interest to the trust out
of collections on the Mortgage Loans that
are not required to be distributed on the
related Distribution Date.
The Servicer is required to reimburse the Trust
for amounts advanced from trust collections on
the next deposit date.
The Servicer shall be entitled to be reimbursed
by the Trust for servicing advances from the
related Mortgage Loan in respect of which the
servicing advance was made.
Compensating Interest: Subject to the limitation described below, the
Servicer will provide to the Trust, from the
servicing fee, the amount of any shortfall in
the anticipated collection of interest on a
Mortgage Loan that is caused by a full or partial
prepayment, liquidation or other charge off of
any Mortgage Loan without any right of
reimbursement ("COMPENSATING INTEREST"); provided
that the maximum amount to be so covered
from the servicing fee on any Distribution Date
is the product of (i) one-twelfth of 0.25% and
(ii) the Mortgage Loan Balance as of the last day
of the related Due Period.
Principal Distribution
Amount: As to any Distribution Date, the lesser of: (i)
the balance of the Certificates prior to such
Distribution Date and (ii) the sum of (a)
principal from the Mortgage Loans less any Excess
OC Amount and (b) the Subordination Increase
Amount.
Senior Principal
Distribution Amount: As to any Distribution Date prior to the Stepdown
Date or during the continuation of a Delinquency
Event, the lesser of (i) 100% of the Principal
Distribution Amount and (ii) the balance of the
Class A Certificates.
As to any other Distribution Date, an amount
equal to the excess, if any, of (i) the balance
of the Class A Certificates prior to such
Distribution Date over (ii) the lesser of (a)
70.00% of the balance of the Mortgage Loans as of
the end of the related due period less the
Subordination Required Overcollateralization
Amount for that Distribution Date and (b) the
balance of the Mortgage Loans as of the last day
of the related Due Period minus the OC Floor.
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 9
TRANSACTION HIGHLIGHTS (CONT'D)
Class A Principal
Allocation Percentage: The "Class A Principal Allocation Percentage" for
any Class of Class A Certificates for any
Distribution Date is the percentage equivalent of
a fraction, the numerator of which is (x) the
portion of principal received for such
Distribution Date that is related to the related
Mortgage Loans, and the denominator of which is
(y) the total principal received for such
Distribution Date.
Priority of Class A
Principal Distribution: The Senior Principal Distribution Amount for any
applicable Distribution Date, excluding any
Subordination Increase Amount included in that
amount, distributed as follows:
A. To the Class A-1 Certificates, payable
solely from the principal received from the
Group I Mortgage Loans, an amount equal to
the product of (a) the Senior Principal
Distribution Amount, excluding any
Subordination Increase Amount included in
that amount, and (b) the Class A Principal
Allocation Percentage applicable to the
Class A-1 Certificates, until the
certificate principal balance is reduced to
zero;
B. To the Class A-2 Certificates, payable
solely from the principal received from the
Group II Mortgage Loans, an amount equal to
the product of (a) the Senior Principal
Distribution Amount, excluding any
Subordination Increase Amount included in
that amount, and (b) the Class A Principal
Allocation Percentage applicable to the
Class A-2 Certificates, until the
certificate principal balance is reduced to
zero;
If the certificate principal balance of either
class of Class A Certificates is reduced to zero,
then the remaining amount of principal
distributions distributable to the holders of the
Class A Certificates on such Distribution Date,
and the amount of principal distributions
distributable to the holders of the Class A
Certificates on all subsequent distribution
dates, will be distributed to the holders of the
Class A Certificates remaining outstanding, until
the certificate principal balance of such class
of Class A Certificates remaining outstanding has
been reduced to zero.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 10
TRANSACTION HIGHLIGHTS (CONT'D)
Class M-1 Principal
Distribution Amount:
As to any Distribution Date on or after the Stepdown
Date, (x) 100% of the Principal Distribution Amount if
the balance of the Class A Certificates has been
reduced to zero and a Delinquency Event exists, or (y)
if a Delinquency Event is not in effect, the excess of
(1) the sum of
(A) the aggregate class principal balance of the
Class A Certificates, after taking into
account distributions of the Senior Principal
Distribution Amount for the applicable
Distribution Date, and
(B) the class principal balance of the Class M-1
Certificates immediately prior to the
applicable Distribution Date
Over (2) the lesser of
(A) 82.50% of the Mortgage Loan Balance as of the
last day of the related Due Period less the
Subordination Required Overcollateralization
Amount for that Distribution Date, and
(B) the balance of the Mortgage Loans as of the
last day of the related Due Period minus the
OC Floor.
Class M-2 Principal
Distribution Amount: As to any Distribution Date on or after the Stepdown
Date, (x) 100% of the Principal Distribution Amount if
the aggregate balance of the Class A Certificates and
Class M-1 Certificates has been reduced to zero and a
Delinquency Event exists, or (y) if a Delinquency
Event is not in effect, the excess of
(1) the sum of
(A) the aggregate class principal balance of the
Class A Certificates, after taking into
account distributions of the Senior Principal
Distribution Amount for the applicable
Distribution Date,
(B) the aggregate class principal balance of the
Class M-1 Certificates, after taking into
account distributions of the Class M-1
Principal Distribution Amount for the
applicable Distribution Date, and
(C) the class principal balance of the Class M-2
Certificates immediately prior to the
applicable Distribution Date
Over (2) the lesser of
(A) 92.00% of the Mortgage Loan Balance as
of the last day of the related Due
Period less the Subordination Required
Overcollateralization Amount for that
Distribution Date, and
(B) the balance of the Mortgage Loans as of
the last day of the related Due Period minus
the OC Floor.
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 11
TRANSACTION HIGHLIGHTS (CONT'D)
Class B Principal
Distribution Amount: As to any Distribution Date on or after the Stepdown
Date, (x) 100% of the Principal Distribution Amount if
the aggregate balance of the Class A and Class M
Certificates has been reduced to zero and a
Delinquency Event exists, or (y) if a Delinquency
Event is not in effect, the excess of
(1) the sum of
(A) the aggregate class principal balance of the
Class A Certificates, after taking into
account distributions of the Senior Principal
Distribution Amount for the applicable
Distribution Date,
(B) the aggregate class principal balance of the
Class M-1 Certificates, after taking into
account distributions of the Class M-1
Principal Distribution Amount for the
applicable Distribution Date, and
(C) the aggregate class principal balance of the
Class M-2 Certificates, after taking into
account distributions of the Class M-2
Principal Distribution Amount for the
applicable Distribution Date
(D) the class principal balance of the Class B
Certificates immediately prior to the
applicable Distribution Date
Over (2) the lesser of
(A) 100% of the Mortgage Loan Balance as of the
last day of the related Due Period less the
Subordination Required Overcollateralization
Amount for that Distribution Date, and
(B) the balance of the Mortgage Loans as of the
last day of the related Due Period minus the
OC Floor.
Allocation of Losses: Losses not covered by the available credit enhancement
will be allocated in the reverse order of payment
priority (first to the Class B, then the Class M-2 and
then the Class M-1 Certificates).
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 12
TRANSACTION HIGHLIGHTS (CONT'D)
Class IO Notional
Balance Schedule: The notional balance of the Class IO Certificates will
be equal to the lesser of (a) the balance of the
Mortgage Loans and (b) the balance indicated in the
schedule provided below.
DISTRIBUTION MONTH NOTIONAL BALANCE
------------------ ----------------
1 to 3 $35,000,000
4 to 6 33,390,974
7 to 9 31,252,480
10 to 12 28,387,048
13 to 15 25,024,348
16 to 18 21,971,706
19 to 21 19,290,166
22 to 24 16,934,736
25 to 27 14,865,868
28 to 30 13,048,799
31 to 33 11,452,973
34 to 36 10,051,536
37 and after 0
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 13
TO MATURITY
PERCENTAGE OF CLASS A-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING(1)
PPC 0%/ PPC 50%/ PPC 85%/ PPC 115%/ PPC 150%/ PPC 175%/ PPC 200%/
DATES CPR 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45%
---------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Initial 100 100 100 100 100 100 100
Sep-02 96 88 82 77 71 66 62
Sep-03 94 75 63 53 42 35 28
Sep-04 93 64 48 35 23 15 8
Sep-05 92 55 36 27 19 15 8
Sep-06 90 46 30 21 13 9 6
Sep-07 88 39 24 16 9 6 4
Sep-08 86 34 20 12 6 4 2
Sep-09 84 30 16 9 4 2 1
Sep-10 82 26 13 7 3 2 1
Sep-11 79 23 10 5 2 1 0
Sep-12 76 20 8 4 1 0 0
Sep-13 73 17 7 3 1 0 0
Sep-14 70 15 5 2 0 0 0
Sep-15 66 13 4 2 0 0 0
Sep-16 62 11 3 1 0 0 0
Sep-17 59 10 3 1 0 0 0
Sep-18 56 8 2 0 0 0 0
Sep-19 52 7 2 0 0 0 0
Sep-20 49 6 1 0 0 0 0
Sep-21 45 5 1 0 0 0 0
Sep-22 41 4 1 0 0 0 0
Sep-23 36 4 0 0 0 0 0
Sep-24 33 3 0 0 0 0 0
Sep-25 30 2 0 0 0 0 0
Sep-26 26 2 0 0 0 0 0
Sep-27 21 1 0 0 0 0 0
Sep-28 16 1 0 0 0 0 0
Sep-29 11 0 0 0 0 0 0
Sep-30 5 0 0 0 0 0 0
Sep-31 0 0 0 0 0 0 0
AVERAGE LIFE TO 17.67 6.64 4.33 3.28 2.50 2.09 1.75
MATURITY [YEARS]
AVERAGE LIFE TO 17.66 6.52 4.19 3.18 2.42 2.02 1.69
CALL [YEARS]
1. PPC speeds apply to fixed rate collateral; CPR speeds apply to ARM
collateral.
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 14
TO MATURITY
PERCENTAGE OF CLASS A-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING(1)
PPC 0%/ PPC 50%/ PPC 85%/ PPC 115%/ PPC 150%/ PPC 175%/ PPC 200%/
DATES CPR 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45%
---------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Initial 100 100 100 100 100 100 100
Sep-02 97 88 82 77 70 66 62
Sep-03 96 76 63 53 42 35 28
Sep-04 95 65 48 35 23 15 8
Sep-05 93 56 37 28 19 15 8
Sep-06 92 47 30 21 13 10 7
Sep-07 91 40 25 16 9 6 4
Sep-08 89 35 20 12 6 4 2
Sep-09 88 31 17 9 4 2 1
Sep-10 86 27 14 7 3 2 1
Sep-11 84 24 11 5 2 1 0
Sep-12 82 21 9 4 1 0 0
Sep-13 80 19 7 3 1 0 0
Sep-14 77 17 6 2 0 0 0
Sep-15 75 15 5 2 0 0 0
Sep-16 72 13 4 1 0 0 0
Sep-17 69 11 3 1 0 0 0
Sep-18 65 10 3 0 0 0 0
Sep-19 62 8 2 0 0 0 0
Sep-20 58 7 2 0 0 0 0
Sep-21 53 6 1 0 0 0 0
Sep-22 48 5 1 0 0 0 0
Sep-23 44 4 1 0 0 0 0
Sep-24 40 4 0 0 0 0 0
Sep-25 36 3 0 0 0 0 0
Sep-26 31 2 0 0 0 0 0
Sep-27 26 2 0 0 0 0 0
Sep-28 21 1 0 0 0 0 0
Sep-29 15 1 0 0 0 0 0
Sep-30 9 0 0 0 0 0 0
Sep-31 0 0 0 0 0 0 0
AVERAGE LIFE TO 19.27 6.91 4. 42 3.32 2. 51 2.09 1. 74
MATURITY [YEARS]
AVERAGE LIFE TO 19.25 6.75 4. 26 3.20 2. 42 2.02 1. 68
CALL [YEARS]
1. PPC speeds apply to fixed rate collateral; CPR speeds apply to ARM
collateral.
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 15
TO MATURITY
PERCENTAGE OF CLASS M-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING(1)
PPC 0%/ PPC 50%/ PPC 85%/ PPC 115%/ PPC 150%/ PPC 175%/ PPC 200%/
DATES CPR 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45%
---------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Initial 100 100 100 100 100 100 100
Sep-02 100 100 100 100 100 100 100
Sep-03 100 100 100 100 100 100 100
Sep-04 100 100 100 100 100 100 100
Sep-05 100 100 96 72 51 39 71
Sep-06 100 100 78 55 35 25 17
Sep-07 100 100 64 42 24 16 10
Sep-08 100 89 52 31 17 10 6
Sep-09 100 79 42 24 11 6 2
Sep-10 100 69 34 18 8 4 0
Sep-11 100 61 28 13 5 0 0
Sep-12 100 53 22 10 2 0 0
Sep-13 100 46 18 7 0 0 0
Sep-14 100 40 14 6 0 0 0
Sep-15 100 35 11 4 0 0 0
Sep-16 100 30 9 1 0 0 0
Sep-17 100 26 7 0 0 0 0
Sep-18 100 22 6 0 0 0 0
Sep-19 100 19 5 0 0 0 0
Sep-20 100 16 2 0 0 0 0
Sep-21 100 14 0 0 0 0 0
Sep-22 100 12 0 0 0 0 0
Sep-23 98 10 0 0 0 0 0
Sep-24 89 8 0 0 0 0 0
Sep-25 80 6 0 0 0 0 0
Sep-26 69 5 0 0 0 0 0
Sep-27 57 3 0 0 0 0 0
Sep-28 44 0 0 0 0 0 0
Sep-29 30 0 0 0 0 0 0
Sep-30 14 0 0 0 0 0 0
Sep-31 0 0 0 0 0 0 0
AVERAGE LIFE TO 26.36 12.97 8.43 6.33 5.06 4.67 4.60
MATURITY [YEARS]
AVERAGE LIFE TO 26.34 12.69 8.14 6.11 4.90 4.52 4.48
CALL [YEARS]
1. PPC speeds apply to fixed rate collateral; CPR speeds apply to ARM
collateral.
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 16
TO MATURITY
PERCENTAGE OF CLASS M-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING(1)
PPC 0%/ PPC 50%/ PPC 85%/ PPC 115%/ PPC 150%/ PPC 175%/ PPC 200%/
DATES CPR 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45%
---------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Initial 100 100 100 100 100 100 100
Sep-02 100 100 100 100 100 100 100
Sep-03 100 100 100 100 100 100 100
Sep-04 100 100 100 100 100 100 100
Sep-05 100 100 96 72 51 39 29
Sep-06 100 100 78 55 35 25 17
Sep-07 100 100 64 42 24 16 10
Sep-08 100 89 52 31 17 10 4
Sep-09 100 79 42 24 11 5 0
Sep-10 100 69 34 18 8 0 0
Sep-11 100 61 28 13 2 0 0
Sep-12 100 53 22 10 0 0 0
Sep-13 100 46 18 7 0 0 0
Sep-14 100 40 14 3 0 0 0
Sep-15 100 35 11 0 0 0 0
Sep-16 100 30 9 0 0 0 0
Sep-17 100 26 7 0 0 0 0
Sep-18 100 22 3 0 0 0 0
Sep-19 100 19 1 0 0 0 0
Sep-20 100 16 0 0 0 0 0
Sep-21 100 14 0 0 0 0 0
Sep-22 100 12 0 0 0 0 0
Sep-23 98 10 0 0 0 0 0
Sep-24 89 8 0 0 0 0 0
Sep-25 80 5 0 0 0 0 0
Sep-26 69 2 0 0 0 0 0
Sep-27 57 0 0 0 0 0 0
Sep-28 44 0 0 0 0 0 0
Sep-29 30 0 0 0 0 0 0
Sep-30 14 0 0 0 0 0 0
Sep-31 0 0 0 0 0 0 0
AVERAGE LIFE TO 26.36 12.89 8.34 6.26 4.94 4.43 4.16
MATURITY [YEARS]
AVERAGE LIFE TO 26.34 12.69 8.14 6.11 4.82 4.33 4.08
CALL [YEARS]
1. PPC speeds apply to fixed rate collateral; CPR speeds apply to ARM
collateral.
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 17
TO MATURITY
PERCENTAGE OF CLASS B CERTIFICATE PRINCIPAL BALANCE OUTSTANDING(1)
PPC 0%/ PPC 50%/ PPC 85%/ PPC 115%/ PPC 150%/ PPC 175%/ PPC 200%/
DATES CPR 0% CPR 15% CPR 22% CPR 27% CPR 35% CPR 40% CPR 45%
---------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
Initial 100 100 100 100 100 100 100
Sep-02 100 100 100 100 100 100 100
Sep-03 100 100 100 100 100 100 100
Sep-04 100 100 100 100 100 100 100
Sep-05 100 100 96 72 51 39 29
Sep-06 100 100 78 55 35 25 16
Sep-07 100 100 64 42 24 14 5
Sep-08 100 89 52 31 16 5 0
Sep-09 100 79 42 24 7 0 0
Sep-10 100 69 34 18 1 0 0
Sep-11 100 61 28 10 0 0 0
Sep-12 100 53 22 4 0 0 0
Sep-13 100 46 18 0 0 0 0
Sep-14 100 40 12 0 0 0 0
Sep-15 100 35 7 0 0 0 0
Sep-16 100 30 3 0 0 0 0
Sep-17 100 26 0 0 0 0 0
Sep-18 100 22 0 0 0 0 0
Sep-19 100 19 0 0 0 0 0
Sep-20 100 15 0 0 0 0 0
Sep-21 100 11 0 0 0 0 0
Sep-22 100 7 0 0 0 0 0
Sep-23 98 4 0 0 0 0 0
Sep-24 89 1 0 0 0 0 0
Sep-25 80 0 0 0 0 0 0
Sep-26 69 0 0 0 0 0 0
Sep-27 57 0 0 0 0 0 0
Sep-28 44 0 0 0 0 0 0
Sep-29 30 0 0 0 0 0 0
Sep-30 12 0 0 0 0 0 0
Sep-31 0 0 0 0 0 0 0
AVERAGE LIFE TO 26.33 12.61 8.09 6.07 4.75 4.22 3.88
MATURITY [YEARS]
AVERAGE LIFE TO 26.32 12.58 8.06 6.05 4.74 4.20 3.87
CALL [YEARS]
1. PPC speeds apply to fixed rate collateral; CPR speeds apply to ARM
collateral.
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 18
GROUP I - COLLATERAL SUMMARY
--------------------------------------------------------------------------------
GROUP I SUMMARY TABLE
--------------------------------------------------------------------------------
NUMBER OF MORTGAGE LOANS 1,650
TOTAL OUTSTANDING PRINCIPAL BALANCE $131,072,773
AVERAGE PRINCIPAL BALANCE $79,438
WEIGHTED AVERAGE MORTGAGE COUPON RATE 10.070%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 334.3 months
WEIGHTED AVERAGE REMAINING TERM (MOS.) 332.6 months
WEIGHTED AVERAGE FICO 602.9
WEIGHTED AVERAGE CLTV 74.66
--------------------------------------------------------------------------------
GROUP I
ADJUSTMENT TYPE
NUMBER OF TOTAL CURRENT % OF TOTAL
ADJUSTMENT TYPE MORTGAGE LOANS BALANCE CURRENT BALANCE
--------------------------------------------------------------------------------
Fixed Rate 1,593 126,867,370.62 96.79
ARM 57 4,205,402.00 3.21
--------------------------------------------------------------------------------
TOTAL: 1,650 131,072,772.62 100.00
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 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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 19
GROUP I
CURRENT MORTGAGE LOAN PRINCIPAL BALANCE
CURRENT MORTGAGE LOAN NUMBER OF TOTAL CURRENT % OF TOTAL
PRINCIPAL BALANCE ($) MORTGAGE LOANS BALANCE CURRENT BALANCE
-------------------------------------------------------------------------------------------------
(less than or equal to 50,000.00 561 20,279,363.45 15.47
50,000.01 - 75,000.00 447 27,609,075.97 21.06
75,000.01 - 100,000.00 223 19,179,222.40 14.63
100,000.01 - 125,000.00 139 15,567,461.14 11.88
125,000.01 - 150,000.00 103 14,123,553.46 10.78
150,000.01 - 175,000.00 75 12,215,719.36 9.32
175,000.01 - 200,000.00 40 7,568,590.93 5.77
200,000.01 - 225,000.00 32 6,791,524.24 5.18
225,000.01 - 250,000.00 16 3,813,165.50 2.91
250,000.01 (greater than or equal to) 14 3,925,096.17 2.99
-------------------------------------------------------------------------------------------------
TOTAL: 1,650 131,072,772.62 100.00
Minimum: $11,182
Maximum: $364,255
Average: $79,438
GROUP I
CURRENT MORTGAGE RATES
NUMBER OF TOTAL CURRENT % OF TOTAL
CURRENT MORTGAGE RATES (%) MORTGAGE LOANS BALANCE CURRENT BALANCE
-------------------------------------------------------------------------------------------------
(less than or equal to) 7.000 4 521,089.94 0.40
7.001 - 8.000 94 11,514,150.21 8.78
8.001 - 9.000 251 28,733,319.51 21.92
9.001 - 10.000 421 36,176,722.79 27.60
10.001 - 11.000 314 23,327,584.06 17.80
11.001 - 12.000 248 14,555,764.71 11.11
12.001 - 13.000 203 11,253,486.17 8.59
13.001 - 14.000 90 3,929,722.12 3.00
14.001 - 15.000 25 1,060,933.11 0.81
-------------------------------------------------------------------------------------------------
TOTAL: 1,650 131,072,772.62 100.00
Minimum: 6.7140%
Maximum: 15.0000%
Weighted Average: 10.0697%
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 20
GROUP I
ORIGINAL TERM
NUMBER OF TOTAL CURRENT % OF TOTAL
ORIGINAL TERM (MONTHS) MORTGAGE LOANS BALANCE CURRENT BALANCE
-------------------------------------------------------------------------------------------------
61 - 120 15 716,676.98 0.55
121 - 180 258 14,490,247.78 11.06
181 - 240 63 4,636,024.75 3.54
241 - 300 5 447,541.61 0.34
301 - 360 1,309 110,782,281.50 84.52
-------------------------------------------------------------------------------------------------
TOTAL: 1,650 131,072,772.62 100.00
Minimum: 96 months
Maximum: 360 months
Weighted Average: 334.3 months
GROUP I
REMAINING TERM TO STATED MATURITY
REMAINING TERM NUMBER OF TOTAL CURRENT % OF TOTAL
TO STATED MATURITY (MONTHS) MORTGAGE LOANS BALANCE CURRENT BALANCE
-------------------------------------------------------------------------------------------------
61 - 120 15 716,676.98 0.55
121 - 180 258 14,490,247.78 11.06
181 - 240 63 4,636,024.75 3.54
241 - 300 5 447,541.61 0.34
301 - 360 1,309 110,782,281.50 84.52
-------------------------------------------------------------------------------------------------
TOTAL: 1,650 131,072,772.62 100.00
Minimum: 96 months
Maximum: 360 months
Weighted Average: 332.6 months
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 21
GROUP I
DISTRIBUTION OF CURRENT LOAN-TO-VALUE RATIOS
CURRENT NUMBER OF TOTAL CURRENT % OF TOTAL
LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS BALANCE CURRENT BALANCE
--------------------------------------------------------------------------------------------------------------
(less than or equal to) 50.00 144 6,406,590.99 4.89
50.01 - 60.00 112 7,870,767.63 6.00
60.01 - 70.00 318 21,667,320.12 16.53
70.01 - 75.00 289 22,922,547.38 17.49
75.01 - 80.00 514 44,104,333.36 33.65
80.01 - 85.00 150 14,109,157.50 10.76
85.01 - 90.00 109 12,571,254.45 9.59
90.01 - 95.00 7 835,867.57 0.64
95.01 - 100.00 7 584,933.62 0.45
--------------------------------------------------------------------------------------------------------------
TOTAL: 1,650 131,072,772.62 100.00
Minimum: 3.74%
Maximum: 100.00%
Weighted Average: 74.66%
GROUP I
OCCUPANCY
NUMBER OF TOTAL CURRENT % OF TOTAL
OCCUPANCY MORTGAGE LOANS BALANCE CURRENT BALANCE
--------------------------------------------------------------------------------------------------------------
Primary 1,483 121,565,292.04 92.75
Non-Owner Occupied 167 9,507,480.58 7.25
--------------------------------------------------------------------------------------------------------------
TOTAL: 1,650 131,072,772.62 100.00
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 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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 22
GROUP I
PROPERTY TYPES
NUMBER OF TOTAL CURRENT % OF TOTAL
PROPERTY TYPE MORTGAGE LOANS BALANCE CURRENT BALANCE
-----------------------------------------------------------------------------------------
Single Family Residence 1,465 115,729,592.77 88.29
2 Family 108 8,203,946.68 6.26
Condo 33 2,992,610.24 2.28
3 Family 19 1,944,289.25 1.48
4 Family 13 1,362,127.05 1.04
Manufactured Housing 11 774,475.11 0.59
Townhouse 1 65,731.52 0.05
-----------------------------------------------------------------------------------------
TOTAL: 1,650 131,072,772.62 100.00
GROUP I
GEOGRAPHIC DISTRIBUTION BY STATE
GEOGRAPHIC
DISTRIBUTION NUMBER OF TOTAL CURRENT % OF TOTAL
BY STATE MORTGAGE LOANS BALANCE CURRENT BALANCE
-----------------------------------------------------------------------------------------
Arizona 41 2,881,460.14 2.20
Arkansas 3 86,761.06 0.07
California 220 28,025,545.45 21.38
Colorado 4 320,453.13 0.24
Connecticut 15 1,578,924.71 1.20
Delaware 1 36,895.51 0.03
District of Columbia 1 85,459.04 0.07
Florida 85 7,029,338.30 5.36
Georgia 23 1,916,448.97 1.46
Hawaii 16 2,665,503.08 2.03
Idaho 8 574,194.71 0.44
Illinois 92 6,898,285.95 5.26
Indiana 21 1,290,744.65 0.98
Iowa 59 3,446,571.44 2.63
Kansas 5 315,054.31 0.24
Kentucky 2 102,354.88 0.08
Louisiana 7 373,226.77 0.28
Maryland 12 1,039,311.72 0.79
Massachusetts 19 2,545,285.72 1.94
Michigan 114 7,181,489.44 5.48
Minnesota 25 2,910,301.15 2.22
Mississippi 10 451,214.32 0.34
Missouri 41 2,192,789.25 1.67
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 23
GEOGRAPHIC
DISTRIBUTION NUMBER OF TOTAL CURRENT % OF TOTAL
BY STATE MORTGAGE LOANS BALANCE CURRENT BALANCE
-----------------------------------------------------------------------------------------
Montana 5 386,215.17 0.29
Nebraska 4 319,754.99 0.24
Nevada 27 3,053,757.84 2.33
New Hampshire 3 532,823.93 0.41
New Jersey 28 2,966,790.29 2.26
New Mexico 1 44,983.92 0.03
New York 110 7,907,796.08 6.03
North Carolina 21 1,155,297.78 0.88
Ohio 125 7,726,957.10 5.90
Oklahoma 18 986,454.27 0.75
Oregon 15 1,836,298.69 1.40
Pennsylvania 86 5,538,495.89 4.23
Rhode Island 6 531,489.93 0.41
South Carolina 4 371,691.13 0.28
South Dakota 1 19,590.00 0.01
Tennessee 44 2,355,674.14 1.80
Texas 263 16,367,547.40 12.49
Utah 7 630,798.10 0.48
Virginia 31 2,294,414.44 1.75
Washington 13 1,114,582.83 0.85
West Virginia 3 116,927.82 0.09
Wisconsin 11 866,817.18 0.66
-----------------------------------------------------------------------------------------
TOTAL: 1,650 131,072,772.62 100.00
Number of States Represented: 44 and the District of Columbia
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 24
GROUP I
ORIGINATOR
NUMBER OF TOTAL CURRENT % OF TOTAL
ORIGINATOR MORTGAGE LOANS BALANCE CURRENT BALANCE
--------------------------------------------------------------------------------------------------
Broker/Wholesale 306 29,398,568.80 22.43
National Loan Center 181 14,718,377.23 11.23
Retail 1,161 86,676,533.53 66.13
Unaffiliated Originator 2 279,293.06 0.21
--------------------------------------------------------------------------------------------------
TOTAL: 1,650 131,072,772.62 100.00
GROUP I
DOCUMENTATION LEVEL
NUMBER OF TOTAL CURRENT % OF TOTAL
DOCUMENTATION LEVEL MORTGAGE LOANS BALANCE CURRENT BALANCE
--------------------------------------------------------------------------------------------------
Full 1,387 107,872,618.87 82.30
Stated Documentation 219 19,867,033.54 15.16
Light 44 3,333,120.21 2.54
--------------------------------------------------------------------------------------------------
TOTAL: 1,650 131,072,772.62 100.00
GROUP I
CREDIT GRADE
CREDIT NUMBER OF TOTAL CURRENT % OF TOTAL
GRADE MORTGAGE LOANS BALANCE CURRENT BALANCE
--------------------------------------------------------------------------------------------------
A+ 56 5,189,321.77 3.96
A 256 25,517,104.85 19.47
A- 425 37,353,653.66 28.50
B+ 143 11,196,523.20 8.54
B 358 27,158,425.85 20.72
B- 49 2,618,905.10 2.00
C+ 39 2,261,294.10 1.73
C 225 13,561,085.20 10.35
C- 58 3,646,477.13 2.78
D 41 2,569,981.76 1.96
--------------------------------------------------------------------------------------------------
TOTAL: 1,650 131,072,772.62 100.00
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 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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 25
GROUP I
FICO SCORE
FICO NUMBER OF TOTAL CURRENT % OF TOTAL
SCORE MORTGAGE LOANS BALANCE CURRENT BALANCE
-------------------------------------------------------------------------------------------------
Non applicable 23 835,382.35 0.64
1 - 540 199 13,006,724.36 9.92
541 - 580 412 28,909,257.89 22.06
581 - 620 548 45,244,380.73 34.52
621 - 660 324 29,755,432.91 22.70
661 - 700 91 8,414,386.69 6.42
701 - 740 36 3,580,792.53 2.73
741 - 780 14 1,070,117.85 0.82
781 - 820 3 256,297.31 0.20
-------------------------------------------------------------------------------------------------
TOTAL: 1,650 131,072,772.62 100.00
Minimum: 430
Maximum: 811
Weighted Average: 602.9
GROUP I - ADJUSTABLE RATE MORTGAGE LOANS
MARGIN
NUMBER OF TOTAL CURRENT % OF TOTAL
MARGIN (%) MORTGAGE LOANS BALANCE CURRENT BALANCE
-------------------------------------------------------------------------------------------------
4.001 - 4.500 2 125,689.88 2.99
5.001 - 5.500 3 274,247.46 6.52
5.501 - 6.000 8 628,962.45 14.96
6.001 - 6.500 9 661,096.49 15.72
6.501 - 7.000 14 1,361,321.86 32.37
7.001 - 7.500 1 69,664.38 1.66
7.501 - 8.000 12 701,527.43 16.68
8.001 (greater than or equal to) 8 382,892.05 9.10
-------------------------------------------------------------------------------------------------
TOTAL: 57 4,205,402.00 100.00
Minimum: 4.0090%
Maximum: 9.8800%
Weighted Average: 6.7576%
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 26
GROUP I - ADJUSTABLE RATE MORTGAGE LOANS
NEXT RATE ADJUSTMENT DATE
NUMBER OF TOTAL CURRENT % OF TOTAL
NEXT RATE ADJUSTMENT DATE MORTGAGE LOANS BALANCE CURRENT BALANCE
-------------------------------------------------------------------------------------------------------------------
4/1/2004 2 145,350.34 3.46
5/1/2004 29 1,811,751.49 43.08
6/1/2004 25 2,179,348.02 51.82
7/1/2004 1 68,952.15 1.64
-------------------------------------------------------------------------------------------------------------------
TOTAL: 57 4,205,402.00 100.00
Minimum: 2004-04-01
Maximum: 2004-07-01
Weighted Average Months: 32.5
GROUP I - ADJUSTABLE RATE MORTGAGE LOANS
MAXIMUM MORTGAGE RATES
NUMBER OF TOTAL CURRENT % OF TOTAL
MAXIMUM MORTGAGE RATES (%) MORTGAGE LOANS BALANCE CURRENT BALANCE
-------------------------------------------------------------------------------------------------------------------
14.001 - 15.000 2 125,689.88 2.99
15.001 - 16.000 8 828,230.54 19.69
16.001 - 17.000 18 1,566,488.64 37.25
17.001 - 18.000 12 682,231.16 16.22
18.001 - 19.000 8 486,918.67 11.58
19.001 - 20.000 8 458,374.52 10.90
20.001 (greater than or equal to) 1 57,468.59 1.37
-------------------------------------------------------------------------------------------------------------------
TOTAL: 57 4,205,402.00 100.00
Minimum: 14.3990%
Maximum: 20.0500%
Weighted Average: 17.0913%
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 27
GROUP II - COLLATERAL SUMMARY
--------------------------------------------------------------------------------
SUMMARY TABLE GROUP II
--------------------------------------------------------------------------------
NUMBER OF MORTGAGE LOANS 41
TOTAL OUTSTANDING PRINCIPAL BALANCE $15,892,809
AVERAGE PRINCIPAL BALANCE $387,629
WEIGHTED AVERAGE MORTGAGE COUPON RATE 9.234%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 356.5 months
WEIGHTED AVERAGE REMAINING TERM (MOS.) 354.8 months
WEIGHTED AVERAGE FICO 606.9
WEIGHTED AVERAGE CLTV 74.57
--------------------------------------------------------------------------------
GROUP II
ADJUSTMENT TYPE
NUMBER OF TOTAL CURRENT % OF TOTAL
ADJUSTMENT TYPE MORTGAGE LOANS BALANCE CURRENT BALANCE
----------------------------------------------------------------------------
Fixed Rate 40 15,393,443.14 96.86
ARM 1 499,365.58 3.14
----------------------------------------------------------------------------
TOTAL: 41 15,892,808.72 100.00
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 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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 28
GROUP II
CURRENT MORTGAGE LOAN PRINCIPAL BALANCE
CURRENT MORTGAGE LOAN NUMBER OF TOTAL CURRENT % OF TOTAL
PRINCIPAL BALANCE ($) MORTGAGE LOANS BALANCE CURRENT BALANCE
-----------------------------------------------------------------------------------------------
250,000.01 - 300,000.00 9 2,579,642.50 16.23
300,000.01 - 400,000.00 21 7,007,640.83 44.09
400,000.01 - 500,000.00 6 2,855,915.39 17.97
600,000.01 - 700,000.00 3 1,936,500.60 12.18
700,000.01 - 800,000.00 2 1,513,109.40 9.52
-----------------------------------------------------------------------------------------------
TOTAL: 41 15,892,808.72 100.00
Minimum: $275,780
Maximum: $763,890
Average: $387,629
GROUP II
CURRENT MORTGAGE RATES
NUMBER OF TOTAL CURRENT % OF TOTAL
CURRENT MORTGAGE RATES (%) MORTGAGE LOANS BALANCE CURRENT BALANCE
-----------------------------------------------------------------------------------------------
7.001 - 8.000 11 4,157,262.77 26.16
8.001 - 9.000 13 4,554,182.02 28.66
9.001 - 10.000 9 4,200,977.23 26.43
10.001 - 11.000 4 1,727,145.80 10.87
11.001 - 12.000 1 343,788.59 2.16
12.001 - 13.000 3 909,452.31 5.72
-----------------------------------------------------------------------------------------------
TOTAL: 41 15,892,808.72 100.00
Minimum: 7.7500%
Maximum: 13.0000%
Weighted Average: 9.2337%
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 29
GROUP II
ORIGINAL TERM
NUMBER OF TOTAL CURRENT % OF TOTAL
ORIGINAL TERM (MONTHS) MORTGAGE LOANS BALANCE CURRENT BALANCE
-------------------------------------------------------------------------------------------------------
121 - 180 1 306,539.92 1.93
301 - 360 40 15,586,268.80 98.07
-------------------------------------------------------------------------------------------------------
TOTAL: 41 15,892,808.72 100.00
Minimum: 180 months
Maximum: 360 months
Weighted Average: 356.5 months
GROUP II
REMAINING TERM TO STATED MATURITY
REMAINING TERM NUMBER OF TOTAL CURRENT % OF TOTAL
TO STATED MATURITY (MONTHS) MORTGAGE LOANS BALANCE CURRENT BALANCE
-------------------------------------------------------------------------------------------------------
121 - 180 1 306,539.92 1.93
301 - 360 40 15,586,268.80 98.07
-------------------------------------------------------------------------------------------------------
TOTAL: 41 15,892,808.72 100.00
Minimum: 178 months
Maximum: 360 months
Weighted Average: 354.8 months
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 30
GROUP II
CURRENT LOAN-TO-VALUE RATIO
CURRENT NUMBER OF TOTAL CURRENT % OF TOTAL
LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS BALANCE CURRENT BALANCE
----------------------------------------------------------------------------------------------------
50.01 - 60.00 1 299,823.79 1.89
60.01 - 70.00 9 4,278,391.90 26.92
70.01 - 75.00 10 3,634,343.38 22.87
75.01 - 80.00 15 5,792,971.24 36.45
80.01 - 85.00 4 1,264,860.11 7.96
85.01 - 90.00 2 622,418.30 3.92
----------------------------------------------------------------------------------------------------
TOTAL: 41 15,892,808.72 100.00
Minimum: 54.51%
Maximum: 89.96%
Weighted Average: 74.57%
GROUP II
OCCUPANCY
NUMBER OF TOTAL CURRENT % OF TOTAL
OCCUPANCY MORTGAGE LOANS BALANCE CURRENT BALANCE
-----------------------------------------------------------------------------------------------------
Primary 41 15,892,808.72 100.00
-----------------------------------------------------------------------------------------------------
TOTAL: 41 15,892,808.72 100.00
GROUP II
PROPERTY TYPES
NUMBER OF TOTAL CURRENT % OF TOTAL
PROPERTY TYPE MORTGAGE LOANS BALANCE CURRENT BALANCE
-----------------------------------------------------------------------------------------------------
Single Family Residence 39 15,069,667.74 94.82
Condo 2 823,140.98 5.18
-----------------------------------------------------------------------------------------------------
TOTAL: 41 15,892,808.72 100.00
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 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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 31
GROUP II
GEOGRAPHIC DISTRIBUTION
GEOGRAPHIC
DISTRIBUTION NUMBER OF TOTAL CURRENT % OF TOTAL
BY STATE MORTGAGE LOANS BALANCE CURRENT BALANCE
------------------------------------------------------------------------------------------------------
California 18 6,475,469.42 40.74
Florida 1 313,077.03 1.97
Hawaii 1 499,726.31 3.14
Indiana 1 749,219.36 4.71
Massachusetts 1 365,305.49 2.30
Michigan 1 479,352.39 3.02
Montana 1 331,866.28 2.09
New Jersey 2 603,122.38 3.79
New York 3 1,034,829.10 6.51
North Carolina 1 299,823.79 1.89
Ohio 2 587,600.82 3.70
Oregon 3 1,778,388.88 11.19
Texas 5 1,983,449.23 12.48
Virginia 1 391,578.24 2.46
------------------------------------------------------------------------------------------------------
TOTAL: 41 15,892,808.72 100.00
Number of States Represented: 14
GROUP II
ORIGINATOR
NUMBER OF TOTAL CURRENT % OF TOTAL
ORIGINATOR MORTGAGE LOANS BALANCE CURRENT BALANCE
-------------------------------------------------------------------------------------------------------
Broker/Wholesale 20 7,145,316.21 44.96
National Loan Center 2 588,647.99 3.70
Retail 19 8,158,844.52 51.34
-------------------------------------------------------------------------------------------------------
TOTAL: 41 15,892,808.72 100.00
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 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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 32
GROUP II
DOCUMENTATION LEVEL
NUMBER OF TOTAL CURRENT % OF TOTAL
DOCUMENTATION LEVEL MORTGAGE LOANS BALANCE CURRENT BALANCE
-----------------------------------------------------------------------------------------------
Full 26 10,069,714.63 63.36
Stated Documentation 14 5,516,764.16 34.71
Light 1 306,329.93 1.93
-----------------------------------------------------------------------------------------------
TOTAL: 41 15,892,808.72 100.00
GROUP II
CREDIT GRADE
CREDIT NUMBER OF TOTAL CURRENT % OF TOTAL
GRADE MORTGAGE LOANS BALANCE CURRENT BALANCE
-----------------------------------------------------------------------------------------------
A+ 2 634,856.55 3.99
A 14 5,713,521.81 35.95
A- 12 5,172,483.53 32.55
B+ 3 998,438.96 6.28
-----------------------------------------------------------------------------------------------
B 6 2,188,275.88 13.77
B- 1 306,329.93 1.93
C 3 878,902.06 5.53
-----------------------------------------------------------------------------------------------
TOTAL: 41 15,892,808.72 100.00
GROUP II
FICO SCORE
FICO NUMBER OF TOTAL CURRENT % OF TOTAL
SCORE MORTGAGE LOANS BALANCE CURRENT BALANCE
-----------------------------------------------------------------------------------------------
1 - 540 2 610,539.17 3.84
541 - 580 7 2,646,095.74 16.65
581 - 620 19 8,108,243.00 51.02
621 - 660 9 3,281,849.03 20.65
661 - 700 4 1,246,081.78 7.84
-----------------------------------------------------------------------------------------------
TOTAL: 41 15,892,808.72 100.00
Minimum: 505
Maximum: 696
Weighted Average: 606.9
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 33
GROUP II - ADJUSTABLE RATE MORTGAGE LOANS
MARGIN
NUMBER OF TOTAL CURRENT % OF TOTAL
MARGIN (%) MORTGAGE LOANS BALANCE CURRENT BALANCE
--------------------------------------------------------------------------------------------------------
6.501 - 7.000 1 499,365.58 100.00
--------------------------------------------------------------------------------------------------------
TOTAL: 1 499,365.58 100.00
Minimum: 6.8800%
Maximum: 6.8800%
Weighted Average: 6.8800%
GROUP II - ADJUSTABLE RATE MORTGAGE LOANS
NEXT RATE ADJUSTMENT DATE
NUMBER OF TOTAL CURRENT % OF TOTAL
NEXT RATE ADJUSTMENT DATE MORTGAGE LOANS BALANCE CURRENT BALANCE
--------------------------------------------------------------------------------------------------------
6/1/2004 1 499,365.58 100.00
--------------------------------------------------------------------------------------------------------
TOTAL: 1 499,365.58 100.00
Minimum: 2004-06-01
Maximum: 2004-06-01
Weighted Average Months: 33.0
GROUP II - ADJUSTABLE RATE MORTGAGE LOANS
MAXIMUM MORTGAGE RATES
NUMBER OF TOTAL CURRENT % OF TOTAL
MAXIMUM MORTGAGE RATES (%) MORTGAGE LOANS BALANCE CURRENT BALANCE
--------------------------------------------------------------------------------------------------------
16.001 - 17.000 1 499,365.58 100.00
--------------------------------------------------------------------------------------------------------
TOTAL: 1 499,365.58 100.00
Minimum: 16.2500%
Maximum: 16.2500%
Weighted Average: 16.2500%
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
will contain all material information in respect of any securities offered
thereby and any decision to invest in such securities should be made solely in
reliance upon such Prospectus or Private Placement Memorandum. The information
contained here in may be based on certain assumptions regarding market
conditions and other matters and is therefore subject to change. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
PAGE 34
