EXHIBIT 99.1
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Xxxxxx Xxxxxxx October 20, 2004
Securitized Products Group
[Xxxxxx Xxxxxxx LOGO]
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Computational Materials
$629,380,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-NC8
Mortgage Pass-Through Certificates
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The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 1
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Xxxxxx Xxxxxxx October 20, 2004
Securitized Products Group
[Xxxxxx Xxxxxxx LOGO]
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The information herein has been prepared solely for informational 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. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
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The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 2
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Xxxxxx Xxxxxxx October 20, 2004
Securitized Products Group
[Xxxxxx Xxxxxxx LOGO]
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Approximately $629,380,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-NC8
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Chase Manhattan Mortgage Corporation
Countrywide Home Loans Inc.
Servicer
Transaction Highlights
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Modified
Expected Ratings Avg Life to Duration To
Offered (S&P/Fitch/ Call / Call / Payment Window To Call /
Classes Description Balance(4) Moody's) Mty(1)(2) Mty(1)(2)(3) Mty(1)(2)
====================================================================================================================================
A-1 Not Offered 533,155,000 AAA/AAA/Aaa 2.68 / 2.90 ***Not Offered***
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A-2A Floater 237,250,000 AAA/AAA/Aaa 1.07 / 1.07 1.06 / 1.06 12/04 - 01/07 / 12/04 - 01/07
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A-2B Floater 88,001,000 AAA/AAA/Aaa 3.00 / 3.00 2.91 / 2.91 01/07 - 03/09 / 01/07 - 03/09
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A-2C Floater 89,000,000 AAA/AAA/Aaa 6.60 / 7.61 6.09 / 6.88 03/09 - 11/12 / 03/09 - 04/22
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M-1 Floater 59,325,000 AA+/AA+/Aa1 5.37 / 5.93 4.99 / 5.42 03/08 - 11/12 / 03/08 - 09/19
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M-2 Floater 41,948,000 AA/AA/Aa2 5.34 / 5.88 4.96 / 5.38 02/08 - 11/12 / 02/08 - 11/18
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M-3 Floater 17,977,000 AA-/AA-/Aa3 5.34 / 5.85 4.95 / 5.34 01/08 - 11/12 / 01/08 - 02/18
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M-4 Floater 20,974,000 A+/A+/A1 5.32 / 5.81 4.88 / 5.25 01/08 - 11/12 / 01/08 - 09/17
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M-5 Floater 17,977,000 A/A/A2 5.32 / 5.78 4.86 / 5.21 01/08 - 11/12 / 01/08 - 02/17
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M-6 Floater 17,977,000 A-/A-/A3 5.32 / 5.74 4.84 / 5.15 12/07 - 11/12 / 12/07 - 07/16
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B-1 Floater 13,184,000 BBB+/BBB+/Baa1 5.31 / 5.68 4.75 / 5.01 12/07 - 11/12 / 12/07 - 11/15
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B-2 Floater 12,583,000 BBB/BBB/Baa2 5.31 / 5.61 4.73 / 4.95 12/07 - 11/12 / 12/07 - 03/15
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B-3 Floater 13,184,000 BBB-/BBB-/Baa3 5.31 / 5.50 4.53 / 4.66 12/07 - 11/12 / 12/07 - 06/14
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Initial
Offered Subordination
Classes Level Benchmark
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A-1 20.95% 1 Mo. LIBOR
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A-2A 20.95% 1 Mo. LIBOR
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A-2B 20.95% 1 Mo. LIBOR
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A-2C 20.95% 1 Mo. LIBOR
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M-1 16.00% 1 Mo. LIBOR
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M-2 12.50% 1 Mo. LIBOR
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M-3 11.00% 1 Mo. LIBOR
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M-4 9.25% 1 Mo. LIBOR
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M-5 7.75% 1 Mo. LIBOR
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M-6 6.25% 1 Mo. LIBOR
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B-1 5.15% 1 Mo. LIBOR
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B-2 4.10% 1 Mo. LIBOR
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B-3 3.00% 1 Mo. LIBOR
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Notes: (1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust
2004-NC8.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originator: NC Capital Corporation.
Servicer: Chase Manhattan Mortgage Corporation and
Countrywide Home Loans Inc.
Trustee: Deutsche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), Countrywide
Securities Corporation and Xxxxxxxx Capital
Partners, L.P.
Rating Agencies: Standard & Poor's, Fitch Ratings and Xxxxx'x
Investors Service.
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The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 3
Offered Certificates: The Class A-2A, A-2B, A-2C, M-1, M-2, M-3,
M-4, M-5, M-6, B-1, B-2 and B-3
Certificates.
Class A Certificates: The Class A-1, A-2A, A-2B and A-2C
Certificates.
Group II Class A
Certificates: The Class A-2A, Class A-2B and Class A-2C
Certificates.
Class A Certificate Group: The Class A-1 Certificates and Group II
Class A Certificates, as applicable.
Expected Closing Date: November 17, 2004 through DTC and Euroclear
or Clearstream. The Certificates will be
sold without accrued interest.
Cut-off Date: November 1, 2004
Distribution Dates: The 25th of each month, or if such day is
not a business day, on the next business
day, beginning December 25, 2004.
Final Scheduled
Distribution Date: For the Class A-2A Certificates, the
Distribution Date occurring in November
2013, and for all other Offered
Certificates, the Distribution Date
occurring in September 2034.
Minimum Denomination: The Offered Certificates will be issued and
available in denominations of $25,000
initial principal balance and integral
multiples of $1 in excess of $25,000.
Due Period: For any Distribution Date, the calendar
month preceding the month in which that
Distribution Date occurs.
Interest Accrual Period: The interest accrual period for the Offered
Certificates with respect to any
Distribution Date will be the period
beginning with the previous Distribution
Date (or, in the case of the first
Distribution Date, the Closing Date) and
ending on the day prior to the current
Distribution Date (on an actual/360 day
count basis).
Mortgage Loans: The Trust will consist of two groups of
adjustable and fixed rate sub-prime
residential, first-lien and second-lien
mortgage loans.
Group I Mortgage Loans: Approximately $674.5 million of Mortgage
Loans with original principal balances that
conform to the original principal balance
limits for one- to four-family residential
mortgage loan guidelines for purchase by
Freddie Mac.
Group II Mortgage Loans: Approximately $524.0 million of Mortgage
Loans that predominantly have original
principal balances that may or may not
conform to the original principal balance
limits for one- to four-family residential
mortgage loan guidelines for purchase by
Freddie Mac.
Pricing Prepayment Speed: o Fixed Rate Mortgage Loans: CPR starting
at approximately 1.5333% CPR in month 1
and increasing to 23% CPR in month 15
(23%/15 increase for each month), and
remaining at 23% CPR thereafter
o ARM Mortgage Loans: 25% CPR
Credit Enhancement: The Offered Certificates are creditenhanced
by:
1) Net monthly excess cashflow from the
Mortgage Loans,
2) 3.00% overcollateralization (funded
upfront). On and after the Step-down
Date, so long as a Trigger Event is
not in effect, the required
overcollateralization will equal 6.00%
of the aggregate principal balance of
the Mortgage Loans as of the last day
of the applicable Due Period, subject
to a 0.50% floor, based on the
aggregate principal balance of the
Mortgage Loans as of the cut-off date,
and
3) Subordination of distributions on the
more subordinate classes of
certificates (if applicable) to the
required distributions on the more
senior classes of certificates.
Senior Enhancement For any Distribution Date, the percentage
Percentage: obtained by dividing (x) the aggregate
Certificate Principal Balance of the
subordinate certificates (together with any
overcollateralization and taking into
account the distributions of the Principal
Distribution Amount for such Distribution
Date) by (y) the aggregate principal balance
of the Mortgage Loans as of the last day of
the related Due Period.
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The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 4
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring
in December 2007; and
(b) The Distribution Date on which
the aggregate balance of the
Class A Certificates is reduced
to zero; and
(y) The first Distribution Date on which
the Senior Enhancement Percentage
(calculated for this purpose only
after taking into account payments of
principal on the Mortgage Loans on the
last day of the related Due Period but
prior to principal distributions to
the certificates on the applicable
Distribution Date) is greater than or
equal to approximately 41.90%.
Trigger Event: Either a Delinquency Trigger Event or a
Cumulative Loss Trigger Event.
Delinquency Trigger Event: A Delinquency Trigger Event is in effect on
any Distribution Date if on that
Distribution Date the 60 Day+ Rolling
Average equals or exceeds [40%] of the prior
period's Senior Enhancement Percentage. The
60 Day+ Rolling Average will equal the
rolling 3 month average percentage of
Mortgage Loans that are 60 or more days
delinquent.
Cumulative Loss Trigger A Cumulative Loss Trigger Event is in effect
Event: on any Distribution Date if the aggregate
amount of Realized Losses incurred since the
cut-off date through the last day of the
related Prepayment Period divided by the
aggregate Stated Principal Balance of the
mortgage loans as of the cut-off date
exceeds the applicable percentages described
below with respect to such distribution
date:
Months 37- 48 [2.75] for the first
month, plus an
additional 1/12th of
[1.25] for each
month thereafter
(e.g., [3.375] in
Month 43)
Months 49- 60 [4.00] for the first
month, plus an
additional 1/12th of
[1.25] for each
month thereafter
(e.g., [4.625] in
Month 55)
Months 61- 72 [5.25] for the first
month, plus an
additional 1/12th of
[0.75] for each
month thereafter
(e.g., [5.625] in
Month 67)
Months 73- thereafter [6.00]
Initial Subordination Class A: 20.95%
Percentage: Class M-1: 16.00%
Class M-2: 12.50%
Class M-3: 11.00%
Class M-4: 9.25%
Class M-5: 7.75%
Class M-6: 6.25%
Class B-1: 5.15%
Class B-2: 4.10%
Class B-3: 3.00%
Optional Clean-up Call: When the current aggregate principal balance
of the Mortgage Loans is less than or equal
to 10% of the aggregate principal balance of
the Mortgage Loans as of the cut-off date.
The applicable fixed margin will increase by
2x on the Class A Certificates and by 1.5x
on all other Certificates after the first
distribution date on which the Optional
Clean-up Call is exercisable.
Step-up Coupons: For all Offered Certificates the coupon will
increase after the optional clean-up call
date, should the call not be exercised.
Class A-1 Pass-Through The Class A-1 Certificates will accrue
Rate: interest at a variable rate equal to the
least of (i) one-month LIBOR plus [] bps ([]
bps after the first distribution date on
which the Optional Clean-up Call is
exercisable), (ii) the Loan Group I Cap and
(iii) the WAC Cap.
Class A-2A, A-2B and A- The Class A-2A, A-2B and A-2C Certificates
2C Pass-Through Rate: will accrue interest at a variable rate
equal to the least of (i) one-month LIBOR
plus [] bps ([] bps after the first
distribution date on which the Optional
Clean-up Call is exercisable), (ii) the Loan
Group II Cap and (iii) the WAC Cap.
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The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 5
Class M-1 Pass-Through Rate: The Class M-1 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps
([] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class M-2 Pass-Through Rate: The Class M-2 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps
([] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class M-3 Pass-Through Rate: The Class M-3 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps
([] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class M-4 Pass-Through Rate: The Class M-4 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps
([] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class M-5 Pass-Through Rate: The Class M-5 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps
([] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class M-6 Pass-Through Rate: The Class M-6 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps
([] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class B-1 Pass-Through Rate: The Class B-1 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps
([] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class B-2 Pass-Through Rate: The Class B-2 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps
([] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
Class B-3 Pass-Through Rate: The Class B-3 Certificates will accrue
interest at a variable rate equal to the
lesser of (i) one-month LIBOR plus [] bps
([] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable) and (ii) the WAC Cap.
WAC Cap: For any distribution date, the product of
(i) the weighted average of the mortgage
rates for each mortgage loan (in each case,
less the applicable Expense Fee Rate) then
in effect on the beginning of the related
Due Period, adjusted, in each case, to
accrue on the basis of a 360-day year and
the actual number of days in the related
Interest Accrual Period.
Loan Group I Cap: For any distribution date, the product of
(i) the weighted average of the mortgage
rates for each group I mortgage loan (in
each case, less the applicable Expense Fee
Rate) then in effect on the beginning of the
related Due Period, adjusted, in each case,
to accrue on the basis of a 360-day year and
the actual number of days in the related
Interest Accrual Period.
Loan Group II Cap: For any distribution date, the product of
(i) the weighted average of the mortgage
rates for each group II mortgage loan (in
each case, less the applicable Expense Fee
Rate) then in effect on the beginning of the
related Due Period, adjusted, in each case,
to accrue on the basis of a 360-day year and
the actual number of days in the related
Interest Accrual Period.
Class A-1 Basis Risk As to any Distribution Date, the
Carry Forward Amount: supplemental interest amount for the Class
A-1 Certificates will equal the sum of:
(i) The excess, if any, of interest that
would otherwise be due on such
Certificates at the Class A-1
Pass-Through Rate (without regard to
the Loan Group I Cap or WAC Cap) over
interest due such Certificates at a
rate equal to the lesser of the Loan
Group I Cap or WAC Cap;
(ii) Any Class A-1 Basis Risk Carry Forward
Amount remaining unpaid from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii)
at the related Class A-1 Pass-Through
Rate (without regard to the Loan Group
I Cap or WAC Cap).
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The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 6
Class A-2A, A-2B and A- As to any Distribution Date, the
2C Basis Risk Carry supplemental interest amount for each of the
Forward Amount: Class A-2A, A-2B and A-2C Certificates will
equal the sum of:
(i) The excess, if any, of interest
that would otherwise be due on such
Certificates at the Class A-2A,
A-2B and A-2C Pass-Through Rates
(without regard to the Loan Group
II Cap or WAC Cap) over interest
due such Certificates at a rate
equal to the lesser of the Loan
Group II Cap or WAC Cap;
(ii) Any Class A-2A, A-2B and A-2C Basis
Risk Carry Forward Amount remaining
unpaid from prior Distribution
Dates; and
(iii) Interest on the amount in clause
(ii) at the related Class A-2A,
A-2B and A-2C Pass-Through Rate
(without regard to the Loan Group
II Cap or WAC Cap).
Class M-1, M-2, M-3, As to any Distribution Date, the
M-4, M-5, M-6, B-1, B-2 supplemental interest amount for each of the
and B-3 Basis Risk Carry Class M-1, M-2, M-3, M-4, M-5, M-6, B-1, B-2
Forward Amounts: and B-3 Certificates will equal the sum of:
(i) The excess, if any, of interest
that would otherwise be due on such
Certificates at such Certificates'
applicable Pass-Through Rate
(without regard to the WAC Cap)
over interest due such Certificates
at a rate equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount
for such class remaining unpaid for
such Certificate from prior
Distribution Dates; and
(iii) Interest on the amount in clause
(ii) at the Certificates'
applicable Pass-Through Rate
(without regard to the WAC Cap).
Interest Distributions on On each Distribution Date and after payments
Offered Certificates: of servicing and trustee fees and other
expenses, interest distributions from the
Interest Remittance Amount will be allocated
as follows:
(i) The portion of the Interest
Remittance Amount attributable to
the Group I Mortgage Loans will be
allocated according to the related
Accrued Certificate Interest and
any unpaid interest shortfall
amounts for such class, as
applicable, first, to the Class A-1
Certificates and second, pro rata
to the Group II Class A
Certificates;
(ii) The portion of the Interest
Remittance Amount attributable to
the Group II Mortgage Loans will be
allocated according to the related
Accrued Certificate Interest and
any unpaid interest shortfall
amounts for such class, as
applicable, first, pro rata to the
Group II Class A Certificates and
second, to the Class A-1
Certificates;
(iii) To the Class M-1 Certificates, its
Accrued Certificate Interest;
(iv) To the Class M-2 Certificates, its
Accrued Certificate Interest;
(v) To the Class M-3 Certificates, its
Accrued Certificate Interest;
(vi) To the Class M-4 Certificates, its
Accrued Certificate Interest;
(vii) To the Class M-5 Certificates, its
Accrued Certificate Interest;
(viii) To the Class M-6 Certificates, its
Accrued Certificate Interest;
(ix) To the Class B-1 Certificates, its
Accrued Certificate Interest;
(x) To the Class B-2 Certificates, its
Accrued Certificate Interest; and
(xi) To the Class B-3 Certificates, its
Accrued Certificate Interest.
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The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 7
Principal Distributions on On each Distribution Date (a) prior to the
Offered Certificates: Stepdown Date or (b) on which a Trigger
Event is in effect, principal distributions
from the Principal Distribution Amount will
be allocated as follows:
(i) to the Class A Certificates,
allocated between the Class A
Certificates as described below,
until the Certificate Principal
Balances thereof have been reduced
to zero;
(ii) to the Class M-1 Certificates,
until the Certificate Principal
Balance thereof has been reduced to
zero;
(iii) to the Class M-2 Certificates,
until the Certificate Principal
Balance thereof has been reduced to
zero;
(iv) to the Class M-3 Certificates,
until the Certificate Principal
Balance thereof has been reduced to
zero;
(v) to the Class M-4 Certificates,
until the Certificate Principal
Balance thereof has been reduced to
zero;
(vi) to the Class M-5 Certificates,
until the Certificate Principal
Balance thereof has been reduced to
zero;
(vii) to the Class M-6 Certificates,
until the Certificate Principal
Balance thereof has been reduced to
zero;
(viii) to the Class B-1 Certificates,
until the Certificate Principal
Balance thereof has been reduced to
zero;
(ix) to the Class B-2 Certificates,
until the Certificate Principal
Balance thereof has been reduced to
zero; and
(x) to the Class B-3 Certificates,
until the Certificate Principal
Balance thereof has been reduced to
zero.
On each Distribution Date (a) on or after
the Stepdown Date and (b) on which a Trigger
Event is not in effect, the principal
distributions from the Principal
Distribution Amount will be allocated as
follows:
(i) to the Class A Certificates, the
lesser of the Principal
Distribution Amount and the Class A
Principal Distribution Amount,
allocated between the Class A
Certificates as described below,
until the Certificate Principal
Balances thereof have been reduced
to zero;
(ii) to the Class M-1 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class
M-1 Principal Distribution Amount,
until the Certificate Principal
Balance thereof has been reduced to
zero;
(iii) to the Class M-2 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class
M-2 Principal Distribution Amount,
until the Certificate Principal
Balance thereof has been reduced to
zero;
(iv) to the Class M-3 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class
M-3 Principal Distribution Amount,
until the Certificate Principal
Balance thereof has been reduced to
zero;
(v) to the Class M-4 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class
M-4 Principal Distribution Amount,
until the Certificate Principal
Balance thereof has been reduced to
zero;
(vi) to the Class M-5 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class
M-5 Principal Distribution Amount,
until the Certificate Principal
Balance thereof has been reduced to
zero;
(vii) to the Class M-6 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class
M-6 Principal Distribution Amount,
until the Certificate Principal
Balance thereof has been reduced to
zero;
(viii) to the Class B-1 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class
B-1 Principal Distribution Amount,
until the Certificate Principal
Balance thereof has been reduced to
zero;
(ix) to the Class B-2 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class
B-2 Principal Distribution Amount,
until the Certificate Principal
Balance thereof has been reduced to
zero; and
(x) to the Class B-3 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class
B-3 Principal Distribution Amount,
until the Certificate Principal
Balance thereof has been reduced to
zero.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 8
Class A Principal Except as described below, the Group II
Allocation: Class A Certificates will receive principal
sequentially; the Class A-2B Certificates
will not receive principal distributions
until the Certificate Principal Balance of
the Class A-2A Certificates has been reduced
to zero, and the Class A-2C Certificates
will not receive principal distributions
until the Certificate Principal Balance of
the Class A-2B Certificates has been reduced
to zero.
All principal distributions to the holders
of the Class A Certificates on any
Distribution Date will be allocated
concurrently between the Class A-1
Certificates, on the one hand, and the Group
II Class A Certificates, on the other hand,
based on the Class A Principal Allocation
Percentage for the Class A-1 Certificates
and the Group II Class A Certificates, as
applicable.
However, if the Class Certificate Balances
of the Class A Certificates in either Class
A Certificate Group are reduced to zero,
then the remaining amount of principal
distributions distributable to the Class A
Certificates on that Distribution Date, and
the amount of those principal distributions
distributable on all subsequent Distribution
Dates, will be distributed to the holders of
the Class A certificates in the other Class
A Certificate Group remaining outstanding,
in accordance with the principal
distribution allocations described herein,
until their Class Certificate Balances have
been reduced to zero. Any payments of
principal to the Class A-1 Certificates will
be made first from payments relating to the
Group I Mortgage Loans, and any payments of
principal to the Group II Class A
Certificates will be made first from
payments relating to the Group II Mortgage
Loans.
Any principal distributions allocated to the
Group II Class A Certificates are required
to be distributed first to the Class A-2A
Certificates, until their Class Certificate
Balance has been reduced to zero, then to
the Class A-2B Certificates, until their
Class Certificate Balance has been reduced
to zero, and then to the Class A-2C
Certificates, until their Class Certificate
Balance has been reduced to zero.
Notwithstanding the above, in the event that
all subordinate classes, including the Class
X certificates, have been reduced to zero,
principal distributions to the Group II
Class A Certificates will be distributed pro
rata between the Class A-2A, Class A-2B and
Class A-2C Certificates with the exception
that if a Class A-2A Accelerated
Amortization Event is also in effect,
principal distributions to the Group II
Class A Certificates will be sequential to
the Class A-2A Certificates and then pro
rata between the Class A-2B and Class A-2C
Certificates.
Group II Class A Interest Beginning on the first Distribution Date,
Rate Cap: and for a period of 31 months thereafter, an
Interest Rate Cap will be entered into by
the Trust for the benefit of the Group II
Class A Certificates.
For its duration, the Group II Class A
Interest Rate Cap pays the Trust the product
of (i) the excess, if any, of the then
current 1-month LIBOR rate (not to exceed
the cap ceiling) over the cap strike (on an
Actual/360 day count basis) and (ii) the
Group II Class A Interest Rate Cap Notional
Balance ("the Group II Class A Interest Rate
Cap Payment") as described on the schedule
herein.
Group II Class A Interest The Group II Class A Interest Rate Cap
Rate Cap Payment Payment shall be available to pay any Basis
Allocation: Risk Carry Forward Amount due to the Class
A-2A, A-2C Certificates on a pro rata basis.
Beginning on the first Distribution Date,
and for a period of 37 months thereafter, an
Interest Rate Cap will be entered into by
the Trust for the benefit of the Class M
Certificates.
Class M Interest Rate For its duration, the Class M Interest Rate
Cap: Cap pays the Trust the product of (i) the
excess, if any, of the then current 1-month
LIBOR rate (not to exceed the cap ceiling)
over the cap strike (on an Actual/360 day
count basis) and (ii) the Class M Interest
Rate Cap Notional Balance ("the Class M
Interest Rate Cap Payment") as described on
the schedule herein.
Class M Interest Rate Cap The Class M Interest Rate Cap Payment shall
Payment Allocation: be available to pay any Basis Risk Carry
Forward Amount due to the Class M-1, Class
M-2, M-3, Class M-4, Class M-5 and Class M-6
Certificates on a pro rata basis.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 9
Class B Interest Rate Cap: Beginning on the first Distribution Date,
and for a period of 37 months thereafter, an
Interest Rate Cap will be entered into by
the Trust for the benefit of the Class B
Certificates.
For its duration, the Class B Interest Rate
Cap pays the Trust the product of (i) the
excess, if any, of the then current 1-month
LIBOR rate (not to exceed the cap ceiling)
over the cap strike (on an Actual/360 day
count basis) and (ii) the Class B Interest
Rate Cap Notional Balance ("the Class B
Interest Rate Cap Payment") as described on
the schedule herein.
Class B Interest Rate Cap The Class B Interest Rate Cap Payment shall
Payment Allocation: be available to pay any Basis Risk Carry
Forward Amount due to the Class B-1, Class
B-2 B-3 Certificates on a pro rata basis.
Allocation of Net Monthly For any Distribution Date, any Net Monthly
Excess Cashflow: Excess Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, the
unpaid interest shortfall amount;
(ii) to the Class M-1 Certificates, the
allocated unreimbursed realized
loss amount;
(iii) to the Class M-2 Certificates, the
unpaid interest shortfall amount;
(iv) to the Class M-2 Certificates, the
allocated unreimbursed realized
loss amount;
(v) to the Class M-3 Certificates, the
unpaid interest shortfall amount;
(vi) to the Class M-3 Certificates, the
allocated unreimbursed realized
loss amount;
(vii) to the Class M-4 Certificates, the
unpaid interest shortfall amount;
(viii) to the Class M-4 Certificates, the
allocated unreimbursed realized
loss amount;
(ix) to the Class M-5 Certificates, the
unpaid interest shortfall amount;
(x) to the Class M-5 Certificates, the
allocated unreimbursed realized
loss amount;
(xi) to the Class M-6 Certificates, the
unpaid interest shortfall amount;
(xii) to the Class M-6 Certificates, the
allocated unreimbursed realized
loss amount;
(xiii) to the Class B-1 Certificates, the
unpaid interest shortfall amount;
(xiv) to the Class B-1 Certificates, the
allocated unreimbursed realized
loss amount;
(xv) to the Class B-2 Certificates, the
unpaid interest shortfall amount;
(xvi) to the Class B-2 Certificates, the
allocated unreimbursed realized
loss amount;
(xvii) to the Class B-3 Certificates, the
unpaid interest shortfall amount;
(xviii) to the Class B-3 Certificates, the
allocated unreimbursed realized
loss amount;
(xix) concurrently, any Class A-1 Basis
Risk Carry Forward Amount to the
Class A-1 Certificates, and any
Group II Class A Basis Risk Carry
Forward Amount to the Group II
Class A Certificates; and
(xx) sequentially, to Classes M-1, M-2,
M-3, M-4, M-5, M-6, B-1, B-2 and
B-3 Certificates, in such order,
any Basis Risk Carry Forward Amount
for such classes; and
(xxi) in the event that a Class A-2A
Accelerated Amortization Event is
in effect, to the Class A-2A
certificates as additional
principal in the amount equal to
the Class A-2A Accelerated
Amortization Amount until their
Class Certificate Balance has been
reduced to zero.
Interest Remittance For any Distribution Date, the portion of
Amount: available funds for such Distribution Date
attributable to interest received or
advanced on the Mortgage Loans.
Accrued Certificate For any Distribution Date and each class of
Interest: Offered Certificates, equals the amount of
interest accrued during the related interest
accrual period at the related Pass-through
Rate, reduced by any prepayment interest
shortfalls and shortfalls resulting from the
application of the Servicemembers Civil
Relief Act or similar state law allocated to
such class.
Principal Distribution
Amount: On any Distribution Date, the sum of (i) the
Basic Principal Distribution Amount and (ii)
the Extra Principal Distribution Amount.
Basic Principal
Distribution Amount: On any Distribution Date, the excess of (i)
the aggregate principal remittance amount
over (ii) the Excess Subordinated Amount, if
any.
Net Monthly Excess For any Distribution Date is the amount of
Cashflow: funds available for distribution on such
Distribution Date remaining after making all
distributions of interest and principal on
the certificates.
Extra Principal For any Distribution Date, the lesser of (i)
Distribution Amount: the excess of (x) interest collected or
advanced with respect to the Mortgage Loans
with due dates in the related Due Period
(less servicing and trustee fees and
expenses), over (y) the sum of interest
payable on the Certificates on such
Distribution Date and (ii) the
overcollateralization deficiency amount for
such Distribution Date.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 10
Excess Subordinated For any Distribution Date, means the excess,
Amount: if any of (i) the overcollateralization and
(ii) the required overcollateralization for
such Distribution Date.
Class A Principal For any Distribution Date, the percentage
Allocation Percentage: equivalent of a fraction, determined as
follows: (i) in the case of the Class A-1
Certificates the numerator of which is (x)
the portion of the principal remittance
amount for such Distribution Date that is
attributable to principal received or
advanced on the Group I Mortgage Loans and
the denominator of which is (y) the
principal remittance amount for such
Distribution Date and (ii) in the case of
the Group II Class A Certificates, the
numerator of which is (x) the portion of the
principal remittance amount for such
Distribution Date that is attributable to
principal received or advanced on the Group
II Mortgage Loans and the denominator of
which is (y) the principal remittance amount
for such Distribution Date.
Class A Principal For any Distribution Date, an amount equal
Distribution Amount: to the excess of (x) the aggregate
Certificate Principal Balance of the Class A
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 58.10% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if
any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the
related Due Period over $5,992,452.
Class A-2A Accelerated With respect to any Distribution Date
Amortization Event: beginning with the Distribution Date in
November 2011, until the Class Certificate
Balance of the Class A-2A Certificates has
been reduced to zero, a Class A-2A
Accelerated Amortization Event exists if the
Class Certificate Balance of the Class A-2A
Certificates (after application of the
Principal Distribution Amount on that
Distribution Date) exceeds a target amount
for such Distribution Date, as set forth on
the Class A-2A Target Balance Schedule
attached hereto.
Class A-2A Accelerated With respect to any Distribution Date, the
Amortization Amount: lesser of (a) the amount of funds remaining
after making payments pursuant to clause
(xx) of the Allocation of Net Monthly Excess
Cashflow described above and (b) the Class
Certificate Balance of the Class A-2A
certificates (after application of the
related Principal Distribution Amount on
that Distribution Date).
Class M-1 Principal For any Distribution Date, an amount equal
Distribution Amount: to the excess of (x) the sum of (i) the
aggregate Certificate Principal Balance of
the Class A Certificates (after taking into
account the payment of the Class A Principal
Distribution Amount on such Distribution
Date) and (ii) the Certificate Principal
Balance of the Class M-1 Certificates
immediately prior to such Distribution Date
over (y) the lesser of (A) the product of
(i) approximately 68.00% and (ii) the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period over $5,992,452.
Class M-2 Principal For any Distribution Date, an amount equal
Distribution Amount: to the excess of (x) the sum of (i) the
aggregate Certificate Principal Balance of
the Class A Certificates (after taking into
account the payment of the Class A Principal
Distribution Amount on such Distribution
Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after
taking into account the payment of the Class
M-1 Principal Distribution Amount on such
Distribution Date) and (iii) the Certificate
Principal Balance of the Class M-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 75.00% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if
any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the
related Due Period over $5,992,452.
Class M-3 Principal For any Distribution Date, an amount equal
Distribution Amount: to the excess of (x) the sum of (i) the
aggregate Certificate Principal Balance of
the Class A Certificates (after taking into
account the payment of the Class A Principal
Distribution Amount on such Distribution
Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after
taking into account the payment of the Class
M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal
Distribution Amount on such Distribution
Date) and (iv) the Certificate Principal
Balance of the Class M-3 Certificates
immediately prior to such Distribution Date
over (y) the lesser of (A) the product of
(i) approximately 78.00% and (ii) the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period over $5,992,452.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 11
Class M-4 Principal For any Distribution Date, an amount equal
Distribution Amount: to the excess of (x) the sum of (i) the
aggregate Certificate Principal Balance of
the Class A Certificates (after taking into
account the payment of the Class A Principal
Distribution Amount on such Distribution
Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after
taking into account the payment of the Class
M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal
Distribution Amount on such Distribution
Date), (iv) the Certificate Principal
Balance of the Class M-3 Certificates (after
taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date) and (v) the Certificate
Principal Balance of the Class M-4
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 81.50% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if
any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the
related Due Period over $5,992,452.
Class M-5 Principal For any Distribution Date, an amount equal
Distribution Amount: to the excess of (x) the sum of (i) the
aggregate Certificate Principal Balance of
the Class A Certificates (after taking into
account the payment of the Class A Principal
Distribution Amount on such Distribution
Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after
taking into account the payment of the Class
M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal
Distribution Amount on such Distribution
Date), (iv) the Certificate Principal
Balance of the Class M-3 Certificates (after
taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate
Principal Balance of the Class M-4
Certificates (after taking into account the
payment of the Class M-4 Principal
Distribution Amount on such Distribution
Date) and (vi) the Certificate Principal
Balance of the Class M-5 Certificates
immediately prior to such Distribution Date
over (y) the lesser of (A) the product of
(i) approximately 84.50% and (ii) the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period over $5,992,452.
Class M-6 Principal For any Distribution Date, an amount equal
Distribution Amount: to the excess of (x) the sum of (i) the
aggregate Certificate Principal Balance of
the Class A Certificates (after taking into
account the payment of the Class A Principal
Distribution Amount on such Distribution
Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after
taking into account the payment of the Class
M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal
Distribution Amount on such Distribution
Date), (iv) the Certificate Principal
Balance of the Class M-3 Certificates (after
taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate
Principal Balance of the Class M-4
Certificates (after taking into account the
payment of the Class M-4 Principal
Distribution Amount on such Distribution
Date), (vi) the Certificate Principal
Balance of the Class M-5 Certificates (after
taking into account the payment of the Class
M-5 Principal Distribution Amount on such
Distribution Date) and (vii) the Certificate
Principal Balance of the Class M-6
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 87.50% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if
any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the
related Due Period over $5,992,452.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 12
Class B-1 Principal For any Distribution Date, an amount equal
Distribution Amount: to the excess of (x) the sum of (i) the
aggregate Certificate Principal Balance of
the Class A Certificates (after taking into
account the payment of the Class A Principal
Distribution Amount on such Distribution
Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after
taking into account the payment of the Class
M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal
Distribution Amount on such Distribution
Date), (iv) the Certificate Principal
Balance of the Class M-3 Certificates (after
taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate
Principal Balance of the Class M-4
Certificates (after taking into account the
payment of the Class M-4 Principal
Distribution Amount on such Distribution
Date), (vi) the Certificate Principal
Balance of the Class M-5 Certificates (after
taking into account the payment of the Class
M-5 Principal Distribution Amount on such
Distribution Date), (vii) the Certificate
Principal Balance of the Class M-6
Certificates (after taking into account the
payment of the Class M-6 Principal
Distribution Amount on such Distribution
Date) and (viii) the Certificate Principal
Balance of the Class B-1 Certificates
immediately prior to such Distribution Date
over (y) the lesser of (A) the product of
(i) approximately 89.70% and (ii) the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period over $5,992,452.
Class B-2 Principal For any Distribution Date, an amount equal
Distribution Amount: to the excess of (x) the sum of (i) the
aggregate Certificate Principal Balance of
the Class A Certificates (after taking into
account the payment of the Class A Principal
Distribution Amount on such Distribution
Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after
taking into account the payment of the Class
M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal
Distribution Amount on such Distribution
Date), (iv) the Certificate Principal
Balance of the Class M-3 Certificates (after
taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate
Principal Balance of the Class M-4
Certificates (after taking into account the
payment of the Class M-4 Principal
Distribution Amount on such Distribution
Date), (vi) the Certificate Principal
Balance of the Class M-5 Certificates (after
taking into account the payment of the Class
M-5 Principal Distribution Amount on such
Distribution Date), (vii) the Certificate
Principal Balance of the Class M-6
Certificates (after taking into account the
payment of the Class M-6 Principal
Distribution Amount on such Distribution
Date), (viii) the Certificate Principal
Balance of the Class B-1 Certificates (after
taking into account the payment of the Class
B-1 Principal Distribution Amount on such
Distribution Date) and (ix) the Certificate
Principal Balance of the Class B-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 91.80% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if
any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the
related Due Period over $5,992,452.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 13
Class B-3 Principal For any Distribution Date, an amount equal
Distribution Amount: to the excess of (x) the sum of (i) the
aggregate Certificate Principal Balance of
the Class A Certificates (after taking into
account the payment of the Class A Principal
Distribution Amount on such Distribution
Date), (ii) the Certificate Principal
Balance of the Class M-1 Certificates (after
taking into account the payment of the Class
M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate
Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal
Distribution Amount on such Distribution
Date), (iv) the Certificate Principal
Balance of the Class M-3 Certificates (after
taking into account the payment of the Class
M-3 Principal Distribution Amount on such
Distribution Date), (v) the Certificate
Principal Balance of the Class M-4
Certificates (after taking into account the
payment of the Class M-4 Principal
Distribution Amount on such Distribution
Date), (vi) the Certificate Principal
Balance of the Class M-5 Certificates (after
taking into account the payment of the Class
M-5 Principal Distribution Amount on such
Distribution Date), (vii) the Certificate
Principal Balance of the Class M-6
Certificates (after taking into account the
payment of the Class M-6 Principal
Distribution Amount on such Distribution
Date), (viii) the Certificate Principal
Balance of the Class B-1 Certificates (after
taking into account the payment of the Class
B-1 Principal Distribution Amount on such
Distribution Date), (ix) the Certificate
Principal Balance of the Class B-2
Certificates (after taking into account the
payment of the Class B-2 Principal
Distribution Amount on such Distribution
Date) and (x) the Certificate Principal
Balance of the Class B-3 Certificates
immediately prior to such Distribution Date
over (y) the lesser of (A) the product of
(i) approximately 94.00% and (ii) the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period over $5,992,452.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the
Prospectus, all Offered Certificates are
ERISA eligible.
SMMEA Eligibility: It is anticipated that none of the Offered
Certificates will be SMMEA eligible.
Prospectus: The Class A-2A, Class A-2B, Class A-2C,
Class M-1, Class M-2, Class M-3, Class M-4,
Class M-5, Class M-6, Class B-1, Class B-2
and Class B-3 Certificates are being offered
pursuant to a prospectus supplemented by a
prospectus supplement (together, the
"Prospectus"). Complete information with
respect to the Offered Certificates and the
collateral securing them is contained in the
Prospectus. The information herein is
qualified in its entirety by the information
appearing in the Prospectus. To the extent
that the information herein is inconsistent
with the Prospectus, the Prospectus shall
govern in all respects. Sales of the Offered
Certificates may not be consummated unless
the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS
FOR A DESCRIPTION OF INFORMATION THAT SHOULD
BE CONSIDERED IN CONNECTION WITH AN
INVESTMENT IN THE OFFERED CERTIFICATES.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 14
Weighted Average Life Sensitivity
To CALL
------------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125
------------------------------------------------------------------------------------------------------------------------------------
A-2A WAL (yrs) 2.07 1.75 1.41 1.07 0.86
First Payment Date 12/25/2004 12/25/2004 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 4/25/2009 7/25/2008 10/25/2007 1/25/2007 8/25/2006
Window 1 - 53 1 - 44 1 - 35 1 - 26 1 - 21
------------------------------------------------------------------------------------------------------------------------------------
A-2B WAL (yrs) 6.14 5.17 4.15 3.00 2.22
First Payment Date 4/25/2009 7/25/2008 10/25/2007 1/25/2007 8/25/2006
Expected Final Maturity 7/25/2013 2/25/2012 9/25/2010 3/25/2009 8/25/2007
Window 53 - 104 44 - 87 35 - 70 26 - 52 21 - 33
------------------------------------------------------------------------------------------------------------------------------------
A-2C WAL (yrs) 12.82 10.91 8.84 6.60 4.93
First Payment Date 7/25/2013 2/25/2012 9/25/2010 3/25/2009 8/25/2007
Expected Final Maturity 3/25/2020 12/25/2017 7/25/2015 11/25/2012 2/25/2011
Window 104 - 184 87 - 157 70 - 128 52 - 96 33 - 75
------------------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.26 8.71 7.05 5.37 4.70
First Payment Date 11/25/2009 1/25/2009 4/25/2008 3/25/2008 8/25/2008
Expected Final Maturity 3/25/2020 12/25/2017 7/25/2015 11/25/2012 2/25/2011
Window 60 - 184 50 - 157 41 - 128 40 - 96 45 - 75
------------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.26 8.71 7.05 5.34 4.54
First Payment Date 11/25/2009 1/25/2009 4/25/2008 2/25/2008 5/25/2008
Expected Final Maturity 3/25/2020 12/25/2017 7/25/2015 11/25/2012 2/25/2011
Window 60 - 184 50 - 157 41 - 128 39 - 96 42 - 75
------------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.26 8.71 7.05 5.34 4.48
First Payment Date 11/25/2009 1/25/2009 4/25/2008 1/25/2008 4/25/2008
Expected Final Maturity 3/25/2020 12/25/2017 7/25/2015 11/25/2012 2/25/2011
Window 60 - 184 50 - 157 41 - 128 38 - 96 41 - 75
------------------------------------------------------------------------------------------------------------------------------------
M-4 WAL 10.26 8.71 7.05 5.32 4.45
First Payment Date 11/25/2009 1/25/2009 4/25/2008 1/25/2008 3/25/2008
Expected Final Maturity 3/25/2020 12/25/2017 7/25/2015 11/25/2012 2/25/2011
Window 60 - 184 50 - 157 41 - 128 38 - 96 40 - 75
------------------------------------------------------------------------------------------------------------------------------------
M-5 WAL 10.26 8.71 7.05 5.32 4.42
First Payment Date 11/25/2009 1/25/2009 4/25/2008 1/25/2008 2/25/2008
Expected Final Maturity 3/25/2020 12/25/2017 7/25/2015 11/25/2012 2/25/2011
Window 60 - 184 50 - 157 41 - 128 38 - 96 39 - 75
------------------------------------------------------------------------------------------------------------------------------------
M-6 WAL 10.26 8.71 7.05 5.32 4.39
First Payment Date 11/25/2009 1/25/2009 4/25/2008 12/25/2007 2/25/2008
Expected Final Maturity 3/25/2020 12/25/2017 7/25/2015 11/25/2012 2/25/2011
Window 60 - 184 50 - 157 41 - 128 37 - 96 39 - 75
------------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.26 8.71 7.05 5.31 4.38
First Payment Date 11/25/2009 1/25/2009 4/25/2008 12/25/2007 1/25/2008
Expected Final Maturity 3/25/2020 12/25/2017 7/25/2015 11/25/2012 2/25/2011
Window 60 - 184 50 - 157 41 - 128 37 - 96 38 - 75
------------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.26 8.71 7.05 5.31 4.36
First Payment Date 11/25/2009 1/25/2009 4/25/2008 12/25/2007 1/25/2008
Expected Final Maturity 3/25/2020 12/25/2017 7/25/2015 11/25/2012 2/25/2011
Window 60 - 184 50 - 157 41 - 128 37 - 96 38 - 75
------------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.26 8.71 7.05 5.31 4.36
First Payment Date 11/25/2009 1/25/2009 4/25/2008 12/25/2007 1/25/2008
Expected Final Maturity 3/25/2020 12/25/2017 7/25/2015 11/25/2012 2/25/2011
Window 60 - 184 50 - 157 41 - 128 37 - 96 38 - 75
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------
PPC (%) 150 175
--------------------------------------------------------------------------
A-2A WAL (yrs) 0.71 0.61
First Payment Date 12/25/2004 12/25/2004
Expected Final Maturity 4/25/2006 1/25/2006
Window 1 - 17 1 - 14
--------------------------------------------------------------------------
A-2B WAL (yrs) 1.81 1.52
First Payment Date 4/25/2006 1/25/2006
Expected Final Maturity 2/25/2007 9/25/2006
Window 17 - 27 14 - 22
--------------------------------------------------------------------------
A-2C WAL (yrs) 3.32 2.34
First Payment Date 2/25/2007 9/25/2006
Expected Final Maturity 12/25/2009 10/25/2007
Window 27 - 61 22 - 35
--------------------------------------------------------------------------
M-1 WAL 4.84 4.01
First Payment Date 2/25/2009 10/25/2007
Expected Final Maturity 12/25/2009 1/25/2009
Window 51 - 61 35 - 50
--------------------------------------------------------------------------
M-2 WAL 4.34 4.19
First Payment Date 9/25/2008 1/25/2009
Expected Final Maturity 12/25/2009 1/25/2009
Window 46 - 61 50 - 50
--------------------------------------------------------------------------
M-3 WAL 4.15 4.07
First Payment Date 7/25/2008 10/25/2008
Expected Final Maturity 12/25/2009 1/25/2009
Window 44 - 61 47 - 50
--------------------------------------------------------------------------
M-4 WAL 4.06 3.89
First Payment Date 6/25/2008 7/25/2008
Expected Final Maturity 12/25/2009 1/25/2009
Window 43 - 61 44 - 50
--------------------------------------------------------------------------
M-5 WAL 3.99 3.75
First Payment Date 4/25/2008 5/25/2008
Expected Final Maturity 12/25/2009 1/25/2009
Window 41 - 61 42 - 50
--------------------------------------------------------------------------
M-6 WAL 3.93 3.65
First Payment Date 3/25/2008 3/25/2008
Expected Final Maturity 12/25/2009 1/25/2009
Window 40 - 61 40 - 50
--------------------------------------------------------------------------
B-1 WAL 3.89 3.57
First Payment Date 2/25/2008 2/25/2008
Expected Final Maturity 12/25/2009 1/25/2009
Window 39 - 61 39 - 50
--------------------------------------------------------------------------
B-2 WAL 3.85 3.52
First Payment Date 2/25/2008 1/25/2008
Expected Final Maturity 12/25/2009 1/25/2009
Window 39 - 61 38 - 50
--------------------------------------------------------------------------
B-3 WAL 3.82 3.46
First Payment Date 1/25/2008 1/25/2008
Expected Final Maturity 12/25/2009 1/25/2009
Window 38 - 61 38 - 50
--------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 15
Weighted Average Life Sensitivity
To MATURITY
------------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125
------------------------------------------------------------------------------------------------------------------------------------
A-2A WAL (yrs) 2.07 1.75 1.41 1.07 0.86
First Payment Date 12/25/2004 12/25/2004 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 4/25/2009 7/25/2008 10/25/2007 1/25/2007 8/25/2006
Window 1 - 53 1 - 44 1 - 35 1 - 26 1 - 21
------------------------------------------------------------------------------------------------------------------------------------
A-2B WAL (yrs) 6.14 5.17 4.15 3.00 2.22
First Payment Date 4/25/2009 7/25/2008 10/25/2007 1/25/2007 8/25/2006
Expected Final Maturity 7/25/2013 2/25/2012 9/25/2010 3/25/2009 8/25/2007
Window 53 - 104 44 - 87 35 - 70 26 - 52 21 - 33
------------------------------------------------------------------------------------------------------------------------------------
A-2C WAL (yrs) 14.41 12.44 10.16 7.61 5.73
First Payment Date 7/25/2013 2/25/2012 9/25/2010 3/25/2009 8/25/2007
Expected Final Maturity 3/25/2032 6/25/2030 4/25/2027 4/25/2022 8/25/2018
Window 104 - 328 87 - 307 70 - 269 52 - 209 33 - 165
------------------------------------------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 11.13 9.55 7.78 5.93 5.16
First Payment Date 11/25/2009 1/25/2009 4/25/2008 3/25/2008 8/25/2008
Expected Final Maturity 1/25/2030 9/25/2027 3/25/2024 9/25/2019 8/25/2016
Window 60 - 302 50 - 274 41 - 232 40 - 178 45 - 141
------------------------------------------------------------------------------------------------------------------------------------
M-2 WAL 11.10 9.52 7.75 5.88 4.98
First Payment Date 11/25/2009 1/25/2009 4/25/2008 2/25/2008 5/25/2008
Expected Final Maturity 2/25/2029 8/25/2026 3/25/2023 11/25/2018 12/25/2015
Window 60 - 291 50 - 261 41 - 220 39 - 168 42 - 133
------------------------------------------------------------------------------------------------------------------------------------
M-3 WAL 11.07 9.49 7.72 5.85 4.89
First Payment Date 11/25/2009 1/25/2009 4/25/2008 1/25/2008 4/25/2008
Expected Final Maturity 3/25/2028 8/25/2025 4/25/2022 2/25/2018 4/25/2015
Window 60 - 280 50 - 249 41 - 209 38 - 159 41 - 125
------------------------------------------------------------------------------------------------------------------------------------
M-4 WAL 11.05 9.46 7.69 5.81 4.84
First Payment Date 11/25/2009 1/25/2009 4/25/2008 1/25/2008 3/25/2008
Expected Final Maturity 8/25/2027 2/25/2025 10/25/2021 9/25/2017 12/25/2014
Window 60 - 273 50 - 243 41 - 203 38 - 154 40 - 121
------------------------------------------------------------------------------------------------------------------------------------
M-5 WAL 11.00 9.42 7.65 5.78 4.79
First Payment Date 11/25/2009 1/25/2009 4/25/2008 1/25/2008 2/25/2008
Expected Final Maturity 12/25/2026 5/25/2024 1/25/2021 2/25/2017 7/25/2014
Window 60 - 265 50 - 234 41 - 194 38 - 147 39 - 116
------------------------------------------------------------------------------------------------------------------------------------
M-6 WAL 10.94 9.36 7.60 5.74 4.73
First Payment Date 11/25/2009 1/25/2009 4/25/2008 12/25/2007 2/25/2008
Expected Final Maturity 2/25/2026 7/25/2023 5/25/2020 7/25/2016 2/25/2014
Window 60 - 255 50 - 224 41 - 186 37 - 140 39 - 111
------------------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.86 9.28 7.53 5.68 4.67
First Payment Date 11/25/2009 1/25/2009 4/25/2008 12/25/2007 1/25/2008
Expected Final Maturity 2/25/2025 7/25/2022 6/25/2019 11/25/2015 7/25/2013
Window 60 - 243 50 - 212 41 - 175 37 - 132 38 - 104
------------------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.76 9.18 7.44 5.61 4.60
First Payment Date 11/25/2009 1/25/2009 4/25/2008 12/25/2007 1/25/2008
Expected Final Maturity 2/25/2024 8/25/2021 8/25/2018 3/25/2015 1/25/2013
Window 60 - 231 50 - 201 41 - 165 37 - 124 38 - 98
------------------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.58 9.01 7.30 5.50 4.51
First Payment Date 11/25/2009 1/25/2009 4/25/2008 12/25/2007 1/25/2008
Expected Final Maturity 12/25/2022 7/25/2020 9/25/2017 6/25/2014 6/25/2012
Window 60 - 217 50 - 188 41 - 154 37 - 115 38 - 91
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------
PPC (%) 150 175
--------------------------------------------------------------------------
A-2A WAL (yrs) 0.71 0.61
First Payment Date 12/25/2004 12/25/2004
Expected Final Maturity 4/25/2006 1/25/2006
Window 1 - 17 1 - 14
--------------------------------------------------------------------------
A-2B WAL (yrs) 1.81 1.52
First Payment Date 4/25/2006 1/25/2006
Expected Final Maturity 2/25/2007 9/25/2006
Window 17 - 27 14 - 22
--------------------------------------------------------------------------
A-2C WAL (yrs) 3.94 2.34
First Payment Date 2/25/2007 9/25/2006
Expected Final Maturity 12/25/2015 10/25/2007
Window 27 - 133 22 - 35
--------------------------------------------------------------------------
M-1 WAL (yrs) 5.24 6.06
First Payment Date 2/25/2009 10/25/2007
Expected Final Maturity 6/25/2014 5/25/2014
Window 51 - 115 35 - 114
--------------------------------------------------------------------------
M-2 WAL 4.68 4.79
First Payment Date 9/25/2008 1/25/2009
Expected Final Maturity 11/25/2013 5/25/2012
Window 46 - 108 50 - 90
--------------------------------------------------------------------------
M-3 WAL 4.49 4.36
First Payment Date 7/25/2008 10/25/2008
Expected Final Maturity 5/25/2013 11/25/2011
Window 44 - 102 47 - 84
--------------------------------------------------------------------------
M-4 WAL 4.38 4.16
First Payment Date 6/25/2008 7/25/2008
Expected Final Maturity 2/25/2013 9/25/2011
Window 43 - 99 44 - 82
--------------------------------------------------------------------------
M-5 WAL 4.28 4.01
First Payment Date 4/25/2008 5/25/2008
Expected Final Maturity 9/25/2012 5/25/2011
Window 41 - 94 42 - 78
--------------------------------------------------------------------------
M-6 WAL 4.20 3.88
First Payment Date 3/25/2008 3/25/2008
Expected Final Maturity 5/25/2012 1/25/2011
Window 40 - 90 40 - 74
--------------------------------------------------------------------------
B-1 WAL 4.12 3.77
First Payment Date 2/25/2008 2/25/2008
Expected Final Maturity 11/25/2011 9/25/2010
Window 39 - 84 39 - 70
--------------------------------------------------------------------------
B-2 WAL 4.04 3.68
First Payment Date 2/25/2008 1/25/2008
Expected Final Maturity 6/25/2011 5/25/2010
Window 39 - 79 38 - 66
--------------------------------------------------------------------------
B-3 WAL 3.94 3.57
First Payment Date 1/25/2008 1/25/2008
Expected Final Maturity 12/25/2010 12/25/2009
Window 38 - 73 38 - 61
--------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 16
CPR Sensitivity
To CALL
---------------------------------------------------------------------------------------------------------
CPR (%) 20 25 30
---------------------------------------------------------------------------------------------------------
A-2A WAL (yrs) 1.23 0.98 0.81
First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 7/25/2007 12/25/2006 7/25/2006
Window 1 - 32 1 - 25 1 - 20
---------------------------------------------------------------------------------------------------------
A-2B WAL (yrs) 3.74 2.80 2.18
First Payment Date 7/25/2007 12/25/2006 7/25/2006
Expected Final Maturity 3/25/2010 1/25/2009 7/25/2007
Window 32 - 64 25 - 50 20 - 32
---------------------------------------------------------------------------------------------------------
A-2C WAL (yrs) 8.03 6.36 4.93
First Payment Date 3/25/2010 1/25/2009 7/25/2007
Expected Final Maturity 7/25/2014 7/25/2012 2/25/2011
Window 64 - 116 50 - 92 32 - 75
---------------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 6.37 5.21 4.74
First Payment Date 12/25/2007 4/25/2008 8/25/2008
Expected Final Maturity 7/25/2014 7/25/2012 2/25/2011
Window 37 - 116 41 - 92 45 - 75
---------------------------------------------------------------------------------------------------------
M-2 WAL 6.37 5.17 4.56
First Payment Date 12/25/2007 3/25/2008 5/25/2008
Expected Final Maturity 7/25/2014 7/25/2012 2/25/2011
Window 37 - 116 40 - 92 42 - 75
---------------------------------------------------------------------------------------------------------
M-3 WAL 6.37 5.15 4.49
First Payment Date 12/25/2007 2/25/2008 4/25/2008
Expected Final Maturity 7/25/2014 7/25/2012 2/25/2011
Window 37 - 116 39 - 92 41 - 75
---------------------------------------------------------------------------------------------------------
M-4 WAL 6.37 5.14 4.45
First Payment Date 12/25/2007 2/25/2008 3/25/2008
Expected Final Maturity 7/25/2014 7/25/2012 2/25/2011
Window 37 - 116 39 - 92 40 - 75
---------------------------------------------------------------------------------------------------------
M-5 WAL 6.37 5.13 4.42
First Payment Date 12/25/2007 1/25/2008 3/25/2008
Expected Final Maturity 7/25/2014 7/25/2012 2/25/2011
Window 37 - 116 38 - 92 40 - 75
---------------------------------------------------------------------------------------------------------
M-6 WAL 6.37 5.13 4.39
First Payment Date 12/25/2007 1/25/2008 2/25/2008
Expected Final Maturity 7/25/2014 7/25/2012 2/25/2011
Window 37 - 116 38 - 92 39 - 75
---------------------------------------------------------------------------------------------------------
B-1 WAL 6.37 5.13 4.38
First Payment Date 12/25/2007 1/25/2008 1/25/2008
Expected Final Maturity 7/25/2014 7/25/2012 2/25/2011
Window 37 - 116 38 - 92 38 - 75
---------------------------------------------------------------------------------------------------------
B-2 WAL 6.37 5.11 4.36
First Payment Date 12/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 7/25/2014 7/25/2012 2/25/2011
Window 37 - 116 37 - 92 38 - 75
---------------------------------------------------------------------------------------------------------
B-3 WAL 6.37 5.11 4.36
First Payment Date 12/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 7/25/2014 7/25/2012 2/25/2011
Window 37 - 116 37 - 92 38 - 75
---------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 17
CPR Sensitivity
To MATURITY
---------------------------------------------------------------------------------------------------------
CPR (%) 20 25 30
---------------------------------------------------------------------------------------------------------
A-2A WAL (yrs) 1.23 0.98 0.81
First Payment Date 12/25/2004 12/25/2004 12/25/2004
Expected Final Maturity 7/25/2007 12/25/2006 7/25/2006
Window 1 - 32 1 - 25 1 - 20
---------------------------------------------------------------------------------------------------------
A-2B WAL (yrs) 3.74 2.80 2.18
First Payment Date 7/25/2007 12/25/2006 7/25/2006
Expected Final Maturity 3/25/2010 1/25/2009 7/25/2007
Window 32 - 64 25 - 50 20 - 32
---------------------------------------------------------------------------------------------------------
A-2C WAL (yrs) 9.33 7.41 5.80
First Payment Date 3/25/2010 1/25/2009 7/25/2007
Expected Final Maturity 10/25/2025 12/25/2021 12/25/2018
Window 64 - 251 50 - 205 32 - 169
---------------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 7.06 5.77 5.20
First Payment Date 12/25/2007 4/25/2008 8/25/2008
Expected Final Maturity 10/25/2022 4/25/2019 10/25/2016
Window 37 - 215 41 - 173 45 - 143
---------------------------------------------------------------------------------------------------------
M-2 WAL 7.03 5.70 5.00
First Payment Date 12/25/2007 3/25/2008 5/25/2008
Expected Final Maturity 10/25/2021 6/25/2018 1/25/2016
Window 37 - 203 40 - 163 42 - 134
---------------------------------------------------------------------------------------------------------
M-3 WAL 7.00 5.66 4.91
First Payment Date 12/25/2007 2/25/2008 4/25/2008
Expected Final Maturity 11/25/2020 9/25/2017 5/25/2015
Window 37 - 192 39 - 154 41 - 126
---------------------------------------------------------------------------------------------------------
M-4 WAL 6.97 5.63 4.86
First Payment Date 12/25/2007 2/25/2008 3/25/2008
Expected Final Maturity 5/25/2020 4/25/2017 1/25/2015
Window 37 - 186 39 - 149 40 - 122
---------------------------------------------------------------------------------------------------------
M-5 WAL 6.94 5.59 4.80
First Payment Date 12/25/2007 1/25/2008 3/25/2008
Expected Final Maturity 9/25/2019 10/25/2016 8/25/2014
Window 37 - 178 38 - 143 40 - 117
---------------------------------------------------------------------------------------------------------
M-6 WAL 6.89 5.54 4.74
First Payment Date 12/25/2007 1/25/2008 2/25/2008
Expected Final Maturity 1/25/2019 3/25/2016 2/25/2014
Window 37 - 170 38 - 136 39 - 111
---------------------------------------------------------------------------------------------------------
B-1 WAL 6.82 5.49 4.69
First Payment Date 12/25/2007 1/25/2008 1/25/2008
Expected Final Maturity 3/25/2018 7/25/2015 8/25/2013
Window 37 - 160 38 - 128 38 - 105
---------------------------------------------------------------------------------------------------------
B-2 WAL 6.74 5.41 4.60
First Payment Date 12/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 6/25/2017 11/25/2014 1/25/2013
Window 37 - 151 37 - 120 38 - 98
---------------------------------------------------------------------------------------------------------
B-3 WAL 6.61 5.30 4.52
First Payment Date 12/25/2007 12/25/2007 1/25/2008
Expected Final Maturity 7/25/2016 2/25/2014 6/25/2012
Window 37 - 140 37 - 111 38 - 91
---------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 18
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2A Cap(%) A-2B Cap(%) A-2C Cap(%) M-1 Cap(%) M-2 Cap(%) M-3 Cap(%) M-4 Cap(%) M-5 Cap(%)
------ ----------- ----------- ----------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
0 -- -- -- -- -- -- -- --
1 8.13 8.13 8.13 8.03 8.03 8.03 8.03 8.03
2 9.36 9.36 9.36 9.21 9.21 9.21 9.21 9.21
3 9.40 9.40 9.40 9.24 9.24 9.24 9.24 9.24
4 10.13 10.13 10.13 9.93 9.93 9.93 9.93 9.93
5 9.43 9.43 9.43 9.25 9.25 9.25 9.25 9.25
6 9.66 9.66 9.66 9.46 9.46 9.46 9.46 9.46
7 9.44 9.44 9.44 9.25 9.25 9.25 9.25 9.25
8 9.67 9.67 9.67 9.46 9.46 9.46 9.46 9.46
9 9.46 9.46 9.46 9.25 9.25 9.25 9.25 9.25
10 9.47 9.47 9.47 9.25 9.25 9.25 9.25 9.25
11 9.70 9.70 9.70 9.46 9.46 9.46 9.46 9.46
12 9.49 9.49 9.49 9.25 9.25 9.25 9.25 9.25
13 9.62 9.62 9.62 9.46 9.46 9.46 9.46 9.46
14 9.41 9.41 9.41 9.25 9.25 9.25 9.25 9.25
15 9.42 9.42 9.42 9.25 9.25 9.25 9.25 9.25
16 10.16 10.16 10.16 9.93 9.93 9.93 9.93 9.93
17 9.45 9.45 9.45 9.25 9.25 9.25 9.25 9.25
18 9.69 9.69 9.69 9.46 9.46 9.46 9.46 9.46
19 9.48 9.48 9.48 9.25 9.25 9.25 9.25 9.25
20 9.88 9.88 9.88 9.56 9.56 9.56 9.56 9.56
21 9.45 9.45 9.45 9.48 9.48 9.48 9.48 9.48
22 9.47 9.47 9.47 9.47 9.47 9.47 9.47 9.47
23 9.75 9.75 9.75 9.72 9.72 9.72 9.72 9.72
24 9.51 9.51 9.51 9.47 9.47 9.47 9.47 9.47
25 9.80 9.80 9.80 9.72 9.72 9.72 9.72 9.72
26 9.72 9.72 9.72 9.57 9.57 9.57 9.57 9.57
27 -- 9.59 9.59 9.69 9.69 9.69 9.69 9.69
28 -- 10.58 10.58 10.57 10.57 10.57 10.57 10.57
29 -- 9.65 9.65 9.69 9.69 9.69 9.69 9.69
30 -- 9.98 9.98 9.96 9.96 9.96 9.96 9.96
31 -- 9.71 9.71 9.69 9.69 9.69 9.69 9.69
32 -- 10.22 10.22 10.06 10.06 10.06 10.06 10.06
33 -- 10.25 10.25 10.02 10.02 10.02 10.02 10.02
34 -- 10.30 10.30 10.02 10.02 10.02 10.02 10.02
35 -- 10.69 10.69 10.33 10.33 10.33 10.33 10.33
36 -- 10.40 10.40 10.02 10.02 10.02 10.02 10.02
37 -- 36.91 36.91 10.32 10.32 10.32 10.32 10.32
38 -- 13.56 13.56 10.12 10.12 10.12 10.12 10.12
39 -- 14.40 14.40 10.15 10.15 10.15 10.15 10.15
40 -- 15.29 15.29 10.85 10.85 10.85 10.85 10.85
41 -- 14.20 14.20 10.15 10.15 10.15 10.15 10.15
42 -- 14.58 14.58 10.48 10.48 10.48 10.48 10.48
43 -- 14.09 14.09 10.14 10.14 10.14 10.14 10.14
44 -- 14.67 14.67 10.55 10.55 10.55 10.55 10.55
Period M-6 Cap(%) B-1 Cap(%) B-2 Cap(%) B-3 Cap(%)
------ ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360
0 -- -- -- --
1 8.03 8.03 8.03 8.03
2 9.21 9.21 9.21 9.21
3 9.24 9.24 9.24 9.24
4 9.93 9.93 9.93 9.93
5 9.25 9.25 9.25 9.25
6 9.46 9.46 9.46 9.46
7 9.25 9.25 9.25 9.25
8 9.46 9.46 9.46 9.46
9 9.25 9.25 9.25 9.25
10 9.25 9.25 9.25 9.25
11 9.46 9.46 9.46 9.46
12 9.25 9.25 9.25 9.25
13 9.46 9.46 9.46 9.46
14 9.25 9.25 9.25 9.25
15 9.25 9.25 9.25 9.25
16 9.93 9.93 9.93 9.93
17 9.25 9.25 9.25 9.25
18 9.46 9.46 9.46 9.46
19 9.25 9.25 9.25 9.25
20 9.56 9.56 9.56 9.56
21 9.48 9.48 9.48 9.48
22 9.47 9.47 9.47 9.47
23 9.72 9.72 9.72 9.72
24 9.47 9.47 9.47 9.47
25 9.72 9.72 9.72 9.72
26 9.57 9.57 9.57 9.57
27 9.69 9.69 9.69 9.69
28 10.57 10.57 10.57 10.57
29 9.69 9.69 9.69 9.69
30 9.96 9.96 9.96 9.96
31 9.69 9.69 9.69 9.69
32 10.06 10.06 10.06 10.06
33 10.02 10.02 10.02 10.02
34 10.02 10.02 10.02 10.02
35 10.33 10.33 10.33 10.33
36 10.02 10.02 10.02 10.02
37 10.32 10.32 10.32 10.32
38 10.12 10.11 10.11 10.11
39 10.15 10.15 10.15 10.15
40 10.85 10.85 10.85 10.85
41 10.15 10.15 10.15 10.15
42 10.48 10.48 10.48 10.48
43 10.14 10.14 10.14 10.14
44 10.55 10.55 10.55 10.55
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2A Cap(%) A-2B Cap(%) A-2C Cap(%) M-1 Cap(%) M-2 Cap(%) M-3 Cap(%) M-4 Cap(%) M-5 Cap(%)
------ ----------- ----------- ----------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
45 -- 14.84 14.84 10.82 10.82 10.82 10.82 10.82
46 -- 14.84 14.84 10.82 10.82 10.82 10.82 10.82
47 -- 15.34 15.34 11.18 11.18 11.18 11.18 11.18
48 -- 14.84 14.84 10.82 10.82 10.82 10.82 10.82
49 -- 15.34 15.34 11.18 11.18 11.18 11.18 11.18
50 -- 14.84 14.84 10.81 10.81 10.81 10.81 10.81
51 -- 14.92 14.92 10.88 10.88 10.88 10.88 10.88
52 -- 16.51 16.51 12.04 12.04 12.04 12.04 12.04
53 -- -- 14.92 10.88 10.88 10.88 10.88 10.88
54 -- -- 15.41 11.24 11.24 11.24 11.24 11.24
55 -- -- 14.91 10.87 10.87 10.87 10.87 10.87
56 -- -- 15.41 11.23 11.23 11.23 11.23 11.23
57 -- -- 14.96 10.91 10.91 10.91 10.91 10.91
58 -- -- 14.96 10.91 10.91 10.91 10.91 10.91
59 -- -- 15.46 11.27 11.27 11.27 11.27 11.27
60 -- -- 14.96 10.91 10.91 10.91 10.91 10.91
61 -- -- 15.46 11.27 11.27 11.27 11.27 11.27
62 -- -- 14.96 10.91 10.91 10.91 10.91 10.91
63 -- -- 14.96 10.91 10.91 10.91 10.91 10.91
64 -- -- 16.56 12.07 12.07 12.07 12.07 12.07
65 -- -- 14.96 10.90 10.90 10.90 10.90 10.90
66 -- -- 15.46 11.26 11.26 11.26 11.26 11.26
67 -- -- 14.96 10.90 10.90 10.90 10.90 10.90
68 -- -- 15.46 11.26 11.26 11.26 11.26 11.26
69 -- -- 14.96 10.90 10.90 10.90 10.90 10.90
70 -- -- 14.96 10.90 10.90 10.90 10.90 10.90
71 -- -- 15.45 11.26 11.26 11.26 11.26 11.26
72 -- -- 14.96 10.89 10.89 10.89 10.89 10.89
73 -- -- 15.45 11.26 11.26 11.26 11.26 11.26
74 -- -- 14.95 10.89 10.89 10.89 10.89 10.89
75 -- -- 14.95 10.89 10.89 10.89 10.89 10.89
76 -- -- 16.56 12.06 12.06 12.06 12.06 12.06
77 -- -- 14.95 10.89 10.89 10.89 10.89 10.89
78 -- -- 15.45 11.25 11.25 11.25 11.25 11.25
79 -- -- 14.95 10.89 10.89 10.89 10.89 10.89
80 -- -- 15.45 11.25 11.25 11.25 11.25 11.25
81 -- -- 14.95 10.88 10.88 10.88 10.88 10.88
82 -- -- 14.95 10.88 10.88 10.88 10.88 10.88
83 -- -- 15.45 11.24 11.24 11.24 11.24 11.24
84 -- -- 14.95 10.88 10.88 10.88 10.88 10.88
85 -- -- 15.45 11.24 11.24 11.24 11.24 11.24
86 -- -- 14.95 10.88 10.88 10.88 10.88 10.88
87 -- -- 14.95 10.88 10.88 10.88 10.88 10.88
88 -- -- 15.98 11.63 11.63 11.63 11.63 11.63
89 -- -- 14.95 10.87 10.87 10.87 10.87 10.87
90 -- -- 15.45 11.24 11.24 11.24 11.24 11.24
Period M-6 Cap(%) B-1 Cap(%) B-2 Cap(%) B-3 Cap(%)
------ ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360
45 10.82 10.82 10.82 10.82
46 10.82 10.82 10.82 10.82
47 11.18 11.18 11.18 11.18
48 10.82 10.82 10.82 10.82
49 11.18 11.18 11.18 11.18
50 10.81 10.81 10.81 10.81
51 10.88 10.88 10.88 10.88
52 12.04 12.04 12.04 12.04
53 10.88 10.88 10.88 10.88
54 11.24 11.24 11.24 11.24
55 10.87 10.87 10.87 10.87
56 11.23 11.23 11.23 11.23
57 10.91 10.91 10.91 10.91
58 10.91 10.91 10.91 10.91
59 11.27 11.27 11.27 11.27
60 10.91 10.91 10.91 10.91
61 11.27 11.27 11.27 11.27
62 10.91 10.91 10.91 10.91
63 10.91 10.91 10.91 10.91
64 12.07 12.07 12.07 12.07
65 10.90 10.90 10.9 10.9
66 11.26 11.26 11.26 11.26
67 10.90 10.90 10.9 10.9
68 11.26 11.26 11.26 11.26
69 10.90 10.90 10.9 10.9
70 10.90 10.90 10.9 10.9
71 11.26 11.26 11.26 11.26
72 10.89 10.89 10.89 10.89
73 11.26 11.26 11.26 11.26
74 10.89 10.89 10.89 10.89
75 10.89 10.89 10.89 10.89
76 12.06 12.06 12.06 12.06
77 10.89 10.89 10.89 10.89
78 11.25 11.25 11.25 11.25
79 10.89 10.89 10.89 10.89
80 11.25 11.25 11.25 11.25
81 10.88 10.88 10.88 10.88
82 10.88 10.88 10.88 10.88
83 11.24 11.24 11.24 11.24
84 10.88 10.88 10.88 10.88
85 11.24 11.24 11.24 11.24
86 10.88 10.88 10.88 10.88
87 10.88 10.88 10.88 10.88
88 11.63 11.63 11.63 11.63
89 10.87 10.87 10.87 10.87
90 11.24 11.24 11.24 11.24
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 20
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2A Cap(%) A-2B Cap(%) A-2C Cap(%) M-1 Cap(%) M-2 Cap(%) M-3 Cap(%) M-4 Cap(%) M-5 Cap(%)
------ ----------- ----------- ----------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
91 -- -- 14.95 10.87 10.87 10.87 10.87 10.87
92 -- -- 15.45 11.23 11.23 11.23 11.23 11.23
93 -- -- 14.95 10.87 10.87 10.87 10.87 10.87
94 -- -- 14.95 10.87 10.87 10.87 10.87 10.87
95 -- -- 15.45 11.23 11.23 11.23 11.23 11.23
96 -- -- 14.95 10.87 10.87 10.87 10.87 10.87
97 -- -- 15.45 11.23 11.23 11.23 11.23 11.23
98 -- -- 14.95 10.87 10.87 10.87 10.87 10.87
99 -- -- 14.95 10.86 10.86 10.86 10.86 10.86
100 -- -- 16.55 12.03 12.03 12.03 12.03 12.03
101 -- -- 14.95 10.86 10.86 10.86 10.86 10.86
102 -- -- 15.45 11.22 11.22 11.22 11.22 11.22
103 -- -- 14.95 10.86 10.86 10.86 10.86 10.86
104 -- -- 15.31 11.22 11.22 11.22 11.22 11.22
105 -- -- 12.06 10.86 10.86 10.86 10.86 10.86
106 -- -- 12.08 10.86 10.86 10.86 10.86 10.86
107 -- -- 12.51 11.22 11.22 11.22 11.22 11.22
108 -- -- 12.14 10.86 10.86 10.86 10.86 10.86
109 -- -- 12.57 11.22 11.22 11.22 11.22 11.22
110 -- -- 12.20 10.86 10.86 10.86 10.86 10.86
111 -- -- 12.23 10.85 10.85 10.85 10.85 10.85
112 -- -- 13.57 12.02 12.02 12.02 12.02 12.02
113 -- -- 12.29 10.85 10.85 10.85 10.85 10.85
114 -- -- 12.74 11.21 11.21 11.21 11.21 11.21
115 -- -- 12.36 10.85 10.85 10.85 10.85 10.85
116 -- -- 12.81 11.21 11.21 11.21 11.21 11.21
117 -- -- 12.43 10.85 10.85 10.85 10.85 10.85
118 -- -- 12.47 10.85 10.85 10.85 10.85 10.85
119 -- -- 12.92 11.21 11.21 11.21 11.21 11.21
120 -- -- 12.54 10.85 10.85 10.85 10.85 10.85
121 -- -- 13.00 11.21 11.21 11.21 11.21 11.21
122 -- -- 12.62 10.85 10.85 10.85 10.85 10.85
123 -- -- 12.67 10.85 10.85 10.85 10.85 10.85
124 -- -- 14.07 12.01 12.01 12.01 12.01 12.01
125 -- -- 12.75 10.85 10.85 10.85 10.85 10.85
126 -- -- 13.22 11.21 11.21 11.21 11.21 11.21
127 -- -- 12.84 10.84 10.84 10.84 10.84 10.84
128 -- -- 13.32 11.21 11.21 11.21 11.21 11.21
129 -- -- 12.94 10.84 10.84 10.84 10.84 10.84
130 -- -- 12.99 10.84 10.84 10.84 10.84 10.84
131 -- -- 13.48 11.20 11.20 11.20 11.20 11.20
132 -- -- 13.10 10.84 10.84 10.84 10.84 10.84
133 -- -- 13.59 11.20 11.20 11.20 11.20 11.20
134 -- -- 13.21 10.84 10.84 10.84 10.84 10.84
135 -- -- 13.26 10.84 10.84 10.84 10.84 10.84
Period M-6 Cap(%) B-1 Cap(%) B-2 Cap(%) B-3 Cap(%)
------ ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360
91 10.87 10.87 10.87 10.87
92 11.23 11.23 11.23 11.23
93 10.87 10.87 10.87 10.87
94 10.87 10.87 10.87 10.87
95 11.23 11.23 11.23 11.23
96 10.87 10.87 10.87 10.87
97 11.23 11.23 11.23 11.23
98 10.87 10.87 10.87 10.87
99 10.86 10.86 10.86 10.86
100 12.03 12.03 12.03 12.03
101 10.86 10.86 10.86 10.86
102 11.22 11.22 11.22 11.22
103 10.86 10.86 10.86 10.86
104 11.22 11.22 11.22 11.22
105 10.86 10.86 10.86 10.86
106 10.86 10.86 10.86 10.86
107 11.22 11.22 11.22 11.22
108 10.86 10.86 10.86 10.86
109 11.22 11.22 11.22 11.22
110 10.86 10.86 10.86 10.86
111 10.85 10.85 10.85 10.85
112 12.02 12.02 12.02 12.02
113 10.85 10.85 10.85 10.85
114 11.21 11.21 11.21 11.21
115 10.85 10.85 10.85 10.85
116 11.21 11.21 11.21 11.21
117 10.85 10.85 10.85 10.85
118 10.85 10.85 10.85 --
119 11.21 11.21 11.21 --
120 10.85 10.85 10.85 --
121 11.21 11.21 11.21 --
122 10.85 10.85 10.85 --
123 10.85 10.85 10.85 --
124 12.01 12.01 12.01 --
125 10.85 10.85 10.85 --
126 11.21 11.21 11.21 --
127 10.84 10.84 -- --
128 11.21 11.21 -- --
129 10.84 10.84 -- --
130 10.84 10.84 -- --
131 11.20 11.20 -- --
132 10.84 10.84 -- --
133 11.20 11.20 -- --
134 10.84 10.84 -- --
135 10.84 -- -- --
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 21
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2A Cap(%) A-2B Cap(%) A-2C Cap(%) M-1 Cap(%) M-2 Cap(%) M-3 Cap(%) M-4 Cap(%) M-5 Cap(%)
------ ----------- ----------- ----------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
136 -- -- 14.24 11.59 11.59 11.59 11.59 11.59
137 -- -- 13.38 10.84 10.84 10.84 10.84 10.84
138 -- -- 13.89 11.20 11.20 11.20 11.20 11.20
139 -- -- 13.51 10.84 10.84 10.84 10.84 10.84
140 -- -- 14.02 11.20 11.20 11.20 11.20 11.20
141 -- -- 13.64 10.84 10.84 10.84 10.84 10.84
142 -- -- 13.71 10.84 10.84 10.84 10.84 10.84
143 -- -- 14.24 11.20 11.20 11.20 11.20 11.20
144 -- -- 13.85 10.84 10.84 10.84 10.84 10.84
145 -- -- 14.39 11.20 11.20 11.20 11.20 11.20
146 -- -- 14.00 10.84 10.84 10.84 10.84 10.84
147 -- -- 14.08 10.84 10.84 10.84 10.84 10.84
148 -- -- 15.68 12.00 12.00 12.00 12.00 12.00
149 -- -- 14.24 10.84 10.84 10.84 10.84 10.84
150 -- -- 14.81 11.20 11.20 11.20 11.20 11.20
151 -- -- 14.41 10.84 10.84 10.84 10.84 --
152 -- -- 14.99 11.20 11.20 11.20 11.20 --
153 -- -- 14.60 10.84 10.84 10.84 10.84 --
154 -- -- 14.69 10.84 10.84 10.84 10.84 --
155 -- -- 15.28 11.20 11.20 11.20 11.20 --
156 -- -- 14.89 10.84 10.84 10.84 10.84 --
157 -- -- 15.49 11.20 11.20 11.20 11.20 --
158 -- -- 15.09 10.84 10.84 10.84 -- --
159 -- -- 15.20 10.84 10.84 10.84 -- --
160 -- -- 16.95 12.00 12.00 12.00 -- --
161 -- -- 15.42 10.84 10.84 10.84 -- --
162 -- -- 16.06 11.20 11.20 11.20 -- --
163 -- -- 15.66 10.84 10.84 -- -- --
164 -- -- 16.31 11.20 11.20 -- -- --
165 -- -- 15.91 10.84 10.84 -- -- --
166 -- -- 16.04 10.84 10.84 -- -- --
167 -- -- 16.71 11.20 11.20 -- -- --
168 -- -- 16.31 10.84 10.84 -- -- --
169 -- -- 17.00 11.21 11.21 -- -- --
170 -- -- 16.59 10.84 10.84 -- -- --
171 -- -- 16.74 10.85 10.85 -- -- --
172 -- -- 18.70 12.01 -- -- -- --
173 -- -- 17.05 10.85 -- -- -- --
174 -- -- 17.78 11.21 -- -- -- --
175 -- -- 17.37 10.85 -- -- -- --
176 -- -- 18.13 11.21 -- -- -- --
177 -- -- 17.72 10.85 -- -- -- --
178 -- -- 17.89 10.85 -- -- -- --
179 -- -- 18.68 11.21 -- -- -- --
180 -- -- 18.26 10.85 -- -- -- --
181 -- -- 19.06 11.21 -- -- -- --
182 -- -- 18.64 10.85 -- -- -- --
Period M-6 Cap(%) B-1 Cap(%) B-2 Cap(%) B-3 Cap(%)
------ ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360
136 11.59 -- -- --
137 10.84 -- -- --
138 11.20 -- -- --
139 10.84 -- -- --
140 11.20 -- -- --
141 10.84 -- -- --
142 10.84 -- -- --
143 11.20 -- -- --
144 -- -- -- --
145 -- -- -- --
146 -- -- -- --
147 -- -- -- --
148 -- -- -- --
149 -- -- -- --
150 -- -- -- --
151 -- -- -- --
152 -- -- -- --
153 -- -- -- --
154 -- -- -- --
155 -- -- -- --
156 -- -- -- --
157 -- -- -- --
158 -- -- -- --
159 -- -- -- --
160 -- -- -- --
161 -- -- -- --
162 -- -- -- --
163 -- -- -- --
164 -- -- -- --
165 -- -- -- --
166 -- -- -- --
167 -- -- -- --
168 -- -- -- --
169 -- -- -- --
170 -- -- -- --
171 -- -- -- --
172 -- -- -- --
173 -- -- -- --
174 -- -- -- --
175 -- -- -- --
176 -- -- -- --
177 -- -- -- --
178 -- -- -- --
179 -- -- -- --
180 -- -- -- --
181 -- -- -- --
182 -- -- -- --
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 22
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2A Cap(%) A-2B Cap(%) A-2C Cap(%) M-1 Cap(%) M-2 Cap(%) M-3 Cap(%) M-4 Cap(%) M-5 Cap(%)
------ ----------- ----------- ----------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
183 -- -- 18.92 -- -- -- -- --
184 -- -- 20.62 -- -- -- -- --
185 -- -- 19.69 -- -- -- -- --
186 -- -- 20.78 -- -- -- -- --
187 -- -- 20.56 -- -- -- -- --
188 -- -- 21.75 -- -- -- -- --
189 -- -- 21.58 -- -- -- -- --
190 -- -- 22.15 -- -- -- -- --
191 -- -- 23.52 -- -- -- -- --
192 -- -- 23.44 -- -- -- -- --
193 -- -- 24.97 -- -- -- -- --
194 -- -- 24.97 -- -- -- -- --
195 -- -- 25.85 -- -- -- -- --
196 -- -- 29.70 -- -- -- -- --
197 -- -- 27.91 -- -- -- -- --
198 -- -- 30.09 -- -- -- -- --
199 -- -- 30.47 -- -- -- -- --
200 -- -- 33.07 -- -- -- -- --
201 -- -- 33.75 -- -- -- -- --
202 -- -- 35.75 -- -- -- -- --
203 -- -- 39.34 -- -- -- -- --
204 -- -- 40.80 -- -- -- -- --
205 -- -- 45.51 -- -- -- -- --
206 -- -- 47.97 -- -- -- -- --
207 -- -- 52.81 -- -- -- -- --
208 -- -- 65.24 -- -- -- -- --
209 -- -- 66.90 -- -- -- -- --
210 -- -- 80.32 -- -- -- -- --
211 -- -- 93.24 -- -- -- -- --
212 -- -- 121.25 -- -- -- -- --
213 -- -- 159.87 -- -- -- -- --
214 -- -- -- -- -- -- -- --
Period M-6 Cap(%) B-1 Cap(%) B-2 Cap(%) B-3 Cap(%)
------ ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360
183 -- -- -- --
184 -- -- -- --
185 -- -- -- --
186 -- -- -- --
187 -- -- -- --
188 -- -- -- --
189 -- -- -- --
190 -- -- -- --
191 -- -- -- --
192 -- -- -- --
193 -- -- -- --
194 -- -- -- --
195 -- -- -- --
196 -- -- -- --
197 -- -- -- --
198 -- -- -- --
199 -- -- -- --
200 -- -- -- --
201 -- -- -- --
202 -- -- -- --
203 -- -- -- --
204 -- -- -- --
205 -- -- -- --
206 -- -- -- --
207 -- -- -- --
208 -- -- -- --
209 -- -- -- --
210 -- -- -- --
211 -- -- -- --
212 -- -- -- --
213 -- -- -- --
214 -- -- -- --
(1) Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis
Risk Carry Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 23
Interest Rate Cap Schedules
Group II Class A Cap Class M Cap
-------------------------------------------- ----------------------------------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
1 414,251,000.00 6.30 9.10 176,178,000.00 5.50 8.40
2 403,806,646.11 6.30 9.10 176,178,000.00 5.50 8.40
3 393,409,401.62 6.30 9.10 176,178,000.00 5.50 8.40
4 383,056,010.21 6.30 9.10 176,178,000.00 5.50 8.40
5 372,743,771.04 6.30 9.10 176,178,000.00 5.50 8.40
6 362,470,832.96 6.30 9.10 176,178,000.00 5.50 8.40
7 352,236,189.32 6.30 9.10 176,178,000.00 5.50 8.40
8 342,039,668.16 6.30 9.10 176,178,000.00 5.50 8.40
9 331,881,917.72 6.30 9.10 176,178,000.00 5.50 8.40
10 321,764,387.02 6.30 9.10 176,178,000.00 5.50 8.40
11 311,689,301.72 6.30 9.10 176,178,000.00 5.50 8.40
12 301,662,380.23 6.30 9.10 176,178,000.00 5.50 8.40
13 291,872,266.73 6.40 9.10 176,178,000.00 5.50 8.40
14 282,313,394.13 6.40 9.10 176,178,000.00 5.50 8.40
15 272,980,325.84 6.40 9.10 176,178,000.00 5.50 8.40
16 263,867,752.74 6.40 9.10 176,178,000.00 5.50 8.40
17 254,970,490.18 6.40 9.10 176,178,000.00 5.50 8.40
18 246,283,475.06 6.40 9.10 176,178,000.00 5.50 8.40
19 237,801,762.98 6.40 9.10 176,178,000.00 5.50 8.40
20 229,520,525.50 6.40 9.10 176,178,000.00 5.50 8.40
21 221,391,942.99 7.50 9.15 176,178,000.00 6.45 8.65
22 213,458,369.42 7.50 9.15 176,178,000.00 6.45 8.65
23 205,713,043.22 7.50 9.15 176,178,000.00 6.45 8.65
24 198,151,524.74 7.50 9.15 176,178,000.00 6.45 8.65
25 190,769,478.67 7.50 9.15 176,178,000.00 6.45 8.65
26 183,562,671.53 7.50 9.15 176,178,000.00 6.45 8.65
27 176,527,429.93 8.60 9.25 176,178,000.00 7.35 8.85
28 169,659,235.37 8.60 9.25 176,178,000.00 7.35 8.85
29 162,954,146.59 8.60 9.25 176,178,000.00 7.35 8.85
30 156,408,314.91 8.60 9.25 176,178,000.00 7.35 8.85
31 150,017,982.13 8.60 9.25 176,178,000.00 7.35 8.85
32 143,779,478.36 8.60 9.25 176,178,000.00 7.35 8.85
33 -- -- -- 176,178,000.00 8.35 9.20
34 -- -- -- 176,178,000.00 8.35 9.20
35 -- -- -- 176,178,000.00 8.35 9.20
36 -- -- -- 176,178,000.00 8.35 9.20
37 -- -- -- 176,178,000.00 8.35 9.20
38 -- -- -- 175,990,022.70 8.35 9.20
39 -- -- -- -- -- --
40 -- -- -- -- -- --
Class B Cap
--------------------------------------------
Period Balance ($) Strike % Ceiling %
1 38,951,000.00 4.05 6.95
2 38,951,000.00 4.05 6.95
3 38,951,000.00 4.05 6.95
4 38,951,000.00 4.05 6.95
5 38,951,000.00 4.05 6.95
6 38,951,000.00 4.05 6.95
7 38,951,000.00 4.05 6.95
8 38,951,000.00 4.05 6.95
9 38,951,000.00 4.05 6.95
10 38,951,000.00 4.05 6.95
11 38,951,000.00 4.05 6.95
12 38,951,000.00 4.05 6.95
13 38,951,000.00 4.05 6.95
14 38,951,000.00 4.05 6.95
15 38,951,000.00 4.05 6.95
16 38,951,000.00 4.05 6.95
17 38,951,000.00 4.05 6.95
18 38,951,000.00 4.05 6.95
19 38,951,000.00 4.05 6.95
20 38,951,000.00 4.05 6.95
21 38,951,000.00 5.00 7.20
22 38,951,000.00 5.00 7.20
23 38,951,000.00 5.00 7.20
24 38,951,000.00 5.00 7.20
25 38,951,000.00 5.00 7.20
26 38,951,000.00 5.00 7.20
27 38,951,000.00 5.90 7.40
28 38,951,000.00 5.90 7.40
29 38,951,000.00 5.90 7.40
30 38,951,000.00 5.90 7.40
31 38,951,000.00 5.90 7.40
32 38,951,000.00 5.90 7.40
33 38,951,000.00 6.90 7.75
34 38,951,000.00 6.90 7.75
35 38,951,000.00 6.90 7.75
36 38,951,000.00 6.90 7.75
37 38,951,000.00 6.90 7.75
38 32,616,059.86 6.90 7.75
39 -- -- --
40 -- -- --
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational 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. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 24
--------------------------------------------------------------------------------
Class A-2A Target Balance Schedule
--------------------------------------------------------------------------------
Distribution Date Month Target Balance ($)
----------------------- ------------------
November 2011 $24,262,421.05
December 2011 $22,184,101.74
January 2012 $20,116,214.68
February 2012 $18,058,704.44
March 2012 $16,011,515.90
April 2012 $13,974,594.21
May 2012 $11,947,884.81
June 2012 $9,931,333.42
July 2012 $7,924,886.07
August 2012 $5,928,489.05
September 2012 $3,942,088.94
October 2012 $1,965,632.60
November 2012 and thereafter --
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 25
XXXXXX XXXXXXX
MSAC 2004-NC8
All records
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Original Combined LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 6,488
Aggregate Principal Balance ($): 1,198,490,375
Weighted Average Current Mortgage Rate (%): 7.016
Non-Zero Weighted Average Margin (%): 5.554
Non-Zero Weighted Average Maximum Rate (%): 14.025
Weighted Average Stated Original Term (months): 354
Weighted Average Stated Remaining Term (months): 350
Weighted Average Combined Original LTV (%): 78.67
% First Liens: 98.27
% Owner Occupied: 93.87
% Purchase: 26.31
% Full Doc: 52.71
Weighted Average Credit Score: 618
2. Originator
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Originator Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
New Century 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
3. Product Types
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 3 184,080 0.02 6.331 115 65.49
Fixed - 15 Year 205 21,085,854 1.76 7.042 176 71.60
Fixed - 20 Year 280 19,814,380 1.65 8.238 236 81.51
Fixed - 25 Year 6 639,399 0.05 7.114 296 79.53
Fixed - 30 Year 1,701 295,940,966 24.69 6.901 356 75.78
ARM - 2 Year/6 Month 3,471 641,268,486 53.51 7.259 356 79.29
ARM - 3 Year/6 Month 169 31,792,373 2.65 6.995 356 77.56
ARM - 2 Year IO/6 Month 527 150,789,524 12.58 6.393 356 82.45
ARM - 3 Year IO/6 Month 88 25,421,330 2.12 6.065 356 78.16
ARM - 10 Year IO/1 Month 38 11,553,983 0.96 4.615 296 80.89
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 57 17,325,029 1.45 4.669 320 79.24
5.000 - 5.999 867 220,252,520 18.38 5.710 350 73.65
6.000 - 6.999 1,997 431,133,383 35.97 6.538 351 77.71
7.000 - 7.999 1,862 327,116,451 27.29 7.501 352 80.99
8.000 - 8.999 1,006 141,068,767 11.77 8.435 352 81.31
9.000 - 9.999 346 38,884,365 3.24 9.445 348 81.05
10.000 - 10.999 276 18,653,962 1.56 10.391 322 90.54
11.000 - 11.999 65 3,471,468 0.29 11.302 305 94.71
12.000 - 12.999 12 584,429 0.05 12.170 313 86.76
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.100
Maximum: 12.550
Weighted Average: 7.016
5. Range of Cut-off Date Principal Balances ($)
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
1 - 25,000 18 402,158 0.03 10.810 226 100.00
25,001 - 50,000 224 9,329,817 0.78 9.512 264 83.44
50,001 - 75,000 740 46,307,032 3.86 8.345 333 78.85
75,001 - 100,000 796 69,653,286 5.81 7.693 344 78.23
100,001 - 125,000 740 83,229,175 6.94 7.535 348 78.43
125,001 - 150,000 598 82,321,584 6.87 7.357 348 77.15
150,001 - 175,000 564 91,795,891 7.66 7.160 350 76.67
175,001 - 200,000 449 84,152,915 7.02 7.061 352 76.70
200,001 - 225,000 390 83,017,084 6.93 6.988 352 76.69
225,001 - 250,000 342 81,543,929 6.80 6.996 354 77.88
250,001 - 275,000 326 85,516,152 7.14 6.817 352 78.94
275,001 - 300,000 278 79,985,290 6.67 6.826 353 79.43
300,001 - 325,000 225 70,412,185 5.88 6.668 352 81.18
325,001 - 350,000 182 61,440,496 5.13 6.597 355 80.54
350,001 - 375,000 148 53,504,331 4.46 6.621 354 81.09
375,001 - 400,000 127 49,418,265 4.12 6.579 352 80.91
400,001 - 425,000 61 25,166,230 2.10 6.418 356 80.42
425,001 - 450,000 74 32,459,924 2.71 6.516 356 80.47
450,001 - 475,000 47 21,747,726 1.81 6.703 352 79.35
475,001 - 500,000 74 36,398,873 3.04 6.431 353 76.38
500,001 - 750,000 84 49,805,531 4.16 6.369 354 79.59
750,001 - 1,000,000 1 882,500 0.07 5.350 356 67.88
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
Minimum: 19,893
Maximum: 882,500
Average: 184,724
6. Stated Original Term (months)
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
120 3 184,080 0.02 6.331 115 65.49
180 205 21,085,854 1.76 7.042 176 71.60
240 280 19,814,380 1.65 8.238 236 81.51
300 44 12,193,382 1.02 4.746 296 80.82
360 5,956 1,145,212,680 95.55 7.018 356 78.73
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 354
7. Range of Stated Remaining Terms (months)
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
109 - 120 3 184,080 0.02 6.331 115 65.49
169 - 180 205 21,085,854 1.76 7.042 176 71.60
229 - 240 280 19,814,380 1.65 8.238 236 81.51
289 - 300 44 12,193,382 1.02 4.746 296 80.82
349 - 360 5,956 1,145,212,680 95.55 7.018 356 78.73
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
Minimum: 115
Maximum: 357
Weighted Average: 350
8. Range of Original Combined LTV Ratios (%)
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Original Combined LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
10.01 - 15.00 2 181,558 0.02 6.291 356 13.10
15.01 - 20.00 9 644,859 0.05 6.992 323 18.82
20.01 - 25.00 12 1,080,190 0.09 6.760 332 23.13
25.01 - 30.00 17 1,890,284 0.16 6.785 339 27.16
30.01 - 35.00 31 3,393,702 0.28 6.849 333 32.73
35.01 - 40.00 37 4,691,237 0.39 6.497 328 37.78
40.01 - 45.00 77 12,380,401 1.03 6.517 344 42.47
45.01 - 50.00 106 18,544,777 1.55 6.530 346 47.73
50.01 - 55.00 130 21,916,679 1.83 6.771 345 52.91
55.01 - 60.00 217 37,016,954 3.09 6.787 346 58.00
60.01 - 65.00 391 73,765,543 6.15 6.674 349 63.41
65.01 - 70.00 555 100,692,877 8.40 6.950 349 68.52
70.01 - 75.00 671 127,252,498 10.62 7.044 351 73.87
75.01 - 80.00 1,554 305,072,899 25.45 6.848 351 79.48
80.01 - 85.00 783 156,619,677 13.07 6.954 353 84.33
85.01 - 90.00 977 204,011,042 17.02 7.054 353 89.65
90.01 - 95.00 428 88,277,712 7.37 7.300 353 94.65
95.01 - 100.00 491 41,057,488 3.43 9.186 331 99.97
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
Minimum: 12.10
Maximum: 100.00
Weighted Average: 78.67
9. Range of Gross Margins (%)
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,195 337,664,679 28.17 6.988 337 75.85
<= 3.500 42 11,994,600 1.00 4.813 306 81.01
3.501 - 4.000 6 1,577,197 0.13 5.494 309 81.19
4.001 - 4.500 2 478,787 0.04 6.133 323 79.26
4.501 - 5.000 3 670,224 0.06 6.539 356 76.27
5.001 - 5.500 1,889 372,540,540 31.08 6.768 356 80.72
5.501 - 6.000 1,764 378,881,581 31.61 7.166 356 80.77
6.001 - 6.500 313 54,129,815 4.52 7.510 356 73.67
6.501 - 7.000 269 39,990,463 3.34 8.182 356 69.28
7.001 - 7.500 1 179,975 0.02 7.650 356 95.00
7.501 - 8.000 2 202,351 0.02 8.797 355 76.52
8.001 - 8.500 1 52,113 0.00 8.150 356 95.00
9.001 - 9.500 1 128,051 0.01 9.300 357 75.00
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 9.300
Non-Zero Weighted Average: 5.554
10. Range of Minimum Mortgage Rates (%)
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,195 337,664,679 28.17 6.988 337 75.85
<=5.000 63 19,150,220 1.60 4.702 322 79.34
5.001 - 5.500 181 53,076,307 4.43 5.343 355 75.88
5.501 - 6.000 418 103,843,279 8.66 5.828 356 76.64
6.001 - 6.500 503 118,557,270 9.89 6.335 356 78.38
6.501 - 7.000 779 168,507,455 14.06 6.797 356 79.93
7.001 - 7.500 642 123,897,137 10.34 7.292 356 81.21
7.501 - 8.000 716 127,667,312 10.65 7.776 356 82.14
8.001 - 8.500 414 66,436,487 5.54 8.275 356 82.95
8.501 - 9.000 320 44,849,757 3.74 8.745 356 81.40
9.001 - 9.500 135 18,379,065 1.53 9.249 356 79.87
9.501 - 10.000 82 11,610,518 0.97 9.791 356 75.99
10.001 -10.500 23 2,701,148 0.23 10.276 356 72.54
10.501 - 11.000 10 1,411,704 0.12 10.772 356 67.99
11.001 - 11.500 3 412,909 0.03 11.356 356 65.72
11.501 - 12.000 2 152,305 0.01 11.573 356 72.70
12.001 - 12.500 2 172,823 0.01 12.236 356 55.22
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.100
Maximum: 12.250
Non-Zero Weighted Average: 7.026
11. Range of Maximum Mortgage Rates (%)
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,195 337,664,679 28.17 6.988 337 75.85
<= 12.500 249 73,162,849 6.10 5.185 346 76.85
12.501 - 13.000 424 104,616,080 8.73 5.839 356 76.51
13.001 - 13.500 506 118,728,670 9.91 6.341 356 78.31
13.501 - 14.000 779 168,713,089 14.08 6.804 356 80.05
14.001 - 14.500 640 123,927,616 10.34 7.300 356 81.35
14.501 - 15.000 711 126,641,847 10.57 7.777 356 82.12
15.001 - 15.500 410 65,777,947 5.49 8.277 356 82.81
15.501 - 16.000 320 44,826,227 3.74 8.750 356 81.41
16.001 - 16.500 134 18,167,404 1.52 9.250 356 79.92
16.501 - 17.000 81 11,535,383 0.96 9.802 356 76.03
17.001 - 17.500 23 2,701,148 0.23 10.276 356 72.54
17.501 - 18.000 9 1,289,400 0.11 10.793 356 67.80
18.001 - 18.500 3 412,909 0.03 11.356 356 65.72
18.501 - 19.000 2 152,305 0.01 11.573 356 72.70
19.001 - 19.500 2 172,823 0.01 12.236 356 55.22
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 11.500
Maximum: 19.250
Non-Zero Weighted Average: 14.025
12. Initial Periodic Cap (%)
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,195 337,664,679 28.17 6.988 337 75.85
1 36 5,701,365 0.48 7.561 356 76.81
1.5 4,217 843,413,219 70.37 7.056 356 79.77
3 40 11,711,112 0.98 4.670 297 80.98
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.517
13. Subsequent Periodic Cap (%)
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,195 337,664,679 28.17 6.988 337 75.85
1 37 5,800,117 0.48 7.576 356 77.03
1.5 4,218 843,471,596 70.38 7.056 356 79.77
3 38 11,553,983 0.96 4.615 296 80.89
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.517
14. Next Rate Adjustment Dates
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,195 337,664,679 28.17 6.988 337 75.85
Dec-04 38 11,553,983 0.96 4.615 296 80.89
Dec-05 1 363,005 0.03 7.750 349 77.32
Jan-06 1 152,017 0.01 8.600 350 90.00
Apr-06 2 605,326 0.05 6.297 353 77.14
May-06 60 18,095,511 1.51 6.093 354 77.47
Jun-06 327 78,871,324 6.58 6.431 355 80.21
Jul-06 3,269 637,493,387 53.19 7.200 356 80.57
Aug-06 338 56,477,439 4.71 7.141 357 72.58
May-07 2 212,577 0.02 7.212 354 86.90
Jun-07 37 9,584,904 0.80 6.021 355 77.48
Jul-07 187 42,316,566 3.53 6.699 356 78.21
Aug-07 31 5,099,656 0.43 6.637 357 74.91
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
15. Geographic Distribution of Mortgaged Properties
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
California 2,023 498,205,032 41.57 6.616 351 76.74
New York 326 82,314,767 6.87 6.919 351 77.40
Florida 574 78,941,977 6.59 7.410 348 79.68
New Jersey 226 49,864,300 4.16 7.259 350 78.81
Texas 409 43,970,965 3.67 7.601 334 80.53
Illinois 240 41,830,156 3.49 7.544 353 82.02
Nevada 189 37,992,202 3.17 7.222 354 80.37
Massachusetts 163 37,038,461 3.09 7.058 352 80.00
Maryland 138 25,928,026 2.16 7.206 349 78.18
Hawaii 85 23,120,360 1.93 6.327 351 76.28
Virginia 120 22,951,890 1.92 7.336 354 79.08
Michigan 193 22,747,438 1.90 7.832 353 80.59
Washington 132 22,409,954 1.87 7.135 352 82.95
Arizona 146 20,965,769 1.75 7.107 352 83.06
Pennsylvania 151 17,968,623 1.50 7.265 342 81.71
Other 1,373 172,240,457 14.37 7.495 348 81.04
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 51
16. Occupancy
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
Primary 6,066 1,125,042,771 93.87 6.998 350 78.63
Investment 368 61,221,853 5.11 7.331 352 79.09
Second Home 54 12,225,751 1.02 7.074 348 79.49
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
17. Property Type
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 4,991 890,801,093 74.33 7.016 350 78.36
Planned Unit Development 685 139,727,366 11.66 7.044 350 80.35
2-4 Family 429 100,739,515 8.41 7.014 352 78.59
Condo 383 67,222,402 5.61 6.955 350 79.34
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 4,375 820,346,478 68.45 6.935 351 76.00
Purchase 1,700 315,287,965 26.31 7.244 350 85.91
Refinance - Rate Term 413 62,855,933 5.24 6.925 346 77.07
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
Full 3,729 631,677,489 52.71 6.880 349 78.28
Stated Documentation 2,507 516,562,240 43.10 7.193 352 79.15
Limited 252 50,250,646 4.19 6.903 352 78.45
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
20. Credit Score
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
500 - 524 475 69,698,486 5.82 8.355 351 72.32
525 - 549 713 110,309,775 9.20 7.866 352 74.52
550 - 574 879 143,573,482 11.98 7.342 353 76.03
575 - 599 779 137,743,792 11.49 7.107 350 77.29
600 - 624 982 193,880,334 16.18 6.806 351 79.43
625 - 649 993 205,157,423 17.12 6.691 350 80.92
650 - 674 683 123,478,326 10.30 6.883 349 82.32
675 - 699 402 85,018,199 7.09 6.618 347 81.14
700 - 724 263 59,240,546 4.94 6.406 347 81.89
725 - 749 163 33,400,992 2.79 6.409 343 80.03
750 - 774 110 25,488,004 2.13 6.189 346 80.16
775 - 799 42 10,225,804 0.85 6.005 345 72.03
800 + 4 1,275,213 0.11 6.129 356 70.61
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 813
Non-Zero Weighted Average: 618
21. Prepayment Penalty Term
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
0 1,545 262,906,276 21.94 7.425 347 80.16
12 274 63,789,861 5.32 7.019 349 77.75
24 3,116 592,921,041 49.47 6.993 355 79.84
36 1,553 278,873,198 23.27 6.678 343 74.96
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 27
22. Lien Position
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Lien Position Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
1st Lien 6,119 1,177,804,757 98.27 6.956 351 78.30
2nd Lien 369 20,685,618 1.73 10.402 308 99.49
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
--------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV
--------------------------------------------------------------------------------------------------------------------------------
0 5,835 1,010,725,539 84.33 7.160 350 78.09
24 527 150,789,524 12.58 6.393 356 82.45
36 88 25,421,330 2.12 6.065 356 78.16
120 38 11,553,983 0.96 4.615 296 80.89
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,488 1,198,490,375 100.00 7.016 350 78.67
--------------------------------------------------------------------------------------------------------------------------------
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
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Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
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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.
XXXXXX XXXXXXX
MSAC 2004-NC8
Group 1
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Original Combined LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 4,160
Aggregate Principal Balance ($): 674,452,720
Weighted Average Current Mortgage Rate (%): 7.009
Non-Zero Weighted Average Margin (%): 5.542
Non-Zero Weighted Average Maximum Rate (%): 13.998
Weighted Average Stated Original Term (months): 353
Weighted Average Stated Remaining Term (months): 349
Weighted Average Combined Original LTV (%): 78.43
% First Liens: 98.26
% Owner Occupied: 92.67
% Purchase: 24.06
% Full Doc: 54.12
Weighted Average Credit Score: 618
2. Originator
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Originator Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
New Century 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
3. Product Types
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 2 135,566 0.02 5.752 115 71.04
Fixed - 15 Year 146 14,396,185 2.13 6.928 176 70.20
Fixed - 20 Year 243 15,128,128 2.24 8.399 236 83.34
Fixed - 25 Year 3 279,969 0.04 7.436 296 77.07
Fixed - 30 Year 1,103 172,298,271 25.55 6.912 356 74.56
ARM - 2 Year/6 Month 2,256 385,675,566 57.18 7.119 356 79.24
ARM - 3 Year/6 Month 115 19,219,880 2.85 6.808 356 76.06
ARM - 2 Year IO/6 Month 241 54,202,608 8.04 6.568 356 85.61
ARM - 3 Year IO/6 Month 30 7,136,818 1.06 6.427 356 82.18
ARM - 10 Year IO/1 Month 21 5,979,730 0.89 4.702 296 82.42
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 28 7,066,278 1.05 4.680 314 81.48
5.000 - 5.999 553 111,074,259 16.47 5.745 347 72.55
6.000 - 6.999 1,393 258,454,732 38.32 6.541 350 77.29
7.000 - 7.999 1,257 201,282,922 29.84 7.486 352 80.99
8.000 - 8.999 521 67,856,852 10.06 8.432 350 81.23
9.000 - 9.999 161 16,169,924 2.40 9.453 344 80.61
10.000 - 10.999 183 9,703,572 1.44 10.419 302 91.80
11.000 - 11.999 55 2,457,118 0.36 11.316 288 99.13
12.000 - 12.999 9 387,062 0.06 12.188 292 87.30
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
Minimum: 4.100
Maximum: 12.550
Weighted Average: 7.009
5. Range of Cut-off Date Principal Balances ($)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
1 - 25,000 18 402,158 0.06 10.810 226 100.00
25,001 - 50,000 192 7,738,924 1.15 9.792 254 88.08
50,001 - 75,000 496 30,833,843 4.57 8.267 333 78.98
75,001 - 100,000 509 44,483,475 6.60 7.344 342 76.36
100,001 - 125,000 494 55,564,540 8.24 7.284 348 77.86
125,001 - 150,000 401 55,403,401 8.21 7.134 346 76.44
150,001 - 175,000 413 67,476,101 10.00 7.006 349 77.64
175,001 - 200,000 330 61,798,275 9.16 6.963 354 76.55
200,001 - 225,000 286 61,031,272 9.05 6.833 352 76.76
225,001 - 250,000 253 60,288,595 8.94 6.852 353 77.70
250,001 - 275,000 244 64,054,756 9.50 6.700 351 79.19
275,001 - 300,000 214 61,586,012 9.13 6.717 354 79.98
300,001 - 325,000 186 58,232,653 8.63 6.641 352 81.45
325,001 - 350,000 62 20,554,041 3.05 6.592 355 80.11
350,001 - 375,000 20 7,240,578 1.07 6.638 356 82.80
375,001 - 400,000 19 7,422,117 1.10 6.688 356 84.19
400,001 - 425,000 8 3,281,238 0.49 6.993 356 85.13
425,001 - 450,000 5 2,208,550 0.33 6.103 356 79.66
450,001 - 475,000 3 1,392,533 0.21 6.600 356 67.38
475,001 - 500,000 7 3,459,657 0.51 6.855 356 80.74
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
Minimum: 19,893
Maximum: 500,000
Average: 162,128
6. Stated Original Term (months)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
120 2 135,566 0.02 5.752 115 71.04
180 146 14,396,185 2.13 6.928 176 70.20
240 243 15,128,128 2.24 8.399 236 83.34
300 24 6,259,699 0.93 4.824 296 82.18
360 3,745 638,533,142 94.67 6.999 356 78.46
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 353
7. Range of Stated Remaining Terms (months)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
109 - 120 2 135,566 0.02 5.752 115 71.04
169 - 180 146 14,396,185 2.13 6.928 176 70.20
229 - 240 243 15,128,128 2.24 8.399 236 83.34
289 - 300 24 6,259,699 0.93 4.824 296 82.18
349 - 360 3,745 638,533,142 94.67 6.999 356 78.46
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
Minimum: 115
Maximum: 357
Weighted Average: 349
8. Range of Original Combined LTV Ratios (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Original Combined LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
10.01 - 15.00 2 181,558 0.03 6.291 356 13.10
15.01 - 20.00 7 495,265 0.07 6.680 313 18.61
20.01 - 25.00 7 713,334 0.11 6.639 320 22.60
25.01 - 30.00 13 1,282,904 0.19 6.662 340 27.56
30.01 - 35.00 22 2,460,458 0.36 6.753 341 32.60
35.01 - 40.00 29 3,377,398 0.50 6.549 335 37.71
40.01 - 45.00 54 7,857,466 1.17 6.469 338 42.39
45.01 - 50.00 73 10,630,386 1.58 6.731 346 47.84
50.01 - 55.00 85 13,246,307 1.96 6.726 343 52.75
55.01 - 60.00 144 23,073,364 3.42 6.744 342 58.05
60.01 - 65.00 267 44,971,039 6.67 6.645 348 63.38
65.01 - 70.00 356 57,482,290 8.52 6.921 347 68.54
70.01 - 75.00 399 68,687,149 10.18 6.998 351 73.80
75.01 - 80.00 941 161,821,907 23.99 6.845 350 79.47
80.01 - 85.00 478 83,672,342 12.41 6.991 353 84.40
85.01 - 90.00 651 116,993,116 17.35 7.094 353 89.67
90.01 - 95.00 286 53,135,641 7.88 7.172 351 94.75
95.01 - 100.00 346 24,370,795 3.61 9.132 321 99.97
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
Minimum: 12.10
Maximum: 100.00
Weighted Average: 78.43
9. Range of Gross Margins (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,497 202,238,118 29.99 7.025 334 74.91
<= 3.500 23 6,092,607 0.90 4.982 311 82.74
3.501 - 4.000 5 1,460,997 0.22 5.531 310 81.68
4.001 - 4.500 2 478,787 0.07 6.133 323 79.26
4.501 - 5.000 2 421,357 0.06 7.242 356 72.75
5.001 - 5.500 1,257 216,117,462 32.04 6.797 356 80.85
5.501 - 6.000 1,045 196,299,284 29.10 7.145 356 80.87
6.001 - 6.500 188 30,384,010 4.50 7.385 356 73.66
6.501 - 7.000 139 20,652,072 3.06 7.915 356 69.66
7.001 - 7.500 1 179,975 0.03 7.650 356 95.00
9.001 - 9.500 1 128,051 0.02 9.300 357 75.00
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 9.300
Non-Zero Weighted Average: 5.542
10. Range of Minimum Mortgage Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,497 202,238,118 29.99 7.025 334 74.91
<=5.000 30 7,574,278 1.12 4.706 315 81.34
5.001 - 5.500 88 19,656,569 2.91 5.341 354 75.26
5.501 - 6.000 284 57,252,437 8.49 5.827 356 76.53
6.001 - 6.500 358 72,109,546 10.69 6.333 356 78.12
6.501 - 7.000 549 102,345,324 15.17 6.805 356 79.87
7.001 - 7.500 440 75,560,516 11.20 7.291 356 81.03
7.501 - 8.000 461 74,377,181 11.03 7.757 356 83.01
8.001 - 8.500 205 29,968,767 4.44 8.271 356 82.93
8.501 - 9.000 149 19,908,370 2.95 8.732 356 82.38
9.001 - 9.500 55 7,355,849 1.09 9.264 356 80.04
9.501 - 10.000 30 4,351,921 0.65 9.798 356 75.29
10.001 -10.500 7 850,390 0.13 10.309 356 72.22
10.501 - 11.000 5 710,679 0.11 10.805 356 66.08
11.501 - 12.000 1 69,911 0.01 11.600 356 70.00
12.001 - 12.500 1 122,865 0.02 12.250 356 60.00
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.100
Maximum: 12.250
Non-Zero Weighted Average: 7.001
11. Range of Maximum Mortgage Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,497 202,238,118 29.99 7.025 334 74.91
<= 12.500 121 27,756,470 4.12 5.178 343 77.06
12.501 - 13.000 290 58,025,238 8.60 5.846 356 76.29
13.001 - 13.500 363 72,691,645 10.78 6.343 356 78.01
13.501 - 14.000 547 101,927,558 15.11 6.810 356 80.06
14.001 - 14.500 436 75,219,042 11.15 7.299 356 81.23
14.501 - 15.000 457 73,843,934 10.95 7.759 356 82.95
15.001 - 15.500 203 29,682,179 4.40 8.275 356 82.70
15.501 - 16.000 149 19,965,370 2.96 8.739 356 82.44
16.001 - 16.500 54 7,144,188 1.06 9.268 356 80.20
16.501 - 17.000 29 4,205,133 0.62 9.803 356 75.47
17.001 - 17.500 7 850,390 0.13 10.309 356 72.22
17.501 - 18.000 5 710,679 0.11 10.805 356 66.08
18.501 - 19.000 1 69,911 0.01 11.600 356 70.00
19.001 - 19.500 1 122,865 0.02 12.250 356 60.00
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 11.700
Maximum: 19.250
Non-Zero Weighted Average: 13.998
12. Initial Periodic Cap (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,497 202,238,118 29.99 7.025 334 74.91
1 26 3,608,915 0.54 7.490 356 74.43
1.5 2,615 462,527,204 68.58 7.028 356 79.94
3 22 6,078,483 0.90 4.762 297 82.54
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.515
13. Subsequent Periodic Cap (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,497 202,238,118 29.99 7.025 334 74.91
1 27 3,707,668 0.55 7.515 356 74.85
1.5 2,615 462,527,204 68.58 7.028 356 79.94
3 21 5,979,730 0.89 4.702 296 82.42
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.515
14. Next Rate Adjustment Dates
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,497 202,238,118 29.99 7.025 334 74.91
Dec-04 21 5,979,730 0.89 4.702 296 82.42
Jan-06 1 152,017 0.02 8.600 350 90.00
Apr-06 1 238,346 0.04 6.138 353 72.73
May-06 24 5,464,524 0.81 6.289 354 81.46
Jun-06 168 32,055,149 4.75 6.517 355 82.03
Jul-06 2,087 367,660,179 54.51 7.112 356 80.58
Aug-06 216 34,307,958 5.09 7.018 357 72.03
May-07 2 212,577 0.03 7.212 354 86.90
Jun-07 13 2,894,376 0.43 6.392 355 81.41
Jul-07 107 19,318,862 2.86 6.755 356 77.75
Aug-07 23 3,930,882 0.58 6.659 357 74.35
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
15. Geographic Distribution of Mortgaged Properties
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
California 1,312 269,088,809 39.90 6.653 350 75.60
Florida 373 46,959,671 6.96 7.386 347 79.46
New York 193 43,920,889 6.51 6.923 350 75.70
New Jersey 128 26,798,860 3.97 7.197 350 80.05
Texas 256 24,554,980 3.64 7.443 327 81.04
Illinois 146 22,819,456 3.38 7.457 353 83.09
Nevada 123 21,886,381 3.25 7.176 353 80.92
Massachusetts 100 21,469,604 3.18 6.889 350 78.83
Hawaii 58 15,008,188 2.23 6.386 355 77.87
Maryland 87 14,929,207 2.21 7.082 349 78.29
Washington 96 14,122,024 2.09 7.264 350 83.91
Virginia 73 12,709,096 1.88 7.268 353 80.18
Michigan 118 12,576,915 1.86 7.648 351 80.14
Arizona 99 11,782,258 1.75 7.291 352 84.45
Pennsylvania 101 11,680,642 1.73 7.151 341 82.65
Other 897 104,145,740 15.44 7.422 346 81.53
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 51
16. Occupancy
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Primary 3,862 625,026,294 92.67 6.992 348 78.35
Investment 268 43,050,362 6.38 7.247 355 79.24
Second Home 30 6,376,063 0.95 7.030 346 80.34
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
17. Property Type
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Single Family Residence 3,166 493,639,680 73.19 7.014 348 78.00
2-4 Family 309 70,712,481 10.48 6.966 351 78.36
Planned Unit Development 426 70,045,728 10.39 7.061 349 81.28
Condo 259 40,054,831 5.94 6.928 349 78.77
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 2,792 471,432,179 69.90 6.872 350 75.72
Purchase 1,083 162,245,871 24.06 7.445 348 86.51
Refinance - Rate Term 285 40,774,669 6.05 6.856 343 77.50
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
Full 2,406 365,011,305 54.12 6.872 348 77.78
Stated Documentation 1,602 283,958,837 42.10 7.194 350 79.15
Limited 152 25,482,578 3.78 6.912 349 79.56
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
20. Credit Score
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
500 - 524 225 31,311,565 4.64 8.195 350 71.71
525 - 549 418 60,813,543 9.02 7.733 352 74.06
550 - 574 571 89,735,795 13.30 7.229 352 74.87
575 - 599 525 82,519,847 12.24 7.097 349 77.10
600 - 624 635 106,070,162 15.73 6.870 350 79.45
625 - 649 663 114,121,080 16.92 6.758 349 81.10
650 - 674 473 73,785,369 10.94 6.903 347 82.06
675 - 699 260 45,473,581 6.74 6.671 346 81.84
700 - 724 182 33,199,558 4.92 6.441 342 81.61
725 - 749 107 18,201,842 2.70 6.590 342 78.58
750 - 774 75 14,615,757 2.17 6.273 348 79.89
775 - 799 25 4,477,214 0.66 6.032 335 64.32
800 + 1 127,407 0.02 6.000 356 80.00
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 803
Non-Zero Weighted Average: 618
21. Prepayment Penalty Term
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
0 943 140,912,364 20.89 7.399 345 80.47
12 161 32,573,436 4.83 6.976 348 76.19
24 2,014 337,918,678 50.10 6.976 355 79.90
36 1,042 163,048,241 24.17 6.746 340 74.05
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 27
22. Lien Position
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Lien Mortgage Principal Principal Interest Term Original
Position Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
1st Lien 3,895 662,714,796 98.26 6.946 350 78.06
2nd Lien 265 11,737,924 1.74 10.545 286 99.26
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV
----------------------------------------------------------------------------------------------------------------------------
0 3,868 607,133,564 90.02 7.078 349 77.70
24 241 54,202,608 8.04 6.568 356 85.61
36 30 7,136,818 1.06 6.427 356 82.18
120 21 5,979,730 0.89 4.702 296 82.42
----------------------------------------------------------------------------------------------------------------------------
Total: 4,160 674,452,720 100.00 7.009 349 78.43
----------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES
XXXXXX XXXXXXX
MSAC 2004-NC8
Group 2
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Original Combined LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 2,328
Aggregate Principal Balance ($): 524,037,656
Weighted Average Current Mortgage Rate (%): 7.025
Non-Zero Weighted Average Margin (%): 5.569
Non-Zero Weighted Average Maximum Rate (%): 14.059
Weighted Average Stated Original Term (months): 356
Weighted Average Stated Remaining Term (months): 352
Weighted Average Combined Original LTV (%): 78.97
% First Liens: 98.29
% Owner Occupied: 95.42
% Purchase: 29.20
% Full Doc: 50.89
Weighted Average Credit Score: 618
2. Originator
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Originator Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
New Century 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
3. Product Types
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 1 48,514 0.01 7.950 115 50.00
Fixed - 15 Year 59 6,689,669 1.28 7.286 176 74.62
Fixed - 20 Year 37 4,686,252 0.89 7.720 236 75.59
Fixed - 25 Year 3 359,430 0.07 6.863 296 81.44
Fixed - 30 Year 598 123,642,696 23.59 6.885 356 77.46
ARM - 2 Year/6 Month 1,215 255,592,920 48.77 7.469 356 79.36
ARM - 3 Year/6 Month 54 12,572,494 2.40 7.281 356 79.85
ARM - 2 Year IO/6 Month 286 96,586,916 18.43 6.295 355 80.67
ARM - 3 Year IO/6 Month 58 18,284,513 3.49 5.923 356 76.59
ARM - 10 Year IO/1 Month 17 5,574,253 1.06 4.521 296 79.25
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 29 10,258,751 1.96 4.661 324 77.69
5.000 - 5.999 314 109,178,260 20.83 5.676 353 74.78
6.000 - 6.999 604 172,678,651 32.95 6.533 353 78.33
7.000 - 7.999 605 125,833,529 24.01 7.525 352 80.99
8.000 - 8.999 485 73,211,915 13.97 8.438 353 81.38
9.000 - 9.999 185 22,714,441 4.33 9.439 351 81.36
10.000 - 10.999 93 8,950,390 1.71 10.361 343 89.17
11.000 - 11.999 10 1,014,351 0.19 11.268 346 84.00
12.000 - 12.999 3 197,367 0.04 12.136 356 85.69
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.100
Maximum: 12.250
Weighted Average: 7.025
5. Range of Cut-off Date Principal Balances ($)
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
25,001 - 50,000 32 1,590,893 0.30 8.152 315 60.82
50,001 - 75,000 244 15,473,189 2.95 8.502 334 78.60
75,001 - 100,000 287 25,169,811 4.80 8.310 346 81.55
100,001 - 125,000 246 27,664,635 5.28 8.038 348 79.58
125,001 - 150,000 197 26,918,183 5.14 7.817 351 78.63
150,001 - 175,000 151 24,319,789 4.64 7.585 353 73.99
175,001 - 200,000 119 22,354,640 4.27 7.333 348 77.13
200,001 - 225,000 104 21,985,812 4.20 7.418 352 76.50
225,001 - 250,000 89 21,255,333 4.06 7.404 355 78.39
250,001 - 275,000 82 21,461,396 4.10 7.166 354 78.18
275,001 - 300,000 64 18,399,278 3.51 7.191 349 77.60
300,001 - 325,000 39 12,179,532 2.32 6.799 351 79.91
325,001 - 350,000 120 40,886,455 7.80 6.599 356 80.76
350,001 - 375,000 128 46,263,753 8.83 6.618 354 80.82
375,001 - 400,000 108 41,996,149 8.01 6.559 352 80.33
400,001 - 425,000 53 21,884,992 4.18 6.332 356 79.71
425,001 - 450,000 69 30,251,374 5.77 6.547 356 80.53
450,001 - 475,000 44 20,355,192 3.88 6.710 352 80.17
475,001 - 500,000 67 32,939,216 6.29 6.387 352 75.92
500,001 - 750,000 84 49,805,531 9.50 6.369 354 79.59
750,001 - 1,000,000 1 882,500 0.17 5.350 356 67.88
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
Minimum: 48,279
Maximum: 882,500
Average: 225,102
6. Stated Original Term (months)
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
120 1 48,514 0.01 7.950 115 50.00
180 59 6,689,669 1.28 7.286 176 74.62
240 37 4,686,252 0.89 7.720 236 75.59
300 20 5,933,683 1.13 4.663 296 79.38
360 2,211 506,679,538 96.69 7.042 356 79.06
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 356
7. Range of Stated Remaining Terms (months)
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
109 - 120 1 48,514 0.01 7.950 115 50.00
169 - 180 59 6,689,669 1.28 7.286 176 74.62
229 - 240 37 4,686,252 0.89 7.720 236 75.59
289 - 300 20 5,933,683 1.13 4.663 296 79.38
349 - 360 2,211 506,679,538 96.69 7.042 356 79.06
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
Minimum: 115
Maximum: 357
Weighted Average: 352
8. Range of Original Combined LTV Ratios (%)
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Original Combined LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
15.01 - 20.00 2 149,593 0.03 8.025 356 19.49
20.01 - 25.00 5 366,856 0.07 6.995 356 24.15
25.01 - 30.00 4 607,380 0.12 7.043 338 26.31
30.01 - 35.00 9 933,244 0.18 7.102 310 33.06
35.01 - 40.00 8 1,313,839 0.25 6.365 312 37.96
40.01 - 45.00 23 4,522,935 0.86 6.600 354 42.61
45.01 - 50.00 33 7,914,391 1.51 6.260 347 47.59
50.01 - 55.00 45 8,670,371 1.65 6.841 349 53.16
55.01 - 60.00 73 13,943,590 2.66 6.858 353 57.92
60.01 - 65.00 124 28,794,504 5.49 6.718 352 63.47
65.01 - 70.00 199 43,210,587 8.25 6.990 352 68.50
70.01 - 75.00 272 58,565,348 11.18 7.099 352 73.96
75.01 - 80.00 613 143,250,992 27.34 6.851 351 79.49
80.01 - 85.00 305 72,947,335 13.92 6.912 352 84.26
85.01 - 90.00 326 87,017,926 16.61 7.000 354 89.62
90.01 - 95.00 142 35,142,071 6.71 7.494 355 94.51
95.01 - 100.00 145 16,686,693 3.18 9.266 346 99.97
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
Minimum: 19.23
Maximum: 100.00
Weighted Average: 78.97
9. Range of Gross Margins (%)
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 698 135,426,561 25.84 6.934 343 77.26
<= 3.500 19 5,901,993 1.13 4.638 300 79.23
3.501 - 4.000 1 116,200 0.02 5.030 296 74.97
4.501 - 5.000 1 248,867 0.05 5.350 356 82.24
5.001 - 5.500 632 156,423,078 29.85 6.727 356 80.53
5.501 - 6.000 719 182,582,297 34.84 7.189 356 80.66
6.001 - 6.500 125 23,745,805 4.53 7.669 356 73.68
6.501 - 7.000 130 19,338,391 3.69 8.468 356 68.88
7.501 - 8.000 2 202,351 0.04 8.797 355 76.52
8.001 - 8.500 1 52,113 0.01 8.150 356 95.00
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 8.150
Non-Zero Weighted Average: 5.569
10. Range of Minimum Mortgage Rates (%)
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 698 135,426,561 25.84 6.934 343 77.26
<=5.000 33 11,575,942 2.21 4.700 327 78.03
5.001 - 5.500 93 33,419,738 6.38 5.344 355 76.24
5.501 - 6.000 134 46,590,842 8.89 5.829 356 76.77
6.001 - 6.500 145 46,447,724 8.86 6.339 356 78.77
6.501 - 7.000 230 66,162,132 12.63 6.784 356 80.02
7.001 - 7.500 202 48,336,622 9.22 7.294 356 81.50
7.501 - 8.000 255 53,290,131 10.17 7.804 356 80.93
8.001 - 8.500 209 36,467,720 6.96 8.278 356 82.96
8.501 - 9.000 171 24,941,387 4.76 8.756 356 80.62
9.001 - 9.500 80 11,023,216 2.10 9.238 356 79.75
9.501 - 10.000 52 7,258,597 1.39 9.787 356 76.41
10.001 -10.500 16 1,850,758 0.35 10.261 356 72.69
10.501 - 11.000 5 701,025 0.13 10.739 356 69.92
11.001 - 11.500 3 412,909 0.08 11.356 356 65.72
11.501 - 12.000 1 82,394 0.02 11.550 356 75.00
12.001 - 12.500 1 49,959 0.01 12.200 357 43.48
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.100
Maximum: 12.200
Non-Zero Weighted Average: 7.055
11. Range of Maximum Mortgage Rates (%)
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 698 135,426,561 25.84 6.934 343 77.26
<= 12.500 128 45,406,378 8.66 5.189 348 76.72
12.501 - 13.000 134 46,590,842 8.89 5.829 356 76.77
13.001 - 13.500 143 46,037,026 8.79 6.339 356 78.77
13.501 - 14.000 232 66,785,531 12.74 6.795 356 80.03
14.001 - 14.500 204 48,708,574 9.29 7.301 356 81.54
14.501 - 15.000 254 52,797,913 10.08 7.803 356 80.95
15.001 - 15.500 207 36,095,768 6.89 8.278 356 82.91
15.501 - 16.000 171 24,860,857 4.74 8.758 356 80.57
16.001 - 16.500 80 11,023,216 2.10 9.238 356 79.75
16.501 - 17.000 52 7,330,251 1.40 9.801 356 76.35
17.001 - 17.500 16 1,850,758 0.35 10.261 356 72.69
17.501 - 18.000 4 578,720 0.11 10.779 356 69.90
18.001 - 18.500 3 412,909 0.08 11.356 356 65.72
18.501 - 19.000 1 82,394 0.02 11.550 356 75.00
19.001 - 19.500 1 49,959 0.01 12.200 357 43.48
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 11.500
Maximum: 19.200
Non-Zero Weighted Average: 14.059
12. Initial Periodic Cap (%)
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 698 135,426,561 25.84 6.934 343 77.26
1 10 2,092,450 0.40 7.684 356 80.90
1.5 1,602 380,886,015 72.68 7.090 356 79.57
3 18 5,632,630 1.07 4.570 296 79.29
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.519
13. Subsequent Periodic Cap (%)
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 698 135,426,561 25.84 6.934 343 77.26
1 10 2,092,450 0.40 7.684 356 80.90
1.5 1,603 380,944,392 72.69 7.090 356 79.57
3 17 5,574,253 1.06 4.521 296 79.25
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.519
14. Next Rate Adjustment Dates
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 698 135,426,561 25.84 6.934 343 77.26
Dec-04 17 5,574,253 1.06 4.521 296 79.25
Dec-05 1 363,005 0.07 7.750 349 77.32
Apr-06 1 366,980 0.07 6.400 353 80.00
May-06 36 12,630,987 2.41 6.009 354 75.75
Jun-06 159 46,816,175 8.93 6.373 355 78.97
Jul-06 1,182 269,833,208 51.49 7.320 356 80.56
Aug-06 122 22,169,481 4.23 7.332 357 73.43
Jun-07 24 6,690,528 1.28 5.860 355 75.78
Jul-07 80 22,997,704 4.39 6.651 356 78.60
Aug-07 8 1,168,774 0.22 6.561 357 76.81
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
15. Geographic Distribution of Mortgaged Properties
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
California 711 229,116,223 43.72 6.572 353 78.09
New York 133 38,393,879 7.33 6.915 353 79.35
Florida 201 31,982,306 6.10 7.445 349 80.01
New Jersey 98 23,065,440 4.40 7.332 350 77.36
Texas 153 19,415,985 3.71 7.799 342 79.89
Illinois 94 19,010,701 3.63 7.648 353 80.73
Nevada 66 16,105,821 3.07 7.284 355 79.63
Massachusetts 63 15,568,857 2.97 7.292 355 81.62
Maryland 51 10,998,818 2.10 7.374 349 78.02
Virginia 47 10,242,795 1.95 7.421 355 77.72
Michigan 75 10,170,523 1.94 8.059 355 81.14
Arizona 47 9,183,510 1.75 6.871 352 81.26
Washington 36 8,287,929 1.58 6.914 356 81.33
Hawaii 27 8,112,172 1.55 6.218 345 73.33
Pennsylvania 50 6,287,981 1.20 7.478 343 79.95
Other 476 68,094,716 12.99 7.607 352 80.30
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 50
16. Occupancy
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
Primary 2,204 500,016,477 95.42 7.005 352 78.99
Investment 100 18,171,491 3.47 7.530 346 78.73
Second Home 24 5,849,688 1.12 7.123 351 78.58
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
17. Property Type
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 1,825 397,161,413 75.79 7.019 352 78.80
Planned Unit Development 259 69,681,638 13.30 7.027 352 79.41
2-4 Family 120 30,027,034 5.73 7.128 354 79.14
Condo 124 27,167,570 5.18 6.995 351 80.17
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 1,583 348,914,298 66.58 7.021 352 76.38
Purchase 617 153,042,094 29.20 7.030 352 85.27
Refinance - Rate Term 128 22,081,264 4.21 7.053 351 76.28
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
Full 1,323 266,666,184 50.89 6.891 350 78.97
Stated Documentation 905 232,603,403 44.39 7.192 353 79.16
Limited 100 24,768,068 4.73 6.895 355 77.32
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
20. Credit Score
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
500 - 524 250 38,386,921 7.33 8.485 353 72.82
525 - 549 295 49,496,232 9.45 8.030 353 75.09
550 - 574 308 53,837,687 10.27 7.530 354 77.96
575 - 599 254 55,223,945 10.54 7.121 352 77.57
600 - 624 347 87,810,172 16.76 6.729 353 79.40
625 - 649 330 91,036,344 17.37 6.605 352 80.69
650 - 674 210 49,692,957 9.48 6.854 351 82.70
675 - 699 142 39,544,618 7.55 6.557 349 80.32
700 - 724 81 26,040,989 4.97 6.361 353 82.24
725 - 749 56 15,199,150 2.90 6.193 344 81.77
750 - 774 35 10,872,246 2.07 6.077 343 80.53
775 - 799 17 5,748,590 1.10 5.984 352 78.04
800 + 3 1,147,806 0.22 6.143 356 69.57
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 813
Non-Zero Weighted Average: 618
21. Prepayment Penalty Term
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
0 602 121,993,912 23.28 7.456 349 79.80
12 113 31,216,424 5.96 7.064 351 79.38
24 1,102 255,002,363 48.66 7.015 356 79.77
36 511 115,824,957 22.10 6.581 346 76.25
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 27
22. Lien Position
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Lien Mortgage Principal Principal Interest Term Original
Position Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
1st Lien 2,224 515,089,961 98.29 6.969 352 78.61
2nd Lien 104 8,947,694 1.71 10.214 336 99.80
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
-------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------------
0 1,967 403,591,974 77.02 7.284 351 78.67
24 286 96,586,916 18.43 6.295 355 80.67
36 58 18,284,513 3.49 5.923 356 76.59
120 17 5,574,253 1.06 4.521 296 79.25
-------------------------------------------------------------------------------------------------------------------------------
Total: 2,328 524,037,656 100.00 7.025 352 78.97
-------------------------------------------------------------------------------------------------------------------------------
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