EXHIBIT 99.1
5
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
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[ LOGO ]Accredited Home Lenders
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$207,398,000 NOTES
ACCREDITED MORTGAGE LOAN TRUST 2002-1
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ACCREDITED HOME LENDERS, INC.
(SPONSOR AND MASTER SERVICER)
COUNTRYWIDE HOME LOANS, INC.
(BACKUP SERVICER)
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THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
1
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
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ACCREDITED MORTGAGE LOAN TRUST 2002-1
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TO MATURITY
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Est. Est. Prin. Expected Stated Expected
Approx. Tsy. WAL/DUR Window Final Final Ratings
Class Size Group Type BMark (yrs) Maturity Maturity (Moody's/S&P)
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A-1 $68,704,000 I FXD - PT Swap 3.83 / 3.239 1 - 180 7/25/17 7/25/32 Aaa/AAA
A-2 $138,694,000 II FLT - PT(1) 1 mo LI 3.39 / 3.202 1 - 154 5/25/15 7/25/32 Aaa/AAA
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TO 10% CALL(2)
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Est. Est. Prin. Expected Stated Expected
Approx. Tsy. WAL/DUR Window Final Final Ratings
Class Size Group Type BMark (yrs) Maturity Maturity (Moody's/S&P)
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A-1 $68,704,000 I FXD - PT Swap 3.60 / 3.094 1 - 107 6/25/11 7/25/32 Aaa/AAA
A-2 $138,694,000 II FLT - PT(1) 1 mo LI 3.20 / 3.044 1 - 95 6/25/10 7/25/32 Aaa/AAA
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PRICING SPEED
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Group I (Fixed Rate) 110% PPC(3)
Group II (Adjustable Rate) 125% PPC(3)
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(1) Subject to the Class A-2 Net WAC Cap and a 14% hard cap.
(2) The average lives and principal re-payment window to call are calculated
assuming a clean up call is exercised with respect to each Class of Notes
separately.
The Sponsor may exercise its right to call either Class of Notes when the
outstanding principal balance of the respective Class of Notes is equal to
or less than 10% of the original principal balance of such Class of Notes.
In addition, the Sponsor may terminate the entire Trust and cause the
trust to redeem both classes of notes on any Payment Date when the
combined aggregate outstanding principal balance of the both classes of
Notes is equal to or less than 10% of the original aggregate principal
balance of both classes of Notes.
(3) 100% PPC assumes that prepayments start at 4% CPR in the first month of
the life of the loan, increase by approximately 1.45% each month to 20%
CPR in month twelve, and remain at 20% CPR thereafter.
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
2
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
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SENSITIVITY ANALYSIS - TO MATURITY
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Group I PPC 0.00% 55.00% 82.50% 110.00% 165.00% 220.00% 275.00%
Group II PPC 0.00% 62.50% 93.75% 125.00% 187.50% 250.00% 312.50%
CLASS A-1
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Yield @ 100.0000% 4.831% 4.820% 4.805% 4.792% 4.756% 4.714% 4.666%
Average Life (yrs.) 17.66 6.89 4.98 3.83 2.56 1.88 1.45
Window 1 - 351 1 - 282 1 - 226 1 - 180 1 - 131 1 - 97 1 - 75
Expected Final Mat. 10/25/31 1/25/26 5/25/21 7/25/17 6/25/13 8/25/10 10/25/08
Duration (yrs.) 11.009 5.273 4.041 3.239 2.270 1.713 1.349
CLASS A-2
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Average Life (yrs.) 20.01 6.39 4.45 3.39 2.26 1.66 1.25
Window 1 - 358 1 - 259 1 - 195 1 - 154 1 - 107 1 - 79 1 - 45
Expected Final Mat. 5/25/32 2/25/24 10/25/18 5/25/15 6/25/11 2/25/09 4/25/06
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SENSITIVITY ANALYSIS - TO 10% CALL(1)
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Group I PPC 0.00% 55.00% 82.50% 110.00% 165.00% 220.00% 275.00%
Group II PPC 0.00% 62.50% 93.75% 125.00% 187.50% 250.00% 312.50%
CLASS A-1
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Yield @ 100.0000% 4.829% 4.796% 4.776% 4.755% 4.709% 4.660% 4.605%
Average Life (yrs.) 17.59 6.54 4.72 3.60 2.39 1.75 1.35
Window 1 - 334 1 - 179 1 - 140 1 - 107 1 - 70 1 - 50 1 - 37
Expected Final Mat. 5/25/30 6/25/17 3/25/14 6/25/11 5/25/08 9/25/06 8/25/05
Duration (yrs.) 10.990 5.112 3.899 3.094 2.150 1.616 1.267
CLASS A-2
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Average Life (yrs.) 19.96 6.12 4.22 3.20 2.13 1.56 1.21
Window 1 - 346 1 - 184 1 - 127 1 - 95 1 - 62 1 - 44 1 - 31
Expected Final Mat. 5/25/31 11/25/17 2/25/13 6/25/10 9/25/07 3/25/06 2/25/05
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(1)The average lives and principal re-payment window to call are
calculated assuming a clean up call is exercised with respect to each
Class of Notes separately.
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
3
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
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NET WAC CAP
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The following table lists the monthly Net WAC Cap for the Class A-2 Notes
assuming 6 month LIBOR equals the LIBOR forward curve.
------------ -------------------- ---------------- ------------ -------------------- ----------------
MONTH 6 MO LIBOR NET WAC MONTH 6 MO LIBOR NET WAC
FORWARD CURVE CAP (%) FORWARD CURVE CAP (%)
------------ -------------------- ---------------- ------------ -------------------- ----------------
1 1.93000 7.00620 41 5.35309 9.55959
2 1.95369 7.00534 42 5.38741 10.14438
3 1.99826 7.23835 43 5.41561 10.14440
4 2.07641 7.00119 44 5.44032 11.23133
5 2.16349 7.23397 45 5.46503 10.14516
6 2.25061 7.00012 46 5.49621 10.70931
7 2.37241 6.99969 47 5.53363 10.36389
8 2.50559 7.74928 48 5.57394 11.55754
9 2.63886 6.99908 49 5.60652 11.18473
10 2.80313 7.23218 50 5.63721 11.18474
11 2.97737 6.99876 51 5.67076 11.55828
12 3.15176 7.23205 52 5.69396 11.22191
13 3.32246 6.99875 53 5.71102 11.59598
14 3.48702 6.99874 54 5.72805 11.36155
15 3.65171 7.23202 55 5.74502 11.36156
16 3.78749 6.99872 56 5.76243 12.57889
17 3.91136 7.23201 57 5.78065 11.36202
18 4.03531 6.99871 58 5.79963 11.76089
19 4.13497 6.99870 59 5.81922 11.38152
20 4.22990 7.48136 60 5.83932 11.84892
21 4.32487 7.00129 61 5.85985 11.46671
22 4.40322 7.23466 62 5.88020 11.46673
23 4.47860 7.00127 63 5.89987 11.84938
24 4.55401 7.58735 64 5.91885 11.48828
25 4.62290 7.34264 65 5.93716 11.87123
26 4.68800 7.34268 66 5.95478 11.58114
27 4.75311 7.58914 67 5.97172 11.58116
28 4.80773 7.34809 68 5.98798 12.37988
29 4.85883 7.59306 69 6.00356 11.58155
30 4.90995 7.68981 70 6.01846 11.98660
31 4.95153 7.68998 71 6.03267 11.59995
32 4.99186 8.51409 72 6.04620 12.06433
33 5.03220 7.69138 73 6.05905 11.67517
34 5.06989 8.20419 74 6.07121 11.67519
35 5.11176 7.93971 75 6.08269 12.06467
36 5.15364 9.30240 76 6.09349 11.68951
37 5.19284 9.00242 77 6.10361 12.07918
38 5.23676 9.00251 78 6.11304 11.74539
39 5.28068 9.30358 79 6.12179 11.74541
40 5.31877 9.25111 80 6.13062 13.00387
------------ -------------------- ---------------- ------------ -------------------- ----------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
4
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
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SUMMARY OF TERMS
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ISSUER: Accredited Mortgage Loan Trust 2002-1
SPONSOR AND MASTER SERVICER: Accredited Home Lenders, Inc.
INDENTURE TRUSTEE: Xxxxx Fargo Bank Minnesota, N.A.
OWNER TRUSTEE: U.S. Bank Trust National Association
OFFERED NOTES: $68,704,000 Fixed Rate Notes (subject to a variance
of +/- 5%) $138,694,000 Floating Rate Notes
(subject to a variance of +/- 5%)
NOTE RATINGS: The Offered Notes are expected to receive the
following ratings from Xxxxx'x Investors Service,
Inc. and Standard & Poor's
Class Moody's S&P
----- ------- ---
A-1 Aaa AAA
A-2 Aaa AAA
NOTE INSURER: Ambac Assurance Corporation
BACKUP SERVICER: Countrywide Home Loans, Inc.
UNDERWRITER: Xxxxxx Brothers
EXPECTED PRICING DATE: Week of July 15, 2002
CLOSING DATE: On or about July 25, 2002
CUT-OFF DATE: Close of business on June 30, 2002 after giving
effect to scheduled payments of principal due on or
prior to July 1, 2002
PAYMENT DATES: 25th day of each month, or if such day is not a
Business Day the next succeeding Business Day
(first Payment Date: August 26, 2002).
FINAL SCHEDULED The Payment Date in July 25, 2032
PAYMENT DATE:
DELAY DAYS: Fixed Rate Notes: 24 days
Floating Rate Notes: 0 days
ACCRUAL PERIOD: Fixed Rate Notes: the calendar month preceding the
Payment Date
Floating Rate Notes: from and including the
prior Payment Date (or in the case of the
August 26, 2002 Payment Date, from the Closing
Date) to but excluding the current Payment Date
DAY COUNT: Fixed Rate Notes: 30/360
Floating Rate Notes: Actual/360
SERVICING FEE: One-twelfth of the product of 0.485% per annum
and the stated principal balance of the
Mortgage Loans at the beginning of the related
Due Period.
BACKUP SERVICING FEE: One-twelfth of the product of 0.015% per annum
and the stated principal balance of the
Mortgage Loans at the beginning of the related
Due Period.
CLEARING: DTC, Clearstream and Euroclear
DENOMINATION: Minimum $25,000; increments of $1,000.
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THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
5
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
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SUMMARY OF TERMS (CONTINUED)
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SMMEA ELIGIBILITY: The Class A-1 Notes ARE expected to be SMMEA eligible.
The Class A-2 Notes ARE expected to be SMMEA eligible.
ERISA ELIGIBILITY: The Notes ARE expected to be ERISA eligible.
TAX STATUS: Debt for Federal income tax purposes.
MORTGAGE LOAN POOL: Consists of two groups: GROUP I consists of
$68,704,791.31 of fixed mortgage loans secured by first
lien, level pay and balloon mortgages on primarily 1 - 4
family properties (the "Group I Mortgage Loans").
GROUP II consists of $138,694,368.51 of adjustable rate
mortgage loans secured by first lien, level pay
mortgages on primarily 1 - 4 family properties (the
"Group II Mortgage Loans").
CREDIT ENHANCEMENT: 100% Ambac note insurance policy Excess Interest: excess
interest will be used to create, increase and maintain a
required level of over- collateralization for each class
of notes.
Overcollateralization: the required amount of
overcollateralization for Group I and Group II Mortgage
Loans is based on certain minimum and maximum levels of
overcollateralization and on the performance of the
Mortgage Loans, for each respective loan group.
FIXED RATE (GROUP I): ADJUSTABLE RATE (GROUP II):
Initial: 0.00% Initial: 0.00%
Target: 1.75% Target: 3.50%
Stepdown: 3.50% Stepdown: 7.00%
Floor: 0.50% Floor: 0.50%
Cross-collateralization: On each Payment Date, excess
interest from one loan group will be available to fund
payment priorities (ii), (iii) and (iv) under "Payment
Priority" below with respect to the other loan group.
Reserve Account: On each Payment Date, excess interest
remaining after funding the overcollateralization
increase amount for such group is paid into the reserve
account until the funds on deposit in the reserve
account equal the Specified Reserve Amount.
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THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
6
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
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SUMMARY OF TERMS (CONTINUED)
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OPTIONAL TERMINATION The Sponsor may, at its option, terminate the sub-trust
CALL DATE: with respect to the Group I mortgage loans on any
payment date when the outstanding principal balance of
the Class A-1 Notes is equal to or less than 10% of the
original principal balance of the Class A-1 Notes,
provided that overcollateralization with respect to
Group II is currently funded at its target. Similarly,
the sponsor may, at its option, terminate the sub-trust
with respect to the Group II mortgage loans on any
payment date when the outstanding principal balance of
the Class A-2 Notes is equal to or less than 10% of the
original principal balance of the Class A-2 Notes,
provided that overcollateralization with respect to
Group I is currently funded at its target. In addition,
to the extent that the Sponsor has not previously
exercised its call option with respect to either group
of mortgage loans, the Sponsor has the option to
terminate the entire trust on any payment date when the
aggregate outstanding principal balance of the Notes is
equal to or less than 10% of the original aggregate
principal balance of the Notes.
STEP-UP MARGIN: If the Sponsor does not elect to exercise the Optional
Termination Call with respect to the Class A-1 Notes,
the Class A-1 Note Rate will increase by 0.75% in the
next Payment Date. If the Sponsor does not elect to
exercise the Optional Termination Call with respect to
the Class A-2 Notes the margin with respect to the Class
A-2 Notes will increase to twice the initial margin in
the next Payment Date. If the Sponsor does not elect to
exercise the Optional Termination Call with respect to
the entire trust, the Class A-1 Note Rate will increase
by 0.75% in the next Payment Date AND the margin with
respect to the Class A-2 Notes will increase to twice
the initial margin in the next Payment Date, in each
case only to the extent that the related coupon or
margin have not already stepped up.
AUCTION SALE: If the Sponsor does not elect to exercise the Optional
Termination Call with respect to a particular class of
Notes within three months after the Optional Termination
Call Date, on the following Payment Date the Indenture
Trustee will begin an auction process to sell the
remaining mortgage loans in the related sub-trust.
Generally, the amounts received from the Auction Sale
must be sufficient to allow the Indenture Trustee to
redeem the Notes for an amount equal to the aggregate
outstanding principal balance of the related class of
notes, plus all accrued and unpaid interest thereon
including shortfalls of interest carryforward amounts
(including, with respect to the Class A-2 Notes, any
Class A-2 Net WAC Cap Carryforward Amount), including
unreimbursed advances due and owing to the Master
Servicer and amounts due and owing to the Note Insurer.
However, in certain limited circumstances (with consent
of 66 2/3% of the outstanding principal balance of the
related class of Notes and consent of the Certificate
Insurer), the mortgage loans remaining in the related
sub-trust after the Optional Termination Call may be
sold for less than the full amount stated above.
Additionally, to the extent that the Auction Sale does
not produce sufficient proceeds and the bond holders do
not consent to sell the collateral for less than the
full amount stated above, the Certificate Insurer may
exercise the Optional Termination Call with respect to a
particular class of Notes for the full amount stated
above.
FULL TURBO: In addition, so long as the auction process
continues with respect to one group, all payments from
that group that would normally be distributed to the
ownership interest in the trust will be used to pay down
the Notes and all payments from the other group that
would normally be distributed to the ownership interest
in the trust will be deposited in the reserve account.
--------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
7
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
--------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
--------------------------------------------------------------------------------
ADVANCING: The master servicer will be required to advance amounts
representing delinquent payments of scheduled principal
and interest, as well as expenses to preserve and to
protect the value of collateral, in each case to the
extent considered recoverable. The backup servicer will
be obligated to make these advances in the event that
the master servicer does not do so. Reimbursement of
these advances is senior to payments to noteholders.
PRINCIPAL PAYMENTS: The amount of principal payable with respect
to each class of Notes on each Payment Date will consist
of the following amounts received in connection with the
related group of Mortgage Loans:
- scheduled principal payments due from the second
day of the prior month to and including the first
day of the current month (the "due period");
- prepayments in full received from the sixteenth
day of the prior month to and including the
fifteenth day of the current month (the
"prepayment period");
- partial prepayments and other unscheduled payments
of principal received during the prior calendar
month;
plus any accelerated principal payments, funded from
available excess interest, which prior to the Optional
Termination Call Date will be paid to the extent needed
to reach and maintain the required level of
overcollateralization with respect to the related class
of Notes, and three Payment Dates following the first
possible exercise of the Optional Termination will be
used to accelerate repayment of the related class of
Notes.
As of the Closing Date, in respect of principal
payments, the trust estate for each respective group
will consist of all scheduled collections due AFTER July
1, 2002 and all unscheduled collections received ON OR
AFTER July 1, 2002 with respect to the Mortgage Loans in
such group.
--------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
8
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
--------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
--------------------------------------------------------------------------------
PAYMENT PRIORITY: On each Payment Date, the Indenture Trustee will make
payments from amounts received in respect of each group
of Mortgage Loans, net of the servicing fee and advances
reimbursable to the master servicer or backup servicer,
to the holders of the related class of Notes and
reimbursement to the Note Insurer under the insurance
agreement, to the extent of funds, including any Insured
Payments, on deposit in the related payment account, as
follows:
(i) the Indenture Trustee fee; the Owner Trustee fee;
the Note Insurer premium; the Backup Servicer fee,
in each case, with respect to the related class of
Notes;
(ii) the interest payment amount for the related class
of Notes;
(iii) the Base Principal Payment Amount for the related
class of Notes;
(iv) the Overcollateralization Deficit, if any, for the
related class of Notes;
(v) to the holders of the other class of Notes, any
shortfall in the amounts specified in (ii), (iii)
and (iv) above after application of amounts
received in respect of the group of Mortgage Loans
related to such other class of Notes;
(vi) to the Note Insurer the reimbursement amount for
the related class of Notes as of such Payment
Date;
(vii) to the Note Insurer the reimbursement amount for
the other class of Notes as of such Payment Date,
to the extent not already reimbursed;
(viii) the over-collateralization increase amount for
the related class of Notes;
(ix) to the reserve account, the amount necessary for
the balance of such account to equal the
applicable Specified Reserve Amount;
(x) with respect to the Class A-2 Notes only, to the
holders of the Class A-2 Notes, the Class A-2 Net
WAC Cap Carry-Forward Amount;
(xi) to the Master Servicer, any amount due to it with
respect to the related group; and
(xii) to the holders of the trust certificates, any
remaining available funds.
--------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
9
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
--------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
--------------------------------------------------------------------------------
CLASS A-1 NOTE INTEREST: The CLASS A-1 NOTE RATE will be
equal to the rate established at pricing, provided
that, on any Payment Date after the related Optional
Termination Call Date, the Class A-1 Note Rate will
increase by 0.75%.
The CLASS A-1 INTEREST PAYMENT AMOUNT for any Payment
Date will be an amount equal to the current interest
for the Class A-1 Notes, reduced by any interest
shortfalls on the Group I Mortgage Loans relating to
the Soldiers' and Sailors' Civil Relief Act of 1940,
and further reduced by any Compensating Interest not
covered by either the related Servicing Fee, excess
interest, or the Note Insurance Policy, plus the Class
A-1 Carry-Forward Amount, less any amount paid by the
Note Insurer in respect of such Class A-1 Carry-Forward
Amount, in each case, as of such Payment Date.
The CLASS A-1 CARRY-FORWARD AMOUNT: for any Payment
Date will be the sum of (a) the amount, if any, by
which (x) the Class A-1 Interest Payment Amount as of
the immediately preceding Payment Date exceeded (y) the
amount of interest actually paid to the holders of the
Class A-1 Notes on such immediately preceding Payment
Date and (b) thirty days' interest on the amount
described in clause (a), calculated at an interest rate
equal to the Class A-1 Note Rate.
CLASS A-2 NOTE INTEREST: The CLASS A-2 NOTE RATE will be
equal to the lesser of (a) the Class A-2 Formula Rate
and (b) the Class A-2 Net WAC Cap Rate.
The CLASS A-2 FORMULA RATE is a per annum rate equal to
the lesser of (i) LIBOR plus a margin determined at
pricing; provided, that, on any Payment Date after the
related Optional Termination Call Date, such rate will
equal LIBOR plus two times such margin and (ii) 14%.
The CLASS A-2 INTEREST PAYMENT AMOUNT for any Payment
Date will be an amount equal to the current interest
for the Class A-2 Notes, reduced by any interest
shortfalls on the Group II Mortgage Loans relating to
the Soldiers' and Sailors' Civil Relief Act of 1940,
and further reduced by any Compensating Interest not
covered by either the related Servicing Fee, excess
interest, or the Note Insurance Policy, plus the Class
A-2 Carry-Forward Amount, less any amount paid by the
Note Insurer in respect of such Class A-2 Carry-Forward
Amount, in each case, as of such Payment Date.
The CLASS A-2 CARRY-FORWARD AMOUNT for any Payment Date
will be the sum of (a) the amount, if any, by which (x)
the Class A-2 Interest Payment Amount as of the
immediately preceding Payment Date exceeded (y) the
amount of interest actually paid to the holders of the
Class A-2 Notes on such immediately preceding Payment
Date and (b) thirty days' interest on the amount
described in clause (a), calculated at an interest rate
equal to the Class A-2 Formula Rate.
--------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
10
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
--------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
--------------------------------------------------------------------------------
CLASS A-2 NET WAC CAP: CLASS A-2 NET WAC CAP RATE is per annum
rate equal to the product of (i) the weighted average
mortgage interest rate with respect to the Group II
Mortgage Loans, less the Note insurer premium
percentage, less the servicing fee rate, less the backup
servicing fee rate, less the rate at which the Indenture
Trustee fee is then calculated, less the Owner Trustee
fee rate, less 0.50% and (ii) 30 divided by the number
of days in the related Accrual Period.
CLASS A-2 NET WAC CAP CARRY-FORWARD AMOUNT: With respect
to the Class A-2 Notes and any Payment Date, the sum of
(i) the excess of (x) the Class A-2 current interest
calculated at the Class A-2 Formula Rate over (y)
the Class A-2 current interest calculated at the
Class A-2 Net WAC Cap Rate, in each case as of
such Payment Date, and
(ii) the amount calculated under clause (i) above
remaining unpaid from any previous Payment Date,
with interest thereon at the Class A-2 Formula
Rate.
--------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
11
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
--------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
--------------------------------------------------------------------------------
BASE PRINCIPAL PAYMENT Base Principal Payment Amount for any group of
AMOUNT: Mortgage Loans and any Payment Date will be the lesser
of:
(a) the excess of (x) the sum, as of such Payment Date,
of (A) the available amount for such group and (B)
any Insured Payment with respect to the related
class of Notes over (y) the sum of the interest
payment amount for such group; and
(b) the sum, without duplication, of:
(i) all scheduled principal payments due and
collected (or advanced) for the prior due
period, plus all prepayments in full received
during the prior prepayment period, plus all
partial prepayments and other unscheduled
recoveries of principal (other than
prepayments in full) plus the principal
portion of all insurance proceeds received
during the prior calendar month, less related
servicing and delinquency advances, in each
case, for the related group of Mortgage Loans;
(ii) the principal balance of each Mortgage Loan
that was repurchased by the Sponsor on the
related servicer remittance date from such
group to the extent such principal balance is
actually received by the Indenture Trustee and
less any related reimbursements of delinquency
advances or of servicing advances to the
Master Servicer;
(iii) any substitution adjustments delivered by the
Sponsor on the related servicer remittance
date in connection with a substitution of a
Mortgage Loan in such group, to the extent
such substitution adjustments are actually
received by the Indenture Trustee;
(iv) the net liquidation proceeds actually
collected by the Master Servicer on all
Mortgage Loans in such group during the
preceding calendar month -- to the extent such
net liquidation proceeds relate to principal;
(v) the proceeds received by the Indenture Trustee
upon the exercise by the Sponsor of its option
to call the related class of Notes -- to the
extent such proceeds relate to principal;
(vi) the proceeds received by the Indenture Trustee
upon the exercise by the Sponsor of its option
to terminate the Trust -- to the extent such
proceeds relate to principal -- allocable to
such group;
(vii) any amount that the Note Insurer has elected
to pay as principal -- including liquidated
loan losses -- prior to any remaining
overcollateralization deficit; minus
(viii) the amount of any overcollateralization
reduction amount for such group for such
Payment Date.
In no event will the Base Principal Payment Amount for a
group with respect to any Payment Date be (x) less than
zero or (y) greater than the then outstanding principal
balance for the related class of Notes.
--------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
12
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
--------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
--------------------------------------------------------------------------------
SPECIFIED RESERVE With respect to each group of Mortgage Loans and any
AMOUNT: Payment Date, the difference between (x) the specified
overcollateralization amount for both mortgage loan
groups on such Payment Date and (y) the
overcollateralization amount for both mortgage loan
groups on such Payment Date.
OVERCOLLATERALIZATION For any Payment Date, the amount, if any, by which the
DEFICIT: aggregate note principal balance of a class of notes,
after payment of the Base Principal Payment Amount for
such group, but before taking into account any principal
payment funded from excess interest, the reserve fund or
any Insured Payment, exceeds the aggregate scheduled
principal balances of the mortgage loans in the related
group as of the close of business on the last day of the
prior calendar month, after adjustment to reflect
scheduled principal payments due during the related Due
Period, prepayments in full received during the related
prepayment period and partial principal prepayments
received during the prior calendar month.
INSURED AMOUNT: For any group of mortgage loans and any Payment Date,
the sum of,
(i) the related Interest Payment Amount;
(ii) the remaining overcollateralization deficit
allocable to that group for that Payment Date; and
(iii) without duplication of the amount specified in (i)
and (ii), on the Payment Date which is the Final
Scheduled Payment Date, the aggregate outstanding
principal balance for the related class of Notes.
INSURED PAYMENT: For any group of mortgage loans and any Payment
Date will equal the amount by which the Insured Amount
for that group and the Payment Date exceeds the sum of
(i) the available amount for that group and that Payment
Date plus (ii) any amount transferred on the Payment
Date to that group's payment account from the other
group's payment account, or from the reserve account.
--------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
13
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
----------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY - GROUP I
----------------------------------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE FIRST LIEN HOME EQUITY
LOANS are listed below as of 7/1/02 The sum of the percentages in
the summary may not add to 100% due to rounding
----------------------------------------------------------------------------------------------------------
TOTAL NUMBER OF LOANS 569
TOTAL OUTSTANDING LOAN BALANCE $68,704,791
BALLOON (% OF TOTAL BALANCE) 18.19%
AVERAGE LOAN PRINCIPAL BALANCE $120,747 $12,694 - $497,516
WEIGHTED AVERAGE COUPON 8.545% 6.650% - 14.865%
WEIGHTED AVERAGE ORIGINAL TERM (MONTHS) 309 120 - 360
WEIGHTED AVERAGE REMAINING TERM (MONTHS) 306 105 - 360
WEIGHTED AVERAGE ORIGINAL LTV 76.25% 10.50% - 90.00%
LIEN POSITION (FIRST/SECOND) 100.00% / 0.00%
LOANS SUBJECT TO PREPAYMENT PENALTIES 99.55%
PROPERTY TYPE
SINGLE FAMILY 84.15%
PUD 6.25%
MULTI-FAMILY 5.06%
CONDOMINIUM 3.59%
MANUFACTURED HOUSING 0.51%
TOWNHOUSE 0.44%
LOAN PURPOSE
CASHOUT REFINANCE 80.82%
RATE/TERM REFINANCE 12.74%
PURCHASE 6.44%
OCCUPANCY STATUS
OWNER OCCUPIED 93.16%
NON-OWNER OCCUPIED 6.84%
LOAN DOCUMENTATION
FULL 78.65%
STATED 19.84%
LIMITED 1.51%
GEOGRAPHIC DISTRIBUTION CA 34.26%
(Other states account individually for less than FL 10.57%
5% of the Fixed Rate Mortgage Loan Group principal PA 6.12%
balance.) NY 6.05%
---------------------------------------------------- ----------------------- -----------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
14
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
----------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY - GROUP I
----------------------------------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE FIRST LIEN HOME EQUITY
LOANS are listed below as of 7/1/02 The sum of the percentages in
the summary may not add to 100% due to rounding
----------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------
WEIGHTED AVERAGE FICO 622 469 - 794
FICO
N/A 0.04%
461 - 480 0.12%
501 - 520 0.25%
521 - 540 3.83%
541 - 560 8.21%
000 - 000 00.00%
000 - 000 10.71%
601 - 620 15.90%
621 - 640 13.37%
641 - 660 15.83%
661 - 680 8.51%
681 - 700 4.09%
701 - 720 3.26%
721 - 740 2.19%
741 - 760 0.56%
761 - 780 1.48%
781 - 800 0.44%
DAYS DELINQUENT
CURRENT 99.51%
30 - 59 DAYS 0.49%
-------------------------------------------------------------- ----------------- -------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
15
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY - GROUP I
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE MORTGAGE LOANS are listed below a
of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
CUT-OFF DATE PRINCIPAL BALANCE
------------------------------------------------------------------------------------------------------------------
RANGE OF CUT-OFF DATE NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
PRINCIPAL BALANCE ($) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ------------------- ------------------------ ---------------------------------
0.01 - 25,000.00 1 $12,693.70 0.02%
25,000.01 - 50,000.00 65 2,616,086.92 3.81
50,000.01 - 75,000.00 121 7,710,796.72 11.22
75,000.01 - 100,000.00 115 10,032,578.59 14.60
100,000.01 - 150,000.00 120 14,629,848.88 21.29
150,000.01 - 200,000.00 71 12,233,264.26 17.81
200,000.01 - 250,000.00 28 6,145,130.20 8.94
250,000.01 - 300,000.00 24 6,578,337.60 9.57
300,000.01 - 350,000.00 12 3,927,595.43 5.72
350,000.01 - 400,000.00 9 3,469,278.54 5.05
400,000.01 - 450,000.00 2 851,664.13 1.24
450,000.01 - 500,000.00 1 497,516.35 0.72
----------------------------------- ------------------- ------------------------ ---------------------------------
TOTAL: 569 $68,704,791.31 100.00%
----------------------------------- ------------------- ------------------------ ---------------------------------
------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
MORTGAGE INTEREST RATES
----------------------------------- ------------------- ------------------------ ---------------------------------
RANGE OF MORTGAGE NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
INTEREST RATES (%) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ------------------- ------------------------ ---------------------------------
6.501 - 7.000 11 $2,089,254.80 3.04%
7.001 - 7.500 49 7,255,160.71 10.56
7.501 - 8.000 122 18,170,737.51 26.45
8.001 - 8.500 98 13,326,393.80 19.40
8.501 - 9.000 128 13,886,697.09 20.21
9.001 - 9.500 46 4,624,995.37 6.73
9.501 - 10.000 55 4,862,271.29 7.08
10.001 - 10.500 15 1,126,612.93 1.64
10.501 - 11.000 20 1,768,517.53 2.57
11.001 - 11.500 7 503,653.40 0.73
11.501 - 12.000 4 217,308.22 0.32
12.001 - 12.500 5 345,285.34 0.50
12.501 - 13.000 3 178,536.96 0.26
13.001 - 13.500 1 46,691.97 0.07
13.501 - 14.000 2 121,593.62 0.18
14.001 - 14.500 2 151,652.15 0.22
14.501 - 15.000 1 29,428.63 0.04
----------------------------------- ------------------- ------------------------ ---------------------------------
TOTAL: 569 $68,704,791.31 100.00%
----------------------------------- ------------------- ------------------------ ---------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
16
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
ORIGINAL TERM TO MATURITY
----------------------------------- ------------------- ------------------------ ---------------------------------
RANGE OF REMAINING TERMS TO NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
MATURITY (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ------------------- ------------------------ ---------------------------------
116 - 120 7 $428,015.14 0.62%
176 - 180 177 17,543,509.66 25.53
236 - 240 18 1,962,438.53 2.86
296 - 300 2 190,165.84 0.28
356 - 360 365 48,580,662.14 70.71
----------------------------------- ------------------- ------------------------ ---------------------------------
TOTAL: 569 $68,704,791.31 100.00%
----------------------------------- ------------------- ------------------------ ---------------------------------
------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
REMAINING TERM TO MATURITY
----------------------------------- ------------------- ------------------------ ---------------------------------
RANGE OF REMAINING TERMS TO NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
MATURITY (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ------------------- ------------------------ ---------------------------------
<= 115 5 $339,013.88 0.49%
116 - 120 7 428,015.14 0.62
176 - 180 172 17,204,495.78 25.04
236 - 240 18 1,962,438.53 2.86
281 - 285 10 618,868.85 0.90
286 - 290 14 787,173.58 1.15
296 - 300 2 190,165.84 0.28
356 - 360 341 47,174,619.71 68.66
----------------------------------- ------------------- ------------------------ ---------------------------------
TOTAL: 569 $68,704,791.31 100.00%
----------------------------------- ------------------- ------------------------ ---------------------------------
------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
AGE OF THE MORTAGE LOANS
----------------------------------- ------------------- ------------------------ ---------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LOAN AGE (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ------------------- ------------------------ ---------------------------------
0 95 $12,239,720.00 17.81%
1 - 3 445 54,720,015.00 79.65
70 - 72 6 347,062.08 0.51
73 - 75 16 1,114,279.64 1.62
76 - 78 7 283,714.59 0.41
----------------------------------- ------------------- ------------------------ ---------------------------------
TOTAL: 569 $68,704,791.31 100.00%
----------------------------------- ------------------- ------------------------ ---------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
17
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
ORIGINAL LOAN- TO- VALUE RATIOS
------------------------------------------------------------------------------------------------------------------
RANGE OF COMBINED NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LOAN-TO-VALUE RATIOS (%) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
-------------------------------------- ------------------- ------------------------- -----------------------------
10.01 - 15.00 1 $31,102.80 0.05%
15.01 - 20.00 3 138,917.28 0.20
20.01 - 25.00 2 109,959.74 0.16
25.01 - 30.00 2 151,813.88 0.22
30.01 - 35.00 6 816,328.75 1.19
35.01 - 40.00 3 376,553.30 0.55
40.01 - 45.00 4 539,711.76 0.79
45.01 - 50.00 14 1,325,963.49 1.93
50.01 - 55.00 19 1,686,652.19 2.45
55.01 - 60.00 25 3,186,297.21 4.64
60.01 - 65.00 39 4,798,525.62 6.98
65.01 - 70.00 39 4,160,904.09 6.06
70.01 - 75.00 67 7,298,546.50 10.62
75.01 - 80.00 141 18,317,517.13 26.66
80.01 - 85.00 91 10,863,559.42 15.81
85.01 - 90.00 113 14,902,438.15 21.69
-------------------------------------- ------------------- ------------------------- -----------------------------
TOTAL: 569 $68,704,791.31 100.00%
-------------------------------------- ------------------- ------------------------- -----------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
18
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
LOAN PURPOSE
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LOAN PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
Cash Out Refinance 456 $55,527,544.65 80.82%
Rate/Term Refinance 68 8,754,364.94 12.74
Purchase 45 4,422,881.72 6.44
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 569 $68,704,791.31 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
--------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
OCCUPANCY STATUS
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
OCCUPANCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
Owner Occupied 515 $64,008,212.14 93.16%
Non-Owner Occupied 54 4,696,579.17 6.84
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 569 $68,704,791.31 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
LOAN DOCUMENTATION
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LOAN DOCUMENTATION MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
Full 469 $54,033,088.43 78.65%
Stated 91 13,632,577.69 19.84
Limited 9 1,039,125.19 1.51
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 569 $68,704,791.31 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
--------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
TYPE OF MORTGAGED PROPERTY
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
Single Family 485 $57,812,273.09 84.15%
PUD 29 4,295,842.39 6.25
Multi-Family 20 3,478,569.11 5.06
Condominium 26 2,465,909.81 3.59
Manufactured Housing 6 351,011.81 0.51
Townhouse 3 301,185.09 0.44
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 569 $68,704,791.31 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
19
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
-------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
-------------------------------------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
GEOGRAPHICAL DISTRIBUTION OF MORTGAGED PROPERTIES
-------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
------------------------------ ------------------- ------------------------ ---------------------------------
CA 146 $23,537,108.74 34.26%
FL 68 7,259,108.15 10.57
PA 36 4,204,431.45 6.12
NY 26 4,159,336.21 6.05
AZ 30 3,366,953.85 4.90
IN 44 3,324,352.34 4.84
CT 13 2,683,532.85 3.91
OH 28 2,488,415.38 3.62
GA 31 2,332,716.72 3.40
WA 18 2,070,855.45 3.01
OR 12 1,359,425.02 1.98
MI 14 1,297,954.74 1.89
NJ 6 1,105,585.76 1.61
KY 9 893,352.98 1.30
MA 6 880,902.84 1.28
VA 8 744,552.92 1.08
CO 6 643,065.72 0.94
HI 3 639,698.85 0.93
IL 8 635,200.60 0.92
MO 6 568,025.32 0.83
TX 9 501,943.35 0.73
NC 5 471,284.02 0.69
LA 6 412,195.45 0.60
MD 3 410,068.14 0.60
NM 3 368,712.08 0.54
NV 2 281,811.51 0.41
MS 4 270,914.44 0.39
SC 2 260,222.85 0.38
ME 2 247,464.29 0.36
WI 2 220,959.48 0.32
RI 2 212,849.92 0.31
VT 2 184,568.29 0.27
UT 2 153,245.73 0.22
OK 2 119,700.00 0.17
KS 1 107,105.58 0.16
MN 1 99,227.16 0.14
AR 1 86,663.64 0.13
MT 1 71,200.00 0.10
ID 1 30,079.50 0.04
------------------------------ ------------------- ------------------------ ---------------------------------
TOTAL: 569 $68,704,791.31 100.00%
------------------------------ ------------------- ------------------------ ---------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
20
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
PRIORITY OF LIEN
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LIEN PRIORITY MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
1st Lien 569 $68,704,791.31 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 569 $68,704,791.31 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
AMORTIZATION METHOD
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
AMORTIZATION METHOD MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
Balloon 127 $12,497,730.94 18.19%
Fully Amortizing 442 56,207,060.37 81.81
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 569 $68,704,791.31 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
PREPAYMENT PENALTIES
---------------------------------- ----------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
PREPAYMENT PENALTY (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
0 5 $312,514.90 0.45%
12 24 3,627,110.45 5.28
24 1 47,764.23 0.07
30 1 242,064.53 0.35
36 91 11,771,204.55 17.13
48 4 395,317.52 0.58
60 443 52,308,815.14 76.14
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 569 $68,704,791.31 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
21
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
FICO SCORE
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
FICO SCORE (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
N/A 1 $29,428.63 0.04%
461 - 480 1 84,821.18 0.12
501 - 520 4 172,700.72 0.25
521 - 540 26 2,632,227.79 3.83
541 - 560 45 5,638,662.32 8.21
561 - 580 66 7,707,035.16 11.22
581 - 600 73 7,361,294.98 10.71
601 - 620 85 10,923,333.77 15.9
621 - 640 81 9,185,951.65 13.37
641 - 660 78 10,878,138.91 15.83
661 - 680 46 5,845,457.64 8.51
681 - 700 23 2,809,170.61 4.09
701 - 720 15 2,237,726.27 3.26
721 - 740 11 1,502,990.87 2.19
741 - 760 5 381,384.43 0.56
761 - 780 5 1,014,685.94 1.48
781 - 800 4 299,780.45 0.44
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 569 $68,704,791.31 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
22
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY - GROUP II
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE FIRST LIEN HOME
EQUITY LOANS are listed below as of 7/1/02 The sum of
the percentages in the summary may not add to 100% due
to rounding
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------ ---------------------- --------------------------
TOTAL NUMBER OF LOANS 899
TOTAL OUTSTANDING LOAN BALANCE $138,694,369
AVERAGE LOAN PRINCIPAL BALANCE $154,276 $23,794 - $588,750
WEIGHTED AVERAGE COUPON 8.470% 6.350% - 14.990%
WEIGHTED AVERAGE MARGIN 7.265% 4.750% - 13.490%
WEIGHTED AVERAGE ORIGINAL TERM (MONTHS) 360 180 - 360
WEIGHTED AVERAGE REMAINING TERM (MONTHS) 357 104 - 360
WEIGHTED AVERAGE MAXIMUM RATE 15.457% 13.350% - 21.990%
WEIGHTED AVERAGE LIFECAP 6.987% 5.125% - 7.000%
WEIGHTED AVERAGE PERIODIC CAP 1.491% 1.000% - 1.500%
WEIGHTED AVERAGE INITIAL PERIODIC CAP 1.514% 1.000% - 3.000%
WEIGHTED AVERAGE FLOOR 8.467% 6.350% - 14.990%
WEIGHTED AVERAGE ORIGINAL LTV 81.16% 21.05% - 90.00%
LIEN POSITION (FIRST/SECOND) 100.00% / 0.00%
LOANS SUBJECT TO PREPAYMENT PENALTIES 99.56%
PROPERTY TYPE
SINGLE FAMILY 76.53%
PUD 11.80%
CONDOMINIUM 7.25%
MULTI-FAMILY 3.17%
TOWNHOUSE 0.70%
MANUFACTURED HOUSING 0.43%
MODULAR HOME 0.07%
TWO TO FOUR FAMILY 0.04%
LOAN PURPOSE
CASHOUT REFINANCE 57.30%
PURCHASE 33.07%
NO CASH REFINANCE 9.52%
CONSTRUCTION PERMANENT 0.11%
OCCUPANCY STATUS
OWNER OCCUPIED 96.80%
NON-OWNER OCCUPIED 3.20%
LOAN DOCUMENTATION
FULL 77.84%
STATED 21.59%
LIMITED 0.57%
------------------------------------------------------------------ ---------------------- ------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
23
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY - GROUP II (CONTINUED)
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE FIRST LIEN HOME EQUITY
LOANS are listed below as of 7/1/02 The sum of the
percentages in the summary may not add to 100% due to
rounding
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------ ---------------------- ------------------------------
PRODUCT TYPE
2/28 - ARM 25.07%
3/27 - ARM 74.52%
6 MO LI - ARM 0.41%
GEOGRAPHIC DISTRIBUTION
(Other states account individually for less than 5% of the CA
Adjustable Rate Loan Group principal balance.) 38.78%
IL 8.32%
WEIGHTED AVERAGE FICO 613 471 - 777
FICO
N/A 0.06%
461 - 480 0.03%
481 - 500 0.12%
501 - 520 0.18%
521 - 540 6.03%
541 - 560 9.09%
000 - 000 00.00%
000 - 000 16.27%
601 - 620 17.71%
621 - 640 12.64%
641 - 660 10.15%
661 - 680 6.83%
681 - 700 3.22%
701 - 720 2.42%
721 - 740 1.86%
741 - 760 0.74%
761 - 780 1.04%
DAYS DELINQUENT
CURRENT 99.84%
30 - 59 0.16%
------------------------------------------------------------ ---------------------- ------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
24
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed
below as of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
CUT-OFF DATE PRINCIPAL BALANCE
-------------------------------------- ------------------ ------------------------- -----------------------------
RANGE OF CUT-OFF DATE NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
PRINCIPAL BALANCE ($) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
-------------------------------------- ------------------ ------------------------- -----------------------------
0.01 - 25,000.00 5 $122,313.32 0.09%
25,000.01 - 50,000.00 31 1,264,298.83 0.91
50,000.01 - 75,000.00 100 6,466,782.22 4.66
75,000.01 - 100,000.00 125 11,135,201.23 8.03
100,000.01 - 150,000.00 286 35,278,453.69 25.44
150,000.01 - 200,000.00 138 24,258,902.32 17.49
200,000.01 - 250,000.00 97 21,560,111.77 15.55
250,000.01 - 300,000.00 44 12,092,147.75 8.72
300,000.01 - 350,000.00 33 10,525,858.07 7.59
350,000.01 - 400,000.00 33 12,578,392.42 9.07
400,000.01 - 450,000.00 2 871,612.55 0.63
450,000.01 - 500,000.00 3 1,445,101.43 1.04
500,000.01 - 550,000.00 1 506,442.90 0.37
550,000.01 - 600,000.00 1 588,750.00 0.42
-------------------------------------- ------------------ ------------------------- -----------------------------
TOTAL: 899 $138,694,368.51 100.00%
-------------------------------------- ------------------ ------------------------- -----------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
25
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed
below as of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
MORTGAGE INTEREST RATES
-------------------------------------- ------------------ ------------------------- -----------------------------
RANGE OF MORTGAGE NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
INTEREST RATES (%) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
-------------------------------------- ------------------ ------------------------- -----------------------------
6.001 - 6.500 2 $363,918.13 0.26%
6.501 - 7.000 33 6,745,755.39 4.86
7.001 - 7.500 87 15,454,322.57 11.14
7.501 - 8.000 199 32,991,690.21 23.79
8.001 - 8.500 144 25,753,591.48 18.57
8.501 - 9.000 196 29,363,750.40 21.17
9.001 - 9.500 98 13,358,552.74 9.63
9.501 - 10.000 80 9,643,759.13 6.95
10.001 - 10.500 23 2,051,789.34 1.48
10.501 - 11.000 12 1,208,568.56 0.87
11.001 - 11.500 9 608,091.17 0.44
11.501 - 12.000 4 276,930.33 0.20
12.001 - 12.500 5 651,026.86 0.47
12.501 - 13.000 2 54,554.87 0.04
13.001 - 13.500 1 26,324.25 0.02
13.501 - 14.000 2 67,573.51 0.05
14.501 - 15.000 2 74,169.56 0.05
-------------------------------------- ------------------ ------------------------- -----------------------------
TOTAL: 899 $138,694,368.51 100.00%
-------------------------------------- ------------------ ------------------------- -----------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
26
xXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed
below as of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
ORIGINAL TERM TO MATURITY
----------------------------------- ---------------- ---------------------------- --------------------------------
RANGE OF ORIGINAL TERMS TO NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
MATURITY (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
176 - 180 1 $74,341.73 0.05%
356 - 360 898 138,620,026.78 99.95
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
-----------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
ORIGINAL TERM TO MATURITY
----------------------------------- ---------------- ---------------------------- --------------------------------
RANGE OF ORIGINAL TERMS TO NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
MATURITY (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
104 -115 1 $74,341.73 0.05%
281 - 285 12 919,397.81 0.66
286 - 290 24 1,902,473.56 1.37
356 - 360 862 135,798,155.41 97.91
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
AGE OF MORTGAGE LOANS
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LOAN AGE (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
0 256 $41,347,254.00 29.81%
1 - 6 606 94,450,901.41 68.10
67 - 72 13 685,816.83 0.49
73 - 78 23 2,165,826.71 1.56
79 - 84 1 44,569.56 0.03
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
-----------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
PRIORITY OF LIEN
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LIEN PRIORITY MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
1st Lien 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
27
xXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed
below as of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
ORIGINAL LOAN-TO-VALUE RATIOS
----------------------------------- ---------------- ---------------------------- --------------------------------
RANGE OF NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LOAN-TO-VALUE RATIOS (%) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
20.01 - 25.00 1 $100,000.00 0.07%
25.01 - 30.00 3 73,009.26 0.05
30.01 - 35.00 2 119,927.68 0.09
35.01 - 40.00 1 96,784.48 0.07
40.01 - 45.00 2 209,903.22 0.15
45.01 - 50.00 3 659,851.09 0.48
50.01 - 55.00 12 1,005,410.59 0.72
55.01 - 60.00 10 1,253,089.17 0.90
60.01 - 65.00 21 2,939,667.62 2.12
65.01 - 70.00 39 5,299,118.90 3.82
70.01 - 75.00 68 10,737,485.41 7.74
75.01 - 80.00 323 52,619,846.88 37.94
80.01 - 85.00 204 32,117,139.58 23.16
85.01 - 90.00 210 31,463,134.62 22.69
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
28
xXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed
below as of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
LOAN PURPOSE
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LOAN PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
Cash Out Refinance 519 $79,478,703.20 57.30%
Purchase 285 45,860,545.66 33.07
Rate/Term Refinance 94 13,208,204.22 9.52
Construction Permanent 1 146,915.42 0.11
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
-----------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
OCCUPANCY STATUS
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
OCCUPANCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
Owner Occupied 861 $134,249,951.54 96.8%
Non Owner Occupied 38 4,444,416.97 3.20
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
-----------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
LOAN DOCUMENATION
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LOAN DOCUMENTATION MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
Full 738 $107,953,629.70 77.84%
Stated 155 29,948,404.08 21.59
Limited 6 792,334.73 0.57
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
29
xXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed
below as of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
TYPE OF MORTGAGED PROPERTY
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
Single Family 696 $106,144,578.31 76.53%
PUD 89 16,360,362.67 11.80
Condominium 72 10,055,441.03 7.25
Multi- Family 25 4,396,293.79 3.17
Townhouse 7 977,019.84 0.70
Manufactured Housing 8 603,170.74 0.43
Modular Home 1 99,943.75 0.07
2-4 Family 1 57,558.37 0.04
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
30
xXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed
below as of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
GEOGRAPHICAL DISTRIBUTION OF MORTGAGED PROPERTIES
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
CA 264 $53,779,139.12 38.78%
IL 71 11,540,356.38 8.32
FL 52 5,810,986.51 4.19
GA 39 5,438,922.04 3.92
OH 42 5,251,520.31 3.79
AZ 36 5,023,740.02 3.62
MD 26 4,225,649.16 3.05
PA 39 4,116,380.15 2.97
IN 39 3,659,320.71 2.64
MA 18 3,618,055.69 2.61
NJ 20 3,301,930.39 2.38
VA 18 3,058,389.13 2.21
OR 20 2,986,311.64 2.15
MI 25 2,944,504.99 2.12
WA 19 2,839,782.77 2.05
CO 18 2,666,154.96 1.92
UT 18 2,650,759.09 1.91
CT 18 2,499,812.42 1.80
KY 19 1,805,654.88 1.30
TX 20 1,775,426.12 1.28
RI 13 1,515,759.94 1.09
MO 13 1,347,611.10 0.97
HI 5 1,061,311.16 0.77
NV 7 1,034,459.11 0.75
KS 9 790,834.73 0.57
LA 4 775,033.86 0.56
MS 6 709,877.94 0.51
ID 5 511,311.41 0.37
SC 4 494,874.49 0.36
NH 3 479,216.21 0.35
NC 4 381,309.66 0.27
WI 2 358,880.15 0.26
NM 1 90,688.98 0.07
DE 1 90,000.00 0.06
MT 1 60,403.28 0.04
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
31
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed
below as of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
RANGE OF GROSS MARGINS
----------------------------------- ---------------- ---------------------------- --------------------------------
RANGE OF NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
GROSS MARGINS (%) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
4.501 - 4.750 1 $74,598.40 0.05%
4.751 - 5.000 2 363,918.13 0.26
5.001 - 5.250 4 1,045,500.00 0.75
5.251 - 5.500 15 3,336,954.80 2.41
5.501 - 5.750 22 3,983,162.64 2.87
5.751 - 6.000 48 8,756,654.82 6.31
6.001 - 6.250 22 4,604,109.32 3.32
6.251 - 6.500 76 11,772,097.14 8.49
6.501 - 6.750 68 11,683,840.37 8.42
6.751 - 7.000 115 17,859,554.02 12.88
7.001 - 7.250 61 9,406,206.38 6.78
7.251 - 7.500 108 16,429,674.95 11.85
7.501 - 7.750 62 10,355,865.70 7.47
7.751 - 8.000 100 14,685,697.03 10.59
8.001 - 8.250 41 5,410,922.35 3.90
8.251 - 8.500 58 7,496,672.71 5.41
8.501 - 8.750 24 3,820,934.05 2.75
8.751 - 9.000 37 4,142,593.77 2.99
9.001 - 9.250 10 1,158,519.36 0.84
9.251 - 9.500 11 1,154,895.61 0.83
9.501 - 9.750 3 201,329.34 0.15
9.751 - 10.000 2 259,127.44 0.19
10.001 - 10.250 3 270,561.30 0.20
10.501 - 10.750 1 62,779.92 0.05
10.751 - 11.000 3 303,603.79 0.22
13.001 - 13.250 1 24,995.18 0.02
13.251 - 13.500 1 29,600.00 0.02
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
32
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed
below as of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
RANGE OF MAXIMUM MORTGAGE INTEREST RATES
----------------------------------- ---------------- ---------------------------- --------------------------------
RANGE OF MAXIMUM MORTGAGE NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
INTEREST RATES (%) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
13.251 - 13.500 2 $363,918.13 0.26%
13.501 - 13.750 5 1,574,512.56 1.14
13.751 - 14.000 28 5,171,242.83 3.73
14.001 - 14.250 30 5,394,110.14 3.89
14.251 - 14.500 58 10,134,810.83 7.31
14.501 - 14.750 45 9,254,886.25 6.67
14.751 - 15.000 154 23,736,803.97 17.11
15.001 - 15.250 59 11,563,981.72 8.34
15.251 - 15.500 86 14,343,163.12 10.34
15.501 - 15.750 73 11,209,210.02 8.08
15.751 - 16.000 122 18,079,941.98 13.04
16.001 - 16.250 39 5,044,109.76 3.64
16.251 - 16.500 66 9,036,554.32 6.52
16.501 - 16.750 22 2,666,764.70 1.92
16.751 - 17.000 58 6,689,450.88 4.82
17.001 - 17.250 8 660,530.30 0.48
17.251 - 17.500 12 1,134,107.90 0.82
17.501 - 17.750 5 288,350.92 0.21
17.751 - 18.000 9 1,101,769.96 0.79
18.001 - 18.250 4 275,728.98 0.20
18.251 - 18.500 1 62,779.92 0.05
18.501 - 18.750 2 156,703.41 0.11
18.751 - 19.000 2 258,700.20 0.19
19.001 - 19.250 3 113,023.05 0.08
19.251 - 19.500 1 211,145.34 0.15
19.751 - 20.000 1 26,324.25 0.02
20.001 - 21.990 4 141,743.07 0.10
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
33
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed
below as of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
RANGE OF MINIMUM MORTGAGE INTEREST RATES
----------------------------------- ---------------- ---------------------------- --------------------------------
RANGE OF MINIMUM MORTGAGE NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
INTEREST RATES (%) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
6.251 - 6.500 2 $363,918.13 0.26%
6.501 - 6.750 5 1,574,512.56 1.14
6.751 - 7.000 28 5,171,242.83 3.73
7.001 - 7.250 30 5,394,110.14 3.89
7.251 - 7.500 57 10,060,212.43 7.25
7.501 - 7.750 45 9,254,886.25 6.67
7.751 - 8.000 154 23,736,803.97 17.11
8.001 - 8.250 59 11,563,981.72 8.34
8.251 - 8.500 86 14,264,208.16 10.28
8.501 - 8.750 73 11,209,210.02 8.08
8.751 - 9.000 123 18,233,495.34 13.15
9.001 - 9.250 35 4,505,595.59 3.25
9.251 - 9.500 63 8,852,957.15 6.38
9.501 - 9.750 24 3,047,554.36 2.20
9.751 - 10.000 59 6,789,414.84 4.90
10.001 - 10.250 8 627,463.41 0.45
10.251 - 10.500 12 1,135,120.87 0.82
10.501 - 10.750 4 257,447.03 0.19
10.751 - 11.000 9 978,119.56 0.71
11.001 - 11.250 3 160,477.29 0.12
11.251 - 11.500 3 269,050.56 0.19
11.501 - 11.750 4 336,946.98 0.24
11.751 - 12.000 1 33,990.27 0.02
12.001 - 12.250 3 215,171.59 0.16
12.251 - 12.500 2 435,855.27 0.31
12.501 - 12.750 2 54,554.87 0.04
13.251 - 13.500 1 26,324.25 0.02
13.501 - 13.750 2 67,573.51 0.05
14.501 - 14.750 1 44,569.56 0.03
14.751 - 15.000 1 29,600.00 0.02
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
34
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed
below as of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
MORTGAGE LOAN TYPES
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LOAN TYPE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
2/28 ARM (Libor) 244 $34,774,977.94 25.07%
3/27 ARM (Libor) 647 103,356,705.11 74.52
6 Month Libor ARM 8 562,685.46 0.41
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
--------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
MONTH OF NEXT RATE CHANGE DATE
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
MONTH OF NEXT RATE CHANGE DATE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
2002-08 5 $350,711.10 0.25%
2002-09 11 656,705.49 0.47
2002-10 7 495,665.40 0.36
2002-11 6 797,218.57 0.57
2002-12 3 176,659.57 0.13
2003-01 5 419,252.97 0.30
2004-04 3 330,404.01 0.24
2004-05 42 6,154,816.95 4.44
2004-06 97 14,417,127.34 10.39
2004-07 73 11,539,102.00 8.32
2005-04 16 2,431,324.47 1.75
2005-05 124 21,174,734.61 15.27
2005-06 325 49,972,094.03 36.03
2005-07 182 29,778,552.00 21.47
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
-----------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
PREPAYMENT PENALTIES
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
PREPAYMENT PENALTY (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
0 8 $606,979.14 0.44%
12 17 3,549,501.90 2.56
24 52 7,992,016.22 5.76
30 2 344,500.00 0.25
36 782 121,913,124.56 87.9
48 3 470,727.07 0.34
60 35 3,817,519.61 2.75
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
35
XXXXXX BROTHERS RESIDENTIAL MORTGAGE FINANCE
------------------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY
------------------------------------------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed
below as of the CUT-OFF DATE.
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
FICO SCORE
----------------------------------- ---------------- ---------------------------- --------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
FICO SCORE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
----------------------------------- ---------------- ---------------------------- --------------------------------
N/A 2 $90,041.84 0.06%
461 - 480 1 44,569.56 0.03
481 - 500 2 161,920.60 0.12
501 - 520 3 249,630.53 0.18
521 - 540 63 8,362,402.49 6.03
541 - 560 88 12,612,305.57 9.09
561 - 580 115 16,111,483.87 11.62
581 - 600 152 22,559,350.64 16.27
601 - 620 148 24,559,369.55 17.71
621 - 640 118 17,528,270.74 12.64
641 - 660 86 14,073,943.83 10.15
661 - 680 53 9,469,094.54 6.83
681 - 700 25 4,467,353.13 3.22
701 - 720 17 3,355,571.92 2.42
721 - 740 12 2,575,450.65 1.86
741 - 760 6 1,031,561.55 0.74
761 - 780 8 1,442,047.50 1.04
----------------------------------- ---------------- ---------------------------- --------------------------------
TOTAL: 899 $138,694,368.51 100.00%
----------------------------------- ---------------- ---------------------------- --------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY XXXXXX BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. XXXXXX BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
36
YIELD TABLE
SETTLE AS OF 07/25/02
-----------------------------------------------------
BOND SUMMARY - BOND A1
-----------------------------------------------------
FIXED COUPON: 4.810
ORIG BAL:: 68,704,000
FACTOR: 1.0000000
FACTOR DATE: 07/25/02 NEXT PMT: 08/25/02
DELAY: 24 CUSIP:
-----------------------------------------------------
----------------- ----------------------------- ---------------------------- -----------------------------
0.00 PSA, GRP 2: 125.00 0.00 PSA, GRP 2: 0.00 0.00 PSA, GRP 2: 62.50
USER_CURVE_4 USER_CURVE_4 USER_CURVE_4
(/HOME/MPRIEST/42012.TXT), (/HOME/MPRIEST/42012.TXT, (/HOME/MPRIEST/42012.TXT,
GRP 1: 110.00 GRP 1: 0.00 GRP,1: 55.00
USER_CURVE_4 USER_CURVE_4 USER_CURVE_4
(/HOME/MPRIEST/42012.TXT) (/HOME/MPRIEST/42012.TXT) (/HOME/MPRIEST/42012.TXT)
----------------- ----------------------------- ---------------------------- -----------------------------
PRICE YIELD DURATION YIELD DURATION YIELD DURATION
----------------- ----------------------------- ---------------------------- -----------------------------
99-25+ 4.820 3.089 4.848 10.978 4.835 5.104
99-26 4.815 4.846 4.832
99-26+ 4.810 4.845 4.829
99-27 4.805 4.843 4.826
99-27+ 4.800 4.842 4.823
99-28 4.795 3.091 4.841 10.982 4.820 5.107
99-28+ 4.790 4.839 4.817
99-29 4.785 4.838 4.814
99-29+ 4.780 4.836 4.811
99-30 4.775 4.835 4.808
99-30+ 4.770 3.093 4.834 10.987 4.805 5.110
99-31 4.765 4.832 4.802
99-31+ 4.760 4.831 4.799
100-00 4.755 4.829 4.796
100-00+ 4.750 4.828 4.793
100-01 4.745 3.095 4.826 10.991 4.790 5.114
100-01+ 4.740 4.825 4.787
100-02 4.735 4.824 4.784
100-02+ 4.730 4.822 4.781
100-03 4.725 4.821 4.777
100-03+ 4.720 3.097 4.819 10.996 4.774 5.117
100-04 4.715 4.818 4.771
100-04+ 4.710 4.817 4.768
100-05 4.705 4.815 4.765
100-05+ 4.700 4.814 4.762
----------------- ----------------------------- ---------------------------- -----------------------------
100-06 4.695 3.099 4.812 11.000 4.759 5.120
AVERAGE LIFE 3.597 17.595 6.538
FIRST PAY 08/25/02 08/25/02 08/25/02
LAST PAY 06/25/11 05/25/30 06/25/17
----------------- ----------------------------- ---------------------------- -----------------------------
----------------- ----------------------------- ---------------------------- ---------------------------- --------------------------
0.00 PSA, GRP 2: 93.75 0.00 PSA, GRP 2: 187.50 0.00 PSA, GRP 2: 250.00 0.00 PSA, GRP 2: 312.50
USER_CURVE_4 USER_CURVE_4 USER_CURVE_4 USER_CURVE_4
(/HOME/MPRIEST/42012.TXT (/HOME/MPRIEST/42012.TXT (/HOME/MPRIEST/42012.TXT (/HOME/MPRIEST/42012.TXT),
GRP 1: 82.50 GRP 1: 165.00 GRP 1: 220.00 GRP 1: 275.00
USER_CURVE_4 USER_CURVE_4 USER_CURVE_4 USER_CURVE_4
(/HOME/MPRIEST/42012.TXT) (/HOME/MPRIEST/42012.TXT) (/HOME/MPRIEST/42012.TXT) (/HOME/MPRIEST/42012.TXT)
----------------- ----------------------------- ---------------------------- ---------------------------- --------------------------
PRICE YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
----------------- ----------------------------- ---------------------------- ---------------------------- --------------------------
99-25+ 4.828 3.893 4.804 2.147 4.786 1.613 4.766 1.265
99-26 4.824 4.796 4.776 4.753
99-26+ 4.820 4.789 4.766 4.741
99-27 4.816 4.782 4.757 4.729
99-27+ 4.812 4.775 4.747 4.716
99-28 4.808 3.895 4.767 2.148 4.737 1.614 4.704 1.266
99-28+ 4.804 4.760 4.728 4.692
99-29 4.800 4.753 4.718 4.679
99-29+ 4.796 4.746 4.708 4.667
99-30 4.792 4.738 4.699 4.655
99-30+ 4.788 3.898 4.731 2.150 4.689 1.615 4.642 1.267
99-31 4.784 4.724 4.679 4.630
99-31+ 4.780 4.717 4.670 4.618
100-00 4.776 4.709 4.660 4.605
100-00+ 4.772 4.702 4.650 4.593
100-01 4.768 3.900 4.695 2.151 4.641 1.616 4.581 1.267
100-01+ 4.764 4.688 4.631 4.569
100-02 4.760 4.680 4.622 4.556
100-02+ 4.756 4.673 4.612 4.544
100-03 4.752 4.666 4.602 4.532
100-03+ 4.748 3.903 4.659 2.152 4.593 1.617 4.520 1.268
100-04 4.744 4.652 4.583 4.507
100-04+ 4.740 4.644 4.573 4.495
100-05 4.736 4.637 4.564 4.483
100-05+ 4.732 4.630 4.554 4.470
100-06 4.728 3.905 4.623 2.154 4.545 1.618 4.458 1.269
4.716 2.390 1.752 1.353
AVERAGE LIFE 08/25/02 08/25/02 08/25/02 08/25/02
FIRST PAY 03/25/14 05/25/08 09/25/06 08/25/05
LAST PAY
----------------- ----------------------------- ---------------------------- ---------------------------- --------------------------
--------------------------------------------------------
TREASURY BENCHMARKS 3.6Yr IS 2.5 3.5yr sw
--------------------------------------------------------
Yield 3.7632 1.8400 4.0553
Coupon 5.5000 6.6250 13.3750
--------------------------------------------------------
