--------------------------------------------------------------------------------
XXXXXX XXXXXXX [GRAPHIC OMITTED] July 24, 2001
Securitized Products Group
--------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS
$404,528,000
APPROXIMATELY
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC.
SERIES 2001-NC2
MORTGAGE PASS-THROUGH CERTIFICATES
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 1
--------------------------------------------------------------------------------
XXXXXX XXXXXXX [GRAPHIC OMITTED] July 24, 2001
Securitized Products Group
--------------------------------------------------------------------------------
APPROXIMATELY $404,528,000
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC., SERIES 2001-NC2
XXXXXX XXXXXXX XXXX XXXXXX MORTGAGE CAPITAL INC.
SELLER
OCWEN FEDERAL BANK FSB
SERVICER
TRANSACTION HIGHLIGHTS
----------------------
--------------------------------------------------------------------------------------------------------------------
MODIFIED DURATION
OFFERED EXPECTED RATINGS AVG LIFE TO CALL TO CALL /
CLASSES DESCRIPTION (S&P/FITCH/ XXXXX'X) BALANCE / MTY(1)(2) MTY(1)(2)
====================================================================================================================
A-1 Floater AAA/AAA/Aaa 261,802,000 2.68 / 2.92 2.43 / 2.58
-------------- ----------------- ----------------------- ---------------- ------------------ -------------------
A-2 Floater AAA/AAA/Aaa 68,763,000 2.62 / 2.82 2.38 / 2.51
-------------- ----------------- ----------------------- ---------------- ------------------ -------------------
M-1 Floater AA/AA/Aa2 25,412,000 5.34 / 5.90 4.66 / 5.02
-------------- ----------------- ----------------------- ---------------- ------------------ -------------------
M-2 Floater A/A/A2 22,726,000 5.31 / 5.82 4.56 / 4.88
-------------- ----------------- ----------------------- ---------------- ------------------ -------------------
B-1 Floater BBB-/BBB-/Baa3 25,825,000 5.29 / 5.59 4.37 / 4.54
--------------------------------------------------------------------------------------------------------------------
TABLE (CONTINUED)
--------------------------------------------------------------------------------
OFFERED PAYMENT WINDOW TO CALL /
CLASSES MTY(1)(2) DAY COUNT BENCHMARK
================================================================================
A-1 9/01-8/09 / 9/01-5/19 Actual/360 1 Month LIBOR
-------------- ----------------------------- --------------- ------------------
A-2 9/01-8/09 / 9/01-3/18 Actual/360 1 Month LIBOR
-------------- ----------------------------- --------------- ------------------
M-1 11/04-8/09 / 11/04-6/16 Actual/360 1 Month LIBOR
-------------- ----------------------------- --------------- ------------------
M-2 10/04-8/09 / 10/04-4/15 Actual/360 1 Month LIBOR
-------------- ----------------------------- --------------- ------------------
B-1 9/04-8/09 / 9/04-8/13 Actual/360 1 Month LIBOR
--------------------------------------------------------------------------------
Notes:
------ (1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
ISSUER: Xxxxxx Xxxxxxx Xxxx Xxxxxx Capital I Inc. Trust 2001-NC2
SELLER: Xxxxxx Xxxxxxx Xxxx Xxxxxx Mortgage Capital Inc.
MASTER SERVICER: Ocwen Federal Bank FSB
TRUSTEE: Bankers Trust Company of California, N.A.
MANAGERS: Xxxxxx Xxxxxxx (lead manager); Xxxxxxxx & Partners, L.P.
and Xxxxxxxx Capital Partners, L.P. (co-managers)
RATING AGENCIES: Standard and Poor's, Fitch, Inc. and Xxxxx'x Investors
Service
OFFERED CERTIFICATES: Classes A-1, A-2, M-1, M-2, and B-1 Certificates
EXPECTED PRICING DATE: July 27, 2001
EXPECTED CLOSING DATE: August 23, 2001 through DTC and Euroclear or
clearstream, Luxembourg. The Certificates will be sold
without accrued interest.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 2
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
DISTRIBUTION DATES: The 25th of each month, or if such day is not a business
day, on the next business day, beginning September 25,
2001.
DUE PERIOD: For any Distribution Date, the period commencing on the
second day of the month preceding the month in which
such Distribution Date occurs and ending on the first
day of the month in which such Distribution Date occurs.
INTEREST ACCRUAL The interest accrual period for the Offered Certificates
PERIOD: 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 such Distribution
Date (on an actual/360 day count basis).
MORTGAGE LOANS: The Trust will consist of two groups of fixed and
adjustable rate sub-prime residential mortgage loans.
GROUP I MORTGAGE LOANS: Approximately $327,252,448 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 Approximately $85,953,889 of Mortgage Loans that
LOANS: predominantly have original principal balances that do
not conform to the original principal balance limits for
one- to four-family residential mortgage loan guidelines
for purchase by Freddie Mac.
PRICING PREPAYMENT o Fixed Rate Mortgage Loans: CPR starting at
SPEED: approximately 1.5333% CPR in month 1 and increasing
to 23% CPR in month 15 (23%/15 CPR increase for each
month), and remaining at 23% CPR thereafter.
o ARM Mortgage Loans: CPR of 25%.
CREDIT ENHANCEMENT: The Class A-1 and A-2 Certificates are credit enhanced
by:
1) Net Monthly Excess Cashflow from the Mortgage
Loans,
2) 2.10% overcollateralization (funded upfront). After
the Step-down Date, so long as a Trigger Event is
not in effect, the required overcollateralization
will equal 4.20% of the outstanding balance of the
Mortgage Loans, subject to a 50bps floor,
3) Subordination.
STEP-DOWN DATE: The later to occur of:
(x) the earlier of:
(a) the Distribution Date occurring in September
2004; and
(b) the Distribution Date on which the aggregate
balance of the Class A-1 and A-2 Certificates
is reduced to zero; and
(y) the first Distribution Date on which the ending
pool balance has been reduced to 50% or less of the
Mortgage Loan Balance as of the Cut-off Date.
TRIGGER EVENT: A Trigger Event is in effect on any Distribution Date if
on that Distribution Date the 60 Day+ Rolling Average
equals or exceeds 50% of the Credit Enhancement
Percentage (with respect to the Class A Certificates).
The 60 Day+ Rolling Average will equal the rolling 3
month average percentage of home equity loans that are
60 or more days delinquent.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 3
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
CREDIT ENHANCEMENT For any Distribution Date, the percentage obtained by
PERCENTAGE: dividing (x) the aggregate Certificate Principal Balance
of the subordinate certificates (including any
overcollateralization) by (y) the aggregate principal
balance of the Mortgage Loans, calculated prior to
taking into account payments of principal on the
Mortgage Loans as of the first day of the month in which
the Distribution Date occurs and distributions of the
principal distribution amount on the Offered
Certificates on such Distribution Date.
INITIAL SUBORDINATION Class A: 20.00%
PERCENTAGE: Class M-1: 13.85%
Class M-2: 8.35%
Class B: 2.10%
OPTIONAL CLEAN-UP CALL: When the ending principal balance of the Mortgage Loans
is less than or equal to 10% of the original principal
balance of the loans.
STEP-UP COUPONS: For all Offered Certificates the coupon will increase
after the clean-up call date, should the call not be
exercised.
CLASS A-1 PASS-THROUGH The Class A-1 Certificates will accrue interest at a
RATE: variable rate equal to the least of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first date on which the
Optional Clean-up Call is exercisable), (ii) the Loan
Group I Cap, (iii) the WAC Cap, and (iv) 16%.
CLASS A-2 PASS-THROUGH The Class A-2 Certificates will accrue interest at a
RATE: variable rate equal to the least of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first date on which the
Optional Clean-up Call is exercisable), (ii) the Loan
Group II Cap, (iii) the WAC Cap, and (iv) 16%.
CLASS M-1 PASS-THROUGH The Class M-1 Certificates will accrue interest at a
RATE: variable rate equal to the least of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first date on which the
Optional Clean-up Call is exercisable), (ii) the WAC
Cap, and (iii) 16%.
CLASS M-2 PASS-THROUGH The Class M-2 Certificates will accrue interest at a
RATE: variable rate equal to the least of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first date on which the
Optional Clean-up Call is exercisable), (ii) the WAC
Cap, and (iii) 16%.
CLASS B-1 PASS-THROUGH The Class B-1 Certificates will accrue interest at a
RATE: variable rate equal to the least of (i) one-month LIBOR
plus [ ] bps ([ ] bps after the first date on which the
Optional Clean-up Call is exercisable), (ii) the WAC
Cap, and (iii) 16%.
WAC CAP: As to any Distribution Date a per annum rate equal to
to the weighted average gross rate of the Mortgage Loans
less servicing and trustee fee rates.
LOAN GROUP I CAP: As to any Distribution Date, a per annum rate equal to
the weighted average gross rate of the Group I Mortgage
Loans less servicing and trustee fee rates.
LOAN GROUP II CAP: As to any Distribution Date, a per annum rate equal to
the weighted average gross rate of the Group II Mortgage
Loans less servicing and trustee fee rates.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 4
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
CLASS A-1 BASIS RISK As to any Distribution Date, the sum of:
CARRY FORWARD AMOUNT:
(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, but giving
effect to the hard cap of 16%) 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 (iii) at the
related Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap, but
giving effect to the hard cap of 16%).
CLASS A-2 BASIS RISK As to any Distribution Date, the sum of:
CARRY FORWARD AMOUNT:
(i) the excess, if any, of interest that would
otherwise be due on such Certificates at the
Class A-2 Pass-Through Rate (without regard to
the Loan Group II Cap or WAC Cap, but giving
effect to the hard cap of 16%) 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-2 Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates;
and
(iii) interest on the amount in clause (iii) at
the related Class A-2 Pass-Through Rate (without
regard to the Loan Group II Cap or WAC Cap, but
giving effect to the hard cap of 16%).
CLASS M-1, M-2 AND B-1 As to any Distribution Date, the supplemental interest
BASIS RISK CARRY amount for each of the Class M-1, M-2 and B-1 will equal
FORWARD AMOUNTS: 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, but giving effect
to the hard cap of 16%) 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, but giving effect
to the hard cap of 16%).
INTEREST DISTRIBUTIONS On each Distribution Date, interest distributions from
ON OFFERED the Interest Remittance Amount will be allocated as
CERTIFICATES: follows:
(i) the portion of the Interest Remittance Amount
attributable to the Loan Group I Mortgage Loans
will be allocated first, to the Class A-1
Certificates and second, to the Class A-2
Certificates, its respective Accrued Certificate
Interest and any unpaid interest shortfall
amounts;
(ii) the portion of the Interest Remittance Amount
attributable to the Loan Group II Mortgage Loans
will be allocated first, to the Class A-2
Certificates and second, to the Class A-1
Certificates, its respective Accrued Certificate
Interest and any unpaid interest shortfall
amounts;
(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 B-1 Certificates, its Accrued
Certificate Interest.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 5
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
PRINCIPAL On each Distribution Date (a) prior to the Stepdown Date
DISTRIBUTIONS ON or (b) on which a Trigger Event is in effect, principal
OFFERED CERTIFICATES: 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 have been
reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof have been
reduced to zero;
(iv) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof have 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 have
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 have
been reduced to zero;
(iv) 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 have
been reduced to zero.
All principal distributions to the Class A Certificates
on any Distribution Date will be allocated between the
Class A-1 Certificates and the Class A-2 Certificates on
a pro rata basis based on the Class A Principal
Allocation Percentage for each such class on such
Distribution Date; provided, however, that if the
Certificate Principal Balance of either class of Class A
Certificates is reduced to zero, then the remaining
amount of principal distributions distributable to the
class of Class A Certificates on such Distribution Date
and all subsequent Distribution Dates, will be
distributed to the Class A Certificates remaining until
the Certificate Principal Balance thereof has been
reduced to zero.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 6
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
ALLOCATION OF NET For any Distribution Date, any Net Monthly Excess
MONTHLY EXCESS Cashflow shall be paid as follows:
CASHFLOW:
(i) to the holders of the class of Certificates then
entitled to received distributions in respect of
principal, in an amount equal to any Extra
Principal Distribution Amount, as part of the
Principal Distribution Amount;
(ii) to the Class M-1 Certificates, the unpaid
interest shortfall amount;
(iii) to the Class M-1 Certificates, the allocated
realized loss amount;
(iv) to the Class M-2 Certificates, the unpaid
interest shortfall amount;
(v) to the Class M-2 Certificates, the allocated
realized loss amount;
(vi) to the Class B-1 Certificates, the unpaid
interest shortfall amount;
(vii) to the Class B-1 Certificates, the allocated
realized loss amount;
(viii) concurrently, any Class A-1 Basis Risk Carry
Forward Amount to the Class A-1 Certificates and
any Class A-2 Basis Risk Carry Forward Amount to
the Class A-2 Certificates; and
(ix) sequentially, to Classes M-1, M-2 and B-1
Certificates, in such order, any Basis Risk Carry
Forward Amount for such classes.
INTEREST REMITTANCE For any Distribution Date, the portion of available
AMOUNT: 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 Offered
INTEREST: 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 relief act allocated to such class.
PRINCIPAL DISTRIBUTION On any Distribution Date, the excess of (i) the sum of
AMOUNT: (x) the Principal Remittance Amount and (y) the Extra
Principal Distribution Amount over (ii) the over-
collateralization release amount.
PRINCIPAL REMITTANCE On any Distribution Date, the sum of (i) all scheduled
AMOUNT: payments of principal collected or advanced on the
Mortgage Loans that were due during the Due Period, (ii)
the principal portion of all partial and full
prepayments received during such prepayment period,
(iii) the principal portion of all net liquidation
proceeds and net insurance proceeds received during such
prepayment period, (iv) the principal portion of
repurchased Mortgage Loans received during such
prepayment period, (v) the principal portion of
substitution adjustments received during such prepayment
period, and (vi) the principal portion of the
termination price if the Optional Clean Up Call is
exercised.
NET MONTHLY EXCESS For any Distribution Date, the sum of (a) any
CASHFLOW: overcollateralization release amounts and (b) the excess
of (x) available funds for such Distribution Date over
(y) the sum for such Distribution Date of (A) the
Monthly Interest Distributable Amounts for the Offered
Certificates and (B) the unpaid interest shortfall
amounts (not including Class A Basis Risk Carry Forward
Amounts) for the Class A Certificates and (C) the
Principal Remittance Amount.
EXTRA PRINCIPAL For any Distribution Date, the lesser of (x) the Net
DISTRIBUTION AMOUNT: Monthly Excess Cashflow for such Distribution Date and
(y) the overcollateralization deficiency amount for such
Distribution Date.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 7
TRANSACTION HIGHLIGHTS (CONT'D)
----------------------
CLASS A PRINCIPAL For any Distribution Date, the percentage equivalent of
ALLOCATION PERCENTAGE: 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 Loan 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 Class A-2 Certificates the numerator
of which is the (x) the portion of the Principal
Remittance Amount for such Distribution Date that is
attributable to principal received or advanced on the
Loan Group II Mortgage Loans and the denominator of
which is (y) the Principal Remittance Amount for such
Distribution Date.
CLASS A PRINCIPAL An amount equal to the excess of (x) the aggregate
DISTRIBUTION AMOUNT: 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 60.00% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period and (B) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period and minus $2,066,032.
CLASS M-1 PRINCIPAL An amount equal to the excess of (x) the sum of (i) the
DISTRIBUTION AMOUNT: 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 72.30% and (ii) the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B) the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period and minus
$2,066,032.
CLASS M-2 PRINCIPAL An amount equal to the excess of (x) the sum of (i) the
DISTRIBUTION AMOUNT: 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 83.30% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period and (B) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period and minus $2,066,032.
CLASS B-1 PRINCIPAL An amount equal to the excess of (x) the sum of (i) the
DISTRIBUTION AMOUNT: 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 B-1 Certificates immediately prior
to such Distribution Date over (y) the lesser of (A) the
product of (i) approximately 95.80% and (ii) the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B) the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period and minus
$2,066,032.
TRUST TAX STATUS: REMIC.
ERISA ELIGIBILITY: All Offered Certificates are ERISA eligible.
SMMEA ELIGIBILITY: It is anticipated that the Class A-1, Class A-2 and
Class M-1 Certificates will be SMMEA eligible.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 8
TO MATURITY
-----------
PERCENTAGE OF CLASS A-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----- ------ ------- -------- -------- --------
Closing 100% 100% 100% 100% 100%
08/25/02 99 78 70 63 56
08/25/03 98 58 46 36 26
08/25/04 97 42 28 17 7
08/25/05 96 33 24 17 7
08/25/06 95 26 18 12 7
08/25/07 94 21 13 8 5
08/25/08 93 17 10 6 3
08/25/09 91 14 7 4 2
08/25/10 90 11 6 3 1
08/25/11 88 9 4 2 1
08/25/12 86 7 3 1 0
08/25/13 84 6 2 1 0
08/25/14 81 5 2 0 0
08/25/15 79 4 1 0 0
08/25/16 76 3 1 0 0
08/25/17 72 2 1 0 0
08/25/18 69 2 0 0 0
08/25/19 65 1 0 0 0
08/25/20 60 1 0 0 0
08/25/21 55 1 0 0 0
08/25/22 50 0 0 0 0
08/25/23 44 0 0 0 0
08/25/24 37 0 0 0 0
08/25/25 32 0 0 0 0
08/25/26 27 0 0 0 0
08/25/27 22 0 0 0 0
08/25/28 17 0 0 0 0
08/25/29 11 0 0 0 0
08/25/30 5 0 0 0 0
08/25/31 0 0 0 0 0
AVERAGE LIFE 19.71 3.94 2.92 2.21 1.65
TO MATURITY
(IN YEARS)
AVERAGE LIFE 19.67 3.64 2.68 2.02 1.50
TO CALL
(IN YEARS)
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 9
TO MATURITY
-----------
PERCENTAGE OF CLASS A-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----- ------ ------- -------- -------- --------
Closing 100% 100% 100% 100% 100%
08/25/02 99 77 69 62 55
08/25/03 98 57 45 35 25
08/25/04 97 42 28 16 6
08/25/05 96 32 23 16 6
08/25/06 95 26 17 11 6
08/25/07 94 21 13 8 4
08/25/08 93 17 9 5 2
08/25/09 92 13 7 3 1
08/25/10 90 11 5 2 1
08/25/11 88 9 4 1 0
08/25/12 86 7 3 1 0
08/25/13 84 5 2 0 0
08/25/14 82 4 1 0 0
08/25/15 79 3 1 0 0
08/25/16 77 3 1 0 0
08/25/17 73 2 0 0 0
08/25/18 70 2 0 0 0
08/25/19 66 1 0 0 0
08/25/20 62 1 0 0 0
08/25/21 57 1 0 0 0
08/25/22 52 0 0 0 0
08/25/23 46 0 0 0 0
08/25/24 40 0 0 0 0
08/25/25 36 0 0 0 0
08/25/26 31 0 0 0 0
08/25/27 26 0 0 0 0
08/25/28 20 0 0 0 0
08/25/29 14 0 0 0 0
08/25/30 7 0 0 0 0
08/25/31 0 0 0 0 0
AVERAGE LIFE 20.09 3.85 2.82 2.12 1.57
TO MATURITY
(IN YEARS)
AVERAGE LIFE 20.04 3.58 2.62 1.97 1.45
TO CALL
(IN YEARS)
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 10
TO MATURITY
-----------
PERCENTAGE OF CLASS M-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----- ------ ------- -------- -------- --------
Closing 100% 100% 100% 100% 100%
08/25/02 100 100 100 100 100
08/25/03 100 100 100 100 100
08/25/04 100 100 100 100 100
08/25/05 100 87 64 54 100
08/25/06 100 70 48 31 31
08/25/07 100 57 35 21 12
08/25/08 100 46 26 15 8
08/25/09 100 37 20 10 5
08/25/10 100 29 15 7 2
08/25/11 100 24 11 5 0
08/25/12 100 19 8 2 0
08/25/13 100 15 6 0 0
08/25/14 100 12 4 0 0
08/25/15 100 10 2 0 0
08/25/16 100 8 0 0 0
08/25/17 100 6 0 0 0
08/25/18 100 5 0 0 0
08/25/19 100 4 0 0 0
08/25/20 100 1 0 0 0
08/25/21 100 0 0 0 0
08/25/22 100 0 0 0 0
08/25/23 100 0 0 0 0
08/25/24 100 0 0 0 0
08/25/25 88 0 0 0 0
08/25/26 75 0 0 0 0
08/25/27 62 0 0 0 0
08/25/28 47 0 0 0 0
08/25/29 31 0 0 0 0
08/25/30 15 0 0 0 0
08/25/31 0 0 0 0 0
AVERAGE LIFE 26.72 7.83 5.90 5.07 5.04
TO MATURITY
(IN YEARS)
AVERAGE LIFE 26.61 7.10 5.34 4.63 4.66
TO CALL
(IN YEARS)
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 11
TO MATURITY
-----------
PERCENTAGE OF CLASS M-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----- ------ ------- -------- -------- --------
Closing 100% 100% 100% 100% 100%
08/25/02 100 100 100 100 100
08/25/03 100 100 100 100 100
08/25/04 100 100 100 100 100
08/25/05 100 87 64 46 32
08/25/06 100 70 48 31 20
08/25/07 100 57 35 21 12
08/25/08 100 46 26 15 8
08/25/09 100 37 20 10 3
08/25/10 100 29 15 7 0
08/25/11 100 24 11 3 0
08/25/12 100 19 8 0 0
08/25/13 100 15 6 0 0
08/25/14 100 12 2 0 0
08/25/15 100 10 0 0 0
08/25/16 100 8 0 0 0
08/25/17 100 6 0 0 0
08/25/18 100 3 0 0 0
08/25/19 100 0 0 0 0
08/25/20 100 0 0 0 0
08/25/21 100 0 0 0 0
08/25/22 100 0 0 0 0
08/25/23 100 0 0 0 0
08/25/24 100 0 0 0 0
08/25/25 88 0 0 0 0
08/25/26 75 0 0 0 0
08/25/27 62 0 0 0 0
08/25/28 47 0 0 0 0
08/25/29 31 0 0 0 0
08/25/30 15 0 0 0 0
08/25/31 0 0 0 0 0
AVERAGE LIFE 26.71 7.76 5.82 4.85 4.43
TO MATURITY
(IN YEARS)
AVERAGE LIFE 26.61 7.10 5.31 4.45 4.10
TO CALL
(IN YEARS)
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 12
TO MATURITY
-----------
PERCENTAGE OF CLASS B-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----- ------ ------- -------- -------- --------
Closing 100% 100% 100% 100% 100%
08/25/02 100 100 100 100 100
08/25/03 100 100 100 100 100
08/25/04 100 100 100 100 100
08/25/05 100 87 64 46 32
08/25/06 100 70 48 31 18
08/25/07 100 57 35 21 9
08/25/08 100 46 26 12 2
08/25/09 100 37 18 5 0
08/25/10 100 29 12 1 0
08/25/11 100 24 7 0 0
08/25/12 100 17 3 0 0
08/25/13 100 12 0 0 0
08/25/14 100 8 0 0 0
08/25/15 100 5 0 0 0
08/25/16 100 2 0 0 0
08/25/17 100 0 0 0 0
08/25/18 100 0 0 0 0
08/25/19 100 0 0 0 0
08/25/20 100 0 0 0 0
08/25/21 100 0 0 0 0
08/25/22 100 0 0 0 0
08/25/23 100 0 0 0 0
08/25/24 100 0 0 0 0
08/25/25 88 0 0 0 0
08/25/26 75 0 0 0 0
08/25/27 62 0 0 0 0
08/25/28 47 0 0 0 0
08/25/29 31 0 0 0 0
08/25/30 12 0 0 0 0
08/25/31 0 0 0 0 0
AVERAGE LIFE 26.68 7.49 5.59 4.57 4.03
TO MATURITY
(IN YEARS)
AVERAGE LIFE 26.61 7.09 5.29 4.34 3.83
TO CALL
(IN YEARS)
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 13
SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL
--------------------------------------------
INTEREST CAP RATES (CASH CAP)(1)(2)
-----------------------------------
DATE CLASS A-1 CAP CLASS A-2 CAP CLASS M-1 CAP CLASS M-2 CAP CLASS B-1 CAP
-------------------------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
8/25/2001 - - - - -
9/25/2001 8.61% 8.21% 8.31% 8.31% 8.31%
10/25/2001 9.48 9.03 9.14 9.14 9.14
11/25/2001 9.18 8.74 8.84 8.84 8.84
12/25/2001 9.49 9.04 9.14 9.14 9.14
1/25/2002 9.19 8.76 8.84 8.84 8.84
2/25/2002 9.20 8.76 8.84 8.84 8.84
3/25/2002 10.19 9.71 9.79 9.79 9.79
4/25/2002 9.22 8.78 8.84 8.84 8.84
5/25/2002 9.53 9.08 9.14 9.14 9.14
6/25/2002 9.24 8.80 8.84 8.84 8.84
7/25/2002 9.55 9.10 9.14 9.14 9.14
8/25/2002 9.26 8.82 8.84 8.84 8.84
9/25/2002 9.27 8.83 8.84 8.84 8.84
10/25/2002 9.59 9.13 9.14 9.14 9.14
11/25/2002 9.29 8.85 8.84 8.84 8.84
12/25/2002 9.61 9.16 9.14 9.14 9.14
1/25/2003 9.31 8.87 8.84 8.84 8.84
2/25/2003 9.33 8.89 8.84 8.84 8.84
3/25/2003 10.34 9.85 9.79 9.79 9.79
4/25/2003 9.36 8.91 8.84 8.84 8.84
5/25/2003 9.68 9.23 9.14 9.14 9.14
6/25/2003 9.39 8.94 8.85 8.85 8.85
7/25/2003 10.86 10.56 10.25 10.25 10.25
8/25/2003 10.54 10.24 9.93 9.93 9.93
9/25/2003 10.56 10.26 9.93 9.93 9.93
10/25/2003 11.06 10.65 10.36 10.36 10.36
11/25/2003 10.73 10.39 10.04 10.04 10.04
12/25/2003 11.11 10.76 10.38 10.38 10.38
1/25/2004 11.89 11.71 11.12 11.12 11.12
2/25/2004 11.93 11.74 11.12 11.12 11.12
3/25/2004 12.79 12.58 11.89 11.89 11.89
1 Cash available to pay current and prior interest divided by the current
bond balance
2 Run assuming base prepayment speed, no losses and a 1 month and 6 month
Libor rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 14
SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL
--------------------------------------------
INTEREST CAP RATES (CASH CAP)(1)(2)
-----------------------------------
DATE CLASS A-1 CAP CLASS A-2 CAP CLASS M-1 CAP CLASS M-2 CAP CLASS B-1 CAP
-------------------------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
4/25/2004 12.12 11.83 11.22 11.22 11.22
5/25/2004 12.56 12.32 11.61 11.61 11.61
6/25/2004 12.19 11.96 11.23 11.23 11.23
7/25/2004 13.81 13.73 12.72 12.72 12.72
8/25/2004 13.42 13.34 12.32 12.32 12.32
9/25/2004 31.44 31.35 12.32 12.32 12.32
10/25/2004 16.05 15.86 12.82 12.82 12.82
11/25/2004 15.46 15.33 12.42 12.42 12.42
12/25/2004 15.90 15.77 12.84 12.84 12.84
1/25/2005 16.44 16.44 13.50 13.50 13.50
2/25/2005 16.38 16.38 13.50 13.50 13.50
3/25/2005 18.13 18.13 14.95 14.95 14.95
4/25/2005 16.49 16.41 13.60 13.60 13.60
5/25/2005 17.04 17.02 14.06 14.06 14.06
6/25/2005 16.49 16.47 13.61 13.61 13.61
7/25/2005 17.82 17.84 14.80 14.80 14.80
8/25/2005 17.25 17.27 14.33 14.33 14.33
9/25/2005 17.25 17.27 14.33 14.33 14.33
10/25/2005 17.90 17.90 14.87 14.87 14.87
11/25/2005 17.33 17.34 14.40 14.40 14.40
12/25/2005 17.91 17.92 14.88 14.88 14.88
1/25/2006 17.33 17.34 14.40 14.40 14.40
2/25/2006 17.33 17.34 14.40 14.40 14.40
3/25/2006 19.19 19.20 15.94 15.94 15.94
4/25/2006 17.33 17.34 14.40 14.40 14.40
5/25/2006 17.91 17.92 14.88 14.88 14.88
6/25/2006 17.33 17.34 14.40 14.40 14.40
7/25/2006 17.90 17.92 14.88 14.88 14.88
8/25/2006 17.33 17.34 14.40 14.40 14.40
9/25/2006 17.33 17.34 14.39 14.39 14.39
10/25/2006 17.90 17.91 14.87 14.87 14.87
11/25/2006 17.32 17.33 14.39 14.39 14.39
12/25/2006 17.90 17.91 14.87 14.87 14.87
1 Cash available to pay current and prior interest divided by the current
bond balance
2 Run assuming base prepayment speed, no losses and a 1 month and 6 month
Libor rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 15
SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL
--------------------------------------------
INTEREST CAP RATES (CASH CAP)(1)(2)
-----------------------------------
DATE CLASS A-1 CAP CLASS A-2 CAP CLASS M-1 CAP CLASS M-2 CAP CLASS B-1 CAP
-------------------------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
1/25/2007 17.32 17.33 14.39 14.39 14.39
2/25/2007 17.32 17.33 14.39 14.39 14.39
3/25/2007 19.17 19.19 15.93 15.93 15.93
4/25/2007 17.32 17.33 14.39 14.39 14.39
5/25/2007 17.89 17.91 14.86 14.86 14.86
6/25/2007 17.32 17.33 14.38 14.38 14.38
7/25/2007 17.89 17.90 14.86 14.86 14.86
8/25/2007 17.31 17.33 14.38 14.38 14.38
9/25/2007 17.31 17.32 14.38 14.38 14.38
10/25/2007 17.89 17.90 14.86 14.86 14.86
11/25/2007 17.31 17.32 14.38 14.38 14.38
12/25/2007 17.89 17.90 14.85 14.85 14.85
1/25/2008 17.31 17.32 14.37 14.37 14.37
2/25/2008 17.31 17.32 14.37 14.37 14.37
3/25/2008 18.50 18.51 15.36 15.36 15.36
4/25/2008 17.31 17.32 14.37 14.37 14.37
5/25/2008 17.88 17.90 14.85 14.85 14.85
6/25/2008 17.31 17.32 14.37 14.37 14.37
7/25/2008 17.88 17.89 14.85 14.85 14.85
8/25/2008 17.30 17.32 14.37 14.37 14.37
9/25/2008 17.30 17.32 14.36 14.36 14.36
10/25/2008 17.88 17.89 14.84 14.84 14.84
11/25/2008 17.30 17.31 14.36 14.36 14.36
12/25/2008 17.88 17.89 14.84 14.84 14.84
1/25/2009 17.30 17.31 14.36 14.36 14.36
2/25/2009 15.73 15.75 14.36 14.36 14.36
3/25/2009 17.03 17.04 15.90 15.90 15.90
4/25/2009 15.40 15.42 14.36 14.36 14.36
5/25/2009 15.94 15.96 14.83 14.83 14.83
6/25/2009 15.45 15.47 14.35 14.35 14.35
7/25/2009 16.00 16.01 14.83 14.83 14.83
8/25/2009 15.51 15.52 14.35 14.35 14.35
9/25/2009 15.53 15.55 14.35 14.35 14.35
1 Cash available to pay current and prior interest divided by the current
bond balance
2 Run assuming base prepayment speed, no losses and a 1 month and 6 month
Libor rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 16
SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL
--------------------------------------------
INTEREST CAP RATES (CASH CAP)(1)(2)
-----------------------------------
DATE CLASS A-1 CAP CLASS A-2 CAP CLASS M-1 CAP CLASS M-2 CAP CLASS B-1 CAP
-------------------------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
10/25/2009 16.08 16.09 14.83 14.83 14.83
11/25/2009 15.59 15.60 14.35 14.35 14.35
12/25/2009 16.14 16.15 14.83 14.83 14.83
1/25/2010 15.65 15.66 14.35 14.35 14.35
2/25/2010 15.68 15.69 14.35 14.35 14.35
3/25/2010 17.40 17.41 15.88 15.88 15.88
4/25/2010 15.74 15.76 14.34 14.34 14.34
5/25/2010 16.30 16.32 14.82 14.82 14.82
6/25/2010 15.81 15.82 14.34 14.34 14.34
7/25/2010 16.37 16.39 14.82 14.82 14.82
8/25/2010 15.88 15.90 14.34 14.34 14.34
9/25/2010 15.92 15.93 14.34 14.34 14.34
10/25/2010 16.49 16.50 14.82 14.82 14.82
11/25/2010 16.00 16.01 14.34 14.34 14.34
12/25/2010 16.57 16.58 14.82 14.82 14.82
1/25/2011 16.08 16.09 14.34 14.34 14.34
2/25/2011 16.12 16.13 14.34 14.34 14.34
3/25/2011 17.89 17.91 15.87 15.87 15.87
4/25/2011 16.21 16.22 14.33 14.33 14.33
5/25/2011 16.79 16.81 14.81 14.81 14.81
6/25/2011 16.30 16.31 14.33 14.33 14.33
7/25/2011 16.89 16.90 14.81 14.81 14.81
8/25/2011 16.39 16.41 14.33 14.33 14.33
9/25/2011 16.44 16.46 14.33 14.33 14.33
10/25/2011 17.04 17.06 14.81 14.81 14.81
11/25/2011 16.55 16.56 14.33 14.33 14.33
12/25/2011 17.15 17.17 14.80 14.80 14.80
1/25/2012 16.66 16.67 14.33 14.33 14.33
2/25/2012 16.71 16.73 14.33 14.33 14.33
3/25/2012 17.93 17.94 15.31 15.31 15.31
4/25/2012 16.83 16.84 14.32 14.32 14.32
5/25/2012 17.46 17.47 14.80 14.80 14.80
1 Cash available to pay current and prior interest divided by the current
bond balance
2 Run assuming base prepayment speed, no losses and a 1 month and 6 month
Libor rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 17
SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL
--------------------------------------------
INTEREST CAP RATES (CASH CAP)(1)(2)
-----------------------------------
DATE CLASS A-1 CAP CLASS A-2 CAP CLASS M-1 CAP CLASS M-2 CAP CLASS B-1 CAP
-------------------------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
6/25/2012 16.96 16.97 14.32 14.32 14.32
7/25/2012 17.59 17.60 14.80 14.80 14.80
8/25/2012 17.09 17.10 14.32 14.32 14.32
9/25/2012 17.15 17.17 14.32 14.32 14.32
10/25/2012 17.80 17.81 14.80 14.80 14.80
11/25/2012 17.29 17.31 14.32 14.32 14.32
12/25/2012 17.95 17.96 14.80 14.80 14.80
1/25/2013 17.44 17.46 14.32 14.32 14.32
2/25/2013 17.52 17.53 14.32 14.32 14.32
3/25/2013 19.48 19.50 15.85 15.85 15.85
4/25/2013 17.68 17.69 14.32 14.32 14.32
5/25/2013 18.36 18.37 14.79 14.79 14.79
6/25/2013 17.85 17.86 14.32 14.32 14.32
7/25/2013 18.53 18.55 14.79 14.79 14.79
8/25/2013 18.03 18.04 14.31 14.31 14.31
9/25/2013 18.12 18.13 14.31 14.31 14.31
10/25/2013 18.82 18.83 14.79 14.79 14.79
11/25/2013 18.31 18.32 14.31 14.31 -
12/25/2013 19.02 19.03 14.79 14.79 -
1/25/2014 18.51 18.52 14.31 14.31 -
2/25/2014 18.61 18.63 14.31 14.31 -
3/25/2014 20.73 20.74 15.84 15.84 -
4/25/2014 18.83 18.84 14.31 14.31 -
5/25/2014 19.58 19.59 14.79 14.79 -
6/25/2014 19.06 19.07 14.31 14.31 -
7/25/2014 19.82 19.83 14.79 14.79 -
8/25/2014 19.30 19.31 14.31 14.31 -
9/25/2014 19.43 19.44 14.31 14.31 -
10/25/2014 20.21 20.22 14.79 14.79 -
11/25/2014 19.69 19.70 14.31 14.31 -
12/25/2014 20.48 20.50 14.79 14.79 -
1/25/2015 19.96 19.97 14.31 14.31 -
2/25/2015 20.10 20.12 14.31 14.31 -
3/25/2015 22.42 22.43 15.84 15.84 -
1 Cash available to pay current and prior interest divided by the current
bond balance
2 Run assuming base prepayment speed, no losses and a 1 month and 6 month
Libor rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 18
SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL
--------------------------------------------
INTEREST CAP RATES (CASH CAP)(1)(2)
-----------------------------------
DATE CLASS A-1 CAP CLASS A-2 CAP CLASS M-1 CAP CLASS M-2 CAP CLASS B-1 CAP
-------------------------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
4/25/2015 20.40 20.41 14.31 14.31 -
5/25/2015 21.24 21.25 14.78 14.78 -
6/25/2015 20.71 20.72 14.31 14.31 -
7/25/2015 21.57 21.58 14.78 14.78 -
8/25/2015 21.04 21.05 14.31 - -
9/25/2015 21.21 21.22 14.31 - -
10/25/2015 22.10 22.11 14.78 - -
11/25/2015 21.57 21.58 14.31 - -
12/25/2015 22.48 22.49 14.78 - -
1/25/2016 21.94 21.95 14.31 - -
2/25/2016 22.13 22.14 14.31 - -
3/25/2016 23.87 23.89 15.29 - -
4/25/2016 22.54 22.55 14.31 - -
5/25/2016 23.51 23.52 14.78 - -
6/25/2016 22.97 22.98 14.31 - -
7/25/2016 23.96 23.97 14.78 - -
8/25/2016 23.42 23.43 14.31 - -
9/25/2016 23.65 23.66 14.31 - -
10/25/2016 24.72 24.73 - - -
11/25/2016 24.34 24.35 - - -
12/25/2016 25.61 25.62 - - -
1/25/2017 25.26 25.27 - - -
2/25/2017 25.77 25.78 - - -
3/25/2017 29.14 29.15 - - -
4/25/2017 26.90 26.91 - - -
5/25/2017 28.45 28.45 - - -
6/25/2017 28.20 28.21 - - -
7/25/2017 29.90 29.90 - - -
8/25/2017 29.72 29.73 - - -
9/25/2017 30.57 30.58 - - -
10/25/2017 32.56 32.56 - - -
11/25/2017 32.52 32.53 - - -
12/25/2017 34.76 34.77 - - -
1 Cash available to pay current and prior interest divided by the current
bond balance
2 Run assuming base prepayment speed, no losses and a 1 month and 6 month
Libor rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 19
SCHEDULE OF AVAILABLE FUNDS AND SUPPLEMENTAL
--------------------------------------------
INTEREST CAP RATES (CASH CAP)(1)(2)
-----------------------------------
DATE CLASS A-1 CAP CLASS A-2 CAP CLASS M-1 CAP CLASS M-2 CAP CLASS B-1 CAP
-------------------------------------------------------------------------------------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
1/25/2018 34.87 34.88
2/25/2018 36.23 36.24
3/25/2018 41.79 41.79 - - -
4/25/2018 39.44 39.44 - - -
5/25/2018 42.72 42.72 - - -
6/25/2018 43.50 43.50 - - -
7/25/2018 47.49 47.50 - - -
8/25/2018 48.80 - - - -
9/25/2018 52.12 - - - -
10/25/2018 57.89 - - - -
11/25/2018 60.70 - - - -
12/25/2018 68.61 - - - -
1/25/2019 73.48 - - - -
2/25/2019 82.54 - - - -
3/25/2019 104.63 - - - -
4/25/2019 111.07 - - - -
5/25/2019 140.00 - - - -
6/25/2019 175.05 - - - -
7/25/2019 258.48 - - - -
8/25/2019 447.60 - - - -
9/25/2019 6,262.74 - - - -
1 Cash available to pay current and prior interest divided by the current
bond balance
2 Run assuming base prepayment speed, no losses and a 1 month and 6 month
Libor rate of 20%
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------------------------------------------------------------------
Page 20
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I Inc Trust 2001-NC2 XXXXXX XXXXXXX XXXX XXXXXX
2,791 records
2001-NC2; Group 1 Mortgage Loans Balance: 327,252,448
===================================================================================================================================
--------------------------------------------------------------------------------
Summary Statistics
--------------------------------------------------------------------------------
Number of Mortgage Loans: 2,791
Aggregate Principal Balance: 327,252,448
Weighted Average Current Mortgage Rate: 9.773
Weighted Average Margin: 6.612
Weighted Average Maximum Rate: 16.735
Weighted Average Original Term: 354
Weighted Average Stated Remaining Term: 352
Weighted Average Original LTV: 76.20
% Owner Occupied: 91.83
% Purchase: 16.54
% Full Doc: 61.67
Weighted Average Credit Score: 579
--------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
of Date Date Gross Average Average Average Balance Balance Balance
Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Product Types Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 23 1,095,809 0.33 10.668 120 118 57.95 100.00 0.00 84.47
Fixed - 15 Year 114 7,078,355 2.16 10.063 180 178 67.24 89.59 0.00 69.54
Fixed - 20 Year 52 3,500,429 1.07 10.377 240 238 72.59 93.42 2.68 86.68
Fixed - 25 Year 6 460,014 0.14 10.269 300 298 79.03 100.00 0.00 90.97
Fixed - 30 Year 429 42,844,707 13.09 9.851 360 358 73.12 88.04 8.91 67.29
ARM - 2 Year/6 Month 2,074 261,968,126 80.05 9.735 360 358 77.09 92.21 18.41 60.10
ARM - 3 Year/6 Month 93 10,305,008 3.15 9.886 360 358 75.62 97.45 19.19 60.45
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 1 of 11
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I Inc Trust 2001-NC2 XXXXXX XXXXXXX XXXX XXXXXX
2,791 records
2001-NC2; Group 1 Mortgage Loans Balance: 327,252,448
===================================================================================================================================
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
of Date Date Gross Average Average Average Balance Balance Balance
Range of Gross Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Interest Rates (%) Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
< = 7.999 200 31,825,581 9.73 7.636 357 355 70.99 92.51 8.03 65.28
8.000 - 8.999 502 69,214,306 21.15 8.668 357 355 74.54 90.91 11.11 63.67
9.000 - 9.999 850 105,648,422 32.28 9.616 355 352 78.38 90.72 15.51 61.32
10.000 - 10.999 673 70,238,287 21.46 10.553 350 348 78.75 92.67 24.75 59.84
11.000 - 11.999 372 33,942,927 10.37 11.494 352 349 75.00 94.05 24.02 58.25
12.000 - 12.999 156 13,324,187 4.07 12.497 353 351 71.56 94.81 11.08 61.38
13.000 - 13.999 33 2,654,308 0.81 13.413 345 343 68.51 84.17 9.12 69.65
14.000 - 14.999 5 404,430 0.12 14.357 353 351 65.71 100.00 56.70 86.11
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 6.990
Maximum: 14.500
Weighted Average: 9.773
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 2 of 11
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I Inc Trust 2001-NC2 XXXXXX XXXXXXX XXXX XXXXXX
2,791 records
2001-NC2; Group 1 Mortgage Loans Balance: 327,252,448
===================================================================================================================================
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
Range of Cut-off of Date Date Gross Average Average Average Balance Balance Balance
Date Principal Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Balances ($) Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
1 - 25,000 23 518,978 0.16 10.729 234 232 38.97 100.00 0.00 81.09
25,001 - 50,000 313 12,694,729 3.88 10.814 317 315 68.97 83.32 18.76 75.59
50,001 - 75,000 541 34,042,536 10.40 10.347 345 343 73.94 89.76 14.64 74.42
75,001 - 100,000 466 40,839,705 12.48 10.117 353 351 74.99 91.31 15.32 68.07
100,001 - 125,000 369 41,602,356 12.71 9.902 355 353 77.56 91.66 19.90 64.93
125,001 - 150,000 324 44,523,833 13.61 9.828 355 353 77.48 95.89 19.15 61.20
150,001 - 175,000 223 36,259,318 11.08 9.418 358 356 77.37 92.25 13.86 63.73
175,001 - 200,000 198 37,275,984 11.39 9.466 358 356 75.88 91.36 15.56 45.78
200,001 - 225,000 132 28,128,451 8.60 9.416 359 357 78.33 94.75 18.87 57.69
225,001 - 250,000 112 26,552,173 8.11 9.355 359 357 76.90 96.45 12.53 58.95
250,001 - 275,000 76 19,961,338 6.10 9.420 360 358 77.43 93.41 13.09 51.25
275,001 - 300,000 4 1,156,845 0.35 9.626 360 358 72.79 25.69 50.30 24.61
300,001 - 325,000 2 629,388 0.19 8.870 360 358 84.93 100.00 50.72 49.28
325,001 - 350,000 5 1,673,740 0.51 9.208 360 358 78.88 60.19 19.99 60.48
375,001 - 400,000 1 387,009 0.12 10.600 360 358 65.29 100.00 100.00 0.00
400,001 >= 2 1,006,067 0.31 8.500 360 356 66.47 0.00 0.00 49.60
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 11,972
Maximum: 507,032
Average: 117,253
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 3 of 11
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I Inc Trust 2001-NC2 XXXXXX XXXXXXX XXXX XXXXXX
2,791 records
2001-NC2; Group 1 Mortgage Loans Balance: 327,252,448
===================================================================================================================================
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
of Date Date Gross Average Average Average Balance Balance Balance
Range of Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Original Terms Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
120 23 1,095,809 0.33 10.668 120 118 57.95 100.00 0.00 84.47
180 115 7,128,011 2.18 10.067 180 178 67.11 89.66 0.00 69.05
240 52 3,500,429 1.07 10.377 240 238 72.59 93.42 2.68 86.68
300 6 460,014 0.14 10.269 300 298 79.03 100.00 0.00 90.97
360 2,595 315,068,186 96.28 9.756 360 358 76.51 91.82 17.15 61.10
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 354
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
of Date Date Gross Average Average Average Balance Balance Balance
Range of Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Remaining Terms Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
109 - 120 23 1,095,809 0.33 10.668 120 118 57.95 100.00 0.00 84.47
169 - 180 115 7,128,011 2.18 10.067 180 178 67.11 89.66 0.00 69.05
229 - 240 52 3,500,429 1.07 10.377 240 238 72.59 93.42 2.68 86.68
289 - 300 6 460,014 0.14 10.269 300 298 79.03 100.00 0.00 90.97
349 - 360 2,595 315,068,186 96.28 9.756 360 358 76.51 91.82 17.15 61.10
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 117
Maximum: 359
Weighted Average: 352
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 4 of 11
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I Inc Trust 2001-NC2 XXXXXX XXXXXXX XXXX XXXXXX
2,791 records
2001-NC2; Group 1 Mortgage Loans Balance: 327,252,448
===================================================================================================================================
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
of Date Date Gross Average Average Average Balance Balance Balance
Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Range of LTV Ratios Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
<= 40.00 82 5,344,749 1.63 10.128 337 335 29.22 91.67 0.00 55.68
40.01 - 50.00 98 9,854,318 3.01 9.284 339 337 46.23 83.01 3.77 45.05
50.01 - 60.00 156 17,687,485 5.40 9.343 347 345 56.12 89.76 4.52 52.32
60.01 - 70.00 459 51,442,175 15.72 9.862 351 349 66.85 86.87 10.54 56.65
70.01 - 80.00 1,119 130,427,860 39.86 9.760 354 352 77.95 91.00 16.61 58.88
80.01 - 90.00 876 112,413,577 34.35 9.841 358 356 86.48 96.15 23.00 70.46
90.01 - 100.00 1 82,284 0.03 10.490 360 358 90.49 100.00 0.00 0.00
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 9.54
Maximum: 90.49
Weighted Average: 76.20
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 5 of 11
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I Inc Trust 2001-NC2 XXXXXX XXXXXXX XXXX XXXXXX
2,791 records
2001-NC2; Group 1 Mortgage Loans Balance: 327,252,448
===================================================================================================================================
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
of Date Date Gross Average Average Average Balance Balance Balance
Range of Gross Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Margins (%) Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 624 54,979,314 16.80 9.932 324 322 72.07 88.92 7.11 69.36
<= 5.000 3 520,601 0.16 8.295 360 358 81.81 100.00 25.27 100.00
5.001 - 5.500 2 347,545 0.11 8.151 360 358 70.36 100.00 0.00 60.35
5.501 - 6.000 111 15,058,485 4.60 8.775 360 358 79.84 96.70 11.61 61.84
6.001 - 6.500 820 106,180,557 32.45 9.270 360 358 79.28 90.15 22.16 56.60
6.501 - 7.000 966 118,573,175 36.23 9.932 360 358 76.74 93.47 17.62 62.02
7.001 - 7.500 265 31,592,772 9.65 11.105 360 358 69.30 93.78 12.38 63.28
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.640
Maximum: 7.500
Non-Zero Weighted Average: 6.612
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 6 of 11
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I Inc Trust 2001-NC2 XXXXXX XXXXXXX XXXX XXXXXX
2,791 records
2001-NC2; Group 1 Mortgage Loans Balance: 327,252,448
===================================================================================================================================
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
of Date Date Gross Average Average Average Balance Balance Balance
Range of Maximum Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Loan Rates (%) Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 624 54,979,314 16.80 9.932 324 322 72.07 88.92 7.11 69.36
<= 15.000 174 27,859,574 8.51 7.618 360 358 71.42 94.70 9.91 65.64
15.001 - 15.500 146 22,126,496 6.76 8.409 360 358 73.12 89.29 15.79 65.01
15.501 - 16.000 275 37,950,977 11.60 8.877 360 358 77.11 91.95 10.00 60.26
16.001 - 16.500 286 39,191,102 11.98 9.384 360 358 78.88 91.23 15.87 57.17
16.501 - 17.000 414 52,063,040 15.91 9.869 360 358 80.06 91.64 21.36 60.56
17.001 - 17.500 240 27,844,627 8.51 10.342 360 358 79.86 93.68 25.85 61.47
17.501 - 18.000 244 27,149,403 8.30 10.845 360 357 79.42 91.92 28.17 54.91
18.001 - 18.500 144 15,671,690 4.79 11.325 360 358 77.65 95.65 26.37 55.89
18.501 - 19.000 114 11,139,532 3.40 11.876 360 358 70.81 93.34 25.00 54.07
19.001 - 19.500 62 5,771,883 1.76 12.341 360 358 73.22 98.74 11.34 61.87
19.501 - 20.000 45 3,529,851 1.08 12.839 360 358 68.99 93.90 4.56 69.18
> 20.000 23 1,974,961 0.60 13.484 360 358 65.88 84.39 12.26 69.66
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 13.990
Maximum: 21.500
Non-Zero Weighted Average: 16.735
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 7 of 11
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I Inc Trust 2001-NC2 XXXXXX XXXXXXX XXXX XXXXXX
2,791 records
2001-NC2; Group 1 Mortgage Loans Balance: 327,252,448
===================================================================================================================================
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
of Date Date Gross Average Average Average Balance Balance Balance
Next Rate Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Adjustment Dates Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
2003-04-01 15 2,299,641 0.70 9.874 360 356 71.62 74.83 18.55 44.54
2003-05-01 341 44,538,020 13.61 9.849 360 357 74.11 87.71 17.87 51.71
2003-06-01 1,717 215,059,708 65.72 9.710 360 358 77.77 93.33 18.50 62.02
2003-07-01 1 70,757 0.02 8.500 360 359 80.00 100.00 100.00 0.00
2004-05-01 17 1,850,270 0.57 9.589 360 357 67.68 95.23 0.00 51.30
2004-06-01 76 8,454,738 2.58 9.951 360 358 77.36 97.94 23.39 62.45
Fixed Rate Loans 624 54,979,314 16.80 9.932 324 322 72.07 88.92 7.11 69.36
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 2003-04-01
Maximum: 2004-06-01
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein
and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on this material only. Information in this material
regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Xxxxxx
Xxxxxxx is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Xxxxxx Xxxxxxx, approved
by Xxxxxx Xxxxxxx International Limited, a member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd. We
recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 8 of 11
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I Inc Trust 2001-NC2 XXXXXX XXXXXXX XXXX XXXXXX
2,791 records
2001-NC2; Group 1 Mortgage Loans Balance: 327,252,448
===================================================================================================================================
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Geographic Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
Distribution of of Date Date Gross Average Average Average Balance Balance Balance
Mortgaged Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Properties Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
California 785 129,575,200 39.59 9.234 357 355 74.40 89.43 14.13 56.92
Illinois 175 20,489,757 6.26 10.368 354 352 76.44 91.95 18.41 67.17
Michigan 224 20,285,063 6.20 10.474 356 354 75.19 94.62 9.21 71.30
Florida 213 19,664,421 6.01 9.980 355 353 78.66 94.40 30.06 54.64
Texas 257 17,950,844 5.49 10.845 316 314 74.89 94.67 9.10 63.78
Massachusetts 76 12,353,143 3.77 9.453 360 358 74.77 93.74 13.75 56.55
Washington 74 9,602,307 2.93 9.712 357 354 78.27 92.76 22.54 51.87
Colorado 68 8,657,854 2.65 9.921 357 354 76.18 88.07 10.95 57.00
Minnesota 73 7,860,683 2.40 10.064 357 355 77.44 92.19 10.83 74.70
Ohio 91 6,693,445 2.05 10.149 350 348 79.45 89.69 17.20 90.29
Georgia 65 6,262,058 1.91 9.946 354 352 77.44 93.30 18.06 59.69
Nevada 40 5,344,040 1.63 9.446 358 356 81.36 92.02 35.73 60.29
Arizona 53 5,163,558 1.58 9.788 359 356 79.32 96.89 26.05 73.78
Missouri 52 4,443,208 1.36 10.191 356 354 78.38 95.29 22.09 75.66
New Jersey 28 3,672,390 1.12 9.989 344 342 75.55 100.00 11.29 66.12
Other 517 49,234,478 15.04 10.106 354 352 78.90 93.44 20.37 65.50
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 46
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
of Date Date Gross Average Average Average Balance Balance Balance
Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Occupancy Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
Primary 2,540 300,500,407 91.83 9.780 354 352 76.57 100.00 16.14 63.27
Investment 241 25,782,315 7.88 9.694 354 351 72.65 0.00 21.45 44.40
Second Home 10 969,727 0.30 9.627 360 358 56.39 0.00 8.43 22.19
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx
Xxxxxxx") considers reliable. Xxxxxx Xxxxxxx makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement 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 Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 9 of 11
MORGAN STANLEY DEAN WITTER CAPITAL I Inc Trust 2001-NC2 MORGAN STANLEY DEAN WITTER
2,791 records
2001-NC2; Group 1 Mortgage Loans Balance: 327,252,448
===================================================================================================================================
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
of Date Date Gross Average Average Average Balance Balance Balance
Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Property Type Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
Single Family
Residence 2,285 259,671,391 79.35 9.801 353 351 76.29 94.24 14.53 63.38
PUD 179 24,242,164 7.41 9.767 353 351 78.29 95.66 25.24 59.49
Condo 133 16,840,211 5.15 9.402 358 356 74.52 88.22 23.19 59.56
2 Family 103 13,666,425 4.18 9.860 359 357 77.46 69.86 20.40 55.87
3 Family 33 5,327,608 1.63 9.799 360 358 71.06 70.49 17.83 37.53
4 Family 24 5,089,629 1.56 9.162 360 358 70.66 40.61 41.28 41.11
Manufactured Housing 34 2,415,020 0.74 10.151 324 322 73.27 97.67 21.76 43.68
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
of Date Date Gross Average Average Average Balance Balance Balance
Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Loan Purpose Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 1,836 214,613,164 65.58 9.686 351 349 74.74 91.94 0.00 63.89
Refinance - Rate Term 495 58,515,711 17.88 9.797 357 355 77.02 93.45 0.00 65.20
Purchase 460 54,123,574 16.54 10.093 360 358 81.15 89.63 100.00 49.01
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
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 Morgan Stanley & Co. Incorporated ("Morgan
Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others
associated with it may have positions in, and may effect 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. Morgan
Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 10 of 11
MORGAN STANLEY DEAN WITTER CAPITAL I Inc Trust 2001-NC2 MORGAN STANLEY DEAN WITTER
2,791 records
2001-NC2; Group 1 Mortgage Loans Balance: 327,252,448
===================================================================================================================================
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
of Date Date Gross Average Average Average Balance Balance Balance
Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Documentation Level Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
Full 1,835 201,803,799 61.67 9.728 353 350 77.18 94.22 13.14 100.00
Stated Documentation 756 97,662,197 29.84 9.944 355 353 73.54 90.09 23.06 0.00
Limited 200 27,786,452 8.49 9.496 358 356 78.51 80.53 18.27 0.00
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
% of % of % of
Mortgage Mortgage Mortgage
% of Pool by Pool by Pool by
Mortgage Aggregate Aggregate Aggregate
Pool by Cut-off Cut-off Cut-off
Aggregate Aggregate Weighted Date Date Date
Number Cut-off Cut-off Average Weighted Weighted Weighted Principal Principal Principal
of Date Date Gross Average Average Average Balance Balance Balance
Mortgage Principal Principal Interest Original Remaining Original are Owner are are Full
Credit Score Loans Balance Balance Rate Term Term LTV Occupied Purchases Documentation
----------------------------------------------------------------------------------------------------------------------------------
NA 4 253,471 0.08 12.968 342 340 33.72 100.00 0.00 87.78
Below 500 3 472,751 0.14 10.027 360 357 75.74 100.00 0.00 57.39
500 - 525 413 46,565,761 14.23 10.460 356 354 75.02 95.17 10.82 72.50
526 - 550 582 64,608,492 19.74 10.173 353 350 74.99 97.41 10.91 70.27
551 - 575 514 60,569,019 18.51 9.919 357 354 76.38 94.79 14.78 65.85
576 - 600 466 53,704,626 16.41 9.608 352 350 76.46 89.30 16.92 60.99
601 - 625 366 44,562,739 13.62 9.347 354 352 77.04 89.16 18.79 50.41
626 - 650 229 28,622,416 8.75 9.164 352 350 78.16 85.99 22.72 49.31
651 - 675 106 14,430,315 4.41 9.076 350 347 80.43 89.26 34.54 45.79
676 - 700 50 5,740,682 1.75 9.125 355 352 75.24 77.27 26.92 45.32
701 - 725 32 4,326,425 1.32 8.773 354 352 75.06 73.83 43.29 38.45
726 - 750 16 1,929,844 0.59 8.437 360 358 71.56 73.98 20.56 60.29
751 - 775 8 906,972 0.28 8.614 360 358 73.54 89.69 35.95 43.35
776 - 800 2 558,936 0.17 8.553 360 357 54.74 10.72 0.00 89.28
----------------------------------------------------------------------------------------------------------------------------------
Total: 2,791 327,252,448 100.00 9.773 354 352 76.20 91.83 16.54 61.67
----------------------------------------------------------------------------------------------------------------------------------
Minimum: 492
Maximum: 795
Weighted Average: 579
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan
Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others
associated with it may have positions in, and may effect 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. Morgan
Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 11 of 11
MORGAN STANLEY DEAN WITTER CAPITAL I INC TRUST 2001-NC2 MORGAN STANLEY DEAN WITTER
238 RECORDS
2001-NC2; GROUP 2 MORTGAGE LOANS BALANCE: 85,953,889
===================================================================================================================================
--------------------------------------------------------------------------------
SUMMARY STATISTICS
--------------------------------------------------------------------------------
Number of Mortgage Loans: 238
Aggregate Principal Balance: 85,953,889
Weighted Average Current Mortgage Rate: 9.212
Weighted Average Margin: 6.506
Weighted Average Maximum Rate: 16.265
Weighted Average Original Term: 360
Weighted Average Stated Remaining Term: 357
Weighted Average Original LTV: 77.04
% Owner Occupied: 96.38
% Purchase: 17.32
% Full Doc: 46.19
Weighted Average Credit Score: 589
====================================================================================================================================
% OF % OF
MORTGAGE % OF MORTGAGE
% OF POOL BY MORTGAGE POOL BY
MORTGAGE AGGREGATE POOL BY AGGREGATE
POOL BY CUT-OFF AGGREGATE CUT-OFF
AGGREGATE AGGREGATE WEIGHTED DATE CUT-OFF DATE
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED WEIGHTED PRINCIPAL DATE PRINCIPAL
OF DATE DATE GROSS AVERAGE AVERAGE AVERAGE BALANCE PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING ORIGINAL ARE OWNER BALANCE ARE FULL
PRODUCT TYPES LOANS BALANCE BALANCE RATE TERM TERM LTV OCCUPIED ARE PURCHASES DOCUMENTATION
====================================================================================================================================
Fixed - 20 Year 1 339,083 0.39 9.850 240 238 85.00 100.00 0.00 100.00
Fixed - 30 Year 19 7,232,762 8.41 8.527 360 358 75.05 96.19 0.00 65.14
ARM - 6 Month 1 334,432 0.39 8.990 360 358 90.00 100.00 0.00 100.00
ARM - 2 Year/6 Month 210 75,239,114 87.53 9.293 360 358 77.15 96.64 19.21 44.82
ARM - 3 Year/6 Month 7 2,808,497 3.27 8.745 360 357 76.59 89.19 15.44 21.13
Total: 238 85,953,889 100.00 9.212 360 357 77.04 96.38 17.32 46.19
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan
Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others
associated with it may have positions in, and may effect 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. Morgan
Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 1 of 9
MORGAN STANLEY DEAN WITTER CAPITAL I INC TRUST 2001-NC2 MORGAN STANLEY DEAN WITTER
238 RECORDS
2001-NC2; GROUP 2 MORTGAGE LOANS BALANCE: 85,953,889
===================================================================================================================================
RANGE OF GROSS INTEREST RATES (%)
====================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING
RANGE OF GROSS INTEREST RATES (%) LOANS BALANCE BALANCE RATE TERM TERM
====================================================================================================================================
<= 7.999 34 12,578,424 14.63 7.715 360 358
8.000 - 8.999 79 29,268,196 34.05 8.616 360 358
9.000 - 9.999 78 27,900,740 32.46 9.538 359 356
10.000 - 10.999 33 11,244,151 13.08 10.496 360 358
11.000 - 11.999 10 3,596,153 4.18 11.564 360 358
12.000 - 12.999 4 1,366,224 1.59 12.335 360 357
Total: 238 85,953,889 100.00 9.212 360 357
------------------------------------------------------------------------------------------------------------------------------------
(continued)
% OF % OF
MORTGAGE % OF MORTGAGE
POOL BY MORTGAGE POOL BY
AGGREGATE POOL BY AGGREGATE
CUT-OFF AGGREGATE CUT-OFF
DATE CUT-OFF DATE
WEIGHTED PRINCIPAL DATE PRINCIPAL
AVERAGE BALANCE PRINCIPAL BALANCE
ORIGINAL ARE OWNER BALANCE ARE FULL
RANGE OF GROSS INTEREST RATES (%) LTV OCCUPIED ARE PURCHASES DOCUMENTATION
==================================================================================================================
<= 7.999 72.25 94.84 11.01 58.94
8.000 - 8.999 76.00 96.63 13.60 48.72
9.000 - 9.999 79.59 96.14 21.98 49.31
10.000 - 10.999 81.03 96.45 20.72 29.92
11.000 - 11.999 74.36 100.00 29.43 25.14
12.000 - 12.999 65.33 100.00 0.00 0.00
Total: 77.04 96.38 17.32 46.19
Minimum 6990
Maximum 12500
Weighted Average 9212
====================================================================================================================================
====================================================================================================================================
RANGE OF CUT-OFF DATE PRINCIPAL BALANCES ($)
====================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING
RANGE OF CUT-OFF DATE PRINCIPAL BALANCES ($) LOANS BALANCE BALANCE RATE TERM TERM
====================================================================================================================================
275,001 - 300,000 60 17,282,282 20.11 9.302 360 358
300,001 - 325,000 38 11,886,497 13.83 9.383 360 358
325,001 - 350,000 29 9,813,436 11.42 9.324 356 354
350,001 - 375,000 27 9,756,541 11.35 9.265 360 358
375,001 - 400,000 28 10,887,654 12.67 9.412 360 358
400,001 >= 56 26,327,479 30.63 8.932 360 358
Total: 238 85,953,889 100.00 9.212 360 357
(continued)
% OF % OF
MORTGAGE % OF MORTGAGE
POOL BY MORTGAGE POOL BY
AGGREGATE POOL BY AGGREGATE
CUT-OFF AGGREGATE CUT-OFF
DATE CUT-OFF DATE
WEIGHTED PRINCIPAL DATE PRINCIPAL
AVERAGE BALANCE PRINCIPAL BALANCE
ORIGINAL ARE OWNER BALANCE ARE FULL
RANGE OF CUT-OFF DATE PRINCIPAL BALANCES ($) LTV OCCUPIED ARE PURCHASES DOCUMENTATION
==============================================================================================================
275,001 - 300,000 77.32 96.67 16.71 51.32
300,001 - 325,000 79.19 92.14 23.76 39.22
325,001 - 350,000 77.10 100.00 20.53 44.81
350,001 - 375,000 74.94 96.17 25.76 33.38
375,001 - 400,000 79.46 92.85 14.31 39.14
400,001 >= 75.63 98.29 11.72 54.13
Total: 77.04 96.38 17.32 46.19
Minimum: 275,240
Maximum: 748,936
Average: 361,151
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan
Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others
associated with it may have positions in, and may effect 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. Morgan
Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 2 of 9
MORGAN STANLEY DEAN WITTER CAPITAL I INC TRUST 2001-NC2 MORGAN STANLEY DEAN WITTER
238 RECORDS
2001-NC2; GROUP 2 MORTGAGE LOANS BALANCE: 85,953,889
====================================================================================================================================
RANGE OF ORIGINAL TERMS
====================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING ORIGINAL
RANGE OF ORIGINAL TERMS LOANS BALANCE BALANCE RATE TERM TERM LTV
====================================================================================================================================
240 1 339,083 0.39 9.850 240 238 85.00
360 237 85,614,805 99.61 9.210 360 358 77.00
Total: 238 85,953,889 100.00 9.212 360 357 77.04
(continued)
% OF % OF
MORTGAGE % OF MORTGAGE
POOL BY MORTGAGE POOL BY
AGGREGATE POOL BY AGGREGATE
CUT-OFF AGGREGATE CUT-OFF
DATE CUT-OFF DATE
PRINCIPAL DATE PRINCIPAL
BALANCE PRINCIPAL BALANCE
ARE OWNER BALANCE ARE FULL
RANGE OF ORIGINAL TERMS OCCUPIED ARE PURCHASES DOCUMENTATION
================================================================================================
240 100.00 0.00 100.00
360 96.37 17.38 45.97
Total: 96.38 17.32 46.19
Minimum: 240
Maximum: 360
Weighted Average: 360
RANGE OF REMAINING TERMS
===================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING ORIGINAL
RANGE OF REMAINING TERMS LOANS BALANCE BALANCE RATE TERM TERM LTV
===================================================================================================================================
229 - 240 1 339,083 0.39 9.850 240 238 85.00
349 - 360 237 85,614,805 99.61 9.210 360 358 77.00
Total: 238 85,953,889 100.00 9.212 360 357 77.04
(continued)
% OF % OF
MORTGAGE % OF MORTGAGE
POOL BY MORTGAGE POOL BY
AGGREGATE POOL BY AGGREGATE
CUT-OFF AGGREGATE CUT-OFF
DATE CUT-OFF DATE
PRINCIPAL DATE PRINCIPAL
BALANCE PRINCIPAL BALANCE
ARE OWNER BALANCE ARE FULL
RANGE OF REMAINING TERMS OCCUPIED ARE PURCHASES DOCUMENTATION
=========================================================================================
229 - 240 100.00 0.00 100.00
349 - 360 96.37 17.38 45.97
Total: 96.38 17.32 46.19
Minimum: 238
Maximum: 358
Weighted Average: 357
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan
Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others
associated with it may have positions in, and may effect 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. Morgan
Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 3 of 9
MORGAN STANLEY DEAN WITTER CAPITAL I INC TRUST 2001-NC2 MORGAN STANLEY DEAN WITTER
238 RECORDS
2001-NC2; GROUP 2 MORTGAGE LOANS BALANCE: 85,953,889
===================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING ORIGINAL
RANGE OF LTV RATIOS LOANS BALANCE BALANCE RATE TERM TERM LTV
===================================================================================================================================
<= 40.00 3 1,220,593 1.42 9.379 360 358 30.01
40.01 - 50.00 2 715,980 0.83 7.748 360 358 48.94
50.01 - 60.00 16 5,711,545 6.64 9.479 360 358 57.60
60.01 - 70.00 36 13,940,444 16.22 8.952 360 358 66.45
70.01 - 80.00 99 35,061,572 40.79 9.033 360 358 77.61
80.01 - 90.00 82 29,303,754 34.09 9.527 359 356 87.81
TOTAL: 238 85,953,889 100.00 9.212 360 357 77.04
(continued)
MORTGAGE % OF MORTGAGE
POOL BY MORTGAGE POOL BY
AGGREGATE POOL BY AGGREGATE
CUT-OFF AGGREGATE CUT-OFF
DATE CUT-OFF DATE
PRINCIPAL DATE PRINCIPAL
BALANCE PRINCIPAL BALANCE
ARE OWNER BALANCE ARE FULL
RANGE OF LTV RATIOS OCCUPIED ARE PURCHASES DOCUMENTATION
===================================================================================
<= 40.00 100.00 0.00 72.60
40.01 - 50.00 100.00 0.00 50.20
50.01 - 60.00 100.00 0.00 29.70
60.01 - 70.00 90.34 5.12 48.25
70.01 - 80.00 95.89 15.45 41.77
80.01 - 90.00 98.89 29.88 52.51
Total: 96.38 17.32 46.19
Minimum: 20.94
Maximum: 90.00
Weighted Average: 77.04
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING ORIGINAL
RANGE OF GROSS MARGINS (%) LOANS BALANCE BALANCE RATE TERM TERM LTV
====================================================================================================================================
Fixed Rate Loans 20 7,571,846 8.81 8.586 355 352 75.50
<=5.000 1 294,641 0.34 8.500 360 358 72.30
5.501 - 6.000 7 2,466,642 2.87 9.183 360 358 85.88
6.001 - 6.500 120 43,514,985 50.63 8.992 360 358 78.09
6.501 - 7.000 77 27,420,175 31.90 9.578 360 358 76.78
7.001 - 7.500 12 4,371,045 5.09 10.362 360 358 66.39
7.501 - 8.000 1 314,554 0.37 7.750 360 358 73.09
TOTAL: 238 85,953,889 100.00 9.212 360 357 77.04
(continued)
MORTGAGE % OF MORTGAGE
POOL BY MORTGAGE POOL BY
AGGREGATE POOL BY AGGREGATE
CUT-OFF AGGREGATE CUT-OFF
DATE CUT-OFF DATE
PRINCIPAL DATE PRINCIPAL
BALANCE PRINCIPAL BALANCE
ARE OWNER BALANCE ARE FULL
RANGE OF GROSS MARGINS (%) OCCUPIED ARE PURCHASES DOCUMENTATION
===================================================================================
Fixed Rate Loans 96.36 0.00 66.70
<=5.000 100.00 0.00 0.00
5.501 - 6.000 100.00 26.90 33.52
6.001 - 6.500 96.09 20.19 38.41
6.501 - 7.000 97.25 19.81 51.03
7.001 - 7.500 91.32 0.00 64.05
7.501 - 8.000 100.00 0.00 100.00
Total: 96.38 17.32 46.19
Non-Zero Minimum: 4.750
Maximum: 7.750
Non-Zero Weighted Average: 6.506
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan
Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others
associated with it may have positions in, and may effect 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. Morgan
Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 4 of 9
MORGAN STANLEY DEAN WITTER CAPITAL I INC TRUST 2001-NC2 MORGAN STANLEY DEAN WITTER
238 RECORDS
2001-NC2; GROUP 2 MORTGAGE LOANS BALANCE: 85,953,889
===================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING
RANGE OF MAXIMUM LOAN RATES (%) LOANS BALANCE BALANCE RATE TERM TERM
===========================================================================================================================
Fixed Rate Loans 20 7,571,846 8.81 8.586 355 352
<=15.000 29 10,596,170 12.33 7.734 360 358
15.001 - 15.500 36 13,730,562 15.97 8.421 360 358
15.501 - 16.000 39 14,050,392 16.35 8.910 360 358
16.001 - 16.500 42 14,939,045 17.38 9.377 360 358
16.501 - 17.000 26 9,146,116 10.64 9.896 360 358
17.001 - 17.500 24 8,234,823 9.58 10.379 360 358
17.501 - 18.000 9 3,022,343 3.52 10.863 360 358
18.001 - 18.500 4 1,528,533 1.78 11.348 360 357
18.501 - 19.000 5 1,767,836 2.06 11.846 360 358
19.001 - 19.500 4 1,366,224 1.59 12.335 360 357
TOTAL: 238 85,953,889 100.00 9.212 360 357
(continued)
% OF % OF
MORTGAGE % OF MORTGAGE
POOL BY MORTGAGE POOL BY
AGGREGATE POOL BY AGGREGATE
CUT-OFF AGGREGATE CUT-OFF
DATE CUT-OFF DATE
WEIGHTED PRINCIPAL DATE PRINCIPAL
AVERAGE BALANCE PRINCIPAL BALANCE
ORIGINAL ARE OWNER BALANCE ARE FULL
RANGE OF MAXIMUM LOAN RATES (%) LTV OCCUPIED ARE PURCHASES DOCUMENTATION
=========================================================================================================
Fixed Rate Loans 75.50 96.36 0.00 66.70
<=15.000 73.47 96.48 13.07 51.26
15.001 - 15.500 75.32 97.76 13.10 39.00
15.501 - 16.000 77.23 95.17 18.53 55.71
16.001 - 16.500 76.31 95.80 24.98 51.85
16.501 - 17.000 83.56 95.08 21.62 43.96
17.001 - 17.500 83.05 95.16 20.09 28.93
17.501 - 18.000 75.80 100.00 22.32 32.48
18.001 - 18.500 70.30 100.00 0.00 33.98
18.501 - 19.000 78.06 100.00 59.86 21.77
19.001 - 19.500 65.33 100.00 0.00 0.00
TOTAL: 77.04 96.38 17.32 46.19
Non-Zero Minimum: 13.990
Maximum: 19.500
Non-Zero Weighted Average: 16.265
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan
Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others
associated with it may have positions in, and may effect 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. Morgan
Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 5 of 9
MORGAN STANLEY DEAN WITTER CAPITAL I INC TRUST 2001-NC2 MORGAN STANLEY DEAN WITTER
238 RECORDS
2001-NC2; GROUP 2 MORTGAGE LOANS BALANCE: 85,953,889
===================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING ORIGINAL
NEXT RATE ADJUSTMENT DATES LOANS BALANCE BALANCE RATE TERM TERM LTV
====================================================================================================================================
2001-12-01 1 334,432 0.39 8.990 360 358 90.00
2003-04-01 5 2,163,335 2.52 9.387 360 356 81.15
2003-05-01 43 15,616,816 18.17 9.364 360 357 75.34
2003-06-01 162 57,458,963 66.85 9.271 360 358 77.49
2004-05-01 3 1,465,931 1.71 8.448 360 357 78.89
2004-06-01 4 1,342,566 1.56 9.069 360 358 74.07
Fixed Rate Loans 20 7,571,846 8.81 8.586 355 352 75.50
TOTAL: 238 85,953,889 100.00 9.212 360 357 77.04
(continued)
% OF % OF
MORTGAGE % OF MORTGAGE
POOL BY MORTGAGE POOL BY
AGGREGATE POOL BY AGGREGATE
CUT-OFF AGGREGATE CUT-OFF
DATE CUT-OFF DATE
PRINCIPAL DATE PRINCIPAL
BALANCE PRINCIPAL BALANCE
ARE OWNER BALANCE ARE FULL
NEXT RATE ADJUSTMENT DATES OCCUPIED ARE PURCHASES DOCUMENTATION
==========================================================================================
2001-12-01 100.00 0.00 100.00
2003-04-01 100.00 22.60 81.53
2003-05-01 98.03 16.55 34.99
2003-06-01 96.13 19.80 46.11
2004-05-01 100.00 0.00 0.00
2004-06-01 77.38 32.29 44.20
Fixed Rate Loans 96.36 0.00 66.70
TOTAL: 96.38 17.32 46.19
Non-Zero Minimum: 2001-12-01
Maximum: 2004-06-01
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan
Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others
associated with it may have positions in, and may effect 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. Morgan
Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 6 of 9
MORGAN STANLEY DEAN WITTER CAPITAL I INC TRUST 2001-NC2 MORGAN STANLEY DEAN WITTER
238 RECORDS
2001-NC2; GROUP 2 MORTGAGE LOANS BALANCE: 85,953,889
===================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES LOANS BALANCE BALANCE RATE TERM TERM
===================================================================================================================================
California 186 67,980,695 79.09 9.137 359 357
Texas 5 1,788,158 2.08 10.944 360 358
Virginia 5 1,523,356 1.77 8.826 360 358
Nevada 4 1,429,510 1.66 10.071 360 357
Massachusetts 4 1,414,481 1.65 8.663 360 358
Michigan 4 1,382,237 1.61 9.570 360 358
Connecticut 3 1,202,217 1.40 9.145 360 358
Maryland 3 1,157,281 1.35 9.401 360 358
Florida 3 1,152,237 1.34 8.138 360 358
Colorado 3 1,029,559 1.20 9.879 360 358
Arizona 3 924,369 1.08 8.755 360 358
Illinois 2 684,910 0.80 10.307 360 358
Washington 2 658,913 0.77 9.250 360 358
New Mexico 2 646,573 0.75 9.717 360 358
New Jersey 2 622,674 0.72 8.245 360 358
Other 7 2,356,716 2.74 10.053 360 358
TOTAL: 238 85,953,889 100.00 9.212 360 357
(continued)
% OF % OF
MORTGAGE % OF MORTGAGE
POOL BY MORTGAGE POOL BY
AGGREGATE POOL BY AGGREGATE
CUT-OFF AGGREGATE CUT-OFF
DATE CUT-OFF DATE
WEIGHTED PRINCIPAL DATE PRINCIPAL
AVERAGE BALANCE PRINCIPAL BALANCE
ORIGINAL ARE OWNER BALANCE ARE FULL
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES LTV OCCUPIED ARE PURCHASES DOCUMENTATION
==================================================================================================================
California 76.83 95.97 17.35 45.23
Texas 71.03 100.00 0.00 20.11
Virginia 79.32 100.00 0.00 100.00
Nevada 86.28 100.00 51.99 0.00
Massachusetts 74.25 100.00 28.07 100.00
Michigan 74.32 100.00 27.01 72.99
Connecticut 73.23 100.00 0.00 0.00
Maryland 81.35 100.00 0.00 27.08
Florida 71.50 67.61 0.00 0.00
Colorado 79.82 100.00 0.00 30.57
Arizona 80.00 100.00 32.41 32.41
Illinois 82.28 100.00 100.00 48.57
Washington 85.29 100.00 47.06 100.00
New Mexico 72.41 100.00 0.00 100.00
New Jersey 84.55 100.00 45.49 100.00
Other 79.32 100.00 0.00 61.85
TOTAL: 77.04 96.38 17.32 46.19
Number of States/District of Columbia Represented: 22
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING ORIGINAL
OCCUPANCY LOANS BALANCE BALANCE RATE TERM TERM LTV
===========================================================================================================================
Primary 229 82,843,351 96.38 9.215 360 357 77.15
Investment 9 3,110,538 3.62 9.123 360 358 73.93
TOTAL: 238 85,953,889 100.00 9.212 360 357 77.04
(continued)
% OF % OF
MORTGAGE % OF MORTGAGE
POOL BY MORTGAGE POOL BY
AGGREGATE POOL BY AGGREGATE
CUT-OFF AGGREGATE CUT-OFF
DATE CUT-OFF DATE
PRINCIPAL DATE PRINCIPAL
BALANCE PRINCIPAL BALANCE
ARE OWNER BALANCE ARE FULL
OCCUPANCY OCCUPIED ARE PURCHASES DOCUMENTATION
==============================================================================
Primary 100.00 17.58 46.22
Investment 0.00 10.41 45.27
TOTAL: 96.38 17.32 46.19
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan
Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others
associated with it may have positions in, and may effect 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. Morgan
Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 7 of 9
MORGAN STANLEY DEAN WITTER CAPITAL I INC TRUST 2001-NC2 MORGAN STANLEY DEAN WITTER
238 RECORDS
2001-NC2; GROUP 2 MORTGAGE LOANS BALANCE: 85,953,889
===================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING ORIGINAL
PROPERTY TYPE LOANS BALANCE BALANCE RATE TERM TERM LTV
===================================================================================================================================
Single Family Residence 194 70,106,203 81.56 9.156 359 357 76.36
PUD 33 11,717,860 13.63 9.480 360 358 79.06
Condo 6 2,001,671 2.33 9.544 360 358 77.92
2 Family 3 1,172,842 1.36 9.718 360 358 86.90
Manufactured Housing 1 483,516 0.56 7.990 360 357 85.00
3 Family 1 471,796 0.55 9.500 360 357 90.00
TOTAL: 238 85,953,889 100.00 9.212 360 357 77.04
(continued)
% OF % OF
MORTGAGE % OF MORTGAGE
POOL BY MORTGAGE POOL BY
AGGREGATE POOL BY AGGREGATE
CUT-OFF AGGREGATE CUT-OFF
DATE CUT-OFF DATE
PRINCIPAL DATE PRINCIPAL
BALANCE PRINCIPAL BALANCE
ARE OWNER BALANCE ARE FULL
PROPERTY TYPE OCCUPIED ARE PURCHASES DOCUMENTATION
======================================================================================
Single Family Residence 96.53 15.35 44.51
PUD 97.41 23.48 52.84
Condo 81.35 46.17 49.12
2 Family 100.00 37.95 31.28
Manufactured Housing 100.00 0.00 100.00
3 Family 100.00 0.00 100.00
TOTAL: 96.38 17.32 46.19
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING ORIGINAL
LOAN PURPOSE LOANS BALANCE BALANCE RATE TERM TERM LTV
===================================================================================================================================
Refinance - Cashout 155 56,297,780 65.50 9.152 359 357 75.29
Purchase 43 14,884,116 17.32 9.423 360 358 84.07
Refinance - Rate Term 40 14,771,993 17.19 9.229 360 358 76.60
TOTAL: 238 85,953,889 100.00 9.212 360 357 77.04
(continued)
% OF % OF
MORTGAGE % OF MORTGAGE
POOL BY MORTGAGE POOL BY
AGGREGATE POOL BY AGGREGATE
CUT-OFF AGGREGATE CUT-OFF
DATE CUT-OFF DATE
PRINCIPAL DATE PRINCIPAL
BALANCE PRINCIPAL BALANCE
ARE OWNER BALANCE ARE FULL
LOAN PURPOSE OCCUPIED ARE PURCHASES DOCUMENTATION
====================================================================================
Refinance - Cashout 95.85 0.00 45.83
Purchase 97.82 100.00 35.98
Refinance - Rate Term 96.96 0.00 57.83
TOTAL: 96.38 17.32 46.19
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan
Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others
associated with it may have positions in, and may effect 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. Morgan
Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 8 of 9
MORGAN STANLEY DEAN WITTER CAPITAL I INC TRUST 2001-NC2 MORGAN STANLEY DEAN WITTER
238 RECORDS
2001-NC2; GROUP 2 MORTGAGE LOANS BALANCE: 85,953,889
===================================================================================================================================
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING ORIGINAL
DOCUMENTATION LEVEL LOANS BALANCE BALANCE RATE TERM TERM LTV
===================================================================================================================================
Full 109 39,699,208 46.19 8.985 359 357 77.83
Stated Documentation 94 33,248,062 38.68 9.528 360 358 75.10
Limited 35 13,006,618 15.13 9.098 360 358 79.54
TOTAL: 238 85,953,889 100.00 9.212 360 357 77.04
(continued)
% OF % OF
MORTGAGE % OF MORTGAGE
POOL BY MORTGAGE POOL BY
AGGREGATE POOL BY AGGREGATE
CUT-OFF AGGREGATE CUT-OFF
DATE CUT-OFF DATE
PRINCIPAL DATE PRINCIPAL
BALANCE PRINCIPAL BALANCE
ARE OWNER BALANCE ARE FULL
DOCUMENTATION LEVEL OCCUPIED ARE PURCHASES DOCUMENTATION
====================================================================================
Full 96.45 13.49 100.00
Stated Documentation 95.85 18.95 0.00
Limited 97.51 24.83 0.00
TOTAL: 96.38 17.32 46.19
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL INTEREST ORIGINAL REMAINING ORIGINAL
CREDIT SCORE LOANS BALANCE BALANCE RATE TERM TERM LTV
============================================================================================================================
500 - 525 27 9,480,165 11.03 10.001 356 354 71.03
526 - 550 31 11,034,272 12.84 9.084 360 358 71.96
551 - 575 42 15,815,019 18.40 9.442 360 358 77.89
576 - 600 43 15,767,643 18.34 9.129 360 358 78.70
601 - 625 39 14,319,098 16.66 8.850 360 358 79.48
626 - 650 23 7,783,525 9.06 9.353 360 358 80.60
651 - 675 21 7,649,644 8.90 8.927 360 358 78.49
676 - 700 6 2,178,955 2.54 8.983 360 358 78.55
701 - 725 4 1,240,049 1.44 8.831 360 358 77.53
726 - 750 1 305,577 0.36 7.875 360 358 85.00
751 - 775 1 379,940 0.44 7.250 360 358 58.54
TOTAL: 238 85,953,889 100.00 9.212 360 357 77.04
(continued)
% OF % OF
MORTGAGE % OF MORTGAGE
POOL BY MORTGAGE POOL BY
AGGREGATE POOL BY AGGREGATE
CUT-OFF AGGREGATE CUT-OFF
DATE CUT-OFF DATE
PRINCIPAL DATE PRINCIPAL
BALANCE PRINCIPAL BALANCE
ARE OWNER BALANCE ARE FULL
CREDIT SCORE OCCUPIED ARE PURCHASES DOCUMENTATION
===========================================================================
500 - 525 100.00 9.45 50.09
526 - 550 100.00 7.32 57.71
551 - 575 97.60 14.48 48.13
576 - 600 95.55 13.56 50.22
601 - 625 94.60 22.87 44.05
626 - 650 96.46 31.81 48.88
651 - 675 91.11 26.68 29.72
676 - 700 100.00 15.47 13.22
701 - 725 75.83 25.58 0.00
726 - 750 100.00 100.00 0.00
751 - 775 100.00 0.00 100.00
TOTAL: 96.38 17.32 46.19
Minimum: 500
Maximum: 762
Weighted Average: 589
----------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in
determining whether they have an interest in the type of security described herein. It has been prepared solely for information
purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan
Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of
the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of
securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the
issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the
event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information
in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon
such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of
such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes
to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to
this information, including without limitation any express or implied representations or warranties for, statements contained in,
and omissions from the information contained here in. Additional information is available upon request. Morgan Stanley and others
associated with it may have positions in, and may effect 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. Morgan
Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved
by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
==================================================================================================================================
Page 9 of 9
