EXHIBIT 99.1
--------------------------------------------------------------------------------
XXXXXX XXXXXXX January 7, 2001
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS
$111,031,000
APPROXIMATELY
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC.
SERIES 2002-AM1
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shall be deemed superseded, amended and supplemented in its entirety by such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
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XXXXXX XXXXXXX January 7, 2001
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
APPROXIMATELY $111,031,000
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC., SERIES 2002-AM1
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC.
DEPOSITOR
FAIRBANKS CAPITAL CORP.
SERVICER
TRANSACTION HIGHLIGHTS
----------------------
------- ------------- ------------- ----------------- ------------- ------------- --------------------- ----------- --------------
MODIFIED
EXPECTED RATINGS AVG LIFE TO DURATION TO
OFFERED (S&P/Fitch/ CALL / CALL / PAYMENT WINDOW TO
CLASSES DESCRIPTION BALANCE MOODY'S) MTY(1)(2) MTY(1)(2) CALL / MTY(1)(2) DAY COUNT BENCHMARK
======= ============= ============= ================= ============= ============= ===================== =========== ==============
A-1 Not Offered $288,564,000 *****Not Offered*****
------- ------------- ------------- ----------------- ------------- ------------- --------------------- ----------- --------------
A-2 Floater $40,694,000 AAA/AAA/Aaa 2.57 / 2.80 2.45 / 2.63 2/02-10/09 / Actual/360 1 Month LIBOR
2/02-3/19
------- ------------- ------------- ----------------- ------------- ------------- --------------------- ----------- --------------
M-1 Floater $26,504,000 AA/AA/Aa2 5.21 / 5.77 4.79 / 5.21 5/05-10/09 / Actual/360 1 Month LIBOR
5/05-6/16
------- ------------- ------------- ----------------- ------------- ------------- --------------------- ----------- --------------
M-2 Floater $20,387,000 A/A/A2 5.17 / 5.67 4.65 / 5.01 3/05-10/09 / Actual/360 1 Month LIBOR
3/05-2/15
------- ------------- ------------- ----------------- ------------- ------------- --------------------- ----------- --------------
B-1 Floater $23,446,000 BBB-/BBB-/Baa3 5.14 / 5.42 4.41 / 4.60 2/05-10/09 / Actual/360 1 Month LIBOR
2/05-7/13
------- ------------- ------------- ----------------- ------------- ------------- --------------------- ----------- --------------
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 2002-AM1
DEPOSITOR: Xxxxxx Xxxxxxx Xxxx Xxxxxx Capital I Inc.
MASTER SERVICER: Fairbanks Capital Corp.
TRUSTEE: Bankers Trust Company of California, N.A.
MANAGERS: Xxxxxx Xxxxxxx (lead manager)
RATING AGENCIES: Standard & Poor's, Fitch, Inc. and Xxxxx'x
Investors Service
OFFERED CERTIFICATES: Classes A-2, M-1, M-2, and B-1 Certificates
PRICING DATE: January [ ], 2002
EXPECTED CLOSING DATE: January 24, 2002 through DTC and Euroclear or
Clearstream, Luxembourg. The Certificates
will be sold without accrued interest.
DISTRIBUTION DATES: The 25th of each month, or if such day is not
a business day, on the next business day,
beginning February 25, 2002.
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
FINAL SCHEDULED January 25, 2032
DISTRIBUTION DATE:
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 PERIOD: The interest accrual period for the Offered
Certificates with respect to any Distribution
Date will be the period beginning with the
25th day of the month preceding the month in
which such Distribution Date occurs (or, in
the case of the first Distribution Date, the
Closing Date) and ending on the 24th day of
the month during which such Distribution Date
occurs (on an actual/360 day count basis).
MORTGAGE LOANS: The Trust will consist of two groups of
adjustable rate sub-prime residential
mortgage loans.
GROUP I MORTGAGE LOANS: Approximately $357,354,895 of Mortgage Loans
with original principal balances that conform
to the original principal balance limits for
one- to four-family residential mortgage loan
guidelines for purchase by Freddie Mac.
GROUP II MORTGAGE LOANS: Approximately $50,395,025 of Mortgage Loans
that 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 SPEED: CPR of 25%.
CREDIT ENHANCEMENT: The Offered Certificates are credit enhanced
by:
1) Net monthly excess cashflow from the
Mortgage Loans,
2) 2.00% overcollateralization (funded
upfront). After the Step-down Date, so
long as a Trigger Event is not in effect,
the required overcollateralization will
equal 4.00% of the pool balance of the
Mortgage Loans as of the last day of the
applicable Due Period, subject to a 0.50%
floor, based on the initial balance of
the mortgage loans, and
3) Subordination of distributions on the
more subordinate classes of certificates
(if applicable) to the required
distributions on the more senior classes
of certificates.
SENIOR ENHANCEMENT PERCENTAGE: For any Distribution Date, the percentage
obtained by dividing (x) the aggregate
Certificate Principal Balance of the
subordinate certificates (together with any
overcollateralization and taking into account
the distributions of the Principal
Distribution Amount for such Distribution
Date) by (y) the aggregate principal balance
of the Mortgage Loans as of the last day of
the related Due Period.
STEP-DOWN DATE: The later to occur of:
(x) the earlier of:
(a) the Distribution Date occurring in
February 2005; and
(b) the Distribution Date on which the
aggregate balance of the Class A
Certificates is reduced to zero;
and
(y) the first Distribution Date on which the
Senior Enhancement Percentage
(calculated for this purpose only after
taking into account payments of
principal on the Mortgage Loans on the
last day of the related Due Period but
prior to principal distributions to the
certificates on the applicable
Distribution Date) is greater than or
equal to 38.50%.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
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
TRIGGER EVENT: A Trigger Event is in effect on any
Distribution Date if (i) on that Distribution
Date the 60 Day+ Rolling Average equals or
exceeds 50% of the prior period's Senior
Enhancement Percentage and (ii) may include
other trigger events related to the
performance of the Mortgage Loans. The 60
Day+ Rolling Average will equal the rolling 3
month average percentage of Mortgage Loans
that are 60 or more days delinquent.
INITIAL SUBORDINATION PERCENTAGE: Class A: 19.25%
Class M-1: 12.75%
Class M-2: 7.75%
Class B: 2.00%
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
Mortgage Loans.
STEP-UP COUPONS: For all Offered Certificates the coupon will
increase after the optional clean-up call
date, should the call not be exercised.
CLASS A-1 PASS-THROUGH RATE: The Class A-1 Certificates will accrue
interest at a variable rate equal to the
least of (i) one-month LIBOR plus [ ] bps
([ ] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable), (ii) the Loan Group I Cap,
(iii) the WAC Cap, and (iv) 16%.
CLASS A-2 PASS-THROUGH RATE: The Class A-2 Certificates will accrue
interest at a variable rate equal to the
least of (i) one-month LIBOR plus [ ] bps
([ ] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable), (ii) the Loan Group II Cap,
(iii) the WAC Cap, and (iv) 16%.
CLASS M-1 PASS-THROUGH RATE: The Class M-1 Certificates will accrue
interest at a variable rate equal to the
least of (i) one-month LIBOR plus [ ] bps
([ ] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable), (ii) the WAC Cap, and (iii)
16%.
CLASS M-2 PASS-THROUGH RATE: The Class M-2 Certificates will accrue
interest at a variable rate equal to the
least of (i) one-month LIBOR plus [ ] bps
([ ] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable), (ii) the WAC Cap, and (iii)
16%.
CLASS B-1 PASS-THROUGH RATE: The Class B-1 Certificates will accrue
interest at a variable rate equal to the
least of (i) one-month LIBOR plus [ ] bps
([ ] bps after the first distribution date on
which the Optional Clean-up Call is
exercisable), (ii) the WAC Cap, and (iii)
16%.
WAC CAP: As to any Distribution Date a per annum rate
equal to the weighted average gross rate of
the Mortgage Loans in effect on the beginning
of the related Due Period 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 in effect on the
beginning of the related Due Period 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 in effect on the
beginning of the related Due Period 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
CLASS A-1 BASIS RISK CARRY As to any Distribution Date, the supplemental
FORWARD AMOUNT: interest amount for the Class A-1
Certificates will equal the sum of:
(i) the excess, if any, of interest that
would otherwise be due on such
Certificates at the Class A-1
Pass-Through Rate (without regard to
the Loan Group I Cap or WAC Cap, 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 (ii)
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 CARRY As to any Distribution Date, the supplemental
FORWARD AMOUNT: interest amount for the Class A-2
Certificates will equal the sum of:
(i) the excess, if any, of interest that
would otherwise be due on such
Certificates at the Class A-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 (ii)
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 BASIS As to any Distribution Date, the supplemental
RISK CARRY FORWARD AMOUNTS: interest amount for each of the Class M-1,
M-2 and B-1 Certificates will equal the sum
of:
(i) the excess, if any, of interest that
would otherwise be due on such
Certificates at such Certificates'
applicable Pass-Through Rate (without
regard to the WAC Cap, 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 On each Distribution Date, interest
OFFERED CERTIFICATES: distributions from the Interest Remittance
Amount will be allocated as follows:
(i) the portion of the Interest Remittance
Amount attributable to the Group I
Mortgage Loans will be allocated
according to the related Accrued
Certificate Interest and any unpaid
interest shortfall amounts for such
class, as applicable, first, to the
Class A-1 Certificates and second, to
the Class A-2 Certificates;
(ii) the portion of the Interest Remittance
Amount attributable to the Group II
Mortgage Loans will be allocated
according to the related Accrued
Certificate Interest and any unpaid
interest shortfall amounts for such
class, as applicable, first, to the
Class A-2 Certificates and second, to
the Class A-1 Certificates;
(iii) to the Class M-1 Certificates, its
Accrued Certificate Interest;
(iv) to the Class M-2 Certificates, its
Accrued Certificate Interest; and
(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
PRINCIPAL DISTRIBUTIONS ON On each Distribution Date (a) prior to the
OFFERED CERTIFICATES: Stepdown Date or (b) on which a Trigger Event
is in effect, principal distributions from
the Principal Distribution Amount will be
allocated as follows:
(i) to the Class A Certificates, allocated
between the Class A Certificates as
described below, until the Certificate
Principal Balances thereof have been
reduced to zero;
(ii) to the Class M-1 Certificates, until
the Certificate Principal Balance
thereof have been reduced to zero;
(iii) to the Class M-2 Certificates, until
the Certificate Principal Balance
thereof have been reduced to zero; and
(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; and
(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.
ALLOCATION OF NET MONTHLY For any Distribution Date, any Net Monthly
EXCESS CASHFLOW: Excess Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, the
unpaid interest shortfall amount;
(ii) to the Class M-1 Certificates, the
allocated unreimbursed realized loss
amount;
(iii) to the Class M-2 Certificates, the
unpaid interest shortfall amount;
(iv) to the Class M-2 Certificates, the
allocated unreimbursed realized loss
amount;
(v) to the Class B-1 Certificates, the
unpaid interest shortfall amount;
(vi) to the Class B-1 Certificates, the
allocated unreimbursed realized loss
amount;
(vii) 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
(viii) sequentially, to Classes M-1, M-2 and
B-1 Certificates, in such order, any
Basis Risk Carry Forward Amount for
such classes.
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
INTEREST REMITTANCE AMOUNT: For any Distribution Date, the portion of
available funds for such Distribution Date
attributable to interest received or advanced
on the Mortgage Loans.
ACCRUED CERTIFICATE INTEREST: For any Distribution Date and each class of
Offered Certificates, equals the amount of
interest accrued during the related interest
accrual period at the related Pass-through
Rate, reduced by any prepayment interest
shortfalls and shortfalls resulting from the
application of the relief act allocated to
such class.
PRINCIPAL DISTRIBUTION AMOUNT: On any Distribution Date, the sum of (i) the
Basic Principal Distribution Amount and (ii)
the Extra Principal Distribution Amount.
BASIC PRINCIPAL DISTRIBUTION On any Distribution Date, the excess of
AMOUNT: (i) the aggregate Principal Remittance Amount
over (ii) the Excess Subordinated Amount, if
any.
PRINCIPAL REMITTANCE AMOUNT: On any Distribution Date, the sum of (i) all
scheduled payments of principal collected or
advanced on the Mortgage Loans during the Due
Period, (ii) the principal portion of all
partial and full prepayments received during
the month prior to the month during which
such Distribution Date occurs, (iii) the
principal portion of all net liquidation
proceeds and net insurance proceeds received
during the month prior to the month during
which such Distribution Date occurs, (iv) the
principal portion of repurchased Mortgage
Loans, the repurchase obligation for which
arose during the month prior to the month
during which such Distribution Date occurs
and that were repurchased during the period
from the prior Distribution Date through the
business day prior to such Distribution Date,
(v) the principal portion of substitution
adjustments received in connection with the
substitution of a Mortgage Loan as of such
Distribution Date, and (vi) the principal
portion of the termination price if the
Optional Clean Up Call is exercised.
NET MONTHLY EXCESS CASHFLOW: For any Distribution Date is the amount of
funds available for distribution on such
Distribution Date remaining after making all
distributions of interest and principal on
the certificates.
EXTRA PRINCIPAL DISTRIBUTION For any Distribution Date, the lesser of
AMOUNT: (i) the excess of (x) interest collected or
advanced with respect to the Mortgage Loans
with due dates in the related Due Period
(less servicing and trustee fees), over (y)
the sum of interest payable on the
Certificates on such Distribution Date and
(ii) the overcollateralization deficiency
amount for such Distribution Date.
EXCESS SUBORDINATED AMOUNT: For any Distribution Date, means the excess,
if any of (i) the overcollateralization and
(ii) the required overcollateralization for
such Distribution Date.
CLASS A PRINCIPAL ALLOCATION For any Distribution Date, the percentage
PERCENTAGE: equivalent of a fraction, determined as
follows: (i) in the case of the Class A-1
Certificates the numerator of which is (x)
the portion of the Principal Remittance
Amount for such Distribution Date that is
attributable to principal received or
advanced on the 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 (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 DISTRIBUTION An amount equal to the excess of (x) the
AMOUNT: aggregate Certificate Principal Balance of
the Class A Certificates immediately prior to
such Distribution Date over (y) the lesser of
(A) the product of (i) approximately 61.50%
and (ii) the aggregate principal balance of
the Mortgage Loans as of the last day of the
related Due Period and (B) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period minus
$2,038,750.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 7
CLASS M-1 PRINCIPAL DISTRIBUTION An amount equal to the excess of (x) the sum
AMOUNT: of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after
taking into account the payment of the Class
A Principal Distribution Amount on such
Distribution Date) and (ii) the Certificate
Principal Balance of the Class M-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 74.50% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period minus
$2,038,750.
CLASS M-2 PRINCIPAL DISTRIBUTION An amount equal to the excess of (x) the sum
AMOUNT: of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after
taking into account the payment of the Class
A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal
Distribution Amount on such Distribution
Date) and (iii) the Certificate Principal
Balance of the Class M-2 Certificates
immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 84.50% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and
(B) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period minus $2,038,750.
CLASS B-1 PRINCIPAL DISTRIBUTION An amount equal to the excess of (x) the sum
AMOUNT: of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after
taking into account the payment of the Class
A Principal Distribution Amount on such
Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal
Distribution Amount on such Distribution
Date), (iii) the Certificate Principal
Balance of the Class M-2 Certificates (after
taking into account the payment of the Class
M-2 Principal Distribution Amount on such
Distribution Date), and (iv) the Certificate
Principal Balance of the Class B-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 96.00% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period minus
$2,038,750; provided, however, that with
respect to any Distribution Date on which the
Class Certificate Balance of the Class A,
Class M-1 and Class M-2 Certificates have
been reduced to zero, the Class B-1 Principal
Distribution Amount is the lesser of (x) the
Class Certificate Balance of the Class B-1
Certificates and (y) the Principal
Distribution Amount.
TRUST TAX STATUS: REMIC.
ERISA ELIGIBILITY: Subject to the considerations in the
Prospectus, all Offered Certificates are
ERISA eligible.
SMMEA ELIGIBILITY: It is anticipated that the Class A-2 and
Class M-1 Certificates will be SMMEA
eligible.
PROSPECTUS: The Class A-2, Class M-1, Class M-2 and Class
B-1 Certificates are being offered pursuant
to a prospectus supplemented by a prospectus
supplement (together, the "Prospectus").
Complete information with respect to the
Offered Certificates and the collateral
securing them is contained in the Prospectus.
The information herein is qualified in its
entirety by the information appearing in the
Prospectus. To the extent that the
information herein is inconsistent with the
Prospectus, the Prospectus shall govern in
all respects. Sales of the Offered
Certificates may not be consummated unless
the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS
FOR A DESCRIPTION OF INFORMATION THAT SHOULD
BE CONSIDERED IN CONNECTION WITH AN
INVESTMENT IN THE OFFERED CERTIFICATES.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx 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-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------------------- -------------------- -------------------- -------------------- -------------------- --------------------
Initial 100% 100% 100% 100% 100%
1/25/03 99 76 68 61 53
1/25/04 98 57 45 34 24
1/25/05 97 41 27 15 6
1/25/06 96 32 23 15 6
1/25/07 94 26 17 11 6
1/25/08 93 21 13 8 4
1/25/09 91 17 9 5 3
1/25/10 90 13 7 3 2
1/25/11 88 11 5 2 1
1/25/12 86 8 4 2 0
1/25/13 84 7 3 1 0
1/25/14 81 5 2 1 0
1/25/15 79 4 1 0 0
1/25/16 76 3 1 0 0
1/25/17 73 3 1 0 0
1/25/18 69 2 0 0 0
1/25/19 66 2 0 0 0
1/25/20 62 1 0 0 0
1/25/21 57 1 0 0 0
1/25/22 53 1 0 0 0
1/25/23 47 0 0 0 0
1/25/24 42 0 0 0 0
1/25/25 36 0 0 0 0
1/25/26 32 0 0 0 0
1/25/27 27 0 0 0 0
1/25/28 23 0 0 0 0
1/25/29 17 0 0 0 0
1/25/30 11 0 0 0 0
1/25/31 5 0 0 0 0
1/25/32 0 0 0 0 0
Average Life to 19.26 3.81 2.80 2.10 1.54
Maturity (years)
Average Life to Call(1) 19.22 3.53 2.57 1.92 1.40
(years)
(1) 10% Optional Clean-Up Call
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 M-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------------------- -------------------- -------------------- -------------------- -------------------- --------------------
Initial 100% 100% 100% 100% 100%
1/25/03 100 100 100 100 100
1/25/04 100 100 100 100 100
1/25/05 100 100 100 100 100
1/25/06 100 84 61 55 98
1/25/07 100 68 45 29 34
1/25/08 100 55 34 20 11
1/25/09 100 44 25 14 7
1/25/10 100 35 18 9 4
1/25/11 100 28 14 6 0
1/25/12 100 22 10 4 0
1/25/13 100 18 7 1 0
1/25/14 100 14 5 0 0
1/25/15 100 11 4 0 0
1/25/16 100 9 1 0 0
1/25/17 100 7 0 0 0
1/25/18 100 6 0 0 0
1/25/19 100 4 0 0 0
1/25/20 100 2 0 0 0
1/25/21 100 0 0 0 0
1/25/22 100 0 0 0 0
1/25/23 100 0 0 0 0
1/25/24 100 0 0 0 0
1/25/25 98 0 0 0 0
1/25/26 87 0 0 0 0
1/25/27 75 0 0 0 0
1/25/28 61 0 0 0 0
1/25/29 47 0 0 0 0
1/25/30 31 0 0 0 0
1/25/31 13 0 0 0 0
1/25/32 0 0 0 0 0
Average Life to 26.65 7.62 5.77 4.99 5.02
Maturity (years)
Average Life to Call(1) 26.54 6.91 5.21 4.57 4.60
(years)
(1) 10% Optional Clean-Up Call
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-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------------------- -------------------- -------------------- -------------------- -------------------- --------------------
Initial 100% 100% 100% 100% 100%
1/25/03 100 100 100 100 100
1/25/04 100 100 100 100 100
1/25/05 100 100 100 100 100
1/25/06 100 84 61 43 30
1/25/07 100 68 45 29 18
1/25/08 100 55 34 20 11
1/25/09 100 44 25 14 7
1/25/10 100 35 18 9 1
1/25/11 100 28 14 6 0
1/25/12 100 22 10 1 0
1/25/13 100 18 7 0 0
1/25/14 100 14 4 0 0
1/25/15 100 11 0 0 0
1/25/16 100 9 0 0 0
1/25/17 100 7 0 0 0
1/25/18 100 4 0 0 0
1/25/19 100 1 0 0 0
1/25/20 100 0 0 0 0
1/25/21 100 0 0 0 0
1/25/22 100 0 0 0 0
1/25/23 100 0 0 0 0
1/25/24 100 0 0 0 0
1/25/25 98 0 0 0 0
1/25/26 87 0 0 0 0
1/25/27 75 0 0 0 0
1/25/28 61 0 0 0 0
1/25/29 47 0 0 0 0
1/25/30 31 0 0 0 0
1/25/31 13 0 0 0 0
1/25/32 0 0 0 0 0
Average Life to 26.65 7.55 5.67 4.74 4.35
Maturity (years)
Average Life to Call(1) 26.54 6.91 5.17 4.36 4.04
(years)
(1) 10% Optional Clean-Up Call
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 B-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
Dates PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------------------- -------------------- -------------------- -------------------- -------------------- --------------------
Initial 100% 100% 100% 100% 100%
1/25/03 100 100 100 100 100
1/25/04 100 100 100 100 100
1/25/05 100 100 100 100 100
1/25/06 100 84 61 43 30
1/25/07 100 68 45 29 16
1/25/08 100 55 34 18 7
1/25/09 100 44 25 10 1
1/25/10 100 35 16 4 0
1/25/11 100 28 10 0 0
1/25/12 100 21 5 0 0
1/25/13 100 15 1 0 0
1/25/14 100 10 0 0 0
1/25/15 100 6 0 0 0
1/25/16 100 3 0 0 0
1/25/17 100 1 0 0 0
1/25/18 100 0 0 0 0
1/25/19 100 0 0 0 0
1/25/20 100 0 0 0 0
1/25/21 100 0 0 0 0
1/25/22 100 0 0 0 0
1/25/23 100 0 0 0 0
1/25/24 100 0 0 0 0
1/25/25 98 0 0 0 0
1/25/26 87 0 0 0 0
1/25/27 75 0 0 0 0
1/25/28 61 0 0 0 0
1/25/29 47 0 0 0 0
1/25/30 31 0 0 0 0
1/25/31 9 0 0 0 0
1/25/32 0 0 0 0 0
Average Life to 26.61 7.26 5.42 4.45 3.94
Maturity (years)
Average Life to Call(1) 26.54 6.90 5.14 4.24 3.76
(years)
(1) 10% Optional Clean-Up Call
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
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
DATE CLASS A-2 CAP (%) CLASS M-1 CAP (%) CLASS M-2 CAP (%) CLASS B-1 CAP (%)
------------------------ -------------------------- ------------------------ ----------------------- ----------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
1/25/2001 - - - -
2/25/2002 7.84 8.03 8.03 8.03
3/25/2002 8.97 9.18 9.18 9.18
4/25/2002 8.11 8.29 8.29 8.29
5/25/2002 8.39 8.56 8.56 8.56
6/25/2002 8.12 8.29 8.29 8.29
7/25/2002 8.40 8.56 8.56 8.56
8/25/2002 8.14 8.29 8.29 8.29
9/25/2002 8.15 8.29 8.29 8.29
10/25/2002 8.43 8.56 8.56 8.56
11/25/2002 8.16 8.29 8.29 8.29
12/25/2002 8.44 8.56 8.56 8.56
1/25/2003 8.18 8.29 8.29 8.29
2/25/2003 8.19 8.29 8.29 8.29
3/25/2003 9.08 9.18 9.18 9.18
4/25/2003 8.21 8.29 8.29 8.29
5/25/2003 8.50 8.56 8.56 8.56
6/25/2003 8.23 8.29 8.29 8.29
7/25/2003 8.52 8.56 8.56 8.56
8/25/2003 8.26 8.29 8.29 8.29
9/25/2003 8.27 8.29 8.29 8.29
10/25/2003 8.56 8.58 8.58 8.58
11/25/2003 8.45 9.14 9.14 9.14
12/25/2003 10.13 9.82 9.82 9.82
1/25/2004 9.84 9.51 9.51 9.51
2/25/2004 9.86 9.51 9.51 9.51
3/25/2004 10.56 10.16 10.16 10.16
4/25/2004 9.90 9.51 9.51 9.51
5/25/2004 10.31 10.12 10.12 10.12
6/25/2004 10.64 9.96 9.96 9.96
7/25/2004 11.07 10.32 10.32 10.32
8/25/2004 10.74 9.99 9.99 9.99
9/25/2004 10.77 9.99 9.99 9.99
10/25/2004 11.17 10.33 10.33 10.33
11/25/2004 11.99 11.19 11.19 11.19
12/25/2004 13.21 12.20 12.20 12.20
1/25/2005 12.97 12.03 12.03 12.03
2/25/2005 33.30 12.03 12.03 12.03
(1) Cash available to pay current and prior interest divided by the current
bond balance
(2) Run assuming 25% CPR, 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 13
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2) (CONT.)
DATE CLASS A-2 CAP (%) CLASS M-1 CAP (%) CLASS M-2 CAP (%) CLASS B-1 CAP (%)
------------------------ -------------------------- ------------------------ ----------------------- ----------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
3/25/2005 16.44 13.31 13.31 13.31
4/25/2005 14.78 12.03 12.03 12.03
5/25/2005 15.52 13.04 13.04 13.04
6/25/2005 15.59 12.91 12.91 12.91
7/25/2005 16.13 13.43 13.43 13.43
8/25/2005 15.55 12.99 12.99 12.99
9/25/2005 15.56 12.99 12.99 12.99
10/25/2005 16.07 13.43 13.43 13.43
11/25/2005 15.81 13.30 13.30 13.30
12/25/2005 16.53 13.93 13.93 13.93
1/25/2006 16.08 13.56 13.56 13.56
2/25/2006 16.08 13.56 13.56 13.56
3/25/2006 17.80 15.01 15.01 15.01
4/25/2006 16.08 13.56 13.56 13.56
5/25/2006 16.88 14.32 14.32 14.32
6/25/2006 16.40 14.02 14.02 14.02
7/25/2006 16.96 14.56 14.56 14.56
8/25/2006 16.42 14.09 14.09 14.09
9/25/2006 16.42 14.09 14.09 14.09
10/25/2006 16.96 14.56 14.56 14.56
11/25/2006 16.44 14.10 14.10 14.10
12/25/2006 16.99 14.57 14.57 14.57
1/25/2007 16.44 14.10 14.10 14.10
2/25/2007 16.44 14.10 14.10 14.10
3/25/2007 18.20 15.61 15.61 15.61
4/25/2007 16.44 14.10 14.10 14.10
5/25/2007 16.99 14.57 14.57 14.57
6/25/2007 16.44 14.10 14.10 14.10
7/25/2007 16.99 14.57 14.57 14.57
8/25/2007 16.44 14.10 14.10 14.10
9/25/2007 16.44 14.10 14.10 14.10
10/25/2007 16.99 14.57 14.57 14.57
11/25/2007 16.44 14.10 14.10 14.10
12/25/2007 16.99 14.57 14.57 14.57
1/25/2008 16.44 14.10 14.10 14.10
2/25/2008 16.44 14.10 14.10 14.10
3/25/2008 17.58 15.07 15.07 15.07
(1) Cash available to pay current and prior interest divided by the current
bond balance
(2) Run assuming 25% CPR, 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 RATE CAP RATES (CASH CAP) (1)(2) (CONT.)
DATE CLASS A-2 CAP (%) CLASS M-1 CAP (%) CLASS M-2 CAP (%) CLASS B-1 CAP (%)
------------------------ -------------------------- ------------------------ ----------------------- ----------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
4/25/2008 16.44 14.10 14.10 14.10
5/25/2008 16.99 14.57 14.57 14.57
6/25/2008 16.45 14.10 14.10 14.10
7/25/2008 16.99 14.57 14.57 14.57
8/25/2008 16.45 14.10 14.10 14.10
9/25/2008 16.45 14.10 14.10 14.10
10/25/2008 17.00 14.57 14.57 14.57
11/25/2008 16.45 14.10 14.10 14.10
12/25/2008 17.00 14.57 14.57 14.57
1/25/2009 16.45 14.10 14.10 14.10
2/25/2009 16.45 14.10 14.10 14.10
3/25/2009 16.59 15.61 15.61 15.61
4/25/2009 14.65 14.10 14.10 14.10
5/25/2009 15.16 14.57 14.57 14.57
6/25/2009 14.69 14.10 14.10 14.10
7/25/2009 15.21 14.57 14.57 14.57
8/25/2009 14.74 14.10 14.10 14.10
9/25/2009 14.77 14.10 14.10 14.10
10/25/2009 15.29 14.57 14.57 14.57
11/25/2009 14.82 14.10 14.10 14.10
12/25/2009 15.34 14.57 14.57 14.57
1/25/2010 14.88 14.10 14.10 14.10
2/25/2010 14.91 14.10 14.10 14.10
3/25/2010 16.53 15.61 15.61 15.61
4/25/2010 14.96 14.10 14.10 14.10
5/25/2010 15.50 14.57 14.57 14.57
6/25/2010 15.03 14.10 14.10 14.10
7/25/2010 15.56 14.57 14.57 14.57
8/25/2010 15.09 14.10 14.10 14.10
9/25/2010 15.13 14.10 14.10 14.10
10/25/2010 15.67 14.57 14.57 14.57
11/25/2010 15.20 14.10 14.10 14.10
12/25/2010 15.74 14.57 14.57 14.57
1/25/2011 15.27 14.10 14.10 14.10
2/25/2011 15.31 14.10 14.10 14.10
3/25/2011 17.00 15.61 15.61 15.61
4/25/2011 15.39 14.10 14.10 14.10
(1) Cash available to pay current and prior interest divided by the current
bond balance
(2) Run assuming 25% CPR, 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 RATE CAP RATES (CASH CAP) (1)(2) (CONT.)
DATE CLASS A-2 CAP (%) CLASS M-1 CAP (%) CLASS M-2 CAP (%) CLASS B-1 CAP (%)
------------------------ -------------------------- ------------------------ ----------------------- ----------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
5/25/2011 15.95 14.57 14.57 14.57
6/25/2011 15.48 14.10 14.10 14.10
7/25/2011 16.04 14.57 14.57 14.57
8/25/2011 15.57 14.10 14.10 14.10
9/25/2011 15.61 14.10 14.10 14.10
10/25/2011 16.18 14.57 14.57 14.57
11/25/2011 15.71 14.10 14.10 14.10
12/25/2011 16.29 14.57 14.57 14.57
1/25/2012 15.81 14.10 14.10 14.10
2/25/2012 15.86 14.10 14.10 14.10
3/25/2012 17.02 15.07 15.07 15.07
4/25/2012 15.97 14.10 14.10 14.10
5/25/2012 16.56 14.57 14.57 14.57
6/25/2012 16.09 14.10 14.10 14.10
7/25/2012 16.68 14.57 14.57 14.57
8/25/2012 16.21 14.10 14.10 14.10
9/25/2012 16.27 14.10 14.10 14.10
10/25/2012 16.88 14.57 14.57 14.57
11/25/2012 16.40 14.10 14.10 14.10
12/25/2012 17.02 14.57 14.57 14.57
1/25/2013 16.54 14.10 14.10 14.10
2/25/2013 16.61 14.10 14.10 14.10
3/25/2013 18.47 15.61 15.61 15.61
4/25/2013 16.75 14.10 14.10 14.10
5/25/2013 17.39 14.57 14.57 14.57
6/25/2013 16.91 14.10 14.10 14.10
7/25/2013 17.56 14.57 14.57 14.57
8/25/2013 17.07 14.10 14.10 14.10
9/25/2013 17.16 14.10 14.10 14.10
10/25/2013 17.82 14.57 14.57 14.57
11/25/2013 17.33 14.10 14.10 -
12/25/2013 18.00 14.57 14.57 -
1/25/2014 17.52 14.10 14.10 -
2/25/2014 17.61 14.10 14.10 -
3/25/2014 19.61 15.61 15.61 -
4/25/2014 17.81 14.10 14.10 -
5/25/2014 18.51 14.57 14.57 -
(1) Cash available to pay current and prior interest divided by the current
bond balance
(2) Run assuming 25% CPR, 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 RATE CAP RATES (CASH CAP) (1)(2) (CONT.)
DATE CLASS A-2 CAP (%) CLASS M-1 CAP (%) CLASS M-2 CAP (%) CLASS B-1 CAP (%)
------------------------ -------------------------- ------------------------ ----------------------- ----------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
6/25/2014 18.02 14.10 14.10 -
7/25/2014 18.74 14.57 14.57 -
8/25/2014 18.24 14.10 14.10 -
9/25/2014 18.36 14.10 14.10 -
10/25/2014 19.09 14.57 14.57 -
11/25/2014 18.60 14.10 14.10 -
12/25/2014 19.34 14.57 14.57 -
1/25/2015 18.85 14.10 14.10 -
2/25/2015 18.98 14.10 14.10 -
3/25/2015 21.16 15.61 15.61 -
4/25/2015 19.25 14.10 14.10 -
5/25/2015 20.04 14.57 14.57 -
6/25/2015 19.53 14.10 14.10 -
7/25/2015 20.34 14.57 - -
8/25/2015 19.84 14.10 - -
9/25/2015 19.99 14.10 - -
10/25/2015 20.82 14.57 - -
11/25/2015 20.32 14.10 - -
12/25/2015 21.17 14.57 - -
1/25/2016 20.66 14.10 - -
2/25/2016 20.84 14.10 - -
3/25/2016 22.47 15.07 - -
4/25/2016 21.21 14.10 - -
5/25/2016 22.11 14.57 - -
6/25/2016 21.60 14.10 - -
7/25/2016 22.52 14.57 - -
8/25/2016 22.01 14.10 - -
9/25/2016 22.22 14.10 - -
10/25/2016 23.19 14.57 - -
11/25/2016 22.74 - - -
12/25/2016 23.90 - - -
1/25/2017 23.55 - - -
2/25/2017 23.98 - - -
3/25/2017 27.07 - - -
4/25/2017 24.95 - - -
5/25/2017 26.34 - - -
6/25/2017 26.06 - - -
(1) Cash available to pay current and prior interest divided by the current
bond balance
(2) Run assuming 25% CPR, 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 RATE CAP RATES (CASH CAP) (1)(2) (CONT.)
DATE CLASS A-2 CAP (%) CLASS M-1 CAP (%) CLASS M-2 CAP (%) CLASS B-1 CAP (%)
------------------------ -------------------------- ------------------------ ----------------------- ----------------------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
7/25/2017 27.56 - - -
8/25/2017 27.34 - - -
9/25/2017 28.05 - - -
10/25/2017 29.78 - - -
11/25/2017 29.66 - - -
12/25/2017 31.60 - - -
1/25/2018 31.57 - - -
2/25/2018 32.67 - - -
3/25/2018 37.50 - - -
4/25/2018 35.21 - - -
5/25/2018 37.91 - - -
6/25/2018 38.34 - - -
7/25/2018 41.55 - - -
8/25/2018 42.32 - - -
9/25/2018 44.72 - - -
10/25/2018 49.08 - - -
11/25/2018 50.73 - - -
12/25/2018 56.36 - - -
1/25/2019 59.10 - - -
2/25/2019 64.65 - - -
3/25/2019 79.20 - - -
4/25/2019 80.32 - - -
5/25/2019 94.98 - - -
6/25/2019 107.90 - - -
7/25/2019 135.73 - - -
8/25/2019 169.10 - - -
9/25/2019 239.85 - - -
10/25/2019 - - - -
(1) Cash available to pay current and prior interest divided by the current
bond balance
(2) Run assuming 25% CPR, 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
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC. XXXXXX XXXXXXX
2002 - AM1 3,164 RECORDS
ALL RECORDS BALANCE: 407,749,920
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
PRODUCT TYPES LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
ARM - 2 Year/6 Month 1,091 176,269,838 43.23 8.979 356 78.18
ARM - 3 Year/6 Month 2,073 231,480,082 56.77 9.239 357 78.32
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF GROSS INTEREST RATES (%) LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
6.000 - 6.999 78 12,391,954 3.04 6.673 358 73.76
7.000 - 7.999 396 66,591,376 16.33 7.717 356 76.55
8.000 - 8.999 904 132,924,815 32.60 8.596 357 78.48
9.000 - 9.999 898 112,963,651 27.70 9.524 356 79.90
10.000 - 10.999 525 54,356,738 13.33 10.478 357 79.50
11.000 - 11.999 241 20,255,728 4.97 11.439 357 75.75
12.000 - 12.999 83 5,959,718 1.46 12.399 357 72.01
13.000 - 13.999 34 2,143,568 0.53 13.421 357 67.15
14.000 - 14.999 5 162,371 0.04 14.222 357 63.99
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 6.100
Maximum: 14.575
Weighted Average: 9.127
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 of 13
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC. XXXXXX XXXXXXX
2002 - AM1 3,164 RECORDS
ALL RECORDS BALANCE: 407,749,920
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF CUT-OFF DATE PRINCIPAL BALANCES ($) LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
1 - 25,000 22 486,564 0.12 10.494 330 56.28
25,001 - 50,000 360 14,264,072 3.50 10.433 355 71.92
50,001 - 75,000 537 33,573,992 8.23 9.836 356 76.49
75,001 - 100,000 519 45,863,718 11.25 9.384 356 77.86
100,001 - 125,000 428 48,336,521 11.85 9.206 356 79.13
125,001 - 150,000 361 49,517,752 12.14 9.146 357 79.45
150,001 - 175,000 238 38,555,698 9.46 9.030 357 78.73
175,001 - 200,000 182 34,096,428 8.36 9.026 355 78.99
200,001 - 225,000 147 31,227,298 7.66 8.828 358 78.50
225,001 - 250,000 97 23,044,392 5.65 9.033 357 78.44
250,001 - 275,000 75 19,583,274 4.80 8.672 358 79.04
275,001 - 300,000 64 18,468,545 4.53 8.796 357 79.54
300,001 - 325,000 34 10,638,955 2.61 8.539 357 79.33
325,001 - 350,000 26 8,882,340 2.18 8.636 358 75.06
350,001 - 375,000 21 7,574,956 1.86 8.483 358 81.04
375,001 - 400,000 19 7,398,589 1.81 8.929 358 79.69
400,001 - 425,000 6 2,464,231 0.60 8.610 357 87.83
425,001 - 450,000 9 3,947,073 0.97 8.799 358 76.07
450,001 - 475,000 2 922,339 0.23 7.128 359 86.38
475,001 - 500,000 9 4,453,560 1.09 8.542 357 71.88
500,001 - 525,000 2 1,025,441 0.25 8.579 358 65.00
525,001 - 550,000 1 546,250 0.13 10.330 357 85.20
550,001 - 575,000 3 1,710,506 0.42 8.331 358 72.81
575,001 - 600,000 2 1,167,425 0.29 8.318 358 72.49
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 13,479
Maximum: 587,207
Average: 128,872
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 of 13
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC. XXXXXX XXXXXXX
2002 - AM1 3,164 RECORDS
ALL RECORDS BALANCE: 407,749,920
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF ORIGINAL TERMS LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
180 24 1,978,828 0.49 8.958 177 74.63
240 1 179,661 0.04 7.740 239 80.00
336 1 102,928 0.03 8.750 335 83.74
360 3,138 405,488,502 99.45 9.128 358 78.27
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 180
Maximum: 360
Weighted Average: 359
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF REMAINING TERMS LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
169 - 180 24 1,978,828 0.49 8.958 177 74.63
229 - 240 1 179,661 0.04 7.740 239 80.00
325 - 336 1 102,928 0.03 8.750 335 83.74
349 - 360 3,138 405,488,502 99.45 9.128 358 78.27
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 176
Maximum: 360
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
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 of 13
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC. XXXXXX XXXXXXX
2002 - AM1 3,164 RECORDS
ALL RECORDS BALANCE: 407,749,920
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF ORIGINAL LTV RATIOS LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
<= 40.00 41 3,095,543 0.76 9.292 357 32.62
40.01 - 50.00 64 7,123,160 1.75 9.056 355 46.54
50.01 - 60.00 110 11,469,911 2.81 8.988 355 56.85
60.01 - 70.00 448 54,185,742 13.29 9.193 357 67.02
70.01 - 80.00 1,600 208,295,597 51.08 9.043 357 78.20
80.01 - 90.00 816 111,227,132 27.28 9.233 357 87.55
90.01 - 100.00 85 12,352,836 3.03 9.402 358 94.56
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 7.00
Maximum: 97.00
Weighted Average: 78.26
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 of 13
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC. XXXXXX XXXXXXX
2002 - AM1 3,164 RECORDS
ALL RECORDS BALANCE: 407,749,920
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF GROSS MARGINS (%) LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
3.001 - 3.500 4 646,536 0.16 9.761 356 83.34
3.501 - 4.000 10 1,296,181 0.32 7.043 358 80.62
4.001 - 4.500 24 4,043,261 0.99 7.281 357 71.58
4.501 - 5.000 77 12,872,379 3.16 8.055 356 72.21
5.001 - 5.500 239 28,265,493 6.93 8.436 356 75.04
5.501 - 6.000 653 87,903,401 21.56 8.565 357 75.53
6.001 - 6.500 746 96,485,517 23.66 8.971 356 76.86
6.501 - 7.000 868 120,885,693 29.65 9.348 357 84.11
7.001 - 7.500 160 19,356,274 4.75 10.090 357 79.06
7.501 - 8.000 161 16,877,995 4.14 10.413 358 76.57
8.001 - 8.500 85 7,997,000 1.96 10.625 357 73.11
8.501 - 9.000 84 7,550,997 1.85 11.333 358 71.61
9.001 - 9.500 13 812,812 0.20 12.517 356 69.30
9.501 - 10.000 31 2,074,773 0.51 12.300 358 66.80
10.001 - 10.500 6 466,983 0.11 13.347 357 65.00
10.501 - 11.000 2 179,659 0.04 10.190 358 73.75
12.501 - 13.000 1 34,967 0.01 12.970 356 70.00
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 3.190
Maximum: 12.970
Non-Zero Weighted Average: 6.418
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 of 13
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC. XXXXXX XXXXXXX
2002 - AM1 3,164 RECORDS
ALL RECORDS BALANCE: 407,749,920
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF MINIMUM MORTGAGE RATES (%) LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
6.001 - 6.500 28 4,755,414 1.17 6.376 358 76.12
6.501 - 7.000 59 9,043,241 2.22 6.880 358 73.01
7.001 - 7.500 107 17,591,480 4.31 7.358 358 75.87
7.501 - 8.000 299 50,413,202 12.36 7.878 356 76.88
8.001 - 8.500 380 58,329,164 14.31 8.355 356 77.69
8.501 - 9.000 531 74,857,871 18.36 8.823 357 78.98
9.001 - 9.500 419 56,680,375 13.90 9.301 355 80.26
9.501 - 10.000 468 54,709,414 13.42 9.799 357 79.83
10.001 - 10.500 275 31,375,775 7.69 10.291 357 80.49
10.501 - 11.000 247 22,420,054 5.50 10.794 356 77.85
11.001 - 11.500 138 11,462,394 2.81 11.251 357 76.03
11.501 - 12.000 99 8,717,670 2.14 11.789 357 75.13
12.001 - 12.500 45 3,120,561 0.77 12.264 357 73.89
12.501 - 13.000 32 2,201,109 0.54 12.812 357 67.80
13.001 - 13.500 19 1,163,034 0.29 13.289 356 69.47
13.501 - 14.000 13 746,790 0.18 13.759 357 64.21
14.001 - 14.500 4 133,576 0.03 14.146 357 60.54
14.501 - 15.000 1 28,795 0.01 14.575 359 80.00
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 6.100
Maximum: 14.575
Non-Zero Weighted Average: 9.127
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 of 13
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC. XXXXXX XXXXXXX
2002 - AM1 3,164 RECORDS
ALL RECORDS BALANCE: 407,749,920
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF MAXIMUM LOAN RATES (%) LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
12.001 - 12.500 28 4,755,414 1.17 6.376 358 76.12
12.501 - 13.000 59 9,043,241 2.22 6.880 358 73.01
13.001 - 13.500 106 17,499,392 4.29 7.357 358 76.02
13.501 - 14.000 299 50,413,202 12.36 7.878 356 76.88
14.001 - 14.500 380 58,043,503 14.24 8.353 356 77.56
14.501 - 15.000 530 74,746,368 18.33 8.823 357 78.99
15.001 - 15.500 419 56,773,193 13.92 9.294 355 80.38
15.501 - 16.000 468 54,475,260 13.36 9.798 357 79.75
16.001 - 16.500 276 31,660,706 7.76 10.284 357 80.40
16.501 - 17.000 247 22,691,124 5.56 10.776 356 77.99
17.001 - 17.500 138 11,462,394 2.81 11.251 357 76.03
17.501 - 18.000 100 8,792,256 2.16 11.780 357 75.26
18.001 - 18.500 45 3,120,561 0.77 12.264 357 73.89
18.501 - 19.000 32 2,201,109 0.54 12.812 357 67.80
19.001 - 19.500 19 1,163,034 0.29 13.289 356 69.47
19.501 - 20.000 13 746,790 0.18 13.759 357 64.21
20.001 - 20.500 4 133,576 0.03 14.146 357 60.54
20.501 - 21.000 1 28,795 0.01 14.575 359 80.00
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12.100
Maximum: 20.575
Non-Zero Weighted Average: 15.130
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 of 13
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC. XXXXXX XXXXXXX
2002 - AM1 3,164 RECORDS
ALL RECORDS BALANCE: 407,749,920
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
INITIAL PERIODIC CAP (%) LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
1.000 2 580,784 0.14 8.180 357 55.18
2.000 9 1,742,363 0.43 8.299 357 68.18
3.000 3,153 405,426,772 99.43 9.131 357 78.33
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 1.000
Maximum: 3.000
Weighted Average: 2.993
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
SUBSEQEUNT PERIODIC CAP (%) LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
1.000 3,163 407,633,940 99.97 9.126 357 78.25
1.500 1 115,980 0.03 9.275 358 90.00
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 1.000
Maximum: 1.500
Weighted Average: 1.000
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 of 13
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC. XXXXXX XXXXXXX
2002 - AM1 3,164 RECORDS
ALL RECORDS BALANCE: 407,749,920
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
NEXT RATE ADJUSTMENT DATES LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
June 2003 1 83,763 0.02 10.575 353 80.00
July 2003 5 681,215 0.17 9.798 354 76.16
August 2003 29 4,853,134 1.19 9.237 355 81.45
September 2003 213 31,247,500 7.66 9.147 354 77.88
October 2003 301 50,508,857 12.39 9.011 355 77.86
November 2003 343 57,395,857 14.08 8.934 357 77.98
December 2003 199 31,499,513 7.73 8.781 358 78.89
July 2004 9 864,328 0.21 10.595 354 79.76
August 2004 38 3,625,737 0.89 10.213 355 74.56
September 2004 279 29,741,059 7.29 9.839 355 78.59
October 2004 519 57,890,684 14.20 9.385 357 77.76
November 2004 743 83,413,844 20.46 9.035 357 78.48
December 2004 483 55,696,517 13.66 8.989 358 78.74
January 2005 2 247,912 0.06 8.640 360 75.14
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 of 13
XXXXXX XXXXXXX XXXX XXXXXX CAPITAL I INC. XXXXXX XXXXXXX
2002 - AM1 3,164 RECORDS
ALL RECORDS BALANCE: 407,749,920
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE
GEOGRAPHIC DISTRIBUTION OF MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING ORIGINAL
MORTGAGED PROPERTIES LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
California 645 125,811,911 30.86 8.721 357 77.15
Florida 422 49,029,333 12.02 9.102 356 80.32
Texas 234 25,333,600 6.21 9.506 357 78.93
Hawaii 98 18,076,822 4.43 8.870 351 79.76
Michigan 170 15,660,857 3.84 9.922 357 78.12
Washington 100 15,637,705 3.84 8.962 357 78.87
Minnesota 121 15,616,679 3.83 8.725 357 76.68
New York 96 14,715,863 3.61 9.441 358 76.95
Ohio 169 13,754,999 3.37 9.779 357 79.06
Massachusetts 63 9,961,732 2.44 9.215 358 74.29
Colorado 62 9,898,982 2.43 8.768 355 76.73
Illinois 83 8,371,666 2.05 9.509 358 78.77
Arizona 80 7,431,567 1.82 8.933 357 79.92
Missouri 102 7,303,243 1.79 9.947 357 78.05
Oregon 51 6,827,773 1.67 9.178 355 78.05
Other 668 64,317,188 15.77 9.509 357 79.20
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 46
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
OCCUPANCY LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
Primary 2,972 391,258,113 95.96 9.106 357 78.54
Non-Owner Occupied 192 16,491,807 4.04 9.609 356 71.62
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 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 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 3,164 RECORDS
ALL RECORDS BALANCE: 407,749,920
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
PROPERTY TYPE LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 2,808 365,152,730 89.55 9.103 357 78.15
Condo 190 21,525,247 5.28 9.114 354 79.22
2-4 Family Residence 161 20,366,186 4.99 9.579 358 79.31
PUD 1 362,301 0.09 8.250 357 74.85
Manufactured Housing 4 343,456 0.08 8.691 226 74.29
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
LOAN PURPOSE LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 1,897 256,095,082 62.81 9.039 357 76.36
Purchase 915 108,880,871 26.70 9.291 356 82.54
Refinance - Rate Term 352 42,773,967 10.49 9.228 356 78.71
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 11 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 3,164 RECORDS
ALL RECORDS BALANCE: 407,749,920
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
DOCUMENTATION LEVEL LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
Full 2,534 318,107,571 78.02 9.099 357 79.07
Stated Documentation 606 86,272,598 21.16 9.227 357 75.52
Light 24 3,369,751 0.83 9.185 357 71.39
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 12 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 3,164 RECORDS
ALL RECORDS BALANCE: 407,749,920
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
CREDIT SCORE LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
Not Available 20 2,051,133 0.50 9.612 358 78.16
451 - 475 1 292,998 0.07 10.150 358 85.00
476 - 500 7 863,821 0.21 10.667 357 72.87
501 - 525 204 23,785,661 5.83 9.880 357 74.55
526 - 550 428 50,281,310 12.33 9.756 356 75.30
551 - 575 544 69,083,271 16.94 9.646 356 77.56
576 - 600 575 78,511,885 19.25 9.166 357 78.96
601 - 625 524 68,023,188 16.68 8.887 357 80.33
626 - 650 431 57,027,772 13.99 8.600 356 78.78
651 - 675 239 29,917,060 7.34 8.414 357 79.52
676 - 700 96 14,566,735 3.57 8.332 358 80.69
701 - 725 50 6,783,549 1.66 8.225 358 76.88
726 - 750 27 3,919,043 0.96 7.994 357 76.52
751 - 775 11 1,400,437 0.34 8.818 357 79.52
776 - 800 6 1,030,261 0.25 8.316 358 80.38
801 - 825 1 211,795 0.05 8.625 359 80.00
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 3,164 407,749,920 100.00 9.127 357 78.26
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 473
Maximum: 806
Weighted Average: 598
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 13 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 150 RECORDS
Group II BALANCE: 50,395,025
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
PRODUCT TYPES LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
ARM - 2 Year/6 Month 89 30,635,829 60.79 8.687 358 77.91
ARM - 3 Year/6 Month 61 19,759,196 39.21 8.569 358 77.00
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF GROSS INTEREST RATES (%) LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
6.000 - 6.999 9 3,422,376 6.79 6.673 358 69.85
7.000 - 7.999 34 12,546,581 24.90 7.795 358 75.85
8.000 - 8.999 53 19,249,444 38.20 8.558 357 79.10
9.000 - 9.999 30 9,633,206 19.12 9.477 357 77.15
10.000 - 10.999 15 4,400,508 8.73 10.349 358 83.06
11.000 - 11.999 5 1,006,510 2.00 11.404 359 76.61
12.000 - 12.999 2 83,785 0.17 12.747 354 67.21
13.000 - 13.999 1 29,887 0.06 13.193 358 65.00
14.000 - 14.999 1 22,729 0.05 14.050 355 65.00
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 6.175
Maximum: 14.050
Weighted Average: 8.641
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 1 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 150 RECORDS
Group II BALANCE: 50,395,025
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF CUT-OFF DATE PRINCIPAL BALANCES ($) LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
1 - 25,000 2 47,709 0.09 10.437 357 45.51
25,001 - 50,000 4 159,562 0.32 11.968 355 66.92
50,001 - 75,000 3 174,411 0.35 10.778 359 74.97
75,001 - 100,000 4 348,017 0.69 9.706 357 74.45
100,001 - 125,000 4 458,491 0.91 10.337 357 81.03
150,001 - 175,000 3 482,628 0.96 10.062 358 72.84
175,001 - 200,000 2 375,034 0.74 9.118 358 77.50
200,001 - 225,000 1 203,873 0.40 8.375 359 80.00
225,001 - 250,000 1 229,378 0.46 9.140 359 90.00
250,001 - 275,000 1 261,739 0.52 9.500 358 80.00
275,001 - 300,000 1 292,998 0.58 10.150 358 85.00
300,001 - 325,000 29 9,124,543 18.11 8.383 357 78.49
325,001 - 350,000 25 8,534,704 16.94 8.612 358 74.86
350,001 - 375,000 18 6,495,161 12.89 8.452 358 80.39
375,001 - 400,000 19 7,398,589 14.68 8.929 358 79.69
400,001 - 425,000 6 2,464,231 4.89 8.610 357 87.83
425,001 - 450,000 8 3,518,434 6.98 8.623 358 75.84
450,001 - 475,000 2 922,339 1.83 7.128 359 86.38
475,001 - 500,000 9 4,453,560 8.84 8.542 357 71.88
500,001 - 525,000 2 1,025,441 2.03 8.579 358 65.00
525,001 - 550,000 1 546,250 1.08 10.330 357 85.20
550,001 - 575,000 3 1,710,506 3.39 8.331 358 72.81
575,001 - 600,000 2 1,167,425 2.32 8.318 358 72.49
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 22,729
Maximum: 587,207
Average: 335,967
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 2 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 150 RECORDS
Group II BALANCE: 50,395,025
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF ORIGINAL TERMS LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
360 150 50,395,025 100.00 8.641 358 77.55
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 360
Maximum: 360
Weighted Average: 360
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF REMAINING TERMS LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
349 - 360 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 354
Maximum: 359
Weighted Average: 358
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 3 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 150 RECORDS
Group II BALANCE: 50,395,025
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF ORIGINAL LTV RATIOS LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
<= 40.00 2 364,290 0.72 7.932 357 36.90
40.01 - 50.00 3 1,270,205 2.52 8.063 358 48.14
50.01 - 60.00 4 1,134,678 2.25 9.501 357 59.02
60.01 - 70.00 28 8,772,289 17.41 8.276 358 66.99
70.01 - 80.00 76 26,011,775 51.62 8.598 358 78.10
80.01 - 90.00 32 10,738,044 21.31 8.989 358 88.55
90.01 - 100.00 5 2,103,744 4.17 8.930 358 93.44
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 27.78
Maximum: 96.55
Weighted Average: 77.55
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 4 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 150 RECORDS
Group II BALANCE: 50,395,025
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF GROSS MARGINS (%) LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
4.001 - 4.500 4 1,445,309 2.87 6.898 358 64.50
4.501 - 5.000 7 2,772,439 5.50 7.707 357 69.25
5.001 - 5.500 8 2,022,219 4.01 8.190 357 77.66
5.501 - 6.000 37 14,125,408 28.03 8.484 357 74.76
6.001 - 6.500 29 10,016,800 19.88 8.452 358 76.43
6.501 - 7.000 44 15,622,012 31.00 8.899 358 84.33
7.001 - 7.500 4 1,559,434 3.09 9.223 358 68.31
7.501 - 8.000 9 2,195,072 4.36 10.341 358 79.82
8.001 - 8.500 3 441,451 0.88 10.245 358 73.14
8.501 - 9.000 1 37,052 0.07 12.553 355 70.00
9.001 - 9.500 1 46,733 0.09 12.900 354 65.00
9.501 - 10.000 1 58,481 0.12 11.375 359 65.00
10.001 - 10.500 2 52,616 0.10 13.563 357 65.00
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.199
Maximum: 10.270
Non-Zero Weighted Average: 6.248
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 5 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 150 RECORDS
Group II BALANCE: 50,395,025
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF MINIMUM MORTGAGE RATES (%) LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
6.001 - 6.500 4 1,627,372 3.23 6.436 359 73.67
6.501 - 7.000 6 2,144,429 4.26 6.906 358 66.64
7.001 - 7.500 6 1,855,168 3.68 7.349 358 73.47
7.501 - 8.000 28 10,710,491 21.25 7.906 358 76.94
8.001 - 8.500 29 10,666,738 21.17 8.380 357 78.71
8.501 - 9.000 23 8,214,203 16.30 8.813 357 79.21
9.001 - 9.500 17 5,516,428 10.95 9.240 358 78.07
9.501 - 10.000 13 4,116,778 8.17 9.795 357 75.92
10.001 -10.500 10 3,529,488 7.00 10.254 358 85.27
10.501 - 11.000 5 871,020 1.73 10.736 358 74.14
11.001 - 11.500 3 498,805 0.99 11.148 359 74.35
11.501 - 12.000 2 507,705 1.01 11.655 358 78.83
12.501 - 13.000 2 83,785 0.17 12.747 354 67.21
13.001 - 13.500 1 29,887 0.06 13.193 358 65.00
14.001 - 14.500 1 22,729 0.05 14.050 355 65.00
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 6.175
Maximum: 14.050
Non-Zero Weighted Average: 8.641
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 6 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 150 RECORDS
Group II BALANCE: 50,395,025
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
RANGE OF MAXIMUM LOAN RATES (%) LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
12.001 - 12.500 4 1,627,372 3.23 6.436 359 73.67
12.501 - 13.000 6 2,144,429 4.26 6.906 358 66.64
13.001 - 13.500 6 1,855,168 3.68 7.349 358 73.47
13.501 - 14.000 28 10,710,491 21.25 7.906 358 76.94
14.001 - 14.500 28 10,288,990 20.42 8.376 357 78.30
14.501 - 15.000 23 8,214,203 16.30 8.813 357 79.21
15.001 - 15.500 18 5,894,177 11.70 9.192 358 78.84
15.501 - 16.000 12 3,771,121 7.48 9.811 357 74.63
16.001 - 16.500 10 3,529,488 7.00 10.254 358 85.27
16.501 - 17.000 6 1,216,677 2.41 10.420 357 78.65
17.001 - 17.500 3 498,805 0.99 11.148 359 74.35
17.501 - 18.000 2 507,705 1.01 11.655 358 78.83
18.501 - 19.000 2 83,785 0.17 12.747 354 67.21
19.001 - 19.500 1 29,887 0.06 13.193 358 65.00
20.001 - 20.500 1 22,729 0.05 14.050 355 65.00
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12.175
Maximum: 20.050
Non-Zero Weighted Average: 14.655
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 7 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 150 RECORDS
Group II BALANCE: 50,395,025
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
INITIAL PERIODIC CAP (%) LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
1.000 1 449,086 0.89 7.990 357 49.61
3.000 149 49,945,938 99.11 8.647 358 77.80
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 1.000
Maximum: 3.000
Weighted Average: 2.982
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
SUBSEQEUNT PERIODIC CAP (%) LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
1.000 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 1.000
Maximum: 1.000
Weighted Average: 1.000
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 8 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 150 RECORDS
Group II BALANCE: 50,395,025
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
NEXT RATE ADJUSTMENT DATES LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
July 2003 2 406,136 0.81 8.991 354 70.70
August 2003 2 758,521 1.51 9.312 355 90.00
September 2003 7 2,567,216 5.09 8.591 356 74.19
October 2003 28 10,340,270 20.52 8.671 357 76.45
November 2003 31 11,015,091 21.86 8.752 358 77.87
December 2003 19 5,548,595 11.01 8.526 359 81.29
July 2004 1 46,733 0.09 12.900 354 65.00
August 2004 5 714,963 1.42 9.470 355 71.32
September 2004 5 1,643,407 3.26 9.686 356 76.66
October 2004 13 4,829,870 9.58 8.824 357 77.63
November 2004 22 7,769,322 15.42 8.111 358 78.26
December 2004 15 4,754,902 9.44 8.495 359 75.40
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 9 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 150 RECORDS
Group II BALANCE: 50,395,025
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% OF
MORTGAGE
POOL BY
AGGREGATE AGGREGATE WEIGHTED
NUMBER CUT-OFF CUT-OFF AVERAGE WEIGHTED WEIGHTED
OF DATE DATE GROSS AVERAGE AVERAGE
GEOGRAPHIC DISTRIBUTION MORTGAGE PRINCIPAL PRINCIPAL INTEREST REMAINING ORIGINAL
OF MORTGAGED PROPERTIES LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
California 77 28,311,489 56.18 8.431 358 78.38
Florida 11 4,571,798 9.07 8.540 358 72.47
New York 6 2,412,528 4.79 8.996 358 72.68
Texas 5 2,041,964 4.05 9.515 358 78.52
Washington 6 1,856,721 3.68 8.914 358 78.38
Michigan 6 1,433,766 2.85 9.884 358 78.09
Hawaii 4 1,370,852 2.72 8.190 358 74.31
Ohio 7 1,174,692 2.33 9.223 357 83.28
Minnesota 3 1,169,117 2.32 8.303 357 78.97
Missouri 4 1,002,313 1.99 9.619 358 84.41
Massachusetts 3 853,200 1.69 9.278 359 74.15
Illinois 3 840,672 1.67 8.674 357 68.71
Colorado 2 744,140 1.48 7.972 358 72.20
Georgia 3 564,537 1.12 10.117 356 86.96
New Jersey 1 378,783 0.75 8.500 358 80.00
Other 9 1,668,452 3.31 8.619 358 80.26
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 22
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
OCCUPANCY LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
Primary 145 49,736,147 98.69 8.626 358 77.69
Non-Owner Occupied 5 658,878 1.31 9.809 358 67.03
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 10 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 150 RECORDS
Group II BALANCE: 50,395,025
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
PROPERTY TYPE LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 143 48,437,048 96.11 8.603 358 77.77
Condo 4 1,153,067 2.29 9.169 358 69.00
2-4 Family Residence 2 442,609 0.88 11.760 358 78.42
PUD 1 362,301 0.72 8.250 357 74.85
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
LOAN PURPOSE LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 100 34,648,905 68.75 8.541 358 75.89
Purchase 33 10,264,153 20.37 8.998 358 81.54
Refinance - Rate Term 17 5,481,966 10.88 8.606 358 80.58
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 11 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 150 RECORDS
Group II BALANCE: 50,395,025
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
DOCUMENTATION LEVEL LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
Full 114 37,421,526 74.26 8.562 358 78.40
Stated Documentation 34 12,069,388 23.95 8.878 357 75.20
Light 2 904,110 1.79 8.740 356 74.00
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 12 of 13
MORGAN STANLEY DEAN WITTER CAPITAL I INC. MORGAN STANLEY
2002 - AM1 150 RECORDS
Group II BALANCE: 50,395,025
================================================================================
------------------------------------------------------------------------------------------------------------------------------------
% 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 REMAINING ORIGINAL
CREDIT SCORE LOANS BALANCE BALANCE RATE TERM LTV
------------------------------------------------------------------------------------------------------------------------------------
Not Available 20 2,051,133 4.07 9.612 358 78.16
451 - 475 1 292,998 0.58 10.150 358 85.00
476 - 500 5 689,711 1.37 10.521 357 73.63
501 - 525 6 1,976,405 3.92 9.783 358 78.27
526 - 550 12 4,507,249 8.94 8.817 358 74.14
551 - 575 19 7,322,528 14.53 8.742 358 79.00
576 - 600 32 12,868,087 25.53 8.662 357 76.49
601 - 625 20 7,579,523 15.04 8.508 358 79.16
626 - 650 14 5,220,087 10.36 7.920 358 76.61
651 - 675 8 2,894,172 5.74 8.446 357 82.28
676 - 700 7 2,626,806 5.21 7.989 358 82.06
701 - 725 3 1,082,521 2.15 7.997 358 63.48
726 - 750 2 896,517 1.78 8.661 355 75.17
751 - 775 1 387,290 0.77 8.500 357 80.00
------------------------------------------------------------------------------------------------------------------------------------
TOTAL: 150 50,395,025 100.00 8.641 358 77.55
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 473
Maximum: 769
Weighted Average: 600
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 13 of 13
