EXHIBIT 99.1
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XXXXXX XXXXXXX Xxxxx 27, 2005
Securitized Products Group [Xxxxxx Xxxxxxx Logo]
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Computational Materials
$951,630,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2005-WMC3
Mortgage Pass-Through Certificates
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 1
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XXXXXX XXXXXXX Xxxxx 27, 2005
Securitized Products Group [Xxxxxx Xxxxxxx Logo]
------------------------------- ------------------------- ----------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 2
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XXXXXX XXXXXXX Xxxxx 27, 2005
Securitized Products Group [Xxxxxx Xxxxxxx Logo]
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Approximately $951,630,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2005-WMC3
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Countrywide Home Loans Inc.
Servicer
Transaction Highlights
------- ----------- ----------- -------------------- ------------ ------------- --------------------- -------------- ------------
Modified
Avg Life to Duration To Payment Window To Initial
Offered Expected Ratings Call / Call / Call / Mty Subordination
Classes Description Balance(4) (S&P/Moody's/ DBRS) Mty(1)(2) Mty(1)(2)(3) (Months)(1)(2) Level Benchmark
======= =========== =========== ==================== ============ ============= ===================== ============== ============
A-1ss Not Offered 254,332,000 AAA/Aaa/AAA 2.35 / 2.56 ***Not Offered Hereby*** 20.40% 1 Mo. LIBOR
------- ----------- ----------- -------------------- ------------ -------------- -------------------- -------------- ------------
A-1mz Floater 63,583,000 AAA/Aaa/AAA 2.35 / 2.56 2.19 / 2.35 1 - 87 / 1 - 188 20.40% 1 Mo. LIBOR
------- ----------- ----------- -------------------- ------------ -------------- -------------------- -------------- ------------
A-2a Floater 291,000,000 AAA/Aaa/AAA 1.00 / 1.00 0.98 / 0.98 1 - 27 / 1 - 27 20.40% 1 Mo. LIBOR
------- ----------- ----------- -------------------- ------------ ----------------------------------- -------------- ------------
A-2b Not Offered 176,463,000 AAA/Aaa/AAA 4.59 / 5.15 ***Not Offered Hereby*** 20.40% 1 Mo. LIBOR
------- ----------- ----------- -------------------- ------------ -------------- -------------------- -------------- ------------
M-1 Floater 33,053,000 AA+/Aa1/AA (high) 4.98 / 5.52 4.54 / 4.93 42 - 87 / 42 - 164 17.05% 1 Mo. LIBOR
------- ----------- ----------- -------------------- ------------ -------------- -------------------- -------------- ------------
M-2 Floater 30,093,000 AA/Aa2/AA 4.93 / 5.45 4.49 / 4.86 41 - 87 / 41 - 158 14.00% 1 Mo. LIBOR
------- ----------- ----------- -------------------- ------------ -------------- -------------------- -------------- ------------
M-3 Floater 18,747,000 AA-/Aa3/AA (low) 4.90 / 5.40 4.46 / 4.82 40 - 87 / 40 - 151 12.10% 1 Mo. LIBOR
------- ----------- ----------- -------------------- ------------ -------------- -------------------- -------------- ------------
M-4 Floater 17,266,000 A+/A1/A (high) 4.88 / 5.37 4.42 / 4.77 39 - 87 / 39 - 145 10.35% 1 Mo. LIBOR
------- ----------- ----------- -------------------- ------------ -------------- -------------------- -------------- ------------
M-5 Floater 15,787,000 A/A2/A 4.86 / 5.32 4.40 / 4.73 39 - 87 / 39 - 140 8.75% 1 Mo. LIBOR
------- ----------- ----------- -------------------- ------------ -------------- -------------------- -------------- ------------
M-6 Floater 15,293,000 A-/A3/A (low) 4.86 / 5.28 4.39 / 4.70 38 - 87 / 38 - 134 7.20% 1 Mo. LIBOR
------- ----------- ----------- -------------------- ------------ -------------- -------------------- -------------- ------------
B-1 Floater 12,827,000 BBB+/Baa1/BBB (high) 4.84 / 5.23 4.31 / 4.58 38 - 87 / 38 - 126 5.90% 1 Mo. LIBOR
------- ----------- ----------- -------------------- ------------ -------------- -------------------- -------------- ------------
B-2 Floater 11,840,000 BBB/Baa2/BBB 4.84 / 5.17 4.29 / 4.53 38 - 87 / 38 - 119 4.70% 1 Mo. LIBOR
------- ----------- ----------- -------------------- ------------ -------------- -------------------- -------------- ------------
B-3 Floater 11,346,000 BBB-/Baa3/BBB (low) 4.83 / 5.08 4.23 / 4.40 37 - 87 / 37 - 111 3.55% 1 Mo. LIBOR
------- ----------- ----------- -------------------- ------------ -------------- -------------------- -------------- ------------
Notes: (1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust
2005-WMC3.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originator: WMC Mortgage Corp.
Servicer: Countrywide Home Loans Inc.
Trustee: Xxxxx Fargo Bank, N.A.
Managers: Xxxxxx Xxxxxxx (lead manager), Countrywide
Securities Corp. and Xxxxxxxx Capital Partners,
L.P.
Rating Agencies: Standard & Poor's, Xxxxx'x Investors Service
and Dominion Bond Rating Service.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 3
Class A-2b Certificate Insurer: Ambac Assurance Corporation, a AAA/Aaa/AAA
rated surety bond provider.
Class A-2b Certificate The Class A-2b Certificate Insurer will
Insurance Policy: guarantee timely interest and ultimate
principal for the benefit of the Class A-2b
Certificate holders.
Offered Certificates: The Class A-1mz, A-2a, M-1, M-2, M-3, M-4, M-5,
M-6, B-1, B-2 and B-3 Certificates.
Class A Certificates: The Class A-1ss, A-1mz, A-2a and A-2b
Certificates.
Group I Class A Certificates: The Class A-1ss and Class A-1mz Certificates.
Group II Class A Certificates: The Class A-2a and Class A-2b Certificates.
Class A Certificate Group: The Group I Class A Certificates and Group II
Class A Certificates, as applicable.
Expected Closing Date: May 6, 2005 through DTC and Euroclear or
Clearstream. The Certificates will be sold
without accrued interest.
Cut-off Date: April 1, 2005
Distribution Dates: For all Offered Certificates with the exception
of the Class A-2b, the 25th of each month, or
if such day is not a New York business day, on
the next business day, beginning May 25, 2005.
Class A-2b Distribution Dates: The 2nd of each month, or if such day is not a
New York or Tokyo business day, on the next
business day, beginning June 2, 2005.
Final Scheduled Distribution For all Offered Certificates other than the
Date: Class A-2b Certificates, the Distribution Date
occurring in March 2035. For the Class A-2b
Certificates, the Class A-2b Distribution Date
occurring in April 2035.
Minimum Denomination: The Offered Certificates will be issued and
available in denominations of $25,000 initial
principal balance and integral multiples of $1
in excess of $25,000.
Due Period: For any Distribution Date, the calendar month
preceding the month in which that Distribution
Date occurs.
Interest Accrual Period: For all Offered Certificates with the exception
of the Class A-2b Certificates, the interest
accrual period with respect to any Distribution
Date will be the period beginning with the
previous Distribution Date (or, in the case of
the first Distribution Date, the Closing Date)
and ending on the day prior to the current
Distribution Date (on an actual/360 day count
basis).
Class A-2b Interest Accrual The interest accrual period for the Class A-2b
Period: Certificates with respect to any Class A-2b
Distribution Date will be the period beginning
with the second day of the month (or, in the
case of the first Class A-2b Distribution Date,
seven calendar days after the Closing Date) and
ending on the first day of the following month
(on an actual/360 day count basis).
LIBOR Determination Date: With respect to any Interest Accrual Period for
the Offered Certificates (including the Class
A-2b Certificates), the second London Business
Day preceding the commencement of such Interest
Accrual Period (with the exception of the first
Class A-2b Interest Accrual Period, for which
the LIBOR Determination Date will be April 28,
2005).
Mortgage Loans: The Trust will consist of two groups of
adjustable and fixed rate sub-prime
residential, first-lien and second-lien
mortgage loans.
Group I Mortgage Loans: Approximately $399.4 million of Mortgage Loans
with original principal balances that conform
to the original principal balance limits for
one- to four-family residential mortgage loan
guidelines for purchase by Xxxxxx Xxx.
Group II Mortgage Loans: Approximately $587.3 million of Mortgage Loans
with original principal balances that may or
may not conform to the original principal
balance limits for one- to four-family
residential mortgage loan guidelines for
purchase by Xxxxxx Xxx.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 4
Pricing Prepayment Speed: o Fixed Rate Mortgage Loans: CPR starting at
approximately 4% CPR in month 1 and increasing
to 23% CPR in month 16 (19%/15 increase for
each month), and remaining at 23% CPR
thereafter
o ARM Mortgage Loans: 28% CPR
Credit Enhancement: The Offered Certificates are credit enhanced
by:
1) Net monthly excess cashflow from the
Mortgage Loans,
2) 3.55% overcollateralization (funded
upfront). On and after the Step-down Date,
so long as a Trigger Event is not in effect,
the required overcollateralization will
equal 7.10% of the aggregate principal
balance of the Mortgage Loans as of the last
day of the applicable Due Period, subject to
a 0.50% floor, based on the aggregate
principal balance of the Mortgage Loans as
of the cut-off date,
3) Subordination of distributions on the more
subordinate classes of certificates (if
applicable) to the required distributions on
the more senior classes of certificates; and
4) For the benefit of the Class A-2b
Certificate holders only, the Class A-2b
Certificate Insurance Policy.
Senior Enhancement Percentage: For any Distribution Date, the percentage
obtained by dividing (x) the aggregate
Certificate Principal Balance of the
subordinate certificates (together with any
overcollateralization and taking into account
the distributions of the Principal Distribution
Amount for such Distribution Date) by (y) the
aggregate principal balance of the Mortgage
Loans as of the last day of the related Due
Period.
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in May
2008; and
(b) The Distribution Date on which the
aggregate balance of the Class A
Certificates is reduced to zero; and
(y) The first Distribution Date on which the
Senior Enhancement Percentage (calculated
for this purpose only after taking into
account payments of principal on the
Mortgage Loans on the last day of the
related Due Period but prior to principal
distributions to the certificates on the
applicable Distribution Date) is greater
than or equal to approximately 40.80%.
Trigger Event: Either a Delinquency Trigger Event or a
Cumulative Loss Trigger Event.
Delinquency Trigger Event: A Delinquency Trigger Event is in effect on any
Distribution Date if on that Distribution Date
the 60 Day+ Rolling Average equals or exceeds
[42%] of the prior period's Senior Enhancement
Percentage. The 60 Day+ Rolling Average will
equal the rolling 3 month average percentage of
Mortgage Loans that are 60 or more days
delinquent.
Cumulative Loss Trigger Event: A Cumulative Loss Trigger Event is in effect on
any Distribution Date if the aggregate amount
of Realized Losses incurred since the cut-off
date through the last day of the related
Prepayment Period divided by the aggregate
Stated Principal Balance of the mortgage loans
as of the cut-off date exceeds the applicable
percentages described below with respect to
such distribution date:
Months 25- 36 [1.50] for the first
month, plus an
additional 1/12th of
[1.50] for each month
thereafter (e.g.,
approximately [2.250]
in Month 31)
Months 37- 48 [3.00] for the first
month, plus an
additional 1/12th of
[1.75] for each month
thereafter (e.g.,
approximately [3.875]
in Month 43)
Months 49- 60 [4.75] for the first
month, plus an
additional 1/12th of
[1.25] for each month
thereafter (e.g.,
approximately [5.375]
in Month 55)
Months 61- 72 [6.00] for the first
month, plus an
additional 1/12th of
[0.75] for each month
thereafter (e.g.,
approximately [6.375]
in Month 67)
Months 73- thereafter [6.75]
Sequential Trigger Event: A Sequential Trigger Event is in effect on any
Distribution Date if, before the 37th
Distribution Date, the aggregate amount of
Realized Losses incurred since the cut-off date
through the last day of the related Prepayment
Period divided by the aggregate Stated
Principal Balance of the mortgage loans as of
the cut-off date exceeds [3.00]%, or if, on or
after the 37th Distribution Date, a Trigger
Event is in effect.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 5
Initial Subordination Class A: 20.40%
Percentage: Class M-1: 17.05%
Class M-2: 14.00%
Class M-3: 12.10%
Class M-4: 10.35%
Class M-5: 8.75%
Class M-6: 7.20%
Class B-1: 5.90%
Class B-2: 4.70%
Class B-3: 3.55%
Optional Clean-up Call: When the current aggregate principal balance of
the Mortgage Loans is less than or equal to 10%
of the aggregate principal balance of the
Mortgage Loans as of the cut-off date.
Step-up Coupons: For all Offered Certificates the coupon will
increase after the optional clean-up call date,
should the call not be exercised. The
applicable fixed margin will increase by 2x on
the Class A Certificates and by 1.5x on all
other Certificates after the first distribution
date on which the Optional Clean-up Call is
exercisable.
Group I Class A Certificates The Class A-1ss and A-1mz Certificates will
Pass-Through Rate: accrue interest at a variable rate equal to the
least of (i) one-month LIBOR plus [] bps ([]
bps after the first distribution date on which
the Optional Clean-up Call is exercisable),
(ii) the Loan Group I Cap and (iii) the WAC
Cap.
Group II Class A Certificates The Class A-2a and A-2b Certificates will
Pass-Through Rate: accrue interest at a variable rate equal to the
least of (i) one-month LIBOR plus [] bps ([]
bps after the first distribution date on which
the Optional Clean-up Call is exercisable),
(ii) the Loan Group II Cap and (iii) the WAC
Cap.
Class M-1 Pass-Through Rate: The Class M-1 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class M-2 Pass-Through Rate: The Class M-2 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class M-3 Pass-Through Rate: The Class M-3 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class M-4 Pass-Through Rate: The Class M-4 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class M-5 Pass-Through Rate: The Class M-5 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class M-6 Pass-Through Rate: The Class M-6 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class B-1 Pass-Through Rate: The Class B-1 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class B-2 Pass-Through Rate: The Class B-2 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
Class B-3 Pass-Through Rate: The Class B-3 Certificates will accrue interest
at a variable rate equal to the lesser of (i)
one-month LIBOR plus [] bps ([] bps after the
first distribution date on which the Optional
Clean-up Call is exercisable) and (ii) the WAC
Cap.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 6
WAC Cap: For any distribution date, the weighted average
of the mortgage rates for each mortgage loan
(in each case, less the applicable Expense Fee
Rate) then in effect on the beginning of the
related Due Period, and less the Class A-2b
insurance premium in the case of the Class A-2b
Certificates, adjusted, in each case, to accrue
on the basis of a 360-day year and the actual
number of days in the related Interest Accrual
Period.
Loan Group I Cap: For any distribution date, the weighted average
of the mortgage rates for each group I mortgage
loan (in each case, less the applicable Expense
Fee Rate) then in effect on the beginning of
the related Due Period, adjusted, in each case,
to accrue on the basis of a 360-day year and
the actual number of days in the related
Interest Accrual Period.
Loan Group II Cap: For any distribution date, the weighted average
of the mortgage rates for each group II
mortgage loan (in each case, less the
applicable Expense Fee Rate) then in effect on
the beginning of the related Due Period, and
less the Class A-2b insurance premium in the
case of the Class A-2b Certificates, adjusted,
in each case, to accrue on the basis of a
360-day year and the actual number of days in
the related interest accrual period.
Group I Class A Basis Risk As to any Distribution Date, the supplemental
Carry Forward Amount: interest amount for the Group I Class A
Certificates will equal the sum of:
(i) The excess, if any, of interest that
would otherwise be due on such
Certificates at the Group I Class A
Certificates Pass-Through Rate (without
regard to the Loan Group I Cap or WAC
Cap) over interest due such Certificates
at a rate equal to the lesser of the Loan
Group I Cap or WAC Cap;
(ii) Any Group I Class A Basis Risk Carry
Forward Amount remaining unpaid from
prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at
the related Group I Class A Certificates
Pass-Through Rate (without regard to the
Loan Group I Cap or WAC Cap).
Group II Class A Basis Risk As to any Distribution Date, the supplemental
Carry Forward Amount: interest amount for each of the Group II Class
A Certificates will equal the sum of:
(i) The excess, if any, of interest that
would otherwise be due on such
Certificates at the Group II Class A
Certificates Pass-Through Rate (without
regard to the Loan Group II Cap or WAC
Cap) over interest due such Certificates
at a rate equal to the lesser of the Loan
Group II Cap or WAC Cap;
(ii) Any Group II Class A Basis Risk Carry
Forward Amount remaining unpaid from
prior Distribution Dates; and
(iii) Interest on the amount in clause (ii) at
the related Group II Class A Certificates
Pass-Through Rate (without regard to the
Loan Group II Cap or WAC Cap).
Class M-1, M-2, M-3, As to any Distribution Date, the supplemental
M-4, M-5, M-6, B-1, B-2 interest amount for each of the Class M-1, M-2,
and B-3 Basis Risk Carry M-3, M-4, M-5, M-6, B-1, B-2 and B-3
Forward Amounts: Certificates will equal the sum of:
(i) The excess, if any, of interest that
would otherwise be due on such
Certificates at such Certificates'
applicable Pass-Through Rate (without
regard to the WAC Cap) over interest due
such Certificates at a rate equal to the
WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for
such class remaining unpaid for such
Certificate from prior Distribution
Dates; and
(iii) Interest on the amount in clause (ii) at
the Certificates' applicable Pass-Through
Rate (without regard to the WAC Cap).
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 7
Interest Distributions on On each Distribution Date and after payments of
Offered Certificates: servicing and trustee fees and other expenses,
interest distributions from the Interest
Remittance Amount will be allocated as follows:
(i) The portion of the Interest Remittance
Amount attributable to the Group I
Mortgage Loans will be allocated
according to the related Accrued
Certificate Interest and any unpaid
interest shortfall amounts for such
class, as applicable, first, pro rata to
the Group I Class A Certificates and
second, pro rata to the Group II Class A
Certificates and (according to any
unpaid Class A-2b Insurance premiums and
any unreimbursed Class A-2b Insurance
Payment Amounts) the Class A-2b Insurer;
(ii) The portion of the Interest Remittance
Amount attributable to the Group II
Mortgage Loans will be allocated
according to the related Accrued
Certificate Interest and any unpaid
interest shortfall amounts for such
class, as applicable, first, pro rata to
the Group II Class A Certificates and
(according to any unpaid Class A-2b
Insurance premiums and any unreimbursed
Class A-2b Insurance Payment Amounts)
the Class A-2b Insurer and second, pro
rata to the Group I Class A
Certificates;
(iii) To the Class M-1 Certificates, its
Accrued Certificate Interest;
(iv) To the Class M-2 Certificates, its
Accrued Certificate Interest;
(v) To the Class M-3 Certificates, its
Accrued Certificate Interest;
(vi) To the Class M-4 Certificates, its
Accrued Certificate Interest;
(vii) To the Class M-5 Certificates, its
Accrued Certificate Interest;
(viii) To the Class M-6 Certificates, its
Accrued Certificate Interest;
(ix) To the Class B-1 Certificates, its
Accrued Certificate Interest;
(x) To the Class B-2 Certificates, its
Accrued Certificate Interest; and
(xi) To the Class B-3 Certificates, its
Accrued Certificate Interest.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 8
Principal Distributions on On each Distribution Date (a) prior to the
Offered Certificates: Stepdown Date or (b) on which a Trigger Event
is in effect, principal distributions from the
Principal Distribution Amount will be allocated
as follows:
(i) to the Class A Certificates, allocated
between the Class A Certificates as
described below, until the Certificate
Principal Balances thereof have been
reduced to zero;
(ii) to the Class M-1 Certificates, until the
Certificate Principal Balance thereof
has been reduced to zero;
(iii) to the Class M-2 Certificates, until the
Certificate Principal Balance thereof
has been reduced to zero;
(iv) to the Class M-3 Certificates, until the
Certificate Principal Balance thereof
has been reduced to zero;
(v) to the Class M-4 Certificates, until the
Certificate Principal Balance thereof
has been reduced to zero;
(vi) to the Class M-5 Certificates, until the
Certificate Principal Balance thereof
has been reduced to zero;
(vii) to the Class M-6 Certificates, until the
Certificate Principal Balance thereof
has been reduced to zero;
(viii) to the Class B-1 Certificates, until the
Certificate Principal Balance thereof
has been reduced to zero;
(ix) to the Class B-2 Certificates, until the
Certificate Principal Balance thereof
has been reduced to zero; and
(x) to the Class B-3 Certificates, until the
Certificate Principal Balance thereof
has been reduced to zero.
On each Distribution Date (a) on or after the
Stepdown Date and (b) on which a Trigger Event
is not in effect, the principal distributions
from the Principal Distribution Amount will be
allocated as follows:
(i) to the Class A Certificates, the lesser
of the Principal Distribution Amount and
the Class A Principal Distribution
Amount, allocated between the Class A
Certificates as described below, until
the Certificate Principal Balances
thereof have been reduced to zero;
(ii) to the Class M-1 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-1
Principal Distribution Amount, until the
Certificate Principal Balance thereof
has been reduced to zero;
(iii) to the Class M-2 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-2
Principal Distribution Amount, until the
Certificate Principal Balance thereof
has been reduced to zero;
(iv) to the Class M-3 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-3
Principal Distribution Amount, until the
Certificate Principal Balance thereof
has been reduced to zero;
(v) to the Class M-4 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-4
Principal Distribution Amount, until the
Certificate Principal Balance thereof
has been reduced to zero;
(vi) to the Class M-5 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-5
Principal Distribution Amount, until the
Certificate Principal Balance thereof
has been reduced to zero;
(vii) to the Class M-6 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class M-6
Principal Distribution Amount, until the
Certificate Principal Balance thereof
has been reduced to zero;
(viii) to the Class B-1 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-1
Principal Distribution Amount, until the
Certificate Principal Balance thereof
has been reduced to zero;
(ix) to the Class B-2 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-2
Principal Distribution Amount, until the
Certificate Principal Balance thereof
has been reduced to zero; and
(x) to the Class B-3 Certificates, the
lesser of the remaining Principal
Distribution Amount and the Class B-3
Principal Distribution Amount, until the
Certificate Principal Balance thereof
has been reduced to zero.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 9
Class A Principal Allocation: Except as described below, the Group II Class A
Certificates will receive principal
sequentially; the Class A-2b Certificates will
not receive principal distributions until the
Certificate Principal Balance of the Class A-2a
Certificates has been reduced to zero.
All principal distributions to the holders of
the Class A Certificates on any Distribution
Date will be allocated concurrently between the
Group I Class A Certificates, on the one hand,
and the Group II Class A Certificates, on the
other hand, based on the Class A Principal
Allocation Percentage for the Group I Class A
Certificates and the Group II Class A
Certificates, as applicable.
However, if the Class Certificate Balances of
the Class A Certificates in either Class A
Certificate Group are reduced to zero, then the
remaining amount of principal distributions
distributable to the Class A Certificates on
that Distribution Date, and the amount of those
principal distributions distributable on all
subsequent Distribution Dates, will be
distributed to the holders of the Class A
certificates in the other Class A Certificate
Group remaining outstanding, in accordance with
the principal distribution allocations
described herein, until their Class Certificate
Balances have been reduced to zero. Any
payments of principal to the Group I Class A
Certificates will be made first from payments
relating to the Group I Mortgage Loans, and any
payments of principal to the Group II Class A
Certificates will be made first from payments
relating to the Group II Mortgage Loans.
Any principal distributions allocated to the
Group I Class A Certificates are required to be
distributed pro rata between the Class A-1ss
Certificates and the Class A-1mz Certificates,
with the exception that if a Sequential Trigger
Event is in effect, principal distributions
from the Group I Mortgage Loans will be
distributed first, to the Class A-1ss
Certificates until their Class Certificate
balance has been reduced to zero, and second,
to the Class A-1mz Certificates until their
Class Certificate balance has been reduced to
zero.
Notwithstanding the above, in the event that
all subordinate classes, including the Class X
certificates, have been reduced to zero,
principal distributions to the Group II Class A
Certificates will be distributed pro rata to
the Class A-2a and Class A-2b Certificates.
Group I Class A Interest Rate Beginning on the first Distribution Date, and
Cap: for a period of 32 months thereafter, an
Interest Rate Cap will be entered into by the
Trust for the benefit of the Group I Class A
Certificates.
For its duration, the Group I Class A Interest
Rate Cap pays the Trust the product of (i) the
excess, if any, of the then current 1-month
LIBOR rate (not to exceed the cap ceiling) over
the cap strike (on an Actual/360 day count
basis) and (ii) the Group I Class A Interest
Rate Cap Notional Balance ("the Group I Class A
Interest Rate Cap Payment") as described on the
schedule herein.
Group I Class A Interest Rate The Group I Class A Interest Rate Cap Payment
Cap Payment Allocation: shall be available to pay any Basis Risk Carry
Forward Amount due to the Group I Class A
Certificates on a pro rata basis.
Group II Class A Interest Rate Beginning on the first Distribution Date, and
Cap: for a period of 32 months thereafter, an
Interest Rate Cap will be entered into by the
Trust for the benefit of the Group II Class A
Certificates.
For its duration, the Group II Class A Interest
Rate Cap pays the Trust the product of (i) the
excess, if any, of the then current 1-month
LIBOR rate (not to exceed the cap ceiling) over
the cap strike (on an Actual/360 day count
basis) and (ii) the Group II Class A Interest
Rate Cap Notional Balance ("the Group II Class
A Interest Rate Cap Payment") as described on
the schedule herein.
Group II Class A Interest Rate The Group II Class A Interest Rate Cap Payment
Cap Payment Allocation: shall be available to pay any Basis Risk Carry
Forward Amount due to the Group II Class A
Certificates on a pro rata basis.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 10
Class M Interest Rate Cap: Beginning on the first Distribution Date, and
for a period of 44 months thereafter, an
Interest Rate Cap will be entered into by the
Trust for the benefit of the Class M
Certificates.
For its duration, the Class M Interest Rate Cap
pays the Trust the product of (i) the excess,
if any, of the then current 1-month LIBOR rate
(not to exceed the cap ceiling) over the cap
strike (on an Actual/360 day count basis) and
(ii) the Class M Interest Rate Cap Notional
Balance ("the Class M Interest Rate Cap
Payment") as described on the schedule herein.
Class M Interest Rate Cap The Class M Interest Rate Cap Payment shall be
Payment Allocation: available to pay any Basis Risk Carry Forward
Amount due to the Class M-1, Class M-2, Class
M-3, Class M-4, Class M-5 and Class M-6
Certificates on a pro rata basis.
Class B Interest Rate Cap: Beginning on the first Distribution Date, and
for a period of 44 months thereafter, an
Interest Rate Cap will be entered into by the
Trust for the benefit of the Class B
Certificates.
For its duration, the Class B Interest Rate Cap
pays the Trust the product of (i) the excess,
if any, of the then current 1-month LIBOR rate
(not to exceed the cap ceiling) over the cap
strike (on an Actual/360 day count basis) and
(ii) the Class B Interest Rate Cap Notional
Balance ("the Class B Interest Rate Cap
Payment") as described on the schedule herein.
Class B Interest Rate Cap The Class B Interest Rate Cap Payment shall be
Payment Allocation: available to pay any Basis Risk Carry Forward
Amount due to the Class B-1, Class B-2 and
Class B-3 Certificates on a pro rata basis.
Allocation of Net Monthly For any Distribution Date, any Net Monthly
Excess Cashflow: Excess Cashflow shall be paid as follows:
(i) to the Class M-1 Certificates, the
unpaid interest shortfall amount;
(ii) to the Class M-1 Certificates, the
allocated unreimbursed realized loss
amount;
(iii) to the Class M-2 Certificates, the
unpaid interest shortfall amount;
(iv) to the Class M-2 Certificates, the
allocated unreimbursed realized loss
amount;
(v) to the Class M-3 Certificates, the
unpaid interest shortfall amount;
(vi) to the Class M-3 Certificates, the
allocated unreimbursed realized loss
amount;
(vii) to the Class M-4 Certificates, the
unpaid interest shortfall amount;
(viii) to the Class M-4 Certificates, the
allocated unreimbursed realized loss
amount;
(ix) to the Class M-5 Certificates, the
unpaid interest shortfall amount;
(x) to the Class M-5 Certificates, the
allocated unreimbursed realized loss
amount;
(xi) to the Class M-6 Certificates, the
unpaid interest shortfall amount;
(xii) to the Class M-6 Certificates, the
allocated unreimbursed realized loss
amount;
(xiii) to the Class B-1 Certificates, the
unpaid interest shortfall amount;
(xiv) to the Class B-1 Certificates, the
allocated unreimbursed realized loss
amount;
(xv) to the Class B-2 Certificates, the
unpaid interest shortfall amount;
(xvi) to the Class B-2 Certificates, the
allocated unreimbursed realized loss
amount;
(xvii) to the Class B-3 Certificates, the
unpaid interest shortfall amount;
(xviii) to the Class B-3 Certificates, the
allocated unreimbursed realized loss
amount;
(xix) concurrently, any Group I Class A Basis
Risk Carry Forward Amount to the Group
I Class A Certificates, and any Group
II Class A Basis Risk Carry Forward
Amount to the Group II Class A
Certificates; and
(xx) sequentially, to Classes M-1, M-2, M-3,
M-4, M-5, M-6, B-1, B-2 and B-3
Certificates, in such order, any Basis
Risk Carry Forward Amount for such
classes.
Interest Remittance Amount: For any Distribution Date, the portion of
available funds for such Distribution Date
attributable to interest received or advanced
on the Mortgage Loans.
Accrued Certificate Interest: For any Distribution Date and each class of
Offered Certificates, equals the amount of
interest accrued during the related interest
accrual period at the related Pass-through
Rate, reduced by any prepayment interest
shortfalls and shortfalls resulting from the
application of the Servicemembers Civil Relief
Act or similar state law allocated to such
class.
Class A-2b Insurance Payment For any Distribution Date, the Class A-2b
Amount: Insurance Payment Amount equals Accrued
Certificate Interest and principal with respect
to the Class A-2b Certificates, to the extent
covered by the Class A-2b Insurer.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 11
Principal Distribution Amount: On any Distribution Date, the sum of (i) the
Basic Principal Distribution Amount and (ii)
the Extra Principal Distribution Amount.
Basic Principal Distribution On any Distribution Date, the excess of (i) the
Amount: aggregate principal remittance amount over (ii)
the Excess Subordinated Amount, if any.
Net Monthly Excess Cashflow: For any Distribution Date is the amount of
funds available for distribution on such
Distribution Date remaining after making all
distributions of interest and principal on the
certificates.
Extra Principal Distribution For any Distribution Date, the lesser of (i)
Amount: the excess of (x) interest collected or
advanced with respect to the Mortgage Loans
with due dates in the related Due Period (less
servicing and trustee fees and expenses), over
(y) the sum of interest payable on the
Certificates on such Distribution Date and (ii)
the overcollateralization deficiency amount for
such Distribution Date.
Excess Subordinated Amount: For any Distribution Date, means the excess, if
any of (i) the overcollateralization and (ii)
the required overcollateralization for such
Distribution Date.
Class A Principal Allocation For any Distribution Date, the percentage
Percentage: equivalent of a fraction, determined as
follows: (i) in the case of the Group I Class A
Certificates the numerator of which is (x) the
portion of the principal remittance amount for
such Distribution Date that is attributable to
principal received or advanced on the Group I
Mortgage Loans and the denominator of which is
(y) the principal remittance amount for such
Distribution Date and (ii) in the case of the
Group II Class A Certificates, the numerator of
which is (x) the portion of the principal
remittance amount for such Distribution Date
that is attributable to principal received or
advanced on the Group II Mortgage Loans and the
denominator of which is (y) the principal
remittance amount for such Distribution Date.
Class A Principal Distribution For any Distribution Date, an amount equal to
Amount: the excess of (x) the aggregate Certificate
Principal Balance of the Class A Certificates
immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i)
approximately 59.20% and (ii) the aggregate
principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B)
the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last
day of the related Due Period over $4,933,284.
Class M-1 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date) and (ii) the
Certificate Principal Balance of the Class M-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 65.90% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period over $4,933,284.
Class M-2 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date) and (iii) the
Certificate Principal Balance of the Class M-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 72.00% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period over $4,933,284.
Class M-3 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date) and (iv) the
Certificate Principal Balance of the Class M-3
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 75.80% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period over $4,933,284.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 12
Class M-4 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date) and (v) the
Certificate Principal Balance of the Class M-4
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 79.30% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period over $4,933,284.
Class M-5 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the
Certificate Principal Balance of the Class M-4
Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date) and (vi) the
Certificate Principal Balance of the Class M-5
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 82.50% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period over $4,933,284.
Class M-6 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the
Certificate Principal Balance of the Class M-4
Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal Distribution
Amount on such Distribution Date) and (vii) the
Certificate Principal Balance of the Class M-6
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 85.60% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period over $4,933,284.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 13
Class B-1 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the
Certificate Principal Balance of the Class M-4
Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal Distribution
Amount on such Distribution Date), (vii) the
Certificate Principal Balance of the Class M-6
Certificates (after taking into account the
payment of the Class M-6 Principal Distribution
Amount on such Distribution Date) and (viii)
the Certificate Principal Balance of the Class
B-1 Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 88.20% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period over $4,933,284.
Class B-2 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the
Certificate Principal Balance of the Class M-4
Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal Distribution
Amount on such Distribution Date), (vii) the
Certificate Principal Balance of the Class M-6
Certificates (after taking into account the
payment of the Class M-6 Principal Distribution
Amount on such Distribution Date), (viii) the
Certificate Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal Distribution
Amount on such Distribution Date) and (ix) the
Certificate Principal Balance of the Class B-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 90.60% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period over $4,933,284.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 14
Class B-3 Principal For any Distribution Date, an amount equal to
Distribution Amount: the excess of (x) the sum of (i) the aggregate
Certificate Principal Balance of the Class A
Certificates (after taking into account the
payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3
Certificates (after taking into account the
payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the
Certificate Principal Balance of the Class M-4
Certificates (after taking into account the
payment of the Class M-4 Principal Distribution
Amount on such Distribution Date), (vi) the
Certificate Principal Balance of the Class M-5
Certificates (after taking into account the
payment of the Class M-5 Principal Distribution
Amount on such Distribution Date), (vii) the
Certificate Principal Balance of the Class M-6
Certificates (after taking into account the
payment of the Class M-6 Principal Distribution
Amount on such Distribution Date), (viii) the
Certificate Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal Distribution
Amount on such Distribution Date), (ix) the
Certificate Principal Balance of the Class B-2
Certificates (after taking into account the
payment of the Class B-2 Principal Distribution
Amount on such Distribution Date) and (x) the
Certificate Principal Balance of the Class B-3
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A)
the product of (i) approximately 92.90% and
(ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any,
of the aggregate principal balance of the
Mortgage Loans as of the last day of the
related Due Period over $4,933,284.
Trust Tax Status: REMIC.
ERISA Eligibility: Subject to the considerations in the
Prospectus, all Offered Certificates are ERISA
eligible.
SMMEA Eligibility: It is anticipated that none of the Offered
Certificates will be SMMEA eligible.
Prospectus: The Class A-1ss, Class A-1mz, Class A-2a, Class
A-2b, Class M-1, Class M-2, Class M-3, Class
M-4, Class M-5, Class M-6, Class B-1, Class B-2
and Class B-3 Certificates are being offered
pursuant to a prospectus supplemented by a
prospectus supplement (together, the
"Prospectus"). Complete information with
respect to the Offered Certificates and the
collateral securing them is contained in the
Prospectus. The information herein is qualified
in its entirety by the information appearing in
the Prospectus. To the extent that the
information herein is inconsistent with the
Prospectus, the Prospectus shall govern in all
respects. Sales of the Offered Certificates may
not be consummated unless the purchaser has
received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR
A DESCRIPTION OF INFORMATION THAT SHOULD BE
CONSIDERED IN CONNECTION WITH AN INVESTMENT IN
THE OFFERED CERTIFICATES.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 15
Weighted Average Life Sensitivity
To CALL
-------- ----------------------- ----------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
-------- ----------------------- ----------------------------------------------------------------------------------------------
A-1ss WAL (yrs) 4.86 4.08 3.25 2.35 1.72 1.22 0.99
First Payment Date 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005
Expected Final Maturity 10/25/2019 8/25/2017 2/25/2015 7/25/2012 12/25/2010 10/25/2009 11/25/2007
Window 1 - 174 1 - 148 1 - 118 1 - 87 1 - 68 1 - 54 1 - 31
-------- ----------------------- ----------------------------------------------------------------------------------------------
A-1mz WAL (yrs) 4.86 4.08 3.25 2.35 1.72 1.22 0.99
First Payment Date 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005
Expected Final Maturity 10/25/2019 8/25/2017 2/25/2015 7/25/2012 12/25/2010 10/25/2009 11/25/2007
Window 1 - 174 1 - 148 1 - 118 1 - 87 1 - 68 1 - 54 1 - 31
-------- ----------------------- ----------------------------------------------------------------------------------------------
A-2a WAL (yrs) 2.05 1.71 1.36 1.00 0.78 0.63 0.53
First Payment Date 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005
Expected Final Maturity 11/25/2009 2/25/2009 4/25/2008 7/25/2007 1/25/2007 9/25/2006 6/25/2006
Window 1 - 55 1 - 46 1 - 36 1 - 27 1 - 21 1 - 17 1 - 14
-------- ----------------------- ----------------------------------------------------------------------------------------------
A-2b WAL (yrs) 9.55 8.04 6.40 4.59 3.26 2.20 1.77
First Payment Date 12/2/2009 3/2/2009 5/2/2008 8/2/2007 2/2/2007 10/2/2006 7/2/2006
Expected Final Maturity 11/2/2019 9/2/2017 3/2/2015 8/2/2012 1/2/2011 11/2/2009 12/2/2007
Window 55 - 174 46 - 148 36 - 118 27 - 87 21 - 68 17 - 54 14 - 31
-------- ----------------------- ----------------------------------------------------------------------------------------------
M-1 WAL (yrs) 9.60 8.08 6.43 4.98 4.68 4.47 3.60
First Payment Date 12/25/2009 2/25/2009 5/25/2008 10/25/2008 6/25/2009 10/25/2009 11/25/2007
Expected Final Maturity 10/25/2019 8/25/2017 2/25/2015 7/25/2012 12/25/2010 10/25/2009 1/25/2009
Window 56 - 174 46 - 148 37 - 118 42 - 87 50 - 68 54 - 54 31 - 45
-------- ----------------------- ----------------------------------------------------------------------------------------------
M-2 WAL (yrs) 9.60 8.08 6.43 4.93 4.42 4.47 3.72
First Payment Date 12/25/2009 2/25/2009 5/25/2008 9/25/2008 2/25/2009 9/25/2009 1/25/2009
Expected Final Maturity 10/25/2019 8/25/2017 2/25/2015 7/25/2012 12/25/2010 10/25/2009 1/25/2009
Window 56 - 174 46 - 148 37 - 118 41 - 87 46 - 68 53 - 54 45 - 45
-------- ----------------------- ----------------------------------------------------------------------------------------------
M-3 WAL (yrs) 9.60 8.08 6.43 4.90 4.29 4.27 3.71
First Payment Date 12/25/2009 2/25/2009 5/25/2008 8/25/2008 12/25/2008 5/25/2009 12/25/2008
Expected Final Maturity 10/25/2019 8/25/2017 2/25/2015 7/25/2012 12/25/2010 10/25/2009 1/25/2009
Window 56 - 174 46 - 148 37 - 118 40 - 87 44 - 68 49 - 54 44 - 45
-------- ----------------------- ----------------------------------------------------------------------------------------------
M-4 WAL (yrs) 9.60 8.08 6.43 4.88 4.21 4.06 3.54
First Payment Date 12/25/2009 2/25/2009 5/25/2008 7/25/2008 10/25/2008 2/25/2009 9/25/2008
Expected Final Maturity 10/25/2019 8/25/2017 2/25/2015 7/25/2012 12/25/2010 10/25/2009 1/25/2009
Window 56 - 174 46 - 148 37 - 118 39 - 87 42 - 68 46 - 54 41 - 45
-------- ----------------------- ----------------------------------------------------------------------------------------------
M-5 WAL (yrs) 9.60 8.08 6.43 4.86 4.15 3.91 3.39
First Payment Date 12/25/2009 2/25/2009 5/25/2008 7/25/2008 9/25/2008 12/25/2008 7/25/2008
Expected Final Maturity 10/25/2019 8/25/2017 2/25/2015 7/25/2012 12/25/2010 10/25/2009 1/25/2009
Window 56 - 174 46 - 148 37 - 118 39 - 87 41 - 68 44 - 54 39 - 45
-------- ----------------------- ----------------------------------------------------------------------------------------------
M-6 WAL (yrs) 9.60 8.08 6.43 4.86 4.11 3.80 3.27
First Payment Date 12/25/2009 2/25/2009 5/25/2008 6/25/2008 8/25/2008 10/25/2008 5/25/2008
Expected Final Maturity 10/25/2019 8/25/2017 2/25/2015 7/25/2012 12/25/2010 10/25/2009 1/25/2009
Window 56 - 174 46 - 148 37 - 118 38 - 87 40 - 68 42 - 54 37 - 45
-------- ----------------------- ----------------------------------------------------------------------------------------------
B-1 WAL (yrs) 9.60 8.08 6.43 4.84 4.08 3.71 3.18
First Payment Date 12/25/2009 2/25/2009 5/25/2008 6/25/2008 7/25/2008 9/25/2008 4/25/2008
Expected Final Maturity 10/25/2019 8/25/2017 2/25/2015 7/25/2012 12/25/2010 10/25/2009 1/25/2009
Window 56 - 174 46 - 148 37 - 118 38 - 87 39 - 68 41 - 54 36 - 45
-------- ----------------------- ----------------------------------------------------------------------------------------------
B-2 WAL (yrs) 9.60 8.08 6.43 4.84 4.04 3.65 3.11
First Payment Date 12/25/2009 2/25/2009 5/25/2008 6/25/2008 7/25/2008 8/25/2008 3/25/2008
Expected Final Maturity 10/25/2019 8/25/2017 2/25/2015 7/25/2012 12/25/2010 10/25/2009 1/25/2009
Window 56 - 174 46 - 148 37 - 118 38 - 87 39 - 68 40 - 54 35 - 45
-------- ----------------------- ----------------------------------------------------------------------------------------------
B-3 WAL (yrs) 9.60 8.08 6.43 4.83 4.02 3.60 3.06
First Payment Date 12/25/2009 2/25/2009 5/25/2008 5/25/2008 6/25/2008 7/25/2008 2/25/2008
Expected Final Maturity 10/25/2019 8/25/2017 2/25/2015 7/25/2012 12/25/2010 10/25/2009 1/25/2009
Window 56 - 174 46 - 148 37 - 118 37 - 87 38 - 68 39 - 54 34 - 45
-------- ----------------------- ----------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 16
Weighted Average Life Sensitivity
To MATURITY
-------- ----------------------- ------------------------------------------------------------------------------------------------
PPC (%) 50 60 75 100 125 150 175
-------- ----------------------- ------------------------------------------------------------------------------------------------
A-1ss WAL (yrs) 5.16 4.37 3.52 2.56 1.88 1.29 0.99
First Payment Date 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005
Expected Final Maturity 10/25/2031 7/25/2029 11/25/2025 12/25/2020 3/25/2018 9/25/2015 11/25/2007
Window 1 - 318 1 - 291 1 - 247 1 - 188 1 - 155 1 - 125 1 - 31
-------- ----------------------- ------------------------------------------------------------------------------------------------
A-1mz WAL (yrs) 5.16 4.37 3.52 2.56 1.88 1.29 0.99
First Payment Date 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005
Expected Final Maturity 10/25/2031 7/25/2029 11/25/2025 12/25/2020 3/25/2018 9/25/2015 11/25/2007
Window 1 - 318 1 - 291 1 - 247 1 - 188 1 - 155 1 - 125 1 - 31
-------- ----------------------- ------------------------------------------------------------------------------------------------
A-2a WAL (yrs) 2.05 1.71 1.36 1.00 0.78 0.63 0.53
First Payment Date 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005 5/25/2005
Expected Final Maturity 11/25/2009 2/25/2009 4/25/2008 7/25/2007 1/25/2007 9/25/2006 6/25/2006
Window 1 - 55 1 - 46 1 - 36 1 - 27 1 - 21 1 - 17 1 - 14
-------- ----------------------- ------------------------------------------------------------------------------------------------
A-2b WAL (yrs) 10.35 8.81 7.10 5.15 3.70 2.38 1.77
First Payment Date 12/2/2009 3/2/2009 5/2/2008 8/2/2007 2/2/2007 10/2/2006 7/2/2006
Expected Final Maturity 12/2/2031 9/2/2029 1/2/2026 1/2/2021 3/2/2018 9/2/2015 12/2/2007
Window 55 - 319 46 - 292 36 - 248 27 - 188 21 - 154 17 - 124 14 - 31
-------- ----------------------- ------------------------------------------------------------------------------------------------
M-1 WAL (yrs) 10.36 8.81 7.10 5.52 5.09 6.24 5.89
First Payment Date 12/25/2009 2/25/2009 5/25/2008 10/25/2008 6/25/2009 7/25/2010 11/25/2007
Expected Final Maturity 2/25/2029 5/25/2026 10/25/2022 12/25/2018 1/25/2016 12/25/2013 11/25/2013
Window 56 - 286 46 - 253 37 - 210 42 - 164 50 - 129 63 - 104 31 - 103
-------- ----------------------- ------------------------------------------------------------------------------------------------
M-2 WAL (yrs) 10.33 8.78 7.08 5.45 4.82 5.04 4.56
First Payment Date 12/25/2009 2/25/2009 5/25/2008 9/25/2008 2/25/2009 9/25/2009 4/25/2009
Expected Final Maturity 6/25/2028 9/25/2025 2/25/2022 6/25/2018 7/25/2015 7/25/2013 2/25/2012
Window 56 - 278 46 - 245 37 - 202 41 - 158 46 - 123 53 - 99 48 - 82
-------- ----------------------- ------------------------------------------------------------------------------------------------
M-3 WAL (yrs) 10.31 8.76 7.05 5.40 4.67 4.60 4.03
First Payment Date 12/25/2009 2/25/2009 5/25/2008 8/25/2008 12/25/2008 5/25/2009 12/25/2008
Expected Final Maturity 9/25/2027 11/25/2024 5/25/2021 11/25/2017 2/25/2015 3/25/2013 10/25/2011
Window 56 - 269 46 - 235 37 - 193 40 - 151 44 - 118 49 - 95 44 - 78
-------- ----------------------- ------------------------------------------------------------------------------------------------
M-4 WAL (yrs) 10.28 8.73 7.03 5.37 4.59 4.37 3.79
First Payment Date 12/25/2009 2/25/2009 5/25/2008 7/25/2008 10/25/2008 2/25/2009 9/25/2008
Expected Final Maturity 1/25/2027 4/25/2024 10/25/2020 5/25/2017 9/25/2014 11/25/2012 7/25/2011
Window 56 - 261 46 - 228 37 - 186 39 - 145 42 - 113 46 - 91 41 - 75
-------- ----------------------- ------------------------------------------------------------------------------------------------
M-5 WAL (yrs) 10.25 8.70 7.01 5.32 4.51 4.21 3.62
First Payment Date 12/25/2009 2/25/2009 5/25/2008 7/25/2008 9/25/2008 12/25/2008 7/25/2008
Expected Final Maturity 5/25/2026 8/25/2023 3/25/2020 12/25/2016 5/25/2014 8/25/2012 4/25/2011
Window 56 - 253 46 - 220 37 - 179 39 - 140 41 - 109 44 - 88 39 - 72
-------- ----------------------- ------------------------------------------------------------------------------------------------
M-6 WAL (yrs) 10.20 8.65 7.00 5.28 4.44 4.08 3.48
First Payment Date 12/25/2009 2/25/2009 5/25/2008 6/25/2008 8/25/2008 10/25/2008 5/25/2008
Expected Final Maturity 8/25/2025 11/25/2022 1/25/2020 6/25/2016 12/25/2013 4/25/2012 1/25/2011
Window 56 - 244 46 - 211 37 - 177 38 - 134 40 - 104 42 - 84 37 - 69
-------- ----------------------- ------------------------------------------------------------------------------------------------
B-1 WAL (yrs) 10.13 8.59 6.94 5.23 4.37 3.96 3.37
First Payment Date 12/25/2009 2/25/2009 5/25/2008 6/25/2008 7/25/2008 9/25/2008 4/25/2008
Expected Final Maturity 9/25/2024 12/25/2021 6/25/2019 10/25/2015 6/25/2013 11/25/2011 9/25/2010
Window 56 - 233 46 - 200 37 - 170 38 - 126 39 - 98 41 - 79 36 - 65
-------- ----------------------- ------------------------------------------------------------------------------------------------
B-2 WAL (yrs) 10.04 8.50 6.87 5.17 4.30 3.86 3.28
First Payment Date 12/25/2009 2/25/2009 5/25/2008 6/25/2008 7/25/2008 8/25/2008 3/25/2008
Expected Final Maturity 9/25/2023 1/25/2021 9/25/2018 3/25/2015 1/25/2013 7/25/2011 5/25/2010
Window 56 - 221 46 - 189 37 - 161 38 - 119 39 - 93 40 - 75 35 - 61
-------- ----------------------- ------------------------------------------------------------------------------------------------
B-3 WAL (yrs) 9.90 8.43 6.76 5.08 4.20 3.76 3.18
First Payment Date 12/25/2009 2/25/2009 5/25/2008 5/25/2008 6/25/2008 7/25/2008 2/25/2008
Expected Final Maturity 7/25/2022 1/25/2020 10/25/2017 7/25/2014 6/25/2012 1/25/2011 1/25/2010
Window 56 - 207 46 - 177 37 - 150 37 - 111 38 - 86 39 - 69 34 - 57
-------- ----------------------- ------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 17
CPR Sensitivity
To CALL
-------- ----------------------- ---------------------------------------------
CPR (%) 20 25 30
-------- ----------------------- ---------------------------------------------
A-1ss WAL (yrs) 3.23 2.51 1.97
First Payment Date 5/25/2005 5/25/2005 5/25/2005
Expected Final Maturity 3/25/2015 1/25/2013 8/25/2011
Window 1 - 119 1 - 93 1 - 76
-------- ----------------------- ---------------------------------------------
A-1mz WAL (yrs) 3.23 2.51 1.97
First Payment Date 5/25/2005 5/25/2005 5/25/2005
Expected Final Maturity 3/25/2015 1/25/2013 8/25/2011
Window 1 - 119 1 - 93 1 - 76
-------- ----------------------- ---------------------------------------------
A-2a WAL (yrs) 1.33 1.04 0.84
First Payment Date 5/25/2005 5/25/2005 5/25/2005
Expected Final Maturity 4/25/2008 8/25/2007 3/25/2007
Window 1 - 36 1 - 28 1 - 23
-------- ----------------------- ---------------------------------------------
A-2b WAL (yrs) 6.42 4.96 3.84
First Payment Date 5/2/2008 9/2/2007 4/2/2007
Expected Final Maturity 4/2/2015 2/2/2013 9/2/2011
Window 36 - 119 28 - 93 23 - 76
-------- ----------------------- ---------------------------------------------
M-1 WAL (yrs) 6.44 5.21 4.71
First Payment Date 5/25/2008 9/25/2008 2/25/2009
Expected Final Maturity 3/25/2015 1/25/2013 8/25/2011
Window 37 - 119 41 - 93 46 - 76
-------- ----------------------- ---------------------------------------------
M-2 WAL (yrs) 6.44 5.18 4.58
First Payment Date 5/25/2008 8/25/2008 11/25/2008
Expected Final Maturity 3/25/2015 1/25/2013 8/25/2011
Window 37 - 119 40 - 93 43 - 76
-------- ----------------------- ---------------------------------------------
M-3 WAL (yrs) 6.44 5.16 4.50
First Payment Date 5/25/2008 7/25/2008 10/25/2008
Expected Final Maturity 3/25/2015 1/25/2013 8/25/2011
Window 37 - 119 39 - 93 42 - 76
-------- ----------------------- ---------------------------------------------
M-4 WAL (yrs) 6.44 5.15 4.46
First Payment Date 5/25/2008 7/25/2008 9/25/2008
Expected Final Maturity 3/25/2015 1/25/2013 8/25/2011
Window 37 - 119 39 - 93 41 - 76
-------- ----------------------- ---------------------------------------------
M-5 WAL (yrs) 6.44 5.14 4.42
First Payment Date 5/25/2008 6/25/2008 8/25/2008
Expected Final Maturity 3/25/2015 1/25/2013 8/25/2011
Window 37 - 119 38 - 93 40 - 76
-------- ----------------------- ---------------------------------------------
M-6 WAL (yrs) 6.44 5.13 4.40
First Payment Date 5/25/2008 6/25/2008 7/25/2008
Expected Final Maturity 3/25/2015 1/25/2013 8/25/2011
Window 37 - 119 38 - 93 39 - 76
-------- ----------------------- ---------------------------------------------
B-1 WAL (yrs) 6.44 5.13 4.37
First Payment Date 5/25/2008 6/25/2008 7/25/2008
Expected Final Maturity 3/25/2015 1/25/2013 8/25/2011
Window 37 - 119 38 - 93 39 - 76
-------- ----------------------- ---------------------------------------------
B-2 WAL (yrs) 6.44 5.12 4.35
First Payment Date 5/25/2008 5/25/2008 6/25/2008
Expected Final Maturity 3/25/2015 1/25/2013 8/25/2011
Window 37 - 119 37 - 93 38 - 76
-------- ----------------------- ---------------------------------------------
B-3 WAL (yrs) 6.44 5.11 4.34
First Payment Date 5/25/2008 5/25/2008 6/25/2008
Expected Final Maturity 3/25/2015 1/25/2013 8/25/2011
Window 37 - 119 37 - 93 38 - 76
-------- ----------------------- ---------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 18
CPR Sensitivity
To MATURITY
-------- ----------------------- ---------------------------------------------
CPR (%) 20 25 30
-------- ----------------------- ---------------------------------------------
A-1ss WAL (yrs) 3.49 2.73 2.15
First Payment Date 5/25/2005 5/25/2005 5/25/2005
Expected Final Maturity 2/25/2026 3/25/2022 7/25/2019
Window 1 - 250 1 - 203 1 - 171
-------- ----------------------- ---------------------------------------------
A-1mz WAL (yrs) 3.49 2.73 2.15
First Payment Date 5/25/2005 5/25/2005 5/25/2005
Expected Final Maturity 2/25/2026 3/25/2022 7/25/2019
Window 1 - 250 1 - 203 1 - 171
-------- ----------------------- ---------------------------------------------
A-2a WAL (yrs) 1.33 1.04 0.84
First Payment Date 5/25/2005 5/25/2005 5/25/2005
Expected Final Maturity 4/25/2008 8/25/2007 3/25/2007
Window 1 - 36 1 - 28 1 - 23
-------- ----------------------- ---------------------------------------------
A-2b WAL (yrs) 7.12 5.56 4.34
First Payment Date 5/2/2008 9/2/2007 4/2/2007
Expected Final Maturity 5/2/2026 6/2/2022 9/2/2019
Window 36 - 252 28 - 205 23 - 172
-------- ----------------------- ---------------------------------------------
M-1 WAL (yrs) 7.11 5.78 5.18
First Payment Date 5/25/2008 9/25/2008 2/25/2009
Expected Final Maturity 2/25/2023 11/25/2019 4/25/2017
Window 37 - 214 41 - 175 46 - 144
-------- ----------------------- ---------------------------------------------
M-2 WAL (yrs) 7.09 5.73 5.03
First Payment Date 5/25/2008 8/25/2008 11/25/2008
Expected Final Maturity 6/25/2022 4/25/2019 10/25/2016
Window 37 - 206 40 - 168 43 - 138
-------- ----------------------- ---------------------------------------------
M-3 WAL (yrs) 7.07 5.70 4.94
First Payment Date 5/25/2008 7/25/2008 10/25/2008
Expected Final Maturity 9/25/2021 9/25/2018 4/25/2016
Window 37 - 197 39 - 161 42 - 132
-------- ----------------------- ---------------------------------------------
M-4 WAL (yrs) 7.04 5.66 4.88
First Payment Date 5/25/2008 7/25/2008 9/25/2008
Expected Final Maturity 2/25/2021 3/25/2018 11/25/2015
Window 37 - 190 39 - 155 41 - 127
-------- ----------------------- ---------------------------------------------
M-5 WAL (yrs) 7.01 5.63 4.82
First Payment Date 5/25/2008 6/25/2008 8/25/2008
Expected Final Maturity 7/25/2020 9/25/2017 6/25/2015
Window 37 - 183 38 - 149 40 - 122
-------- ----------------------- ---------------------------------------------
M-6 WAL (yrs) 6.99 5.59 4.77
First Payment Date 5/25/2008 6/25/2008 7/25/2008
Expected Final Maturity 1/25/2020 3/25/2017 1/25/2015
Window 37 - 177 38 - 143 39 - 117
-------- ----------------------- ---------------------------------------------
B-1 WAL (yrs) 6.94 5.54 4.71
First Payment Date 5/25/2008 6/25/2008 7/25/2008
Expected Final Maturity 6/25/2019 7/25/2016 6/25/2014
Window 37 - 170 38 - 135 39 - 110
-------- ----------------------- ---------------------------------------------
B-2 WAL (yrs) 6.87 5.48 4.64
First Payment Date 5/25/2008 5/25/2008 6/25/2008
Expected Final Maturity 9/25/2018 11/25/2015 12/25/2013
Window 37 - 161 37 - 127 38 - 104
-------- ----------------------- ---------------------------------------------
B-3 WAL (yrs) 6.76 5.38 4.55
First Payment Date 5/25/2008 5/25/2008 6/25/2008
Expected Final Maturity 10/25/2017 2/25/2015 5/25/2013
Window 37 - 150 37 - 118 38 - 97
-------- ----------------------- ---------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 19
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-1ss Cap (%) A-1mz Cap (%) A-2a Cap (%) A-2b Cap (%)
------ ------------- ------------- ------------ ------------
Actual/360 Actual/360 Actual/360 Actual/360
0 -- -- -- --
1 14.08 14.08 14.12 13.30
2 10.01 10.01 10.06 10.32
3 10.25 10.25 10.29 9.89
4 10.04 10.04 10.09 10.02
5 10.06 10.06 10.10 10.37
6 10.29 10.29 10.33 9.93
7 10.09 10.09 10.13 10.40
8 10.32 10.32 10.36 9.96
9 10.12 10.12 10.16 10.09
10 9.99 9.99 10.08 11.08
11 10.71 10.71 10.80 9.69
12 10.02 10.02 10.11 10.38
13 10.26 10.26 10.35 9.95
14 10.05 10.05 10.14 10.41
15 10.29 10.29 10.38 9.98
16 9.99 9.99 10.08 10.01
17 10.01 10.01 10.10 10.37
18 10.26 10.26 10.35 9.94
19 10.05 10.05 10.14 10.41
20 10.30 10.30 10.39 9.99
21 10.10 10.10 10.19 10.12
22 10.03 10.03 10.04 11.04
23 10.95 10.95 10.97 9.84
24 10.09 10.09 10.11 10.37
25 10.40 10.40 10.42 10.02
26 10.16 10.16 10.18 10.45
27 10.48 10.48 10.50 10.09
28 9.99 9.99 -- 9.94
29 10.03 10.03 -- 10.32
30 10.39 10.39 -- 10.01
31 10.14 10.14 -- 10.43
32 10.51 10.51 -- 10.13
33 10.26 10.26 -- 10.21
34 10.43 10.43 -- 11.10
35 11.23 11.23 -- 10.46
36 10.58 10.58 -- 10.90
37 66.50 66.50 -- 64.32
38 14.68 14.68 -- 15.13
39 15.01 15.01 -- 14.49
40 15.15 15.15 -- 15.11
41 15.00 15.00 -- 15.46
42 15.35 15.35 -- 14.82
43 14.72 14.72 -- 15.17
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 20
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-1ss Cap (%) A-1mz Cap (%) A-2a Cap (%) A-2b Cap (%)
------ ------------- ------------- ------------ ------------
Actual/360 Actual/360 Actual/360 Actual/360
44 15.07 15.07 -- 14.55
45 14.45 14.45 -- 14.42
46 15.06 15.06 -- 16.64
47 16.67 16.67 -- 15.03
48 15.06 15.06 -- 15.52
49 15.55 15.55 -- 15.02
50 15.05 15.05 -- 15.52
51 15.55 15.55 -- 15.01
52 15.53 15.53 -- 15.50
53 15.53 15.53 -- 16.01
54 16.04 16.04 -- 15.49
55 15.52 15.52 -- 16.01
56 16.03 16.03 -- 15.49
57 15.55 15.55 -- 15.49
58 15.76 15.76 -- 17.39
59 17.44 17.44 -- 15.71
60 15.75 15.75 -- 16.23
61 16.27 16.27 -- 15.70
62 15.74 15.74 -- 16.22
63 16.27 16.27 -- 15.69
64 15.79 15.79 -- 15.73
65 15.78 15.78 -- 16.25
66 16.31 16.31 -- 15.72
67 15.78 15.78 -- 16.24
68 16.30 16.30 -- 15.72
69 15.77 15.77 -- 15.71
70 15.80 15.80 -- 17.43
71 17.49 17.49 -- 15.74
72 15.79 15.79 -- 16.26
73 16.32 16.32 -- 15.73
74 15.79 15.79 -- 16.25
75 16.31 16.31 -- 15.72
76 15.80 15.80 -- 15.73
77 15.80 15.80 -- 16.25
78 16.32 16.32 -- 15.72
79 15.79 15.79 -- 16.24
80 16.31 16.31 -- 15.72
81 15.78 15.78 -- 15.71
82 15.79 15.79 -- 16.80
83 16.87 16.87 -- 15.71
84 15.78 15.78 -- 16.23
85 16.30 16.30 -- 15.70
86 15.77 15.77 -- 16.22
87 16.29 16.29 -- 15.69
88 15.76 15.76 -- 15.69
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 21
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-1ss Cap (%) A-1mz Cap (%) A-2a Cap (%) A-2b Cap (%)
------ ------------- ------------- ------------ ------------
Actual/360 Actual/360 Actual/360 Actual/360
89 15.76 15.76 -- 16.21
90 16.28 16.28 -- 15.68
91 15.75 15.75 -- 16.20
92 16.27 16.27 -- 15.67
93 15.74 15.74 -- 15.67
94 15.74 15.74 -- 17.34
95 17.42 17.42 -- 15.66
96 15.73 15.73 -- 16.18
97 16.25 16.25 -- 15.65
98 15.72 15.72 -- 16.17
99 16.24 16.24 -- 15.64
100 15.71 15.71 -- 15.64
101 13.50 13.50 -- 13.87
102 12.46 12.46 -- 11.99
103 12.09 12.09 -- 12.42
104 12.53 12.53 -- 12.05
105 12.15 12.15 -- 12.08
106 12.19 12.19 -- 13.41
107 13.53 13.53 -- 12.15
108 12.26 12.26 -- 12.59
109 12.70 12.70 -- 12.22
110 12.33 12.33 -- 12.67
111 12.78 12.78 -- 12.30
112 12.41 12.41 -- 12.34
113 12.45 12.45 -- 12.79
114 12.91 12.91 -- 12.42
115 12.54 12.54 -- 12.88
116 13.00 13.00 -- 12.51
117 12.63 12.63 -- 12.55
118 12.68 12.68 -- 13.95
119 14.09 14.09 -- 12.65
120 12.78 12.78 -- 13.12
121 13.26 13.26 -- 12.75
122 12.88 12.88 -- 13.23
123 13.37 13.37 -- 12.86
124 13.00 13.00 -- 12.92
125 13.05 13.05 -- 13.41
126 13.55 13.55 -- 13.04
127 13.18 13.18 -- 13.53
128 13.68 13.68 -- 13.16
129 13.31 13.31 -- 13.23
130 13.37 13.37 -- 14.21
131 14.37 14.37 -- 13.36
132 13.51 13.51 -- 13.88
133 14.04 14.04 -- 13.51
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 22
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-1ss Cap (%) A-1mz Cap (%) A-2a Cap (%) A-2b Cap (%)
------ ------------- ------------- ------------ ------------
Actual/360 Actual/360 Actual/360 Actual/360
134 13.66 13.66 -- 14.03
135 14.20 14.20 -- 13.66
136 13.82 13.82 -- 13.74
137 13.90 13.90 -- 14.28
138 14.45 14.45 -- 13.91
139 14.07 14.07 -- 14.46
140 14.64 14.64 -- 14.08
141 14.26 14.26 -- 14.17
142 14.35 14.35 -- 15.80
143 16.00 16.00 -- 14.37
144 14.55 14.55 -- 14.95
145 15.14 15.14 -- 14.57
146 14.76 14.76 -- 15.16
147 15.36 15.36 -- 14.78
148 14.98 14.98 -- 14.89
149 15.09 15.09 -- 15.51
150 15.72 15.72 -- 15.13
151 15.34 15.34 -- 15.76
152 15.98 15.98 -- 15.38
153 15.59 15.59 -- 15.50
154 15.72 15.72 -- 17.31
155 17.56 17.56 -- 15.77
156 16.00 16.00 -- 16.44
157 16.68 16.68 -- 16.06
158 16.29 16.29 -- 16.75
159 16.99 16.99 -- 16.36
160 16.60 16.60 -- 16.52
161 16.77 16.77 -- 17.23
162 17.50 17.50 -- 16.84
163 17.10 17.10 -- 17.58
164 17.86 17.86 -- 17.19
165 17.46 17.46 -- 17.37
166 17.65 17.65 -- 19.44
167 19.86 19.86 -- 17.85
168 18.29 18.29 -- 18.81
169 19.30 19.30 -- 18.58
170 19.08 19.08 -- 19.62
171 20.17 20.17 -- 19.43
172 20.00 20.00 -- 19.90
173 20.51 20.51 -- 21.10
174 21.77 21.77 -- 20.97
175 21.67 21.67 -- 22.30
176 23.08 23.08 -- 22.24
177 23.07 23.07 -- 22.97
178 35.15 35.15 -- 37.50
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 23
Senior Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-1ss Cap (%) A-1mz Cap (%) A-2a Cap (%) A-2b Cap (%)
------ ------------- ------------- ------------ ------------
Actual/360 Actual/360 Actual/360 Actual/360
179 40.24 40.24 -- 37.57
180 40.55 40.55 -- 41.82
181 45.52 45.52 -- 43.98
182 48.36 48.36 -- 49.89
183 55.56 55.56 -- 53.70
184 60.79 60.79 -- 60.71
185 70.23 70.23 -- 72.49
186 86.41 86.41 -- 83.54
187 104.06 104.06 -- 107.45
188 143.76 143.76 -- 139.05
189 213.12 213.12 -- 213.05
190 754.91 754.91 -- 835.71
191 -- -- -- --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 24
Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period M-1 Cap(%) M-2 Cap(%) M-3 Cap(%) M-4 Cap(%) M-5 Cap(%) M-6 Cap(%) B-1 Cap(%) B-2 Cap(%) B-3 Cap(%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
0 -- -- -- -- -- -- -- -- --
1 13.07 13.07 13.07 13.07 13.07 13.07 13.07 13.07 13.07
2 9.18 9.18 9.18 9.18 9.18 9.18 9.18 9.18 9.18
3 9.39 9.39 9.39 9.39 9.39 9.39 9.39 9.39 9.39
4 9.19 9.19 9.19 9.19 9.19 9.19 9.19 9.19 9.19
5 9.19 9.19 9.19 9.19 9.19 9.19 9.19 9.19 9.19
6 9.40 9.40 9.40 9.40 9.40 9.40 9.40 9.40 9.40
7 9.20 9.20 9.20 9.20 9.20 9.20 9.20 9.20 9.20
8 9.41 9.41 9.41 9.41 9.41 9.41 9.41 9.41 9.41
9 9.21 9.21 9.21 9.21 9.21 9.21 9.21 9.21 9.21
10 9.21 9.21 9.21 9.21 9.21 9.21 9.21 9.21 9.21
11 9.88 9.88 9.88 9.88 9.88 9.88 9.88 9.88 9.88
12 9.22 9.22 9.22 9.22 9.22 9.22 9.22 9.22 9.22
13 9.42 9.42 9.42 9.42 9.42 9.42 9.42 9.42 9.42
14 9.22 9.22 9.22 9.22 9.22 9.22 9.22 9.22 9.22
15 9.43 9.43 9.43 9.43 9.43 9.43 9.43 9.43 9.43
16 9.22 9.22 9.22 9.22 9.22 9.22 9.22 9.22 9.22
17 9.22 9.22 9.22 9.22 9.22 9.22 9.22 9.22 9.22
18 9.43 9.43 9.43 9.43 9.43 9.43 9.43 9.43 9.43
19 9.23 9.23 9.23 9.23 9.23 9.23 9.23 9.23 9.23
20 9.44 9.44 9.44 9.44 9.44 9.44 9.44 9.44 9.44
21 9.23 9.23 9.23 9.23 9.23 9.23 9.23 9.23 9.23
22 9.42 9.42 9.42 9.42 9.42 9.42 9.42 9.42 9.42
23 10.24 10.24 10.24 10.24 10.24 10.24 10.24 10.24 10.24
24 9.42 9.42 9.42 9.42 9.42 9.42 9.42 9.42 9.42
25 9.68 9.68 9.68 9.68 9.68 9.68 9.68 9.68 9.68
26 9.42 9.42 9.42 9.42 9.42 9.42 9.42 9.42 9.42
27 9.68 9.68 9.68 9.68 9.68 9.68 9.68 9.68 9.68
28 9.74 9.74 9.74 9.74 9.74 9.74 9.74 9.74 9.74
29 9.74 9.74 9.74 9.74 9.74 9.74 9.74 9.74 9.74
30 10.02 10.02 10.02 10.02 10.02 10.02 10.02 10.02 10.02
31 9.74 9.74 9.74 9.74 9.74 9.74 9.74 9.74 9.74
32 10.02 10.02 10.02 10.02 10.02 10.02 10.02 10.02 10.02
33 9.75 9.75 9.75 9.75 9.75 9.75 9.75 9.75 9.75
34 10.03 10.03 10.03 10.03 10.03 10.03 10.03 10.03 10.03
35 10.65 10.65 10.65 10.65 10.65 10.65 10.65 10.65 10.65
36 10.03 10.03 10.03 10.03 10.03 10.03 10.03 10.03 10.03
37 10.32 10.32 10.32 10.32 10.32 10.32 10.32 10.32 10.32
38 10.02 10.02 10.02 10.02 10.02 10.02 10.02 10.02 10.02
39 10.32 10.32 10.32 10.32 10.32 10.32 10.32 10.32 10.32
40 10.15 10.15 10.15 10.15 10.15 10.15 10.15 10.15 10.15
41 10.15 10.15 10.15 10.15 10.15 10.15 10.15 10.15 10.15
42 10.47 10.47 10.47 10.47 10.47 10.47 10.47 10.47 10.47
43 10.15 10.15 10.15 10.15 10.15 10.15 10.15 10.15 10.15
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 25
Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period M-1 Cap(%) M-2 Cap(%) M-3 Cap(%) M-4 Cap(%) M-5 Cap(%) M-6 Cap(%) B-1 Cap(%) B-2 Cap(%) B-3 Cap(%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
44 10.47 10.47 10.47 10.47 10.47 10.47 10.47 10.47 10.47
45 10.14 10.14 10.14 10.14 10.14 10.14 10.14 10.14 10.14
46 10.22 10.22 10.22 10.22 10.22 10.22 10.22 10.22 10.22
47 11.31 11.31 11.31 11.31 11.31 11.31 11.31 11.31 11.31
48 10.21 10.21 10.21 10.21 10.21 10.21 10.21 10.21 10.21
49 10.55 10.55 10.55 10.55 10.55 10.55 10.55 10.55 10.55
50 10.21 10.21 10.21 10.21 10.21 10.21 10.21 10.21 10.21
51 10.55 10.55 10.55 10.55 10.55 10.55 10.55 10.55 10.55
52 10.64 10.64 10.64 10.64 10.64 10.64 10.64 10.64 10.64
53 10.64 10.64 10.64 10.64 10.64 10.64 10.64 10.64 10.64
54 10.99 10.99 10.99 10.99 10.99 10.99 10.99 10.99 10.99
55 10.63 10.63 10.63 10.63 10.63 10.63 10.63 10.63 10.63
56 10.98 10.98 10.98 10.98 10.98 10.98 10.98 10.98 10.98
57 10.64 10.64 10.64 10.64 10.64 10.64 10.64 10.64 10.64
58 10.82 10.82 10.82 10.82 10.82 10.82 10.82 10.82 10.82
59 11.98 11.98 11.98 11.98 11.98 11.98 11.98 11.98 11.98
60 10.82 10.82 10.82 10.82 10.82 10.82 10.82 10.82 10.82
61 11.17 11.17 11.17 11.17 11.17 11.17 11.17 11.17 11.17
62 10.81 10.81 10.81 10.81 10.81 10.81 10.81 10.81 10.81
63 11.17 11.17 11.17 11.17 11.17 11.17 11.17 11.17 11.17
64 10.85 10.85 10.85 10.85 10.85 10.85 10.85 10.85 10.85
65 10.84 10.84 10.84 10.84 10.84 10.84 10.84 10.84 10.84
66 11.20 11.20 11.20 11.20 11.20 11.20 11.20 11.20 11.20
67 10.83 10.83 10.83 10.83 10.83 10.83 10.83 10.83 10.83
68 11.19 11.19 11.19 11.19 11.19 11.19 11.19 11.19 11.19
69 10.83 10.83 10.83 10.83 10.83 10.83 10.83 10.83 10.83
70 10.85 10.85 10.85 10.85 10.85 10.85 10.85 10.85 10.85
71 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01 12.01
72 10.85 10.85 10.85 10.85 10.85 10.85 10.85 10.85 10.85
73 11.20 11.20 11.20 11.20 11.20 11.20 11.20 11.20 11.20
74 10.84 10.84 10.84 10.84 10.84 10.84 10.84 10.84 10.84
75 11.20 11.20 11.20 11.20 11.20 11.20 11.20 11.20 11.20
76 10.85 10.85 10.85 10.85 10.85 10.85 10.85 10.85 10.85
77 10.84 10.84 10.84 10.84 10.84 10.84 10.84 10.84 10.84
78 11.20 11.20 11.20 11.20 11.20 11.20 11.20 11.20 11.20
79 10.83 10.83 10.83 10.83 10.83 10.83 10.83 10.83 10.83
80 11.19 11.19 11.19 11.19 11.19 11.19 11.19 11.19 11.19
81 10.83 10.83 10.83 10.83 10.83 10.83 10.83 10.83 10.83
82 10.83 10.83 10.83 10.83 10.83 10.83 10.83 10.83 10.83
83 11.57 11.57 11.57 11.57 11.57 11.57 11.57 11.57 11.57
84 10.82 10.82 10.82 10.82 10.82 10.82 10.82 10.82 10.82
85 11.18 11.18 11.18 11.18 11.18 11.18 11.18 11.18 11.18
86 10.81 10.81 10.81 10.81 10.81 10.81 10.81 10.81 10.81
87 11.17 11.17 11.17 11.17 11.17 11.17 11.17 11.17 11.17
88 10.81 10.81 10.81 10.81 10.81 10.81 10.81 10.81 10.81
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 26
Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period M-1 Cap(%) M-2 Cap(%) M-3 Cap(%) M-4 Cap(%) M-5 Cap(%) M-6 Cap(%) B-1 Cap(%) B-2 Cap(%) B-3 Cap(%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
89 10.80 10.80 10.80 10.80 10.80 10.80 10.80 10.80 10.80
90 11.16 11.16 11.16 11.16 11.16 11.16 11.16 11.16 11.16
91 10.79 10.79 10.79 10.79 10.79 10.79 10.79 10.79 10.79
92 11.15 11.15 11.15 11.15 11.15 11.15 11.15 11.15 11.15
93 10.78 10.78 10.78 10.78 10.78 10.78 10.78 10.78 10.78
94 10.78 10.78 10.78 10.78 10.78 10.78 10.78 10.78 10.78
95 11.93 11.93 11.93 11.93 11.93 11.93 11.93 11.93 11.93
96 10.77 10.77 10.77 10.77 10.77 10.77 10.77 10.77 10.77
97 11.13 11.13 11.13 11.13 11.13 11.13 11.13 11.13 11.13
98 10.76 10.76 10.76 10.76 10.76 10.76 10.76 10.76 10.76
99 11.12 11.12 11.12 11.12 11.12 11.12 11.12 11.12 11.12
100 10.75 10.75 10.75 10.75 10.75 10.75 10.75 10.75 10.75
101 10.75 10.75 10.75 10.75 10.75 10.75 10.75 10.75 10.75
102 11.10 11.10 11.10 11.10 11.10 11.10 11.10 11.10 11.10
103 10.74 10.74 10.74 10.74 10.74 10.74 10.74 10.74 10.74
104 11.09 11.09 11.09 11.09 11.09 11.09 11.09 11.09 11.09
105 10.73 10.73 10.73 10.73 10.73 10.73 10.73 10.73 10.73
106 10.73 10.73 10.73 10.73 10.73 10.73 10.73 10.73 10.73
107 11.87 11.87 11.87 11.87 11.87 11.87 11.87 11.87 11.87
108 10.72 10.72 10.72 10.72 10.72 10.72 10.72 10.72 10.72
109 11.07 11.07 11.07 11.07 11.07 11.07 11.07 11.07 11.07
110 10.71 10.71 10.71 10.71 10.71 10.71 10.71 10.71 10.71
111 11.06 11.06 11.06 11.06 11.06 11.06 11.06 11.06 11.06
112 10.70 10.70 10.70 10.70 10.70 10.70 10.70 10.70 --
113 10.70 10.70 10.70 10.70 10.70 10.70 10.70 10.70 --
114 11.05 11.05 11.05 11.05 11.05 11.05 11.05 11.05 --
115 10.69 10.69 10.69 10.69 10.69 10.69 10.69 10.69 --
116 11.04 11.04 11.04 11.04 11.04 11.04 11.04 11.04 --
117 10.68 10.68 10.68 10.68 10.68 10.68 10.68 10.68 --
118 10.68 10.68 10.68 10.68 10.68 10.68 10.68 10.68 --
119 11.82 11.82 11.82 11.82 11.82 11.82 11.82 11.82 --
120 10.67 10.67 10.67 10.67 10.67 10.67 10.67 10.67 --
121 11.02 11.02 11.02 11.02 11.02 11.02 11.02 -- --
122 10.66 10.66 10.66 10.66 10.66 10.66 10.66 -- --
123 11.01 11.01 11.01 11.01 11.01 11.01 11.01 -- --
124 10.65 10.65 10.65 10.65 10.65 10.65 10.65 -- --
125 10.65 10.65 10.65 10.65 10.65 10.65 10.65 -- --
126 11.00 11.00 11.00 11.00 11.00 11.00 11.00 -- --
127 10.64 10.64 10.64 10.64 10.64 10.64 10.64 -- --
128 10.99 10.99 10.99 10.99 10.99 10.99 -- -- --
129 10.63 10.63 10.63 10.63 10.63 10.63 -- -- --
130 10.63 10.63 10.63 10.63 10.63 10.63 -- -- --
131 11.35 11.35 11.35 11.35 11.35 11.35 -- -- --
132 10.62 10.62 10.62 10.62 10.62 10.62 -- -- --
133 10.97 10.97 10.97 10.97 10.97 10.97 -- -- --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 27
Subordinate Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period M-1 Cap(%) M-2 Cap(%) M-3 Cap(%) M-4 Cap(%) M-5 Cap(%) M-6 Cap(%) B-1 Cap(%) B-2 Cap(%) B-3 Cap(%)
------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
134 10.61 10.61 10.61 10.61 10.61 10.61 -- -- --
135 10.96 10.96 10.96 10.96 10.96 10.96 -- -- --
136 10.60 10.60 10.60 10.60 10.60 -- -- -- --
137 10.60 10.60 10.60 10.60 10.60 -- -- -- --
138 10.94 10.94 10.94 10.94 10.94 -- -- -- --
139 10.59 10.59 10.59 10.59 10.59 -- -- -- --
140 10.94 10.94 10.94 10.94 10.94 -- -- -- --
141 10.58 10.58 10.58 10.58 10.58 -- -- -- --
142 10.57 10.57 10.57 10.57 -- -- -- -- --
143 11.70 11.70 11.70 11.70 -- -- -- -- --
144 10.57 10.57 10.57 10.57 -- -- -- -- --
145 10.91 10.91 10.91 10.91 -- -- -- -- --
146 10.56 10.56 10.56 10.56 -- -- -- -- --
147 10.91 10.91 10.91 10.91 -- -- -- -- --
148 10.55 10.55 10.55 -- -- -- -- -- --
149 10.54 10.54 10.54 -- -- -- -- -- --
150 10.89 10.89 10.89 -- -- -- -- -- --
151 10.54 10.54 10.54 -- -- -- -- -- --
152 10.88 10.88 10.88 -- -- -- -- -- --
153 10.53 10.53 -- -- -- -- -- -- --
154 10.52 10.52 -- -- -- -- -- -- --
155 11.65 11.65 -- -- -- -- -- -- --
156 10.52 10.52 -- -- -- -- -- -- --
157 10.86 10.86 -- -- -- -- -- -- --
158 10.51 10.51 -- -- -- -- -- -- --
159 10.85 10.85 -- -- -- -- -- -- --
160 10.50 -- -- -- -- -- -- -- --
161 10.49 -- -- -- -- -- -- -- --
162 10.84 -- -- -- -- -- -- -- --
163 10.49 -- -- -- -- -- -- -- --
164 10.83 -- -- -- -- -- -- -- --
165 10.48 -- -- -- -- -- -- -- --
166 10.47 -- -- -- -- -- -- -- --
167 -- -- -- -- -- -- -- -- --
1 Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 28
Senior Interest Rate Cap Schedules
Group I Class A Cap Group II Class A Cap
------------------- --------------------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling %
------ ----------- -------- --------- ----------- -------- ---------
1 317,915,000.00 6.20 9.75 467,463,000.00 6.15 9.75
2 308,460,783.14 6.20 9.75 453,524,573.94 6.15 9.75
3 299,164,039.58 6.20 9.75 439,823,869.84 6.15 9.75
4 290,019,452.12 6.20 9.75 426,352,888.03 6.15 9.75
5 281,021,937.56 6.20 9.75 413,104,015.66 6.15 9.75
6 272,166,874.15 6.20 9.75 400,070,189.43 6.15 9.75
7 263,450,094.12 6.20 9.75 387,245,061.28 6.15 9.75
8 254,867,874.73 6.20 9.75 374,622,926.11 6.15 9.75
9 246,416,927.84 6.20 9.75 362,198,707.13 6.15 9.75
10 238,094,388.09 6.35 9.75 349,967,939.22 6.25 9.75
11 229,897,799.51 6.35 9.75 337,926,791.58 6.25 9.75
12 221,825,100.75 6.35 9.75 326,071,920.56 6.25 9.75
13 213,874,742.17 6.35 9.75 314,400,575.38 6.25 9.75
14 206,056,279.80 6.35 9.75 302,911,055.53 6.25 9.75
15 198,444,891.40 6.35 9.75 291,725,628.94 6.25 9.75
16 191,035,082.60 6.45 9.75 280,836,438.75 6.35 9.75
17 183,821,505.16 6.45 9.75 270,235,654.19 6.35 9.75
18 176,798,953.04 6.45 9.75 259,915,591.53 6.35 9.75
19 169,962,358.66 6.45 9.75 249,868,802.39 6.35 9.75
20 163,306,789.16 6.45 9.75 240,088,036.48 6.35 9.75
21 156,827,442.83 6.45 9.75 230,566,236.33 6.35 9.75
22 150,519,667.82 8.00 9.75 221,296,616.84 8.00 9.75
23 144,406,020.03 8.00 9.75 212,310,610.26 8.00 9.75
24 138,453,521.90 8.00 9.75 203,561,502.55 8.00 9.75
25 132,657,917.55 8.00 9.75 195,043,035.13 8.00 9.75
26 127,015,063.82 8.00 9.75 186,749,115.20 8.00 9.75
27 121,520,927.22 8.00 9.75 178,673,811.32 8.00 9.75
28 116,171,591.54 9.00 9.75 170,811,389.08 9.00 9.75
29 110,975,223.32 9.00 9.75 163,173,742.08 9.00 9.75
30 105,915,485.74 9.00 9.75 155,736,942.64 9.00 9.75
31 100,988,779.17 9.00 9.75 148,495,697.36 9.00 9.75
32 96,191,599.11 9.00 9.75 141,444,852.75 9.00 9.75
33 91,520,533.61 9.00 9.75 134,579,391.54 9.00 9.75
34 -- -- -- -- -- --
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 29
Subordinate Interest Rate Cap Schedules
Class M Cap Class B Cap
----------- -----------
Period Balance ($) Strike % Ceiling % Balance ($) Strike % Ceiling%
------ ----------- -------- --------- ----------- -------- --------
1 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
2 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
3 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
4 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
5 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
6 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
7 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
8 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
9 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
10 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
11 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
12 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
13 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
14 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
15 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
16 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
17 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
18 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
19 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
20 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
21 130,239,000.00 5.70 8.70 36,013,000.00 4.80 7.80
22 130,239,000.00 7.05 8.90 36,013,000.00 6.15 8.00
23 130,239,000.00 7.05 8.90 36,013,000.00 6.15 8.00
24 130,239,000.00 7.05 8.90 36,013,000.00 6.15 8.00
25 130,239,000.00 7.05 8.90 36,013,000.00 6.15 8.00
26 130,239,000.00 7.05 8.90 36,013,000.00 6.15 8.00
27 130,239,000.00 7.05 8.90 36,013,000.00 6.15 8.00
28 130,239,000.00 7.75 9.25 36,013,000.00 6.85 8.35
29 130,239,000.00 7.75 9.25 36,013,000.00 6.85 8.35
30 130,239,000.00 7.75 9.25 36,013,000.00 6.85 8.35
31 130,239,000.00 7.75 9.25 36,013,000.00 6.85 8.35
32 130,239,000.00 7.75 9.25 36,013,000.00 6.85 8.35
33 130,239,000.00 7.75 9.25 36,013,000.00 6.85 8.35
34 130,239,000.00 8.50 9.55 36,013,000.00 7.60 8.65
35 130,239,000.00 8.50 9.55 36,013,000.00 7.60 8.65
36 130,239,000.00 8.50 9.55 36,013,000.00 7.60 8.65
37 130,239,000.00 8.50 9.55 36,013,000.00 7.60 8.65
38 130,239,000.00 8.50 9.55 34,386,799.94 7.60 8.65
39 128,904,743.07 8.50 9.55 26,593,844.62 7.60 8.65
40 120,715,578.76 9.15 9.65 25,895,469.14 8.25 8.75
41 112,741,516.19 9.15 9.65 25,215,437.63 8.25 8.75
42 104,976,820.77 9.15 9.65 24,553,261.04 8.25 8.75
43 97,415,984.79 9.15 9.65 23,908,469.67 8.25 8.75
44 90,053,645.84 9.15 9.65 23,280,606.21 8.25 8.75
45 82,884,582.97 9.15 9.65 22,669,225.42 8.25 8.75
46 -- -- -- -- -- --
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
--------------------------------------------------------------------------------
Page 30
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MSAC 2005-WMC3 Data
-------------- ----
Collateral Characteristics Pool Balance $986,656,897.84 ----------------------------------------------------
# of Loans # 5128 Please populate column D (&E) with the corresponding
Avg Prin Balance $192,405.79 pool characteristics in Column B.
WAC % 6.897 - For values in currency format, omit $.
WA Net Rate % 6.377 - For values in percentage format, provide data to 3
WAM # 339 decimal places and omit %.
Seasoning # 3.3 - For WAC Net Rate, subtract servicing fee, trustee
Second Liens % 8.928 fee, and initial MI fee.
WA CLTV % 82.27 - For MI Flag, Y or N.
WA FICO # 642 ----------------------------------------------------
Prepay Penalties % 75.94
Arm Characteristics WAC (Arms only) % 6.561
WAM (Arms only) # 357
WA Margin % 6.048
WA Initial Cap % 2.155
WA Periodic Cap % 1.002
WA Cap % 6.50
WA Months to Roll # 23
Loan Type Fixed % 19.35
Balloons % 8.88
2/28 Arms % 72.75
3/27 Arms % 2.71
Other Hybrid Arms % 5.20
Index 1-Month LIBOR % 0.00
6-Month LIBOR % 80.66
Other Index % 19.35
Loan Purpose Purchase % 47.09
Cash-Out Refi % 38.26
Rate-Term Refi % 14.65
Debt Consolidation % 0
Occupancy Status Owner % 94.745
Second Home % 1.58
Investor % 3.67
Property Type Single Family % 71.41
2-4 Family % 7.48
PUD % 12.91
MH % 0.49
Condo % 7.72
Doc Type Full Doc % 44.38
Stated Doc % 42.55
Limited Doc % 13.07
No Doc % 0
MI Data MI Flag Y/N N
% of Pool Covered % N/A
Effective LTV % N/A
FICO Distribution FICO <460 % 0.00
FICO 460-479 % 0.00
FICO 480-499 % 0.00
FICO 500-519 % 1.84
FICO 520-539 % 2.14
FICO 540-559 % 4.04
FICO 560-579 % 4.88
FICO 580-599 % 9.60
FICO 600-619 % 12.58
FICO 620-639 % 13.86
FICO 640-659 % 13.94
FICO 660-679 % 11.32
FICO 680-699 % 10.11
FICO 700-719 % 6.39
FICO 720-739 % 3.92
FICO 740-759 % 2.71
FICO >760 % 2.67
LTV Distribution LTV <20 % 0.01
LTV 20.01-30 % 0.02
LTV 30.01-40 % 0.19
LTV 40.01-50 % 0.93
LTV 50.01-60 % 2.09
LTV 60.01-70 % 5.10
LTV 70.01-80 % 54.11
LTV 80.01-90 % 21.85
LTV 90.01-100 % 15.69
LTV >100 % 0.00
Data Data
---- ----
Loan Balance Distribution $ 0-25,000 # & % 158 0.32
$ 25,001-50,000 # & % 507 1.95
$ 50,001-75,000 # & % 600 3.80
$ 75,001-100,000 # & % 470 4.18
$ 100,001-150,000 # & % 735 9.29
$ 150,001-200,000 # & % 624 11.13
$ 200,001-250,000 # & % 538 12.29
$ 250,001-300,000 # & % 463 12.90
$ 300,001-350,000 # & % 311 10.22
$ 350,001-400,000 # & % 260 9.85
$ 400,001-450,000 # & % 160 6.88
$ 450,001-500,000 # & % 106 5.12
$ 500,001-550,000 # & % 66 3.52
$ 550,001-600,000 # & % 47 2.75
$ 600,001-650,000 # & % 31 1.96
$ 650,001-700,000 # & % 22 1.50
$ 700,001-750,000 # & % 15 1.12
$ 750,001-800,000 # & % 9 0.71
$ 800,001-850,000 # & % 3 0.26
$ 850,001-900,000 # & % 3 0.26
$ 900,001-950,000 # & % 0 0.00
$ 950,001-1,000,000 # & % 0 0.00
> $ 1,000,001 # & % 0 0.00
Geographic Distribution Alabama % 0.01
Arizona % 2.14
Arkansas % 0.05
California % 57.23
Colorado % 0.83
Connecticut % 1.54
Delaware % 0.02
District of Columbia % 0.36
Florida % 4.12
Georgia % 0.64
Idaho % 0.20
Illinois % 2.58
Indiana % 0.09
Iowa % 0.04
Kansas % 0.13
Kentucky % 0.04
Louisiana % 0.48
Maine % 0.10
Maryland % 3.56
Massachusetts % 1.47
Michigan % 0.62
Minnesota % 0.19
Mississippi % 0.08
Missouri % 0.32
Montana % 0.32
Nebraska % 0.01
Nevada % 2.07
New Hampshire % 0.20
New Jersey % 3.30
New Mexico % 0.06
New York % 4.74
North Carolina % 0.29
Ohio % 0.20
Oklahoma % 0.17
Oregon % 0.26
Pennsylvania % 1.14
Rhode Island % 0.63
South Carolina % 0.14
Tennessee % 0.27
Texas % 3.17
Utah % 0.16
Vermont % 0.07
Virginia % 4.21
Washington % 1.48
West Virginia % 0.02
Wisconsin % 0.25
Wyoming % 0.02
Balance # of loans WAC WA FICO WA CLTV Owner Occ % Cashout Refi% Full Doc%
------- ---------- --- ------- ------- ----------- ------------- ---------
$600,000-650,000 31 6.383 669 81.807 90.406 38.642 45.183 ---------------------------
$650,001-700,000 22 6.159 648 79.370 91.027 45.423 36.275 Please populate appropriate
$700,001-750,000 15 6.158 673 81.358 100.000 59.859 39.777 loan characteristics for
$751,001-800,000 9 6.364 653 79.974 89.105 55.460 43.784 each loan bucket.
$800,001-850,000 3 5.950 628 73.103 100.000 100.000 66.324 ---------------------------
$850,001-900,000 3 5.551 669 81.665 100.000 0.000 33.493
$900,001-950,000 0 0.000 0 0.000 0.000 0.000 0.000
$950,001-1,000,000 0 0.000 0 0.000 0.000 0.000 0.000
>$1,000,000 0 0.000 0 0.000 0.000 0.000 0.000
Percentage by range Loans without MI
FICOs
<450 451-500 501-550 551-600 601-650 651-700 701-750 >750 986,656,897.84
----------------------------------------------------------------
<20 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Please provide a breakdown of percentages for
---------------------------------------------------------------- each cell of the matrix for loans that fall
20-30 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 within the appropriate category brokendown
---------------------------------------------------------------- between loans with MI and loans without MI as
30-40 0.000 0.000 0.000 0.000 0.000 0.001 0.000 0.000 well as the loan count for each breakdown in
---------------------------------------------------------------- the matrices below. The sum of the percentages
40-50 0.000 0.000 0.002 0.003 0.002 0.001 0.001 0.000 for the with MI and without MI percentages
---------------------------------------------------------------- should equal 100%. The sum of the loans in the
CLTVs 50-60 0.000 0.000 0.004 0.007 0.006 0.004 0.000 0.000 matrices below should equal the number of loans
---------------------------------------------------------------- in the pool. If FICO is not available for loan,
60-70 0.000 0.000 0.008 0.015 0.015 0.010 0.002 0.000 default to <450 bucket. If deal does not have
---------------------------------------------------------------- MI, provide data for the entire pool in the
70-80 0.000 0.000 0.020 0.077 0.186 0.161 0.075 0.022 "Loans without MI" matrix.
----------------------------------------------------------------
80-90 0.000 0.000 0.018 0.051 0.076 0.050 0.015 0.008
----------------------------------------------------------------
90-100 0.000 0.000 0.001 0.023 0.055 0.049 0.021 0.007
----------------------------------------------------------------
>100 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
----------------------------------------------------------------
Loans with MI
FICOs
<450 451-500 501-550 551-600 601-650 651-700 701-750 >750
----------------------------------------------------------------
<20
----------------------------------------------------------------
20-30
----------------------------------------------------------------
30-40
----------------------------------------------------------------
40-50
----------------------------------------------------------------
LTVs 50-60
----------------------------------------------------------------
60-70
----------------------------------------------------------------
70-80
----------------------------------------------------------------
80-90
----------------------------------------------------------------
90-100
----------------------------------------------------------------
>100
----------------------------------------------------------------
Loan Count Loans without MI
FICOs
<450/NA 451-500 501-550 551-600 601-650 651-700 701-750 >750
----------------------------------------------------------------
<20 0 0 1 0 0 1 0 0
----------------------------------------------------------------
20-30 0 0 0 0 2 0 0 0
----------------------------------------------------------------
30-40 0 0 3 4 2 4 1 1
----------------------------------------------------------------
40-50 0 1 13 13 14 5 5 3
----------------------------------------------------------------
CLTVs 50-60 0 1 21 35 33 14 1 0
----------------------------------------------------------------
60-70 0 3 41 72 58 36 8 1
----------------------------------------------------------------
70-80 0 2 109 355 755 612 270 83
----------------------------------------------------------------
80-90 0 2 85 219 277 192 51 24
----------------------------------------------------------------
90-100 0 1 5 217 595 552 244 81
----------------------------------------------------------------
>100 0 0 0 0 0 0 0 0
----------------------------------------------------------------
# 0 10 278 915 1736 1416 580 193
Loans with MI
FICOs
<450 451-500 501-550 551-600 601-650 651-700 701-750 >750
----------------------------------------------------------------
<20
----------------------------------------------------------------
20-30
----------------------------------------------------------------
30-40
----------------------------------------------------------------
40-50
----------------------------------------------------------------
LTVs 50-60
----------------------------------------------------------------
60-70
----------------------------------------------------------------
70-80
----------------------------------------------------------------
80-90
----------------------------------------------------------------
90-100
----------------------------------------------------------------
>100
----------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Here's what we like to see: 986,656,897.84
The percentages per table should add up to 100% (denominator = corresponding
aggregate collateral pool balance)
For example, if the collateral matices are for group II collateral, denominator
to be used for all the % should be as of aggregate group II collateral balance)
FICO & Documentation 100
FICO Score Full DOC Limited Doc Stated Doc All Docs Avg Prin Bal Current LTV
---------- -------- ----------- ---------- -------- ------------ -----------
(50 increment)
0 - 499 0.00 0.00 0.00 0.00 -- 0
500-550 3.77 0.48 1.22 5.47 187,373 75.23
551-600 11.30 2.67 3.59 17.57 189,406 80.56
601-650 15.46 5.45 13.28 34.19 194,329 82.45
651-700 8.76 2.73 15.96 27.45 191,275 83.27
701-750 3.55 1.34 6.65 11.54 196,313 83.36
751-800 1.43 0.35 1.74 3.51 193,642 83.83
801-850 0.10 0.06 0.11 0.27 190,200 85.42
-------------- -------- ----------- ---------- -------- ------------ -----------
Total 44.38 13.07 42.55 100.00 192,406 82.11
LTV & FICO
Current LTV FICO NA FICO 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total Avg Prin Bal WAC
----------- ------- ------------ ------- ------- ------- ------- ------- ------- ----- ------------ ---
(10 increment)
..01 - 10.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0 0.000
10.01-20 0.00 0.01 0.00 0.00 0.01 0.00 0.00 0.00 0.01 52,352 7.161
20.01-30 0.00 0.00 0.00 0.02 0.00 0.00 0.00 0.00 0.02 112,264 7.838
30.01-40 0.00 0.04 0.04 0.04 0.05 0.01 0.02 0.00 0.20 125,553 6.710
40.01-50 0.00 0.19 0.25 0.24 0.08 0.11 0.05 0.00 0.92 170,497 6.819
50.01-60 0.00 0.42 0.66 0.65 0.35 0.02 0.00 0.00 2.10 195,416 6.702
60.01-70 0.00 0.88 1.49 1.54 0.98 0.26 0.03 0.00 5.17 228,881 6.692
70.01-80 0.00 2.03 7.72 18.54 16.09 7.51 2.02 0.17 54.08 244,428 6.426
80.01-90 0.00 1.81 5.09 7.61 5.01 1.52 0.74 0.06 21.83 253,658 6.804
90.01-100 0.00 0.10 2.32 5.55 4.88 2.12 0.65 0.04 15.67 91,255 8.753
-------------- ------- ------------ ------- ------- ------- ------- ------- ------- ------ ------------ -----
Total 0.00 5.47 17.57 34.19 27.45 11.54 3.51 0.27 100.00 192,406 6.897
LTV & FICO
Current LTV Gross Margin
----------- ------------
(10 increment)
..01 - 10.00 0.000
10.01-20 5.912
20.01-30 6.250
30.01-40 5.820
40.01-50 6.283
50.01-60 5.956
60.01-70 5.993
70.01-80 5.887
80.01-90 6.284
90.01-100 6.667
-------------- ------------
Total 6.048
Prin Balance & FICO
Prin Balance FICO NA FICO 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total Current LTV
------------ ------- ------------ ------- ------- ------- ------- ------- ------- ----- -----------
(50,000 increments)
$1 - $50,000 0.00 0.03 0.39 0.79 0.69 0.27 0.09 0.01 2.27 97.17
$50,001 - $100,000 0.00 0.39 1.08 2.64 2.49 1.05 0.30 0.03 7.98 90.96
$100,001 - $150,000 0.00 0.74 2.02 3.05 2.24 0.94 0.27 0.02 9.29 82.58
$150,001 - $200,000 0.00 1.25 2.53 3.60 2.47 0.94 0.34 0.00 11.13 79.28
$200,001 - $250,000 0.00 0.99 2.78 3.80 2.98 1.19 0.51 0.05 12.29 79.22
$250,001 - $300,000 0.00 0.72 2.17 4.67 3.54 1.47 0.29 0.03 12.90 80.65
$300,001 - $350,000 0.00 0.36 1.56 3.79 2.87 1.25 0.39 0.00 10.21 81.72
$350,001 - $400,000 0.00 0.38 1.63 3.48 2.92 1.10 0.30 0.04 9.85 81.37
$400,001 - $450,000 0.00 0.21 0.89 2.28 2.24 1.00 0.22 0.04 6.88 83.11
$450,001 - $500,000 0.00 0.25 1.02 1.40 1.73 0.58 0.14 0.00 5.12 82.17
$500,001 - $550,000 0.00 0.00 0.58 1.61 0.96 0.37 0.00 0.00 3.52 81.09
$550,001 - $600,000 0.00 0.06 0.29 1.10 0.47 0.59 0.18 0.06 2.75 80.13
$600,001 - $650,000 0.00 0.00 0.19 0.44 0.83 0.31 0.19 0.00 1.96 81.64
$650,001 - $700,000 0.00 0.00 0.21 0.75 0.41 0.07 0.07 0.00 1.50 79.23
$700,001 - $750,000 0.00 0.00 0.07 0.37 0.29 0.22 0.15 0.00 1.12 81.28
$750,001 - $800,000 0.00 0.08 0.08 0.24 0.15 0.08 0.08 0.00 0.71 79.89
$800,001 - $850,000 0.00 0.00 0.08 0.09 0.09 0.00 0.00 0.00 0.26 72.86
$850,001 - $900,000 0.00 0.00 0.00 0.09 0.09 0.09 0.00 0.00 0.26 81.59
$900,001 - $950,000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
$950,001 - $1,000,000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
<= $1,000,000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
--------------------- ------- ------------ ------- ------- ------- ------- ------- ------- ------ ------------
total 0.00 5.47 17.57 34.19 27.45 11.54 3.51 0.27 100.00 82.11
Prin Balance & FICO
Prin Balance WAC Gross Margin
------------ --- ------------
(50,000 increments)
$1 - $50,000 10.015 6.957
$50,001 - $100,000 8.905 6.383
$100,001 - $150,000 7.461 6.180
$150,001 - $200,000 6.959 6.087
$200,001 - $250,000 6.621 6.063
$250,001 - $300,000 6.529 6.031
$300,001 - $350,000 6.433 6.038
$350,001 - $400,000 6.508 6.028
$400,001 - $450,000 6.444 6.056
$450,001 - $500,000 6.570 6.100
$500,001 - $550,000 6.421 6.090
$550,001 - $600,000 6.190 5.579
$600,001 - $650,000 6.383 6.027
$650,001 - $700,000 6.159 5.746
$700,001 - $750,000 6.158 5.890
$750,001 - $800,000 6.364 5.574
$800,001 - $850,000 5.950 5.787
$850,001 - $900,000 5.551 5.637
$900,001 - $950,000 0.000 0.000
$950,001 - $1,000,000 0.000 0.000
<= $1,000,000 0.000 0.000
--------------------- ------ ------------
total 6.897 6.048
Prepayment Penalty & FICO
Prepayment Penalty Term FICO NA FICO 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total Current LTV
----------------------- ------- ------------ ------- ------- ------- ------- ------- ------- ----- -----------
(whatever increments)
0 0.00 1.39 4.60 8.25 6.15 2.83 0.81 0.03 24.06 83.35
12 0.00 0.17 0.60 1.59 1.29 0.60 0.06 0.00 4.30 79.96
24 0.00 3.55 10.49 20.29 15.91 6.42 2.01 0.22 58.91 81.73
36 0.00 0.36 1.87 4.05 4.10 1.69 0.63 0.02 12.72 82.26
60 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.01 89.75
----------------------- ------- ------------ ------- ------- ------- ------- ------- ------- ------ -----------
total 0.00 5.47 17.57 34.19 27.45 11.54 3.51 0.27 100.00 82.11
Prepayment Penalty & FICO
Prepayment Penalty Term WAC Gross Margin Avg Prin Bal
----------------------- --- ------------ ------------
(whatever increments)
0 7.28 6.01 164302.00
12 6.91 6.02 242650.00
24 6.69 6.06 216945.00
36 7.11 6.06 151555.00
60 6.38 7.88 94236.00
----------------------- ---- ------------ ------------
total 6.90 6.05 192406.00
Mortg Rates & FICO
Mortg Rates FICO NA FICO 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total Current LTV
----------- ------- ------------ ------- ------- ------- ------- ------- ------- ----- -----------
(50 bps increment)
4.501 - 5.000 0.00 0.00 0.00 0.31 0.41 0.41 0.08 0.00 1.20 80.39
5.001 - 5.500 0.00 0.06 0.69 2.38 2.11 1.27 0.60 0.07 7.19 80.01
5.501 - 6.000 0.00 0.10 1.90 6.77 6.79 2.97 0.86 0.11 19.49 79.15
6.001 - 6.500 0.00 0.23 2.90 7.49 6.45 2.56 0.57 0.02 20.21 79.95
6.501 - 7.000 0.00 0.75 4.07 8.03 5.49 2.05 0.56 0.02 20.97 81.35
7.001 - 7.500 0.00 0.79 3.19 2.92 1.87 0.47 0.31 0.00 9.54 80.10
7.501 - 8.000 0.00 1.68 2.67 2.46 0.84 0.25 0.10 0.01 8.00 81.82
8.001 - 8.500 0.00 0.72 0.87 0.57 0.42 0.35 0.13 0.01 3.07 86.30
8.501 - 9.000 0.00 0.73 0.40 0.43 0.45 0.23 0.05 0.00 2.29 89.60
9.001 - 9.500 0.00 0.19 0.11 0.10 0.40 0.37 0.12 0.02 1.30 94.84
9.501 - 10.000 0.00 0.17 0.27 0.86 1.00 0.44 0.09 0.01 2.84 97.63
10.001 - 10.500 0.00 0.03 0.08 0.62 0.53 0.13 0.03 0.00 1.43 98.80
10.501 - 11.000 0.00 0.00 0.24 0.94 0.52 0.04 0.02 0.00 1.76 99.26
11.001 - 11.500 0.00 0.00 0.16 0.16 0.12 0.00 0.00 0.00 0.44 98.82
11.501 - 12.000 0.00 0.00 0.02 0.15 0.04 0.00 0.00 0.00 0.21 99.25
12.001 - 12.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 99.98
12.501 - 13.000 0.00 0.00 0.01 0.01 0.02 0.00 0.00 0.00 0.03 98.68
13.001 - 13.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 99.97
13.501 - 14.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
14.001 - 14.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
14.501 - 15.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
15.001 >= 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
----------------------- ------- ------------ ------- ------- ------- ------- ------- ------- ------ -----------
Total: 0.00 5.47 17.57 34.19 27.45 11.54 3.51 0.27 100.00 82.11
Mortg Rates & FICO
Mortg Rates WAC Gross Margin Avg Prin Bal
----------- --- ------------ ------------
(50 bps increment)
4.501 - 5.000 4.99 4.95 328032.00
5.001 - 5.500 5.39 5.38 311319.00
5.501 - 6.000 5.86 5.60 293149.00
6.001 - 6.500 6.34 5.97 255693.00
6.501 - 7.000 6.80 6.22 242043.00
7.001 - 7.500 7.28 6.50 215917.00
7.501 - 8.000 7.79 6.63 189388.00
8.001 - 8.500 8.30 7.08 131154.00
8.501 - 9.000 8.82 7.17 102443.00
9.001 - 9.500 9.41 7.83 72688.00
9.501 - 10.000 9.91 7.85 64739.00
10.001 - 10.500 10.40 8.00 60233.00
10.501 - 11.000 10.87 0.00 63577.00
11.001 - 11.500 11.34 0.00 43933.00
11.501 - 12.000 11.92 0.00 51220.00
12.001 - 12.500 12.25 0.00 37969.00
12.501 - 13.000 12.83 0.00 30446.00
13.001 - 13.500 13.13 0.00 25260.00
13.501 - 14.000 0.00 0.00 0.00
14.001 - 14.500 0.00 0.00 0.00
14.501 - 15.000 0.00 0.00 0.00
15.001 >= 0.00 0.00 0.00
----------------------- ----- ------------ ------------
Total: 6.90 6.05 192406.00
Mortg Rates & LTV
Mortg Rates .01-10 10.01-20 20.01-30 30.01-40 40.01-50 50.01-60 60.01-70 70.01-80 80.01-90 90.01-100
----------- ------ -------- -------- -------- -------- -------- -------- -------- -------- ---------
(50 bps increment)
4.501 - 5.000 0.00 0.00 0.00 0.00 0.00 0.00 0.01 1.01 0.18 0.00
5.001 - 5.500 0.00 0.00 0.00 0.03 0.00 0.04 0.27 5.45 1.29 0.12
5.501 - 6.000 0.00 0.00 0.00 0.03 0.15 0.49 1.37 13.64 3.23 0.58
6.001 - 6.500 0.00 0.00 0.00 0.01 0.25 0.48 1.15 12.72 4.44 1.16
6.501 - 7.000 0.00 0.00 0.00 0.08 0.23 0.46 0.77 11.69 5.92 1.83
7.001 - 7.500 0.00 0.01 0.01 0.00 0.14 0.37 0.65 4.75 2.79 0.81
7.501 - 8.000 0.00 0.00 0.02 0.04 0.10 0.19 0.58 3.30 2.29 1.49
8.001 - 8.500 0.00 0.00 0.00 0.01 0.02 0.04 0.21 0.94 0.61 1.25
8.501 - 9.000 0.00 0.00 0.00 0.00 0.00 0.00 0.09 0.42 0.71 1.07
9.001 - 9.500 0.00 0.00 0.00 0.01 0.02 0.03 0.02 0.06 0.12 1.05
9.501 - 10.000 0.00 0.00 0.00 0.00 0.00 0.00 0.04 0.06 0.16 2.57
10.001 - 10.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.07 1.34
10.501 - 11.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.03 1.72
11.001 - 11.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.42
11.501 - 12.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.21
12.001 - 12.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
12.501 - 13.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03
13.001 - 13.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
13.501 - 14.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
14.001 - 14.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
14.501 - 15.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
15.001 >= 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
------------------ ------ -------- -------- -------- -------- -------- -------- -------- -------- ---------
Total: 0.00 0.01 0.02 0.20 0.92 2.10 5.17 54.08 21.83 15.67
Mortg Rates & LTV
Mortg Rates total avg FICO Gross Margin Avg Prin Bal
----------- ----- -------- ------------ ------------
(50 bps increment)
4.501 - 5.000 1.20 686 4.9 328032.0
5.001 - 5.500 7.19 667 5.4 311319.0
5.501 - 6.000 19.49 661 5.6 293149.0
6.001 - 6.500 20.21 651 6.0 255693.0
6.501 - 7.000 20.97 639 6.2 242043.0
7.001 - 7.500 9.54 619 6.5 215917.0
7.501 - 8.000 8.00 597 6.6 189388.0
8.001 - 8.500 3.07 612 7.1 131154.0
8.501 - 9.000 2.29 608 7.2 102443.0
9.001 - 9.500 1.30 666 7.8 72688.0
9.501 - 10.000 2.84 656 7.9 64739.0
10.001 - 10.500 1.43 651 8.0 60233.0
10.501 - 11.000 1.76 636 0.0 63577.0
11.001 - 11.500 0.44 625 0.0 43933.0
11.501 - 12.000 0.21 634 0.0 51220.0
12.001 - 12.500 0.00 590 0.0 37969.0
12.501 - 13.000 0.03 644 0.0 30446.0
13.001 - 13.500 0.00 608 0.0 25260.0
13.501 - 14.000 0.00 0 0.0 0.0
14.001 - 14.500 0.00 0 0.0 0.0
14.501 - 15.000 0.00 0 0.0 0.0
15.001 >= 0.00 0 0.0 0.0
------------------ ------ -------- ------------ ------------
Total: 100.00 642 6.0 192406.0
Here's what we like to see: 587,266,149.04
The percentages per table should add up to 100% (denominator = corresponding
aggregate collateral pool balance)
For example, if the collateral matices are for group II collateral, denominator
to be used for all the % should be as of aggregate group II collateral balance)
FICO & Documentation 100
FICO Score Full DOC Limited Doc Stated Doc All Docs Avg Prin Bal Current LTV
---------- -------- ----------- ---------- -------- ------------ -----------
(50 increment)
0 - 499 0.00 0.00 0.00 0.00 -- 0
500-550 2.98 0.53 1.06 4.56 198,509 74.91
551-600 11.13 3.17 3.87 18.17 245,872 80.96
601-650 16.30 6.14 13.95 36.39 259,654 82.47
651-700 8.17 2.53 15.15 25.84 249,611 83.64
701-750 3.34 1.40 6.86 11.60 235,761 84.32
751-800 1.16 0.42 1.58 3.16 237,824 85.5
801-850 0.03 0.10 0.14 0.28 179,476 88.57
-------------- -------- ----------- ---------- -------- ------------ -----------
Total 43.11 14.28 42.61 100.00 247,166 82.48
LTV & FICO
Current LTV FICO NA FICO 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total Avg Prin Bal
----------- ------- ------------ ------- ------- ------- ------- ------- ------- ----- ------------
(10 increment)
..01 - 10.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0
10.01-20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0
20.01-30 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0
30.01-40 0.00 0.04 0.06 0.03 0.03 0.02 0.03 0.00 0.21 124,573
40.01-50 0.00 0.23 0.16 0.20 0.03 0.00 0.02 0.00 0.65 181,402
50.01-60 0.00 0.22 0.53 0.45 0.38 0.00 0.00 0.00 1.58 211,541
60.01-70 0.00 0.74 1.38 1.50 0.97 0.20 0.00 0.00 4.79 267,873
70.01-80 0.00 1.98 8.65 20.73 14.51 7.49 1.53 0.11 55.00 297,396
80.01-90 0.00 1.21 4.99 7.97 5.06 1.40 0.89 0.10 21.62 316,557
90.01-100 0.00 0.13 2.40 5.50 4.86 2.50 0.69 0.07 16.15 133,801
--------------------- ------- ------------ ------- ------- ------- ------- ------- ------- ------ ------------
Total 0.00 4.56 18.17 36.39 25.84 11.60 3.16 0.28 100.00 247,166
LTV & FICO
Current LTV WAC Gross Margin
----------- --- ------------
(10 increment)
..01 - 10.00 0.000 0.000
10.01-20 0.000 0.000
20.01-30 0.000 0.000
30.01-40 7.062 5.905
40.01-50 7.214 6.434
50.01-60 6.701 5.993
60.01-70 6.695 5.931
70.01-80 6.456 5.910
80.01-90 6.754 6.277
90.01-100 8.614 6.676
--------------------- ------ ------------
Total 6.890 6.067
Prin Balance & FICO
Prin Balance FICO NA FICO 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total Current LTV
------------ ------- ------------ ------- ------- ------- ------- ------- ------- ----- -----------
(50,000 increments)
$1 - $50,000 0.00 0.05 0.08 0.05 0.05 0.02 0.02 0.01 0.26 79.47
$50,001 - $100,000 0.00 0.36 0.74 2.06 2.30 1.35 0.28 0.05 7.12 93.47
$100,001 - $150,000 0.00 0.58 1.45 2.53 1.59 0.66 0.24 0.02 7.07 85.87
$150,001 - $200,000 0.00 0.72 1.69 2.43 1.12 0.22 0.12 0.00 6.30 81.01
$200,001 - $250,000 0.00 0.60 2.64 3.80 1.66 0.71 0.30 0.04 9.76 80.12
$250,001 - $300,000 0.00 0.45 2.43 3.98 1.83 0.88 0.13 0.00 9.70 80.50
$300,001 - $350,000 0.00 0.22 1.11 2.74 1.59 0.99 0.05 0.00 6.70 82.48
$350,001 - $400,000 0.00 0.58 2.44 5.12 4.03 1.54 0.45 0.00 14.16 81.45
$400,001 - $450,000 0.00 0.36 1.43 3.47 3.62 1.61 0.29 0.07 10.84 83.19
$450,001 - $500,000 0.00 0.41 1.72 2.34 2.75 0.90 0.16 0.00 8.29 82.26
$500,001 - $550,000 0.00 0.00 0.88 2.71 1.61 0.54 0.00 0.00 5.74 81.06
$550,001 - $600,000 0.00 0.10 0.49 1.85 0.79 0.99 0.30 0.10 4.62 80.13
$600,001 - $650,000 0.00 0.00 0.32 0.74 1.18 0.42 0.32 0.00 2.98 81.14
$650,001 - $700,000 0.00 0.00 0.36 1.25 0.69 0.11 0.12 0.00 2.52 79.23
$700,001 - $750,000 0.00 0.00 0.12 0.63 0.50 0.38 0.25 0.00 1.88 81.28
$750,001 - $800,000 0.00 0.14 0.14 0.40 0.26 0.14 0.13 0.00 1.19 79.89
$800,001 - $850,000 0.00 0.00 0.14 0.14 0.14 0.00 0.00 0.00 0.43 72.86
$850,001 - $900,000 0.00 0.00 0.00 0.15 0.15 0.15 0.00 0.00 0.44 81.59
$900,001 - $950,000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
$950,001 - $1,000,000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
<= $1,000,000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
--------------------- ------- ------------ ------- ------- ------- ------- ------- ------- ------ ------------
total 0.00 4.56 18.17 36.39 25.84 11.60 3.16 0.28 100.00 82.48
Prin Balance & FICO
Prin Balance WAC Gross Margin
------------ --- ------------
(50,000 increments)
$1 - $50,000 8.969 7.240
$50,001 - $100,000 9.202 6.673
$100,001 - $150,000 8.203 6.348
$150,001 - $200,000 7.382 6.260
$200,001 - $250,000 6.833 6.170
$250,001 - $300,000 6.694 6.102
$300,001 - $350,000 6.617 6.155
$350,001 - $400,000 6.519 6.028
$400,001 - $450,000 6.433 6.050
$450,001 - $500,000 6.591 6.096
$500,001 - $550,000 6.384 6.065
$550,001 - $600,000 6.190 5.579
$600,001 - $650,000 6.406 6.057
$650,001 - $700,000 6.159 5.746
$700,001 - $750,000 6.158 5.890
$750,001 - $800,000 6.364 5.574
$800,001 - $850,000 5.950 5.787
$850,001 - $900,000 5.551 5.637
$900,001 - $950,000 0.000 0.000
$950,001 - $1,000,000 0.000 0.000
<= $1,000,000 0.000 0.000
--------------------- ------ ------------
total 6.890 6.067
Prepayment Penalty & FICO
Prepayment Penalty Term FICO NA FICO 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total Current LTV
----------------------- ------- ------------ ------- ------- ------- ------- ------- ------- ----- -----------
(whatever increments)
0 0.00 1.44 5.02 8.53 6.96 3.25 1.02 0.05 26.27 82.35
12 0.00 0.20 0.67 2.01 1.46 0.76 0.00 0.00 5.10 79.97
24 0.00 2.71 10.71 22.05 13.89 6.00 1.71 0.20 57.27 82.51
36 0.00 0.20 1.77 3.80 3.52 1.58 0.43 0.03 11.34 83.76
60 0.00 0.00 0.00 0.00 0.02 0.00 0.00 0.00 0.02 89.75
----------------------- ------- ------------ ------- ------- ------- ------- ------- ------- ------ -----------
total 0.00 4.56 18.17 36.39 25.84 11.60 3.16 0.28 100.00 82.48
Prepayment Penalty & FICO
Prepayment Penalty Term WAC Gross Margin Avg Prin Bal
----------------------- --- ------------ ------------
(whatever increments)
0 7.15 6.04 228536.00
12 6.90 6.02 299736.00
24 6.72 6.08 271909.00
36 7.15 6.10 183431.00
60 6.38 7.88 94236.00
----------------------- ----- ------------ ------------
total 6.89 6.07 247166.00
Mortg Rates & FICO
Mortg Rates FICO NA FICO 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total Current LTV
----------- ------- ------------ ------- ------- ------- ------- ------- ------- ----- -----------
(50 bps increment)
4.501 - 5.000 0.00 0.00 0.00 0.30 0.29 0.58 0.00 0.00 1.17 79.96
5.001 - 5.500 0.00 0.06 0.76 1.97 1.57 0.96 0.62 0.10 6.05 81.22
5.501 - 6.000 0.00 0.08 2.19 8.03 7.34 3.28 0.59 0.07 21.58 79.39
6.001 - 6.500 0.00 0.16 2.85 8.05 5.31 2.19 0.41 0.00 18.97 80.80
6.501 - 7.000 0.00 0.63 4.09 8.22 5.12 1.83 0.48 0.04 20.41 81.69
7.001 - 7.500 0.00 0.65 3.56 3.53 1.85 0.53 0.44 0.00 10.55 80.56
7.501 - 8.000 0.00 1.35 2.97 2.81 0.67 0.23 0.11 0.01 8.16 81.97
8.001 - 8.500 0.00 0.59 0.81 0.57 0.60 0.47 0.15 0.02 3.22 88.17
8.501 - 9.000 0.00 0.59 0.31 0.46 0.46 0.28 0.06 0.00 2.16 90.67
9.001 - 9.500 0.00 0.19 0.11 0.10 0.32 0.50 0.16 0.03 1.41 94.42
9.501 - 10.000 0.00 0.22 0.26 0.73 1.15 0.55 0.06 0.01 2.98 97.08
10.001 - 10.500 0.00 0.03 0.04 0.57 0.49 0.14 0.05 0.00 1.33 98.14
10.501 - 11.000 0.00 0.00 0.18 0.91 0.53 0.05 0.03 0.00 1.70 98.97
11.001 - 11.500 0.00 0.00 0.04 0.06 0.07 0.00 0.00 0.00 0.17 96.00
11.501 - 12.000 0.00 0.00 0.00 0.09 0.04 0.00 0.00 0.00 0.13 99.60
12.001 - 12.500 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.01 94.99
12.501 - 13.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 99.97
13.001 - 13.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
13.501 - 14.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
14.001 - 14.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
14.501 - 15.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
15.001 >= 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
----------------------- ------- ------------ ------- ------- ------- ------- ------- ------- ------ -----------
Total: 0.00 4.56 18.17 36.39 25.84 11.60 3.16 0.28 100.00 82.48
Mortg Rates & FICO
Mortg Rates WAC Gross Margin Avg Prin Bal
----------- --- ------------ ------------
(50 bps increment)
4.501 - 5.000 4.99 4.99 491585.00
5.001 - 5.500 5.40 5.42 455732.00
5.501 - 6.000 5.87 5.61 347227.00
6.001 - 6.500 6.34 5.96 317319.00
6.501 - 7.000 6.81 6.23 290855.00
7.001 - 7.500 7.28 6.46 261487.00
7.501 - 8.000 7.79 6.62 231519.00
8.001 - 8.500 8.30 7.20 147552.00
8.501 - 9.000 8.82 7.49 125831.00
9.001 - 9.500 9.40 7.98 92954.00
9.501 - 10.000 9.91 7.91 92473.00
10.001 - 10.500 10.41 8.00 92915.00
10.501 - 11.000 10.86 0.00 98761.00
11.001 - 11.500 11.33 0.00 100947.00
11.501 - 12.000 11.88 0.00 96626.00
12.001 - 12.500 12.88 0.00 57695.00
12.501 - 13.000 13.13 0.00 25260.00
13.001 - 13.500 0.00 0.00 0.00
13.501 - 14.000 0.00 0.00 0.00
14.001 - 14.500 0.00 0.00 0.00
14.501 - 15.000 0.00 0.00 0.00
15.001 >= 0.00 0.00 0.00
----------------------- ----- ------------ ------------
Total: 6.89 6.07 247166.00
Mortg Rates & LTV
Mortg Rates .01-10 10.01-20 20.01-30 30.01-40 40.01-50 50.01-60 60.01-70 70.01-80 80.01-90 90.01-100
----------- ------ -------- -------- -------- -------- -------- -------- -------- -------- ---------
(50 bps increment)
4.501 - 5.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.06 0.11 0.00
5.001 - 5.500 0.00 0.00 0.00 0.00 0.00 0.00 0.05 4.40 1.44 0.17
5.501 - 6.000 0.00 0.00 0.00 0.02 0.05 0.56 1.51 15.47 3.45 0.53
6.001 - 6.500 0.00 0.00 0.00 0.00 0.10 0.32 0.91 11.71 4.83 1.09
6.501 - 7.000 0.00 0.00 0.00 0.12 0.10 0.20 0.94 11.60 5.50 1.94
7.001 - 7.500 0.00 0.00 0.00 0.00 0.21 0.25 0.69 5.52 2.82 1.05
7.501 - 8.000 0.00 0.00 0.00 0.07 0.11 0.19 0.51 3.57 1.89 1.82
8.001 - 8.500 0.00 0.00 0.00 0.01 0.02 0.01 0.07 0.98 0.54 1.58
8.501 - 9.000 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.45 0.58 1.07
9.001 - 9.500 0.00 0.00 0.00 0.00 0.04 0.05 0.01 0.07 0.11 1.13
9.501 - 10.000 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.09 0.20 2.63
10.001 - 10.500 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.03 0.10 1.19
10.501 - 11.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.04 1.64
11.001 - 11.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.00 0.15
11.501 - 12.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.13
12.001 - 12.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01
12.501 - 13.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
13.001 - 13.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
13.501 - 14.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
14.001 - 14.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
14.501 - 15.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
15.001 >= 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
------------------ ------ -------- -------- -------- -------- -------- -------- -------- -------- ---------
Total: 0.00 0.00 0.00 0.21 0.65 1.58 4.79 55.00 21.62 16.15
Mortg Rates & LTV
Mortg Rates total avg FICO Gross Margin Avg Prin Bal
----------- ----- -------- ------------ ------------
(50 bps increment)
4.501 - 5.000 1.17 687 5.0 491585.0
5.001 - 5.500 6.05 664 5.4 455732.0
5.501 - 6.000 21.58 657 5.6 347227.0
6.001 - 6.500 18.97 648 6.0 317319.0
6.501 - 7.000 20.41 637 6.2 290855.0
7.001 - 7.500 10.55 620 6.5 261487.0
7.501 - 8.000 8.16 600 6.6 231519.0
8.001 - 8.500 3.22 625 7.2 147552.0
8.501 - 9.000 2.16 617 7.5 125831.0
9.001 - 9.500 1.41 676 8.0 92954.0
9.501 - 10.000 2.98 658 7.9 92473.0
10.001 - 10.500 1.33 656 8.0 92915.0
10.501 - 11.000 1.70 640 0.0 98761.0
11.001 - 11.500 0.17 627 0.0 100947.0
11.501 - 12.000 0.13 643 0.0 96626.0
12.001 - 12.500 0.01 689 0.0 57695.0
12.501 - 13.000 0.00 608 0.0 25260.0
13.001 - 13.500 0.00 0 0.0 0.0
13.501 - 14.000 0.00 0 0.0 0.0
14.001 - 14.500 0.00 0 0.0 0.0
14.501 - 15.000 0.00 0 0.0 0.0
15.001 >= 0.00 0 0.0 0.0
------------------ ------ -------- ------------ ------------
Total: 100.00 641 6.1 247166.0
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
All records
Table of Contents
1. Silent Seconds Total Pool
2. Silent Seconds Group 2
3. Silent Seconds Northern California
4. Silent Seconds Southern California
1. Silent Seconds Total Pool
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average Pct
Mortgage Principal Principal Interest Term Original FICO Cashout
Silent Seconds Total Pool Loans Balance ($) Balance Rate (%) (months) LTV Score Refi
------------------------------------- -------- ----------- --------- -------- --------- -------- -------- -------
No 3,623 609,495,262 61.77 7.253 329 83.83 628 54.24
Yes 1,505 377,161,636 38.23 6.322 357 79.75 665 12.43
------------------------------------- -------- ----------- --------- -------- --------- -------- -------- -------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642 38.26
Pct
Single Pct Pct
Silent Seconds Total Pool Family PUD Full Doc
------------------------------------- ------ ----- --------
No 73.52 11.36 49.53
Yes 67.99 15.40 36.06
------------------------------------- ------ ----- --------
Total: 71.41 12.90 44.38
2. Silent Seconds Group 2
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average Pct
Mortgage Principal Principal Interest Term Original FICO Cashout
Silent Seconds Group 2 Loans Balance ($) Balance Rate (%) (months) LTV Score Refi
------------------------------------- -------- ----------- --------- -------- --------- -------- -------- -------
No 1,693 364,061,744 61.99 7.227 330 84.47 630 50.85
Yes 683 223,204,405 38.01 6.341 357 79.65 661 14.13
------------------------------------- -------- ----------- --------- -------- --------- -------- -------- -------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641 36.90
Pct
Single Pct Pct
Silent Seconds Group 2 Family PUD Full Doc
------------------------------------- ------ ----- --------
No 74.47 12.41 47.38
Yes 68.88 16.64 36.15
------------------------------------- ------ ----- --------
Total: 72.35 14.02 43.11
3. Silent Seconds Northern California
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average Pct
Mortgage Principal Principal Interest Term Original FICO Cashout
Silent Seconds Northern California Loans Balance ($) Balance Rate (%) (months) LTV Score Refi
------------------------------------- -------- ----------- --------- -------- --------- -------- -------- -------
No 349 77,981,932 58.98 6.976 327 85.67 639 52.63
Yes 155 54,230,012 41.02 6.061 357 79.94 665 13.19
------------------------------------- -------- ----------- --------- -------- --------- -------- -------- -------
Total: 504 132,211,944 100.00 6.601 339 83.32 650 36.46
Pct
Single Pct Pct
Silent Seconds Northern California Family PUD Full Doc
------------------------------------- ------ ----- --------
No 83.65 7.51 51.17
Yes 82.90 5.46 40.81
------------------------------------- ------ ----- --------
Total: 83.34 6.67 46.92
4. Silent Seconds Southern California
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average Pct
Mortgage Principal Principal Interest Term Original FICO Cashout
Silent Seconds Southern California Loans Balance ($) Balance Rate (%) (months) LTV Score Refi
------------------------------------- -------- ----------- --------- -------- --------- -------- -------- -------
No 1,282 259,032,202 59.90 7.126 328 82.26 632 59.80
Yes 559 173,375,684 40.10 6.208 357 79.68 670 11.36
------------------------------------- -------- ----------- --------- -------- --------- -------- -------- -------
Total: 1,841 432,407,885 100.00 6.758 339 81.23 647 40.37
Pct
Single Pct Pct
Silent Seconds Southern California Family PUD Full Doc
------------------------------------- ------ ----- --------
No 74.39 7.81 43.17
Yes 69.40 9.96 31.46
------------------------------------- ------ ----- --------
Total: 72.39 8.67 38.48
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
All average are wtg averages.
Originator/ Originator/ Originator/
Source 1 Source 2 Source 3 Aggregate
--------------------------------------------------------------------------
FICO avg 642
FICO stdev 58
FICO < 500 % 0.00
FICO < 560 % 8.02
10th Percentile FICO
90th Percentile FICO
CLTV avg 82.27
CLTV >80% 37.54
SS CLTV 89.62
10th Percentile CLTV
90th Percentile CLTV
Full Doc % 44.38
Loan Bal avg 192,405.79
DTI % 40.35
DTI >45% 33.65
Purch % 47.08
Cash Out % 38.26
Fxd % 19.35
3 yr ARM >= % 7.87
WAC avg 6.9
WAC stdev 1.757
1st Lien % 91.07
MI % None
CA % 57.23
Sng Fam % 71.41
Invt Prop % 3.67
MH % 0.49
IO % 25.74
2yr IO% 0.00
IO non-Full Doc % 12.91
2-4 Fam % 7.48
Prim Occ % 94.75
<$100K Bal % 10.22
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
Originator/ Source WA LTV WA CLTV WA SS CLTV FICO WAC % Bal. Purch % Invt Prop % 1st Lien % % with S.2nds
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
WMC 75.16 82.27 89.62 642 6.897 100.00 47.08 3.67 91.07 38.23
Name 2
Name 3
Name 4
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
Total 75.16 82.27 89.62 642 6.897 100.00 47.08 3.67 91.07 38.23
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
------------------ ----- ---------- ------ ----- --------- ---------
Originator/ Source CA% Full Doc % IO% DTI% DTI% > 45 % with MI
------------------ ----- ---------- ------ ----- --------- ---------
WMC 57.23 44.38 25.74 40.35 33.65 0
Name 2
Name 3
Name 4
------------------ ----- ---------- ------ ----- --------- ---------
Total 57.23 44.38 25.74 40.35 33.65
------------------ ----- ---------- ------ ----- --------- ---------
Documentation WA LTV WA CLTV WA SS CLTV FICO WAC % Bal. Purch % Invt Prop % 1st Lien % % with S.2nds
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
Not Full 73.55 81.67 90.11 655 6.985 55.62 55.87 3.72 89.80 43.94
Full 77.18 83.02 89.01 627 6.787 44.38 36.08 3.62 92.66 31.06
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
Total: 75.16 82.27 89.62 642 6.897 100.00 47.08 3.67 91.07 38.23
Documentation CA% Full Doc % IO% DTI% DTI% > 45 % with MI
------------------ ----- ---------- ------ ----- --------- ---------
Not Full 61.27 0.00 23.21 39.79 31.43
Full 52.16 100.00 28.91 41.05 36.43
------------------ ----- ---------- ------ ----- --------- ---------
Total: 57.23 44.38 25.74 40.35 33.65
------------------ ----- ---------- ------ ----- --------- ---------
Interest Only WA LTV WA CLTV WA SS CLTV FICO WAC % Bal. Purch % Invt Prop % 1st Lien % % with S.2nds
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
2yr IO
Non-IO 72.80 82.37 88.39 634 7.180 74.26 44.81 4.87 87.98 31.36
Other IO 81.97 81.97 93.17 667 6.080 25.74 53.64 0.22 100.00 58.03
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
Total: 75.16 82.27 89.62 642 6.897 100.00 47.08 3.67 91.07 38.23
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
Interest Only CA% Full Doc % IO% DTI% DTI% > 45 % with MI
------------------ ----- ---------- ------ ----- --------- ---------
2yr IO
Non-IO 49.30 42.49 0.00 40.76 38.22
Other IO 80.10 49.84 100.00 39.17 20.47
------------------ ----- ---------- ------ ----- --------- ---------
Total: 57.23 44.38 25.74 40.35 33.65
------------------ ----- ---------- ------ ----- --------- ---------
FICO WA LTV WA CLTV WA SS CLTV FICO WAC % Bal. Purch % Invt Prop % 1st Lien % % with S.2nds
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
0-499
500-559 76.25 76.63 76.92 536 7.654 8.02 9.66 1.32 99.52 1.76
560-599 77.5 81.04 84.74 583 7.090 14.47 29.62 2.28 95.54 19.61
600-639 75.73 82.48 89.46 620 6.923 26.44 40.58 2.92 91.50 36.12
640-679 74.63 83.14 91.84 658 6.750 25.26 50.86 4.52 89.34 45.22
680>= 73.44 83.65 94.3 716 6.670 25.81 71.49 5.13 87.19 55.32
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
Total 75.16 82.27 89.62 642 6.897 100.00 47.08 3.67 91.07 38.23
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
FICO CA% Full Doc % IO% DTI% DTI% > 45 % with MI
------------------ ----- ---------- ------ ----- --------- ---------
0-499
500-559 46.19 68.42 0.00 40.29 39.44
560-599 48.04 64.77 10.58 40.62 36.73
600-639 55.39 47.46 25.14 40.00 33.34
640-679 61.77 33.75 32.52 40.41 31.79
680>= 63.23 32.72 36.22 40.52 32.26
------------------ ----- ---------- ------ ----- --------- ---------
Total 57.23 44.38 25.74 40.35 33.65
------------------ ----- ---------- ------ ----- --------- ---------
Low Balance WA LTV WA CLTV WA SS CLTV FICO WAC % Bal. Purch % Invt Prop % 1st Lien % % with S.2nds
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
<80,000 32.50 94.49 96.03 653 9.530 6.90 76.63 2.46 22.47 7.70
80,000-100,000 54.74 88.26 92.09 641 8.390 3.32 55.09 5.61 57.99 19.35
100,000>= 79.19 81.11 89.04 641 6.639 89.78 44.52 3.70 97.57 41.27
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
Total 75.16 82.27 89.62 642 6.897 100.00 47.08 3.67 91.07 38.23
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
Low Balance CA% Full Doc % IO% DTI% DTI% > 45 % with MI
------------------ ----- ---------- ------ ----- --------- ---------
<80,000 38.49 45.55 0.46 39.94 33.14
80,000-100,000 38.16 49.64 2.18 40.00 35.51
100,000>= 59.37 44.10 28.56 40.39 33.62
------------------ ----- ---------- ------ ----- --------- ---------
Total 57.23 44.38 25.74 40.35 33.65
------------------ ----- ---------- ------ ----- --------- ---------
Lien Position WA LTV WA CLTV WA SS CLTV FICO WAC % Bal. Purch % Invt Prop % 1st Lien % % with S.2nds
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
1st Lien 80.60 80.60 88.67 640 6.590 91.07 43.64 4.03 100.00 41.97
2nd Lien 19.64 99.30 99.30 665 10.030 8.93 82.26 0.00 0.00 0.00
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
Total 75.16 82.27 89.62 642 6.897 100.00 47.08 3.67 91.07 38.23
------------------ ------ ------- ---------- ---- ------ ------ ------- ----------- ---------- -------------
Lien Position CA% Full Doc % IO% DTI% DTI% > 45 % with MI
------------------ ----- ---------- ------ ----- --------- ---------
1st Lien 56.89 45.16 28.26 40.26 33.56
2nd Lien 60.61 36.48 0.00 41.24 34.56
------------------ ----- ---------- ------ ----- --------- ---------
Total 57.23 44.38 25.74 40.35 33.65
------------------ ----- ---------- ------ ----- --------- ---------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX
MSAC 2005-WMC3
Selection Criteria: Full Documentation & Purchase
Number of Mortgage Loans: 1,039
Total Current Balance: 157,988,088.78
Average Current Balance: 152,057.83
Weighted Average FICO Score: 649.6
Weighted Average Current LTV: 84.83
Weighted Average DTI Ratio: 40.97
% Cash-Out Refinance: 0.0
% Full Documentation: 100.0
% Owner Occupied: 92.9
Weighted Average Coupon: 6.807
Weighted Average Margin: 5.750
% 2-4 Family: 7.4
% MH: 0.1
% PUD: 15.4
% Condo: 11.4
% Silent Second: 61.25
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Selection Criteria: Full Documentation & Refinance - Cashout
Number of Mortgage Loans: 958
Total Current Balance: 199,411,031.24
Average Current Balance: 208,153.48
Weighted Average FICO Score: 612.9
Weighted Average Current LTV: 81.46
Weighted Average DTI Ratio: 41.54
% Cash-Out Refinance: 100.0
% Full Documentation: 100.0
% Owner Occupied: 96.6
Weighted Average Coupon: 6.739
Weighted Average Margin: 6.061
% 2-4 Family: 4.8
% MH: 0.8
% PUD: 11.6
% Condo: 4.8
% Silent Second: 13.35
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Selection Criteria: Full Documentation & Refinance - Rate Term
Number of Mortgage Loans: 419
Total Current Balance: 80,486,779.54
Average Current Balance: 192,092.55
Weighted Average FICO Score: 616.3
Weighted Average Current LTV: 82.43
Weighted Average DTI Ratio: 40.01
% Cash-Out Refinance: 0.0
% Full Documentation: 100.0
% Owner Occupied: 96.6
Weighted Average Coupon: 6.866
Weighted Average Margin: 6.205
% 2-4 Family: 6.5
% MH: 0.8
% PUD: 11.5
% Condo: 6.8
% Silent Second: 15.67
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Selection Criteria: Limited Documentation & Purchase
Number of Mortgage Loans: 319
Total Current Balance: 60,421,666.29
Average Current Balance: 189,409.61
Weighted Average FICO Score: 650.8
Weighted Average Current LTV: 84.75
Weighted Average DTI Ratio: 36.20
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 91.7
Weighted Average Coupon: 6.735
Weighted Average Margin: 5.701
% 2-4 Family: 4.9
% MH: 0.0
% PUD: 20.3
% Condo: 12.7
% Silent Second: 61.93
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Selection Criteria: Limited Documentation & Refinance - Cashout
Number of Mortgage Loans: 198
Total Current Balance: 51,905,624.90
Average Current Balance: 262,149.62
Weighted Average FICO Score: 629.0
Weighted Average Current LTV: 83.15
Weighted Average DTI Ratio: 38.66
% Cash-Out Refinance: 100.0
% Full Documentation: 0.0
% Owner Occupied: 96.1
Weighted Average Coupon: 6.532
Weighted Average Margin: 6.071
% 2-4 Family: 12.4
% MH: 0.7
% PUD: 12.9
% Condo: 4.5
% Silent Second: 10.02
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Selection Criteria: Limited Documentation & Refinance - Rate Term
Number of Mortgage Loans: 68
Total Current Balance: 16,608,336.54
Average Current Balance: 244,240.24
Weighted Average FICO Score: 613.2
Weighted Average Current LTV: 80.38
Weighted Average DTI Ratio: 36.27
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 91.8
Weighted Average Coupon: 6.712
Weighted Average Margin: 6.040
% 2-4 Family: 2.9
% MH: 0.0
% PUD: 11.4
% Condo: 5.1
% Silent Second: 13.07
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Selection Criteria: Stated Documentation & Purchase
Number of Mortgage Loans: 1,431
Total Current Balance: 246,156,775.24
Average Current Balance: 172,017.31
Weighted Average FICO Score: 677.9
Weighted Average Current LTV: 83.40
Weighted Average DTI Ratio: 41.56
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 94.9
Weighted Average Coupon: 7.249
Weighted Average Margin: 6.143
% 2-4 Family: 8.6
% MH: 0.5
% PUD: 14.7
% Condo: 9.0
% Silent Second: 70.21
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Selection Criteria: Stated Documentation & Refinance - Cashout
Number of Mortgage Loans: 503
Total Current Balance: 126,196,746.41
Average Current Balance: 250,888.16
Weighted Average FICO Score: 633.0
Weighted Average Current LTV: 77.11
Weighted Average DTI Ratio: 39.17
% Cash-Out Refinance: 100.0
% Full Documentation: 0.0
% Owner Occupied: 93.3
Weighted Average Coupon: 6.860
Weighted Average Margin: 6.202
% 2-4 Family: 8.4
% MH: 0.7
% PUD: 8.3
% Condo: 5.9
% Silent Second: 11.94
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
Selection Criteria: Stated Documentation & Refinance - Rate Term
Number of Mortgage Loans: 193
Total Current Balance: 47,481,848.90
Average Current Balance: 246,019.94
Weighted Average FICO Score: 638.7
Weighted Average Current LTV: 77.97
Weighted Average DTI Ratio: 39.28
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 96.6
Weighted Average Coupon: 6.851
Weighted Average Margin: 6.229
% 2-4 Family: 11.7
% MH: 0.0
% PUD: 6.5
% Condo: 5.7
% Silent Second: 17.83
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
ARM Loans
Table of Contents
1. Documentation Level
2. Credit Score
3. Range of Combined Original LTV Ratios (%)
4. Documentation Level Greater than 85% LTV
1. Documentation Level
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Weighted Average
of Date Cut-off Loan Gross Average Combined Weighted
Mortgage Principal Principal Principal Interest Gross Original Average
Documentation Level Loans Balance Balance Balance Rate Margin LTV FICO Score
---------------------------------------- -------- ----------- --------- --------- -------- -------- -------- ----------
Full Documentation 1,520 349,226,262 43.88 229,754 6.512 5.974 82.18 624
Stated Documentation 1,264 340,222,455 42.75 269,163 6.679 6.171 79.02 657.5
Limited Documentation 377 106,335,296 13.36 282,056 6.344 5.896 82.58 635.7
---------------------------------------- -------- ----------- --------- --------- -------- -------- -------- ----------
Total: 3,161 795,784,013 100.00 251,751 6.561 6.048 80.88 639.9
2. Credit Score
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Weighted Average
of Date Cut-off Loan Gross Average Combined Weighted
Mortgage Principal Principal Principal Interest Gross Original Average
Credit Score Loans Balance Balance Balance Rate Margin LTV FICO Score
---------------------------------------- -------- ----------- --------- --------- -------- -------- -------- ----------
481 - 500 8 935,331 0.12 116,916 7.559 6.156 72.39 500
501 - 520 77 16,358,507 2.06 212,448 7.978 6.592 76.73 510.6
521 - 540 103 19,855,475 2.50 192,772 7.793 6.609 74.78 529.9
541 - 560 184 34,558,947 4.34 187,820 7.350 6.448 78.18 552.2
561 - 580 203 46,591,194 5.85 229,513 7.161 6.355 80.59 571.6
581 - 600 346 78,796,471 9.90 227,735 6.740 6.184 80.26 590.9
601 - 620 407 100,875,817 12.68 247,852 6.615 6.100 82.03 610.7
621 - 640 421 110,369,690 13.87 262,161 6.512 6.030 80.56 630.1
641 - 660 400 107,102,256 13.46 267,756 6.297 5.860 81.33 649.7
661 - 680 330 88,290,293 11.09 267,546 6.307 5.944 81.65 670.5
681 - 700 270 74,676,843 9.38 276,581 6.285 5.921 81.65 689.9
701 - 720 161 46,335,722 5.82 287,800 6.193 5.946 81.38 710.2
721 - 740 110 31,294,029 3.93 284,491 6.081 5.724 81.52 730
741 - 760 70 19,793,381 2.49 282,763 6.222 5.929 83.15 750.2
761 - 780 48 13,280,397 1.67 276,675 6.098 5.624 81.34 770.1
781 - 800 16 4,449,892 0.56 278,118 6.486 5.906 81.09 791.6
801 - 820 6 1,814,168 0.23 302,361 5.759 5.795 83.13 807.7
821 - 840 1 405,600 0.05 405,600 5.990 7.125 80.00 821
---------------------------------------- -------- ----------- --------- --------- -------- -------- -------- ----------
Total: 3,161 795,784,013 100.00 251,751 6.561 6.048 80.88 639.9
---------------------------------------- -------- ----------- --------- --------- -------- -------- -------- ----------
Non-Zero Minimum: 500
Maximum: 821
Non-Zero Weighted Average: 640
3. Range of Combined Original LTV Ratios (%)
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Weighted Average
of Date Cut-off Loan Gross Average Combined Weighted
Mortgage Principal Principal Principal Interest Gross Original Average
Range of Combined Original LTV Ratios (%) Loans Balance Balance Balance Rate Margin LTV FICO Score
---------------------------------------- -------- ----------- --------- --------- -------- -------- -------- ----------
10.01 - 15.00 1 49,881 0.01 49,881 7.200 5.375 12.99 651
15.01 - 20.00 1 54,822 0.01 54,822 7.125 6.400 18.03 526
25.01 - 30.00 1 154,685 0.02 154,685 7.990 6.250 29.81 607
30.01 - 35.00 1 74,733 0.01 74,733 6.625 5.625 30.36 564
35.01 - 40.00 10 1,241,900 0.16 124,190 6.649 5.793 37.86 596.5
40.01 - 45.00 10 1,322,842 0.17 132,284 6.615 5.691 42.69 581.9
45.01 - 50.00 23 4,635,404 0.58 201,539 7.122 6.451 48.15 594.2
50.01 - 55.00 30 5,865,886 0.74 195,530 6.634 5.843 53.16 592
55.01 - 60.00 43 9,413,140 1.18 218,910 6.707 6.027 57.77 595.7
60.01 - 65.00 53 12,909,391 1.62 243,573 6.797 6.181 62.82 592.3
65.01 - 70.00 101 25,270,994 3.18 250,208 6.684 5.885 68.12 604.3
70.01 - 75.00 188 50,652,042 6.37 269,426 6.751 6.082 73.97 604.3
75.01 - 80.00 1,774 438,712,043 55.13 247,301 6.350 5.866 79.80 656.1
80.01 - 85.00 297 78,858,142 9.91 265,516 6.787 6.236 84.28 612.6
85.01 - 90.00 390 106,259,578 13.35 272,460 6.735 6.321 89.54 635.8
90.01 - 95.00 228 57,852,760 7.27 253,740 7.149 6.663 94.72 635.3
95.01 - 100.00 10 2,455,769 0.31 245,577 7.169 6.563 99.06 676.5
---------------------------------------- -------- ----------- --------- --------- -------- -------- -------- ----------
Total: 3,161 795,784,013 100.00 251,751 6.561 6.048 80.88 639.9
---------------------------------------- -------- ----------- --------- --------- -------- -------- -------- ----------
Minimum: 12.99
Maximum: 100.00
Weighted Average: 80.88
4. Documentation Level Greater than 85% LTV
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Weighted Average
of Date Cut-off Loan Gross Average Combined Weighted
Mortgage Principal Principal Principal Interest Gross Original Average
Documentation Level Greater than 85% LTV Loans Balance Balance Balance Rate Margin LTV FICO Score
---------------------------------------- ----- ------- ------- ------- ---- ------ --- ----------
Full Documentation 395 97,791,797 58.71 247,574 6.887 6.448 91.75 625.8
Stated Documentation 126 38,522,623 23.13 305,735 7.044 6.598 90.88 654
Limited Documentation 107 30,253,687 18.16 282,745 6.676 6.233 91.36 647.3
Total: 628 166,568,107 100.00 265,236 6.885 6.444 91.48 636.2
---------------------------------------- --- ----------- ------ ------- ----- ----- ----- -----
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
FRM Loans
Table of Contents
1. Documentation Level
2. Credit Score
3. Range of Combined Original LTV Ratios (%)
4. Documentation Level Greater than 85% LTV
1. Documentation Level
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Average
of Date Cut-off Loan Gross Combined Weighted
Mortgage Principal Principal Principal Interest Original Average
Documentation Level Loans Balance Balance Balance Rate LTV FICO Score
----------------------------------------- -------- ----------- --------- --------- -------- -------- ----------
Full Documentation 896 88,659,638 46.45 98,950 7.871 86.34 637.6
Stated Documentation 863 79,612,916 41.71 92,251 8.834 89.77 670.5
Limited Documentation 208 22,600,332 11.84 108,655 8.095 88.89 644.1
----------------------------------------- -------- ----------- --------- --------- -------- -------- ----------
Total: 1,967 190,872,885 100.00 97,038 8.299 88.07 652.1
----------------------------------------- -------- ----------- --------- --------- -------- -------- ----------
2. Credit Score
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Average
of Date Cut-off Loan Gross Combined Weighted
Mortgage Principal Principal Principal Interest Original Average
Credit Score Loans Balance Balance Balance Rate LTV FICO Score
----------------------------------------- -------- ----------- --------- --------- -------- -------- ----------
481 - 500 2 154,387 0.08 77,193 9.656 78.13 500.0
501 - 520 9 1,546,170 0.81 171,797 7.516 71.73 511.4
521 - 540 11 1,609,942 0.84 146,358 8.198 77.80 529.1
541 - 560 43 6,196,801 3.25 144,112 7.724 76.12 552.8
561 - 580 39 5,285,230 2.77 135,519 7.728 83.98 572.2
581 - 600 178 15,381,755 8.06 86,414 8.427 85.43 591.7
601 - 620 232 24,251,459 12.71 104,532 8.202 85.28 611.1
621 - 640 290 24,927,618 13.06 85,957 8.719 90.67 630.7
641 - 660 293 30,221,285 15.83 103,144 8.275 89.26 649.6
661 - 680 285 26,407,381 13.84 92,657 8.362 88.60 670.1
681 - 700 224 21,077,512 11.04 94,096 8.355 90.84 690.4
701 - 720 135 13,718,645 7.19 101,620 8.118 89.11 710.4
721 - 740 109 9,961,139 5.22 91,387 8.163 92.13 729.2
741 - 760 51 4,298,377 2.25 84,282 8.236 91.38 750.4
761 - 780 42 3,753,968 1.97 89,380 8.074 90.63 769.2
781 - 800 17 1,638,192 0.86 96,364 8.431 82.29 789.5
801 - 820 6 341,778 0.18 56,963 8.740 100.00 809.3
821 - 840 1 101,249 0.05 101,249 9.500 100.00 821.0
----------------------------------------- -------- ----------- --------- --------- -------- -------- ----------
Total: 1,967 190,872,885 100.00 97,038 8.299 88.07 652.1
----------------------------------------- -------- ----------- --------- --------- -------- -------- ----------
Minimum: 500
Maximum: 821
Weighted Average: 652
3. Range of Combined Original LTV Ratios (%)
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Average
of Date Cut-off Loan Gross Combined Weighted
Mortgage Principal Principal Principal Interest Original Average
Range of Combined Original LTV Ratios (%) Loans Balance Balance Balance Rate LTV FICO Score
----------------------------------------- -------- ----------- --------- --------- -------- -------- ----------
25.01 - 30.00 1 69,843 0.04 69,843 7.500 26.42 601.0
35.01 - 40.00 4 579,536 0.30 144,884 6.941 39.14 715.3
40.01 - 45.00 10 1,623,830 0.85 162,383 6.462 43.32 661.3
45.01 - 50.00 11 1,566,966 0.82 142,451 6.426 47.11 660.7
50.01 - 55.00 13 1,671,462 0.88 128,574 6.858 52.13 603.0
55.01 - 60.00 19 3,710,412 1.94 195,285 6.738 58.27 621.5
60.01 - 65.00 23 4,079,950 2.14 177,389 6.403 63.25 629.6
65.01 - 70.00 42 8,101,482 4.24 192,892 6.651 68.26 630.7
70.01 - 75.00 49 9,469,924 4.96 193,264 6.805 73.64 632.1
75.01 - 80.00 175 35,023,097 18.35 200,132 6.824 79.49 644.4
80.01 - 85.00 43 9,535,592 5.00 221,758 6.946 83.97 639.2
85.01 - 90.00 120 20,911,502 10.96 174,263 7.159 89.32 645.6
90.01 - 95.00 133 13,676,643 7.17 102,832 8.322 94.66 655.6
95.01 - 100.00 1,324 80,852,647 42.36 61,067 10.009 99.97 665.3
----------------------------------------- -------- ----------- --------- --------- -------- -------- ----------
Total: 1,967 190,872,885 100.00 97,038 8.299 88.07 652.1
----------------------------------------- -------- ----------- --------- --------- -------- -------- ----------
Minimum: 26.42
Maximum: 100.00
Weighted Average: 88.07
4. Documentation Level Greater than 85% LTV
% of
Morgage
Aggregate Pool by Avg Weighted Weighted
Number Cut-off Aggregate Mortgage Average Average
of Date Cut-off Loan Gross Combined Weighted
Mortgage Principal Principal Principal Interest Original Average
Documentation Level Greater than 85% LTV Loans Balance Balance Balance Rate LTV FICO Score
----------------------------------------- -------- ----------- --------- --------- -------- -------- ----------
Stated Documentation 736 51,135,528 44.30 69,478 9.932 98.31 678.9
Full Documentation 674 50,450,357 43.70 74,852 8.718 96.50 646.4
Limited Documentation 167 13,854,907 12.00 82,964 9.028 97.39 644.6
----------------------------------------- -------- ----------- --------- --------- -------- -------- ----------
Total: 1,577 115,440,792 100.00 73,203 9.293 97.41 660.6
----------------------------------------- -------- ----------- --------- --------- -------- -------- ----------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
LTV: Fixed $ Fixed % 2/28 $ 2/28 % 3/27 $ 3/27 %
----------------------------------- ------------- -------- ----------- -------- ------------- ------
Below 70.01 21,403,481 25.98 54,159,371 65.73 2,438,169 2.96
70.01 to 75 9,469,924 15.75 43,749,047 72.77 4,723,518 7.86
75.01 to 80 35,023,097 7.39 401,009,304 84.65 11,406,239 2.41
80.01 to 85 9,535,592 10.79 71,220,928 80.57 1,290,902 1.46
85.01 to 90 20,911,502 16.44 92,625,298 72.84 4,733,113 3.72
90.01 to 95 13,676,643 19.12 52,661,854 73.62 2,041,711 2.85
95.01 to 100 80,852,647 97.05 2,326,060 2.79 129,709 0.16
100.01 plus 0 0.00 0 0.00 0 0.00
FICO
-----------------------------------
below 550 4,746,853 9.11 46,515,056 89.23 868,391 1.67
550 to 574 8,265,494 13.41 49,099,995 79.66 3,547,946 5.76
575 to 599 16,074,251 14.86 82,788,572 76.55 3,793,119 3.51
600 to 624 29,050,245 18.18 119,030,102 74.48 3,648,749 2.28
625 to 649 36,307,181 20.81 126,891,867 72.71 2,587,837 1.48
650 to 674 34,033,135 22.58 103,702,255 68.80 4,680,360 3.11
675 to 699 27,802,815 22.28 84,229,676 67.48 3,352,345 2.69
700 plus 34,592,911 22.34 105,494,339 68.12 4,284,615 2.77
Property Type:
-----------------------------------
Single-Family 137,857,777 19.57 512,457,927 72.74 19,670,213 2.79
PUD 23,122,566 18.16 94,027,918 73.85 3,094,550 2.43
2-4 Family Det. 17,352,775 23.51 50,421,977 68.30 3,080,536 4.17
Condo. 11,956,244 15.70 56,922,266 74.74 606,880 0.80
Manufactured House 583,524 12.12 3,921,772 81.42 311,182 6.46
Purpose:
-----------------------------------
Purchase 90,710,348 19.53 348,212,989 74.95 7,459,030 1.61
Refinance rate/term 27,411,218 18.96 99,935,319 69.12 6,328,620 4.38
Cash Out Refi (COF) Below 70.01 LTV 16,451,346 27.66 38,414,188 64.58 1,855,166 3.12
COF with LTV 70.01 to 75 6,144,191 16.57 27,641,073 74.54 2,698,420 7.28
COF with LTV 75.01 to 80 17,220,782 15.80 80,001,194 73.41 3,748,629 3.44
COF with LTV 80.01 to 85 6,293,463 11.04 46,898,181 82.29 654,827 1.15
COF with LTV '85.01 to 90 11,849,004 17.19 48,676,994 70.61 2,317,882 3.36
COF with LTV '90.01 to 95 6,105,195 16.83 26,895,967 74.12 1,700,788 4.69
COF with LTV 95.01 to 100 8,687,338 88.98 1,075,957 11.02 0 0.00
COF with LTV 100.01 plus 0 0.00 0 0.00 0 0.00
Occupancy Status:
-----------------------------------
Owner Occupied 179,716,113 19.23 681,390,485 72.89 24,752,547 2.65
Investment 7,287,450 20.11 25,968,460 71.65 1,293,181 3.57
2nd Home 3,869,321 24.80 10,392,916 66.62 717,633 4.60
Loan Balance
-----------------------------------
Below 50,000 20,973,507 93.50 1,458,371 6.50 0 0.00
50,000.01 to 100,000 54,803,608 69.63 22,309,881 28.35 819,738 1.04
100,000.01 to 150,000 30,628,454 33.42 54,907,295 59.91 3,261,490 3.56
150,000.01 to 200,000 19,238,886 17.53 82,313,464 74.98 3,927,738 3.58
200,000.01 to 400,000 45,752,690 10.25 362,442,560 81.17 12,076,587 2.71
400,000.01 to 500,000 10,614,680 8.97 95,250,827 80.45 4,116,048 3.48
500,000.01 to 600,000 5,572,926 9.01 50,782,847 82.10 1,135,886 1.84
600,000.01 to 1,000,000 3,288,133 5.74 48,286,617 84.22 1,425,875 2.49
1,000,000.01 and above 0 0.00 0 0.00 0 0.00
Loan Term
-----------------------------------
>30 Years 0 0.00 0 0.00 0 0.00
30 Years 95,765,123 10.74 717,751,861 80.51 26,763,361 3.00
20 Years 1,899,851 100.00 0 0.00 0 0.00
15 Years 92,965,561 100.00 0 0.00 0 0.00
Other 242,350 100.00 0 0.00 0 0.00
Documentation Type
-----------------------------------
Full Documentation 88,659,638 20.25 310,674,850 70.95 11,617,950 2.65
Limited Documentation 22,600,332 17.53 92,872,540 72.03 3,397,605 2.64
Stated Docs with LTV below 70 6,982,547 17.19 29,503,117 72.61 1,818,287 4.48
Stated Docs with LTV 70.01 to 75 3,318,794 11.42 22,701,108 78.09 1,887,271 6.49
Stated Docs with LTV 75.01 to 80 14,229,978 6.10 206,376,415 88.51 5,102,411 2.19
Stated Docs with LTV 80.01 to 85 3,946,068 14.45 20,411,371 74.76 570,836 2.09
Stated Docs with LTV 85.01 to 90 6,226,975 17.89 25,279,963 72.61 2,369,000 6.80
Stated Docs with LTV 90.01 to 95 3,748,871 28.81 9,262,925 71.19 0 0.00
Stated Docs with LTV 95.01 to 100 41,159,682 98.40 669,572 1.60 0 0.00
Stated Docs with LTV above 100.01 0 0.00 0 0.00 0 0.00
Lien Status
-----------------------------------
1st Lien 102,789,025 11.44 717,751,861 79.88 26,763,361 2.98
Second Liens with LTV below 85 436,165 100.00 0 0.00 0 0.00
Second Liens with LTV 85.01 to 90 1,895,886 100.00 0 0.00 0 0.00
Second Liens with LTV 90.01 to 95 5,444,891 100.00 0 0.00 0 0.00
Second Liens with LTV 95.01 to 100 80,306,918 100.00 0 0.00 0 0.00
Second Liens with LTV above 100.01 0 0.00 0 0.00 0 0.00
Interest Only
-----------------------------------
% of Mortgage Type 0 0.00 222,787,469 87.72 720,000 0.00
Xxx. FICO 0 0.00 668 668 669 669
Ave. LTV 0 0.00 82.04 82.04 80.00 80.00
% Stated Docs 0 0.00 33.12 33.12 100.00 100.00
% Full Docs 0 0.00 48.74 48.74 0.00 0.00
LTV: 5/25 $ 5/25 % Other ARM $ Other ARM %
----------------------------------- ----------- -------- ------------- -----------
Below 70.01 4,396,139 5.34 0 0.00
70.01 to 75 2,179,477 3.63 0 0.00
75.01 to 80 26,296,499 5.55 0 0.00
80.01 to 85 6,346,312 7.18 0 0.00
85.01 to 90 8,901,168 7.00 0 0.00
90.01 to 95 2,732,231 3.82 416,964 0.58
95.01 to 100 0 0.00 0 0.00
100.01 plus 0 0.00 0 0.00
FICO
-----------------------------------
below 550 0 0.00 0 0.00
550 to 574 724,411 1.18 0 0.00
575 to 599 5,080,297 4.70 416,964 0.39
600 to 624 8,090,454 5.06 0 0.00
625 to 649 8,720,853 5.00 0 0.00
650 to 674 8,308,592 5.51 0 0.00
675 to 699 9,429,036 7.55 0 0.00
700 plus 10,498,183 6.78 0 0.00
Property Type:
-----------------------------------
Single-Family 34,125,488 4.84 416,964 0.06
PUD 7,079,263 5.56 0 0.00
2-4 Family Det. 2,970,384 4.02 0 0.00
Condo. 6,676,691 8.77 0 0.00
Manufactured House 0 0.00 0 0.00
Purpose:
-----------------------------------
Purchase 18,184,163 3.91 0 0.00
Refinance rate/term 10,901,809 7.54 0 0.00
Cash Out Refi (COF) Below 70.01 LTV 2,762,595 4.64 0 0.00
COF with LTV 70.01 to 75 598,117 1.61 0 0.00
COF with LTV 75.01 to 80 8,002,777 7.34 0 0.00
COF with LTV 80.01 to 85 3,143,429 5.52 0 0.00
COF with LTV '85.01 to 90 6,092,145 8.84 0 0.00
COF with LTV '90.01 to 95 1,166,791 3.22 416,964 1.15
COF with LTV 95.01 to 100 0 0.00 0 0.00
COF with LTV 100.01 plus 0 0.00 0 0.00
Occupancy Status:
-----------------------------------
Owner Occupied 48,534,644 5.19 416,964 0.05
Investment 1,697,034 4.68 0 0.00
2nd Home 620,148 3.98 0 0.00
Loan Balance
-----------------------------------
Below 50,000 0 0.00 0 0.00
50,000.01 to 100,000 769,500 0.98 0 0.00
100,000.01 to 150,000 2,846,868 3.11 0 0.00
150,000.01 to 200,000 4,298,338 3.92 0 0.00
200,000.01 to 400,000 26,239,677 5.88 0 0.00
400,000.01 to 500,000 8,000,798 6.76 416,964 0.35
500,000.01 to 600,000 4,362,731 7.05 0 0.00
600,000.01 to 1,000,000 4,333,916 7.56 0 0.00
1,000,000.01 and above 0 0.00 0 0.00
Loan Term
-----------------------------------
>30 Years 0 0.00 0 0.00
30 Years 50,851,826 5.70 416,964 0.05
20 Years 0 0.00 0 0.00
15 Years 0 0.00 0 0.00
Other 0 0.00 0 0.00
Documentation Type
-----------------------------------
Full Documentation 26,516,497 6.06 416,964 0.10
Limited Documentation 10,065,150 7.81 0 0.00
Stated Docs with LTV below 70 2,326,183 5.73 0 0.00
Stated Docs with LTV 70.01 to 75 1,161,706 4.00 0 0.00
Stated Docs with LTV 75.01 to 80 7,466,550 3.20 0 0.00
Stated Docs with LTV 80.01 to 85 2,374,577 8.70 0 0.00
Stated Docs with LTV 85.01 to 90 941,164 2.70 0 0.00
Stated Docs with LTV 90.01 to 95 0 0.00 0 0.00
Stated Docs with LTV 95.01 to 100 0 0.00 0 0.00
Stated Docs with LTV above 100.01 0 0.00 0 0.00
Lien Status
-----------------------------------
1st Lien 50,851,826 5.66 416,964 0.05
Second Liens with LTV below 85 0 0.00 0 0.00
Second Liens with LTV 85.01 to 90 0 0.00 0 0.00
Second Liens with LTV 90.01 to 95 0 0.00 0 0.00
Second Liens with LTV 95.01 to 100 0 0.00 0 0.00
Second Liens with LTV above 100.01 0 0.00 0 0.00
Interest Only
-----------------------------------
% of Mortgage Type 30,472,858 12.00 0 0.00
Xxx. FICO 663 663 0 0.00
Ave. LTV 81.56 81.56 0 0.00
% Stated Docs 19.95 19.95 0 0.00
% Full Docs 59.10 59.10 0 0.00
-------------------------------------------------------------------------------
MH Stratification:
-------------------------------------------------------------------------------
Total Balance 4,816,477.92
% Pool Balance 0.00
Xxx. FICO 000
Xxx. LTV 76.97
% Full Docs 46.65%
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
Silent Seconds Stratification:
-------------------------------------------------------------------------------
Total Balance 377,161,635.86
% Pool Balance 00.00
Xxx. FICO 000
Xxx. LTV 79.75
% Full Docs 36.06%
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
2nd Lien Stratification:
-------------------------------------------------------------------------------
Total Balance 88,083,860.47
% Pool Balance 0.00
Xxx. FICO 665
% Full Docs 36.48%
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
LTV Above 90 Stratification:
-------------------------------------------------------------------------------
Total Balance 154,837,819.03
% Pool Balance 00.00
Xxx. FICO 000
Xxx. LTV 97.52
% Full Docs 50.94%
-------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
All records
Table of Contents
1. Current Mortgage Principal Balance <75k
2. Current Mortgage Principal Balance Greater or Equal to 400K
3. FICO Score Less than 650
4. Original Loan-to-Value Ratio Greater or Equal 80
5. Second Home
6. Non-Owner Occupied
7. Cashout Loans
8. Stated Doc
9. Limited Doc
10. 2-4 Family
11. IO Loans
1. Current Mortgage Principal Balance <75k
-------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct Pct Pct
Current Mortgage Mortgage Current Current Avg Pct Avg Orig Full Owner Single Cashout
Principal Balance <75k Loans Balance Balance Coupon ARM FICO LTV Doc Occ Family Refi
-------------------------------------------------------------------------------------------------------------------------------
25,000.01 - 50,000.00 507 19,257,376.57 1.95 9.957 7.57 652 96.89 49.67 93.94 68.17 15.18
50,000.01 - 75,000.00 600 37,506,584.05 3.80 9.385 20.47 654 93.57 42.44 94.71 68.86 16.06
Other 4,021 929,892,937.22 94.25 6.733 84.60 642 81.51 44.35 94.76 71.58 39.64
-------------------------------------------------------------------------------------------------------------------------------
Total: 5,128 986,656,897.84 100.00 6.897 80.65 642 82.27 44.38 94.75 71.41 38.26
-------------------------------------------------------------------------------------------------------------------------------
2. Current Mortgage Principal Balance Greater or Equal to 400K
--------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
Current Mortgage of Total Total Wtd Wtd Comb Pct Pct Pct Pct
Principal Balance Mortgage Current Current Avg Pct Avg Orig Full Owner Single Cashout
Greater or Equal to 400K Loans Balance Balance Coupon ARM FICO LTV Doc Occ Family Refi
--------------------------------------------------------------------------------------------------------------------------------
= 400,000 7 2,800,000.00 0.28 6.506 100.00 664 81.13 42.86 100.00 57.14 28.57
400000 - 450000 160 67,895,608.56 6.88 6.444 90.00 652 83.26 40.51 91.86 71.97 41.82
450000 - 500000 106 50,503,707.89 5.12 6.570 92.43 643 82.31 40.42 95.33 76.45 37.56
500000 - 550000 66 34,741,137.72 3.52 6.421 95.41 641 81.23 34.81 100.00 69.67 44.18
550000 - 600000 47 27,113,252.38 2.75 6.190 85.32 662 80.29 38.45 100.00 66.13 34.03
600000 - 650000 31 19,363,865.14 1.96 6.383 86.80 669 81.81 45.18 90.41 64.86 38.64
650000 - 700000 22 14,824,298.87 1.50 6.159 100.00 648 79.37 36.28 91.03 72.54 45.42
700000 - 750000 15 11,026,779.13 1.12 6.158 93.35 673 81.36 39.78 100.00 66.24 59.86
750000 - 800000 9 7,007,096.28 0.71 6.364 100.00 653 79.97 43.78 89.11 33.62 55.46
800000 - 850000 3 2,516,074.40 0.26 5.950 100.00 628 73.10 66.32 100.00 66.32 100.00
850000 - 900000 3 2,596,426.67 0.26 5.551 100.00 669 81.66 33.49 100.00 66.31 0.00
Other 4,659 746,268,650.80 75.64 7.061 77.03 639 82.44 45.85 94.64 71.95 37.19
--------------------------------------------------------------------------------------------------------------------------------
Total: 5,128 986,656,897.84 100.00 6.897 80.65 642 82.27 44.38 94.75 71.41 38.26
--------------------------------------------------------------------------------------------------------------------------------
3. FICO Score Less than 650
-------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct Pct Pct
FICO Mortgage Current Current Avg Pct Avg Orig Full Owner Single Cashout
Score Less than 650 Loans Balance Balance Coupon ARM FICO LTV Doc Occ Family Refi
------------------------------------------------------------------------------------------------------------------------------
500 - 524 129 25,482,803.17 2.58 7.946 90.93 513 76.33 73.04 99.62 83.88 69.00
525 - 549 147 26,647,496.26 2.70 7.721 90.86 538 73.97 63.96 96.30 88.42 73.77
550 - 574 309 61,637,845.26 6.25 7.273 86.59 562 80.30 66.36 98.55 77.28 59.47
575 - 599 594 108,153,202.82 10.96 7.042 85.14 588 81.09 64.79 96.81 73.52 51.17
600 - 624 813 159,819,549.56 16.20 6.914 81.82 613 82.52 52.25 95.18 73.12 45.28
625 - 649 912 174,507,738.92 17.69 6.845 79.19 637 82.68 39.11 97.34 70.97 37.53
Other 2,224 430,408,261.85 43.62 6.708 77.60 694 83.46 32.41 92.08 67.78 25.65
------------------------------------------------------------------------------------------------------------------------------
Total: 5,128 986,656,897.84 100.00 6.897 80.65 642 82.27 44.38 94.75 71.41 38.26
------------------------------------------------------------------------------------------------------------------------------
4. Original Loan-to-Value Ratio Greater or Equal 80
-------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct Pct Pct
Original Loan-to-Value Mortgage Current Current Avg Pct Avg Orig Full Owner Single Cashout
Ratio Greater or Equal 80 Loans Balance Balance Coupon ARM FICO LTV Doc Occ Family Refi
-------------------------------------------------------------------------------------------------------------------------------
80.00 - 85.00 2,032 498,711,366.19 50.55 6.431 93.34 652 80.75 40.95 95.80 69.17 26.05
85.01 - 90.00 510 127,171,079.89 12.89 6.805 83.56 637 89.50 54.54 90.78 74.91 54.21
90.01 - 95.01 361 71,529,403.47 7.25 7.374 80.88 639 94.71 65.81 94.59 71.98 50.73
95.01 - 100.00 1,334 83,308,415.56 8.44 9.926 2.95 666 99.94 38.18 98.17 69.06 11.72
Other 891 205,936,632.73 20.87 6.692 79.51 614 70.02 41.49 93.31 75.40 64.38
-------------------------------------------------------------------------------------------------------------------------------
Total: 5,128 986,656,897.84 100.00 6.897 80.65 642 82.27 44.38 94.75 71.41 38.26
-------------------------------------------------------------------------------------------------------------------------------
5. Second Home
-------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner Single Cashout
Second Home Loans Balance Balance Coupon ARM FICO LTV Doc Occ Family Refi
-------------------------------------------------------------------------------------------------------------------------------
Second Home 116 15,600,018.50 1.58 6.927 75.20 696 84.59 31.11 0.00 38.70 15.18
Other 5,012 971,056,879.34 98.42 6.896 80.74 641 82.23 44.59 96.27 71.93 38.63
-------------------------------------------------------------------------------------------------------------------------------
Total: 5,128 986,656,897.84 100.00 6.897 80.65 642 82.27 44.38 94.75 71.41 38.26
-------------------------------------------------------------------------------------------------------------------------------
6. Non-Owner Occupied
-------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner Single Cashout
Non-Owner Occupied Loans Balance Balance Coupon ARM FICO LTV Doc Occ Family Refi
-------------------------------------------------------------------------------------------------------------------------------
Non Owner Occupied 180 36,246,125.44 3.67 7.107 79.89 663 80.10 43.72 0.00 63.11 41.01
Other 4,948 950,410,772.40 96.33 6.889 80.68 641 82.35 44.41 98.36 71.72 38.16
-------------------------------------------------------------------------------------------------------------------------------
Total: 5,128 986,656,897.84 100.00 6.897 80.65 642 82.27 44.38 94.75 71.41 38.26
-------------------------------------------------------------------------------------------------------------------------------
7. Cashout Loans
-------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner Single Cashout
Cashout Loans Loans Balance Balance Coupon ARM FICO LTV Doc Occ Family Refi
-------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 1,659 377,513,402.55 38.26 6.751 80.73 622 80.42 52.82 95.43 76.39 100.00
Other 3,469 609,143,495.29 61.74 6.987 80.61 655 83.42 39.15 94.32 68.32 0.00
-------------------------------------------------------------------------------------------------------------------------------
Total: 5,128 986,656,897.84 100.00 6.897 80.65 642 82.27 44.38 94.75 71.41 38.26
-------------------------------------------------------------------------------------------------------------------------------
8. Stated Doc
-------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner Single Cashout
Stated Doc Loans Balance Balance Coupon ARM FICO LTV Doc Occ Family Refi
-------------------------------------------------------------------------------------------------------------------------------
Stated Doc 2,127 419,835,370.55 42.55 7.087 81.04 660 81.06 0.00 94.58 71.03 30.06
Other 3,001 566,821,527.29 57.45 6.756 80.37 629 83.17 77.25 94.87 71.68 44.34
-------------------------------------------------------------------------------------------------------------------------------
Total: 5,128 986,656,897.84 100.00 6.897 80.65 642 82.27 44.38 94.75 71.41 38.26
-------------------------------------------------------------------------------------------------------------------------------
9. Limited Doc
-------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner Single Cashout
Limited Doc Loans Balance Balance Coupon ARM FICO LTV Doc Occ Family Refi
-------------------------------------------------------------------------------------------------------------------------------
Limited Doc 585 128,935,627.73 13.07 6.651 82.47 637 83.69 0.00 93.49 67.44 40.26
Other 4,543 857,721,270.11 86.93 6.934 80.38 643 82.06 51.05 94.93 72.00 37.96
-------------------------------------------------------------------------------------------------------------------------------
Total: 5,128 986,656,897.84 100.00 6.897 80.65 642 82.27 44.38 94.75 71.41 38.26
-------------------------------------------------------------------------------------------------------------------------------
10. 2-4 Family
-------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner Single Cashout
2-4 Family Loans Balance Balance Coupon ARM FICO LTV Doc Occ Family Refi
-------------------------------------------------------------------------------------------------------------------------------
2-4 Family 290 73,825,672.33 7.48 6.925 76.49 659 81.22 36.04 86.80 0.00 36.21
Other 4,838 912,831,225.51 92.52 6.895 80.99 641 82.36 45.06 95.39 77.18 38.43
-------------------------------------------------------------------------------------------------------------------------------
Total: 5,128 986,656,897.84 100.00 6.897 80.65 642 82.27 44.38 94.75 71.41 38.26
-------------------------------------------------------------------------------------------------------------------------------
11. IO Loans
-------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
of Total Total Wtd Wtd Comb Pct Pct Pct Pct
Mortgage Current Current Avg Pct Avg Orig Full Owner Single Cashout
IO Loans Loans Balance Balance Coupon ARM FICO LTV Doc Occ Family Refi
-------------------------------------------------------------------------------------------------------------------------------
Interest Only Loans 797 253,980,326.01 25.74 6.080 100.00 667 81.97 49.84 98.50 71.62 32.92
Other 4,331 732,676,571.83 74.26 7.180 73.95 634 82.37 42.49 93.44 71.33 40.11
-------------------------------------------------------------------------------------------------------------------------------
Total: 5,128 986,656,897.84 100.00 6.897 80.65 642 82.27 44.38 94.75 71.41 38.26
-------------------------------------------------------------------------------------------------------------------------------
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BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Collateral Cuts for MSAC 2005-WMC2
FICO Score
----------
----------------------------------------------------------------------------------------------------------------------------------
Total Balance Adjusted Balance[1]
---------------------- ---------------------- % Covered by
FICO Amount %[2] LTV Amount %[2] WA Loan Balance WAC Mortgage Ins.
----------------------------------------------------------------------------------------------------------------------------------
FICO NA 0 0% > 65.0 0 0%
0 - 500 1,089,718 0% > 65.0 764,208 0% 108,972 7.856 -
500.01 - 550 52,873,621 5% > 70.0 38,376,131 4% 190,193 7.821 -
550.01 - 575 62,471,726 6% > 70.0 52,248,511 5% 202,174 7.253 -
575.01 - 600 110,835,143 11% > 70.0 97,117,589 10% 182,896 7.043 -
600.01 - 620 125,127,276 13% > 70.0 114,285,430 12% 195,817 6.923 -
620.01 - 650 212,227,638 22% > 80.0 76,131,988 8% 193,462 6.834 -
650.01 - 680 175,090,884 18% > 80.0 64,798,073 7% 189,903 6.785 -
680.01 - 700 95,754,355 10% > 85.0 26,789,040 3% 193,835 6.741 -
700.01 - 750 113,861,756 12% > 85.0 30,749,919 3% 196,313 6.623 -
750.01 - 800 34,661,985 4% > 85.0 11,267,587 1% 193,642 6.590 -
800 + 2,662,795 0% > 85.0 1,019,027.15 0% 190,200 6.319 -
----------------------------------------------------------------------------------------------------------------------------------
Total: 986,656,898 100% 513,547,503 52% 192,406 6.897 -
----------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------
FICO WA FICO WA LTV WA DTI % SFD/PUD % Owner Occ. % Full Doc % Cashout Refi
------------------------------------------------------------------------------------------------------
FICO NA
0 - 500 500 73.20 29.89 100.0 100.0 88.1 54.3
500.01 - 550 527 75.46 40.82 94.2 97.8 68.5 71.1
550.01 - 575 563 80.30 40.33 85.6 98.6 65.8 60.2
575.01 - 600 589 81.02 40.57 87.2 96.6 63.5 51.5
600.01 - 620 611 82.66 40.03 89.4 95.2 54.4 45.2
620.01 - 650 636 82.59 40.49 84.7 97.0 39.8 37.8
650.01 - 680 665 83.27 39.97 80.8 93.6 31.8 32.9
680.01 - 700 690 83.67 40.50 82.0 90.8 32.2 22.7
700.01 - 750 721 83.50 40.63 79.9 93.9 30.8 18.3
750.01 - 800 769 83.95 40.46 77.6 81.2 40.7 20.5
800 + 810 85.46 36.79 58.3 92.8 37.6 21.6
------------------------------------------------------------------------------------------------------
Total: 642 82.27 40.35 84.3 94.7 44.4 38.3
------------------------------------------------------------------------------------------------------
FICO: Average 642 Non-Zero Min: 500 Max: 821
-------- ----------- ---------
Debt To Income (DTI) Ratio
--------------------------
---------------------------------------------------------------------------------------------------------------------------------
Total Balance Adjusted Balance[1]
---------------------- ---------------------- % Covered by
DTI Amount %[2] FICO Amount %[2] WA Loan Balance WAC Mortgage Ins.
---------------------------------------------------------------------------------------------------------------------------------
<= 20 30,578,468 3% < 550 2,830,641 0% 184,208 6.852 -
20.001 - 25.00 37,071,370 4% < 550 1,305,623 0% 182,618 6.870 -
25.001 - 30.00 57,722,459 6% < 575 8,984,443 1% 170,777 6.877 -
30.001 - 35.00 103,410,006 10% < 575 10,303,246 1% 190,442 6.743 -
35.001 - 40.00 178,683,175 18% < 600 36,796,308 4% 201,674 6.802 -
40.001 - 45.00 247,193,491 25% < 625 85,292,316 9% 191,326 6.933 -
45.001 - 50.00 249,849,977 25% < 650 145,381,524 15% 194,436 7.006 -
50.001 - 55.00 74,821,302 8% < 675 55,694,089 6% 198,465 6.846 -
55+ 7,326,649 1% < 700 6,681,114 1% 192,807 7.443 -
---------------------------------------------------------------------------------------------------------------------------------
Total: 986,656,898 100% 353,269,303 36% 192,406 6.897 -
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------
DTI WA FICO WA LTV WA DTI % SFD/PUD % Owner Occ. % Full Doc % Cashout Refi
---------------------------------------------------------------------------------------------------------
<= 20 637 80.00 14.51 82.8 84.3 33.4 45.3
20.001 - 25.00 635 80.70 22.94 85.5 86.7 42.4 39.4
25.001 - 30.00 638 80.39 27.80 89.3 94.5 43.4 36.8
30.001 - 35.00 644 81.62 32.77 83.3 95.9 45.5 42.1
35.001 - 40.00 644 81.73 37.70 83.3 96.2 40.3 37.7
40.001 - 45.00 648 83.09 42.67 83.1 96.6 43.9 34.0
45.001 - 50.00 640 82.67 47.68 84.6 95.0 41.4 36.8
50.001 - 55.00 637 83.58 52.29 86.0 92.7 67.8 48.5
55+ 618 82.24 56.73 97.9 79.3 72.1 63.2
---------------------------------------------------------------------------------------------------------
Total: 642 82.27 40.35 84.3 94.7 44.4 38.3
---------------------------------------------------------------------------------------------------------
DTI: Average 40.35 Min: 3.97 Max: 59.86
--------- --------- --------
Loan To Value (LTV) Ratio
---------------------------------------------------------------------------------------------------------------------------------
Total Balance Adjusted Balance[1]
---------------------- ---------------------- % Covered by
LTV Amount %[2] DTI Amount %[2] WA Loan Balance WAC Mortgage Ins.
---------------------------------------------------------------------------------------------------------------------------------
< 60.00 32,035,343 3% > 50 2,346,332 0% 179,974 6.746 -
60.01 - 70.00 50,361,817 5% > 50 5,238,723 1% 229,963 6.685 -
70.01 - 80.00 533,857,105 54% > 50 35,867,269 4% 244,216 6.427 -
80.01 - 85.00 88,393,734 9% > 50 6,336,282 1% 259,982 6.804 -
85.01 - 90.00 127,171,080 13% > 50 17,079,357 2% 249,355 6.805 -
90.01 - 95.00 71,529,403 7% > 50 9,611,620 1% 198,142 7.374 -
95.01 - 100.00 83,308,416 8% > 50 5,668,368 1% 62,450 9.926 -
100+ 0 0% > 50 0 0%
---------------------------------------------------------------------------------------------------------------------------------
Total: 986,656,898 100% 82,147,951 8% 192,406 6.897 -
---------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------
LTV WA FICO WA LTV WA DTI % SFD/PUD % Owner Occ % Full Doc % Cashout Refi
--------------------------------------------------------------------------------------------------------
< 60.00 606 51.91 37.30 86.1 91.2 41.5 75.2
60.01 - 70.00 608 66.39 38.35 81.5 91.6 42.8 70.3
70.01 - 80.00 650 79.12 40.47 84.0 96.4 38.9 27.4
80.01 - 85.00 615 84.25 39.54 82.6 90.3 53.1 64.5
85.01 - 90.00 637 89.50 40.63 86.3 90.8 54.5 54.2
90.01 - 95.00 639 94.71 41.72 85.5 94.6 65.8 50.7
95.01 - 100.00 666 99.94 41.22 84.9 98.2 38.2 11.7
100+
--------------------------------------------------------------------------------------------------------
Total: 642 82.27 40.35 84.3 94.7 44.4 38.3
--------------------------------------------------------------------------------------------------------
LTV: Average 82.27 Min: 12.99 Max: 100.00
-------- ---------- --------
[1] Balance of the collateral cut with second qualifier, i.e. (LTV), FICO, DTI
etc. All other cuts except the adjusted balance are only for the main bucket
[2] Percent of the Aggregate Principal Balance - calculated automatically.
GEOGRAPHIC CONCENTRATION - TOP 12 STATES
----------------------------------------
-------------------------------------------------------------------------------------------------------
Total Balance
STATE ---------------------------- WA Loan % Covered by
Amount %[2] Balance WAC Mortgage Ins. WA FICO
-------------------------------------------------------------------------------------------------------
California 564,619,829 57% 240,776 6.721 -- 648
New York 46,779,768 5% 250,159 6.809 -- 646
Virginia 41,513,026 4% 175,903 7.222 -- 639
Florida 40,623,559 4% 134,515 7.261 -- 631
Maryland 35,095,110 4% 180,903 7.079 -- 631
New Jersey 32,524,832 3% 215,396 7.041 -- 628
Texas 31,317,658 3% 101,352 7.314 -- 638
Illinois 25,447,133 3% 152,378 7.302 -- 636
Arizona 21,155,892 2% 120,204 7.005 -- 646
Nevada 20,419,825 2% 174,528 7.051 -- 643
Connecticut 15,208,571 2% 183,236 7.041 -- 636
Washington 14,605,603 1% 153,743 6.753 -- 636
Other 97,346,092 10% 127,084 7.258 -- 626
-------------------------------------------------------------------------------------------------------
Total: 986,656,898 100% 192,406 6.897 -- 642
-------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------
STATE
WA LTV WA DTI % SFD/PUD % Owner Occ % Full Doc % Cashout Refi
------------------------------------------------------------------------------------------------------
California 81.72 40.08 83.2 95.7 40.5 39.5
New York 82.12 41.22 65.4 95.7 37.3 36.7
Virginia 83.08 42.58 95.6 97.9 35.0 33.4
Florida 82.11 40.33 87.4 89.4 54.8 38.9
Maryland 83.88 40.83 94.5 98.3 55.1 39.8
New Jersey 81.05 42.24 60.7 95.9 43.6 39.8
Texas 82.78 37.17 98.5 94.3 45.4 24.8
Illinois 84.51 41.32 81.5 96.2 43.9 30.2
Arizona 83.99 39.65 96.2 79.1 55.1 35.9
Nevada 83.04 39.47 96.7 83.1 47.4 34.6
Connecticut 83.58 42.31 77.4 95.5 70.6 26.9
Washington 83.52 42.00 96.9 93.4 57.5 23.7
Other 83.44 40.33 88.4 93.7 57.4 44.5
------------------------------------------------------------------------------------------------------
Total: 82.27 40.35 84.3 94.7 44.4 38.3
------------------------------------------------------------------------------------------------------
Principal Balance
-----------------
-------------------------------------------------------------------------------------------------------
Total Balance
Scheduled Principal Balance --------------------------- WA Loan % Covered by
Amount %[2] Balance WAC Mortgage Ins. WA FICO
-------------------------------------------------------------------------------------------------------
0 - $50K 22,431,878 2% 33,732 10.015 -- 650
$51 - $200K 280,125,259 28% 115,325 7.670 -- 635
$200.1 - $250K 121,226,075 12% 225,327 6.621 -- 634
$250.1 - $300K 127,319,346 13% 274,988 6.529 -- 641
$300.1 - $400K 197,966,092 20% 346,701 6.470 -- 646
$400.1 - $500K 118,399,316 12% 445,110 6.498 -- 648
$500.1 - $600K 61,854,390 6% 547,384 6.319 -- 650
$600.1 - $700K 34,188,164 3% 645,060 6.286 -- 660
$700.1 - $800K 18,033,875 2% 751,411 6.238 -- 666
$800.1 - $900K 5,112,501 1% 852,084 5.747 0.000 649
$900.1 - $1000K 0 0%
>$1000K 0 0%
-------------------------------------------------------------------------------------------------------
Total: 986,656,898 100% 192,406 6.897 -- 642
-------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------
Scheduled Principal Balance
WA LTV WA DTI % SFD/PUD % Owner Occ % Full Doc % Cashout Refi
-----------------------------------------------------------------------------------------------------
0 - $50K 97.22 39.70 87.2 94.4 50.3 15.2
$51 - $200K 83.81 39.70 85.8 93.6 52.1 34.8
$200.1 - $250K 79.40 40.94 82.9 94.2 48.6 37.6
$250.1 - $300K 80.82 40.34 83.0 94.9 40.1 38.0
$300.1 - $400K 81.71 41.31 83.2 96.3 38.4 42.2
$400.1 - $500K 82.85 40.89 83.9 93.3 40.5 40.0
$500.1 - $600K 80.82 41.87 88.5 100.0 36.4 39.7
$600.1 - $700K 80.75 39.10 83.1 90.7 41.3 41.6
$700.1 - $800K 80.82 34.04 78.8 95.8 41.3 58.1
$800.1 - $900K 77.45 27.61 83.4 100.0 49.7 49.2
$900.1 - $1000K
>$1000K
-----------------------------------------------------------------------------------------------------
Total: 82.27 40.35 84.3 94.7 44.4 38.3
-----------------------------------------------------------------------------------------------------
Principal Balance: Average 192,406 Min: 13,185 Max: 874,816
---------- ---------- ----------
Documentation Type
------------------
-----------------------------------------------------------------------------------------------------
Total Balance
Doc Type ---------------------------- WA Loan Balance WAC % Covered by
Amount %[2] Mortgage Ins. WA FICO
-----------------------------------------------------------------------------------------------------
Full Doc 437,885,900 44% 181,244 6.787 -- 627
Stated Doc 419,835,371 43% 197,384 7.087 -- 660
Limited Doc 128,935,628 13% 220,403 6.651 -- 637
NINA 0 0%
Other 0 0%
-----------------------------------------------------------------------------------------------------
Total: 986,656,898 100% 192,406 6.897 -- 642
-----------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------
Doc Type
WA FICO WA LTV WA DTI % SFD/PUD % Owner Occ % Cashout Refi
-----------------------------------------------------------------------------------
Full Doc 627 83.02 41.05 85.9 95.3 45.5
Stated Doc 660 81.06 40.58 82.9 94.6 30.1
Limited Doc 637 83.69 37.20 83.6 93.5 40.3
XXXX
Other
-----------------------------------------------------------------------------------
Total: 642 82.27 40.35 84.3 94.7 38.3
-----------------------------------------------------------------------------------
Property Type
-------------
---------------------------------------------------------------------------------------
Total Balance
Property Type ---------------------------- WA Loan Balance WAC % Covered by
Amount %[2] Mortgage Ins.
---------------------------------------------------------------------------------------
Single Family 704,528,370 71% 192,652 6.905 --
PUD 127,324,297 13% 186,419 6.898 --
Townhouse 0 0%
2-4 Family 73,825,672 7% 254,571 6.925 --
Condo 76,162,081 8% 162,392 6.803 --
Manufactured 4,816,478 0% 166,085 6.777 0.000
Other 0 0%
---------------------------------------------------------------------------------------
Total: 986,656,898 100% 192,406 6.897 --
---------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------
Property Type
WA FICO WA LTV WA DTI % Owner Occ % Full Doc % Cashout Refi
--------------------------------------------------------------------------------------
Single Family 638 82.14 40.24 95.9 45.3 40.9
PUD 646 83.36 41.00 93.4 44.5 31.7
Townhouse
2-4 Family 659 81.22 41.22 86.8 36.0 36.2
Condo 656 83.00 39.72 94.6 43.4 25.3
Manufactured 633 76.97 36.66 87.2 46.6 57.8
Other
--------------------------------------------------------------------------------------
Total: 642 82.27 40.35 94.7 44.4 38.3
--------------------------------------------------------------------------------------
Primary Mortgage Insurance
--------------------------
--------------------------------------------------------------------------------------------------------------------
Mortgage Insurance Total Balance WA Loan Balance WAC % Covered by WA FICO WA LTV
Amount %[2] Mortgage Ins.
--------------------------------------------------------------------------------------------------------------------
Loans >80 LTV w/MI - 0%
Loans >80 LTV w/o MI - 0%
Other - 0%
--------------------------------------------------------------------------------------------------------------------
Total: - 0%
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------
Mortgage Insurance WA DTI % Owner Occ % Cashout Refi % Full Doc Is MI down
to 60 LTV
--------------------------------------------------------------------------------------------
Loans >80 LTV w/MI
Loans >80 LTV w/o MI
Other
--------------------------------------------------------------------------------------------
Total:
--------------------------------------------------------------------------------------------
Loan Purpose
------------
---------------------------------------------------------------------------------------------------------------------
Loan Purpose Total Balance WA Loan Balance WAC % Covered by WA. FICO WA LTV WA DTI
Amount %[2] Mortgage Ins.
---------------------------------------------------------------------------------------------------------------------
Debt Consolidation -- 0%
Refinance - Cashout 377,513,403 38% 227,555 6.751 -- 622 80.42 40.35
Purchase 464,566,530 47% 166,571 7.032 -- 665 84.20 40.66
Refinance - Rate Term 144,576,965 15% 212,613 6.844 -- 623 80.91 39.34
Other -- 0%
---------------------------------------------------------------------------------------------------------------------
Total: 986,656,898 100% 192,406 6.897 -- 642 82.27 40.35
---------------------------------------------------------------------------------------------------------------------
------------------------------------------------
Loan Purpose % SFD/ PUD % Owner Occ
------------------------------------------------
Debt Consolidation
Refinance - Cashout 87.1 95.4
Purchase 81.7 93.8
Refinance - Rate Term 85.5 96.1
Other
------------------------------------------------
Total: 84.3 94.7
------------------------------------------------
Fixed Vs. Floating Collateral
-----------------------------
---------------------------------------------------------------------------------------------------------------------------
Collateral Type Total Balance WA Loan Balance WAC % Covered by WA FICO WA LTV WA DTI % SFD/ PUD
Amount %[2] Mortgage Ins.
---------------------------------------------------------------------------------------------------------------------------
Fixed 190,872,885 19% 97,038 8.299 -- 652 88.07 40.59
Floating 274,776,259 28% 312,601 6.095 -- 666 81.86 39.22 83.2
A2/6 494,964,393 50% 228,094 6.819 -- 625 80.38 40.92 84.9
A3/6 26,043,361 3% 232,530 6.556 -- 640 79.95 39.60 84.6
Other 0.00 0%
---------------------------------------------------------------------------------------------------------------------------
Total: 986,656,898 100% 192,406 6.897 -- 642 82.27 40.35 84.3
---------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------
Collateral Type % Owner Occ % Cashout Refi Index Margin
-----------------------------------------------------------------------
Fixed 84.3 94.2 38.1
Floating 98.0 34.6 6 Month Libor 5.818
A2/6 93.3 39.8 6 Month Libor 6.173
A3/6 92.3 49.8 6 Month Libor 6.092
Other
-----------------------------------------------------------------------
Total: 94.7 38.3 6.048
-----------------------------------------------------------------------
Lien Status
-----------
-----------------------------------------------------------------------------------------------------------------------
Lien Status Total Balance WA Loan Balance WAC % Covered by WA FICO WA LTV WA DTI % SFD/ PUD
Amount %[2] Mortgage Ins.
-----------------------------------------------------------------------------------------------------------------------
First Lien 898,573,037 91% 244,045 6.590 -- 640 80.60 40.26 84.3
Second Lien 88,083,860 9% 60,916 10.030 -- 665 99.30 41.24 83.9
Third Lien 0 0%
-----------------------------------------------------------------------------------------------------------------------
Total: 986,656,898 100% 192,406 6.897 -- 642 82.27 40.35 84.3
-----------------------------------------------------------------------------------------------------------------------
------------------------------------------
Lien Status % Owner Occ % Cashout Refi
------------------------------------------
First Lien 94.4 40.8
Second Lien 98.0 12.2
Third Lien
------------------------------------------
Total: 94.7 38.3
------------------------------------------
Occupancy Status
----------------
-----------------------------------------------------------------------------------------------------------------------------
Occupancy Type Total Balance WA Loan Balance WAC % Covered by WA.FICO WA LTV WA DTI % SFD/ PUD
Amount %[2] Mortgage Ins.
-----------------------------------------------------------------------------------------------------------------------------
Primary Residence 934,810,754 95% 193,462 6.888 -- 641 82.32 40.48 85.0
Second Home 15,600,019 2% 134,483 6.927 -- 696 84.59 41.97 82.9
Investment 36,246,125 4% 201,367 7.107 -- 663 80.10 36.43 67.4
Non-owner 0 0%
Other 0 0%
-----------------------------------------------------------------------------------------------------------------------------
Total: 986,656,898 100% 192,406 6.897 -- 642 82.27 40.35 84.3
-----------------------------------------------------------------------------------------------------------------------------
------------------------------------------------
Occupancy Type % Owner Occ % Cashout Refi
------------------------------------------------
Primary Residence 100.0 38.5
Second Home 0.0 15.2
Investment 0.0 41.0
Non-owner
Other
Total: 94.7 38.3
Prepayment Penalty
------------------
---------------------------------------------------------------------------------------------------------------------
Prepayment Charges Term at Origination Total Balance WA Loan Balance WAC % Covered by # of Loans
Amount %[2] Mortgage Ins.
---------------------------------------------------------------------------------------------------------------------
0 Months 237,416,775 24% 164,302 7.282 -- 1,445
6 Months 0 0%
12 Months 42,463,753 4% 242,650 6.907 -- 175
24 Months 581,194,770 59% 216,945 6.692 -- 2,679
36 Months 125,487,365 13% 151,555 7.114 -- 828
60 Months 94,236 0% 94,236 6.375 -- 1
Other 0 0%
---------------------------------------------------------------------------------------------------------------------
Total: 986,656,898 100% 192,406 6.897 -- 5,128
---------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------
Prepayment Charges Term at Origination WA FICO WA LTV WA DTI % SFD/ PUD % Owner Occ % Cashout Refi
---------------------------------------------------------------------------------------------------------------
0 Months 640 83.53 40.63 80.9 93.7 35.3
6 Months
12 Months 644 80.13 41.05 81.6 91.5 36.6
24 Months 641 81.88 40.33 85.8 96.0 37.9
36 Months 652 82.45 39.70 85.0 91.8 46.2
60 Months 673 90.00 45.49 100.0 -- --
Other
---------------------------------------------------------------------------------------------------------------
Total: 642 82.27 40.35 84.3 94.7 38.3
---------------------------------------------------------------------------------------------------------------
Section 32 Loans
----------------
-----------------------------------------------------------------------------------------------------------------------------
Total Balance WA Loan Balance WAC % Covered by WA FICO WA LTV WA DTI % SFD/ PUD
Amount %[2] Mortgage Ins.
-----------------------------------------------------------------------------------------------------------------------------
Section 32 Loans 0 0% 0 0 0 0 0 0
-----------------------------------------------------------------------------------------------------------------------------
Total: -- 0 0 0 0.00 0.00 0.0
-----------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------
% Owner Occ % Cashout Refi
--------------------------------------------------
Section 32 Loans 0 0
--------------------------------------------------
Total: 0.0 0.0
--------------------------------------------------
Top 5 MSA
---------
-----------------------------------------------------
MSA %[2]
-----------------------------------------------------
No MSA 78.61
San Diego 3.017
Las Vegas, NV-AZ 1.968
Phoenix-Mesa 1.776
Bakersfield 1.26
Stockton-Lodi 0.95
-----------------------------------------------------
Top 5 Originators
-----------------
------------------------------------------
Originator %[2]
WMC 100.00
------------------------------------------
Servicers
---------
------------------------------------------
Servicer %[2]
Countrywide 100.00
------------------------------------------
Rating Agency Base Case Loss Expectations
------------------------------------------------------------------------------------------------------
Standard & Poors: Analyst Name :
------------------------------------------------------------------------------------------------------
Foreclosure Frequency Loss Severity Cumulative Losses
------------------------------------------------------------------------------------------------------------------------------------
AA
A
A-
BBB+
BBB
BBB-
B
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------
Xxxxx'x: Analyst Name:
------------------------------------------------------------------------------------------------------
Foreclosure Frequency Loss Severity Cumulative Losses
------------------------------------------------------------------------------------------------------------------------------------
AA
A
A-
BBB+
BBB
BBB-
B
------------------------------------------------------------------------------------------------------------------------------------
Assuming LIBOR Ramp: 1 month LIBOR+300 over 36 months; 50% Loss Severity; 12
month lag for liquidation losses, Solve for first dollar of principal loss, i.e.
breakeven CDR and corresponding cumulative losses.
----------------------------------------------------------------------------------------------------------------
Breakeven CDR Cumulative Losses
------------------------------------------------------------------------------------------------------------------------------------
25 CPR 40 CPR 60 CPR 25 CPR 40 CPR 60 CPR
------------------------------------------------------------------------------------------------------------------------------------
AA
A
BBB
BBB-
------------------------------------------------------------------------------------------------------------------------------------
Default Ramp - 0 to 4.5 CDR over 36 months; and other assumptions remaining same
as breakeven CDR, solve for a multiple of default ramp at first dollar principal
loss for the following prepayment speeds:
----------------------------------------------------------------------------------------------------------------
Multiple of Default Ramp Cumulative Losses
------------------------------------------------------------------------------------------------------------------------------------
25 CPR 40 CPR 60 CPR 25 CPR 40 CPR 60 CPR
------------------------------------------------------------------------------------------------------------------------------------
AA
A
BBB
BBB-
------------------------------------------------------------------------------------------------------------------------------------
0 - 500 108971.813 7.855835327 0 500 73.20421338 29.89474641 100
500.01 - 550 190192.8806 7.82052204 0 527.4511205 75.4622769 40.8178677 94.19410543
550.01 - 575 202173.8718 7.253025757 0 562.7536887 80.29773349 40.33452111 85.56021516
575.01 - 600 182896.2763 7.042677693 0 589.1103116 81.02318577 40.56653396 87.16476204
600.01 - 620 195817.333 6.922747487 0 610.7802268 82.66023524 40.0328707 89.39467251
620.01 - 650 193461.8393 6.833742178 0 635.7047912 82.59005375 40.48604504 84.69702443
650.01 - 680 189903.3446 6.784556878 0 665.1249162 83.27042391 39.97406926 80.75956842
680.01 - 700 193834.7275 6.740564884 0 690.0273756 83.67279654 40.49573781 81.95448863
700.01 - 750 196313.3724 6.622551298 0 721.2266351 83.49509521 40.63033208 79.9035896
750.01 - 800 193642.3755 6.589978428 0 768.7523224 83.94562792 40.46323473 77.5515485
800 + 190199.6614 6.319214566 0 810.4555436 85.4603909 36.79472841 58.32963027
Total: 192405.7913 6.89696189 0 642.2475221 82.2710945 40.35007928 84.31022665
0 - 500 100 88.14229144 54.3241728
500.01 - 550 97.76907435 68.49820462 71.11460445
550.01 - 575 98.61744219 65.84739259 60.21808198
575.01 - 600 96.5758261 63.48281303 51.5271715
600.01 - 620 95.2114075 54.43673929 45.23829728
620.01 - 650 96.98803565 39.79278008 37.80320021
650.01 - 680 93.64105954 31.75159871 32.87451443
680.01 - 700 90.75042604 32.23477704 22.69739341
700.01 - 750 93.92834472 30.80180169 18.25719634
750.01 - 800 81.16812242 40.70919272 20.48005406
800 + 92.78840687 37.61895761 21.63140399
Total: 94.74527122 44.38076706 38.26187233
<= 20.00 184207.6391 6.852059067 0 636.900348 79.99711133 14.51230949 82.76043645
20.01 - 25.00 182617.5882 6.870135492 0 635.25147 80.69999473 22.93903179 85.47019365
25.01 - 30.00 170776.5066 6.876974125 0 637.9002634 80.3942983 27.79822205 89.25849456
30.01 - 35.00 190441.9997 6.74337762 0 643.840122 81.61773303 32.76734331 83.27189788
35.01 - 40.00 201674.0127 6.802226289 0 643.9947607 81.73093348 37.69654594 83.26034382
40.01 - 45.00 191326.2315 6.93340367 0 647.556608 83.0870787 42.67099213 83.13711986
45.01 - 50.00 194435.7798 7.00570457 0 640.0629075 82.67485509 47.67983513 84.61486057
50.01 - 55.00 198464.9907 6.845534771 0 636.9647016 83.57823865 52.28851097 86.0234007
55.01 + 192806.5632 7.443107782 0 618.4474415 82.24448649 56.73199169 97.88015488
Total: 192405.7913 6.89696189 0 642.2475221 82.2710945 40.35007928 84.31022665
<= 20.00 84.29032483 33.37107399 45.26893159
20.01 - 25.00 86.68744641 42.39434181 39.3599003
25.01 - 30.00 94.53018351 43.39961211 36.82921649
30.01 - 35.00 95.94169529 45.45284785 42.13513708
35.01 - 40.00 96.15973454 40.26526618 37.72104937
40.01 - 45.00 96.60135024 43.86890144 33.97914184
45.01 - 50.00 94.99592692 41.4215302 36.78261875
50.01 - 55.00 92.68874811 67.82241815 48.54462362
55.01 + 79.2945512 72.14255509 63.20004503
Total: 94.74527122 44.38076706 38.26187233
<= 60.00 179973.8378 6.746302417 0 606.270619 51.90605087 37.30123302 86.05088878
60.01 - 70.00 229962.635 6.684616466 0 607.5116052 66.38904934 38.34679192 81.49209104
70.01 - 80.00 244216.425 6.42687825 0 650.038072 79.11846341 40.47085327 84.02880606
80.01 - 85.00 259981.5694 6.804321085 0 615.4736572 84.24538637 39.53601943 82.63729191
85.01 - 90.00 249355.0586 6.80461588 0 637.3944439 89.5019547 40.62886432 86.26411262
90.01 - 95.00 198142.3919 7.373544239 0 639.1462058 94.70684755 41.7206031 85.51949519
95.01 - 100.00 62450.08663 9.925719263 0 665.6365674 99.94115122 41.22100708 84.90203969
Total: 192405.7913 6.89696189 0 642.2475221 82.2710945 40.35007928 84.31022665
<= 60.00 91.24140388 41.53595605 75.17698137
60.01 - 70.00 91.64144051 42.82078362 70.29152734
70.01 - 80.00 96.41895339 38.923955 27.35847874
80.01 - 85.00 90.28177259 53.14170276 64.47278278
85.01 - 90.00 90.78075323 54.54151399 54.20731294
90.01 - 95.00 94.58932991 65.81337394 50.72837608
95.01 - 100.00 98.16541507 38.17766541 11.71945909
Total: 94.74527122 44.38076706 38.26187233
California 240776.0464 6.721115332 0 648.0405793 81.71579181 40.0764233 83.15450638
New York 250159.1898 6.80914926 0 645.7107113 82.11864442 41.22109503 65.35643204
Virginia 175902.6515 7.22203592 0 639.227509 83.08285267 42.5793517 95.61903526
Florida 134515.0972 7.260739023 0 630.6187764 82.1139015 40.33419835 87.37697048
Maryland 180902.6282 7.079418658 0 631.0652973 83.88078881 40.82653632 94.4724872
New Jersey 215396.2354 7.041198642 0 628.3890481 81.05369573 42.24347142 60.74800955
Texas 101351.6425 7.314390412 0 637.505115 82.78384161 37.16505221 98.47534817
Illinois 152378.0408 7.302282918 0 635.8789122 84.50688983 41.31621818 81.54182286
Arizona 120203.9301 7.004542767 0 645.7536501 83.98694438 39.65146639 96.20986649
Nevada 174528.4221 7.050707186 0 643.079108 83.04270952 39.46555916 96.7297595
Connecticut 183235.7999 7.041257005 0 636.3939487 83.57518078 42.31416436 77.44773574
Washington 153743.1934 6.752994207 0 635.787495 83.51827007 42.00216408 96.91972684
Other 127083.6708 7.257866083 0 625.9230829 83.43599742 40.32508007 88.38373314
Total: 192405.7913 6.89696189 0 642.2475221 82.2710945 40.35007928 84.31022665
California 95.70039025 40.45386528 39.45636804
New York 95.66848021 37.30226611 36.72071362
Virginia 97.88254252 35.0280071 33.44623223
Florida 89.44880272 54.81271269 38.91488044
Maryland 98.29284658 55.06821724 39.76373326
New Jersey 95.86329756 43.59864245 39.78196878
Texas 94.27439984 45.37015111 24.75136429
Illinois 96.16321203 43.93155788 30.20304554
Arizona 79.08461314 55.13358804 35.8979171
Nevada 83.08627701 47.40326359 34.57509792
Connecticut 95.4621701 70.58600098 26.89812945
Washington 93.40605399 57.45534695 23.67761805
Other 93.70056479 57.37473825 44.50987867
Total: 94.74527122 44.38076706 38.26187233
BALCURR lt 50000 33732.14783 10.01457007 0 650.0726396 97.21571976 39.70335365 87.1699452
BALCURR between 50000 -200000 115325.3433 7.670092158 0 635.3497668 83.81294166 39.70092027 85.81436204
BALCURR between 200000 -250000 225327.2778 6.621075109 0 634.4463961 79.40298148 40.93873505 82.93897261
BALCURR between 250000 -300000 274987.7878 6.528803582 0 640.5415324 80.82043096 40.33590197 83.01754754
BALCURR between 300000 -400000 346700.6871 6.469846073 0 645.6302853 81.71069646 41.31259286 83.17372608
BALCURR between 400000 -500000 445110.2122 6.497759644 0 648.1602292 82.85288484 40.88552396 83.91440104
BALCURR between 500000 -500000 547383.9832 6.319458381 0 650.2039863 80.81760632 41.87467361 88.53200442
BALCURR between 600000 -700000 645059.6983 6.285872492 0 659.8383279 80.75037537 39.10496712 83.12860989
BALCURR between 700000 -800000 751411.4754 6.238326145 0 665.617465 80.82027531 34.04237627 78.81800793
BALCURR between 800000 -900000 852083.5117 5.747202183 0 649.0711275 77.45087292 27.61149223 83.42641188
Total: 192405.7913 6.89696189 0 642.2475221 82.2710945 40.35007928 84.31022665
BALCURR lt 50000 94.39865404 50.32155535 15.20516594
BALCURR between 50000 -200000 93.58533611 52.09398548 34.78811404
BALCURR between 200000 -250000 94.17596828 48.60011594 37.62951683
BALCURR between 250000 -300000 94.93775451 40.12140991 37.96821516
BALCURR between 300000 -400000 96.32285916 38.4494303 42.19577664
BALCURR between 400000 -500000 93.34095861 40.46981181 40.00549646
BALCURR between 500000 -500000 100 36.40658012 39.73208312
BALCURR between 600000 -700000 90.67533913 41.32056078 41.58258796
BALCURR between 700000 -800000 95.76675461 41.33389424 58.14964272
BALCURR between 800000 -900000 100 49.65007333 49.21415889
Total: 94.74527122 44.38076706 38.26187233
Full Doc 181244.1637 6.78686641 0 626.7679923 83.0184854 41.05373876 85.86764687
Stated Doc 197383.8131 7.087434776 0 659.9456746 81.0568638 40.5843568 82.88915372
Limited Doc 220402.7824 6.650652963 0 637.1904051 83.68656875 37.19749404 83.6482244
Total: 192405.7913 6.89696189 0 642.2475221 82.2710945 40.35007928 84.31022665
Full Doc 95.27320645 100 45.53949589
Stated Doc 94.57952023 0 30.05862661
Limited Doc 93.49203139 0 40.25700717
Total: 94.74527122 44.38076706 38.26187233
PUD 186419.1758 6.897670289 0 646.4916132 83.36436749 40.99734735 100
Single Family 192652.0016 6.904841008 0 638.294567 82.1406722 40.23515952 100
2-4 Family 254571.2839 6.925137273 0 659.3806111 81.22354771 41.22256293 0
Condo 162392.4963 6.803183907 0 655.6662947 83.00082367 39.71856699 0
Manufactured 166085.4455 6.77674995 0 633.4713361 76.96517353 36.66208831 0
Total: 192405.7913 6.89696189 0 642.2475221 82.2710945 40.35007928 84.31022665
PUD 93.35775128 44.49640423 31.69559951
Single Family 95.89641992 45.32785303 40.93057341
2-4 Family 86.80252941 36.03739894 36.21017686
Condo 94.59382866 43.37054578 25.30441318
Manufactured 87.17968544 46.64859878 57.82083187
Total: 94.74527122 44.38076706 38.26187233
Other 238580.8228 6.464546189 0 644.2874984 76.66357509 40.1325003 95.75937369
Total: 238580.8228 6.464546189 0 644.2874984 76.66357509 40.1325003 95.75937369
Other 33.35286886 39.37819562 0
Total: 33.35286886 39.37819562 0
Refinance - Cashout 227554.7936 6.751209966 0 621.8324351 80.42063297 40.35088155 87.07603455
Purchase 166571.0041 7.03195294 0 664.7284029 84.19841943 40.66391202 81.68681089
Refinance - Rate Term 212613.1838 6.843779016 0 623.3171495 80.90990516 39.33955135 85.51803737
Total: 192405.7913 6.89696189 0 642.2475221 82.2710945 40.35007928 84.31022665
Refinance - Cashout 95.43482958 52.82223886 100
Purchase 93.77191213 34.00763475 0
Refinance - Rate Term 96.07240198 55.67054167 0
Total: 94.74527122 44.38076706 38.26187233
Fixed 97037.56228 8.299059725 0 652.0957971 88.07003803 40.58619712 84.33903141
Floating 312600.9772 6.095113049 0 666.1644842 81.86044159 39.22288816 83.22942767
A2/6 228094.190 6.819 0.000 625.2732091 80.38485227 40.92428792 84.88142976
A3/6 232530.009 6.556 0.000 640.3314303 79.95185971 39.59917905 84.64638348
Total: 192405.7913 6.89696189 0 642.2475221 82.2710945 40.35007928 84.31022665
Fixed 94.15486828 46.44957181 38.1150623 0
Floating 97.95035833 49.31839111 34.55743534 5.818294172
A2/6 93.32343293 40.82982224 39.76664728 6.172913361
A3/6 92.27897642 44.61002544 49.82348945 6.092369657
Total: 94.74527122 44.38076706 38.26187233 6.047830975
First Lien 244044.8228 6.589818496 0 639.9845379 80.60160158 40.26314668 84.34911552
Second Lien 60915.53283 10.03023479 0 665.3329839 99.30215238 41.23690785 83.91350824
Total: 192405.7913 6.89696189 0 642.2475221 82.2710945 40.35007928 84.31022665
First Lien 94.42404258 45.15549042 40.81459769
Second Lien 98.02223252 36.47755398 12.22066371
Total: 94.74527122 44.38076706 38.26187233
Primary Residence 193462.4905 6.888300823 0 640.5729734 82.31642628 40.47511993 84.98881524
Second Home 134482.9181 6.927314466 0 695.5230469 84.58792506 41.96938555 82.94398587
Investment 201367.3636 7.107272874 0 662.5058802 80.10481507 36.42826557 67.39701117
Total: 192405.7913 6.89696189 0 642.2475221 82.2710945 40.35007928 84.31022665
Primary Residence 100 44.62806353 38.54034315
Second Home 0 31.10825638 15.1813836
Investment 0 43.71520682 41.01357419
Total: 94.74527122 44.38076706 38.26187233
0 Months 164302.2661 7.282470568 0 1445 640.4931223 83.52647827 40.62591513
12 Months 242650.0187 6.906643905 0 175 644.4193063 80.12907613 41.05340106
24 Months 216944.6695 6.692031982 0 2679 640.7670044 81.87564251 40.32642865
36 Months 151554.788 7.11384442 0 828 651.6657849 82.44653255 39.69589003
60 Months 94236.02 6.375 0 1 673 90 45.49
Total: 192405.7913 6.89696189 0 5128 642.2475221 82.2710945 40.35007928
0 Months 80.87066419 93.73960743 35.31034408
12 Months 81.58536548 91.46941513 36.61315961
24 Months 85.77257021 96.04738258 37.88936469
36 Months 84.95517355 91.79688437 46.15795003
60 Months 100 0 0
Total: 84.31022665 94.74527122 38.26187233
0
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participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
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would be made pursuant to a definitive Prospectus or Private Placement
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Information contained in this material is current as of the date appearing on
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BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Deal Info
Deal Name MSAC 2005-WMC3
Bloomberg Ticker:
Asset Class: Subprime
Issuer: Xxxxxx Xxxxxxx
Trustee:
Lead Manager(s)
Month:
To Roll 23
Remaining Term 339
Remaining IO Term 57
Filed Bankruptcy %
Cells in red font are calculations and should be left alone.
Master Servicer:
Backup Servicer:
Primary Servicer (s): % Name Originator (s): % Name
1 100.00 Countrywide 1.00 100 WMC
2 2.00
3 3.00
4 4.00
5 5.00
6 6.00
7 7.00
8 8.00
9 9.00
10 10.00
Please fill out complete list of servicers and originators even if it is greater
then ten
------------------------------------------------------------------------------------------------------------
FICO BUCKET
------------------------------------------------------------------------------------------------------------
Deal Size
------------------------------
FICO # Loans Balance % WA Loan Balance
---------- ------- ----------- ------ ---------------
NA -- -- 0.00% --
=<500 10 1,089,718 0.11% 108,972
>500 =<520 86 17,904,677 1.81% 208,194
>520 =<540 114 21,465,416 2.18% 188,293
>540 =<560 227 40,755,749 4.13% 179,541
>560 =<580 242 51,876,424 5.26% 214,365
>580 =<600 524 94,178,225 9.55% 179,729
>600 =<620 639 125,127,276 12.68% 195,817
>620 =<640 711 135,297,307 13.71% 190,292
>640 =<660 693 137,323,541 13.92% 198,158
>660 =<680 615 114,697,674 11.62% 186,500
>680 =<700 494 95,754,355 9.70% 193,835
>700 =<750 580 113,861,756 11.54% 196,313
>750 193 37,324,780 3.78% 193,393
---------- ------- ----------- ------ ---------------
TOTAL 5,128 986,656,898 100.00% 192,406
---------- ------- ----------- ------ ---------------
------------------------------------------------------------------------------------------------------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------------
FICO WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc Interest only MI%
---------- ----- ---- ----- ----- ------- ------ ------------ -------- ------------- ---
NA -- -- -- -- -- -- -- -- -- --
=<500 7.856 500 73.20 29.89 100.00 100.00 54.32 88.14 -- --
>500 =<520 7.938 511 76.30 43.25 99.47 91.11 70.23 75.21 -- --
>520 =<540 7.823 530 75.01 40.55 96.27 97.52 71.25 64.46 -- --
>540 =<560 7.407 552 77.87 39.15 98.89 90.27 60.63 65.61 -- --
>560 =<580 7.219 572 80.93 40.71 98.17 86.12 56.51 66.54 1.55 --
>580 =<600 7.016 591 81.10 40.59 96.24 86.17 53.56 62.81 15.50 --
>600 =<620 6.923 611 82.66 40.03 95.21 89.39 45.24 54.44 22.31 --
>620 =<640 6.919 630 82.42 39.99 97.18 87.42 37.48 41.50 28.12 --
>640 =<660 6.732 650 83.07 40.79 96.42 80.92 35.02 35.58 28.60 --
>660 =<680 6.780 670 83.25 39.93 92.34 80.00 34.00 30.55 36.79 --
>680 =<700 6.741 690 83.67 40.50 90.75 81.95 22.70 32.23 33.71 --
>700 =<750 6.623 721 83.50 40.63 93.93 79.90 18.26 30.80 36.67 --
>750 6.571 772 84.05 40.20 82.00 76.18 20.56 40.49 45.84 --
---------- ----- ---- ----- ----- ------- ------ ------------ -------- ------------- ---
TOTAL 6.897 642 82.27 40.35 94.75 84.31 38.26 44.38 25.74 --
---------- ----- ---- ----- ----- ------- ------ ------------ -------- ------------- ---
FICO Mean: 642 Median: 641 Standard Deviation: 58
------ -------- -------
-----------------------------------------------------------------------------------------------------------------
LTV BUCKET
-----------------------------------------------------------------------------------------------------------------
Deal Size
------------------------------
LTV # Loans Balance % WA Loan Balance
---------- ------- ----------- ------ ---------------
=<50 73 11,374,444 1.15% 155,814
>50 =<55 43 7,537,348 0.76% 175,287
>55 =<60 62 13,123,551 1.33% 211,670
>60 =<65 76 16,989,341 1.72% 223,544
>65 =<70 143 33,372,476 3.38% 233,374
>70 =<75 237 60,121,966 6.09% 253,679
>75 =<80 1,949 473,735,139 48.01% 243,066
>80 =<85 340 88,393,734 8.96% 259,982
>85 =<90 510 127,171,080 12.89% 249,355
>90 =<95 361 71,529,403 7.25% 198,142
>95 <100 1,334 83,308,416 8.44% 62,450
=>100 -- -- 0.00% --
---------- ------- ----------- ------ ---------------
TOTAL 5,128 986,656,898 100.00% 192,406
---------- ------- ----------- ------ ---------------
-----------------------------------------------------------------------------------------------------------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------------
LTV WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc Interest only MI%
---------- ----- ---- ----- ----- ------- ------ ------------ -------- ------------- ---
=<50 6.823 618 44.30 37.11 86.10 80.30 65.92 31.17 5.95 --
>50 =<55 6.683 594 52.93 37.48 97.61 86.87 86.33 50.13 9.55 --
>55 =<60 6.716 603 57.91 37.36 92.04 90.57 76.80 45.58 5.24 --
>60 =<65 6.702 601 62.92 39.24 91.90 79.47 83.81 42.45 10.66 --
>65 =<70 6.676 611 68.15 37.89 91.51 82.52 63.41 43.01 11.41 --
>70 =<75 6.760 609 73.92 38.50 94.19 86.45 61.68 43.22 11.51 --
>75 =<80 6.385 655 79.78 40.72 96.70 83.72 23.00 38.38 35.14 --
>80 =<85 6.804 615 84.25 39.54 90.28 82.64 64.47 53.14 20.93 --
>85 =<90 6.805 637 89.50 40.63 90.78 86.26 54.21 54.54 27.42 --
>90 =<95 7.374 639 94.71 41.72 94.59 85.52 50.73 65.81 27.29 --
>95 <100 9.926 666 99.94 41.22 98.17 84.90 11.72 38.18 -- --
=>100 -- -- -- -- -- -- -- -- -- --
---------- ----- ---- ----- ----- ------- ------ ------------ -------- ------------- ---
TOTAL 6.897 642 82.27 40.35 94.75 84.31 38.26 44.38 25.74 --
CLTV:
-----
LTV Mean: 82.27 Median: 80.00 Standard Deviation: 11.92 LTV =80: 29.59 Silent Seconds: 21.32
------- ------ ------ ------ ------
---------------------------------------------------------------------------------------------------------------
DTI BUCKET
---------------------------------------------------------------------------------------------------------------
Deal Size
----------------------------------
DTI # Loans Balance % WA Loan Balance
-------------------- ------- -------------- ------ ---------------
=<20 166 30,578,468 3.10% 184,208
>20 =<25 203 37,071,370 3.76% 182,618
>25 =<30 338 57,722,459 5.85% 170,777
>30 =<35 543 103,410,006 10.48% 190,442
>35 =<40 886 178,683,175 18.11% 201,674
>40 =<45 1,292 247,193,491 25.05% 191,326
>45 =<50 1,285 249,849,977 25.32% 194,436
>50 =<55 377 74,821,302 7.58% 198,465
>55 =<60 38 7,326,649 0.74% 192,807
>60 -- -- 0.00% --
-------------------- ------- -------------- ------ ---------------
TOTAL 5,128 986,656,898 100.00% 192,406
-------------------- ------- -------------- ------ ---------------
----------------------------------------------------------------------------------------------------------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------
DTI WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc Interest only
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
=<20 6.852 637 80.00 14.51 84.29 82.76 45.27 33.37 14.62
>20 =<25 6.870 635 80.70 22.94 86.69 85.47 39.36 42.39 20.42
>25 =<30 6.877 638 80.39 27.80 94.53 89.26 36.83 43.40 27.36
>30 =<35 6.743 644 81.62 32.77 95.94 83.27 42.14 45.45 36.32
>35 =<40 6.802 644 81.73 37.70 96.16 83.26 37.72 40.27 32.55
>40 =<45 6.933 648 83.09 42.67 96.60 83.14 33.98 43.87 31.73
>45 =<50 7.006 640 82.67 47.68 95.00 84.61 36.78 41.42 18.11
>50 =<55 6.846 637 83.58 52.29 92.69 86.02 48.54 67.82 9.01
>55 =<60 7.443 618 82.24 56.73 79.29 97.88 63.20 72.14 --
>60 -- -- -- -- -- -- -- -- --
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
TOTAL 6.897 642 82.27 40.35 94.75 84.31 38.26 44.38 25.74
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
DTI Mean: 40.35 Median: 41.77 Standard Deviation: 8.98
------- ------ -----
----------------------------------------------------------------------------------------------------------------
PURPOSE BUCKET
----------------------------------------------------------------------------------------------------------------
Deal Size
----------------------------------
Purpose # Loans Balance % WA Loan Balance
-------------------- ------- -------------- ------ ---------------
Purchase 2,789 464,566,530 47.08% 166,571
Refi (Cash out) 1,659 377,513,403 38.26% 227,555
Refi (no Cash) -- -- 0.00% --
Refi (Rate Term) 680 144,576,965 14.65% 212,613
Consolidation -- -- 0.00% --
Other -- -- 0.00% --
-------------------- ------- -------------- ------ ---------------
TOTAL 5,128 986,656,898 100.00% 192,406
-------------------- ------- -------------- ------ ---------------
----------------------------------------------------------------------------------------------------------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------
Purpose WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc Interest only
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
Purchase 7.032 665 84.20 40.66 93.77 81.69 -- 34.01 29.32
Refi (Cash out) 6.751 622 80.42 40.35 95.43 87.08 100.00 52.82 22.15
Refi (no Cash) -- -- -- -- -- -- -- -- --
Refi (Rate Term) 6.844 623 80.91 39.34 96.07 85.52 -- 55.67 23.62
Consolidation -- -- -- -- -- -- -- -- --
Other -- -- -- -- -- -- -- -- --
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
TOTAL 6.897 642 82.27 40.35 94.75 84.31 38.26 44.38 25.74
----------------------------------------------------------------------------------------------------------------
OCCUPANCY BUCKET
----------------------------------------------------------------------------------------------------------------
Deal Size
----------------------------------
Occ Type # Loans Balance % WA Loan Balance
-------------------- ------- -------------- ------ ---------------
Primary (OOC) 4,832 934,810,754 94.75% 193,462
Investment 180 36,246,125 3.67% 201,367
2nd / Vacation 116 15,600,019 1.58% 134,483
Rental -- -- 0.00% --
Other -- -- 0.00% --
-------------------- ------- -------------- ------ ---------------
TOTAL 5,128 986,656,898 100.00% 192,406
-------------------- ------- -------------- ------ ---------------
----------------------------------------------------------------------------------------------------------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------
Occ Type WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc Interest only
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
Primary (OOC) 6.888 641 82.32 40.48 100.00 84.99 38.54 44.63 26.76
Investment 7.107 663 80.10 36.43 -- 67.40 41.01 43.72 1.52
2nd / Vacation 6.927 696 84.59 41.97 -- 82.94 15.18 31.11 20.90
Rental -- -- -- -- -- -- -- -- --
Other -- -- -- -- -- -- -- -- --
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
TOTAL 6.897 642 82.27 40.35 94.75 84.31 38.26 44.38 25.74
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
----------------------------------------------------------------------------------------------------------------
DOCUMENTATION BUCKET
----------------------------------------------------------------------------------------------------------------
Deal Size
----------------------------------
Doc Type # Loans Balance % WA Loan Balance
-------------------- ------- -------------- ------ ---------------
Full 2,416 437,885,900 44.38% 181,244
Alternative -- -- 0.00% --
Limited 585 128,935,628 13.07% 220,403
Stated 2,127 419,835,371 42.55% 197,384
No Ratio -- -- 0.00% --
NINA -- -- 0.00% --
No Doc -- -- 0.00% --
Other -- -- 0.00% --
-------------------- ------- -------------- ------ ---------------
TOTAL 5,128 986,656,898 100.00% 192,406
-------------------- ------- -------------- ------ ---------------
----------------------------------------------------------------------------------------------------------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------
Doc Type WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc Interest only
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
Full 6.787 627 83.02 41.05 95.27 85.87 45.54 100.00 28.91
Alternative -- -- -- -- -- -- -- -- --
Limited 6.651 637 83.69 37.20 93.49 83.65 40.26 -- 36.29
Stated 7.087 660 81.06 40.58 94.58 82.89 30.06 -- 19.20
No Ratio -- -- -- -- -- -- -- -- --
NINA -- -- -- -- -- -- -- -- --
No Doc -- -- -- -- -- -- -- -- --
Other -- -- -- -- -- -- -- -- --
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
TOTAL 6.897 642 82.27 40.35 94.75 84.31 38.26 44.38 25.74
----------------------------------------------------------------------------------------------------------------
PROPERTY BUCKET
----------------------------------------------------------------------------------------------------------------
Deal Size
----------------------------------
Property Type # Loans Balance % WA Loan Balance
-------------------- ------- -------------- ------ ---------------
Single Family 3,657 704,528,370 71.41% 192,652
PUD 683 127,324,297 12.90% 186,419
2-4 Unit 290 73,825,672 7.48% 254,571
Townhouse -- -- 0.00% --
Condo 469 76,162,081 7.72% 162,393
MH 29 4,816,478 0.49% 166,085
Other -- -- 0.00% --
-------------------- ------- -------------- ------ ---------------
TOTAL 5,128 986,656,898 100.00% 192,406
-------------------- ------- -------------- ------ ---------------
----------------------------------------------------------------------------------------------------------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------
Property Type WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc Interest only
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
Single Family 6.905 638 82.14 40.24 95.90 100.00 40.93 45.33 25.82
PUD 6.898 646 83.36 41.00 93.36 100.00 31.70 44.50 24.82
2-4 Unit 6.925 659 81.22 41.22 86.80 -- 36.21 36.04 12.30
Townhouse -- -- -- -- -- -- -- -- --
Condo 6.803 656 83.00 39.72 94.59 -- 25.30 43.37 41.24
MH 6.777 633 76.97 36.66 87.18 -- 57.82 46.65 --
Other -- -- -- -- -- -- -- -- --
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
TOTAL 6.897 642 82.27 40.35 94.75 84.31 38.26 44.38 25.74
----------------------------------------------------------------------------------------------------------------
PRINCIPAL BUCKET
----------------------------------------------------------------------------------------------------------------
Deal Size
----------------------------------
UPB # Loans Balance % WA Loan Balance
-------------------- ------- -------------- ------ ---------------
=<50 665 22,431,878 2.27% 33,732
>50 =<75 600 37,506,584 3.80% 62,511
>75 =<100 470 41,196,142 4.18% 87,651
>100 =<125 373 41,912,627 4.25% 112,366
>125 =<150 362 49,731,481 5.04% 137,380
>150 =<200 624 109,778,425 11.13% 175,927
>200 =<250 538 121,226,075 12.29% 225,327
>250 =<300 463 127,319,346 12.90% 274,988
>300 =<350 311 100,784,353 10.21% 324,065
>350 =<400 260 97,181,739 9.85% 373,776
>400 =<450 160 67,895,609 6.88% 424,348
>450 =<500 106 50,503,708 5.12% 476,450
>500 =<600 113 61,854,390 6.27% 547,384
>600 =<700 53 34,188,164 3.47% 645,060
=>700 30 23,146,376 2.35% 771,546
-------------------- ------- -------------- ------ ---------------
TOTAL 5,128 986,656,898 100.00% 192,406
-------------------- ------- -------------- ------ ---------------
* In $1,000
----------------------------------------------------------------------------------------------------------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------
UPB WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc Interest only
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
=<50 10.015 650 97.22 39.70 94.40 87.17 15.21 50.32 --
>50 =<75 9.385 654 93.57 40.06 94.71 80.68 16.06 42.44 --
>75 =<100 8.468 644 88.80 40.02 92.98 85.14 28.96 49.19 3.22
>100 =<125 7.749 637 84.42 38.82 90.63 86.34 34.01 51.36 5.50
>125 =<150 7.219 632 81.39 39.44 92.05 87.95 33.10 56.33 9.41
>150 =<200 6.959 626 79.47 39.92 95.25 86.65 44.44 54.84 13.70
>200 =<250 6.621 634 79.40 40.94 94.18 82.94 37.63 48.60 24.62
>250 =<300 6.529 641 80.82 40.34 94.94 83.02 37.97 40.12 27.17
>300 =<350 6.433 647 81.89 41.34 96.54 83.32 42.59 39.51 32.40
>350 =<400 6.508 644 81.52 41.28 96.10 83.03 41.79 37.35 36.04
>400 =<450 6.444 652 83.26 41.69 91.86 83.90 41.82 40.51 41.45
>450 =<500 6.570 643 82.31 39.80 95.33 83.93 37.56 40.42 39.45
>500 =<600 6.319 650 80.82 41.87 100.00 88.53 39.73 36.41 40.84
>600 =<700 6.286 660 80.75 39.10 90.68 83.13 41.58 41.32 35.81
=>700 6.130 662 80.08 32.62 96.70 79.84 56.18 43.17 55.89
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
TOTAL 6.897 642 82.27 40.35 94.75 84.31 38.26 44.38 25.74
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
* In $1,000
Min 13,185.37 Max 874,815.67
----------------- ---------------
----------------------------------------------------------------------------------------------------------------
State Concentration Bucket *
----------------------------------------------------------------------------------------------------------------
Deal Size
----------------------------------
State* # Loans Balance % WA Loan Balance
-------------------- ------- -------------- ------ ---------------
California 2,345 564,619,829 57.23% 240,776
New York 187 46,779,768 4.74% 250,159
Virginia 236 41,513,026 4.21% 175,903
Florida 302 40,623,559 4.12% 134,515
Maryland 194 35,095,110 3.56% 180,903
New Jersey 151 32,524,832 3.30% 215,396
Texas 309 31,317,658 3.17% 101,352
Illinois 167 25,447,133 2.58% 152,378
Arizona 176 21,155,892 2.14% 120,204
Nevada 117 20,419,825 2.07% 174,528
Connecticut 83 15,208,571 1.54% 183,236
Washington 95 14,605,603 1.48% 153,743
Massachusetts 67 14,511,789 1.47% 216,594
Pennsylvania 84 11,273,648 1.14% 134,210
Colorado 58 8,204,890 0.83% 141,464
Other 557 63,355,764 6.42% 113,745
-------------------- ------- -------------- ------ ---------------
TOTAL 5,128 986,656,898 100.00% 192,406
-------------------- ------- -------------- ------ ---------------
----------------------------------------------------------------------------------------------------------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------
State* WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc Interest only
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
California 6.721 648 81.72 40.08 95.70 83.15 39.46 40.45 36.03
New York 6.809 646 82.12 41.22 95.67 65.36 36.72 37.30 10.57
Virginia 7.222 639 83.08 42.58 97.88 95.62 33.45 35.03 9.18
Florida 7.261 631 82.11 40.33 89.45 87.38 38.91 54.81 19.23
Maryland 7.079 631 83.88 40.83 98.29 94.47 39.76 55.07 19.93
New Jersey 7.041 628 81.05 42.24 95.86 60.75 39.78 43.60 6.70
Texas 7.314 638 82.78 37.17 94.27 98.48 24.75 45.37 3.89
Illinois 7.302 636 84.51 41.32 96.16 81.54 30.20 43.93 9.51
Arizona 7.005 646 83.99 39.65 79.08 96.21 35.90 55.13 17.22
Nevada 7.051 643 83.04 39.47 83.09 96.73 34.58 47.40 19.96
Connecticut 7.041 636 83.58 42.31 95.46 77.45 26.90 70.59 9.70
Washington 6.753 636 83.52 42.00 93.41 96.92 23.68 57.46 21.99
Massachusetts 7.047 639 83.05 43.24 98.93 61.99 36.75 43.72 9.15
Pennsylvania 7.270 611 83.42 38.44 92.06 89.27 42.07 56.70 0.75
Colorado 6.703 643 83.92 41.76 95.63 97.86 39.46 42.66 29.67
Other 7.376 623 83.46 39.81 92.54 93.05 47.38 62.53 7.75
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
TOTAL 6.897 642 82.27 40.35 94.75 84.31 38.26 44.38 25.74
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
* Fill in top 15 states only, combine the remaining in the "Other" Bucket.
*Separate California into North and South if possible.
Deal Size
----------------------------------
California Breakdown # Loans Balance % WA Loan Balance
-------------------- ------- -------------- ------ ---------------
CA North 504 132,211,944 23.42% 262,325
CA South 1,841 432,407,885 76.58% 234,877
-------------------- ------- -------------- ------ ---------------
2,345 564,619,829 100.00% 240,776
-------------------- ------- -------------- ------ ---------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------
California Breakdown WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc Interest only
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
CA North 6.601 650 83.32 39.05 95.80 90.01 36.46 46.92 49.01
CA South 6.758 647 81.23 40.39 95.67 81.06 40.37 38.48 32.06
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
6.721 648 81.72 40.08 95.70 83.15 39.46 40.45 36.03
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
----------------------------------------------------------------------------------------------------------------
FIXED / FLOATING (ii)
----------------------------------------------------------------------------------------------------------------
Deal Size
----------------------------------
Type # Loans Balance % WA Loan Balance
-------------------- ------- -------------- ------ ---------------
Fixed 540 103,311,187 10.47% 191,317
Balloon 1,427 87,561,698 8.87% 61,361
2/28 2,170 494,964,393 50.17% 228,094
3/27 112 26,043,361 2.64% 232,530
5/25 81 20,378,969 2.07% 251,592
2/28 IO 696 222,787,469 22.58% 320,097
3/27 IO 1 720,000 0.07% 720,000
5/25 IO 100 30,472,858 3.09% 304,729
Other 1 416,964 0.04% 416,964
-------------------- ------- -------------- ------ ---------------
TOTAL 5,128 986,656,898 100.00% 192,406
-------------------- ------- -------------- ------ ---------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------
Type WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc Interest only
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
Fixed 6.844 641 78.58 40.00 90.89 84.74 59.93 55.20 --
Balloon 10.016 665 99.27 41.28 98.01 83.86 12.38 36.13 --
2/28 6.819 625 80.38 40.92 93.32 84.88 39.77 40.83 --
3/27 6.556 640 79.95 39.60 92.28 84.65 49.82 44.61 --
5/25 6.263 654 80.20 39.81 91.07 72.56 53.65 41.74 --
2/28 IO 6.086 668 82.04 39.06 98.51 83.65 32.66 48.74 100.00
3/27 IO 6.990 669 80.00 24.73 100.00 100.00 -- -- 100.00
5/25 IO 6.019 663 81.56 40.32 98.37 86.69 35.55 59.10 100.00
Other 6.990 593 95.00 44.14 100.00 100.00 100.00 100.00 --
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
TOTAL 6.897 642 82.27 40.35 94.75 84.31 38.26 44.38 25.74
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
List all loan types and separate the IO loans i.e. 2/28 and 2/28 IO should have
separate rows.
----------------------------------------------------------------------------------------------------------------
XXXX XXXXXX
----------------------------------------------------------------------------------------------------------------
Deal Size
----------------------------------
Type # Loans Balance % WA Loan Balance
-------------------- ------- -------------- ------ ---------------
First 3,682 898,573,037 91.07% 244,045
Second 1,446 88,083,860 8.93% 60,916
Third -- -- 0.00% --
Other -- -- 0.00% --
-------------------- ------- -------------- ------ ---------------
TOTAL 5,128 986,656,898 100.00% 192,406
-------------------- ------- -------------- ------ ---------------
----------------------------------------------------------------------------------------------------------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------
Type WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc Interest only
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
First 6.590 640 80.60 40.26 94.42 84.35 40.81 45.16 28.26
Second 10.030 665 99.30 41.24 98.02 83.91 12.22 36.48 --
Third -- -- -- -- -- -- -- -- --
Other -- -- -- -- -- -- -- -- --
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
TOTAL 6.897 642 82.27 40.35 94.75 84.31 38.26 44.38 25.74
----------------------------------------------------------------------------------------------------------------
PREPAYMENT BUCKET
----------------------------------------------------------------------------------------------------------------
Deal Size
----------------------------------
Type # Loans Balance % WA Loan Balance
-------------------- ------- -------------- ------ ---------------
None 1,445 237,416,775 24.06% 164,302
6 Months -- -- 0.00% --
1 Year 175 42,463,753 4.30% 242,650
2 Year 2,679 581,194,770 58.91% 216,945
3 Year 828 125,487,365 12.72% 151,555
5 Year 1 94,236 0.01% 94,236
Other -- -- 0.00% --
-------------------- ------- -------------- ------ ---------------
TOTAL 5,128 986,656,898 100.00% 192,406
-------------------- ------- -------------- ------ ---------------
----------------------------------------------------------------------------------------------------------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------
Type WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc Interest only
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
None 7.282 640 83.53 40.63 93.74 80.87 35.31 44.52 14.55
6 Months -- -- -- -- -- -- -- -- --
1 Year 6.907 644 80.13 41.05 91.47 81.59 36.61 38.96 24.64
2 Year 6.692 641 81.88 40.33 96.05 85.77 37.89 43.53 32.32
3 Year 7.114 652 82.45 39.70 91.80 84.96 46.16 49.85 16.86
5 Year 6.375 673 90.00 45.49 -- 100.00 -- 100.00 --
Other -- -- -- -- -- -- -- -- --
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
TOTAL 6.897 642 82.27 40.35 94.75 84.31 38.26 44.38 25.74
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
----------------------------------------------------------------------------------------------------------------
INDEX BUCKET
----------------------------------------------------------------------------------------------------------------
Deal Size
----------------------------------
Type # Loans Balance % WA Loan Balance
-------------------- ------- -------------- ------ ---------------
Fixed Rate 1,967 190,872,885 19.35% 97,038
Libor - 1 Month -- -- 0.00% --
Libor - 6 Month 3,161 795,784,013 80.65% 251,751
CMT - 1 Year -- -- 0.00% --
-- -- 0.00% --
-- -- 0.00% --
-- -- 0.00% --
Other -- -- 0.00% --
-------------------- ------- -------------- ------ ---------------
TOTAL 5,128 986,656,898 100.00% 192,406
-------------------- ------- -------------- ------ ---------------
----------------------------------------------------------------------------------------------------------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------
Type WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc Interest only
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
Fixed Rate 8.299 652 88.07 40.59 94.15 84.34 38.12 46.45 --
Libor - 1 Month -- -- -- -- -- -- -- -- --
Libor - 6 Month 6.561 640 80.88 40.29 94.89 84.30 38.30 43.88 31.92
CMT - 1 Year -- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
Other -- -- -- -- -- -- -- -- --
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
TOTAL 6.897 642 82.27 40.35 94.75 84.31 38.26 44.38 25.74
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
List all reset rates
----------------------------------------------------------------------------------------------------------------
IO ONLY BUCKET
----------------------------------------------------------------------------------------------------------------
Deal Size
----------------------------------
Type # Loans Balance % WA Loan Balance
-------------------- ------- -------------- ------ ---------------
NA -- -- 0.00% --
=<500 -- -- 0.00% --
>500 =<520 -- -- 0.00% --
>520 =<540 -- -- 0.00% --
>540 =<560 -- -- 0.00% --
>560 =<580 2 802,355 0.32% 401,177
>580 =<600 49 14,601,566 5.75% 297,991
>600 =<620 91 27,916,423 10.99% 306,774
>620 =<640 120 38,048,346 14.98% 317,070
>640 =<660 123 39,275,724 15.46% 319,315
>660 =<680 130 42,200,822 16.62% 324,622
>680 =<700 106 32,274,778 12.71% 304,479
>700 =<750 127 41,750,887 16.44% 328,747
>750 49 17,109,425 6.74% 349,172
-------------------- ------- -------------- ------ ---------------
TOTAL 797 253,980,326 100.00% 318,670
-------------------- ------- -------------- ------ ---------------
----------------------------------------------------------------------------------------------------------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------
Type WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc LTV =>80
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
NA -- -- -- -- -- -- -- -- --
=<500 -- -- -- -- -- -- -- -- --
>500 =<520 -- -- -- -- -- -- -- -- --
>520 =<540 -- -- -- -- -- -- -- -- --
>540 =<560 -- -- -- -- -- -- -- -- --
>560 =<580 5.577 580 76.50 33.83 100.00 100.00 29.91 29.91 --
>580 =<600 6.455 590 83.08 41.22 97.58 87.10 53.94 75.48 50.56
>600 =<620 6.213 610 82.48 38.69 100.00 87.50 44.63 75.28 34.18
>620 =<640 6.188 630 81.21 37.58 98.63 84.87 40.01 63.67 28.82
>640 =<660 5.975 650 82.64 39.29 100.00 78.40 38.96 55.10 35.77
>660 =<680 6.102 670 82.24 39.16 99.68 86.04 31.68 28.97 25.03
>680 =<700 6.092 690 81.29 39.86 97.00 84.04 22.27 39.25 22.36
>700 =<750 5.941 721 81.51 39.36 97.68 83.95 17.82 36.87 18.60
>750 5.830 773 82.37 39.94 94.94 81.68 26.33 47.69 31.53
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
TOTAL 6.080 667 81.97 39.17 98.50 84.06 32.92 49.84 28.70
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
----------------------------------------------------------------------------------------------------------------
IO PRINCIPAL BUCKET
----------------------------------------------------------------------------------------------------------------
Deal Size
----------------------------------
UPB # Loans Balance % WA Loan Balance
-------------------- ------- -------------- ------ ---------------
=<50 -- -- 0.00% --
>50 =<75 -- -- 0.00% --
>75 =<100 15 1,324,750 0.52% 88,317
>100 =<500 700 202,212,013 79.62% 288,874
>500 =<600 46 25,263,904 9.95% 549,215
>600 =<700 19 12,243,674 4.82% 644,404
=>700 17 12,935,985 5.09% 760,940
-------------------- ------- -------------- ------ ---------------
TOTAL 797 253,980,326 100.00% 318,670
-------------------- ------- -------------- ------ ---------------
----------------------------------------------------------------------------------------------------------------
Weighted Average Collateral Characteristics
-----------------------------------------------------------------------------------------
UPB WAC FICO %LTV % DTI Primary SF/PUD Refi Cachout Full Doc LTV =>80
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
=<50 -- -- -- -- -- -- -- -- --
>50 =<75 -- -- -- -- -- -- -- -- --
>75 =<100 6.266 673 81.42 37.05 78.94 60.47 35.18 47.32 21.06
>100 =<500 6.125 665 81.91 39.28 98.25 83.32 32.92 50.61 26.92
>500 =<600 5.894 669 81.54 39.15 100.00 89.59 26.04 43.77 26.08
>600 =<700 5.907 683 80.99 40.79 100.00 89.57 26.69 47.12 26.14
=>700 5.882 677 84.75 36.14 100.00 82.03 51.96 52.51 64.72
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
TOTAL 6.080 667 81.97 39.17 98.50 84.06 32.92 49.84 28.70
-------------------- ----- ---- ----- ----- ------- ------ ------------ -------- -------------
* In $1,000
--------------------------------------------------------------------------------------------------------------------------------
Loan-to-Value (LTV)
------------------------------------------------------------------------------------------------------------
Percentage of
MI coverage
based on
FICO and
LTV buckets.* =<55 >55 =<60 >60 =<65 >65 =<70 >70 =<75 >75 =<80 >80 =<85 >85 =<90 >90 =<95 >95 <100
------------------ ---------- -------- -------- -------- -------- -------- -------- -------- -------- --------
FICO NA
=<500
>500 =<550
>550 =<600
>600 =<625
>625 =<650
>650 =<675
>675 =<700
>700 =<725
>725 =<750
>750 <800
=>800
Percentage of
MI coverage
based on
FICO and
LTV buckets.* =>100
------------------ -----
FICO NA
=<500
>500 =<550
>550 =<600
>600 =<625
>625 =<650
>650 =<675
>675 =<700
>700 =<725
>725 =<750
>750 <800
=>800
--------------------------------------------------------------------------------------------------------------------------------
* This table should be filled out with the percentage of MI corresponding to
each cross LTV and FICO buckets
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
H Pool Data
---------------------------------------------------------
Pool Summary
---------------------------------------------------------
Total Issue Balance (USD)
Original Mortgage Pool Balance (USD) 988750794.66
Current Mortgage Pool Balance (USD) 986656897.84
Total Number of Loans 5128.00
Average Loan Balance (USD) 192405.79
1st lien (%age) 91.07
2nd lien (%age) 8.93
WA FICO 642.00
- Minimum FICO 500.00
- Maximum FICO 821.00
WA LTV 82.27
- Minimum LTV 12.99
- Maximum LTV 100.00
WA DTI 40.35
- Minimum DTI 3.97
- Maximum DTI 59.86
WA Age (Months) 3.00
WA Remaining Term (Months) 339.00
Aquired Loans 100%
North California (% of Pool) 13.40
South California (% of Pool) 43.83
---------------------------------------------------------
---------------------------------------------
North California
---------------------------------------------
% of State 23%
WA FICO 650
- Minimum FICO 506
- Maximum FICO 813
WA LTV 83.32
- Minimum LTV 12.99
- Maximum LTV 100.00
Highest Zip-Code Density (% of State) 3.31%
Zip-Code with Highest Density 94531
---------------------------------------------
---------------------------------------------
South California
---------------------------------------------
% of State 77%
WA FICO 647
Minimum FICO 500
Maximum FICO 821
WA LTV 81.23
Minimum LTV 18.03
Maximum LTV 100.00
Highest Zip-Code Density (% of State) 1.39%
Zip-Code with Highest Density 91331
---------------------------------------------
-------------------------------------------
Classification Total Check
-------------------------------------------
Mortgage Type 986,656,898 #
Loan-to-Value 986,656,898 #
FICO 986,656,898 #
Purpose 986,656,898 #
Occupancy 986,656,898 #
Loan Balance 986,656,898 #
Property Type 986,656,898 #
Documentation Type 986,656,898 #
Fixed Period 986,656,898 #
Debt-to-Income Ratio 986,656,898 #
Geographic Distribution 986,656,898 #
-------------------------------------------
-----------------------------------
Per Annum Fees
-----------------------------------
Servicer Fees 0.52%
Cost of Carry
-----------------------------------
Mortgage Type WA LTV WA FICO Balance
------------- ------ ------- -------
Fixed - 10 Year 69.64 705 242,350.44
Fixed - 15 Year 80.47 631 5,403,862.96
Fixed - 20 Year 79.05 647 1,899,851.07
Fixed - 30 Year 78.49 641 95,765,122.85
Balloon - 15/30 99.27 665 87,561,697.69
ARM - 6 Month 95.00 593 416,964.06
ARM - 2 Year/6 Month 80.39 625 494,964,392.88
ARM - 3 Year/6 Month 79.95 640 26,043,360.96
ARM - 5 Year/6 Month 80.20 654 20,378,968.92
Interest Only ARM - 5 Year/6 Month 81.56 663 30,472,857.50
Interest Only ARM - 2 Year/6 Month 82.04 668 222,787,468.51
Interest Only ARM - 3 Year/6 Month 80.00 669 720,000.00
LTV WA LTV WA FICO Balance
--- ------ ------- -------
0.01 - 20.00 15.63 586 104,703.59
25.01 - 30.00 28.76 605 224,528.46
30.01 - 35.00 30.36 564 74,733.03
35.01 - 40.00 38.27 634 1,821,436.49
40.01 - 45.00 43.03 626 2,946,672.04
45.01 - 50.00 47.89 611 6,202,370.04
50.01 - 55.00 52.93 594 7,537,348.11
55.01 - 60.00 57.91 603 13,123,551.36
60.01 - 65.00 62.92 601 16,989,341.42
65.01 - 70.00 68.15 611 33,372,475.64
70.01 - 75.00 73.92 609 60,121,966.13
75.01 - 80.00 79.78 655 473,735,139.00
80.01 - 85.00 84.25 615 88,393,733.61
85.01 - 90.00 89.50 637 127,171,079.89
90.01 - 95.00 94.71 639 71,529,403.47
90.01 - 95.00 0.00 0 0.00
95.01 - 100.00 99.94 666 83,308,415.56
FICO WA LTV WA FICO Balance
---- ------ ------- -------
NA 0.00 0 0
321 - 340 0.00 0 0
341 - 360 0.00 0 0
361 - 380 0.00 0 0
381 - 400 0.00 0 0
401 - 420 0.00 0 0
421 - 440 0.00 0 0
441 - 460 0.00 0 0
461 - 480 0.00 0 0
480 - 500 73.20 500 1,089,718.13
501 - 520 76.30 511 17,904,676.63
521 - 540 75.01 530 21,465,416.42
541 - 560 77.87 552 40,755,748.54
561 - 580 80.93 572 51,876,423.65
581 - 600 81.10 591 94,178,225.42
601 - 620 82.66 611 125,127,275.76
621 - 640 82.42 630 135,297,307.29
641 - 660 83.07 650 137,323,540.51
661 - 680 83.25 670 114,697,673.67
681 - 700 83.67 690 95,754,355.37
701 - 720 83.14 710 60,054,366.76
721 - 740 84.08 730 41,255,167.64
741 - 760 84.62 750 24,091,757.82
761 - 780 83.39 770 17,034,364.93
781 - 800 81.42 791 6,088,084.04
801 - 820 85.81 808 2,155,946.09
820 + 84.00 821 506,849.17
Unknown 0.00 0 0
LTV MIG% WA FICO Balance with MIG
--- ---- ------- ----------------
0.01-20.00 0.00 0 0
20.01-25.00 0.00 0 0
25.01-30.00 0.00 0 0
30.01-35.00 0.00 0 0
35.01-40.00 0.00 0 0
40.01-45.00 0.00 0 0
45.01-50.00 0.00 0 0
50.01-55.00 0.00 0 0
55.01-60.00 0.00 0 0
60.01-65.00 0.00 0 0
65.01-70.00 0.00 0 0
70.01-75.00 0.00 0 0
75.01-80.00 0.00 0 0
80.01-85.00 0.00 0 0
85.01-90.00 0.00 0 0
90.01-95.00 0.00 0 0
95.01-100.00 0.00 0 0
Purpose WA LTV WA FICO Balance
------- ------ ------- -------
Refinance - Cashout 80.42 622 377,513,402.55
Purchase 84.20 665 464,566,530.31
Refinance - Rate Term 80.91 623 144,576,964.98
Occupancy WA LTV WA FICO Balance
--------- ------ ------- -------
Primary 82.32 641 934,810,753.90
Investment 80.11 663 36,246,125.44
Second Home 84.59 696 15,600,018.50
Loan Balance WA LTV WA FICO Balance
------------ ------ ------- -------
<$200,000 84.82 636 301,557,137.30
<$400,000 80.83 641 444,711,513.50
<$600,000 82.15 649 182,453,706.55
>$600,000 80.47 661 57,934,540.49
Property Type WA LTV WA FICO Balance
------------- ------ ------- -------
Single Family Residence 82.14 638 704,528,369.75
Planned Unit Development 83.36 646 127,324,297.08
Condominium 83.00 656 76,162,080.76
2-4 Family 81.22 659 73,825,672.33
Manufactured Housing 76.97 633 4,816,477.92
Documentation Type WA LTV WA FICO Balance
------------------ ------ ------- -------
Full Documentation 83.02 627 437,885,899.56
Stated Documentation 81.06 660 419,835,370.55
Limited Documentation 83.69 637 128,935,627.73
Fixed Period (Months) WA LTV WA FICO Balance
--------------------- ------ ------- -------
0 88.07 652 190,872,885.01
6 95.00 593 416,964.06
24 80.90 639 717,751,861.39
36 79.95 641 26,763,360.96
60 81.01 659 50,851,826.42
DTI WA LTV WA FICO Balance
--- ------ ------- -------
<= 0.00 0.00 0 0.00
0.01 - 5.00 66.205 647 1,157,672.05
5.01 - 10.00 80.889 641 4,151,864.66
10.01 - 15.00 80.374 647 9,205,961.26
15.01 - 20.00 80.544 629 16,062,970.12
20.01 - 25.00 80.7 635 37,071,370.40
25.01 - 30.00 80.394 638 57,722,459.22
30.01 - 35.00 81.618 644 103,410,005.83
35.01 - 40.00 81.731 644 178,683,175.23
40.01 - 45.00 83.087 648 247,193,491.15
45.01 - 50.00 82.675 640 249,849,977.02
50.01 - 55.00 83.578 637 74,821,301.50
55.01 >= 82.244 618 7,326,649.40
Unknown 0.00 0 0.00
Geographic Distribution WA LTV WA FICO Balance
----------------------- ------ ------- -------
Alabama 77.84 631 63,483.85
Arizona 83.987 646 21,155,891.69
Arkansas 89.643 601 533,820.50
California 81.716 648 564,619,828.84
Colorado 83.917 643 8,204,890.36
Connecticut 83.575 636 15,208,571.39
Delaware 73.813 629 208,606.32
District of Columbia 77.344 632 3,587,207.06
Florida 82.114 631 40,623,559.35
Georgia 83.097 630 6,299,780.44
Idaho 83.038 618 1,957,778.74
Illinois 84.507 636 25,447,132.81
Indiana 89.552 608 835,184.54
Iowa 77.873 554 377,524.91
Kansas 84.602 623 1,326,663.90
Kentucky 85.352 658 394,359.30
Louisiana 86.577 634 4,700,141.53
Maine 76.006 588 968,025.12
Maryland 83.881 631 35,095,109.88
Massachusetts 83.05 639 14,511,788.96
Michigan 83.089 619 6,145,740.39
Minnesota 84.344 570 1,863,943.04
Mississippi 83.443 608 821,487.17
Missouri 84.574 619 3,125,848.52
Montana 79.838 640 3,184,314.34
Nebraska 90 559 133,736.43
Nevada 83.043 643 20,419,825.38
New Hampshire 82.328 622 1,930,623.73
New Jersey 81.054 628 32,524,831.54
New Mexico 87.235 662 560,892.79
New York 82.119 646 46,779,768.49
North Carolina 85.219 604 2,824,509.78
Ohio 85.336 594 1,961,785.15
Oklahoma 83.268 633 1,637,367.67
Oregon 85.523 644 2,513,774.96
Pennsylvania 83.424 611 11,273,648.21
Rhode Island 81.358 630 6,166,030.24
South Carolina 85.496 595 1,414,574.76
Tennessee 86.112 620 2,700,665.51
Texas 82.784 638 31,317,657.52
Utah 84.476 666 1,621,655.15
Vermont 84.04 657 645,740.36
Virginia 83.083 639 41,513,025.76
Washington 83.518 636 14,605,603.37
West Virginia 81.271 600 202,154.61
Wisconsin 86.728 627 2,480,003.19
Wyoming 79.403 593 168,340.29
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
ARM Loans
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 3,161
Aggregate Principal Balance ($): 795,784,013
Weighted Average Current Mortgage Rate (%): 6.561
Non-Zero Weighted Average Margin (%): 6.048
Non-Zero Weighted Average Maximum Rate (%): 13.060
Weighted Average Stated Original Term (months): 360
Weighted Average Stated Remaining Term (months): 357
Weighted Average Combined Original LTV (%): 80.88
% First Liens: 100.00
% Owner Occupied: 94.89
% Purchase: 46.98
% Full Doc: 43.88
Non-Zero Weighted Average Credit Score: 640
2. Product Types
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
ARM - 6 Month 1 416,964 0.05 6.990 357 95.00 593
ARM - 2 Year/6 Month 2,170 494,964,393 62.20 6.819 357 80.38 625
ARM - 3 Year/6 Month 112 26,043,361 3.27 6.556 357 79.95 640
ARM - 5 Year/6 Month 81 20,378,969 2.56 6.263 357 80.20 654
Interest Only ARM - 5 Year/6 Month 100 30,472,858 3.83 6.019 357 81.56 663
Interest Only ARM - 2 Year/6 Month 696 222,787,469 28.00 6.086 357 82.04 668
Interest Only ARM - 3 Year/6 Month 1 720,000 0.09 6.990 355 80.00 669
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
3. Range of Gross Interest Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
4.000 - 4.999 33 10,617,627 1.33 4.990 357 80.85 686
5.000 - 5.999 785 236,834,724 29.76 5.708 357 80.01 663
6.000 - 6.999 1,398 356,952,531 44.86 6.549 357 81.03 645
7.000 - 7.999 698 150,292,006 18.89 7.487 357 81.17 606
8.000 - 8.999 207 35,545,007 4.47 8.445 357 84.10 576
9.000 - 9.999 38 5,377,373 0.68 9.502 357 80.04 543
10.000 - 10.999 2 164,744 0.02 10.327 357 75.41 547
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
Minimum: 4.990
Maximum: 10.375
Weighted Average: 6.561
4. Range of Cut-off Date Principal Balances ($)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Cut-off Date Mortgage Principal Principal Interest Term Original FICO
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
25,001 - 50,000 32 1,458,371 0.18 7.981 357 72.20 585
50,001 - 75,000 120 7,677,639 0.96 7.517 357 78.86 613
75,001 - 100,000 183 16,221,479 2.04 7.192 357 81.33 621
100,001 - 125,000 223 25,268,008 3.18 7.077 357 80.56 622
125,001 - 150,000 260 35,747,645 4.49 6.759 357 78.69 625
150,001 - 175,000 254 41,356,643 5.20 6.904 357 80.01 619
175,001 - 200,000 261 49,182,897 6.18 6.708 357 78.78 627
200,001 - 225,000 237 50,569,404 6.35 6.683 357 79.57 630
225,001 - 250,000 230 54,733,805 6.88 6.560 357 79.88 637
250,001 - 275,000 197 51,660,787 6.49 6.509 357 81.13 646
275,001 - 300,000 219 62,936,055 7.91 6.506 357 80.53 638
300,001 - 325,000 162 50,697,904 6.37 6.403 357 82.13 655
325,001 - 350,000 121 40,908,350 5.14 6.444 357 82.16 639
350,001 - 375,000 133 48,059,373 6.04 6.517 357 81.42 646
375,001 - 400,000 106 41,193,145 5.18 6.473 357 82.14 642
400,001 - 425,000 81 33,405,661 4.20 6.545 357 82.70 646
425,001 - 450,000 63 27,697,485 3.48 6.318 357 83.83 661
450,001 - 475,000 50 23,142,425 2.91 6.417 357 83.36 645
475,001 - 500,000 48 23,539,066 2.96 6.706 357 81.35 636
500,001 - 750,000 166 98,208,274 12.34 6.255 357 80.83 654
750,001 - 1,000,000 15 12,119,597 1.52 6.104 357 78.91 652
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
Minimum: 31,423
Maximum: 874,816
Average: 251,751
5. Stated Original Term (months)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
360 3,161 795,784,013 100.00 6.561 357 80.88 640
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
Minimum: 360
Maximum: 360
Weighted Average: 360
6. Range of Stated Remaining Terms (months)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Stated Mortgage Principal Principal Interest Term Original FICO
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
337 - 348 1 197,510 0.02 7.500 344 54.79 631
349 - 360 3,160 795,586,502 99.98 6.560 357 80.89 640
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
Minimum: 344
Maximum: 358
Weighted Average: 357
7. Range of Combined Original LTV Ratios (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
10.01 - 15.00 1 49,881 0.01 7.200 357 12.99 651
15.01 - 20.00 1 54,822 0.01 7.125 356 18.03 526
25.01 - 30.00 1 154,685 0.02 7.990 357 29.81 607
30.01 - 35.00 1 74,733 0.01 6.625 356 30.36 564
35.01 - 40.00 10 1,241,900 0.16 6.649 357 37.86 596
40.01 - 45.00 10 1,322,842 0.17 6.615 357 42.69 582
45.01 - 50.00 23 4,635,404 0.58 7.122 357 48.15 594
50.01 - 55.00 30 5,865,886 0.74 6.634 356 53.16 592
55.01 - 60.00 43 9,413,140 1.18 6.707 357 57.77 596
60.01 - 65.00 53 12,909,391 1.62 6.797 357 62.82 592
65.01 - 70.00 101 25,270,994 3.18 6.684 357 68.12 604
70.01 - 75.00 188 50,652,042 6.37 6.751 357 73.97 604
75.01 - 80.00 1,774 438,712,042 55.13 6.350 357 79.80 656
80.01 - 85.00 297 78,858,142 9.91 6.787 357 84.28 613
85.01 - 90.00 390 106,259,578 13.35 6.735 357 89.54 636
90.01 - 95.00 228 57,852,760 7.27 7.149 357 94.72 635
95.01 - 100.00 10 2,455,769 0.31 7.169 357 99.06 676
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
Minimum: 12.99
Maximum: 100.00
Weighted Average: 80.88
8. Range of Gross Margins (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
<= 3.500 2 339,114 0.04 7.835 356 86.71 635
3.501 - 4.000 2 586,338 0.07 5.110 356 85.39 751
4.001 - 4.500 17 5,135,269 0.65 5.636 357 70.70 664
4.501 - 5.000 309 88,111,910 11.07 5.897 357 79.49 662
5.001 - 5.500 527 137,314,078 17.26 6.126 357 80.46 648
5.501 - 6.000 691 176,792,915 22.22 6.346 357 79.64 644
6.001 - 6.500 754 196,784,475 24.73 6.659 357 80.89 638
6.501 - 7.000 439 107,194,585 13.47 7.014 357 82.36 627
7.001 - 7.500 244 51,748,347 6.50 7.400 357 84.12 622
7.501 - 8.000 154 27,228,776 3.42 8.167 357 84.58 595
8.001 - 8.500 17 3,453,851 0.43 7.982 357 84.94 596
8.501 - 9.000 5 1,094,354 0.14 7.753 357 84.89 641
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
Non-Zero Minimum: 2.301
Maximum: 9.000
Non-Zero Weighted Average: 6.048
9. Range of Minimum Mortgage Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Minimum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
<=5.000 36 11,809,166 1.48 4.991 357 80.48 686
5.001 - 5.500 221 68,982,725 8.67 5.389 357 80.26 666
5.501 - 6.000 593 176,143,294 22.13 5.860 357 79.75 660
6.001 - 6.500 659 172,260,101 21.65 6.331 357 80.64 650
6.501 - 7.000 734 180,853,867 22.73 6.799 357 81.59 640
7.001 - 7.500 359 80,807,889 10.15 7.278 357 80.55 617
7.501 - 8.000 325 66,061,649 8.30 7.789 357 81.99 594
8.001 - 8.500 118 21,194,744 2.66 8.294 357 83.94 584
8.501 - 9.000 81 12,658,378 1.59 8.790 357 85.01 563
9.001 - 9.500 19 2,160,058 0.27 9.273 357 76.13 546
9.501 - 10.000 14 2,687,399 0.34 9.785 356 83.51 542
10.001 -10.500 2 164,744 0.02 10.327 357 75.41 547
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
Non-Zero Minimum: 4.990
Maximum: 10.375
Non-Zero Weighted Average: 6.559
10. Range of Maximum Mortgage Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Maximum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
<= 12.500 848 256,310,868 32.21 5.690 357 79.94 664
12.501 - 13.000 663 174,759,253 21.96 6.337 357 80.64 649
13.001 - 13.500 730 178,252,614 22.40 6.797 357 81.62 640
13.501 - 14.000 359 81,146,821 10.20 7.282 357 80.48 616
14.001 - 14.500 321 65,575,067 8.24 7.785 357 81.91 594
14.501 - 15.000 123 21,973,077 2.76 8.278 357 83.94 585
15.001 - 15.500 82 12,754,111 1.60 8.791 357 84.97 563
15.501 - 16.000 19 2,160,058 0.27 9.273 357 76.13 546
16.001 - 16.500 13 2,545,154 0.32 9.773 357 84.27 543
16.501 - 17.000 3 306,988 0.04 10.171 357 72.91 530
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
Non-Zero Minimum: 11.490
Maximum: 16.990
Non-Zero Weighted Average: 13.060
11. Initial Periodic Cap (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0.5 2 866,375 0.11 7.304 357 92.25 638
1 30 6,029,558 0.76 6.945 356 83.55 618
1.005 1 132,681 0.02 7.150 357 56.60 596
1.125 1 478,632 0.06 7.750 356 80.00 599
1.359 1 280,000 0.04 6.990 357 76.71 645
1.5 2,073 476,626,912 59.89 6.802 357 80.25 625
1.682 1 122,102 0.02 7.075 357 90.00 609
1.75 1 171,615 0.02 7.500 357 84.98 593
2 8 1,198,571 0.15 6.849 356 79.13 635
2.005 1 151,555 0.02 6.125 357 80.00 590
3 943 279,713,276 35.15 6.191 357 81.84 663
3.03 1 194,686 0.02 6.670 357 80.00 701
5 97 29,728,258 3.74 6.016 357 81.18 662
6.5 1 89,794 0.01 8.825 356 75.00 534
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
Non-Zero Minimum: 0.500
Maximum: 6.500
Non-Zero Weighted Average: 2.155
12. Subsequent Periodic Cap (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0.5 5 1,372,047 0.17 7.085 357 88.29 643
1 3,135 790,514,059 99.34 6.555 357 80.85 640
1.5 15 3,044,258 0.38 7.668 356 86.01 628
2 6 853,648 0.11 6.818 356 78.13 618
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
Non-Zero Minimum: 0.500
Maximum: 2.000
Non-Zero Weighted Average: 1.002
13. Next Rate Adjustment Dates
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Jul-05 1 416,964 0.05 6.990 357 95.00 593
Dec-05 1 197,510 0.02 7.500 344 54.79 631
Sep-06 3 463,115 0.06 8.258 353 78.69 592
Oct-06 6 1,263,325 0.16 7.915 354 86.18 584
Nov-06 39 9,232,487 1.16 7.079 355 79.78 616
Dec-06 638 159,279,006 20.02 6.641 356 80.95 634
Jan-07 2,177 546,872,967 68.72 6.563 357 80.90 640
Feb-07 2 443,451 0.06 7.603 358 75.66 596
Nov-07 3 1,021,264 0.13 7.291 355 80.00 638
Dec-07 18 4,898,103 0.62 6.462 356 81.89 644
Jan-08 92 20,843,994 2.62 6.558 357 79.50 641
Sep-09 1 516,000 0.06 6.500 353 80.00 582
Oct-09 1 198,120 0.02 7.750 354 66.67 588
Nov-09 2 450,051 0.06 6.580 355 71.12 615
Dec-09 51 13,379,937 1.68 6.278 356 81.95 653
Jan-10 126 36,307,719 4.56 6.037 357 80.88 663
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
14. Geographic Distribution of Mortgaged Properties
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Geographic Distribution Mortgage Principal Principal Interest Term Original FICO
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
California 1,481 470,368,864 59.11 6.377 357 80.38 646
Virginia 149 34,747,561 4.37 6.796 357 81.16 636
Florida 189 32,262,798 4.05 6.993 357 80.76 627
New York 106 31,181,756 3.92 6.530 357 81.44 642
Maryland 117 27,221,291 3.42 6.689 357 82.13 632
New Jersey 95 25,100,817 3.15 6.793 357 80.26 625
Illinois 116 22,401,075 2.81 7.044 357 83.46 633
Texas 153 21,110,297 2.65 6.866 357 80.46 634
Arizona 108 17,294,660 2.17 6.684 357 82.36 641
Nevada 76 17,232,633 2.17 6.680 357 80.98 642
Massachusetts 44 12,166,278 1.53 6.760 357 81.58 638
Connecticut 50 11,691,428 1.47 6.855 357 82.29 633
Washington 54 10,641,542 1.34 6.368 357 81.50 635
Pennsylvania 49 7,321,261 0.92 7.124 357 82.35 606
Colorado 34 6,338,110 0.80 6.344 357 82.38 642
Other 340 48,703,640 6.12 7.134 357 82.21 617
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
Number of States/District of
Columbia Represented: 45
15. Occupancy
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Primary 2,962 755,094,640 94.89 6.540 357 80.85 638
Investment 134 28,958,675 3.64 7.118 357 81.04 660
Second Home 65 11,730,697 1.47 6.526 357 82.19 698
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
16. Property Type
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Single Family Residence 2,269 566,670,593 71.21 6.588 357 80.78 636
Planned Unit Development 410 104,201,732 13.09 6.464 357 81.46 646
Condominium 287 64,205,837 8.07 6.369 357 80.95 655
2-4 Family 173 56,472,897 7.10 6.670 357 80.96 656
Manufactured Housing 22 4,232,954 0.53 6.702 357 78.03 629
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
17. Loan Purpose
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 1,508 373,856,182 46.98 6.459 357 81.32 664
Refinance - Cashout 1,175 304,762,084 38.30 6.619 357 80.46 618
Refinance - Rate Term 478 117,165,747 14.72 6.731 357 80.56 619
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
18. Documentation Level
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Full Documentation 1,520 349,226,262 43.88 6.512 357 82.18 624
Stated Documentation 1,264 340,222,455 42.75 6.679 357 79.02 657
Limited Documentation 377 106,335,296 13.36 6.344 357 82.58 636
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
19. Credit Score
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
500 - 524 114 23,170,574 2.91 7.962 357 76.76 513
525 - 549 131 24,212,873 3.04 7.684 357 73.92 538
550 - 574 255 53,372,351 6.71 7.227 357 80.28 562
575 - 599 406 92,078,951 11.57 6.797 357 80.33 588
600 - 624 518 130,769,305 16.43 6.602 357 81.66 613
625 - 649 526 138,200,557 17.37 6.423 357 80.99 637
650 - 674 436 116,691,207 14.66 6.305 357 81.32 662
675 - 699 352 97,011,057 12.19 6.295 357 81.66 686
700 - 724 202 57,736,296 7.26 6.195 357 81.32 711
725 - 749 115 32,456,595 4.08 6.142 357 81.84 737
750 - 774 70 19,586,891 2.46 6.147 357 83.34 761
775 - 799 29 8,277,587 1.04 6.182 357 80.09 785
800 + 7 2,219,768 0.28 5.801 357 82.56 810
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
Non-Zero Minimum: 500
Maximum: 821
Non-Zero Weighted Average: 640
20. Prepayment Penalty Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 750 184,432,260 23.18 6.827 357 81.44 639
12 97 27,254,793 3.42 6.628 357 78.29 640
24 2,105 533,345,458 67.02 6.486 357 80.87 639
36 208 50,657,266 6.37 6.337 357 80.35 653
60 1 94,236 0.01 6.375 357 90.00 673
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
Non-Zero Minimum: 12
Maximum: 60
Non-Zero Weighted Average: 24
21. Lien Position
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
1st Lien 3,161 795,784,013 100.00 6.561 357 80.88 640
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
22. Interest Only Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 2,364 541,803,687 68.08 6.786 357 80.37 627
60 797 253,980,326 31.92 6.080 357 81.97 667
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,161 795,784,013 100.00 6.561 357 80.88 640
This information is being delivered to a specific number of prospective
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Xxxxxx Xxxxxxx
2005-WMC3
FRM Loans
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 1,967
Aggregate Principal Balance ($): 190,872,885
Weighted Average Current Mortgage Rate (%): 8.299
Non-Zero Weighted Average Margin (%): 0.000
Non-Zero Weighted Average Maximum Rate (%): 0.000
Weighted Average Stated Original Term (months): 271
Weighted Average Stated Remaining Term (months): 268
Weighted Average Combined Original LTV (%): 88.07
% First Liens: 53.85
% Owner Occupied: 94.15
% Purchase: 47.52
% Full Doc: 46.45
Non-Zero Weighted Average Credit Score: 652
2. Product Types
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed - 10 Year 2 242,350 0.13 5.890 116 69.64 705
Fixed - 15 Year 50 5,403,863 2.83 7.281 177 80.47 631
Fixed - 20 Year 15 1,899,851 1.00 7.000 236 79.05 647
Fixed - 30 Year 473 95,765,123 50.17 6.819 357 78.49 641
Balloon - 15/30 1,427 87,561,698 45.87 10.016 177 99.27 665
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
3. Range of Gross Interest Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
5.000 - 5.999 58 14,840,441 7.78 5.877 342 75.13 663
6.000 - 6.999 249 55,677,497 29.17 6.553 344 78.40 648
7.000 - 7.999 171 26,765,953 14.02 7.492 345 80.30 627
8.000 - 8.999 249 19,080,196 10.00 8.563 225 94.16 671
9.000 - 9.999 572 35,723,401 18.72 9.762 181 99.04 674
10.000 - 10.999 511 31,711,420 16.61 10.642 177 99.21 643
11.000 - 11.999 145 6,706,286 3.51 11.508 177 98.94 629
12.000 - 12.999 11 342,431 0.18 12.766 182 98.85 638
13.000 - 13.999 1 25,260 0.01 13.125 176 100.00 608
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
Minimum: 5.250
Maximum: 13.125
Weighted Average: 8.299
4. Range of Cut-off Date Principal Balances ($)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Cut-off Date Mortgage Principal Principal Interest Term Original FICO
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
1 - 25,000 158 3,174,502 1.66 10.363 177 99.22 641
25,001 - 50,000 475 17,799,006 9.33 10.119 182 98.91 657
50,001 - 75,000 480 29,828,945 15.63 9.866 188 97.36 665
75,001 - 100,000 287 24,974,663 13.08 9.296 217 93.65 659
100,001 - 125,000 150 16,644,618 8.72 8.771 243 90.29 660
125,001 - 150,000 102 13,983,836 7.33 8.394 258 88.27 650
150,001 - 175,000 54 8,798,337 4.61 7.875 294 82.80 645
175,001 - 200,000 55 10,440,549 5.47 7.590 316 77.79 638
200,001 - 225,000 36 7,627,094 4.00 6.658 347 75.35 648
225,001 - 250,000 35 8,295,772 4.35 6.613 343 78.96 626
250,001 - 275,000 28 7,270,464 3.81 6.673 350 80.84 634
275,001 - 300,000 19 5,452,040 2.86 6.791 351 81.25 627
300,001 - 325,000 13 4,086,834 2.14 6.635 319 80.22 618
325,001 - 350,000 15 5,091,264 2.67 6.483 345 78.68 653
350,001 - 375,000 7 2,538,222 1.33 6.565 357 84.23 660
375,001 - 400,000 14 5,391,000 2.82 6.673 357 76.44 639
400,001 - 425,000 9 3,741,172 1.96 6.663 357 82.81 636
425,001 - 450,000 7 3,051,290 1.60 6.218 331 84.66 665
450,001 - 475,000 4 1,873,408 0.98 6.674 357 82.95 643
475,001 - 500,000 4 1,948,809 1.02 6.641 357 80.87 683
500,001 - 750,000 15 8,861,059 4.64 6.706 357 81.04 671
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
Minimum: 13,185
Maximum: 732,897
Average: 97,038
5. Stated Original Term (months)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
120 2 242,350 0.13 5.890 116 69.64 705
180 1,477 92,965,561 48.71 9.857 177 98.17 663
240 15 1,899,851 1.00 7.000 236 79.05 647
360 473 95,765,123 50.17 6.819 357 78.49 641
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
Minimum: 120
Maximum: 360
Weighted Average: 271
6. Range of Stated Remaining Terms (months)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Stated Mortgage Principal Principal Interest Term Original FICO
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
109 - 120 2 242,350 0.13 5.890 116 69.64 705
169 - 180 1,477 92,965,561 48.71 9.857 177 98.17 663
229 - 240 15 1,899,851 1.00 7.000 236 79.05 647
349 - 360 473 95,765,123 50.17 6.819 357 78.49 641
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
Minimum: 116
Maximum: 358
Weighted Average: 268
7. Range of Combined Original LTV Ratios (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
25.01 - 30.00 1 69,843 0.04 7.500 357 26.42 601
35.01 - 40.00 4 579,536 0.30 6.941 357 39.14 715
40.01 - 45.00 10 1,623,830 0.85 6.462 334 43.32 661
45.01 - 50.00 11 1,566,966 0.82 6.426 330 47.11 661
50.01 - 55.00 13 1,671,462 0.88 6.858 357 52.13 603
55.01 - 60.00 19 3,710,412 1.94 6.738 350 58.27 621
60.01 - 65.00 23 4,079,950 2.14 6.403 344 63.25 630
65.01 - 70.00 42 8,101,482 4.24 6.651 344 68.26 631
70.01 - 75.00 49 9,469,924 4.96 6.805 333 73.64 632
75.01 - 80.00 175 35,023,096 18.35 6.824 348 79.49 644
80.01 - 85.00 43 9,535,592 5.00 6.946 348 83.97 639
85.01 - 90.00 120 20,911,502 10.96 7.159 324 89.32 646
90.01 - 95.00 133 13,676,643 7.17 8.322 283 94.66 656
95.01 - 100.00 1,324 80,852,647 42.36 10.009 178 99.97 665
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
Minimum: 26.42
Maximum: 100.00
Weighted Average: 88.07
8. Range of Gross Margins (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,967 190,872,885 100.00 8.299 268 88.07 652
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
9. Range of Minimum Mortgage Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Minimum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,967 190,872,885 100.00 8.299 268 88.07 652
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
10. Range of Maximum Mortgage Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Maximum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,967 190,872,885 100.00 8.299 268 88.07 652
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
11. Initial Periodic Cap (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,967 190,872,885 100.00 8.299 268 88.07 652
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
12. Subsequent Periodic Cap (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,967 190,872,885 100.00 8.299 268 88.07 652
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
13. Next Rate Adjustment Dates
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,967 190,872,885 100.00 8.299 268 88.07 652
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
14. Geographic Distribution of Mortgaged Properties
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Geographic Distribution Mortgage Principal Principal Interest Term Original FICO
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
California 864 94,250,964 49.38 8.439 252 88.38 659
New York 81 15,598,013 8.17 7.367 312 83.47 652
Texas 156 10,207,361 5.35 8.242 284 87.59 644
Florida 113 8,360,761 4.38 8.293 281 87.33 644
Maryland 77 7,873,819 4.13 8.429 274 89.93 627
New Jersey 56 7,424,014 3.89 7.880 303 83.73 638
Virginia 87 6,765,465 3.54 9.411 227 92.96 656
Washington 41 3,964,062 2.08 7.786 288 88.93 638
Pennsylvania 35 3,952,387 2.07 7.542 325 85.42 621
Arizona 68 3,861,232 2.02 8.439 256 91.29 668
Connecticut 33 3,517,143 1.84 7.659 280 87.84 649
Nevada 41 3,187,193 1.67 9.054 249 94.18 650
Illinois 51 3,046,057 1.60 9.204 227 92.19 660
Massachusetts 23 2,345,511 1.23 8.534 268 90.70 646
Rhode Island 15 2,178,420 1.14 7.060 339 82.89 642
Other 226 14,340,484 7.51 8.316 277 88.57 644
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
Number of States/District of Columbia Represented: 46
15. Occupancy
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Primary 1,870 179,716,113 94.15 8.353 264 88.46 650
Investment 46 7,287,450 3.82 7.064 349 76.39 673
Second Home 51 3,869,321 2.03 8.143 273 91.85 689
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
16. Property Type
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Single Family Residence 1,388 137,857,777 72.22 8.207 271 87.74 649
Planned Unit Development 273 23,122,566 12.11 8.850 247 91.93 651
2-4 Family 117 17,352,775 9.09 7.756 297 82.07 670
Condominium 182 11,956,244 6.26 9.137 224 94.00 662
Manufactured Housing 7 583,524 0.31 7.322 288 69.25 666
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
17. Loan Purpose
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 1,281 90,710,348 47.52 9.392 213 96.05 668
Refinance - Cashout 484 72,751,319 38.12 7.303 318 80.25 637
Refinance - Rate Term 202 27,411,218 14.36 7.326 313 82.42 640
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
18. Documentation Level
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Full Documentation 896 88,659,638 46.45 7.871 284 86.34 638
Stated Documentation 863 79,612,916 41.71 8.834 249 89.77 670
Limited Documentation 208 22,600,332 11.84 8.095 269 88.89 644
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
19. Credit Score
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
500 - 524 15 2,312,229 1.21 7.781 315 72.01 513
525 - 549 16 2,434,624 1.28 8.092 356 74.49 541
550 - 574 54 8,265,494 4.33 7.566 340 80.40 561
575 - 599 188 16,074,251 8.42 8.447 283 85.49 590
600 - 624 295 29,050,245 15.22 8.322 278 86.37 612
625 - 649 386 36,307,181 19.02 8.449 258 89.11 637
650 - 674 345 34,033,135 17.83 8.333 264 88.91 661
675 - 699 295 27,802,815 14.57 8.373 257 90.89 687
700 - 724 179 17,262,602 9.04 8.178 250 89.95 712
725 - 749 100 9,064,613 4.75 8.166 236 91.25 735
750 - 774 61 5,358,637 2.81 8.153 252 92.31 761
775 - 799 26 2,464,033 1.29 8.235 259 84.25 785
800 + 7 443,027 0.23 8.913 177 100.00 812
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
Non-Zero Minimum: 500
Maximum: 821
Non-Zero Weighted Average: 652
20. Prepayment Penalty Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 695 52,984,515 27.76 8.867 245 90.77 647
12 78 15,208,960 7.97 7.406 315 83.42 652
24 574 47,849,311 25.07 8.986 224 93.13 660
36 620 74,830,099 39.20 7.640 302 83.87 651
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 29
21. Lien Position
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
1st Lien 521 102,789,025 53.85 6.816 345 78.44 641
2nd Lien 1,446 88,083,860 46.15 10.030 177 99.30 665
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
22. Interest Only Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 1,967 190,872,885 100.00 8.299 268 88.07 652
--------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,967 190,872,885 100.00 8.299 268 88.07 652
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Collateral Analysis
Wtd Avg Percent of Wtd Avg Wtd Avg Wtd Avg Wtd Avg
FICO Low FICO High LTV Current Balance Current Balance GWAC % MI FICO DTI LTV % SFD % PUD
-------- --------- ----- --------------- --------------- ------- ---- ------- ------- ------- ------ -----
500 524 > 65 202,804.61 2.16 7.96 0 513 42.51 80.12 80.71 11.82
525 549 > 65 183,039.57 2.08 7.831 0 538 39.55 79.7 88.93 7.73
550 574 > 65 202,682.15 5.65 7.32 0 562 40.41 82.71 77.69 9.01
575 599 > 70 178,543.93 9.57 7.087 0 588 40.73 84 71.87 14.23
600 624 > 70 194,518.95 14.83 6.957 0 613 40.31 84.55 72.77 15.11
625 649 > 70 189,233.78 16.57 6.872 0 637 40.56 84.14 70.71 14.48
650 674 > 80 138,969.37 5.63 7.627 0 661 40.37 92.73 73.01 8.8
675 699 > 80 125,441.51 4.42 7.663 0 686 40.4 92.77 70.78 9.7
700 724 > 80 116,660.67 2.23 7.816 0 712 40.97 94.51 68.49 10.87
725 749 > 85 107,092.30 1.16 7.74 0 736 40.22 95.51 58.21 20.75
750 774 > 85 136,080.30 0.98 7.143 0 760 41.94 93.7 62.2 16.75
775 799 > 85 85,626.84 0.21 8.479 0 788 41.77 97.66 73.1 3.72
800 max > 85 127,378.39 0.1 6.843 0 807 31.72 94.27 71.93 6.33
FICO Low % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only
-------- ----------- ---------- --------- ------------ ----------
500 99.55 76.76 7 16.24 0
525 95.39 67.85 13.06 19.09 0
550 98.66 68.14 12.74 19.12 0
575 98.03 68.3 17.96 13.75 15.12
600 95.66 52.68 15.1 32.23 23.88
625 97.73 39.52 17.29 43.19 28.58
650 90.75 42.34 14 43.66 26.37
675 85.82 39.35 11.39 49.27 22.93
700 88.39 42.96 10.48 46.56 17.41
725 89.37 21.85 24.76 53.38 22.48
750 85.06 48.5 15.49 36.01 31.47
775 59.63 33.49 21.08 45.43 0
800 93.67 22.19 56.52 21.28 56.52
Wtd Avg Percent of Wtd Avg Wtd Avg Wtd Avg Wtd Avg
LTV Low LTV High DTI Current Balance Current Balance GWAC % MI FICO DTI LTV % SFD % PUD
-------- --------- ----- --------------- --------------- ------- ---- ------- ------- ------- ------ -----
60% 64% > 50 209,982.24 0.17 6.582 0.00 605 53.27 62.82 89.61 0.00
65% 69% > 50 225,485.46 0.30 6.392 0.00 616 52.67 67.94 41.00 30.52
70% 74% > 50 275,970.89 0.25 6.839 0.00 618 53.92 71.87 100.00 0.00
75% 79% > 50 239,630.90 0.51 6.408 0.00 629 52.49 77.41 76.72 18.75
80% 84% > 50 239,122.66 3.25 6.354 0.00 645 52.37 80.35 68.28 16.62
85% 89% > 50 276,957.94 1.07 6.890 0.00 635 52.95 87.76 70.64 16.42
90% 94% > 50 245,090.99 1.37 7.042 0.00 623 52.69 91.02 75.54 14.20
95% 99% > 50 183,709.96 0.67 7.584 0.00 645 53.21 95.41 64.84 24.82
100% max > 50 56,977.98 0.51 9.970 0.00 653 52.34 100.00 64.26 24.30
LTV Low % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only
-------- ----------- ---------- --------- ------------ ----------
60% 100.00 100.00 0.00 0.00 0.00
65% 100.00 33.43 55.85 10.72 22.77
70% 88.90 85.83 0.00 14.17 0.00
75% 83.79 55.99 24.88 19.14 6.16
80% 93.37 63.08 14.50 22.42 9.39
85% 82.53 81.78 7.80 10.42 8.58
90% 89.83 71.69 27.98 0.33 7.54
95% 97.59 84.95 10.19 4.86 12.64
100% 92.62 61.53 11.23 27.23 0.00
Wtd Avg Percent of Wtd Avg Wtd Avg Wtd Avg Wtd Avg
DTI Low DTI High FICO Current Balance Current Balance GWAC % MI FICO DTI LTV % SFD % PUD
-------- --------- ----- --------------- --------------- ------- ---- ------- ------- ------- ------ -----
20% 24% < 525 143,867.23 0.06 7.745 0 517 23.21 67.12 86 0
25% 29% < 550 139,938.26 0.34 7.961 0 526 27.5 75.04 97.18 2.82
30% 34% < 575 160,988.22 1.04 7.632 0 545 32.76 75.1 86.68 5.57
35% 39% < 600 207,888.74 3.73 7.106 0 568 37.56 77.78 78.94 5.29
40% 44% < 625 191,220.74 8.62 7.139 0 587 42.6 81.03 74.7 13.42
45% 49% < 650 197,263.70 14.75 7.148 0 599 47.72 81.85 76.62 12.31
50% 54% < 675 192,776.00 5.63 6.982 0 612 52.15 83.27 74.84 13.46
55% max < 700 190,436.50 0.69 7.561 0 606 56.8 82.17 76.67 21.06
DTI Low % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only
-------- ----------- ---------- --------- ------------ ----------
20% 100 77.55 22.45 0 0
25% 96.27 58.2 11.01 30.78 0
30% 99.04 57.4 10.06 32.54 0
35% 98.08 58.93 10.81 30.26 5.8
40% 98.09 62.96 9.65 27.39 18.41
45% 97.38 50.11 11.94 37.96 10.72
50% 96.25 70.94 17.61 11.45 8.63
55% 85.29 70.23 17.9 11.87 0
LIMITED AND STATED DOC
Wtd Avg Percent of Wtd Avg Wtd Avg Wtd Avg Wtd Avg
FICO Low FICO High Current Balance Current Balance GWAC % MI FICO DTI LTV % SFD % PUD
-------- --------- --------------- --------------- ------- ---- ------- ------- ------- ----- ------
500 524 214,722.26 0.70 8.124 0 514 39.83 72.10 92.74 0.00
525 549 218,267.10 0.97 7.764 0 538 37.45 70.72 86.85 7.11
550 574 230,367.17 2.10 7.264 0 562 37.99 77.37 69.21 10.91
575 599 250,553.87 3.86 6.979 0 589 38.99 77.36 74.37 10.46
600 624 223,131.02 7.73 7.064 0 613 39.01 81.55 75.51 11.78
625 649 196,421.08 10.77 7.010 0 638 40.49 82.06 72.34 13.59
650 674 191,010.53 10.38 6.925 0 662 39.87 82.39 68.13 12.31
675 699 190,890.63 8.61 6.930 0 686 40.14 83.27 69.52 11.59
700 724 198,079.94 4.92 6.836 0 712 40.35 83.09 66.66 16.96
725 749 191,369.49 3.26 6.710 0 737 40.32 84.00 53.99 22.04
750 774 200,443.60 1.52 6.865 0 761 40.07 84.61 67.43 9.97
775 799 177,208.74 0.63 7.007 0 785 39.45 80.12 52.82 16.69
800 max 237,297.06 0.17 6.328 0 810 33.62 86.03 81.94 0.00
FICO Low % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only % CA % NY % FL
-------- ----------- ---------- --------- ------------ ---------- ----- ---- ----
500 100.00 0 23.57 76.43 0.00 59.00 6.71 7.22
525 99.53 0 32.08 67.92 0.00 60.35 1.42 4.62
550 97.31 0 35.59 64.41 0.00 58.56 2.89 2.85
575 93.70 0 48.54 51.46 10.08 54.64 5.50 7.94
600 93.49 0 30.56 69.44 11.86 58.47 5.98 3.59
625 97.01 0 27.94 72.06 19.65 56.89 3.39 3.68
650 93.89 0 16.55 83.45 29.51 63.03 6.20 2.62
675 93.73 0 13.20 86.80 33.08 66.90 6.04 1.66
700 95.64 0 15.10 84.90 30.29 61.57 6.02 2.31
725 90.32 0 17.35 82.65 36.25 65.26 9.00 2.17
750 88.33 0 21.91 78.09 35.27 77.61 0.00 5.79
775 77.00 0 6.98 93.02 39.10 49.57 9.48 6.00
800 100.00 0 34.68 65.32 73.54 83.24 0.00 0.00
IO LOANS
Wtd Avg Percent of Wtd Avg Wtd Avg Wtd Avg Wtd Avg
FICO Low FICO High Current Balance Current Balance GWAC % MI FICO DTI LTV % SFD % PUD
-------- --------- --------------- --------------- ------- ---- ------- ------- ------- ----- ------
500 524
525 549 0.00 0.00 0.000 0.00 0 0.00 0.00 0.00 0.00
550 574 0.00 0.00 0.000 0.00 0 0.00 0.00 0.00 0.00
575 599 301,998.42 1.53 6.393 0.00 590 40.68 82.49 73.28 14.25
600 624 308,404.71 3.69 6.225 0.00 613 38.34 82.50 67.35 16.94
625 649 315,647.02 4.99 6.093 0.00 637 39.01 81.60 67.22 13.65
650 674 329,934.07 5.15 6.062 0.00 662 38.79 82.46 76.68 8.87
675 699 304,738.15 4.42 6.089 0.00 687 39.48 81.49 77.24 8.32
700 724 324,060.13 2.63 5.962 0.00 712 39.63 81.37 72.76 7.03
725 749 336,725.03 1.60 5.907 0.00 735 38.90 81.74 64.62 26.16
750 774 346,993.11 0.98 5.831 0.00 761 40.64 83.89 77.71 7.72
775 799 345,251.12 0.56 5.858 0.00 782 40.29 79.47 53.93 31.03
800 max 373,920.00 0.19 5.739 0.00 810 35.33 83.04 52.50 0.00
FICO Low % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only % CA % NY % FL
-------- ----------- ---------- --------- ------------ ---------- ----- ---- ----
500
525 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
550 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
575 97.66 74.58 25.42 0.00 100.00 70.85 0.00 4.47
600 99.67 75.13 18.53 6.34 100.00 75.09 0.00 5.07
625 99.19 57.59 31.12 11.28 100.00 80.03 2.86 2.81
650 99.74 40.54 14.83 44.63 100.00 84.90 0.61 2.71
675 97.78 35.51 13.83 50.66 100.00 79.60 3.47 0.96
700 98.89 43.29 9.23 47.48 100.00 83.52 3.35 3.58
725 95.68 26.36 16.15 57.49 100.00 81.54 2.38 3.41
750 97.79 45.42 18.50 36.07 100.00 85.03 0.00 2.21
775 88.21 56.10 0.00 43.90 100.00 63.16 8.52 7.75
800 100.00 34.66 30.81 34.53 100.00 100.00 0.00 0.00
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
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Xxxxxxx makes no representation or warranty with respect to the accuracy or
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BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
IO Loans
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 797
Aggregate Principal Balance ($): 253,980,326
Weighted Average Current Mortgage Rate (%): 6.080
Non-Zero Weighted Average Margin (%): 5.800
Non-Zero Weighted Average Maximum Rate (%): 12.577
Weighted Average Stated Original Term (months): 360
Weighted Average Stated Remaining Term (months): 357
Weighted Average Combined Original LTV (%): 81.97
% First Liens: 100.00
% Owner Occupied: 98.50
% Purchase: 53.64
% Full Doc: 49.84
Non-Zero Weighted Average Credit Score: 667
2. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Interest Only ARM - 5 Year/6 Month 100 30,472,858 12.00 6.019 357 81.56 663
Interest Only ARM - 2 Year/6 Month 696 222,787,469 87.72 6.086 357 82.04 668
Interest Only ARM - 3 Year/6 Month 1 720,000 0.28 6.990 355 80.00 669
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
3. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 19 7,403,605 2.92 4.990 357 80.50 687
5.000 - 5.999 397 130,214,828 51.27 5.688 357 81.06 673
6.000 - 6.999 332 102,397,118 40.32 6.474 357 82.70 662
7.000 - 7.999 47 13,347,277 5.26 7.383 357 85.95 644
8.000 - 8.999 2 617,498 0.24 8.491 357 86.05 622
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.990
Maximum: 8.975
Weighted Average: 6.080
4. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
75,001 - 100,000 15 1,324,750 0.52 6.266 357 81.42 673
100,001 - 125,000 20 2,306,590 0.91 6.363 357 79.31 659
125,001 - 150,000 34 4,681,495 1.84 6.155 357 80.80 661
150,001 - 175,000 45 7,308,945 2.88 6.418 357 81.48 651
175,001 - 200,000 41 7,729,556 3.04 5.963 357 79.76 671
200,001 - 225,000 54 11,587,547 4.56 6.037 357 80.49 661
225,001 - 250,000 77 18,263,619 7.19 6.140 357 80.45 671
250,001 - 275,000 66 17,324,815 6.82 6.060 357 81.52 664
275,001 - 300,000 60 17,270,154 6.80 6.159 357 82.14 668
300,001 - 325,000 61 19,148,669 7.54 6.090 357 82.73 668
325,001 - 350,000 40 13,505,142 5.32 6.079 357 83.06 664
350,001 - 375,000 54 19,520,156 7.69 6.111 357 80.71 666
375,001 - 400,000 40 15,501,339 6.10 6.093 357 82.29 659
400,001 - 425,000 33 13,620,458 5.36 6.098 357 83.13 668
425,001 - 450,000 33 14,518,930 5.72 6.073 357 83.96 677
450,001 - 475,000 22 10,182,753 4.01 6.103 357 82.02 663
475,001 - 500,000 20 9,741,842 3.84 6.451 357 83.52 659
500,001 - 750,000 75 44,869,483 17.67 5.915 357 81.89 675
750,001 - 1,000,000 7 5,574,081 2.19 5.725 357 84.98 672
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 76,000
Maximum: 869,611
Average: 318,670
5. Stated Original Term (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
360 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 360
Maximum: 360
Weighted Average: 360
6. Range of Stated Remaining Terms (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
349 - 360 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 353
Maximum: 358
Weighted Average: 357
7. Range of Combined Original LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
35.01 - 40.00 1 115,000 0.05 5.500 357 38.98 699
45.01 - 50.00 2 562,000 0.22 6.247 357 48.04 682
50.01 - 55.00 3 720,000 0.28 6.121 357 52.77 655
55.01 - 60.00 3 688,000 0.27 6.177 357 57.63 607
60.01 - 65.00 6 1,810,963 0.71 5.776 357 61.96 673
65.01 - 70.00 11 3,807,991 1.50 5.862 357 68.04 634
70.01 - 75.00 20 6,917,876 2.72 5.776 357 74.13 649
75.01 - 80.00 544 166,477,566 65.55 6.010 357 79.89 673
80.01 - 85.00 53 18,496,655 7.28 6.112 357 84.04 659
85.01 - 90.00 93 34,867,323 13.73 6.238 357 89.55 657
90.01 - 95.00 61 19,516,953 7.68 6.536 357 94.76 660
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 38.98
Maximum: 95.00
Weighted Average: 81.97
8. Range of Gross Margins (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
4.001 - 4.500 6 2,467,341 0.97 5.290 357 75.47 673
4.501 - 5.000 136 43,635,783 17.18 5.689 357 80.31 674
5.001 - 5.500 191 60,043,226 23.64 5.812 357 80.75 668
5.501 - 6.000 174 54,548,291 21.48 6.069 357 81.29 667
6.001 - 6.500 182 60,183,215 23.70 6.336 357 82.93 667
6.501 - 7.000 69 22,831,616 8.99 6.616 357 85.23 656
7.001 - 7.500 29 7,736,705 3.05 6.763 357 88.52 669
7.501 - 8.000 9 2,158,898 0.85 7.256 357 87.40 644
8.001 - 8.500 1 375,250 0.15 6.750 356 95.00 673
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.375
Maximum: 8.125
Non-Zero Weighted Average: 5.800
9. Range of Minimum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
<=5.000 21 8,455,025 3.33 4.991 357 80.05 688
5.001 - 5.500 124 41,718,401 16.43 5.383 357 80.77 677
5.501 - 6.000 281 90,850,269 35.77 5.847 357 81.19 672
6.001 - 6.500 194 60,230,100 23.71 6.311 357 81.97 665
6.501 - 7.000 128 38,761,755 15.26 6.769 357 84.08 654
7.001 - 7.500 35 10,035,629 3.95 7.262 357 84.69 647
7.501 - 8.000 12 3,311,649 1.30 7.749 357 89.78 635
8.001 - 8.500 1 373,498 0.15 8.175 357 90.00 612
8.501 - 9.000 1 244,000 0.10 8.975 356 80.00 638
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.990
Maximum: 8.975
Non-Zero Weighted Average: 6.081
10. Range of Maximum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
<= 12.500 426 140,899,695 55.48 5.660 357 81.00 675
12.501 - 13.000 198 62,514,020 24.61 6.324 357 82.01 663
13.001 - 13.500 124 36,601,835 14.41 6.767 357 84.14 655
13.501 - 14.000 35 10,035,629 3.95 7.262 357 84.69 647
14.001 - 14.500 12 3,311,649 1.30 7.749 357 89.78 635
14.501 - 15.000 1 373,498 0.15 8.175 357 90.00 612
15.001 - 15.500 1 244,000 0.10 8.975 356 80.00 638
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 11.490
Maximum: 15.475
Non-Zero Weighted Average: 12.577
11. Initial Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1 5 1,387,300 0.55 6.093 356 79.09 632
1.359 1 280,000 0.11 6.990 357 76.71 645
1.5 8 2,201,726 0.87 6.734 357 84.10 675
2 2 585,000 0.23 6.736 356 82.39 652
3 684 219,798,042 86.54 6.079 357 82.08 668
5 97 29,728,258 11.70 6.016 357 81.18 662
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 5.000
Non-Zero Weighted Average: 3.206
12. Subsequent Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1 796 253,623,326 99.86 6.079 357 81.97 667
2 1 357,000 0.14 6.925 356 84.00 613
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 2.000
Non-Zero Weighted Average: 1.001
13. Next Rate Adjustment Dates
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Nov-06 3 1,169,337 0.46 6.640 355 81.59 632
Dec-06 147 47,164,829 18.57 6.191 356 82.55 664
Jan-07 546 174,453,302 68.69 6.053 357 81.90 669
Nov-07 1 720,000 0.28 6.990 355 80.00 669
Sep-09 1 516,000 0.20 6.500 353 80.00 582
Nov-09 1 298,397 0.12 6.625 355 80.00 635
Dec-09 28 7,952,686 3.13 6.166 356 81.29 650
Jan-10 70 21,705,775 8.55 5.945 357 81.71 669
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
14. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
California 584 203,434,913 80.10 6.036 357 81.96 668
Florida 33 7,813,404 3.08 6.235 357 82.53 662
Maryland 26 6,996,013 2.75 6.320 357 84.50 657
New York 12 4,942,480 1.95 5.970 357 79.78 691
Nevada 17 4,075,216 1.60 6.117 357 81.24 666
Virginia 14 3,812,319 1.50 6.527 357 79.69 666
Arizona 23 3,642,159 1.43 6.528 357 83.96 665
Washington 14 3,211,945 1.26 5.900 357 80.45 659
Colorado 11 2,434,641 0.96 6.123 357 81.62 661
Illinois 11 2,420,746 0.95 6.283 357 81.08 670
New Jersey 7 2,179,946 0.86 6.337 357 78.76 664
Connecticut 5 1,475,920 0.58 6.423 357 80.00 666
Massachusetts 5 1,328,460 0.52 6.089 357 85.29 673
Texas 7 1,217,500 0.48 6.408 357 80.63 642
North Carolina 3 712,000 0.28 6.003 357 80.00 613
Other 25 4,282,664 1.69 6.463 357 85.00 649
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 31
15. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Primary 776 250,169,019 98.50 6.074 357 81.93 667
Second Home 18 3,259,807 1.28 6.360 357 84.03 709
Investment 3 551,500 0.22 7.034 357 90.55 662
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
16. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 555 181,893,276 71.62 6.084 357 81.93 667
Planned Unit Development 100 31,596,822 12.44 6.034 357 82.43 667
Condominium 120 31,411,279 12.37 6.064 357 81.85 671
2-4 Family 22 9,078,949 3.57 6.226 357 81.62 661
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
17. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Purchase 433 136,225,172 53.64 6.032 357 80.96 681
Refinance - Cashout 252 83,605,890 32.92 6.111 357 83.52 654
Refinance - Rate Term 112 34,149,264 13.45 6.199 357 82.21 648
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
18. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 411 126,592,098 49.84 5.991 357 82.68 656
Stated Documentation 245 80,595,946 31.73 6.312 357 80.47 692
Limited Documentation 141 46,792,283 18.42 5.922 357 82.66 655
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
19. Credit Score
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
575 - 599 50 15,099,921 5.95 6.393 357 82.49 590
600 - 624 118 36,391,756 14.33 6.225 357 82.50 613
625 - 649 156 49,240,935 19.39 6.093 357 81.60 637
650 - 674 154 50,809,847 20.01 6.062 357 82.46 662
675 - 699 143 43,577,555 17.16 6.089 357 81.49 687
700 - 724 80 25,924,811 10.21 5.962 357 81.37 712
725 - 749 47 15,826,076 6.23 5.907 357 81.74 735
750 - 774 28 9,715,807 3.83 5.831 357 83.89 761
775 - 799 16 5,524,018 2.17 5.858 357 79.47 782
800 + 5 1,869,600 0.74 5.739 357 83.04 810
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 580
Maximum: 821
Non-Zero Weighted Average: 667
20. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 108 34,536,896 13.60 6.365 357 81.67 668
12 30 10,462,825 4.12 6.323 357 81.45 661
24 587 187,817,612 73.95 6.013 357 82.18 668
36 72 21,162,993 8.33 6.092 357 80.85 664
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 25
21. Lien Position
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
22. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
60 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 797 253,980,326 100.00 6.080 357 81.97 667
------------------------------------------------------------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
All records
1. FICO Spreadsheet Request
Master & Sched
% of Gross Gross Gross Gross Sub Serv Rem Rem Orig
FICO Spreadsheet Request Count Balance Balance Rate Margin Lifecap Lifefloor Fees Term Amort Term
------------------------ ----- ----------- ------- ----- ------ ------- --------- -------- ----- ----- ----
500 - 500 10 1,089,718 0.11 7.856 6.156 14.059 7.559 0.52 331 340 334
501 - 510 42 8,799,678 0.89 7.848 6.704 14.370 7.870 0.52 357 357 360
511 - 520 44 9,104,998 0.92 8.026 6.480 14.577 8.071 0.52 350 350 354
521 - 530 57 10,438,346 1.06 7.880 6.595 14.368 7.819 0.52 356 357 359
531 - 540 57 11,027,070 1.12 7.770 6.621 14.224 7.721 0.52 357 356 360
541 - 550 78 13,503,528 1.37 7.660 6.574 14.115 7.615 0.52 357 357 360
551 - 560 149 27,252,221 2.76 7.282 6.381 13.708 7.183 0.52 354 356 357
561 - 570 102 22,413,342 2.27 7.310 6.386 13.786 7.265 0.52 355 356 358
571 - 580 140 29,463,082 2.99 7.150 6.331 13.572 7.061 0.52 351 356 355
581 - 590 244 44,317,719 4.49 7.056 6.168 13.251 6.749 0.52 343 355 346
591 - 600 280 49,860,506 5.05 6.981 6.198 13.230 6.736 0.52 347 356 350
601 - 610 302 56,773,365 5.75 6.876 6.124 13.128 6.622 0.52 346 356 350
611 - 620 337 68,353,911 6.93 6.962 6.080 13.108 6.606 0.52 339 354 342
621 - 630 365 71,406,948 7.24 6.932 6.063 13.028 6.528 0.52 338 356 341
631 - 640 346 63,890,359 6.48 6.904 5.992 12.992 6.492 0.52 336 354 339
641 - 650 386 76,930,330 7.80 6.684 5.876 12.754 6.254 0.52 337 354 340
651 - 660 307 60,393,210 6.12 6.793 5.840 12.847 6.350 0.52 337 356 341
661 - 670 311 56,865,475 5.76 6.761 5.902 12.741 6.253 0.52 335 355 338
671 - 680 304 57,832,198 5.86 6.799 5.983 12.859 6.359 0.52 335 355 339
681 - 690 240 49,180,566 4.98 6.661 5.905 12.715 6.221 0.52 336 357 340
691 - 700 254 46,573,790 4.72 6.825 5.938 12.860 6.371 0.52 332 356 335
701 - 710 147 29,713,423 3.01 6.588 5.930 12.627 6.122 0.52 333 357 336
711 - 720 149 30,340,944 3.08 6.677 5.961 12.760 6.264 0.52 335 356 338
721 - 730 118 23,233,327 2.35 6.584 5.749 12.612 6.112 0.52 329 354 333
731 - 740 101 18,021,841 1.83 6.584 5.694 12.543 6.043 0.52 325 354 329
741 - 750 65 12,552,222 1.27 6.700 6.035 12.869 6.369 0.52 337 355 340
751 - 760 56 11,539,536 1.17 6.452 5.811 12.560 6.060 0.52 338 356 341
761 - 770 52 9,582,122 0.97 6.608 5.603 12.594 6.094 0.52 330 357 333
771 - 780 38 7,452,243 0.76 6.438 5.649 12.603 6.103 0.52 337 357 340
781 - 790 15 2,225,479 0.23 7.066 6.103 12.910 6.410 0.52 330 357 333
791 - 800 18 3,862,605 0.39 6.977 5.814 13.021 6.521 0.52 335 357 338
801 - 810 8 1,556,616 0.16 6.215 5.665 12.228 5.728 0.52 331 357 334
811 - 820 4 599,330 0.06 6.275 6.158 12.346 5.846 0.52 321 357 324
821 >= 2 506,849 0.05 6.691 7.125 12.490 5.990 0.52 321 357 324
------------------------ ----- ----------- ------- ----- ------ ------- --------- -------- ----- ----- ----
Total: 5128 986,656,898 100.00 6.897 6.048 13.060 6.559 0.52 339 355 343
Month
Initial Periodic to Next Provided Known
FICO Spreadsheet Request Cap Cap Adj LTV FICOs Avg Balance LTV>80w MI
------------------------ ------- -------- ------- -------- ----- ----------- ----------
500 - 500 1.634 1.000 22 73.20 500 108,972 0
501 - 510 1.579 1.000 21 76.50 506 209,516 0
511 - 520 1.660 1.000 21 76.11 516 206,932 0
521 - 530 1.531 1.000 21 76.38 525 183,129 0
531 - 540 1.584 1.000 21 73.71 535 193,457 0
541 - 550 1.585 1.014 21 75.07 546 173,122 0
551 - 560 1.618 1.004 22 79.26 555 182,901 0
561 - 570 1.677 1.007 22 80.55 566 219,739 0
571 - 580 1.709 1.000 22 81.23 576 210,451 0
581 - 590 1.950 1.000 24 81.71 586 181,630 0
591 - 600 1.892 1.002 23 80.57 596 178,073 0
601 - 610 2.118 1.002 24 81.89 605 187,991 0
611 - 620 2.026 1.010 23 83.30 616 202,831 0
621 - 630 2.146 1.005 22 82.53 625 195,635 0
631 - 640 2.132 1.002 22 82.30 635 184,654 0
641 - 650 2.296 0.999 25 82.89 645 199,301 0
651 - 660 2.293 1.000 24 83.31 655 196,721 0
661 - 670 2.428 1.000 23 82.95 665 182,847 0
671 - 680 2.429 1.003 24 83.55 675 190,237 0
681 - 690 2.419 1.000 26 84.14 685 204,919 0
691 - 700 2.258 0.997 22 83.18 695 183,361 0
701 - 710 2.502 1.000 25 82.57 705 202,132 0
711 - 720 2.346 1.000 25 83.71 715 203,630 0
721 - 730 2.467 1.000 24 84.14 725 196,893 0
731 - 740 2.568 1.006 24 84.00 736 178,434 0
741 - 750 2.269 1.011 25 83.25 746 193,111 0
751 - 760 2.591 1.000 25 86.10 755 206,063 0
761 - 770 2.586 1.000 24 84.36 765 184,272 0
771 - 780 2.675 1.005 22 82.14 776 196,112 0
781 - 790 2.033 1.000 21 84.54 785 148,365 0
791 - 800 2.350 1.000 23 79.62 794 214,589 0
801 - 810 3.000 1.000 23 86.50 806 194,577 0
811 - 820 2.601 1.000 21 84.00 814 149,833 0
821 >= 3.000 1.000 21 84.00 821 253,425 0
------------------------ ------- -------- ------- -------- ----- ----------- ----------
Total: 2.155 1.002 23 82.27 642 192,406 0
This information has been prepared in connection with the issuance of securities
representing [interests in / debt of] the above trust, and is based in part on
information provided by [ORIGINATOR] with respect to the expected
characteristics of the pool of [ASSET] in which these securities will represent
[undivided beneficial interests / debt obligations]. The actual characteristics
and performance of the [ASSET] will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular tradingstrategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREINARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Xxxxxx Xxxxxxx & Co. Incorporated and
approved by Xxxxxx Xxxxxxx & Co. International Limited, a member of the
Securities and Futures Authority, and Xxxxxx Xxxxxxx Japan Ltd. We recommend
that investors obtain the advice of their Xxxxxx Xxxxxxx & Co. International
Limited or Xxxxxx Xxxxxxx Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
FICO less than 550
Table of Contents
1. Purpose
2. Range of Combined Original LTV Ratios (%)
3. Documentation Level
4. Geographic Distribution by State
1. Purpose
----------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 23 3,326,767 6.38 8.002 353 80.97 527
Refinance - Rate Term 66 11,563,045 22.18 7.926 357 74.14 524
Refinance - Cashout 187 37,240,487 71.44 7.786 354 74.91 526
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 276 52,130,299 100.00 7.831 355 75.12 526
----------------------- -------- ----------- --------- -------- --------- -------- --------
2. Range of Combined Original LTV Ratios (%)
----------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
15.01 - 20.00 1 54,822 0.11 7.125 356 18.03 526
35.01 - 40.00 3 285,296 0.55 8.064 356 36.29 533
40.01 - 45.00 3 380,781 0.73 6.768 356 41.45 535
45.01 - 50.00 11 1,577,693 3.03 7.733 357 47.81 527
50.01 - 55.00 10 1,994,706 3.83 7.165 357 53.02 530
55.01 - 60.00 12 2,135,386 4.10 7.502 357 57.01 534
60.01 - 65.00 19 3,906,698 7.49 7.781 352 63.00 527
65.01 - 70.00 24 4,513,963 8.66 7.869 357 68.23 524
70.01 - 75.00 35 7,431,374 14.26 7.722 349 74.25 526
75.01 - 80.00 72 12,136,113 23.28 7.901 357 79.32 524
80.01 - 85.00 66 13,906,004 26.68 8.006 357 84.30 528
85.01 - 90.00 16 3,205,519 6.15 7.665 357 89.70 522
90.01 - 95.00 1 474,131 0.91 8.501 357 95.00 524
95.01 - 100.00 3 127,813 0.25 10.250 177 100.00 514
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 276 52,130,299 100.00 7.831 355 75.12 526
----------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 18.03
Maximum: 100.00
Weighted Average: 75.12
3. Documentation Level
----------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
Full Documentation 200 35,655,435 68.40 7.792 354 76.89 525
Stated Documentation 53 11,774,849 22.59 7.946 356 69.06 528
Limited Documentation 23 4,700,016 9.02 7.834 356 76.90 528
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 276 52,130,299 100.00 7.831 355 75.12 526
----------------------- -------- ----------- --------- -------- --------- -------- --------
4. Geographic Distribution by State
----------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
Geographic of Date Date Gross Remaining Combined Average
Distribution Mortgage Principal Principal Interest Term Original FICO
by State Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
Arizona 5 990,783 1.90 8.057 357 79.55 528
California 104 24,869,124 47.71 7.617 356 72.76 525
Colorado 1 121,146 0.23 7.500 357 80.00 536
Connecticut 4 835,137 1.60 7.383 357 76.65 536
District of Columbia 1 176,607 0.34 7.550 357 59.00 526
Florida 25 3,445,869 6.61 8.155 352 73.00 529
Georgia 2 271,650 0.52 8.486 357 83.17 523
Idaho 4 457,429 0.88 8.972 357 78.25 534
Illinois 6 1,101,102 2.11 7.711 357 81.67 515
Iowa 2 193,593 0.37 9.250 356 74.54 504
Kansas 1 60,842 0.12 8.875 357 85.00 537
Louisiana 4 412,674 0.79 8.890 357 82.00 527
Maine 1 102,205 0.20 8.550 357 80.00 502
Maryland 13 2,576,329 4.94 8.114 357 81.40 527
Massachusetts 4 959,284 1.84 7.881 356 76.33 534
Michigan 2 223,533 0.43 7.881 357 70.00 544
Minnesota 3 670,916 1.29 7.549 357 83.70 531
Mississippi 2 113,462 0.22 9.020 357 77.68 528
Missouri 1 122,928 0.24 7.575 357 80.00 536
Montana 4 374,117 0.72 8.117 356 60.86 537
Nevada 5 1,128,359 2.16 8.119 357 72.49 526
New Hampshire 1 199,590 0.38 8.125 357 64.94 547
New Jersey 14 3,100,375 5.95 7.617 356 79.44 525
New York 11 1,889,822 3.63 7.768 325 75.32 525
North Carolina 2 255,658 0.49 7.820 357 86.16 525
Ohio 2 296,974 0.57 7.990 357 80.00 532
Oklahoma 2 74,824 0.14 7.431 321 84.00 542
Pennsylvania 9 811,267 1.56 8.303 357 69.79 530
Rhode Island 4 711,634 1.37 7.008 357 63.76 533
South Carolina 3 355,577 0.68 8.209 357 85.43 538
Tennessee 2 160,854 0.31 8.954 357 75.18 519
Texas 13 1,518,914 2.91 8.427 357 78.74 525
Virginia 14 2,500,289 4.80 8.282 357 80.85 521
Washington 4 908,174 1.74 8.173 357 80.14 519
Wisconsin 1 139,257 0.27 8.750 357 84.55 534
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 276 52,130,299 100.00 7.831 355 75.12 526
----------------------- -------- ----------- --------- -------- --------- -------- --------
Number of States Represented: 35
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
All records
Table of Contents
1. Credit Score
2. Range of Combined Original LTV Ratios (%)
3. Range of Cut-off Date Principal Balances ($)
4. Geographic Distribution of Mortgaged Properties
5. Documentation Level
6. Loan Purpose
7. Occupancy
8. Product Types
9. Property Type
10. Occupancy - Non Owner Occupied
11. Property Type 2-4 Family
12. Back Ratio
13. Prepayment Penalty Term
14. Lien Position
15. Interest Only Term
1. Credit Score
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
500 - 524 129 25,482,803 2.58 7.95 353 76.33 513
525 - 549 147 26,647,496 2.7 7.72 357 73.97 538
550 - 574 309 61,637,845 6.25 7.27 355 80.30 562
575 - 599 594 108,153,203 10.96 7.04 346 81.09 588
600 - 624 813 159,819,550 16.2 6.91 342 82.52 613
625 - 649 912 174,507,739 17.69 6.85 336 82.68 637
650 - 674 781 150,724,342 15.28 6.76 336 83.03 662
675 - 699 647 124,813,872 12.65 6.76 335 83.72 686
700 - 724 381 74,998,897 7.6 6.65 332 83.31 712
725 - 749 215 41,521,208 4.21 6.58 331 83.90 736
750 - 774 131 24,945,527 2.53 6.58 334 85.27 761
775 - 799 55 10,741,620 1.09 6.65 335 81.04 785
800 + 14 2,662,795 0.27 6.32 327 85.46 810
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100 6.90 339 82.27 642
Non-Zero Minimum: 500
Maximum: 821
Non-Zero Weighted Average: 642
2. Range of Combined Original LTV Ratios (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
10.01 - 15.00 1 49,881 0.01 7.20 357 12.99 651
15.01 - 20.00 1 54,822 0.01 7.13 356 18.03 526
25.01 - 30.00 2 224,528 0.02 7.84 357 28.76 605
30.01 - 35.00 1 74,733 0.01 6.63 356 30.36 564
35.01 - 40.00 14 1,821,436 0.18 6.74 357 38.27 634
40.01 - 45.00 20 2,946,672 0.3 6.53 344 43.03 626
45.01 - 50.00 34 6,202,370 0.63 6.95 350 47.89 611
50.01 - 55.00 43 7,537,348 0.76 6.68 356 52.93 594
55.01 - 60.00 62 13,123,551 1.33 6.72 355 57.91 603
60.01 - 65.00 76 16,989,341 1.72 6.70 354 62.92 601
65.01 - 70.00 143 33,372,476 3.38 6.68 354 68.15 611
70.01 - 75.00 237 60,121,966 6.09 6.76 353 73.92 609
75.01 - 80.00 1,949 473,735,139 48.01 6.39 356 79.78 655
80.01 - 85.00 340 88,393,734 8.96 6.80 356 84.25 615
85.01 - 90.00 510 127,171,080 12.89 6.81 351 89.50 637
90.01 - 95.00 361 71,529,403 7.25 7.37 343 94.71 639
95.01 - 100.00 1,334 83,308,416 8.44 9.93 183 99.94 666
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100 6.90 339 82.27 642
Minimum: 12.99
Maximum: 100.00
Weighted Average: 82.27
3. Range of Cut-off Date Principal Balances ($)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Cut-off Date Mortgage Principal Principal Interest Term Original FICO
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
1 - 25,000 158 3,174,502 0.32 10.36 177 99.22 641
25,001 - 50,000 507 19,257,377 1.95 9.96 195 96.89 652
50,001 - 75,000 600 37,506,584 3.8 9.39 223 93.57 654
75,001 - 100,000 470 41,196,142 4.18 8.47 272 88.80 644
100,001 - 125,000 373 41,912,627 4.25 7.75 312 84.42 637
125,001 - 150,000 362 49,731,481 5.04 7.22 329 81.39 632
150,001 - 175,000 308 50,154,980 5.08 7.07 346 80.50 624
175,001 - 200,000 316 59,623,446 6.04 6.86 350 78.61 629
200,001 - 225,000 273 58,196,498 5.9 6.68 355 79.02 633
225,001 - 250,000 265 63,029,577 6.39 6.57 355 79.76 636
250,001 - 275,000 225 58,931,251 5.97 6.53 356 81.09 645
275,001 - 300,000 238 68,388,095 6.93 6.53 356 80.59 637
300,001 - 325,000 175 54,784,738 5.55 6.42 354 81.99 652
325,001 - 350,000 136 45,999,615 4.66 6.45 355 81.77 641
350,001 - 375,000 140 50,597,594 5.13 6.52 357 81.56 647
375,001 - 400,000 120 46,584,145 4.72 6.50 357 81.48 642
400,001 - 425,000 90 37,146,834 3.76 6.56 357 82.71 645
425,001 - 450,000 70 30,748,775 3.12 6.31 354 83.91 662
450,001 - 475,000 54 25,015,832 2.54 6.44 357 83.33 645
475,001 - 500,000 52 25,487,875 2.58 6.70 357 81.32 640
500,001 - 750,000 181 107,069,333 10.85 6.29 357 80.85 656
750,001 - 1,000,000 15 12,119,597 1.23 6.10 357 78.91 652
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100 6.90 339 82.27 642
Minimum: 13,185
Maximum: 874,816
Average: 192,406
4. Geographic Distribution of Mortgaged Properties
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Geographic Distribution Mortgage Principal Principal Interest Term Original FICO
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
California 2,345 564,619,829 57.23 6.72 339 81.72 648
New York 187 46,779,768 4.74 6.81 342 82.12 646
Virginia 236 41,513,026 4.21 7.22 336 83.08 639
Florida 302 40,623,559 4.12 7.26 341 82.11 631
Maryland 194 35,095,110 3.56 7.08 338 83.88 631
New Jersey 151 32,524,832 3.3 7.04 344 81.05 628
Texas 309 31,317,658 3.17 7.31 333 82.78 638
Illinois 167 25,447,133 2.58 7.30 341 84.51 636
Arizona 176 21,155,892 2.14 7.01 338 83.99 646
Nevada 117 20,419,825 2.07 7.05 340 83.04 643
Connecticut 83 15,208,571 1.54 7.04 339 83.58 636
Washington 95 14,605,603 1.48 6.75 338 83.52 636
Massachusetts 67 14,511,789 1.47 7.05 342 83.05 639
Pennsylvania 84 11,273,648 1.14 7.27 346 83.42 611
Colorado 58 8,204,890 0.83 6.70 339 83.92 643
Other 557 63,355,764 6.42 7.38 340 83.46 623
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100 6.90 339 82.27 642
Number of States/District of
Columbia Represented: 47
5. Documentation Level
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Full Documentation 2,416 437,885,900 44.38 6.79 342 83.02 627
Stated Documentation 2,127 419,835,371 42.55 7.09 336 81.06 660
Limited Documentation 585 128,935,628 13.07 6.65 341 83.69 637
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100 6.90 339 82.27 642
6. Loan Purpose
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 2,789 464,566,530 47.08 7.03 329 84.20 665
Refinance - Cashout 1,659 377,513,403 38.26 6.75 349 80.42 622
Refinance - Rate Term 680 144,576,965 14.65 6.84 348 80.91 623
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100 6.90 339 82.27 642
7. Occupancy
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Primary 4,832 934,810,754 94.75 6.89 339 82.32 641
Investment 180 36,246,125 3.67 7.11 355 80.10 663
Second Home 116 15,600,019 1.58 6.93 336 84.59 696
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100 6.90 339 82.27 642
8. Product Types
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed - 10 Year 2 242,350 0.02 5.89 116 69.64 705
Fixed - 15 Year 50 5,403,863 0.55 7.28 177 80.47 631
Fixed - 20 Year 15 1,899,851 0.19 7.00 236 79.05 647
Fixed - 30 Year 473 95,765,123 9.71 6.82 357 78.49 641
Balloon - 15/30 1,427 87,561,698 8.87 10.02 177 99.27 665
ARM - 6 Month 1 416,964 0.04 6.99 357 95.00 593
ARM - 2 Year/6 Month 2,170 494,964,393 50.17 6.82 357 80.38 625
ARM - 3 Year/6 Month 112 26,043,361 2.64 6.56 357 79.95 640
ARM - 5 Year/6 Month 81 20,378,969 2.07 6.26 357 80.20 654
Interest Only ARM - 5 Year/6 Month 100 30,472,858 3.09 6.02 357 81.56 663
Interest Only ARM - 2 Year/6 Month 696 222,787,469 22.58 6.09 357 82.04 668
Interest Only ARM - 3 Year/6 Month 1 720,000 0.07 6.99 355 80.00 669
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100 6.90 339 82.27 642
9. Property Type
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Single Family Residence 3,657 704,528,370 71.41 6.91 340 82.14 638
Planned Unit Development 683 127,324,297 12.9 6.90 337 83.36 646
Condominium 469 76,162,081 7.72 6.80 336 83.00 656
2-4 Family 290 73,825,672 7.48 6.93 343 81.22 659
Manufactured Housing 29 4,816,478 0.49 6.78 348 76.97 633
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100 6.90 339 82.27 642
10. Occupancy - Non Owner Occupied
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy - Non Owner Occupied Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Investment 180 36,246,125 69.91 7.11 355 80.10 663
Second Home 116 15,600,019 30.09 6.93 336 84.59 696
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.05 349 81.45 672
11. Property Type 2-4 Family
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type 2-4 Family Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
2-4 Family 290 73,825,672 100 6.93 343 81.22 659
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 290 73,825,672 100 6.93 343 81.22 659
12. Back Ratio
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Back Mortgage Principal Principal Interest Term Original FICO
Ratio Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0.01 - 5.00 4 1,157,672 0.12 6.35 346 66.21 647
5.01 - 10.00 21 4,151,865 0.42 6.54 338 80.89 641
10.01 - 15.00 50 9,205,961 0.93 6.81 347 80.37 647
15.01 - 20.00 91 16,062,970 1.63 7.00 338 80.54 629
20.01 - 25.00 203 37,071,370 3.76 6.87 345 80.70 635
25.01 - 30.00 338 57,722,459 5.85 6.88 340 80.39 638
30.01 - 35.00 543 103,410,006 10.48 6.74 343 81.62 644
35.01 - 40.00 886 178,683,175 18.11 6.80 340 81.73 644
40.01 - 45.00 1,292 247,193,491 25.05 6.93 337 83.09 648
45.01 - 50.00 1,285 249,849,977 25.32 7.01 338 82.67 640
50.01 - 55.00 377 74,821,302 7.58 6.85 343 83.58 637
55.01 - 60.00 38 7,326,649 0.74 7.44 345 82.24 618
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100 6.90 339 82.27 642
Minimum: 3.97
Maximum: 59.86
Weighted Average: 40.35
13. Prepayment Penalty Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 1,445 237,416,775 24.06 7.28 332 83.53 640
12 175 42,463,753 4.3 6.91 342 80.13 644
24 2,679 581,194,770 58.91 6.69 346 81.88 641
36 828 125,487,365 12.72 7.11 324 82.45 652
60 1 94,236 0.01 6.38 357 90.00 673
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100 6.90 339 82.27 642
Non-Zero Minimum: 12
Maximum: 60
Non-Zero Weighted Average: 25
14. Lien Position
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
1st Lien 3,682 898,573,037 91.07 6.59 355 80.60 640
2nd Lien 1,446 88,083,860 8.93 10.03 177 99.30 665
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100 6.90 339 82.27 642
15. Interest Only Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 4,331 732,676,572 74.26 7.18 334 82.37 634
60 797 253,980,326 25.74 6.08 357 81.97 667
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100 6.90 339 82.27 642
Xxxxxx Xxxxxxx
2005-WMC3
IO Loans
Table of Contents
1. Credit Score
2. Interest Only Term
3. Range of Combined Original LTV Ratios (%)
4. Range of Cut-off Date Principal Balances ($)
5. Geographic Distribution of Mortgaged Properties
6. Documentation Level
7. Back Ratio
1. Credit Score
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
575 - 599 50 15,099,921 5.95 6.39 357 82.49 590
600 - 624 118 36,391,756 14.33 6.23 357 82.50 613
625 - 649 156 49,240,935 19.39 6.09 357 81.60 637
650 - 674 154 50,809,847 20.01 6.06 357 82.46 662
675 - 699 143 43,577,555 17.16 6.09 357 81.49 687
700 - 724 80 25,924,811 10.21 5.96 357 81.37 712
725 - 749 47 15,826,076 6.23 5.91 357 81.74 735
750 - 774 28 9,715,807 3.83 5.83 357 83.89 761
775 - 799 16 5,524,018 2.17 5.86 357 79.47 782
800 + 5 1,869,600 0.74 5.74 357 83.04 810
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 797 253,980,326 100 6.08 357 81.97 667
Non-Zero Minimum: 580
Maximum: 821
Non-Zero Weighted Average: 667
2. Interest Only Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
60 797 253,980,326 100 6.08 357 81.97 667
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 797 253,980,326 100 6.08 357 81.97 667
3. Range of Combined Original LTV Ratios (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
35.01 - 40.00 1 115,000 0.05 5.50 357 38.98 699
45.01 - 50.00 2 562,000 0.22 6.25 357 48.04 682
50.01 - 55.00 3 720,000 0.28 6.12 357 52.77 655
55.01 - 60.00 3 688,000 0.27 6.18 357 57.63 607
60.01 - 65.00 6 1,810,963 0.71 5.78 357 61.96 673
65.01 - 70.00 11 3,807,991 1.5 5.86 357 68.04 634
70.01 - 75.00 20 6,917,876 2.72 5.78 357 74.13 649
75.01 - 80.00 544 166,477,566 65.55 6.01 357 79.89 673
80.01 - 85.00 53 18,496,655 7.28 6.11 357 84.04 659
85.01 - 90.00 93 34,867,323 13.73 6.24 357 89.55 657
90.01 - 95.00 61 19,516,953 7.68 6.54 357 94.76 660
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 797 253,980,326 100 6.08 357 81.97 667
Minimum: 38.98
Maximum: 95.00
Weighted Average: 81.97
4. Range of Cut-off Date Principal Balances ($)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Cut-off Date Mortgage Principal Principal Interest Term Original FICO
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
75,001 - 100,000 15 1,324,750 0.52 6.27 357 81.42 673
100,001 - 125,000 20 2,306,590 0.91 6.36 357 79.31 659
125,001 - 150,000 34 4,681,495 1.84 6.16 357 80.80 661
150,001 - 175,000 45 7,308,945 2.88 6.42 357 81.48 651
175,001 - 200,000 41 7,729,556 3.04 5.96 357 79.76 671
200,001 - 225,000 54 11,587,547 4.56 6.04 357 80.49 661
225,001 - 250,000 77 18,263,619 7.19 6.14 357 80.45 671
250,001 - 275,000 66 17,324,815 6.82 6.06 357 81.52 664
275,001 - 300,000 60 17,270,154 6.8 6.16 357 82.14 668
300,001 - 325,000 61 19,148,669 7.54 6.09 357 82.73 668
325,001 - 350,000 40 13,505,142 5.32 6.08 357 83.06 664
350,001 - 375,000 54 19,520,156 7.69 6.11 357 80.71 666
375,001 - 400,000 40 15,501,339 6.1 6.09 357 82.29 659
400,001 - 425,000 33 13,620,458 5.36 6.10 357 83.13 668
425,001 - 450,000 33 14,518,930 5.72 6.07 357 83.96 677
450,001 - 475,000 22 10,182,753 4.01 6.10 357 82.02 663
475,001 - 500,000 20 9,741,842 3.84 6.45 357 83.52 659
500,001 - 750,000 75 44,869,483 17.67 5.92 357 81.89 675
750,001 - 1,000,000 7 5,574,081 2.19 5.73 357 84.98 672
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 797 253,980,326 100 6.08 357 81.97 667
Minimum: 76,000
Maximum: 869,611
Average: 318,670
5. Geographic Distribution of Mortgaged Properties
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Geographic Distribution Mortgage Principal Principal Interest Term Original FICO
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
California 584 203,434,913 80.1 6.04 357 81.96 668
Florida 33 7,813,404 3.08 6.24 357 82.53 662
Maryland 26 6,996,013 2.75 6.32 357 84.50 657
New York 12 4,942,480 1.95 5.97 357 79.78 691
Nevada 17 4,075,216 1.6 6.12 357 81.24 666
Virginia 14 3,812,319 1.5 6.53 357 79.69 666
Arizona 23 3,642,159 1.43 6.53 357 83.96 665
Washington 14 3,211,945 1.26 5.90 357 80.45 659
Colorado 11 2,434,641 0.96 6.12 357 81.62 661
Illinois 11 2,420,746 0.95 6.28 357 81.08 670
New Jersey 7 2,179,946 0.86 6.34 357 78.76 664
Connecticut 5 1,475,920 0.58 6.42 357 80.00 666
Massachusetts 5 1,328,460 0.52 6.09 357 85.29 673
Texas 7 1,217,500 0.48 6.41 357 80.63 642
North Carolina 3 712,000 0.28 6.00 357 80.00 613
Other 25 4,282,664 1.69 6.46 357 85.00 649
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 797 253,980,326 100 6.08 357 81.97 667
Number of States/District
of Columbia Represented: 31
6. Documentation Level
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
Full Documentation 411 126,592,098 49.84 5.99 357 82.68 656
Stated Documentation 245 80,595,946 31.73 6.31 357 80.47 692
Limited Documentation 141 46,792,283 18.42 5.92 357 82.66 655
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 797 253,980,326 100 6.08 357 81.97 667
7. Back Ratio
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Back Mortgage Principal Principal Interest Term Original FICO
Ratio Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
0.01 - 5.00 1 292,000 0.11 6.13 357 80.00 622
5.01 - 10.00 4 1,807,050 0.71 5.51 357 82.64 670
10.01 - 15.00 3 748,163 0.29 5.58 356 82.74 660
15.01 - 20.00 6 1,622,541 0.64 6.24 357 82.99 656
20.01 - 25.00 27 7,568,927 2.98 6.03 356 80.55 661
25.01 - 30.00 53 15,792,568 6.22 5.90 357 81.35 676
30.01 - 35.00 114 37,559,814 14.79 6.10 357 81.90 667
35.01 - 40.00 173 58,169,397 22.9 6.10 357 81.97 662
40.01 - 45.00 258 78,430,734 30.88 6.13 357 81.89 666
45.01 - 50.00 138 45,247,406 17.82 6.06 357 82.36 677
50.01 - 55.00 20 6,741,726 2.65 6.03 357 83.33 661
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 797 253,980,326 100 6.08 357 81.97 667
Minimum: 3.97
Maximum: 54.62
Weighted Average: 39.17
Xxxxxx Xxxxxxx
2005-WMC3
Top 5 States
Table of Contents
1. Credit Score
2. Range of Combined Original LTV Ratios (%)
3. Range of Cut-off Date Principal Balances ($)
4. Documentation Level
5. Back Ratio
1. Credit Score
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
500 - 524 80 17,782,106 2.44 7.84 351 75.44 513
525 - 549 87 17,499,329 2.4 7.69 357 72.79 538
550 - 574 183 41,316,776 5.67 7.15 355 78.98 562
575 - 599 314 71,020,069 9.75 6.89 346 80.09 588
600 - 624 486 115,946,053 15.91 6.80 343 81.79 613
625 - 649 572 127,119,418 17.45 6.75 337 82.60 637
650 - 674 522 116,213,336 15.95 6.72 336 83.05 662
675 - 699 446 97,271,141 13.35 6.72 334 83.44 686
700 - 724 283 61,151,941 8.39 6.59 331 83.13 712
725 - 749 150 32,932,325 4.52 6.51 331 83.67 736
750 - 774 96 20,393,040 2.8 6.60 335 85.23 761
775 - 799 36 7,793,314 1.07 6.56 335 80.23 785
800 + 9 2,192,446 0.3 6.20 330 85.54 810
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,264 728,631,292 100.00 6.80 339 81.95 646
Non-Zero Minimum: 500
Maximum: 821
Non-Zero Weighted Average: 646
2. Range of Combined Original LTV Ratios (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
10.01 - 15.00 1 49,881 0.01 7.20 357 12.99 651
15.01 - 20.00 1 54,822 0.01 7.13 356 18.03 526
25.01 - 30.00 2 224,528 0.03 7.84 357 28.76 605
30.01 - 35.00 1 74,733 0.01 6.63 356 30.36 564
35.01 - 40.00 11 1,490,321 0.2 6.59 357 38.56 654
40.01 - 45.00 16 2,613,516 0.36 6.45 342 42.99 628
45.01 - 50.00 26 5,008,404 0.69 6.81 349 47.65 611
50.01 - 55.00 35 6,495,688 0.89 6.71 356 52.99 590
55.01 - 60.00 48 10,357,648 1.42 6.71 354 57.69 603
60.01 - 65.00 59 13,767,963 1.89 6.66 353 62.93 601
65.01 - 70.00 100 25,140,026 3.45 6.64 355 68.18 615
70.01 - 75.00 156 45,915,192 6.3 6.65 353 73.83 612
75.01 - 80.00 1,235 353,313,974 48.49 6.29 356 79.79 659
80.01 - 85.00 214 64,685,890 8.88 6.71 357 84.28 619
85.01 - 90.00 313 91,923,896 12.62 6.66 352 89.48 644
90.01 - 95.00 203 44,929,530 6.17 7.26 340 94.67 642
95.01 - 100.00 843 62,585,278 8.59 9.90 181 99.95 668
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,264 728,631,292 100 6.80 339 81.95 646
Minimum: 12.99
Maximum: 100.00
Weighted Average: 81.95
3. Range of Cut-off Date Principal Balances ($)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Cut-off Date Mortgage Principal Principal Interest Term Original FICO
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
1 - 25,000 22 452,499 0.06 10.74 180 97.70 651
25,001 - 50,000 220 8,713,069 1.2 9.98 188 96.91 659
50,001 - 75,000 393 24,603,411 3.38 9.72 197 96.16 662
75,001 - 100,000 271 23,664,415 3.25 9.18 223 93.85 656
100,001 - 125,000 185 20,653,363 2.83 8.24 277 86.96 648
125,001 - 150,000 177 24,322,685 3.34 7.57 307 80.95 632
150,001 - 175,000 170 27,607,145 3.79 7.10 341 79.34 621
175,001 - 200,000 194 36,685,584 5.03 6.83 347 75.85 631
200,001 - 225,000 189 40,284,914 5.53 6.60 355 77.69 634
225,001 - 250,000 198 47,145,296 6.47 6.53 355 79.21 636
250,001 - 275,000 174 45,636,944 6.26 6.48 356 80.86 648
275,001 - 300,000 188 54,081,107 7.42 6.47 356 80.81 639
300,001 - 325,000 140 43,891,268 6.02 6.35 356 81.74 655
325,001 - 350,000 119 40,246,098 5.52 6.39 355 81.55 644
350,001 - 375,000 118 42,646,156 5.85 6.45 357 80.76 644
375,001 - 400,000 101 39,174,271 5.38 6.40 357 80.99 646
400,001 - 425,000 79 32,629,068 4.48 6.55 357 82.38 647
425,001 - 450,000 59 25,928,010 3.56 6.26 354 83.87 664
450,001 - 475,000 48 22,224,302 3.05 6.35 357 83.15 651
475,001 - 500,000 45 22,034,115 3.02 6.68 357 81.62 642
500,001 - 750,000 160 94,687,973 13 6.27 357 81.14 656
750,001 - 1,000,000 14 11,319,597 1.55 6.04 357 78.83 653
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,264 728,631,292 100 6.80 339 81.95 646
Minimum: 14,983
Maximum: 874,816
Average: 223,233
4. Documentation Level
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
Stated Documentation 1,496 329,518,897 45.22 7.01 336 80.85 661
Full Documentation 1,385 301,994,770 41.45 6.65 342 82.58 630
Limited Documentation 383 97,117,625 13.33 6.57 341 83.71 641
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,264 728,631,292 100 6.80 339 81.95 646
5. Back Ratio
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Back Mortgage Principal Principal Interest Term Original FICO
Ratio Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
0.01 - 5.00 3 1,070,782 0.15 6.32 345 65.09 648
5.01 - 10.00 10 3,163,143 0.43 6.27 336 81.28 655
10.01 - 15.00 25 4,672,566 0.64 6.78 347 79.92 639
15.01 - 20.00 46 9,523,024 1.31 6.96 339 78.91 632
20.01 - 25.00 114 27,323,363 3.75 6.71 347 80.57 637
25.01 - 30.00 200 41,643,913 5.72 6.76 339 79.82 646
30.01 - 35.00 348 79,632,426 10.93 6.61 344 81.14 649
35.01 - 40.00 593 137,035,054 18.81 6.69 341 81.33 646
40.01 - 45.00 857 186,960,698 25.66 6.88 336 83.02 650
45.01 - 50.00 838 186,651,459 25.62 6.91 337 82.50 644
50.01 - 55.00 211 46,455,295 6.38 6.78 344 82.68 637
55.01 - 60.00 19 4,499,568 0.62 7.53 345 80.76 610
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 3,264 728,631,292 100 6.80 339 81.95 646
Minimum: 3.97
Maximum: 59.55
Weighted Average: 40.34
Xxxxxx Xxxxxxx
2005-WMC3
Non-Full Doc
Table of Contents
1. Credit Score
2. Range of Combined Original LTV Ratios (%)
3. Range of Cut-off Date Principal Balances ($)
4. Documentation Level
5. Back Ratio
1. Credit Score
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
500 - 524 32 6,871,112 1.25 8.12 355 72.10 514
525 - 549 44 9,603,752 1.75 7.76 357 70.72 538
550 - 574 90 20,733,045 3.78 7.26 355 77.37 562
575 - 599 152 38,084,188 6.94 6.98 352 77.36 589
600 - 624 342 76,310,808 13.91 7.06 342 81.55 613
625 - 649 541 106,263,802 19.36 7.01 335 82.06 638
650 - 674 536 102,381,643 18.66 6.93 335 82.39 662
675 - 699 445 84,946,331 15.48 6.93 333 83.27 686
700 - 724 245 48,529,586 8.84 6.84 330 83.09 712
725 - 749 168 32,150,075 5.86 6.71 332 84.00 737
750 - 774 75 15,033,270 2.74 6.87 332 84.61 761
775 - 799 35 6,202,306 1.13 7.01 334 80.12 785
800 + 7 1,661,079 0.3 6.33 333 86.03 810
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100.00 6.99 338 81.67 655
Non-Zero Minimum: 500
Maximum: 821
Non-Zero Weighted Average: 655
2. Range of Combined Original LTV Ratios (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
15.01 - 20.00 1 54,822 0.01 7.13 356 18.03 526
25.01 - 30.00 2 224,528 0.04 7.84 357 28.76 605
35.01 - 40.00 9 1,292,781 0.24 6.46 357 38.61 658
40.01 - 45.00 14 2,300,344 0.42 6.46 340 43.02 638
45.01 - 50.00 19 3,956,394 0.72 7.16 357 48.20 599
50.01 - 55.00 21 3,758,839 0.68 6.64 356 53.01 612
55.01 - 60.00 27 7,141,449 1.3 6.69 357 58.07 617
60.01 - 65.00 38 9,777,042 1.78 6.82 357 62.77 600
65.01 - 70.00 71 19,019,451 3.47 6.71 355 68.25 622
70.01 - 75.00 121 34,138,037 6.22 6.81 355 74.00 613
75.01 - 80.00 1,112 291,920,769 53.2 6.49 356 79.80 666
80.01 - 85.00 141 41,419,798 7.55 6.72 356 84.17 635
85.01 - 90.00 216 57,810,048 10.53 6.89 348 89.57 652
90.01 - 95.00 145 24,453,490 4.46 7.63 329 94.66 652
95.01 - 100.00 775 51,503,207 9.39 10.12 180 99.97 675
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.99 338 81.67 655
Minimum: 18.03
Maximum: 100.00
Weighted Average: 81.67
3. Range of Cut-off Date Principal Balances ($)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Cut-off Date Mortgage Principal Principal Interest Term Original FICO
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
1 - 25,000 70 1,451,064 0.26 10.32 178 98.79 662
25,001 - 50,000 255 9,692,744 1.77 10.20 185 97.83 672
50,001 - 75,000 345 21,589,087 3.93 9.85 203 95.84 671
75,001 - 100,000 240 20,931,796 3.81 8.92 248 91.04 661
100,001 - 125,000 181 20,385,789 3.71 8.05 295 85.99 659
125,001 - 150,000 158 21,717,947 3.96 7.53 319 81.47 648
150,001 - 175,000 128 20,887,427 3.81 7.17 342 78.05 644
175,001 - 200,000 152 28,684,801 5.23 6.92 348 77.47 649
200,001 - 225,000 145 30,904,981 5.63 6.81 354 78.46 647
225,001 - 250,000 132 31,405,081 5.72 6.66 355 79.13 652
250,001 - 275,000 135 35,336,270 6.44 6.59 355 80.51 659
275,001 - 300,000 142 40,900,759 7.45 6.58 357 79.70 648
300,001 - 325,000 106 33,221,673 6.05 6.57 352 81.10 661
325,001 - 350,000 82 27,743,195 5.06 6.52 357 80.34 647
350,001 - 375,000 93 33,639,181 6.13 6.61 357 81.24 654
375,001 - 400,000 70 27,245,209 4.96 6.67 357 80.81 651
400,001 - 425,000 50 20,620,583 3.76 6.56 357 80.81 652
425,001 - 450,000 45 19,771,773 3.6 6.26 353 82.93 669
450,001 - 475,000 26 12,004,677 2.19 6.40 357 82.05 656
475,001 - 500,000 37 18,086,304 3.3 6.60 357 80.40 651
500,001 - 750,000 112 66,037,432 12.03 6.41 357 79.69 658
750,001 - 1,000,000 8 6,513,226 1.19 6.38 357 76.69 646
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.99 338 81.67 655
Minimum: 14,973
Maximum: 874,816
Average: 202,349
4. Documentation Level
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
Stated Documentation 2,127 419,835,371 76.5 7.09 336 81.06 660
Limited Documentation 585 128,935,628 23.5 6.65 341 83.69 637
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.99 338 81.67 655
5. Back Ratio
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Back Mortgage Principal Principal Interest Term Original FICO
Ratio Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------- -------- ----------- --------- -------- --------- -------- --------
0.01 - 5.00 4 1,157,672 0.21 6.35 346 66.21 647
5.01 - 10.00 15 3,065,687 0.56 6.37 332 80.74 644
10.01 - 15.00 30 4,942,644 0.9 6.82 349 79.59 648
15.01 - 20.00 59 11,208,102 2.04 7.02 334 79.71 640
20.01 - 25.00 104 21,355,207 3.89 6.86 345 80.68 647
25.01 - 30.00 182 32,671,136 5.95 6.97 338 79.45 646
30.01 - 35.00 267 56,407,213 10.28 6.80 345 81.02 653
35.01 - 40.00 509 106,735,919 19.45 6.91 338 81.05 655
40.01 - 45.00 697 138,752,422 25.28 7.06 335 82.61 661
45.01 - 50.00 729 146,358,293 26.67 7.10 335 82.45 654
50.01 - 55.00 108 24,075,686 4.39 6.79 340 81.92 653
55.01 - 60.00 8 2,041,017 0.37 8.19 344 82.44 606
----------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.99 338 81.67 655
Minimum: 3.97
Maximum: 59.34
Weighted Average: 39.79
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
% of pool average LTV LTV above 80% LTV above 90% % full doc % owner occ ave wac % below 100k
--------- ----------- ------------- ------------- ---------- ----------- ------- ------------
A FICO below 600 22.49 79.47 40.88 10.41 66.07 97.56 7.291 8.28
FICO below 580 12.9 78.25 41.73 7.21 67.13 98.31 7.506 7.26
FICO below 560 8.02 76.63 38.64 3.91 68.42 98.3 7.654 8.17
% above 500k % IO ave DTI DTI > 45%
------------ ---- ------- ---------
A FICO below 600 6.95 6.8 40.5 37.7
FICO below 580 4.91 0 40.38 39.01
FICO below 560 2.41 0 40.29 39.44
% of pool average LTV FICO <600 FICO < 575 % full doc % owner occ ave wac % below 100k
--------- ----------- --------- ---------- ---------- ----------- ------- ------------
B LTV above 85% 28.58 93.91 18.86 8.29 52.57 93.93 7.871 25.9
LTV above 90% 15.69 97.52 14.92 4.41 50.94 96.51 8.747 43.79
LTV above 95% 8.44 99.94 7.56 0.8 38.18 98.17 9.926 73.16
% above 500k % IO ave DTI DTI > 45% LTV above 80% LTV above 90%
------------ ------ ------- --------- ------------- -------------
B LTV above 85% 7.92 19.28 41.08 35.78 100 54.91
LTV above 90% 2.33 12.6 41.45 35.83 100 100
LTV above 95% 0.63 0 41.22 34.65 100 100
% of pool average LTV FICO <600 FICO < 575 % full doc % owner occ ave wac % below 100k
--------- ----------- --------- ---------- ---------- ----------- ------- ------------
C DTI > 40% 58.7 82.96 22.78 11.71 46.27 95.18 6.96 10.29
DTI > 45% 33.65 82.87 25.2 13.33 48.05 94.13 6.979 10.3
DTI > 50% 8.33 83.46 26.7 10.72 68.21 91.49 6.899 9.33
% above 500k % IO ave DTI DTI > 45% LTV above 80% LTV above 90%
------------ ------ ------- --------- ------------- -------------
C DTI > 40% 10.77 22.52 46.25 57.32 38.68 17.66
DTI > 45% 11.34 15.66 48.92 100 39.89 16.71
DTI > 50% 13.37 8.21 52.68 100 47.1 18.6
D Non Owner Occ % of pool average LTV FICO <600 FICO < 575 % full doc % owner occ ave wac % below 100k
------------- --------- ----------- --------- ---------- ---------- ----------- ------- ------------
Stated Docs 43.89 78.86 7.13 1.09 0 0 7.204 11.04
Loans below 100k 11.63 86.23 19.16 7.28 47.87 0 8.153 100
IO Loans 7.35 84.97 9.29 0 59.46 0 6.457 4.7
D Non Owner Occ % above 500k % IO ave DTI DTI > 45% LTV > 80% LTV > 90%
------------- ------------ ---- ------- --------- --------- ---------
Stated Docs 8.99 4.82 37.99 36.45 35.14 5.96
Loans below 100k 0 2.97 38.39 33.95 64.8 27.85
IO Loans 0 100 41.97 37.07 42.58 28.81
E When do IOs reset
Months to next reset Count Balance ($) % of Balance WAC Remaining Term WA LTV WA FICO
-------------------- ----- ----------- ------------ ----- -------------- ------ -------
53 1 516,000 0.2 6.5 353 80 582
55 5 2,187,734 0.86 6.753 355 80.85 645
56 175 55,117,515 21.7 6.188 356 82.37 662
57 615 195,841,077 77.11 6.041 357 81.88 669
58 1 318,000 0.13 5.99 358 81.75 696
-------------------- ----- ----------- ------------ ----- -------------- ------ -------
Total: 797 253,980,326 100 6.08 357 81.97 667
G Summary of pool per NC grades
Credit Grade Count Balance ($) % of Balance WAC Remaining Term WA LTV WA FICO
----------------------------------- ----- ----------- ------------ ----- -------------- ------ -------
A 1,611 280,457,366 28.43 7.075 331 83.51 627
AA 2,339 479,077,996 48.56 6.621 339 83 685
A- 496 90,386,188 9.16 6.968 344 81.37 593
B 300 60,276,375 6.11 7.628 355 75.28 543
B+ 337 68,293,643 6.92 7.234 355 80.74 569
C 45 8,165,330 0.83 7.93 357 71.12 544
----------------------------------- ----- ----------- ------------ ----- -------------- ------ -------
Total: 5,128 986,656,898 100 6.897 339 82.27 642
H What are top 10 cities and average strats for each
Top 10 Cities of Overall Pool Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------- ----- ----------- ------------ ----- -------------- ------ -------
Los Angeles CA 140 38,403,923 3.89 6.75 344 79.64 647
Las Vegas NV 76 13,304,652 1.35 7.016 338 83.93 648
San Diego CA 35 9,382,162 0.95 6.436 342 80.44 640
Bakersfield CA 67 8,754,049 0.89 7.156 335 84.43 627
Fontana CA 39 8,372,360 0.85 6.766 346 81.39 635
Sacramento CA 50 8,334,920 0.84 6.922 336 83.88 640
Moreno Vall CA 41 8,151,820 0.83 6.746 344 82.78 626
Corona CA 29 7,743,715 0.78 6.595 333 81.83 631
Miami FL 52 7,684,121 0.78 7.579 337 80.34 628
Long Beach CA 35 7,490,502 0.76 7.138 340 82.15 641
Other 4,564 869,034,675 88.08 6.901 339 82.37 643
----------------------------------- ----- ----------- ------------ ----- -------------- ------ -------
Total: 5,128 986,656,898 100 6.897 339 82.27 642
I What % of pool are LTV above 90% and stated doc, IO, FICO below 600 or NOO?
LTV > 90 Loans Balance ($) % of Balance Rate (%) % stated Doctype % IO Loans % non-owner Occupied % Fico Less Than 600
-------- ----- ----------- ------------ -------- ---------------- ---------- -------------------- --------------------
LTV > 90 1,695 154,837,819 15.69 8.747 35.42 12.6 3.49 14.92
-------------------------------------------------------------------------
J What is max LTV for stated income and minimum FICO for stated income?
Max LTV for Stated Income Documentation: 100.00
Min Fico for Stated Income Documentation: 502
-------------------------------------------------------------------------
-------------------------------------------------------------------------
K What is min FICO for loans above 90% LTV
Min Fico for ltv greater than 90: 500
-------------------------------------------------------------------------
L Seasoning hisotry - any over 3m?
M For loans below 100k do for D above but for top 5 MSAs
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Deal Size
-----------------------------------
California Breakdown # Loans Balance % WA Loan Balance
-------------------- ----------- ----------- ------ ---------------
CA North 504 132,211,944 23.42% 262,325
CA South 1,841 432,407,885 76.58% 234,877
-------------------- ----------- ----------- ------ ---------------
2,345 564,619,829 100.00% 240,776
Weighted Average Collateral Characteristics
---------------------------------------------------------------------------------
California Breakdown WAC FICO %LTV Primary SF/PUD Refi Cachout Full Doc Interest only
-------------------- ----- ---- ----- ------- ------ ------------ -------- -------------
CA North 6.601 650 83.32 95.80 90.01 36.46 46.92 49.01
CA South 6.758 647 81.23 95.67 81.06 40.37 38.48 32.06
-------------------- ----- ---- ----- ------- ------ ------------ -------- -------------
6.721 648 81.72 95.70 83.15 39.46 40.45 36.03
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Deal Name 2005-WMC3
ARM FRM Total/Avg.
------------------------------------------------------------------------------
Percentage Bal. 80.65% 19.35% 100.00%
Deal Balance 795,784,013 190,872,885 986,656,897
All-in Severity 0.00% 0.00% 0.00%
WAM 357 268 339
WALA 3 3 3
WAC 6.56% 8.30% 6.9000%
Lag 0 0 0
CLTV 80.88% 88.07% 82.27%
Loan Balance 251,751 97,038 192,406
Non-Full Doc % 56.12% 53.55% 55.62%
DTI 40.29% 40.59% 40.35%
IO % 31.92% 0.00% 25.74%
Second Lien % 0.00% 46.15% 8.93%
Simultaneous Seconds % 45.54% 7.72% 38.23%
FICO
----------------------
1st Quartile 566.6 585.7 568.81
2nd Quartile 620.0 633.9 622.82
3rd Quartile 657.3 667.7 659.53
4th Quartile 715.5 721.5 716.80
Property Type
----------------------
Single Family % 71.21% 72.22% 71.41%
PUD % 13.09% 12.11% 12.90%
2-4 Unit % 7.10% 9.09% 7.48%
MH % 0.53% 0.31% 0.49%
Occupancy Type
----------------------
Owner Occupied 94.89% 94.15% 94.75%
2nd Home 1.47% 2.03% 1.58%
Investor Prop. 3.64% 3.82% 3.67%
Loan Purpose
----------------------
Purchase 46.98% 47.52% 47.08%
Cash-Out 38.30% 38.12% 38.26%
Rate-Reduction 14.72% 14.36% 14.65%
------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Aggregate Loans
FICO Avg LTV Max LTV % Full Doc % Owner Occ % IO WAC MARGIN Balance Pct Balance
N/A 0.000 0.000 0.00 0.00 0.00 0.00 0.000 -- 0.00
500-519 76.03 100.00 75.38 99.47 0.00 7.919 6.546 18,140,551.55 1.84
520-539 75.02 100.00 64.78 96.21 0.00 7.854 6.612 21,122,410.81 2.14
540-559 77.76 100.00 67.19 98.87 0.00 7.427 6.469 39,877,664.68 4.04
560-579 80.91 100.00 65.01 98.34 0.00 7.263 6.402 48,097,295.09 4.88
580-599 81.11 100.00 64.65 96.54 15.95 7.003 6.168 94,683,425.38 9.60
600-619 82.77 100.00 53.94 96.27 21.74 6.921 6.097 124,120,698.10 12.58
620-639 82.22 100.00 41.58 96.05 28.23 6.925 6.036 136,778,137.26 13.86
640-659 83.02 100.00 35.55 96.47 27.49 6.741 5.865 137,529,643.54 13.94
660-679 83.28 100.00 31.54 92.58 38.71 6.761 5.939 111,688,906.56 11.32
680-699 83.63 100.00 32.10 90.94 33.46 6.755 5.914 99,748,116.77 10.11
700-719 83.23 100.00 36.55 94.72 32.88 6.649 5.960 63,085,098.85 6.39
720-739 84.13 100.00 26.49 93.00 44.19 6.562 5.737 38,661,299.52 3.92
740-759 84.41 100.00 29.59 86.26 33.31 6.619 5.931 26,773,232.59 2.71
760-779 83.55 100.00 36.86 87.15 42.46 6.570 5.608 15,865,496.59 1.61
780-799 81.80 100.00 41.18 71.03 44.86 6.790 5.817 7,822,125.29 0.79
800-819 85.80 100.00 46.46 91.09 67.91 6.232 5.795 2,155,946.09 0.22
820-839 84 100.00 0.00 100 80.02 6.691 7.125 506,849.17 0.051
IO Loans
FICO Avg LTV Max LTV % Full Doc % Owner Occ WAC MARGIN Balance Pct Balance
500-519 0 0 0 0 0 0 -- 0.00
520-539 0 0 0 0 0 0 -- 0.00
540-559 0 0 0 0 0 0 -- 0.00
560-579 0 0 0 0 0 0 -- 0.00
580-599 82.49 95.00 74.58 97.66 6.393 6.086 15,099,921.15 5.95
600-619 83.22 95.00 74.88 100.00 6.241 5.854 26,981,808.71 10.62
620-639 80.85 95.00 63.10 98.65 6.194 5.801 38,614,172.03 15.20
640-659 82.44 95.00 55.05 100.00 5.954 5.651 37,811,822.08 14.89
660-679 82.47 95.00 31.74 99.69 6.096 5.857 43,239,512.35 17.03
680-699 81.22 95.00 37.96 97.10 6.102 5.835 33,372,777.66 13.14
700-719 81.68 95.00 46.56 98.62 5.988 5.872 20,741,910.72 8.17
720-739 81.69 95.00 31.80 97.73 5.848 5.584 17,085,071.28 6.73
740-759 82.67 95.00 30.77 94.27 5.974 5.826 8,917,894.77 3.51
760-779 81.36 95.00 47.29 96.69 5.809 5.492 6,736,527.26 2.65
780-799 80.41 84.99 53.75 87.80 5.851 5.681 3,509,308.00 1.38
800-819 83.88 89.86 44.26 100.00 5.670 5.846 1,464,000.00 0.58
820-839 80.00 80.00 0.00 100.00 5.99 7.125 405,600.00 0.16
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they
have an interest in the type of security described herein. It has been
prepared solely for information purposes and is not an offer to buy or sell
or a solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information
that Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable.
Xxxxxx Xxxxxxx makes no representation or warranty with respect to the
accuracy or completeness of the information, or with respect to the terms of
any future offer of securities conforming to the terms hereof. Any such offer
of securities would be made pursuant to a definitive Prospectus or Private
Placement Memorandum, as the case may be, prepared by the issuer which could
contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its
entirety by such Prospectus or Private Placement Memorandum. Such Prospectus
or Private Placement Memorandum will contain all material information in
respect of any securities offered thereby and any decision to invest in such
securities should be made solely in reliance upon such Prospectus or Private
Placement Memorandum. The information contained here in may be based on
certain assumptions regarding market conditions and other matters and is
therefore subject to change. We make no representations regarding the
reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied on for such purposes. No representation is made
that any returns indicated will be achieved. Changes to the assumptions may
have a material impact on any returns detailed. Xxxxxx Xxxxxxx disclaims any
and all liability relating to this information, including without limitation
any express or implied representations or warranties for, statements
contained in, and omissions from the information contained here in.
Additional information is available upon request. Xxxxxx Xxxxxxx and others
associated with it may have positions in, and may effect transaction in,
securities and instruments of issuers mentioned herein and may also perform
or seek to perform investment banking services for the issuers of such
securities and instruments. Past performance is not necessarily indicative of
future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding
such assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting
as agent for the issuer or its affiliates in connection with the proposed
transaction. To our readers worldwide: In addition, please note that this
publication has been issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx
International Limited, a member of The Securities and Futures Authority, and
by Xxxxxx Xxxxxxx Japan Ltd. We recommend that such investors obtain the
advice of their Xxxxxx Xxxxxxx, Xxxxxx Xxxxxxx International or Xxxxxx
Xxxxxxx Japan Ltd. representative about the investments concerned. NOT FOR
DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
Group 2 IOs
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 401
Aggregate Principal Balance ($): 157,069,380
Weighted Average Current Mortgage Rate (%): 6.082
Non-Zero Weighted Average Margin (%): 5.819
Non-Zero Weighted Average Maximum Rate (%): 12.577
Weighted Average Stated Original Term (months): 360
Weighted Average Stated Remaining Term (months): 357
Weighted Average Combined Original LTV (%): 82.34
% First Liens: 100.00
% Owner Occupied: 99.37
% Purchase: 48.45
% Full Doc: 52.59
Non-Zero Weighted Average Credit Score: 657
2. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Interest Only ARM - 5 Year/6 Month 47 17,915,000 11.41 5.989 357 81.33 649
Interest Only ARM - 2 Year/6 Month 353 138,434,380 88.14 6.089 357 82.49 658
Interest Only ARM - 3 Year/6 Month 1 720,000 0.46 6.990 355 80.00 669
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
3. Range of Gross Interest Rates (%)
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
4.000 - 4.999 11 5,415,254 3.45 4.990 357 80.59 689
5.000 - 5.999 193 79,466,024 50.59 5.694 357 81.33 665
6.000 - 6.999 170 63,216,127 40.25 6.473 357 83.00 648
7.000 - 7.999 26 8,598,477 5.47 7.387 357 87.69 630
8.000 - 8.999 1 373,498 0.24 8.175 357 90.00 612
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 4.990
Maximum: 8.175
Weighted Average: 6.082
4. Range of Cut-off Date Principal Balances ($)
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
75,001 - 100,000 3 272,600 0.17 6.357 357 86.45 619
100,001 - 125,000 7 822,900 0.52 6.380 357 80.04 615
125,001 - 150,000 12 1,619,983 1.03 6.266 357 80.61 619
150,001 - 175,000 19 3,111,459 1.98 6.593 357 81.95 609
175,001 - 200,000 9 1,669,005 1.06 5.949 357 84.08 618
200,001 - 225,000 15 3,205,871 2.04 6.275 357 82.30 611
225,001 - 250,000 21 4,994,057 3.18 6.219 357 80.19 612
250,001 - 275,000 17 4,447,450 2.83 5.939 357 79.40 607
275,001 - 300,000 13 3,772,019 2.40 6.202 357 84.18 614
300,001 - 325,000 11 3,457,291 2.20 6.156 357 85.10 609
325,001 - 350,000 9 3,009,248 1.92 6.552 357 85.37 604
350,001 - 375,000 37 13,470,112 8.58 6.129 357 79.86 656
375,001 - 400,000 38 14,709,839 9.37 6.092 357 82.15 660
400,001 - 425,000 33 13,620,458 8.67 6.098 357 83.13 668
425,001 - 450,000 33 14,518,930 9.24 6.073 357 83.96 677
450,001 - 475,000 22 10,182,753 6.48 6.103 357 82.02 663
475,001 - 500,000 20 9,741,842 6.20 6.451 357 83.52 659
500,001 - 750,000 75 44,869,483 28.57 5.915 357 81.89 675
750,001 - 1,000,000 7 5,574,081 3.55 5.725 357 84.98 672
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 77,600
Maximum: 869,611
Average: 391,694
5. Stated Original Term (months)
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
360 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 360
Maximum: 360
Weighted Average: 360
6. Range of Stated Remaining Terms (months)
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
349 - 360 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 353
Maximum: 357
Weighted Average: 357
7. Range of Combined Original LTV Ratios (%)
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
45.01 - 50.00 1 372,000 0.24 6.250 357 49.53 633
50.01 - 55.00 1 245,000 0.16 6.000 357 51.58 622
55.01 - 60.00 3 688,000 0.44 6.177 357 57.63 607
60.01 - 65.00 2 749,713 0.48 5.859 357 61.53 629
65.01 - 70.00 7 2,840,897 1.81 6.005 357 67.66 629
70.01 - 75.00 15 5,661,835 3.60 5.697 357 74.36 638
75.01 - 80.00 241 94,072,508 59.89 5.995 357 79.87 662
80.01 - 85.00 35 13,659,515 8.70 6.131 357 83.97 653
85.01 - 90.00 62 26,472,650 16.85 6.225 357 89.70 655
90.01 - 95.00 34 12,307,263 7.84 6.585 357 94.93 649
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 49.53
Maximum: 95.00
Weighted Average: 82.34
8. Range of Gross Margins (%)
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
4.001 - 4.500 4 1,929,397 1.23 5.255 357 75.43 673
4.501 - 5.000 61 25,627,499 16.32 5.676 357 80.48 667
5.001 - 5.500 95 37,184,321 23.67 5.844 357 80.97 659
5.501 - 6.000 87 32,877,367 20.93 6.066 357 81.77 652
6.001 - 6.500 92 37,651,522 23.97 6.279 357 83.54 657
6.501 - 7.000 40 15,848,451 10.09 6.646 356 84.94 648
7.001 - 7.500 13 3,636,675 2.32 6.748 357 90.20 657
7.501 - 8.000 8 1,938,898 1.23 7.277 357 88.24 638
8.001 - 8.500 1 375,250 0.24 6.750 356 95.00 673
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.375
Maximum: 8.125
Non-Zero Weighted Average: 5.819
9. Range of Minimum Mortgage Rates (%)
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
<=5.000 13 6,466,674 4.12 4.992 357 79.98 689
5.001 - 5.500 56 24,474,521 15.58 5.390 357 81.79 676
5.501 - 6.000 143 56,953,495 36.26 5.854 357 81.18 661
6.001 - 6.500 96 35,628,769 22.68 6.306 357 82.13 652
6.501 - 7.000 66 24,573,946 15.65 6.773 357 84.56 639
7.001 - 7.500 18 6,304,528 4.01 7.259 357 86.10 637
7.501 - 8.000 8 2,293,949 1.46 7.741 357 92.07 609
8.001 - 8.500 1 373,498 0.24 8.175 357 90.00 612
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.990
Maximum: 8.175
Non-Zero Weighted Average: 6.083
10. Range of Maximum Mortgage Rates (%)
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
<= 12.500 211 87,542,691 55.74 5.661 357 81.26 667
12.501 - 13.000 101 38,140,689 24.28 6.329 357 82.16 650
13.001 - 13.500 62 22,414,026 14.27 6.770 357 84.70 640
13.501 - 14.000 18 6,304,528 4.01 7.259 357 86.10 637
14.001 - 14.500 8 2,293,949 1.46 7.741 357 92.07 609
14.501 - 15.000 1 373,498 0.24 8.175 357 90.00 612
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 11.490
Maximum: 14.675
Non-Zero Weighted Average: 12.577
11. Initial Periodic Cap (%)
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
1 5 1,387,300 0.88 6.093 356 79.09 632
1.5 4 1,179,620 0.75 6.750 357 84.17 678
2 1 357,000 0.23 6.925 356 84.00 613
3 345 136,449,060 86.87 6.086 357 82.56 658
5 46 17,696,400 11.27 5.992 357 80.80 648
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 1.000
Maximum: 5.000
Non-Zero Weighted Average: 3.194
12. Subsequent Periodic Cap (%)
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
1 400 156,712,380 99.77 6.080 357 82.34 657
2 1 357,000 0.23 6.925 356 84.00 613
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 1.000
Maximum: 2.000
Non-Zero Weighted Average: 1.002
13. Next Rate Adjustment Dates
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Nov-06 1 750,000 0.48 6.750 355 83.80 627
Dec-06 78 30,046,361 19.13 6.187 356 83.66 652
Jan-07 274 107,638,020 68.53 6.057 357 82.15 660
Nov-07 1 720,000 0.46 6.990 355 80.00 669
Sep-09 1 516,000 0.33 6.500 353 80.00 582
Dec-09 12 4,360,467 2.78 6.159 356 80.10 636
Jan-10 34 13,038,532 8.30 5.912 357 81.79 656
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
14. Geographic Distribution of Mortgaged Properties
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
California 310 130,569,290 83.13 6.026 357 82.26 660
Maryland 17 4,985,244 3.17 6.400 357 84.06 641
Florida 14 4,384,255 2.79 6.341 357 84.23 649
New York 7 3,221,121 2.05 6.049 357 81.75 708
Washington 6 1,736,800 1.11 5.901 357 80.83 641
Nevada 5 1,734,220 1.10 6.310 357 79.96 641
Arizona 8 1,462,600 0.93 6.864 357 87.52 608
Virginia 4 1,239,670 0.79 6.314 357 78.88 607
Colorado 5 1,180,677 0.75 6.300 357 83.74 662
New Jersey 2 1,072,000 0.68 6.549 357 76.33 624
Illinois 4 990,900 0.63 6.065 356 76.32 639
Connecticut 1 636,000 0.40 6.775 357 80.00 654
Massachusetts 2 614,000 0.39 6.226 356 84.90 627
Texas 4 569,100 0.36 6.504 357 81.34 606
North Carolina 2 497,600 0.32 6.420 357 80.00 598
Other 10 2,175,903 1.39 6.791 357 87.58 605
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Number of States/District of Columbia Represented: 24
15. Occupancy
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Primary 396 156,073,547 99.37 6.079 357 82.31 657
Second Home 5 995,833 0.63 6.580 357 87.14 685
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
16. Property Type
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Single Family Residence 301 118,468,142 75.42 6.089 357 82.21 658
Planned Unit Development 55 21,400,622 13.62 5.979 357 83.04 660
Condominium 34 11,618,467 7.40 6.152 357 82.52 641
2-4 Family 11 5,582,150 3.55 6.179 357 82.26 650
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
17. Loan Purpose
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 183 76,093,380 48.45 6.005 357 81.32 672
Refinance - Cashout 149 57,325,069 36.50 6.150 357 84.15 645
Refinance - Rate Term 69 23,650,931 15.06 6.165 357 81.27 638
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
18. Documentation Level
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Full Documentation 228 82,602,844 52.59 6.042 357 82.87 643
Stated Documentation 96 43,607,967 27.76 6.275 357 80.96 688
Limited Documentation 77 30,858,570 19.65 5.916 357 82.90 651
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
19. Credit Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
575 - 599 50 15,099,921 9.61 6.393 357 82.49 590
600 - 624 118 36,391,756 23.17 6.225 357 82.50 613
625 - 649 71 27,739,102 17.66 6.072 357 81.18 635
650 - 674 56 27,449,813 17.48 6.066 357 82.67 663
675 - 699 44 19,410,946 12.36 6.048 357 82.77 687
700 - 724 26 12,260,077 7.81 5.863 357 80.96 712
725 - 749 19 9,621,908 6.13 5.753 357 82.90 736
750 - 774 9 5,149,708 3.28 5.773 357 85.97 761
775 - 799 6 2,964,550 1.89 5.888 357 81.27 782
800 + 2 981,600 0.62 5.556 356 85.79 810
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 580
Maximum: 821
Non-Zero Weighted Average: 657
20. Prepayment Penalty Term
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 62 23,534,447 14.98 6.342 357 81.40 665
12 17 7,472,793 4.76 6.334 357 81.75 657
24 291 114,302,163 72.77 6.010 357 82.80 656
36 31 11,759,977 7.49 6.098 356 80.15 651
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 24
21. Lien Position
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
1st Lien 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
22. Interest Only Term
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
60 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 401 157,069,380 100.00 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
-------------------- ---------- --------------- -------------- ----------------- ------------- -------
Product Type WA IO Term Number of Loans Loan Balance Avg. Loan Balance % of Total IO WA FICO
2/28 ARM 24 Month IO na
2/28 ARM 60 Month IO na 696 222,787,469.00 320,097.00 87.72 668
3/27 ARM 36 Month IO na
3/27 ARM 60 Month IO na 1 720,000.00 720,000.00 0.28 669
5/25 ARM 60 Month IO na 100 30,472,858.00 304,729.00 12.00 663
30 Fixed
15 Fixed
Other
-------------------- ---------- --------------- -------------- ----------------- ------------- -------
Totals: 797 253,980,326.00 318,670.00 100.00 667
-------------------- ---------- --------------- -------------- ----------------- ------------- -------
-------------------- ---------------- ---------- ------ ---------- --------------
Product Type % Owner Occupied % Purchase WA DTI % Full Doc % Second Liens
2/28 ARM 24 Month IO
2/28 ARM 60 Month IO 98.51 55.17 39.06 48.74 0
3/27 ARM 36 Month IO
3/27 ARM 60 Month IO 100.00 100.00 24.73 0.00 0
5/25 ARM 60 Month IO 98.37 41.32 40.32 59.10 0
30 Fixed
15 Fixed
Other
-------------------- ---------------- ---------- ------ ---------- --------------
Totals: 98.50 53.64 39.17 49.84 0
-------------------- ---------------- ---------- ------ ---------- --------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
All records
1. FICO Score
% of
Mortgage
Pool by
Aggregate Aggregate Weighted
Number Cut-off Cut-off Average
of Date Date Combined
FICO Mortgage Principal Principal Original
Score Loans Balance ($) Balance LTV
----------------------- -------- ----------- --------- --------
481 - 500 10 1,089,718 0.11 73.20
501 - 520 86 17,904,677 1.81 76.30
521 - 540 114 21,465,416 2.18 75.01
541 - 560 227 40,755,749 4.13 77.87
561 - 580 242 51,876,424 5.26 80.93
581 - 600 524 94,178,225 9.55 81.10
601 - 620 639 125,127,276 12.68 82.66
621 - 640 711 135,297,307 13.71 82.42
641 - 660 693 137,323,541 13.92 83.07
661 - 680 615 114,697,674 11.62 83.25
681 - 700 494 95,754,355 9.70 83.67
701 - 720 296 60,054,367 6.09 83.14
721 - 740 219 41,255,168 4.18 84.08
741 - 760 121 24,091,758 2.44 84.62
761 - 780 90 17,034,365 1.73 83.39
781 - 800 33 6,088,084 0.62 81.42
801 - 820 12 2,155,946 0.22 85.80
821 - 840 2 506,849 0.05 84.00
Total: 5,128 986,656,898 100.00 82.27
Minimum: 500
Maximum: 821
Weighted Average: 642.2
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
All records
Table of Contents
1. Range of Gross Interest Rates (%)
2. Lien Position
3. Range of Cut-off Date Principal Balances ($)
4. Range of Original Combined LTV Ratios (%)
5. Range of Current Combined LTV Ratios (%)
6. Range of Credit Scores
7. Documentation Level
8. Loan Purpose
9. Occupancy Type
10. Property Type
11. Geographic Distribution of Mortgaged Properties
12. Range of Remaining Terms (Months)
13. Product Types
14. Subsequent Periodic Cap (%)
15. Range of Maximum Loan Rates (%)
16. Range of Gross Margins (%)
1. Range of Gross Interest Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Range of Gross Mortgage Balance Principal Rate Term LTV FICO Full
Interest Rates (%) Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
4.000 - 4.999 33 10,617,627 1.08 4.990 357 80.85 685.8 52.22
5.000 - 5.999 843 251,675,165 25.51 5.718 356 79.72 662.5 53.17
6.000 - 6.999 1,647 412,630,028 41.82 6.550 355 80.68 645.8 39.62
7.000 - 7.999 869 177,057,959 17.95 7.488 355 81.03 609.6 43.40
8.000 - 8.999 456 54,625,203 5.54 8.486 311 87.62 609.4 56.98
9.000 - 9.999 610 41,100,774 4.17 9.728 204 96.56 657.2 36.56
10.000 - 10.999 513 31,876,164 3.23 10.640 178 99.09 643 30.54
11.000 - 11.999 145 6,706,286 0.68 11.508 177 98.94 629.5 31.87
12.000 - 12.999 11 342,431 0.03 12.766 182 98.85 637.5 44.14
13.000 - 13.999 1 25,260 0.00 13.125 176 100.00 608 100.00
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Range of Gross Owner Fixed Average
Interest Rates (%) Occ Rate DTI
---------------------------------- ------ ------ --------
4.000 - 4.999 95.75 0.00 33.69
5.000 - 5.999 97.75 5.90 40.02
6.000 - 6.999 94.46 13.49 40.57
7.000 - 7.999 90.18 15.12 40.12
8.000 - 8.999 92.97 34.93 40.56
9.000 - 9.999 97.66 86.92 41.14
10.000 - 10.999 98.04 99.48 41.98
11.000 - 11.999 99.54 100.00 41.45
12.000 - 12.999 100.00 100.00 44.38
13.000 - 13.999 100.00 100.00 23.26
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
Minimum: 4.990
Maximum: 13.125
Weighted Average: 6.897
2. Lien Position
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Mortgage Balance Principal Rate Term LTV FICO Full
Lien Position Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
1st Lien 3,682 898,573,037 91.07 6.590 355 80.60 640 45.16
2nd Lien 1,446 88,083,860 8.93 10.030 177 99.30 665.3 36.48
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Owner Fixed Average
Lien Position Occ Rate DTI
---------------------------------- ------ ------ --------
1st Lien 94.42 11.44 40.26
2nd Lien 98.02 100.00 41.24
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
3. Range of Cut-off Date Principal Balances ($)
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Range of Cut-off Date Mortgage Balance Principal Rate Term LTV FICO Full
Principal Balances ($) Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
0.01 - 25,000.00 158 3,174,502 0.32 10.363 177 99.22 641 54.29
25,000.01 - 50,000.00 507 19,257,377 1.95 9.957 195 96.89 651.6 49.67
50,000.01 - 75,000.00 600 37,506,584 3.80 9.385 223 93.57 654.3 42.44
75,000.01 - 100,000.00 470 41,196,142 4.18 8.468 272 88.80 643.9 49.19
100,000.01 - 125,000.00 373 41,912,627 4.25 7.749 312 84.42 636.9 51.36
125,000.01 - 150,000.00 362 49,731,481 5.04 7.219 329 81.39 632.2 56.33
150,000.01 - 175,000.00 308 50,154,980 5.08 7.074 346 80.50 623.9 58.35
175,000.01 - 200,000.00 316 59,623,446 6.04 6.862 350 78.61 628.6 51.89
200,000.01 - 225,000.00 273 58,196,498 5.90 6.680 355 79.02 632.8 46.90
225,000.01 - 250,000.00 265 63,029,577 6.39 6.567 355 79.76 636 50.17
250,000.01 - 275,000.00 225 58,931,251 5.97 6.529 356 81.09 644.8 40.04
275,000.01 - 300,000.00 238 68,388,095 6.93 6.529 356 80.59 636.8 40.19
300,000.01 - 325,000.00 175 54,784,738 5.55 6.420 354 81.99 652 39.36
325,000.01 - 350,000.00 136 45,999,615 4.66 6.448 355 81.77 640.9 39.69
350,000.01 - 375,000.00 140 50,597,594 5.13 6.519 357 81.56 646.6 33.52
375,000.01 - 400,000.00 120 46,584,145 4.72 6.496 357 81.48 641.8 41.51
400,000.01 - 425,000.00 90 37,146,834 3.76 6.557 357 82.71 644.6 44.49
425,000.01 - 450,000.00 70 30,748,775 3.12 6.308 354 83.91 661.6 35.70
450,000.01 - 475,000.00 54 25,015,832 2.54 6.436 357 83.33 645.2 52.01
475,000.01 - 500,000.00 52 25,487,875 2.58 6.701 357 81.32 640 29.04
500,000.01 - 525,000.00 30 15,404,914 1.56 6.384 357 81.49 632.3 36.62
525,000.01 - 550,000.00 36 19,336,224 1.96 6.450 357 81.03 647.7 33.37
550,000.01 - 575,000.00 21 11,814,474 1.20 6.219 357 79.71 644.5 33.30
575,000.01 - 600,000.00 26 15,298,778 1.55 6.167 357 80.73 675.8 42.43
600,000.01 >= 83 57,334,540 5.81 6.223 357 80.48 660.7 42.07
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Range of Cut-off Date Owner Fixed Average
Principal Balances ($) Occ Rate DTI
---------------------------------- ------ ------ --------
0.01 - 25,000.00 97.16 100.00 38.76
25,000.01 - 50,000.00 93.94 92.43 39.86
50,000.01 - 75,000.00 94.71 79.53 40.06
75,000.01 - 100,000.00 92.98 60.62 40.02
100,000.01 - 125,000.00 90.63 39.71 38.82
125,000.01 - 150,000.00 92.05 28.12 39.44
150,000.01 - 175,000.00 93.33 17.54 39.82
175,000.01 - 200,000.00 96.86 17.51 40.00
200,000.01 - 225,000.00 91.20 13.11 40.12
225,000.01 - 250,000.00 96.92 13.16 41.69
250,000.01 - 275,000.00 93.87 12.34 40.40
275,000.01 - 300,000.00 95.86 7.97 40.28
300,000.01 - 325,000.00 95.50 7.46 41.22
325,000.01 - 350,000.00 97.79 11.07 41.48
350,000.01 - 375,000.00 97.14 5.02 41.52
375,000.01 - 400,000.00 94.96 11.57 41.03
400,000.01 - 425,000.00 91.04 10.07 42.02
425,000.01 - 450,000.00 92.85 9.92 41.30
450,000.01 - 475,000.00 92.55 7.49 38.68
475,000.01 - 500,000.00 98.07 7.65 40.90
500,000.01 - 525,000.00 100.00 3.40 40.50
525,000.01 - 550,000.00 100.00 5.53 43.63
550,000.01 - 575,000.00 100.00 18.84 45.18
575,000.01 - 600,000.00 100.00 11.47 38.48
600,000.01 >= 93.11 5.73 36.49
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
Minimum: 13,185
Maximum: 874,816
Average: 192,406
4. Range of Original Combined LTV Ratios (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Range of Original Mortgage Balance Principal Rate Term LTV FICO Full
Combined LTV Ratios (%) Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
<= 30.00 4 329,232 0.03 7.622 357 24.58 598.9 15.15
30.01 - 40.00 15 1,896,170 0.19 6.737 357 37.96 631.5 31.82
40.01 - 50.00 54 9,149,042 0.93 6.812 348 46.32 615.7 31.61
50.01 - 60.00 105 20,660,899 2.09 6.704 355 56.09 599.9 47.24
60.01 - 70.00 219 50,361,817 5.10 6.685 354 66.39 607.5 42.82
70.01 - 80.00 2,186 533,857,105 54.11 6.427 356 79.12 650 38.92
80.01 - 90.00 850 215,564,814 21.85 6.804 353 87.35 628.4 53.97
90.01 - 100.00 1,695 154,837,819 15.69 8.747 257 97.52 653.4 50.94
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Range of Original Owner Fixed Average
Combined LTV Ratios (%) Occ Rate DTI
---------------------------------- ------ ------ --------
<= 30.00 53.02 21.21 29.24
30.01 - 40.00 100.00 30.56 36.91
40.01 - 50.00 84.41 34.88 37.44
50.01 - 60.00 94.07 26.05 37.41
60.01 - 70.00 91.64 24.19 38.35
70.01 - 80.00 96.42 8.33 40.47
80.01 - 90.00 90.58 14.12 40.18
90.01 - 100.00 96.51 61.05 41.45
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
Minimum: 12.99
Maximum: 100.00
Weighted Average: 82.27
5. Range of Current Combined LTV Ratios (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Range of Current Mortgage Balance Principal Rate Term LTV FICO Full
Combined LTV Ratios (%) Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
<= 30.00 4 329,232 0.03 7.622 357 24.58 598.9 15.15
30.01 - 40.00 16 2,008,846 0.20 6.710 357 38.08 626.6 30.04
40.01 - 50.00 53 9,036,365 0.92 6.819 348 46.40 616.6 32.01
50.01 - 60.00 106 20,714,110 2.10 6.702 355 56.10 600.2 47.38
60.01 - 70.00 223 51,040,395 5.17 6.692 354 66.45 607.9 42.57
70.01 - 80.00 2,183 533,586,600 54.08 6.426 356 79.13 650 38.95
80.01 - 90.00 849 215,355,305 21.83 6.804 353 87.37 628.6 53.89
90.01 - 100.00 1,694 154,586,045 15.67 8.753 257 97.53 653.2 51.03
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Range of Current Owner Fixed Average
Combined LTV Ratios (%) Occ Rate DTI
---------------------------------- ------ ------ --------
<= 30.00 53.02 21.21 29.24
30.01 - 40.00 100.00 28.85 36.97
40.01 - 50.00 84.22 35.31 37.43
50.01 - 60.00 94.08 26.24 37.37
60.01 - 70.00 91.55 24.11 38.33
70.01 - 80.00 96.44 8.31 40.47
80.01 - 90.00 90.57 14.14 40.21
90.01 - 100.00 96.51 61.15 41.44
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
Minimum: 12.96
Maximum: 99.99
Weighted Average: 82.11
6. Range of Credit Scores
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Mortgage Balance Principal Rate Term LTV FICO Full
Range of Credit Scores Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
500 - 525 132 25,771,003 2.61 7.949 353 76.40 513.4 73.34
526 - 550 156 28,192,336 2.86 7.704 357 74.52 539.2 64.83
551 - 575 309 62,471,726 6.33 7.253 354 80.30 562.8 65.85
576 - 600 606 110,835,143 11.23 7.043 346 81.02 589.1 63.48
601 - 625 818 160,200,252 16.24 6.916 342 82.61 613.4 52.36
626 - 650 918 177,154,661 17.96 6.822 336 82.62 638.2 38.77
651 - 675 766 147,332,970 14.93 6.768 336 83.07 662.7 31.54
676 - 700 650 123,512,269 12.52 6.770 334 83.83 687.4 32.38
701 - 725 376 75,034,325 7.60 6.646 332 83.27 712.8 35.89
726 - 750 204 38,827,431 3.94 6.577 332 83.93 737.6 20.96
751 - 775 126 25,034,915 2.54 6.525 335 85.16 762 41.23
776 - 800 53 9,627,070 0.98 6.758 332 80.78 786.4 39.36
Above 800 14 2,662,795 0.27 6.319 327 85.46 810.5 37.62
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Owner Fixed Average
Range of Credit Scores Occ Rate DTI
---------------------------------- ------ ------ --------
500 - 525 99.63 9.33 42.29
526 - 550 96.16 8.82 39.05
551 - 575 98.62 13.11 40.33
576 - 600 96.58 15.42 40.57
601 - 625 95.45 18.26 40.00
626 - 650 97.12 20.88 40.61
651 - 675 93.33 22.42 39.77
676 - 700 91.77 22.36 40.62
701 - 725 95.19 24.14 40.56
726 - 750 91.50 19.99 40.76
751 - 775 85.27 20.11 40.71
776 - 800 70.51 25.59 39.83
Above 800 92.79 16.64 36.79
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
Non-Zero Minimum: 500
Maximum: 821
Non-Zero Weighted Average: 642
7. Documentation Level
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Mortgage Balance Principal Rate Term LTV FICO Full
Documentation Level Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Full Documentation 2,416 437,885,900 44.38 6.787 342 83.02 626.8 100.00
Stated Documentation 2,127 419,835,371 42.55 7.087 336 81.06 659.9 0.00
Limited/Alternate Documentation 585 128,935,628 13.07 6.651 341 83.69 637.2 0.00
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Owner Fixed Average
Documentation Level Occ Rate DTI
---------------------------------- ------ ------ --------
Full Documentation 95.27 20.25 41.05
Stated Documentation 94.58 18.96 40.58
Limited/Alternate Documentation 93.49 17.53 37.20
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
8. Loan Purpose
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Mortgage Balance Principal Rate Term LTV FICO Full
Loan Purpose Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Purchase 2,789 464,566,530 47.08 7.032 329 84.20 664.7 34.01
Refinance - Cashout 1,659 377,513,403 38.26 6.751 349 80.42 621.8 52.82
Refinance - Rate Term 680 144,576,965 14.65 6.844 348 80.91 623.3 55.67
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Owner Fixed Average
Loan Purpose Occ Rate DTI
---------------------------------- ------ ------ --------
Purchase 93.77 19.53 40.66
Refinance - Cashout 95.43 19.27 40.35
Refinance - Rate Term 96.07 18.96 39.34
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
9. Occupancy Type
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Mortgage Balance Principal Rate Term LTV FICO Full
Occupancy Type Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Primary 4,832 934,810,754 94.75 6.888 339 82.32 640.6 44.63
Non-Owner Occupied 180 36,246,125 3.67 7.107 355 80.10 662.5 43.72
Second Home 116 15,600,019 1.58 6.927 336 84.59 695.5 31.11
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Owner Fixed Average
Occupancy Type Occ Rate DTI
---------------------------------- ------ ------ --------
Primary 100.00 19.22 40.48
Non-Owner Occupied 0.00 20.11 36.43
Second Home 0.00 24.80 41.97
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
10. Property Type
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Mortgage Balance Principal Rate Term LTV FICO Full
Property Type Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Single Family Residence 3,657 704,528,370 71.41 6.905 340 82.14 638.3 45.33
Planned Unit Development 683 127,324,297 12.90 6.898 337 83.36 646.5 44.50
Condominium 469 76,162,081 7.72 6.803 336 83.00 655.7 43.37
2-4 Family 290 73,825,672 7.48 6.925 343 81.22 659.4 36.04
Manufactured Housing 29 4,816,478 0.49 6.777 348 76.97 633.5 46.65
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Owner Fixed Average
Property Type Occ Rate DTI
---------------------------------- ------ ------ --------
Single Family Residence 95.90 19.57 40.24
Planned Unit Development 93.36 18.16 41.00
Condominium 94.59 15.70 39.72
2-4 Family 86.80 23.51 41.22
Manufactured Housing 87.18 12.12 36.66
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
11. Geographic Distribution of Mortgaged Properties
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Geographic Distribution Mortgage Balance Principal Rate Term LTV FICO Full
of Mortgaged Properties Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
California 2,345 564,619,829 57.23 6.721 339 81.72 648 40.45
New York 187 46,779,768 4.74 6.809 342 82.12 645.7 37.30
Virginia 236 41,513,026 4.21 7.222 336 83.08 639.2 35.03
Florida 302 40,623,559 4.12 7.261 341 82.11 630.6 54.81
Maryland 194 35,095,110 3.56 7.079 338 83.88 631.1 55.07
New Jersey 151 32,524,832 3.30 7.041 344 81.05 628.4 43.60
Texas 309 31,317,658 3.17 7.314 333 82.78 637.5 45.37
Illinois 167 25,447,133 2.58 7.302 341 84.51 635.9 43.93
Arizona 176 21,155,892 2.14 7.005 338 83.99 645.8 55.13
Nevada 117 20,419,825 2.07 7.051 340 83.04 643.1 47.40
Connecticut 83 15,208,571 1.54 7.041 339 83.58 636.4 70.59
Washington 95 14,605,603 1.48 6.753 338 83.52 635.8 57.46
Massachusetts 67 14,511,789 1.47 7.047 342 83.05 639.4 43.72
Pennsylvania 84 11,273,648 1.14 7.270 346 83.42 611.3 56.70
Colorado 58 8,204,890 0.83 6.703 339 83.92 643.1 42.66
Other 557 63,355,764 6.42 7.376 340 83.46 623.2 62.53
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Geographic Distribution Owner Fixed Average
of Mortgaged Properties Occ Rate DTI
---------------------------------- ------ ------ --------
California 95.70 16.69 40.08
New York 95.67 33.34 41.22
Virginia 97.88 16.30 42.58
Florida 89.45 20.58 40.33
Maryland 98.29 22.44 40.83
New Jersey 95.86 22.83 42.24
Texas 94.27 32.59 37.17
Illinois 96.16 11.97 41.32
Arizona 79.08 18.25 39.65
Nevada 83.09 15.61 39.47
Connecticut 95.46 23.13 42.31
Washington 93.41 27.14 42.00
Massachusetts 98.93 16.16 43.24
Pennsylvania 92.06 35.06 38.44
Colorado 95.63 22.75 41.76
Other 92.54 23.13 39.81
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
Number of States/District of
Columbia Represented: 47
12. Range of Remaining Terms (Months)
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Range of Remaining Terms Mortgage Balance Principal Rate Term LTV FICO Full
(Months) Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
109 - 120 2 242,350 0.02 5.890 116 69.64 704.8 73.80
169 - 180 1,477 92,965,561 9.42 9.857 177 98.17 663.4 37.39
229 - 240 15 1,899,851 0.19 7.000 236 79.05 646.9 76.46
337 - 348 1 197,510 0.02 7.500 344 54.79 631 0.00
349 - 360 3,633 891,351,625 90.34 6.588 357 80.63 640 45.04
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Range of Remaining Terms Owner Fixed Average
(Months) Occ Rate DTI
---------------------------------- ------ ------ --------
109 - 120 100.00 100.00 27.42
169 - 180 97.79 100.00 41.00
229 - 240 94.91 100.00 43.12
337 - 348 100.00 0.00 29.94
349 - 360 94.43 10.74 40.28
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
Minimum: 116
Maximum: 358
Weighted Average: 339
13. Product Types
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Mortgage Balance Principal Rate Term LTV FICO Full
Product Types Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Fixed - 10 Year 2 242,350 0.02 5.890 116 69.64 704.8 73.80
Fixed - 15 Year 50 5,403,863 0.55 7.281 177 80.47 631.1 57.86
Fixed - 20 Year 15 1,899,851 0.19 7.000 236 79.05 646.9 76.46
Fixed - 30 Year 473 95,765,123 9.71 6.819 357 78.49 641.1 54.58
Balloon - 15/30 1,427 87,561,698 8.87 10.016 177 99.27 665.3 36.13
ARM - 6 Month 1 416,964 0.04 6.990 357 95.00 593 100.00
ARM - 2 Year/6 Month 2,170 494,964,393 50.17 6.819 357 80.38 625.3 40.83
ARM - 3 Year/6 Month 112 26,043,361 2.64 6.556 357 79.95 640.3 44.61
ARM - 5 Year/6 Month 81 20,378,969 2.07 6.263 357 80.20 653.6 41.74
Interest Only ARM - 5 Year/6 Month 100 30,472,858 3.09 6.019 357 81.56 662.5 59.10
Interest Only ARM - 2 Year/6 Month 696 222,787,469 22.58 6.086 357 82.04 667.9 48.74
Interest Only ARM - 3 Year/6 Month 1 720,000 0.07 6.990 355 80.00 669 0.00
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Owner Fixed Average
Product Types Occ Rate DTI
---------------------------------- ------ ------ --------
Fixed - 10 Year 100.00 100.00 27.42
Fixed - 15 Year 94.16 100.00 36.46
Fixed - 20 Year 94.91 100.00 43.12
Fixed - 30 Year 90.60 100.00 40.17
Balloon - 15/30 98.01 100.00 41.28
ARM - 6 Month 100.00 0.00 44.14
ARM - 2 Year/6 Month 93.32 0.00 40.92
ARM - 3 Year/6 Month 92.28 0.00 39.60
ARM - 5 Year/6 Month 91.07 0.00 39.81
Interest Only ARM - 5 Year/6 Month 98.37 0.00 40.32
Interest Only ARM - 2 Year/6 Month 98.51 0.00 39.06
Interest Only ARM - 3 Year/6 Month 100.00 0.00 24.73
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
14. Subsequent Periodic Cap (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Mortgage Balance Principal Rate Term LTV FICO Full
Subsequent Periodic Cap (%) Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Fixed Rate Loans 1,967 190,872,885 19.35 8.299 268 88.07 652.1 46.45
0.5 5 1,372,047 0.14 7.085 357 88.29 642.9 23.13
1 3,135 790,514,059 80.12 6.555 357 80.85 640 43.84
1.5 15 3,044,258 0.31 7.668 356 86.01 627.7 49.70
2 6 853,648 0.09 6.818 356 78.13 618.3 94.16
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Owner Fixed Average
Subsequent Periodic Cap (%) Occ Rate DTI
---------------------------------- ------ ------ --------
Fixed Rate Loans 94.15 100.00 40.59
0.5 100.00 0.00 42.08
1 94.86 0.00 40.29
1.5 97.82 0.00 40.64
2 100.00 0.00 35.36
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
Non-Zero Minimum: 0.500
Maximum: 2.000
Non-Zero Weighted Average: 1.002
15. Range of Maximum Loan Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Range of Mortgage Balance Principal Rate Term LTV FICO Full
Maximum Loan Rates (%) Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Fixed Rate Loans 1,967 190,872,885 19.35 8.299 268 88.07 652.1 46.45
<= 13.000 1,511 431,070,121 43.69 5.952 357 80.22 657.7 47.03
13.001 - 13.500 730 178,252,614 18.07 6.797 357 81.62 639.6 35.10
13.501 - 14.000 359 81,146,821 8.22 7.282 357 80.48 615.9 35.85
14.001 - 14.500 321 65,575,067 6.65 7.785 357 81.91 593.6 48.70
14.501 - 15.000 123 21,973,077 2.23 8.278 357 83.94 584.6 58.45
15.001 - 15.500 82 12,754,111 1.29 8.791 357 84.97 562.9 53.32
15.501 - 16.000 19 2,160,058 0.22 9.273 357 76.13 545.7 78.76
16.001 - 16.500 13 2,545,154 0.26 9.773 357 84.27 543.4 55.21
16.501 - 17.000 3 306,988 0.03 10.171 357 72.91 530.1 53.66
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Range of Owner Fixed Average
Maximum Loan Rates (%) Occ Rate DTI
---------------------------------- ------ ------ --------
Fixed Rate Loans 94.15 100.00 40.59
<= 13.000 97.07 0.00 40.05
13.001 - 13.500 93.41 0.00 40.48
13.501 - 14.000 91.45 0.00 40.63
14.001 - 14.500 89.79 0.00 40.28
14.501 - 15.000 92.47 0.00 41.42
15.001 - 15.500 92.14 0.00 40.51
15.501 - 16.000 100.00 0.00 42.17
16.001 - 16.500 100.00 0.00 45.35
16.501 - 17.000 86.99 0.00 38.33
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
Non Fixed Rate Minimum: 11.490
Maximum: 16.990
Non Fixed Rate Weighted Average: 13.060
16. Range of Gross Margins (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Mortgage Balance Principal Rate Term LTV FICO Full
Range of Gross Margins (%) Loans ($) Balance (%) (Months) (%) Score Doc
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Fixed Rate Loans 1,967 190,872,885 19.35 8.299 268 88.07 652.1 46.45
<=5.000 330 94,172,632 9.54 5.885 357 79.07 662.6 52.74
5.001 - 5.500 527 137,314,078 13.92 6.126 357 80.46 648.5 55.78
5.501 - 6.000 691 176,792,915 17.92 6.346 357 79.64 644.2 40.46
6.001 - 6.500 754 196,784,475 19.94 6.659 357 80.89 637.6 37.76
6.501 - 7.000 439 107,194,585 10.86 7.014 357 82.36 627.4 34.95
7.001 - 7.500 244 51,748,347 5.24 7.400 357 84.12 622.1 46.18
7.501 - 8.000 154 27,228,776 2.76 8.167 357 84.58 595.4 50.41
8.001 - 8.500 17 3,453,851 0.35 7.982 357 84.94 596.4 48.86
8.501 - 9.000 5 1,094,354 0.11 7.753 357 84.89 641 32.64
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642.2 44.38
---------------------------------- -------- ----------- --------- -------- --------- -------- -------- ------
---------------------------------- ------ ------ --------
Pct Pct Weighted
Owner Fixed Average
Range of Gross Margins (%) Occ Rate DTI
---------------------------------- ------ ------ --------
Fixed Rate Loans 94.15 100.00 40.59
<=5.000 97.13 0.00 39.98
5.001 - 5.500 98.80 0.00 40.36
5.501 - 6.000 95.27 0.00 39.99
6.001 - 6.500 93.43 0.00 40.42
6.501 - 7.000 93.72 0.00 39.92
7.001 - 7.500 89.09 0.00 41.47
7.501 - 8.000 92.97 0.00 41.03
8.001 - 8.500 84.60 0.00 41.10
8.501 - 9.000 78.52 0.00 44.42
---------------------------------- ------ ------ --------
Total: 94.75 19.35 40.35
---------------------------------- ------ ------ --------
Non Fixed Rate Minimum: 2.301
Maximum: 9.000
Non Fixed Rate Weighted Average: 6.048
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
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Xxxxxx Xxxxxxx
2005-WMC3
California Loans
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 2,345
Aggregate Principal Balance ($): 564,619,829
Weighted Average Current Mortgage Rate (%): 6.721
Non-Zero Weighted Average Margin (%): 5.980
Non-Zero Weighted Average Maximum Rate (%): 12.876
Weighted Average Stated Original Term (months): 343
Weighted Average Stated Remaining Term (months): 339
Weighted Average Combined Original LTV (%): 81.72
% First Liens: 90.55
% Owner Occupied: 95.70
% Purchase: 49.00
% Full Doc: 40.45
Non-Zero Weighted Average Credit Score: 648
2. Product Types
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed - 15 Year 7 895,809 0.16 7.453 177 81.30 660
Fixed - 20 Year 2 368,227 0.07 6.739 236 59.67 614
Fixed - 30 Year 165 39,480,111 6.99 6.534 357 74.09 646
Balloon - 15/30 690 53,506,817 9.48 9.873 177 99.23 669
ARM - 6 Month 1 416,964 0.07 6.990 357 95.00 593
ARM - 2 Year/6 Month 826 246,077,505 43.58 6.659 357 79.19 627
ARM - 3 Year/6 Month 33 9,303,741 1.65 6.461 357 77.99 646
ARM - 5 Year/6 Month 37 11,135,741 1.97 6.278 357 79.37 654
Interest Only ARM - 5 Year/6 Month 64 22,311,018 3.95 5.959 357 80.90 660
Interest Only ARM - 2 Year/6 Month 519 180,403,895 31.95 6.042 357 82.09 669
Interest Only ARM - 3 Year/6 Month 1 720,000 0.13 6.990 355 80.00 669
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
3. Range of Gross Interest Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Gross Mortgage Principal Principal Interest Term Original FICO
Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
4.000 - 4.999 18 7,028,515 1.24 4.990 357 80.89 687
5.000 - 5.999 566 186,495,271 33.03 5.712 357 79.88 663
6.000 - 6.999 775 234,268,049 41.49 6.515 356 80.09 647
7.000 - 7.999 248 69,286,513 12.27 7.488 355 79.02 608
8.000 - 8.999 158 22,007,190 3.90 8.477 283 88.93 631
9.000 - 9.999 310 24,737,782 4.38 9.753 189 97.69 671
10.000 - 10.999 269 20,616,794 3.65 10.643 177 99.06 640
11.000 - 11.999 1 179,715 0.03 11.625 175 100.00 669
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 4.990
Maximum: 11.625
Weighted Average: 6.721
4. Range of Cut-off Date Principal Balances ($)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Cut-off Date Mortgage Principal Principal Interest Term Original FICO
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
1 - 25,000 7 143,249 0.03 10.081 176 95.20 687
25,001 - 50,000 120 4,889,134 0.87 9.910 179 98.10 667
50,001 - 75,000 273 17,136,021 3.03 9.769 184 97.43 668
75,001 - 100,000 192 16,635,496 2.95 9.425 199 96.30 666
100,001 - 125,000 110 12,181,844 2.16 8.630 241 89.45 665
125,001 - 150,000 109 15,006,718 2.66 7.985 283 82.15 640
150,001 - 175,000 97 15,796,046 2.80 7.040 331 77.61 628
175,001 - 200,000 139 26,273,853 4.65 6.767 346 74.87 634
200,001 - 225,000 136 28,975,961 5.13 6.493 355 76.76 636
225,001 - 250,000 148 35,231,904 6.24 6.438 356 78.84 640
250,001 - 275,000 132 34,604,553 6.13 6.407 355 80.57 649
275,001 - 300,000 152 43,707,685 7.74 6.423 357 80.51 639
300,001 - 325,000 111 34,836,510 6.17 6.316 355 81.34 654
325,001 - 350,000 94 31,750,450 5.62 6.284 357 81.45 648
350,001 - 375,000 97 35,024,069 6.20 6.407 357 81.25 643
375,001 - 400,000 77 29,823,835 5.28 6.290 357 80.43 646
400,001 - 425,000 67 27,676,788 4.90 6.503 357 81.65 647
425,001 - 450,000 47 20,682,021 3.66 6.257 357 84.25 668
450,001 - 475,000 39 18,037,428 3.19 6.361 357 82.81 643
475,001 - 500,000 42 20,574,799 3.64 6.692 357 81.50 639
500,001 - 750,000 142 84,311,869 14.93 6.260 357 80.89 657
750,001 - 1,000,000 14 11,319,597 2.00 6.041 357 78.83 653
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 17,653
Maximum: 874,816
Average: 240,776
5. Stated Original Term (months)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
180 697 54,402,626 9.64 9.833 177 98.94 669
240 2 368,227 0.07 6.739 236 59.67 614
360 1,646 509,848,976 90.30 6.389 357 79.89 646
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 180
Maximum: 360
Weighted Average: 343
6. Range of Stated Remaining Terms (months)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Stated Mortgage Principal Principal Interest Term Original FICO
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
169 - 180 697 54,402,626 9.64 9.833 177 98.94 669
229 - 240 2 368,227 0.07 6.739 236 59.67 614
349 - 360 1,646 509,848,976 90.30 6.389 357 79.89 646
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 175
Maximum: 358
Weighted Average: 339
7. Range of Combined Original LTV Ratios (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
10.01 - 15.00 1 49,881 0.01 7.200 357 12.99 651
15.01 - 20.00 1 54,822 0.01 7.125 356 18.03 526
25.01 - 30.00 2 224,528 0.04 7.838 357 28.76 605
30.01 - 35.00 1 74,733 0.01 6.625 356 30.36 564
35.01 - 40.00 8 1,126,248 0.20 6.494 357 38.60 673
40.01 - 45.00 10 1,628,471 0.29 6.421 356 43.06 650
45.01 - 50.00 23 4,620,899 0.82 6.760 348 47.71 619
50.01 - 55.00 30 5,690,753 1.01 6.628 357 53.02 586
55.01 - 60.00 39 8,940,393 1.58 6.635 357 57.55 601
60.01 - 65.00 46 11,631,483 2.06 6.686 357 62.88 601
65.01 - 70.00 74 20,173,598 3.57 6.605 354 68.19 613
70.01 - 75.00 109 37,145,885 6.58 6.616 356 73.83 614
75.01 - 80.00 885 273,826,885 48.50 6.201 357 79.79 661
80.01 - 85.00 141 47,844,153 8.47 6.581 356 84.21 627
85.01 - 90.00 213 69,085,768 12.24 6.555 351 89.42 647
90.01 - 95.00 131 33,221,873 5.88 7.117 343 94.68 648
95.01 - 100.00 631 49,279,454 8.73 9.879 178 99.97 670
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 12.99
Maximum: 100.00
Weighted Average: 81.72
8. Range of Gross Margins (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 864 94,250,964 16.69 8.439 252 88.38 659
3.501 - 4.000 1 316,075 0.06 4.990 356 90.00 760
4.001 - 4.500 7 2,677,482 0.47 5.575 357 73.10 667
4.501 - 5.000 181 60,948,040 10.79 5.830 357 79.68 666
5.001 - 5.500 241 78,119,707 13.84 5.859 357 79.92 655
5.501 - 6.000 354 108,811,330 19.27 6.253 357 79.34 647
6.001 - 6.500 402 128,361,134 22.73 6.552 357 80.49 642
6.501 - 7.000 181 57,946,758 10.26 6.877 357 82.23 630
7.001 - 7.500 77 22,390,601 3.97 7.321 357 83.00 628
7.501 - 8.000 32 9,057,381 1.60 7.977 356 82.05 598
8.001 - 8.500 5 1,740,356 0.31 7.953 357 88.66 613
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.000
Maximum: 8.500
Non-Zero Weighted Average: 5.980
9. Range of Minimum Mortgage Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Minimum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 864 94,250,964 16.69 8.439 252 88.38 659
<=5.000 21 8,220,054 1.46 4.991 357 80.37 687
5.001 - 5.500 157 53,426,940 9.46 5.384 357 80.61 666
5.501 - 6.000 384 128,184,621 22.70 5.854 357 80.05 661
6.001 - 6.500 363 112,816,349 19.98 6.334 357 80.32 650
6.501 - 7.000 301 93,249,882 16.52 6.781 357 81.37 641
7.001 - 7.500 112 33,211,066 5.88 7.275 357 78.33 621
7.501 - 8.000 97 28,123,057 4.98 7.794 357 80.33 589
8.001 - 8.500 27 8,065,062 1.43 8.265 357 81.91 587
8.501 - 9.000 12 3,633,345 0.64 8.844 357 84.17 570
9.001 - 9.500 3 492,472 0.09 9.224 357 62.02 529
9.501 - 10.000 4 946,016 0.17 9.879 357 78.06 534
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.990
Maximum: 9.990
Non-Zero Weighted Average: 6.377
10. Range of Maximum Mortgage Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Maximum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 864 94,250,964 16.69 8.439 252 88.38 659
<= 12.500 560 189,230,373 33.51 5.684 357 80.22 664
12.501 - 13.000 370 115,792,936 20.51 6.340 357 80.33 649
13.001 - 13.500 295 90,679,851 16.06 6.781 357 81.39 641
13.501 - 14.000 114 33,660,036 5.96 7.279 357 78.34 621
14.001 - 14.500 95 27,584,548 4.89 7.788 357 80.30 590
14.501 - 15.000 28 8,349,287 1.48 8.256 357 82.02 586
15.001 - 15.500 12 3,633,345 0.64 8.844 357 84.17 570
15.501 - 16.000 3 492,472 0.09 9.224 357 62.02 529
16.001 - 16.500 3 803,771 0.14 9.860 357 79.48 539
16.501 - 17.000 1 142,244 0.03 9.990 356 70.02 511
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 11.490
Maximum: 16.990
Non-Zero Weighted Average: 12.876
11. Initial Periodic Cap (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 864 94,250,964 16.69 8.439 252 88.38 659
1 6 1,713,377 0.30 6.579 357 83.64 614
1.359 1 280,000 0.05 6.990 357 76.71 645
1.5 813 242,655,702 42.98 6.658 357 79.19 627
2 1 357,000 0.06 6.925 356 84.00 613
3 596 202,836,081 35.92 6.084 357 81.78 667
3.03 1 194,686 0.03 6.670 357 80.00 701
5 63 22,332,018 3.96 5.945 357 80.34 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 1.000
Maximum: 5.000
Non-Zero Weighted Average: 2.312
12. Subsequent Periodic Cap (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 864 94,250,964 16.69 8.439 252 88.38 659
1 1,479 469,727,639 83.19 6.375 357 80.38 646
1.5 1 284,225 0.05 8.000 356 85.07 564
2 1 357,000 0.06 6.925 356 84.00 613
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 1.000
Maximum: 2.000
Non-Zero Weighted Average: 1.001
13. Next Rate Adjustment Dates
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 864 94,250,964 16.69 8.439 252 88.38 659
Jul-05 1 416,964 0.07 6.990 357 95.00 593
Oct-06 3 697,489 0.12 7.166 354 88.25 605
Nov-06 16 5,083,530 0.90 7.023 355 78.54 614
Dec-06 323 98,814,575 17.50 6.467 356 80.99 642
Jan-07 1,003 321,885,807 57.01 6.365 357 80.26 646
Nov-07 1 720,000 0.13 6.990 355 80.00 669
Dec-07 7 2,146,328 0.38 6.328 356 82.99 656
Jan-08 26 7,157,412 1.27 6.500 357 76.49 643
Sep-09 1 516,000 0.09 6.500 353 80.00 582
Oct-09 1 198,120 0.04 7.750 354 66.67 588
Nov-09 2 450,051 0.08 6.580 355 71.12 615
Dec-09 27 8,327,090 1.47 6.227 356 82.69 651
Jan-10 70 23,955,499 4.24 5.976 357 79.88 663
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
14. Geographic Distribution of Mortgaged Properties
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Geographic Distribution Mortgage Principal Principal Interest Term Original FICO
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
California 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Number of States/District of
Columbia Represented: 1
15. Occupancy
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Primary 2,255 540,343,380 95.70 6.711 339 81.83 647
Investment 76 21,830,584 3.87 6.983 357 78.57 666
Second Home 14 2,445,865 0.43 6.569 351 84.55 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
16. Property Type
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Single Family Residence 1,760 423,207,712 74.95 6.731 340 81.60 644
Condominium 298 57,399,513 10.17 6.648 335 82.64 658
Planned Unit Development 154 46,299,119 8.20 6.635 338 82.99 656
2-4 Family 113 33,582,125 5.95 6.862 343 80.53 671
Manufactured Housing 20 4,131,359 0.73 6.587 352 76.01 632
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
17. Loan Purpose
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 1,335 276,637,706 49.00 6.852 328 83.89 671
Refinance - Cashout 780 222,778,478 39.46 6.561 351 79.52 626
Refinance - Rate Term 230 65,203,646 11.55 6.715 349 79.98 626
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
18. Documentation Level
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Stated Documentation 1,121 258,979,022 45.87 6.958 336 80.67 662
Full Documentation 940 228,410,545 40.45 6.529 342 82.25 634
Limited Documentation 284 77,230,262 13.68 6.497 342 83.65 642
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
19. Credit Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
500 - 524 52 12,732,613 2.26 7.713 355 74.75 513
525 - 549 52 12,136,512 2.15 7.517 357 70.67 537
550 - 574 114 29,056,712 5.15 7.073 354 77.90 563
575 - 599 193 51,224,997 9.07 6.764 349 79.36 588
600 - 624 334 87,148,559 15.43 6.716 342 81.07 613
625 - 649 410 98,518,145 17.45 6.679 338 82.31 637
650 - 674 394 94,483,356 16.73 6.651 337 83.27 662
675 - 699 356 80,616,352 14.28 6.679 334 83.47 686
700 - 724 206 45,931,705 8.13 6.526 331 82.99 711
725 - 749 120 27,044,123 4.79 6.512 331 83.62 736
750 - 774 78 17,505,144 3.10 6.600 334 85.15 761
775 - 799 27 6,029,167 1.07 6.363 339 79.11 784
800 + 9 2,192,446 0.39 6.199 330 85.54 810
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 500
Maximum: 821
Non-Zero Weighted Average: 648
20. Prepayment Penalty Term
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 211 51,241,607 9.08 7.426 327 83.12 660
12 76 21,586,017 3.82 6.956 340 79.70 645
24 1,617 414,538,983 73.42 6.565 344 81.69 645
36 441 77,253,222 13.68 7.026 321 81.46 657
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 25
21. Lien Position
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
1st Lien 1,654 511,235,499 90.55 6.390 356 79.88 646
2nd Lien 691 53,384,330 9.45 9.895 177 99.29 669
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
22. Interest Only Term
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 1,761 361,184,916 63.97 7.107 329 81.58 637
60 584 203,434,913 36.03 6.036 357 81.96 668
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,345 564,619,829 100.00 6.721 339 81.72 648
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
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material information not contained herein and to which the prospective
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shall be deemed superseded, amended and supplemented in its entirety by such
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offered thereby and any decision to invest in such securities should be made
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conditions or events, and this material should not be relied on for such
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contained here in. Additional information is available upon request. Xxxxxx
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of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
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for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
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We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
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the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
Stated Doc
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 2,127
Aggregate Principal Balance ($): 419,835,371
Weighted Average Current Mortgage Rate (%): 7.087
Non-Zero Weighted Average Margin (%): 6.171
Non-Zero Weighted Average Maximum Rate (%): 13.178
Weighted Average Stated Original Term (months): 340
Weighted Average Stated Remaining Term (months): 336
Weighted Average Combined Original LTV (%): 81.06
% First Liens: 89.11
% Owner Occupied: 94.58
% Purchase: 58.63
% Full Doc: 0.00
Non-Zero Weighted Average Credit Score: 660
2. Product Types
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed - 10 Year 1 63,484 0.02 6.990 116 77.84 631
Fixed - 15 Year 13 1,520,540 0.36 7.761 177 85.98 659
Fixed - 20 Year 2 423,006 0.10 6.711 237 79.99 621
Fixed - 30 Year 136 31,885,256 7.59 6.882 357 76.58 659
Balloon - 15/30 711 45,720,629 10.89 10.253 177 99.20 679
ARM - 2 Year/6 Month 948 240,406,693 57.26 6.806 357 78.69 646
ARM - 3 Year/6 Month 42 11,027,806 2.63 6.731 357 77.84 649
ARM - 5 Year/6 Month 29 8,192,011 1.95 6.494 357 75.97 650
Interest Only ARM - 5 Year/6 Month 20 6,078,168 1.45 6.170 356 79.21 679
Interest Only ARM - 2 Year/6 Month 224 73,797,777 17.58 6.317 357 80.57 693
Interest Only ARM - 3 Year/6 Month 1 720,000 0.17 6.990 355 80.00 669
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
3. Range of Gross Interest Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Gross Mortgage Principal Principal Interest Term Original FICO
Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
4.000 - 4.999 2 283,899 0.07 4.990 357 80.00 731
5.000 - 5.999 239 74,700,996 17.79 5.823 356 77.96 680
6.000 - 6.999 731 200,057,527 47.65 6.570 356 79.09 664
7.000 - 7.999 360 83,823,015 19.97 7.451 356 78.83 633
8.000 - 8.999 104 16,049,841 3.82 8.495 331 83.49 618
9.000 - 9.999 325 21,999,455 5.24 9.789 187 97.19 691
10.000 - 10.999 280 18,534,924 4.41 10.646 177 99.18 662
11.000 - 11.999 81 4,194,443 1.00 11.614 177 99.58 646
12.000 - 12.999 5 191,272 0.05 12.813 176 97.94 670
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 4.990
Maximum: 12.875
Weighted Average: 7.087
4. Range of Cut-off Date Principal Balances ($)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Cut-off Date Mortgage Principal Principal Interest Term Original FICO
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
1 - 25,000 54 1,139,583 0.27 10.475 177 98.46 664
25,001 - 50,000 210 7,959,394 1.90 10.326 181 98.10 679
50,001 - 75,000 284 17,780,111 4.24 9.975 200 95.85 676
75,001 - 100,000 198 17,229,439 4.10 9.106 241 91.50 665
100,001 - 125,000 136 15,284,974 3.64 8.096 295 85.40 665
125,001 - 150,000 113 15,556,335 3.71 7.657 317 81.29 660
150,001 - 175,000 99 16,143,794 3.85 7.103 346 75.95 650
175,001 - 200,000 118 22,306,966 5.31 6.930 349 76.88 657
200,001 - 225,000 119 25,365,415 6.04 6.840 355 77.53 651
225,001 - 250,000 101 24,037,539 5.73 6.752 357 78.48 660
250,001 - 275,000 109 28,530,815 6.80 6.655 355 79.79 663
275,001 - 300,000 109 31,408,885 7.48 6.649 357 79.27 652
300,001 - 325,000 90 28,234,451 6.73 6.641 353 80.35 662
325,001 - 350,000 63 21,293,494 5.07 6.613 357 80.07 649
350,001 - 375,000 67 24,253,881 5.78 6.635 357 79.69 662
375,001 - 400,000 57 22,172,091 5.28 6.685 357 79.58 655
400,001 - 425,000 38 15,684,602 3.74 6.718 357 79.61 657
425,001 - 450,000 34 14,962,499 3.56 6.338 352 82.33 675
450,001 - 475,000 22 10,171,267 2.42 6.496 357 82.10 662
475,001 - 500,000 29 14,174,907 3.38 6.611 357 79.93 667
500,001 - 750,000 71 41,265,706 9.83 6.549 357 78.56 661
750,001 - 1,000,000 6 4,879,226 1.16 6.737 357 74.78 636
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 14,973
Maximum: 874,816
Average: 197,384
5. Stated Original Term (months)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
120 1 63,484 0.02 6.990 116 77.84 631
180 724 47,241,169 11.25 10.172 177 98.77 678
240 2 423,006 0.10 6.711 237 79.99 621
360 1,400 372,107,711 88.63 6.696 357 78.81 658
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 120
Maximum: 360
Weighted Average: 340
6. Range of Stated Remaining Terms (months)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Stated Mortgage Principal Principal Interest Term Original FICO
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
109 - 120 1 63,484 0.02 6.990 116 77.84 631
169 - 180 724 47,241,169 11.25 10.172 177 98.77 678
229 - 240 2 423,006 0.10 6.711 237 79.99 621
337 - 348 1 197,510 0.05 7.500 344 54.79 631
349 - 360 1,399 371,910,201 88.58 6.696 357 78.82 658
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 116
Maximum: 358
Weighted Average: 336
7. Range of Combined Original LTV Ratios (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
15.01 - 20.00 1 54,822 0.01 7.125 356 18.03 526
25.01 - 30.00 1 69,843 0.02 7.500 357 26.42 601
35.01 - 40.00 9 1,292,781 0.31 6.458 357 38.61 658
40.01 - 45.00 13 2,096,608 0.50 6.438 356 43.08 642
45.01 - 50.00 16 3,618,668 0.86 7.137 357 48.27 605
50.01 - 55.00 18 3,251,158 0.77 6.694 356 52.87 617
55.01 - 60.00 22 5,557,812 1.32 6.816 357 58.06 611
60.01 - 65.00 35 9,211,956 2.19 6.828 357 62.76 601
65.01 - 70.00 55 15,476,486 3.69 6.782 355 68.28 624
70.01 - 75.00 100 29,068,879 6.92 6.872 356 74.09 616
75.01 - 80.00 900 233,175,354 55.54 6.579 356 79.79 672
80.01 - 85.00 95 27,302,852 6.50 6.828 356 84.12 639
85.01 - 90.00 134 34,817,102 8.29 7.090 345 89.47 655
90.01 - 95.00 92 13,011,796 3.10 8.041 313 94.63 661
95.01 - 100.00 636 41,829,254 9.96 10.226 180 99.98 682
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 18.03
Maximum: 100.00
Weighted Average: 81.06
8. Range of Gross Margins (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 863 79,612,916 18.96 8.834 249 89.77 670
<= 3.500 1 187,366 0.04 6.900 356 80.00 672
4.001 - 4.500 6 1,740,497 0.41 6.095 357 64.62 665
4.501 - 5.000 84 24,363,967 5.80 6.433 357 78.05 669
5.001 - 5.500 136 38,777,809 9.24 6.333 357 79.13 667
5.501 - 6.000 309 82,129,170 19.56 6.433 357 78.06 664
6.001 - 6.500 364 100,605,317 23.96 6.619 357 78.82 659
6.501 - 7.000 211 57,358,258 13.66 6.984 357 80.40 645
7.001 - 7.500 98 22,793,826 5.43 7.232 357 80.48 647
7.501 - 8.000 46 10,028,980 2.39 8.107 357 81.17 615
8.001 - 8.500 6 1,500,087 0.36 7.690 357 84.01 645
8.501 - 9.000 3 737,178 0.18 7.492 356 81.11 678
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 2.301
Maximum: 8.875
Non-Zero Weighted Average: 6.171
9. Range of Minimum Mortgage Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Minimum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 863 79,612,916 18.96 8.834 249 89.77 670
<=5.000 2 283,899 0.07 4.990 357 80.00 731
5.001 - 5.500 36 11,156,359 2.66 5.438 357 77.47 682
5.501 - 6.000 199 63,530,355 15.13 5.896 357 78.19 678
6.001 - 6.500 287 82,638,777 19.68 6.340 357 79.04 672
6.501 - 7.000 377 97,897,211 23.32 6.792 357 79.52 657
7.001 - 7.500 186 45,683,508 10.88 7.292 357 78.74 636
7.501 - 8.000 116 26,813,497 6.39 7.782 357 79.48 621
8.001 - 8.500 33 6,839,203 1.63 8.263 357 81.85 614
8.501 - 9.000 22 4,181,017 1.00 8.839 357 83.62 590
9.001 - 9.500 2 458,767 0.11 9.164 357 51.73 534
9.501 - 10.000 4 739,862 0.18 9.819 357 69.46 521
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.990
Maximum: 9.990
Non-Zero Weighted Average: 6.681
10. Range of Maximum Mortgage Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Maximum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 863 79,612,916 18.96 8.834 249 89.77 670
<= 12.500 239 75,649,122 18.02 5.824 357 78.11 679
12.501 - 13.000 288 83,196,788 19.82 6.351 357 79.03 671
13.001 - 13.500 375 96,715,473 23.04 6.792 357 79.54 657
13.501 - 14.000 184 45,299,354 10.79 7.296 357 78.61 636
14.001 - 14.500 117 27,142,869 6.47 7.774 357 79.64 622
14.501 - 15.000 33 6,839,203 1.63 8.263 357 81.85 614
15.001 - 15.500 22 4,181,017 1.00 8.839 357 83.62 590
15.501 - 16.000 2 458,767 0.11 9.164 357 51.73 534
16.001 - 16.500 3 597,618 0.14 9.779 357 69.32 524
16.501 - 17.000 1 142,244 0.03 9.990 356 70.02 511
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 11.490
Maximum: 16.990
Non-Zero Weighted Average: 13.178
11. Initial Periodic Cap (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 863 79,612,916 18.96 8.834 249 89.77 670
0.5 2 866,375 0.21 7.304 357 92.25 638
1 9 2,260,743 0.54 7.020 356 81.05 638
1.359 1 280,000 0.07 6.990 357 76.71 645
1.5 909 232,468,757 55.37 6.782 357 78.56 647
2 2 277,812 0.07 6.630 356 73.34 684
3 321 97,852,200 23.31 6.449 357 80.04 683
5 20 6,216,568 1.48 6.227 357 77.93 674
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.500
Maximum: 5.000
Non-Zero Weighted Average: 1.990
12. Subsequent Periodic Cap (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 863 79,612,916 18.96 8.834 249 89.77 670
0.5 3 1,054,697 0.25 7.228 357 90.07 649
1 1,252 337,586,628 80.41 6.672 357 78.96 658
1.5 8 1,531,318 0.36 7.846 357 84.93 646
2 1 49,812 0.01 7.500 355 43.48 554
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.500
Maximum: 2.000
Non-Zero Weighted Average: 1.001
13. Next Rate Adjustment Dates
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 863 79,612,916 18.96 8.834 249 89.77 670
Dec-05 1 197,510 0.05 7.500 344 54.79 631
Oct-06 1 262,248 0.06 7.250 354 85.00 585
Nov-06 13 3,396,090 0.81 6.905 355 79.05 666
Dec-06 260 68,139,503 16.23 6.640 356 79.06 655
Jan-07 897 242,209,119 57.69 6.701 357 79.17 658
Nov-07 1 720,000 0.17 6.990 355 80.00 669
Dec-07 6 1,549,877 0.37 6.984 356 83.55 648
Jan-08 36 9,477,928 2.26 6.690 357 76.90 649
Nov-09 1 298,397 0.07 6.625 355 80.00 635
Dec-09 16 4,384,033 1.04 6.342 356 78.10 662
Jan-10 32 9,587,749 2.28 6.353 357 76.93 664
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
14. Geographic Distribution of Mortgaged Properties
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Geographic Distribution Mortgage Principal Principal Interest Term Original FICO
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
California 1,121 258,979,022 61.69 6.958 336 80.67 662
New York 94 24,417,532 5.82 6.895 341 81.20 664
Virginia 126 22,359,164 5.33 7.293 330 82.39 662
New Jersey 83 16,925,711 4.03 7.209 339 80.87 643
Texas 125 13,275,290 3.16 7.547 330 83.01 669
Florida 87 12,021,995 2.86 7.507 344 79.02 646
Maryland 68 11,741,184 2.80 7.364 334 83.05 655
Illinois 77 11,471,490 2.73 7.509 333 83.18 670
Arizona 65 7,810,710 1.86 7.179 338 82.25 670
Nevada 51 7,499,333 1.79 7.549 335 82.49 657
Massachusetts 33 6,172,794 1.47 7.276 336 80.77 652
Connecticut 21 3,844,301 0.92 7.263 344 84.14 660
Washington 22 3,652,572 0.87 6.749 342 80.40 652
Pennsylvania 13 2,427,316 0.58 7.153 349 84.04 626
Rhode Island 14 2,415,464 0.58 6.912 351 75.82 617
Other 127 14,821,491 3.53 7.625 337 81.00 652
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Number of States/District of
Columbia Represented: 41
15. Occupancy
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Primary 1,998 397,078,279 94.58 7.081 336 81.18 659
Investment 53 12,865,890 3.06 7.270 357 74.88 655
Second Home 76 9,891,201 2.36 7.118 335 84.03 696
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
16. Property Type
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Single Family Residence 1,481 298,228,636 71.03 7.078 337 80.88 656
Planned Unit Development 273 49,769,350 11.85 7.148 333 82.34 670
2-4 Family 156 37,366,627 8.90 7.138 340 80.26 669
Condominium 207 32,259,571 7.68 7.044 332 81.69 671
Manufactured Housing 10 2,211,187 0.53 6.778 352 80.03 651
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
17. Loan Purpose
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 1,431 246,156,775 58.63 7.249 327 83.55 678
Refinance - Cashout 503 126,196,746 30.06 6.860 351 77.29 633
Refinance - Rate Term 193 47,481,849 11.31 6.851 346 78.16 639
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
18. Documentation Level
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Stated Documentation 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
19. Credit Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
500 - 524 25 5,251,912 1.25 8.104 355 70.20 514
525 - 549 28 6,522,937 1.55 7.820 357 68.13 539
550 - 574 57 13,354,032 3.18 7.240 356 74.26 561
575 - 599 76 19,597,909 4.67 7.008 355 73.30 588
600 - 624 229 52,992,180 12.62 7.202 343 80.35 613
625 - 649 400 76,570,810 18.24 7.174 335 81.30 638
650 - 674 454 85,442,453 20.35 7.035 334 81.94 662
675 - 699 393 73,734,632 17.56 7.032 332 83.17 687
700 - 724 220 41,202,727 9.81 6.917 328 83.06 713
725 - 749 142 26,572,631 6.33 6.817 330 83.39 737
750 - 774 64 11,738,901 2.80 7.097 329 84.08 761
775 - 799 33 5,769,167 1.37 7.020 332 79.06 785
800 + 6 1,085,079 0.26 6.901 321 84.00 814
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 502
Maximum: 821
Non-Zero Weighted Average: 660
20. Prepayment Penalty Term
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 591 101,491,543 24.17 7.460 330 82.51 661
12 82 20,683,612 4.93 6.970 342 78.40 655
24 1,134 253,886,656 60.47 6.860 343 80.56 658
36 320 43,773,559 10.43 7.600 308 81.80 670
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 25
21. Lien Position
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
1st Lien 1,411 374,111,446 89.11 6.698 356 78.83 658
2nd Lien 716 45,723,925 10.89 10.277 177 99.26 679
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
22. Interest Only Term
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 1,882 339,239,425 80.80 7.272 331 81.20 652
60 245 80,595,946 19.20 6.312 357 80.47 692
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,127 419,835,371 100.00 7.087 336 81.06 660
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transaction in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
Non-Full Doc
Selection Criteria: Non-Full Doc
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 2,712
Aggregate Principal Balance ($): 548,770,998
Weighted Average Current Mortgage Rate (%): 6.985
Non-Zero Weighted Average Margin (%): 6.106
Non-Zero Weighted Average Maximum Rate (%): 13.098
Weighted Average Stated Original Term (months): 341
Weighted Average Stated Remaining Term (months): 338
Weighted Average Combined Original LTV (%): 81.67
% First Liens: 89.80
% Owner Occupied: 94.32
% Purchase: 55.87
% Full Doc: 0.00
Non-Zero Weighted Average Credit Score: 655
2. Product Types
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed - 10 Year 1 63,484 0.01 6.99 116 77.84 631
Fixed - 15 Year 16 2,277,045 0.41 7.402 177 81.16 644
Fixed - 20 Year 3 447,288 0.08 6.93 237 81.08 622
Fixed - 30 Year 191 43,499,985 7.93 6.837 357 77.68 655
Balloon - 15/30 860 55,925,445 10.19 10.163 177 99.25 673
ARM - 2 Year/6 Month 1,156 292,871,311 53.37 6.796 357 79.33 641
ARM - 3 Year/6 Month 57 14,425,411 2.63 6.589 357 78.71 645
ARM - 5 Year/6 Month 42 11,872,801 2.16 6.374 357 79.41 658
Interest Only ARM - 5 Year/6 Month 40 12,462,529 2.27 6.091 356 80.21 658
Interest Only ARM - 2 Year/6 Month 345 114,205,700 20.81 6.172 357 81.4 681
Interest Only ARM - 3 Year/6 Month 1 720,000 0.13 6.99 355 80 669
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
3. Range of Gross Interest Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Gross Mortgage Principal Principal Interest Term Original FICO
Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
4.000 - 4.999 15 5,073,124 0.92 4.99 357 82.15 700
5.000 - 5.999 366 117,852,491 21.48 5.771 356 78.87 670
6.000 - 6.999 920 249,154,677 45.4 6.562 355 79.95 658
7.000 - 7.999 439 100,214,797 18.26 7.452 356 79.46 628
8.000 - 8.999 163 23,498,933 4.28 8.501 317 85.98 620
9.000 - 9.999 382 26,074,857 4.75 9.779 191 97.17 681
10.000 - 10.999 336 22,141,560 4.03 10.641 177 99.25 655
11.000 - 11.999 86 4,569,287 0.83 11.592 177 99.49 642
12.000 - 12.999 5 191,272 0.03 12.813 176 97.94 670
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 4.990
Maximum: 12.875
Weighted Average: 6.985
4. Range of Cut-off Date Principal Balances ($)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Cut-off Date Mortgage Principal Principal Interest Term Original FICO
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
1 - 25,000 70 1,451,064 0.26 10.318 178 98.79 662
25,001 - 50,000 255 9,692,744 1.77 10.199 185 97.83 672
50,001 - 75,000 345 21,589,087 3.93 9.847 203 95.84 671
75,001 - 100,000 240 20,931,796 3.81 8.915 248 91.04 661
100,001 - 125,000 181 20,385,789 3.71 8.046 295 85.99 659
125,001 - 150,000 158 21,717,947 3.96 7.526 319 81.47 648
150,001 - 175,000 128 20,887,427 3.81 7.172 342 78.05 644
175,001 - 200,000 152 28,684,801 5.23 6.915 348 77.47 649
200,001 - 225,000 145 30,904,981 5.63 6.812 354 78.46 647
225,001 - 250,000 132 31,405,081 5.72 6.66 355 79.13 652
250,001 - 275,000 135 35,336,270 6.44 6.586 355 80.51 659
275,001 - 300,000 142 40,900,759 7.45 6.575 357 79.7 648
300,001 - 325,000 106 33,221,673 6.05 6.574 352 81.1 661
325,001 - 350,000 82 27,743,195 5.06 6.515 357 80.34 647
350,001 - 375,000 93 33,639,181 6.13 6.613 357 81.24 654
375,001 - 400,000 70 27,245,209 4.96 6.665 357 80.81 651
400,001 - 425,000 50 20,620,583 3.76 6.557 357 80.81 652
425,001 - 450,000 45 19,771,773 3.6 6.258 353 82.93 669
450,001 - 475,000 26 12,004,677 2.19 6.402 357 82.05 656
475,001 - 500,000 37 18,086,304 3.3 6.599 357 80.4 651
500,001 - 750,000 112 66,037,432 12.03 6.409 357 79.69 658
750,001 - 1,000,000 8 6,513,226 1.19 6.375 357 76.69 646
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 14,973
Maximum: 874,816
Average: 202,349
5. Stated Original Term (months)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
120 1 63,484 0.01 6.99 116 77.84 631
180 876 58,202,490 10.61 10.055 177 98.54 672
240 3 447,288 0.08 6.93 237 81.08 622
360 1,832 490,057,736 89.3 6.62 357 79.67 653
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 120
Maximum: 360
Weighted Average: 341
6. Range of Stated Remaining Terms (months)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Stated Mortgage Principal Principal Interest Term Original FICO
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
109 - 120 1 63,484 0.01 6.99 116 77.84 631
169 - 180 876 58,202,490 10.61 10.055 177 98.54 672
229 - 240 3 447,288 0.08 6.93 237 81.08 622
337 - 348 1 197,510 0.04 7.5 344 54.79 631
349 - 360 1,831 489,860,226 89.26 6.62 357 79.68 653
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 116
Maximum: 358
Weighted Average: 338
7. Range of Combined Original LTV Ratios (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
15.01 - 20.00 1 54,822 0.01 7.125 356 18.03 526
25.01 - 30.00 2 224,528 0.04 7.838 357 28.76 605
35.01 - 40.00 9 1,292,781 0.24 6.458 357 38.61 658
40.01 - 45.00 14 2,300,344 0.42 6.459 340 43.02 638
45.01 - 50.00 19 3,956,394 0.72 7.16 357 48.2 599
50.01 - 55.00 21 3,758,839 0.68 6.638 356 53.01 612
55.01 - 60.00 27 7,141,449 1.3 6.689 357 58.07 617
60.01 - 65.00 38 9,777,042 1.78 6.823 357 62.77 600
65.01 - 70.00 71 19,019,451 3.47 6.714 355 68.25 622
70.01 - 75.00 121 34,138,037 6.22 6.812 355 74 613
75.01 - 80.00 1,112 291,920,769 53.2 6.492 356 79.8 666
80.01 - 85.00 141 41,419,798 7.55 6.718 356 84.17 635
85.01 - 90.00 216 57,810,048 10.53 6.89 348 89.57 652
90.01 - 95.00 145 24,453,490 4.46 7.632 329 94.66 652
95.01 - 100.00 775 51,503,207 9.39 10.123 180 99.97 675
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 18.03
Maximum: 100.00
Weighted Average: 81.67
8. Range of Gross Margins (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,071 102,213,247 18.63 8.67 254 89.57 665
<= 3.500 1 187,366 0.03 6.9 356 80 672
3.501 - 4.000 2 586,338 0.11 5.11 356 85.39 751
4.001 - 4.500 8 2,845,894 0.52 5.844 357 67.5 663
4.501 - 5.000 138 40,889,897 7.45 6.084 357 78.92 665
5.001 - 5.500 215 60,719,150 11.06 6.225 357 80.04 659
5.501 - 6.000 389 105,256,112 19.18 6.382 357 79.06 659
6.001 - 6.500 440 122,487,796 22.32 6.61 357 79.64 652
6.501 - 7.000 256 69,730,399 12.71 6.972 357 81.11 642
7.001 - 7.500 117 27,849,126 5.07 7.308 357 81.55 639
7.501 - 8.000 65 13,502,071 2.46 8.088 357 82.22 607
8.001 - 8.500 7 1,766,426 0.32 7.584 357 83.73 638
8.501 - 9.000 3 737,178 0.13 7.492 356 81.11 678
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 2.301
Maximum: 8.875
Non-Zero Weighted Average: 6.106
9. Range of Minimum Mortgage Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Minimum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,071 102,213,247 18.63 8.67 254 89.57 665
<=5.000 15 5,073,124 0.92 4.99 357 82.15 700
5.001 - 5.500 74 25,317,848 4.61 5.402 357 79.09 670
5.501 - 6.000 286 91,942,911 16.75 5.879 357 78.92 669
6.001 - 6.500 369 104,031,370 18.96 6.337 357 79.99 663
6.501 - 7.000 448 117,622,666 21.43 6.793 357 80.43 653
7.001 - 7.500 218 52,436,968 9.56 7.287 357 79.48 633
7.501 - 8.000 149 33,432,562 6.09 7.782 357 79.92 615
8.001 - 8.500 43 9,005,771 1.64 8.27 357 83.33 608
8.501 - 9.000 31 5,953,643 1.08 8.811 357 83.57 579
9.001 - 9.500 2 458,767 0.08 9.164 357 51.73 534
9.501 - 10.000 6 1,282,122 0.23 9.787 356 76.03 524
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.990
Maximum: 9.990
Non-Zero Weighted Average: 6.600
10. Range of Maximum Mortgage Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Maximum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,071 102,213,247 18.63 8.67 254 89.57 665
<= 12.500 376 122,660,392 22.35 5.744 357 79.09 671
12.501 - 13.000 372 105,691,380 19.26 6.346 357 80 662
13.001 - 13.500 445 115,690,928 21.08 6.793 357 80.43 653
13.501 - 14.000 216 52,052,814 9.49 7.291 357 79.37 632
14.001 - 14.500 149 33,637,302 6.13 7.775 357 80.04 615
14.501 - 15.000 44 9,130,404 1.66 8.266 357 83.28 608
15.001 - 15.500 31 5,953,643 1.08 8.811 357 83.57 579
15.501 - 16.000 2 458,767 0.08 9.164 357 51.73 534
16.001 - 16.500 5 1,139,878 0.21 9.761 356 76.78 526
16.501 - 17.000 1 142,244 0.03 9.99 356 70.02 511
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 11.490
Maximum: 16.990
Non-Zero Weighted Average: 13.098
11. Initial Periodic Cap (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,071 102,213,247 18.63 8.67 254 89.57 665
0.5 2 866,375 0.16 7.304 357 92.25 638
1 13 3,297,799 0.6 6.875 356 81.02 628
1.125 1 478,632 0.09 7.75 356 80 599
1.359 1 280,000 0.05 6.99 357 76.71 645
1.5 1,105 282,262,107 51.44 6.773 357 79.23 642
2 3 394,735 0.07 6.999 356 76.79 662
3 476 146,377,175 26.67 6.288 357 81.04 674
5 40 12,600,929 2.3 6.12 356 79.57 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.500
Maximum: 5.000
Non-Zero Weighted Average: 2.085
12. Subsequent Periodic Cap (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,071 102,213,247 18.63 8.67 254 89.57 665
0.5 3 1,054,697 0.19 7.228 357 90.07 649
1 1,629 443,921,924 80.89 6.593 357 79.83 652
1.5 8 1,531,318 0.28 7.846 357 84.93 646
2 1 49,812 0.01 7.5 355 43.48 554
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.500
Maximum: 2.000
Non-Zero Weighted Average: 1.001
13. Next Rate Adjustment Dates
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,071 102,213,247 18.63 8.67 254 89.57 665
Dec-05 1 197,510 0.04 7.5 344 54.79 631
Sep-06 1 124,633 0.02 7.94 353 80 672
Oct-06 3 654,279 0.12 8.015 354 83.41 557
Nov-06 18 5,161,261 0.94 6.94 355 80.16 647
Dec-06 327 87,682,075 15.98 6.611 356 79.88 651
Jan-07 1,150 312,857,848 57.01 6.613 357 79.93 653
Feb-07 1 399,404 0.07 7.5 358 75.47 598
Nov-07 2 916,999 0.17 7.325 355 80 640
Dec-07 8 2,029,645 0.37 6.738 356 83.43 654
Jan-08 48 12,198,767 2.22 6.533 357 77.91 645
Sep-09 1 516,000 0.09 6.5 353 80 582
Nov-09 1 298,397 0.05 6.625 355 80 635
Dec-09 26 7,642,197 1.39 6.269 356 80.19 657
Jan-10 54 15,878,735 2.89 6.194 357 79.63 661
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
14. Geographic Distribution of Mortgaged Properties
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Geographic Distribution Mortgage Principal Principal Interest Term Original FICO
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
California 1,405 336,209,284 61.27 6.852 337 81.35 657
New York 113 29,329,855 5.34 6.835 342 81.6 661
Virginia 147 26,971,840 4.91 7.256 330 82.69 658
Florida 124 18,356,684 3.35 7.381 342 80.38 642
New Jersey 88 18,344,447 3.34 7.19 340 81.24 642
Texas 161 17,108,789 3.12 7.447 333 83.01 656
Maryland 90 15,768,859 2.87 7.169 334 83.7 648
Illinois 95 14,267,811 2.6 7.441 337 83.39 655
Nevada 65 10,740,162 1.96 7.255 334 82.74 651
Arizona 81 9,491,890 1.73 7.075 338 83.08 665
Massachusetts 40 8,166,524 1.49 7.301 339 81.49 638
Washington 36 6,213,903 1.13 6.812 344 83.02 637
Pennsylvania 28 4,881,293 0.89 7.217 346 82.39 617
Colorado 30 4,705,070 0.86 6.602 341 82.13 658
Connecticut 25 4,473,449 0.82 7.272 341 84.12 658
Other 184 23,741,140 4.33 7.306 339 81.14 641
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Number of States/District of
Columbia Represented: 42
15. Occupancy
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Primary 2,536 517,622,817 94.32 6.977 337 81.74 654
Investment 95 20,401,057 3.72 7.132 357 78.55 663
Second Home 81 10,747,125 1.96 7.06 337 84.32 688
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
16. Property Type
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Single Family Residence 1,874 385,180,786 70.19 6.991 338 81.55 651
Planned Unit Development 369 70,669,563 12.88 6.982 335 82.71 663
2-4 Family 186 47,220,820 8.6 7.027 343 80.85 665
Condominium 272 43,130,171 7.86 6.907 333 82.17 664
Manufactured Housing 11 2,569,658 0.47 6.628 352 78.62 642
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
17. Loan Purpose
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 1,750 306,578,442 55.87 7.148 328 83.81 673
Refinance - Cashout 701 178,102,371 32.45 6.765 350 79.05 632
Refinance - Rate Term 261 64,090,185 11.68 6.815 348 78.78 632
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
18. Documentation Level
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Stated Documentation 2,127 419,835,371 76.5 7.087 336 81.06 660
Limited Documentation 585 128,935,628 23.5 6.651 341 83.69 637
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
19. Credit Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
500 - 524 32 6,871,112 1.25 8.124 355 72.1 514
525 - 549 44 9,603,752 1.75 7.764 357 70.72 538
550 - 574 90 20,733,045 3.78 7.264 355 77.37 562
575 - 599 152 38,084,188 6.94 6.979 352 77.36 589
600 - 624 342 76,310,808 13.91 7.064 342 81.55 613
625 - 649 541 106,263,802 19.36 7.01 335 82.06 638
650 - 674 536 102,381,643 18.66 6.925 335 82.39 662
675 - 699 445 84,946,331 15.48 6.93 333 83.27 686
700 - 724 245 48,529,586 8.84 6.836 330 83.09 712
725 - 749 168 32,150,075 5.86 6.71 332 84 737
750 - 774 75 15,033,270 2.74 6.865 332 84.61 761
775 - 799 35 6,202,306 1.13 7.007 334 80.12 785
800 + 7 1,661,079 0.3 6.328 333 86.03 810
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 500
Maximum: 821
Non-Zero Weighted Average: 655
20. Prepayment Penalty Term
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 749 131,720,514 24 7.365 331 83.1 655
12 101 25,920,142 4.72 6.912 342 78.92 656
24 1,438 328,197,477 59.81 6.763 344 81.15 653
36 424 62,932,865 11.47 7.376 316 82.57 662
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 25
21. Lien Position
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
1st Lien 1,846 492,817,976 89.8 6.622 356 79.67 652
2nd Lien 866 55,953,023 10.2 10.183 177 99.3 674
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
22. Interest Only Term
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 2,326 421,382,770 76.79 7.232 332 81.8 647
60 386 127,388,228 23.21 6.169 357 81.27 678
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,712 548,770,998 100 6.985 338 81.67 655
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
This information has been prepared in connection with the issuance of securities
representing [interests in / debt of] the above trust, and is based in part on
information provided by [ORIGINATOR] with respect to the expected
characteristics of the pool of [ASSET] in which these securities will represent
[undivided beneficial interests / debt obligations]. The actual characteristics
and performance of the [ASSET] will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular tradingstrategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
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CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
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NOT DEFINED HEREINARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Xxxxxx Xxxxxxx & Co. Incorporated and
approved by Xxxxxx Xxxxxxx & Co. International Limited, a member of the
Securities and Futures Authority, and Xxxxxx Xxxxxxx Japan Ltd. We recommend
that investors obtain the advice of their Xxxxxx Xxxxxxx & Co. International
Limited or Xxxxxx Xxxxxxx Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
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solicitation of an offer to buy or sell any security or instrument or to
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Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
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offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
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Xxxxxx Xxxxxxx
2005-WMC3
Non-Owner Occupied
Selection Criteria: Non-Owner Occupied
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 296
Aggregate Principal Balance ($): 51,846,144
Weighted Average Current Mortgage Rate (%): 7.053
Non-Zero Weighted Average Margin (%): 6.390
Non-Zero Weighted Average Maximum Rate (%): 13.448
Weighted Average Stated Original Term (months): 353
Weighted Average Stated Remaining Term (months): 349
Weighted Average Combined Original LTV (%): 81.45
% First Liens: 96.64
% Owner Occupied: 0.00
% Purchase: 55.81
% Full Doc: 39.92
Non-Zero Weighted Average Credit Score: 672
2. Product Types
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed - 15 Year 3 315,741 0.61 7.34 177 73.15 682
Fixed - 20 Year 1 96,654 0.19 7.25 237 90 672
Fixed - 30 Year 53 9,002,283 17.36 7.001 357 78.61 668
Balloon - 15/30 40 1,742,094 3.36 9.726 177 99.12 734
ARM - 2 Year/6 Month 160 33,046,630 63.74 7.061 357 81.1 665
ARM - 3 Year/6 Month 7 2,010,814 3.88 6.33 357 80.12 700
ARM - 5 Year/6 Month 11 1,820,622 3.51 6.596 356 80.21 676
Interest Only ARM - 5 Year/6 Month 3 496,560 0.96 6.813 357 86.53 667
Interest Only ARM - 2 Year/6 Month 18 3,314,747 6.39 6.404 357 84.74 707
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
3. Range of Gross Interest Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Gross Mortgage Principal Principal Interest Term Original FICO
Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
4.000 - 4.999 2 451,582 0.87 4.99 356 87 752
5.000 - 5.999 30 5,669,916 10.94 5.768 357 80.69 687
6.000 - 6.999 102 22,877,222 44.13 6.614 355 80.35 688
7.000 - 7.999 94 17,393,313 33.55 7.523 355 80.95 648
8.000 - 8.999 33 3,837,524 7.4 8.426 343 85.43 648
9.000 - 9.999 20 961,659 1.85 9.659 216 92.53 686
10.000 - 10.999 14 623,798 1.2 10.554 188 96.3 712
11.000 - 11.999 1 31,129 0.06 11.5 177 100 692
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 4.990
Maximum: 11.500
Weighted Average: 7.053
4. Range of Cut-off Date Principal Balances ($)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Cut-off Date Mortgage Principal Principal Interest Term Original FICO
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
1 - 25,000 4 90,308 0.17 10.006 177 98.72 716
25,001 - 50,000 32 1,166,179 2.25 9.31 235 91.75 692
50,001 - 75,000 32 1,982,348 3.82 8.406 291 85.1 688
75,001 - 100,000 32 2,892,287 5.58 7.372 353 84.19 657
100,001 - 125,000 35 3,925,887 7.57 7.17 342 82.31 669
125,001 - 150,000 29 3,953,480 7.63 6.741 351 79.04 670
150,001 - 175,000 21 3,342,926 6.45 6.853 357 81.2 671
175,001 - 200,000 10 1,872,165 3.61 7.34 357 80.92 652
200,001 - 225,000 24 5,122,040 9.88 6.864 357 79.73 677
225,001 - 250,000 8 1,938,205 3.74 6.59 357 80.4 684
250,001 - 275,000 14 3,613,899 6.97 6.652 357 78.78 688
275,001 - 300,000 10 2,831,319 5.46 6.58 357 82.65 651
300,001 - 325,000 8 2,467,720 4.76 6.452 357 82.54 689
325,001 - 350,000 3 1,018,581 1.96 7.348 357 91.65 675
350,001 - 375,000 4 1,446,495 2.79 6.778 356 77.71 686
375,001 - 400,000 6 2,346,695 4.53 7.284 357 84.67 678
400,001 - 425,000 8 3,327,851 6.42 6.975 357 76.09 660
425,001 - 450,000 5 2,199,907 4.24 6.903 357 81.98 712
450,001 - 475,000 4 1,863,439 3.59 6.544 357 81 671
475,001 - 500,000 1 493,063 0.95 7.99 357 75 532
500,001 - 750,000 5 3,187,930 6.15 7.219 357 81.24 656
750,001 - 1,000,000 1 763,418 1.47 7.9 357 85 695
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 17,880
Maximum: 763,418
Average: 175,156
5. Stated Original Term (months)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
180 43 2,057,835 3.97 9.36 177 95.13 726
240 1 96,654 0.19 7.25 237 90 672
360 252 49,691,655 95.84 6.957 357 80.87 670
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 180
Maximum: 360
Weighted Average: 353
6. Range of Stated Remaining Terms (months)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Stated Mortgage Principal Principal Interest Term Original FICO
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
169 - 180 43 2,057,835 3.97 9.36 177 95.13 726
229 - 240 1 96,654 0.19 7.25 237 90 672
349 - 360 252 49,691,655 95.84 6.957 357 80.87 670
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 176
Maximum: 358
Weighted Average: 349
7. Range of Combined Original LTV Ratios (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
25.01 - 30.00 1 154,685 0.3 7.99 357 29.81 607
40.01 - 45.00 2 205,429 0.4 6.825 357 42.94 597
45.01 - 50.00 6 1,220,482 2.35 6.727 357 47.72 647
50.01 - 55.00 2 180,404 0.35 7.06 356 52.47 622
55.01 - 60.00 7 1,044,846 2.02 7.137 333 59.06 641
60.01 - 65.00 4 1,375,833 2.65 7.015 356 61.62 634
65.01 - 70.00 13 2,833,690 5.47 6.992 357 67.49 635
70.01 - 75.00 16 3,493,901 6.74 7.001 353 73.71 660
75.01 - 80.00 90 15,623,771 30.13 6.766 357 79.71 688
80.01 - 85.00 35 8,590,304 16.57 7.01 357 84.51 660
85.01 - 90.00 63 11,724,216 22.61 7.066 353 89.97 673
90.01 - 95.00 23 3,870,220 7.46 7.362 351 94.99 690
95.01 - 100.00 34 1,528,364 2.95 9.751 177 100 732
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 29.81
Maximum: 100.00
Weighted Average: 81.45
8. Range of Gross Margins (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
Fixed Rate Loans 97 11,156,772 21.52 7.438 323 81.75 679
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
3.501 - 4.000 1 316,075 0.61 4.99 356 90 760
4.001 - 4.500 1 373,666 0.72 6.625 356 65.22 662
4.501 - 5.000 9 2,016,403 3.89 6.123 357 77.17 707
5.001 - 5.500 13 1,644,157 3.17 6.176 357 84.36 674
5.501 - 6.000 34 8,354,287 16.11 6.58 357 80.95 698
6.001 - 6.500 62 12,928,440 24.94 6.846 357 81.02 670
6.501 - 7.000 33 6,729,463 12.98 7.207 357 79.84 651
7.001 - 7.500 26 5,644,557 10.89 7.559 357 85.02 652
7.501 - 8.000 17 1,915,266 3.69 7.909 357 85.11 633
8.001 - 8.500 2 531,992 1.03 8.684 357 86.01 675
8.501 - 9.000 1 235,068 0.45 7.33 356 60.49 654
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.000
Maximum: 8.750
Non-Zero Weighted Average: 6.390
9. Range of Minimum Mortgage Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Minimum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 97 11,156,772 21.52 7.438 323 81.75 679
<=5.000 2 451,582 0.87 4.99 356 87 752
5.001 - 5.500 6 1,124,212 2.17 5.33 357 78.79 717
5.501 - 6.000 22 4,291,716 8.28 5.876 357 80.09 694
6.001 - 6.500 32 6,754,197 13.03 6.36 357 81.13 686
6.501 - 7.000 51 11,738,208 22.64 6.847 357 82.21 690
7.001 - 7.500 35 6,934,183 13.37 7.318 357 81.08 652
7.501 - 8.000 31 6,824,814 13.16 7.804 357 80.05 631
8.001 - 8.500 11 1,623,433 3.13 8.309 357 87.44 623
8.501 - 9.000 8 907,080 1.75 8.814 357 81.73 630
10.001 -10.500 1 39,948 0.08 10.175 357 45.45 545
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.990
Maximum: 10.175
Non-Zero Weighted Average: 6.944
10. Range of Maximum Mortgage Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Maximum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 97 11,156,772 21.52 7.438 323 81.75 679
<= 12.500 30 5,867,509 11.32 5.703 357 80.38 703
12.501 - 13.000 32 6,754,197 13.03 6.36 357 81.13 686
13.001 - 13.500 51 11,738,208 22.64 6.847 357 82.21 690
13.501 - 14.000 35 6,934,183 13.37 7.318 357 81.08 652
14.001 - 14.500 29 6,697,657 12.92 7.784 357 80.15 632
14.501 - 15.000 12 1,654,856 3.19 8.313 357 86.89 622
15.001 - 15.500 9 1,002,814 1.93 8.831 357 81.56 619
16.501 - 17.000 1 39,948 0.08 10.175 357 45.45 545
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 11.490
Maximum: 16.675
Non-Zero Weighted Average: 13.448
11. Initial Periodic Cap (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 97 11,156,772 21.52 7.438 323 81.75 679
1.5 156 32,517,354 62.72 7.051 357 81.09 665
3 40 7,675,458 14.8 6.52 357 82.25 694
5 3 496,560 0.96 6.813 357 86.53 667
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 1.500
Maximum: 5.000
Non-Zero Weighted Average: 1.826
12. Subsequent Periodic Cap (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 97 11,156,772 21.52 7.438 323 81.75 679
1 198 40,623,108 78.35 6.946 357 81.37 671
1.5 1 66,265 0.13 7.625 357 84.6 771
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 1.000
Maximum: 1.500
Non-Zero Weighted Average: 1.001
13. Next Rate Adjustment Dates
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 97 11,156,772 21.52 7.438 323 81.75 679
Oct-06 1 104,302 0.2 5.5 354 75 578
Nov-06 3 413,945 0.8 7.602 355 69.47 613
Dec-06 31 6,338,184 12.22 6.937 356 78.68 666
Jan-07 143 29,504,945 56.91 7.012 357 82.21 671
Jan-08 7 2,010,814 3.88 6.33 357 80.12 700
Dec-09 6 1,141,986 2.2 6.655 356 79.46 682
Jan-10 8 1,175,196 2.27 6.63 357 83.61 667
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
14. Geographic Distribution of Mortgaged Properties
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Geographic Distribution Mortgage Principal Principal Interest Term Original FICO
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
California 90 24,276,449 46.82 6.942 356 79.18 665
Arizona 40 4,424,837 8.53 7.16 336 85.05 680
Florida 32 4,286,272 8.27 7.34 339 83.2 706
Nevada 23 3,453,753 6.66 6.697 331 84.86 722
New York 11 2,026,275 3.91 7.049 351 78.3 676
Texas 19 1,793,124 3.46 7.39 347 85.31 679
New Jersey 6 1,345,456 2.6 7.153 357 73.79 598
Illinois 8 976,353 1.88 7.569 357 89.13 653
Washington 6 963,086 1.86 7.062 336 87.15 648
Pennsylvania 6 895,347 1.73 7.099 357 84.28 622
Virginia 7 879,021 1.7 6.942 343 84.54 710
Connecticut 3 690,139 1.33 8.076 357 87.27 642
Rhode Island 2 614,029 1.18 6.812 357 75.27 676
Maryland 3 599,127 1.16 6.911 317 84.82 664
Georgia 5 587,681 1.13 7.637 357 83.28 638
Other 35 4,035,196 7.78 7.109 352 83.53 674
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Number of States/District of
Columbia Represented: 34
15. Occupancy
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Investment 180 36,246,125 69.91 7.107 355 80.1 663
Second Home 116 15,600,019 30.09 6.927 336 84.59 696
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
16. Property Type
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Single Family Residence 164 28,910,886 55.76 7.111 352 81.73 661
2-4 Family 40 9,743,121 18.79 7.104 354 77.38 678
Planned Unit Development 61 8,457,196 16.31 6.896 337 84.92 691
Condominium 28 4,117,453 7.94 6.869 344 82.37 700
Manufactured Housing 3 617,488 1.19 6.94 337 79.45 654
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
17. Loan Purpose
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 181 28,933,612 55.81 7.1 346 84.96 690
Refinance - Cashout 83 17,234,130 33.24 7.078 354 76.29 646
Refinance - Rate Term 32 5,678,402 10.95 6.738 352 79.28 665
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
18. Documentation Level
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Stated Documentation 129 22,757,091 43.89 7.204 347 78.86 673
Full Documentation 120 20,697,962 39.92 6.972 349 82.83 674
Limited Documentation 47 8,391,090 16.18 6.844 357 85.1 669
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
19. Credit Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
500 - 524 1 95,734 0.18 9 355 80 514
525 - 549 6 984,669 1.9 8.283 357 74.03 535
550 - 574 6 895,886 1.73 7.623 357 75.72 562
575 - 599 23 3,446,611 6.65 7.244 353 72.25 589
600 - 624 33 7,704,160 14.86 7.232 357 81.08 615
625 - 649 30 4,648,513 8.97 7.122 355 78.08 638
650 - 674 47 10,022,102 19.33 6.907 353 79.83 665
675 - 699 57 9,834,677 18.97 7.083 349 85.23 688
700 - 724 23 3,868,191 7.46 6.936 346 87.42 709
725 - 749 30 3,626,067 6.99 6.836 331 82.61 738
750 - 774 22 3,688,606 7.11 6.69 341 85.19 760
775 - 799 15 2,838,897 5.48 6.915 341 81.47 789
800 + 3 192,030 0.37 6.389 297 86.71 814
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 514
Maximum: 816
Non-Zero Weighted Average: 672
20. Prepayment Penalty Term
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 77 14,863,222 28.67 7.322 348 82.59 680
12 16 3,622,407 6.99 7.352 354 74.23 668
24 141 22,972,406 44.31 6.901 350 82.94 669
36 61 10,293,874 19.85 6.905 348 78.97 670
60 1 94,236 0.18 6.375 357 90 673
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 12
Maximum: 60
Non-Zero Weighted Average: 26
21. Lien Position
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
1st Lien 256 50,104,050 96.64 6.96 355 80.84 670
2nd Lien 40 1,742,094 3.36 9.726 177 99.12 734
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
22. Interest Only Term
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 275 48,034,837 92.65 7.1 349 81.17 670
60 21 3,811,307 7.35 6.457 357 84.97 702
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 296 51,846,144 100 7.053 349 81.45 672
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
This information has been prepared in connection with the issuance of securities
representing [interests in / debt of] the above trust, and is based in part on
information provided by [ORIGINATOR] with respect to the expected
characteristics of the pool of [ASSET] in which these securities will represent
[undivided beneficial interests / debt obligations]. The actual characteristics
and performance of the [ASSET] will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular tradingstrategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREINARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Xxxxxx Xxxxxxx & Co. Incorporated and
approved by Xxxxxx Xxxxxxx & Co. International Limited, a member of the
Securities and Futures Authority, and Xxxxxx Xxxxxxx Japan Ltd. We recommend
that investors obtain the advice of their Xxxxxx Xxxxxxx & Co. International
Limited or Xxxxxx Xxxxxxx Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
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solicitation of an offer to buy or sell any security or instrument or to
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Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
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offer of securities conforming to the terms hereof. Any such offer of securities
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for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
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Xxxxxx Xxxxxxx
2005-WMC3
2nd Lien
Selection Criteria: 2nd Lien
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 1,446
Aggregate Principal Balance ($): 88,083,860
Weighted Average Current Mortgage Rate (%): 10.030
Non-Zero Weighted Average Margin (%): 0.000
Non-Zero Weighted Average Maximum Rate (%): 0.000
Weighted Average Stated Original Term (months): 180
Weighted Average Stated Remaining Term (months): 177
Weighted Average Combined Original LTV (%): 99.30
% First Liens: 0.00
% Owner Occupied: 98.02
% Purchase: 82.26
% Full Doc: 36.48
Non-Zero Weighted Average Credit Score: 665
2. Product Types
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed - 15 Year 16 713,401 0.81 10.161 177 99.54 648
Fixed - 20 Year 3 93,964 0.11 11.261 236 100 627
Fixed - 30 Year 1 28,959 0.03 9.75 357 100 653
Balloon - 15/30 1,426 87,247,536 99.05 10.028 177 99.3 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
3. Range of Gross Interest Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
7.000 - 7.999 15 973,037 1.1 7.886 177 100 724
8.000 - 8.999 202 13,644,153 15.49 8.612 177 99.23 698
9.000 - 9.999 561 34,681,273 39.37 9.774 177 99.47 678
10.000 - 10.999 511 31,711,420 36 10.642 177 99.21 643
11.000 - 11.999 145 6,706,286 7.61 11.508 177 98.94 629
12.000 - 12.999 11 342,431 0.39 12.766 182 98.85 638
13.000 - 13.999 1 25,260 0.03 13.125 176 100 608
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 7.250
Maximum: 13.125
Weighted Average: 10.030
4. Range of Cut-off Date Principal Balances ($)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
1 - 25,000 158 3,174,502 3.6 10.363 177 99.22 641
25,001 - 50,000 464 17,306,130 19.65 10.168 177 99.35 657
50,001 - 75,000 442 27,435,067 31.15 10.062 177 99.43 668
75,001 - 100,000 216 18,640,312 21.16 9.898 177 99.4 670
100,001 - 125,000 88 9,745,813 11.06 9.928 177 99.05 674
125,001 - 150,000 49 6,732,264 7.64 9.964 177 98.93 663
150,001 - 175,000 17 2,733,493 3.1 9.791 177 99.28 670
175,001 - 200,000 11 2,097,774 2.38 10.059 177 98.76 656
200,001 - 225,000 1 218,507 0.25 10.875 177 100 616
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 13,185
Maximum: 218,507
Average: 60,916
5. Stated Original Term (months)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
180 1,442 87,960,937 99.86 10.029 177 99.3 665
240 3 93,964 0.11 11.261 236 100 627
360 1 28,959 0.03 9.75 357 100 653
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 180
Maximum: 360
Weighted Average: 180
6. Range of Stated Remaining Terms (months)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
169 - 180 1,442 87,960,937 99.86 10.029 177 99.3 665
229 - 240 3 93,964 0.11 11.261 236 100 627
349 - 360 1 28,959 0.03 9.75 357 100 653
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 173
Maximum: 357
Weighted Average: 177
7. Range of Combined Original LTV Ratios (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
70.01 - 75.00 2 206,777 0.23 11.008 177 72.91 626
75.01 - 80.00 1 149,810 0.17 10.25 177 78.36 620
80.01 - 85.00 2 79,579 0.09 10.555 177 85 677
85.01 - 90.00 31 1,895,886 2.15 9.987 177 89.2 660
90.01 - 95.00 91 5,444,891 6.18 10.123 177 94.79 669
95.01 - 100.00 1,319 80,306,918 91.17 10.022 177 99.97 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 71.80
Maximum: 100.00
Weighted Average: 99.30
8. Range of Gross Margins (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
9. Range of Minimum Mortgage Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
10. Range of Maximum Mortgage Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
11. Initial Periodic Cap (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
12. Subsequent Periodic Cap (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
13. Next Rate Adjustment Dates
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
14. Geographic Distribution of Mortgaged Properties
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
California 691 53,384,330 60.61 9.895 177 99.29 669
Virginia 74 4,474,806 5.08 10.534 177 99.18 665
Texas 111 3,701,140 4.2 9.987 177 99.91 651
Florida 73 3,258,802 3.7 10.23 178 99.55 663
Maryland 55 3,190,235 3.62 10.412 177 99.84 646
New York 36 2,836,956 3.22 10.085 177 98.22 678
New Jersey 35 1,981,105 2.25 10.231 177 98.32 665
Arizona 57 1,945,092 2.21 10.129 179 99.64 673
Nevada 35 1,902,934 2.16 10.151 177 99.5 671
Illinois 41 1,891,937 2.15 10.246 177 99.43 681
Washington 31 1,405,207 1.6 9.826 177 99.72 641
Connecticut 21 1,176,384 1.34 9.752 177 99.49 657
Massachusetts 18 1,159,218 1.32 10.454 177 99.6 668
Colorado 19 814,994 0.93 10.37 177 99.74 634
Georgia 17 776,801 0.88 10.494 177 99.78 642
Other 132 4,183,919 4.75 10.354 177 98.9 645
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Number of States/District of Columbia Represented: 39
15. Occupancy
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Primary 1,406 86,341,767 98.02 10.036 177 99.31 664
Second Home 40 1,742,094 1.98 9.726 177 99.12 734
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
16. Property Type
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Single Family Residence 984 60,303,719 68.46 10.007 177 99.24 664
Planned Unit Development 232 13,610,538 15.45 10.209 177 99.61 661
Condominium 161 8,847,522 10.04 9.916 177 99.69 669
2-4 Family 69 5,322,081 6.04 10.028 177 98.63 688
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
17. Loan Purpose
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 1,189 72,455,238 82.26 10.015 177 99.59 670
Refinance - Cashout 175 10,764,432 12.22 10.096 178 97.9 646
Refinance - Rate Term 82 4,864,190 5.52 10.112 177 98.12 644
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
18. Documentation Level
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Stated Documentation 716 45,723,925 51.91 10.277 177 99.26 679
Full Documentation 580 32,130,838 36.48 9.764 177 99.3 651
Limited Documentation 150 10,229,098 11.61 9.766 177 99.5 649
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
19. Credit Score
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
500 - 524 2 112,832 0.13 10.25 176 100 511
525 - 549 1 14,981 0.02 10.25 177 100 542
550 - 574 9 541,433 0.61 10.471 177 99.69 564
575 - 599 133 6,069,714 6.89 10.673 177 99.52 589
600 - 624 206 11,660,071 13.24 10.574 177 98.77 614
625 - 649 291 17,525,150 19.9 10.314 177 99.29 637
650 - 674 258 16,545,161 18.78 10.184 177 99.55 662
675 - 699 241 15,307,931 17.38 9.743 177 99.26 687
700 - 724 147 10,091,406 11.46 9.441 177 99.23 712
725 - 749 81 5,317,758 6.04 9.344 177 99.38 736
750 - 774 50 3,120,872 3.54 9.172 177 99.65 762
775 - 799 20 1,333,524 1.51 9.386 177 99.34 786
800 + 7 443,027 0.5 8.913 177 100 812
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 500
Maximum: 821
Non-Zero Weighted Average: 665
20. Prepayment Penalty Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 565 30,423,852 34.54 10.21 177 99.08 661
12 35 2,782,999 3.16 10.205 177 98.93 649
24 504 34,292,926 38.93 9.914 177 99.57 666
36 342 20,584,084 23.37 9.934 177 99.24 673
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 28
21. Lien Position
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
2nd Lien 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
22. Interest Only Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 1,446 88,083,860 100 10.03 177 99.3 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,446 88,083,860 100 10.03 177 99.3 665
This information has been prepared in connection with the issuance of securities
representing [interests in / debt of] the above trust, and is based in part on
information provided by [ORIGINATOR] with respect to the expected
characteristics of the pool of [ASSET] in which these securities will represent
[undivided beneficial interests / debt obligations]. The actual characteristics
and performance of the [ASSET] will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular tradingstrategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREINARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Xxxxxx Xxxxxxx & Co. Incorporated and
approved by Xxxxxx Xxxxxxx & Co. International Limited, a member of the
Securities and Futures Authority, and Xxxxxx Xxxxxxx Japan Ltd. We recommend
that investors obtain the advice of their Xxxxxx Xxxxxxx & Co. International
Limited or Xxxxxx Xxxxxxx Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
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solicitation of an offer to buy or sell any security or instrument or to
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Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
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for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
Group 1; Interest Only
Selection Criteria: Group 1; Interest Only
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 396
Aggregate Principal Balance ($): 96,910,946
Weighted Average Current Mortgage Rate (%): 6.077
Non-Zero Weighted Average Margin (%): 5.769
Non-Zero Weighted Average Maximum Rate (%): 12.576
Weighted Average Stated Original Term (months): 360
Weighted Average Stated Remaining Term (months): 357
Weighted Average Combined Original LTV (%): 81.37
% First Liens: 100.00
% Owner Occupied: 97.09
% Purchase: 62.05
% Full Doc: 45.39
Non-Zero Weighted Average Credit Score: 684
2. Product Types
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Interest Only ARM - 5 Year/6 Month 53 12,557,858 12.96 6.062 357 81.88 682
Interest Only ARM - 2 Year/6 Month 343 84,353,088 87.04 6.08 357 81.29 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
3. Range of Gross Interest Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Gross Mortgage Principal Principal Interest Term Original FICO
Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
4.000 - 4.999 8 1,988,351 2.05 4.99 357 80.27 684
5.000 - 5.999 204 50,748,804 52.37 5.678 357 80.64 687
6.000 - 6.999 162 39,180,990 40.43 6.475 357 82.2 683
7.000 - 7.999 21 4,748,801 4.9 7.374 357 82.81 669
8.000 - 8.999 1 244,000 0.25 8.975 356 80 638
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 4.990
Maximum: 8.975
Weighted Average: 6.077
4. Range of Cut-off Date Principal Balances ($)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Cut-off Date Mortgage Principal Principal Interest Term Original FICO
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
75,001 - 100,000 12 1,052,150 1.09 6.242 357 80.11 687
100,001 - 125,000 13 1,483,690 1.53 6.354 357 78.9 683
125,001 - 150,000 22 3,061,513 3.16 6.096 357 80.89 683
150,001 - 175,000 26 4,197,486 4.33 6.288 357 81.12 682
175,001 - 200,000 32 6,060,551 6.25 5.967 357 78.57 685
200,001 - 225,000 39 8,381,676 8.65 5.946 357 79.8 680
225,001 - 250,000 56 13,269,562 13.69 6.11 357 80.54 693
250,001 - 275,000 49 12,877,365 13.29 6.102 357 82.26 684
275,001 - 300,000 47 13,498,135 13.93 6.147 357 81.58 683
300,001 - 325,000 50 15,691,379 16.19 6.076 357 82.21 680
325,001 - 350,000 31 10,495,894 10.83 5.943 357 82.4 681
350,001 - 375,000 17 6,050,044 6.24 6.07 357 82.61 688
375,001 - 400,000 2 791,500 0.82 6.119 357 84.95 647
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 76,000
Maximum: 400,000
Average: 244,725
5. Stated Original Term (months)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
360 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 360
Maximum: 360
Weighted Average: 360
6. Range of Stated Remaining Terms (months)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Stated Mortgage Principal Principal Interest Term Original FICO
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
349 - 360 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 355
Maximum: 358
Weighted Average: 357
7. Range of Combined Original LTV Ratios (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
35.01 - 40.00 1 115,000 0.12 5.5 357 38.98 699
45.01 - 50.00 1 190,000 0.2 6.24 357 45.13 779
50.01 - 55.00 2 475,000 0.49 6.183 356 53.38 672
60.01 - 65.00 4 1,061,250 1.1 5.717 356 62.27 703
65.01 - 70.00 4 967,094 1 5.442 357 69.14 651
70.01 - 75.00 5 1,256,041 1.3 6.131 357 73.1 698
75.01 - 80.00 303 72,405,058 74.71 6.03 357 79.91 687
80.01 - 85.00 18 4,837,140 4.99 6.057 357 84.23 676
85.01 - 90.00 31 8,394,672 8.66 6.279 357 89.06 663
90.01 - 95.00 27 7,209,690 7.44 6.453 357 94.48 679
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 38.98
Maximum: 95.00
Weighted Average: 81.37
8. Range of Gross Margins (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
4.001 - 4.500 2 537,944 0.56 5.416 357 75.58 674
4.501 - 5.000 75 18,008,284 18.58 5.708 357 80.07 685
5.001 - 5.500 96 22,858,905 23.59 5.759 357 80.38 683
5.501 - 6.000 87 21,670,924 22.36 6.073 357 80.56 689
6.001 - 6.500 90 22,531,693 23.25 6.432 357 81.91 683
6.501 - 7.000 29 6,983,165 7.21 6.548 357 85.88 675
7.001 - 7.500 16 4,100,030 4.23 6.776 357 87.02 679
7.501 - 8.000 1 220,000 0.23 7.075 357 80 697
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.375
Maximum: 7.750
Non-Zero Weighted Average: 5.769
9. Range of Minimum Mortgage Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Minimum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
<=5.000 8 1,988,351 2.05 4.99 357 80.27 684
5.001 - 5.500 68 17,243,879 17.79 5.372 357 79.33 678
5.501 - 6.000 138 33,896,775 34.98 5.837 357 81.21 691
6.001 - 6.500 98 24,601,332 25.39 6.318 357 81.74 684
6.501 - 7.000 62 14,187,809 14.64 6.761 357 83.27 679
7.001 - 7.500 17 3,731,101 3.85 7.267 357 82.31 663
7.501 - 8.000 4 1,017,700 1.05 7.767 357 84.64 692
8.501 - 9.000 1 244,000 0.25 8.975 356 80 638
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.990
Maximum: 8.975
Non-Zero Weighted Average: 6.077
10. Range of Maximum Mortgage Rates (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Maximum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
<= 12.500 215 53,357,004 55.06 5.658 357 80.56 686
12.501 - 13.000 97 24,373,332 25.15 6.317 357 81.76 684
13.001 - 13.500 62 14,187,809 14.64 6.761 357 83.27 679
13.501 - 14.000 17 3,731,101 3.85 7.267 357 82.31 663
14.001 - 14.500 4 1,017,700 1.05 7.767 357 84.64 692
15.001 - 15.500 1 244,000 0.25 8.975 356 80 638
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 11.490
Maximum: 15.475
Non-Zero Weighted Average: 12.576
11. Initial Periodic Cap (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
1.359 1 280,000 0.29 6.99 357 76.71 645
1.5 4 1,022,106 1.05 6.714 356 84.02 672
2 1 228,000 0.24 6.44 356 79.86 712
3 339 83,348,982 86.01 6.069 357 81.3 684
5 51 12,031,858 12.42 6.051 357 81.73 682
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 1.359
Maximum: 5.000
Non-Zero Weighted Average: 3.225
12. Subsequent Periodic Cap (%)
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
1 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 1.000
Maximum: 1.000
Non-Zero Weighted Average: 1.000
13. Next Rate Adjustment Dates
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Nov-06 2 419,337 0.43 6.444 355 77.63 641
Dec-06 69 17,118,469 17.66 6.199 356 80.62 684
Jan-07 272 66,815,283 68.95 6.047 357 81.49 685
Nov-09 1 298,397 0.31 6.625 355 80 635
Dec-09 16 3,592,218 3.71 6.175 356 82.74 666
Jan-10 36 8,667,242 8.94 5.995 357 81.6 690
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
14. Geographic Distribution of Mortgaged Properties
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Geographic Distribution Mortgage Principal Principal Interest Term Original FICO
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
California 274 72,865,623 75.19 6.056 357 81.4 683
Florida 19 3,429,149 3.54 6.099 357 80.34 677
Virginia 10 2,572,649 2.65 6.63 357 80.09 694
Nevada 12 2,340,996 2.42 5.974 357 82.18 684
Arizona 15 2,179,559 2.25 6.303 357 81.57 703
Maryland 9 2,010,769 2.07 6.12 357 85.58 696
New York 5 1,721,359 1.78 5.82 357 76.09 659
Washington 8 1,475,145 1.52 5.9 357 80 680
Illinois 7 1,429,846 1.48 6.433 357 84.39 691
Colorado 6 1,253,964 1.29 5.956 357 79.62 661
New Jersey 5 1,107,946 1.14 6.133 357 81.12 703
Connecticut 4 839,920 0.87 6.156 356 80 675
Massachusetts 3 714,460 0.74 5.97 357 85.62 713
Texas 3 648,400 0.67 6.324 357 80 674
Michigan 2 455,950 0.47 6.257 357 91.44 702
Other 14 1,865,211 1.92 5.966 357 79.85 686
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Number of States/District of
Columbia Represented: 25
15. Occupancy
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Primary 380 94,095,472 97.09 6.067 357 81.28 683
Second Home 13 2,263,974 2.34 6.263 357 82.66 719
Investment 3 551,500 0.57 7.034 357 90.55 662
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
16. Property Type
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Single Family Residence 254 63,425,134 65.45 6.073 357 81.42 683
Condominium 86 19,792,812 20.42 6.012 357 81.46 689
Planned Unit Development 45 10,196,200 10.52 6.15 357 81.15 682
2-4 Family 11 3,496,799 3.61 6.302 357 80.61 680
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
17. Loan Purpose
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 250 60,131,792 62.05 6.065 357 80.51 691
Refinance - Cashout 103 26,280,821 27.12 6.026 357 82.15 672
Refinance - Rate Term 43 10,498,333 10.83 6.275 357 84.33 670
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
18. Documentation Level
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Full Documentation 183 43,989,254 45.39 5.896 357 82.32 681
Stated Documentation 149 36,987,979 38.17 6.355 357 79.88 696
Limited Documentation 64 15,933,713 16.44 5.934 357 82.2 662
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
19. Credit Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
625 - 649 85 21,501,833 22.19 6.12 357 82.14 640
650 - 674 98 23,360,034 24.1 6.058 357 82.21 661
675 - 699 99 24,166,609 24.94 6.122 357 80.46 687
700 - 724 54 13,664,734 14.1 6.05 357 81.74 712
725 - 749 28 6,204,168 6.4 6.147 357 79.95 734
750 - 774 19 4,566,099 4.71 5.897 357 81.56 761
775 - 799 10 2,559,468 2.64 5.823 357 77.38 783
800 + 3 888,000 0.92 5.942 357 80 809
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 630
Maximum: 813
Non-Zero Weighted Average: 684
20. Prepayment Penalty Term
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 46 11,002,448 11.35 6.413 357 82.25 674
12 13 2,990,033 3.09 6.293 357 80.73 672
24 296 73,515,449 75.86 6.017 357 81.22 686
36 41 9,403,015 9.7 6.085 357 81.71 680
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 25
21. Lien Position
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
1st Lien 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
22. Interest Only Term
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
60 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 396 96,910,946 100 6.077 357 81.37 684
---------------------------------- -------- ----------- --------- -------- --------- -------- --------
This information has been prepared in connection with the issuance of securities
representing [interests in / debt of] the above trust, and is based in part on
information provided by [ORIGINATOR] with respect to the expected
characteristics of the pool of [ASSET] in which these securities will represent
[undivided beneficial interests / debt obligations]. The actual characteristics
and performance of the [ASSET] will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular tradingstrategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
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NOT DEFINED HEREINARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Xxxxxx Xxxxxxx & Co. Incorporated and
approved by Xxxxxx Xxxxxxx & Co. International Limited, a member of the
Securities and Futures Authority, and Xxxxxx Xxxxxxx Japan Ltd. We recommend
that investors obtain the advice of their Xxxxxx Xxxxxxx & Co. International
Limited or Xxxxxx Xxxxxxx Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
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Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
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offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
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our readers worldwide: In addition, please note that this publication has been
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Xxxxxx Xxxxxxx
2005-WMC3
Group 1; Purchase Loans
Selection Criteria: Group 1; Purchase Loans
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 1,631
Aggregate Principal Balance ($): 193,322,565
Weighted Average Current Mortgage Rate (%): 7.041
Non-Zero Weighted Average Margin (%): 5.908
Non-Zero Weighted Average Maximum Rate (%): 12.932
Weighted Average Stated Original Term (months): 332
Weighted Average Stated Remaining Term (months): 329
Weighted Average Combined Original LTV (%): 83.85
% First Liens: 84.66
% Owner Occupied: 92.93
% Purchase: *****
% Full Doc: 37.17
Non-Zero Weighted Average Credit Score: 666
2. Product Types
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed - 15 Year 7 294,989 0.15 9.862 177 94.32 652
Fixed - 30 Year 36 4,186,824 2.17 7.561 357 83.77 674
Balloon - 15/30 706 29,428,395 15.22 10.237 177 99.74 656
ARM - 2 Year/6 Month 599 93,807,919 48.52 6.667 357 81.13 652
ARM - 3 Year/6 Month 19 2,847,730 1.47 6.506 357 80.14 664
ARM - 5 Year/6 Month 14 2,624,916 1.36 6.345 357 82.5 697
Interest Only ARM - 5 Year/6 Month 26 5,809,577 3.01 6.069 357 80.89 695
Interest Only ARM - 2 Year/6 Month 224 54,322,216 28.1 6.065 357 80.47 691
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
3. Range of Gross Interest Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
4.000 - 4.999 14 3,292,159 1.7 4.99 357 80.96 689
5.000 - 5.999 211 46,372,564 23.99 5.65 357 80.22 684
6.000 - 6.999 462 84,287,705 43.6 6.528 357 80.54 670
7.000 - 7.999 183 24,024,054 12.43 7.504 355 82.86 641
8.000 - 8.999 124 8,484,335 4.39 8.551 296 90.58 643
9.000 - 9.999 274 11,511,699 5.95 9.783 179 99.54 667
10.000 - 10.999 256 11,175,649 5.78 10.639 177 99.71 640
11.000 - 11.999 100 3,983,781 2.06 11.48 177 99.74 628
12.000 - 12.999 7 190,618 0.1 12.804 176 100 642
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 4.990
Maximum: 12.875
Weighted Average: 7.041
4. Range of Cut-off Date Principal Balances ($)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
1 - 25,000 125 2,454,708 1.27 10.271 177 99.45 643
25,001 - 50,000 374 14,164,928 7.33 10.061 185 98.87 659
50,001 - 75,000 296 18,136,310 9.38 9.566 220 95.07 647
75,001 - 100,000 90 7,879,392 4.08 7.011 357 81.38 649
100,001 - 125,000 107 12,190,724 6.31 6.916 357 81.66 651
125,001 - 150,000 123 16,769,377 8.67 6.597 357 81.1 657
150,001 - 175,000 94 15,322,122 7.93 6.699 357 80.58 655
175,001 - 200,000 115 21,626,115 11.19 6.577 357 80.37 659
200,001 - 225,000 48 10,219,880 5.29 6.124 357 80.85 677
225,001 - 250,000 64 15,127,183 7.82 6.178 357 80.7 688
250,001 - 275,000 53 13,871,779 7.18 6.141 357 81.11 687
275,001 - 300,000 56 16,206,590 8.38 6.179 357 80.77 668
300,001 - 325,000 39 12,216,176 6.32 6.204 357 80.97 686
325,001 - 350,000 28 9,486,668 4.91 6.172 357 81.6 683
350,001 - 375,000 11 3,912,493 2.02 6.365 357 81.36 678
375,001 - 400,000 1 393,331 0.2 7.58 357 94.99 663
400,001 - 425,000 2 821,228 0.42 6.237 356 80 658
425,001 - 450,000 1 442,999 0.23 6.99 357 85 722
450,001 - 475,000 2 929,969 0.48 6.533 357 80.01 717
500,001 - 750,000 2 1,150,593 0.6 6.119 357 82.21 709
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 14,972
Maximum: 641,896
Average: 118,530
5. Stated Original Term (months)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
180 713 29,723,384 15.38 10.234 177 99.69 656
360 918 163,599,181 84.62 6.461 357 80.98 668
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 180
Maximum: 360
Weighted Average: 332
6. Range of Stated Remaining Terms (months)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
169 - 180 713 29,723,384 15.38 10.234 177 99.69 656
349 - 360 918 163,599,181 84.62 6.461 357 80.98 668
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 173
Maximum: 358
Weighted Average: 329
7. Range of Combined Original LTV Ratios (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
15.01 - 20.00 1 54,822 0.03 7.125 356 18.03 526
25.01 - 30.00 1 154,685 0.08 7.99 357 29.81 607
40.01 - 45.00 1 164,591 0.09 6.99 357 42.86 571
45.01 - 50.00 3 463,603 0.24 6.46 357 47.74 692
55.01 - 60.00 3 389,849 0.2 6.249 356 58.42 630
60.01 - 65.00 1 174,523 0.09 6.5 357 63.64 562
65.01 - 70.00 6 610,902 0.32 6.601 357 69.25 604
70.01 - 75.00 12 1,731,010 0.9 7.176 350 74.42 599
75.01 - 80.00 758 138,488,678 71.64 6.339 357 79.99 672
80.01 - 85.00 32 6,059,773 3.13 7.053 357 84.87 650
85.01 - 90.00 65 8,225,455 4.25 7.127 353 89.83 648
90.01 - 95.00 67 7,841,873 4.06 7.864 330 94.96 658
95.01 - 100.00 681 28,962,801 14.98 10.169 181 99.99 656
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 18.03
Maximum: 100.00
Weighted Average: 83.85
8. Range of Gross Margins (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 749 33,910,207 17.54 9.904 199 97.72 658
<= 3.500 1 151,749 0.08 8.99 357 95 589
3.501 - 4.000 2 586,338 0.3 5.11 356 85.39 751
4.001 - 4.500 3 686,543 0.36 5.104 357 80 698
4.501 - 5.000 122 25,348,652 13.11 5.897 357 80.05 675
5.001 - 5.500 156 27,102,981 14.02 6.084 357 80.8 665
5.501 - 6.000 192 36,513,359 18.89 6.293 357 80 670
6.001 - 6.500 223 40,072,835 20.73 6.614 357 80.46 670
6.501 - 7.000 103 17,681,977 9.15 6.992 357 82.45 664
7.001 - 7.500 61 8,586,108 4.44 7.432 357 84.2 648
7.501 - 8.000 19 2,681,815 1.39 7.78 356 86.77 646
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 2.624
Maximum: 7.975
Non-Zero Weighted Average: 5.908
9. Range of Minimum Mortgage Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 749 33,910,207 17.54 9.904 199 97.72 658
<=5.000 15 3,432,278 1.78 4.99 357 80.92 687
5.001 - 5.500 76 17,489,353 9.05 5.37 357 79.92 678
5.501 - 6.000 140 29,656,633 15.34 5.829 357 80.54 686
6.001 - 6.500 229 44,336,616 22.93 6.327 357 80.27 674
6.501 - 7.000 226 38,998,755 20.17 6.785 357 81.01 665
7.001 - 7.500 81 10,973,678 5.68 7.292 357 81.12 649
7.501 - 8.000 72 9,830,491 5.09 7.771 357 83.35 624
8.001 - 8.500 26 2,887,289 1.49 8.28 357 84.72 597
8.501 - 9.000 16 1,699,117 0.88 8.805 357 88.55 617
9.001 - 9.500 1 108,149 0.06 9.49 357 95 585
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.990
Maximum: 9.490
Non-Zero Weighted Average: 6.432
10. Range of Maximum Mortgage Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 749 33,910,207 17.54 9.904 199 97.72 658
<= 12.500 231 50,578,264 26.16 5.614 357 80.35 683
12.501 - 13.000 229 44,461,876 23 6.325 357 80.29 674
13.001 - 13.500 226 38,873,494 20.11 6.789 357 80.99 665
13.501 - 14.000 81 11,249,783 5.82 7.301 357 81.54 648
14.001 - 14.500 71 9,429,753 4.88 7.772 357 82.96 624
14.501 - 15.000 27 3,011,921 1.56 8.266 357 84.53 600
15.001 - 15.500 16 1,699,117 0.88 8.805 357 88.55 617
15.501 - 16.000 1 108,149 0.06 9.49 357 95 585
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 11.490
Maximum: 15.990
Non-Zero Weighted Average: 12.932
11. Initial Periodic Cap (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 749 33,910,207 17.54 9.904 199 97.72 658
0.5 1 393,331 0.2 7.58 357 94.99 663
1.5 579 90,488,119 46.81 6.632 357 80.88 652
3 277 63,057,331 32.62 6.167 357 80.84 689
5 25 5,473,577 2.83 6.092 357 80.94 694
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.500
Maximum: 5.000
Non-Zero Weighted Average: 2.211
12. Subsequent Periodic Cap (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 749 33,910,207 17.54 9.904 199 97.72 658
0.5 2 581,652 0.3 7.352 357 90.14 675
1 873 157,611,845 81.53 6.417 357 80.81 668
1.5 7 1,218,860 0.63 8.004 356 88.37 671
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.500
Maximum: 1.500
Non-Zero Weighted Average: 1.002
13. Next Rate Adjustment Dates
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 749 33,910,207 17.54 9.904 199 97.72 658
Sep-06 1 124,633 0.06 7.94 353 80 672
Oct-06 2 593,187 0.31 7.459 354 90.58 610
Nov-06 5 1,087,931 0.56 6.413 355 79.14 651
Dec-06 163 30,908,883 15.99 6.459 356 81.34 664
Jan-07 652 115,415,502 59.7 6.437 357 80.74 668
Nov-07 1 104,265 0.05 6.99 355 79.98 619
Dec-07 2 382,137 0.2 6.188 356 81.87 700
Jan-08 16 2,361,327 1.22 6.536 357 79.86 660
Nov-09 1 298,397 0.15 6.625 355 80 635
Dec-09 12 2,319,884 1.2 6.289 356 80.57 678
Jan-10 27 5,816,212 3.01 6.077 357 81.79 705
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
14. Geographic Distribution of Mortgaged Properties
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
California 617 103,387,944 53.48 6.657 336 82.52 678
Texas 199 13,951,232 7.22 7.564 322 85.13 643
Arizona 107 9,743,927 5.04 7.147 327 83.82 668
Florida 104 9,417,025 4.87 7.52 321 83.93 651
Illinois 65 6,580,262 3.4 7.536 324 86.63 659
Virginia 60 6,046,960 3.13 7.873 305 86.86 673
Washington 47 4,979,472 2.58 6.855 325 84.83 645
Nevada 42 4,940,911 2.56 7.326 328 86.17 662
Maryland 54 4,585,872 2.37 8.079 289 87.52 661
New Jersey 37 4,024,138 2.08 7.686 317 85.24 650
Connecticut 25 2,960,782 1.53 7.206 322 84.26 659
Pennsylvania 22 2,301,446 1.19 7.153 342 85.2 635
Massachusetts 19 2,164,725 1.12 7.455 318 86.4 662
Louisiana 33 1,927,859 1 7.42 326 86.2 636
New York 17 1,874,924 0.97 7.635 316 89.91 657
Other 183 14,435,086 7.47 7.541 327 85.13 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Number of States/District of Columbia Represented: 41
15. Occupancy
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Primary 1,515 179,654,210 92.93 7.043 328 83.81 664
Investment 55 7,712,970 3.99 7.059 357 84.89 682
Second Home 61 5,955,385 3.08 6.967 330 83.9 707
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
16. Property Type
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Single Family Residence 1,080 126,593,270 65.48 7.035 329 83.82 664
Planned Unit Development 273 27,761,565 14.36 7.367 321 84.88 655
Condominium 211 27,447,186 14.2 6.718 332 83.09 679
2-4 Family 62 10,974,150 5.68 7.093 340 83.73 693
Manufactured Housing 5 546,393 0.28 7.127 335 79.75 647
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
17. Loan Purpose
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 1,631 193,322,565 100 7.041 329 83.85 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
18. Documentation Level
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Stated Documentation 784 100,139,365 51.8 7.224 329 83.11 680
Full Documentation 670 71,857,966 37.17 6.889 329 84.8 651
Limited Documentation 177 21,325,233 11.03 6.694 329 84.16 655
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
19. Credit Score
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
500 - 524 5 655,066 0.34 7.066 340 79.74 512
525 - 549 13 1,549,098 0.8 8.065 355 80.27 540
550 - 574 41 4,691,138 2.43 7.733 344 83.55 562
575 - 599 180 15,514,678 8.03 7.63 320 85.51 589
600 - 624 200 17,098,783 8.84 7.735 313 85.2 612
625 - 649 307 34,191,511 17.69 7.214 321 84.65 638
650 - 674 295 36,015,371 18.63 7.051 325 83.87 662
675 - 699 256 35,838,161 18.54 6.777 337 83.01 687
700 - 724 142 20,728,019 10.72 6.568 338 82.58 711
725 - 749 98 12,968,521 6.71 6.73 337 83.21 737
750 - 774 70 10,472,158 5.42 6.382 338 84.17 760
775 - 799 19 2,552,553 1.32 6.736 335 83.11 785
800 + 5 1,047,509 0.54 5.945 352 80.61 810
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 500
Maximum: 816
Non-Zero Weighted Average: 666
20. Prepayment Penalty Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 480 37,478,895 19.39 8.034 298 88.11 654
12 44 6,294,589 3.26 7.019 335 83.21 671
24 879 132,411,805 68.49 6.63 343 82.06 668
36 228 17,137,276 8.86 8.056 284 88.61 679
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 25
21. Lien Position
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
1st Lien 919 163,666,171 84.66 6.462 357 80.97 668
2nd Lien 712 29,656,394 15.34 10.235 177 99.74 656
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
22. Interest Only Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 1,381 133,190,772 68.9 7.482 317 85.36 655
60 250 60,131,792 31.1 6.065 357 80.51 691
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 1,631 193,322,565 100 7.041 329 83.85 666
This information has been prepared in connection with the issuance of securities
representing [interests in / debt of] the above trust, and is based in part on
information provided by [ORIGINATOR] with respect to the expected
characteristics of the pool of [ASSET] in which these securities will represent
[undivided beneficial interests / debt obligations]. The actual characteristics
and performance of the [ASSET] will differ from the assumptions used in
preparing these materials, which are hypothetical in nature. Changes the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return indicated
herein will be achieved. For example, it is very unlikely that the loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular tradingstrategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
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CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
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NOT DEFINED HEREINARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
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including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Xxxxxx Xxxxxxx & Co. Incorporated and
approved by Xxxxxx Xxxxxxx & Co. International Limited, a member of the
Securities and Futures Authority, and Xxxxxx Xxxxxxx Japan Ltd. We recommend
that investors obtain the advice of their Xxxxxx Xxxxxxx & Co. International
Limited or Xxxxxx Xxxxxxx Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
Xxxxxx Xxxxxxx
2005-WMC3
All records
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 5,128
Aggregate Principal Balance ($): 986,656,898
Weighted Average Current Mortgage Rate (%): 6.897
Non-Zero Weighted Average Margin (%): 6.048
Non-Zero Weighted Average Maximum Rate (%): 13.060
Weighted Average Stated Original Term (months): 343
Weighted Average Stated Remaining Term (months): 339
Weighted Average Combined Original LTV (%): 82.27
% First Liens: 91.07
% Owner Occupied: 94.75
% Purchase: 47.08
% Full Doc: 44.38
Non-Zero Weighted Average Credit Score: 642
2. Product Types
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed - 10 Year 2 242,350 0.02 5.890 116 69.64 705
Fixed - 15 Year 50 5,403,863 0.55 7.281 177 80.47 631
Fixed - 20 Year 15 1,899,851 0.19 7.000 236 79.05 647
Fixed - 30 Year 473 95,765,123 9.71 6.819 357 78.49 641
Balloon - 15/30 1,427 87,561,698 8.87 10.016 177 99.27 665
ARM - 6 Month 1 416,964 0.04 6.990 357 95.00 593
ARM - 2 Year/6 Month 2,170 494,964,393 50.17 6.819 357 80.38 625
ARM - 3 Year/6 Month 112 26,043,361 2.64 6.556 357 79.95 640
ARM - 5 Year/6 Month 81 20,378,969 2.07 6.263 357 80.20 654
Interest Only ARM - 5 Year/6 Month 100 30,472,858 3.09 6.019 357 81.56 663
Interest Only ARM - 2 Year/6 Month 696 222,787,469 22.58 6.086 357 82.04 668
Interest Only ARM - 3 Year/6 Month 1 720,000 0.07 6.990 355 80.00 669
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
3. Range of Gross Interest Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
4.000 - 4.999 33 10,617,627 1.08 4.990 357 80.85 686
5.000 - 5.999 843 251,675,165 25.51 5.718 356 79.72 663
6.000 - 6.999 1,647 412,630,028 41.82 6.550 355 80.68 646
7.000 - 7.999 869 177,057,959 17.95 7.488 355 81.03 610
8.000 - 8.999 456 54,625,203 5.54 8.486 311 87.62 609
9.000 - 9.999 610 41,100,774 4.17 9.728 204 96.56 657
10.000 - 10.999 513 31,876,164 3.23 10.640 178 99.09 643
11.000 - 11.999 145 6,706,286 0.68 11.508 177 98.94 629
12.000 - 12.999 11 342,431 0.03 12.766 182 98.85 638
13.000 - 13.999 1 25,260 0.00 13.125 176 100.00 608
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 4.990
Maximum: 13.125
Weighted Average: 6.897
4. Range of Cut-off Date Principal Balances ($)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
1 - 25,000 158 3,174,502 0.32 10.363 177 99.22 641
25,001 - 50,000 507 19,257,377 1.95 9.957 195 96.89 652
50,001 - 75,000 600 37,506,584 3.80 9.385 223 93.57 654
75,001 - 100,000 470 41,196,142 4.18 8.468 272 88.80 644
100,001 - 125,000 373 41,912,627 4.25 7.749 312 84.42 637
125,001 - 150,000 362 49,731,481 5.04 7.219 329 81.39 632
150,001 - 175,000 308 50,154,980 5.08 7.074 346 80.50 624
175,001 - 200,000 316 59,623,446 6.04 6.862 350 78.61 629
200,001 - 225,000 273 58,196,498 5.90 6.680 355 79.02 633
225,001 - 250,000 265 63,029,577 6.39 6.567 355 79.76 636
250,001 - 275,000 225 58,931,251 5.97 6.529 356 81.09 645
275,001 - 300,000 238 68,388,095 6.93 6.529 356 80.59 637
300,001 - 325,000 175 54,784,738 5.55 6.420 354 81.99 652
325,001 - 350,000 136 45,999,615 4.66 6.448 355 81.77 641
350,001 - 375,000 140 50,597,594 5.13 6.519 357 81.56 647
375,001 - 400,000 120 46,584,145 4.72 6.496 357 81.48 642
400,001 - 425,000 90 37,146,834 3.76 6.557 357 82.71 645
425,001 - 450,000 70 30,748,775 3.12 6.308 354 83.91 662
450,001 - 475,000 54 25,015,832 2.54 6.436 357 83.33 645
475,001 - 500,000 52 25,487,875 2.58 6.701 357 81.32 640
500,001 - 750,000 181 107,069,333 10.85 6.292 357 80.85 656
750,001 - 1,000,000 15 12,119,597 1.23 6.104 357 78.91 652
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 13,185
Maximum: 874,816
Average: 192,406
5. Stated Original Term (months)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
120 2 242,350 0.02 5.890 116 69.64 705
180 1,477 92,965,561 9.42 9.857 177 98.17 663
240 15 1,899,851 0.19 7.000 236 79.05 647
360 3,634 891,549,136 90.36 6.588 357 80.62 640
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 120
Maximum: 360
Weighted Average: 343
6. Range of Stated Remaining Terms (months)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
109 - 120 2 242,350 0.02 5.890 116 69.64 705
169 - 180 1,477 92,965,561 9.42 9.857 177 98.17 663
229 - 240 15 1,899,851 0.19 7.000 236 79.05 647
337 - 348 1 197,510 0.02 7.500 344 54.79 631
349 - 360 3,633 891,351,625 90.34 6.588 357 80.63 640
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 116
Maximum: 358
Weighted Average: 339
7. Range of Combined Original LTV Ratios (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
10.01 - 15.00 1 49,881 0.01 7.200 357 12.99 651
15.01 - 20.00 1 54,822 0.01 7.125 356 18.03 526
25.01 - 30.00 2 224,528 0.02 7.838 357 28.76 605
30.01 - 35.00 1 74,733 0.01 6.625 356 30.36 564
35.01 - 40.00 14 1,821,436 0.18 6.742 357 38.27 634
40.01 - 45.00 20 2,946,672 0.30 6.531 344 43.03 626
45.01 - 50.00 34 6,202,370 0.63 6.946 350 47.89 611
50.01 - 55.00 43 7,537,348 0.76 6.683 356 52.93 594
55.01 - 60.00 62 13,123,551 1.33 6.716 355 57.91 603
60.01 - 65.00 76 16,989,341 1.72 6.702 354 62.92 601
65.01 - 70.00 143 33,372,476 3.38 6.676 354 68.15 611
70.01 - 75.00 237 60,121,966 6.09 6.760 353 73.92 609
75.01 - 80.00 1,949 473,735,139 48.01 6.385 356 79.78 655
80.01 - 85.00 340 88,393,734 8.96 6.804 356 84.25 615
85.01 - 90.00 510 127,171,080 12.89 6.805 351 89.50 637
90.01 - 95.00 361 71,529,403 7.25 7.374 343 94.71 639
95.01 - 100.00 1,334 83,308,416 8.44 9.926 183 99.94 666
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 12.99
Maximum: 100.00
Weighted Average: 82.27
8. Range of Gross Margins (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,967 190,872,885 19.35 8.299 268 88.07 652
<= 3.500 2 339,114 0.03 7.835 356 86.71 635
3.501 - 4.000 2 586,338 0.06 5.110 356 85.39 751
4.001 - 4.500 17 5,135,269 0.52 5.636 357 70.70 664
4.501 - 5.000 309 88,111,910 8.93 5.897 357 79.49 662
5.001 - 5.500 527 137,314,078 13.92 6.126 357 80.46 648
5.501 - 6.000 691 176,792,915 17.92 6.346 357 79.64 644
6.001 - 6.500 754 196,784,475 19.94 6.659 357 80.89 638
6.501 - 7.000 439 107,194,585 10.86 7.014 357 82.36 627
7.001 - 7.500 244 51,748,347 5.24 7.400 357 84.12 622
7.501 - 8.000 154 27,228,776 2.76 8.167 357 84.58 595
8.001 - 8.500 17 3,453,851 0.35 7.982 357 84.94 596
8.501 - 9.000 5 1,094,354 0.11 7.753 357 84.89 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 2.301
Maximum: 9.000
Non-Zero Weighted Average: 6.048
9. Range of Minimum Mortgage Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,967 190,872,885 19.35 8.299 268 88.07 652
<=5.000 36 11,809,166 1.20 4.991 357 80.48 686
5.001 - 5.500 221 68,982,725 6.99 5.389 357 80.26 666
5.501 - 6.000 593 176,143,294 17.85 5.860 357 79.75 660
6.001 - 6.500 659 172,260,101 17.46 6.331 357 80.64 650
6.501 - 7.000 734 180,853,867 18.33 6.799 357 81.59 640
7.001 - 7.500 359 80,807,889 8.19 7.278 357 80.55 617
7.501 - 8.000 325 66,061,649 6.70 7.789 357 81.99 594
8.001 - 8.500 118 21,194,744 2.15 8.294 357 83.94 584
8.501 - 9.000 81 12,658,378 1.28 8.790 357 85.01 563
9.001 - 9.500 19 2,160,058 0.22 9.273 357 76.13 546
9.501 - 10.000 14 2,687,399 0.27 9.785 356 83.51 542
10.001 -10.500 2 164,744 0.02 10.327 357 75.41 547
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.990
Maximum: 10.375
Non-Zero Weighted Average: 6.559
10. Range of Maximum Mortgage Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,967 190,872,885 19.35 8.299 268 88.07 652
<= 12.500 848 256,310,868 25.98 5.690 357 79.94 664
12.501 - 13.000 663 174,759,253 17.71 6.337 357 80.64 649
13.001 - 13.500 730 178,252,614 18.07 6.797 357 81.62 640
13.501 - 14.000 359 81,146,821 8.22 7.282 357 80.48 616
14.001 - 14.500 321 65,575,067 6.65 7.785 357 81.91 594
14.501 - 15.000 123 21,973,077 2.23 8.278 357 83.94 585
15.001 - 15.500 82 12,754,111 1.29 8.791 357 84.97 563
15.501 - 16.000 19 2,160,058 0.22 9.273 357 76.13 546
16.001 - 16.500 13 2,545,154 0.26 9.773 357 84.27 543
16.501 - 17.000 3 306,988 0.03 10.171 357 72.91 530
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 11.490
Maximum: 16.990
Non-Zero Weighted Average: 13.060
11. Initial Periodic Cap (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,967 190,872,885 19.35 8.299 268 88.07 652
0.500 2 866,375 0.09 7.304 357 92.25 638
1.000 30 6,029,558 0.61 6.945 356 83.55 618
1.005 1 132,681 0.01 7.150 357 56.60 596
1.125 1 478,632 0.05 7.750 356 80.00 599
1.359 1 280,000 0.03 6.990 357 76.71 645
1.500 2,073 476,626,912 48.31 6.802 357 80.25 625
1.682 1 122,102 0.01 7.075 357 90.00 609
1.750 1 171,615 0.02 7.500 357 84.98 593
2.000 8 1,198,571 0.12 6.849 356 79.13 635
2.005 1 151,555 0.02 6.125 357 80.00 590
3.000 943 279,713,276 28.35 6.191 357 81.84 663
3.030 1 194,686 0.02 6.670 357 80.00 701
5.000 97 29,728,258 3.01 6.016 357 81.18 662
6.500 1 89,794 0.01 8.825 356 75.00 534
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.500
Maximum: 6.500
Non-Zero Weighted Average: 2.155
12. Subsequent Periodic Cap (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,967 190,872,885 19.35 8.299 268 88.07 652
0.5 5 1,372,047 0.14 7.085 357 88.29 643
1 3,135 790,514,059 80.12 6.555 357 80.85 640
1.5 15 3,044,258 0.31 7.668 356 86.01 628
2 6 853,648 0.09 6.818 356 78.13 618
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.500
Maximum: 2.000
Non-Zero Weighted Average: 1.002
13. Next Rate Adjustment Dates
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,967 190,872,885 19.35 8.299 268 88.07 652
Jul-05 1 416,964 0.04 6.990 357 95.00 593
Dec-05 1 197,510 0.02 7.500 344 54.79 631
Sep-06 3 463,115 0.05 8.258 353 78.69 592
Oct-06 6 1,263,325 0.13 7.915 354 86.18 584
Nov-06 39 9,232,487 0.94 7.079 355 79.78 616
Dec-06 638 159,279,006 16.14 6.641 356 80.95 634
Jan-07 2,177 546,872,967 55.43 6.563 357 80.90 640
Feb-07 2 443,451 0.04 7.603 358 75.66 596
Nov-07 3 1,021,264 0.10 7.291 355 80.00 638
Dec-07 18 4,898,103 0.50 6.462 356 81.89 644
Jan-08 92 20,843,994 2.11 6.558 357 79.50 641
Sep-09 1 516,000 0.05 6.500 353 80.00 582
Oct-09 1 198,120 0.02 7.750 354 66.67 588
Nov-09 2 450,051 0.05 6.580 355 71.12 615
Dec-09 51 13,379,937 1.36 6.278 356 81.95 653
Jan-10 126 36,307,719 3.68 6.037 357 80.88 663
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
14. Geographic Distribution of Mortgaged Properties
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
California 2,345 564,619,829 57.23 6.721 339 81.72 648
New York 187 46,779,768 4.74 6.809 342 82.12 646
Virginia 236 41,513,026 4.21 7.222 336 83.08 639
Florida 302 40,623,559 4.12 7.261 341 82.11 631
Maryland 194 35,095,110 3.56 7.079 338 83.88 631
New Jersey 151 32,524,832 3.30 7.041 344 81.05 628
Texas 309 31,317,658 3.17 7.314 333 82.78 638
Illinois 167 25,447,133 2.58 7.302 341 84.51 636
Arizona 176 21,155,892 2.14 7.005 338 83.99 646
Nevada 117 20,419,825 2.07 7.051 340 83.04 643
Connecticut 83 15,208,571 1.54 7.041 339 83.58 636
Washington 95 14,605,603 1.48 6.753 338 83.52 636
Massachusetts 67 14,511,789 1.47 7.047 342 83.05 639
Pennsylvania 84 11,273,648 1.14 7.270 346 83.42 611
Colorado 58 8,204,890 0.83 6.703 339 83.92 643
Other 557 63,355,764 6.42 7.376 340 83.46 623
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Number of States/District of Columbia Represented: 47
15. Occupancy
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Primary 4,832 934,810,754 94.75 6.888 339 82.32 641
Investment 180 36,246,125 3.67 7.107 355 80.10 663
Second Home 116 15,600,019 1.58 6.927 336 84.59 696
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
16. Property Type
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Single Family Residence 3,657 704,528,370 71.41 6.905 340 82.14 638
Planned Unit Development 683 127,324,297 12.90 6.898 337 83.36 646
Condominium 469 76,162,081 7.72 6.803 336 83.00 656
2-4 Family 290 73,825,672 7.48 6.925 343 81.22 659
Manufactured Housing 29 4,816,478 0.49 6.777 348 76.97 633
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
17. Loan Purpose
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 2,789 464,566,530 47.08 7.032 329 84.20 665
Refinance - Cashout 1,659 377,513,403 38.26 6.751 349 80.42 622
Refinance - Rate Term 680 144,576,965 14.65 6.844 348 80.91 623
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
18. Documentation Level
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Full Documentation 2,416 437,885,900 44.38 6.787 342 83.02 627
Stated Documentation 2,127 419,835,371 42.55 7.087 336 81.06 660
Limited Documentation 585 128,935,628 13.07 6.651 341 83.69 637
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
19. Credit Score
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
500 - 524 129 25,482,803 2.58 7.946 353 76.33 513
525 - 549 147 26,647,496 2.70 7.721 357 73.97 538
550 - 574 309 61,637,845 6.25 7.273 355 80.30 562
575 - 599 594 108,153,203 10.96 7.042 346 81.09 588
600 - 624 813 159,819,550 16.20 6.914 342 82.52 613
625 - 649 912 174,507,739 17.69 6.845 336 82.68 637
650 - 674 781 150,724,342 15.28 6.763 336 83.03 662
675 - 699 647 124,813,872 12.65 6.758 335 83.72 686
700 - 724 381 74,998,897 7.60 6.651 332 83.31 712
725 - 749 215 41,521,208 4.21 6.584 331 83.90 736
750 - 774 131 24,945,527 2.53 6.577 334 85.27 761
775 - 799 55 10,741,620 1.09 6.653 335 81.04 785
800 + 14 2,662,795 0.27 6.319 327 85.46 810
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 500
Maximum: 821
Non-Zero Weighted Average: 642
20. Prepayment Penalty Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 1,445 237,416,775 24.06 7.282 332 83.53 640
12 175 42,463,753 4.30 6.907 342 80.13 644
24 2,679 581,194,770 58.91 6.692 346 81.88 641
36 828 125,487,364 12.72 7.114 324 82.45 652
60 1 94,236 0.01 6.375 357 90.00 673
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 12
Maximum: 60
Non-Zero Weighted Average: 25
21. Lien Position
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
1st Lien 3,682 898,573,037 91.07 6.590 355 80.60 640
2nd Lien 1,446 88,083,860 8.93 10.030 177 99.30 665
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
22. Interest Only Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 4,331 732,676,572 74.26 7.180 334 82.37 634
60 797 253,980,326 25.74 6.080 357 81.97 667
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 5,128 986,656,898 100.00 6.897 339 82.27 642
Xxxxxx Xxxxxxx
2005-WMC3
Group 1
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 2,752
Aggregate Principal Balance ($): 399,390,749
Weighted Average Current Mortgage Rate (%): 6.907
Non-Zero Weighted Average Margin (%): 6.019
Non-Zero Weighted Average Maximum Rate (%): 13.031
Weighted Average Stated Original Term (months): 342
Weighted Average Stated Remaining Term (months): 339
Weighted Average Combined Original LTV (%): 81.73
% First Liens: 91.00
% Owner Occupied: 94.03
% Purchase: 48.40
% Full Doc: 46.24
Non-Zero Weighted Average Credit Score: 643
2. Product Types
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed - 10 Year 1 178,867 0.04 5.500 116 66.73 731
Fixed - 15 Year 36 3,662,261 0.92 7.235 177 79.41 626
Fixed - 20 Year 11 1,233,651 0.31 7.285 236 78.96 655
Fixed - 30 Year 227 38,081,911 9.54 6.941 357 75.69 634
Balloon - 15/30 857 35,682,196 8.93 10.203 177 99.60 652
ARM - 2 Year/6 Month 1,117 202,047,346 50.59 6.763 357 80.12 624
ARM - 3 Year/6 Month 60 11,258,410 2.82 6.621 357 81.24 643
ARM - 5 Year/6 Month 47 10,335,161 2.59 6.171 357 79.27 657
Interest Only ARM - 5 Year/6 Month 53 12,557,858 3.14 6.062 357 81.88 682
Interest Only ARM - 2 Year/6 Month 343 84,353,088 21.12 6.080 357 81.29 684
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
3. Range of Gross Interest Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
4.000 - 4.999 21 4,786,861 1.20 4.990 357 81.21 686
5.000 - 5.999 424 97,575,627 24.43 5.677 356 79.17 669
6.000 - 6.999 873 175,461,068 43.93 6.547 354 79.80 649
7.000 - 7.999 418 65,303,081 16.35 7.501 354 80.61 606
8.000 - 8.999 224 21,994,501 5.51 8.500 327 85.82 593
9.000 - 9.999 331 15,285,069 3.83 9.722 199 97.18 647
10.000 - 10.999 325 13,899,562 3.48 10.633 177 99.64 637
11.000 - 11.999 126 4,800,244 1.20 11.497 177 99.54 627
12.000 - 12.999 10 284,736 0.07 12.743 184 99.63 627
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 4.990
Maximum: 12.875
Weighted Average: 6.907
4. Range of Cut-off Date Principal Balances ($)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
1 - 25,000 157 3,156,849 0.79 10.361 177 99.30 641
25,001 - 50,000 471 17,723,982 4.44 10.044 187 98.39 654
50,001 - 75,000 369 22,594,513 5.66 9.444 226 93.44 643
75,001 - 100,000 162 14,273,112 3.57 7.179 351 80.05 632
100,001 - 125,000 186 21,046,823 5.27 7.014 354 81.25 635
125,001 - 150,000 212 29,063,705 7.28 6.725 352 79.25 637
150,001 - 175,000 182 29,611,856 7.41 6.818 356 79.51 631
175,001 - 200,000 229 43,197,081 10.82 6.694 356 77.99 634
200,001 - 225,000 128 27,306,764 6.84 6.429 355 77.40 635
225,001 - 250,000 154 36,602,835 9.16 6.432 354 79.47 646
250,001 - 275,000 115 30,119,644 7.54 6.364 355 81.47 662
275,001 - 300,000 140 40,239,336 10.08 6.418 356 80.51 641
300,001 - 325,000 100 31,346,394 7.85 6.331 353 81.49 656
325,001 - 350,000 89 30,107,195 7.54 6.299 355 81.28 644
350,001 - 375,000 34 12,069,957 3.02 6.452 357 82.15 651
375,001 - 400,000 5 1,961,744 0.49 6.388 357 74.45 670
400,001 - 425,000 6 2,452,264 0.61 6.612 357 84.84 637
425,001 - 450,000 4 1,767,345 0.44 6.619 357 78.47 698
450,001 - 475,000 4 1,842,911 0.46 5.990 357 80.01 715
500,001 - 750,000 5 2,906,438 0.73 6.686 356 85.12 678
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 13,185
Maximum: 641,896
Average: 145,127
5. Stated Original Term (months)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
120 1 178,867 0.04 5.500 116 66.73 731
180 893 39,344,457 9.85 9.926 177 97.72 650
240 11 1,233,651 0.31 7.285 236 78.96 655
360 1,847 358,633,774 89.80 6.575 357 80.00 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 120
Maximum: 360
Weighted Average: 342
6. Range of Stated Remaining Terms (months)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
109 - 120 1 178,867 0.04 5.500 116 66.73 731
169 - 180 893 39,344,457 9.85 9.926 177 97.72 650
229 - 240 11 1,233,651 0.31 7.285 236 78.96 655
349 - 360 1,847 358,633,774 89.80 6.575 357 80.00 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 116
Maximum: 358
Weighted Average: 339
7. Range of Combined Original LTV Ratios (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
10.01 - 15.00 1 49,881 0.01 7.200 357 12.99 651
15.01 - 20.00 1 54,822 0.01 7.125 356 18.03 526
25.01 - 30.00 2 224,528 0.06 7.838 357 28.76 605
35.01 - 40.00 5 650,435 0.16 6.116 357 38.34 636
40.01 - 45.00 12 1,884,625 0.47 6.461 337 43.06 648
45.01 - 50.00 21 3,454,979 0.87 6.562 345 47.40 631
50.01 - 55.00 29 5,024,180 1.26 6.680 357 52.92 587
55.01 - 60.00 32 6,328,934 1.58 6.727 353 57.88 601
60.01 - 65.00 45 9,293,614 2.33 6.437 351 63.05 613
65.01 - 70.00 71 13,355,254 3.34 6.814 350 68.23 601
70.01 - 75.00 87 18,949,121 4.74 6.709 350 73.45 608
75.01 - 80.00 1,011 191,521,818 47.95 6.352 356 79.82 662
80.01 - 85.00 227 46,323,837 11.60 6.957 356 84.34 611
85.01 - 90.00 222 42,301,648 10.59 6.790 349 89.51 636
90.01 - 95.00 155 24,659,475 6.17 7.271 344 94.62 649
95.01 - 100.00 831 35,313,595 8.84 10.133 183 99.97 653
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 12.99
Maximum: 100.00
Weighted Average: 81.73
8. Range of Gross Margins (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,132 78,838,886 19.74 8.433 264 86.72 642
<= 3.500 2 339,114 0.08 7.835 356 86.71 635
3.501 - 4.000 2 586,338 0.15 5.110 356 85.39 751
4.001 - 4.500 7 1,402,639 0.35 5.379 357 75.21 676
4.501 - 5.000 176 37,836,582 9.47 5.815 357 79.45 670
5.001 - 5.500 259 50,698,410 12.69 6.083 357 80.19 656
5.501 - 6.000 348 72,516,949 18.16 6.306 357 78.86 648
6.001 - 6.500 416 83,923,083 21.01 6.707 357 80.02 639
6.501 - 7.000 232 43,135,509 10.80 7.051 357 82.87 625
7.001 - 7.500 134 23,231,018 5.82 7.439 357 84.06 621
7.501 - 8.000 44 6,882,219 1.72 7.976 356 85.47 602
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 2.301
Maximum: 7.990
Non-Zero Weighted Average: 6.019
9. Range of Minimum Mortgage Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,132 78,838,886 19.74 8.433 264 86.72 642
<=5.000 22 4,926,980 1.23 4.990 357 81.18 685
5.001 - 5.500 144 33,861,221 8.48 5.381 357 79.14 668
5.501 - 6.000 261 58,920,446 14.75 5.843 357 80.22 670
6.001 - 6.500 377 79,470,193 19.90 6.332 357 80.03 655
6.501 - 7.000 390 76,440,159 19.14 6.795 357 81.05 644
7.001 - 7.500 161 26,211,337 6.56 7.286 357 79.90 612
7.501 - 8.000 159 25,294,389 6.33 7.785 357 81.98 590
8.001 - 8.500 58 8,656,566 2.17 8.298 357 81.38 568
8.501 - 9.000 41 5,757,289 1.44 8.795 357 85.41 561
9.001 - 9.500 4 519,682 0.13 9.340 357 79.97 539
9.501 - 10.000 3 493,599 0.12 9.728 355 80.68 524
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.990
Maximum: 9.990
Non-Zero Weighted Average: 6.532
10. Range of Maximum Mortgage Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,132 78,838,886 19.74 8.433 264 86.72 642
<= 12.500 430 98,502,820 24.66 5.642 357 79.89 670
12.501 - 13.000 376 79,148,738 19.82 6.337 357 80.00 655
13.001 - 13.500 387 75,772,756 18.97 6.797 357 81.10 644
13.501 - 14.000 163 26,973,572 6.75 7.290 357 80.03 611
14.001 - 14.500 155 24,260,153 6.07 7.784 357 81.82 590
14.501 - 15.000 60 9,027,519 2.26 8.274 356 81.60 571
15.001 - 15.500 42 5,853,023 1.47 8.798 357 85.32 561
15.501 - 16.000 4 519,682 0.13 9.340 357 79.97 539
16.001 - 16.500 2 351,355 0.09 9.622 354 85.00 529
16.501 - 17.000 1 142,244 0.04 9.990 356 70.02 511
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 11.490
Maximum: 16.990
Non-Zero Weighted Average: 13.031
11. Initial Periodic Cap (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,132 78,838,886 19.74 8.433 264 86.72 642
0.500 1 393,331 0.10 7.580 357 94.99 663
1.000 8 1,367,777 0.34 7.198 357 80.78 592
1.359 1 280,000 0.07 6.990 357 76.71 645
1.500 1,068 193,717,101 48.50 6.733 357 79.94 624
1.750 1 171,615 0.04 7.500 357 84.98 593
2.000 4 592,617 0.15 6.757 356 82.05 674
3.000 485 111,802,878 27.99 6.217 357 81.31 675
3.030 1 194,686 0.05 6.670 357 80.00 701
5.000 51 12,031,858 3.01 6.051 357 81.73 682
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.500
Maximum: 5.000
Non-Zero Weighted Average: 2.153
12. Subsequent Periodic Cap (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,132 78,838,886 19.74 8.433 264 86.72 642
0.5 4 899,003 0.23 7.090 357 87.41 656
1 1,602 317,096,571 79.40 6.521 357 80.44 644
1.5 12 2,308,594 0.58 7.750 356 87.30 636
2 2 247,694 0.06 6.521 356 82.67 667
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.500
Maximum: 2.000
Non-Zero Weighted Average: 1.003
13. Next Rate Adjustment Dates
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 1,132 78,838,886 19.74 8.433 264 86.72 642
Sep-06 1 124,633 0.03 7.940 353 80.00 672
Oct-06 5 1,108,012 0.28 7.953 354 87.05 577
Nov-06 21 4,742,990 1.19 6.979 355 79.49 619
Dec-06 310 62,057,496 15.54 6.665 356 80.77 638
Jan-07 1,123 218,367,303 54.68 6.515 357 80.37 643
Nov-07 1 104,265 0.03 6.990 355 79.98 619
Dec-07 10 2,311,406 0.58 6.530 356 83.28 644
Jan-08 49 8,842,739 2.21 6.640 357 80.72 643
Oct-09 1 198,120 0.05 7.750 354 66.67 588
Nov-09 2 450,051 0.11 6.580 355 71.12 615
Dec-09 30 6,938,668 1.74 6.187 356 82.31 667
Jan-10 67 15,306,180 3.83 6.042 357 80.44 675
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
14. Geographic Distribution of Mortgaged Properties
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
California 1,145 224,669,982 56.25 6.611 345 79.47 648
Florida 175 17,918,504 4.49 7.369 330 83.80 634
Texas 231 16,963,794 4.25 7.505 325 84.20 638
Arizona 137 13,215,169 3.31 7.075 328 84.03 659
New York 59 13,068,543 3.27 6.647 341 81.92 635
Virginia 106 12,816,119 3.21 7.494 322 84.66 646
New Jersey 71 11,623,498 2.91 7.275 338 84.77 632
Maryland 91 11,023,528 2.76 7.526 317 86.36 638
Illinois 94 10,579,087 2.65 7.411 331 86.12 645
Nevada 65 8,872,448 2.22 7.132 337 84.35 645
Washington 60 6,738,515 1.69 6.822 328 85.10 643
Pennsylvania 55 6,204,902 1.55 7.346 340 86.09 613
Connecticut 44 5,790,224 1.45 7.051 325 83.50 634
Massachusetts 29 4,492,163 1.12 7.332 335 83.67 630
Colorado 39 4,036,379 1.01 7.010 320 85.10 641
Other 351 31,377,895 7.86 7.479 331 85.62 634
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Number of States/District of Columbia Represented: 46
15. Occupancy
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Primary 2,581 375,541,175 94.03 6.904 338 81.80 641
Investment 102 16,423,034 4.11 6.965 355 79.31 672
Second Home 69 7,426,539 1.86 6.895 335 83.58 696
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
16. Property Type
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Single Family Residence 1,932 279,670,318 70.02 6.917 339 81.61 638
Planned Unit Development 374 45,013,867 11.27 7.100 329 83.87 648
Condominium 303 43,381,340 10.86 6.694 339 82.35 663
2-4 Family 126 28,637,764 7.17 6.829 347 79.30 665
Manufactured Housing 17 2,687,460 0.67 6.820 349 75.37 632
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
17. Loan Purpose
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 1,631 193,322,565 48.40 7.041 329 83.85 666
Refinance - Cashout 865 160,836,352 40.27 6.743 347 79.08 623
Refinance - Rate Term 256 45,231,832 11.33 6.914 349 82.12 620
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
18. Documentation Level
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Full Documentation 1,338 184,690,010 46.24 6.854 339 82.60 628
Stated Documentation 1,123 169,599,017 42.46 7.028 338 80.45 661
Limited Documentation 291 45,101,722 11.29 6.667 339 83.00 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
19. Credit Score
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
500 - 524 67 12,399,612 3.10 7.793 349 75.80 514
525 - 549 78 13,611,492 3.41 7.777 357 75.04 539
550 - 574 163 28,443,951 7.12 7.232 354 79.74 561
575 - 599 315 38,004,049 9.52 7.260 335 80.60 589
600 - 624 388 49,250,197 12.33 7.128 332 81.73 612
625 - 649 519 72,751,992 18.22 6.867 332 83.14 638
650 - 674 460 66,506,492 16.65 6.755 336 83.12 662
675 - 699 352 53,933,942 13.50 6.646 341 82.62 686
700 - 724 183 29,888,763 7.48 6.434 343 81.90 711
725 - 749 116 16,796,899 4.21 6.590 333 82.55 736
750 - 774 77 11,914,414 2.98 6.340 339 83.75 760
775 - 799 29 4,841,438 1.21 6.469 346 77.87 786
800 + 5 1,047,509 0.26 5.945 352 80.61 810
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 500
Maximum: 816
Non-Zero Weighted Average: 643
20. Prepayment Penalty Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 770 83,155,005 20.82 7.529 320 85.38 637
12 75 12,490,174 3.13 6.917 342 80.10 646
24 1,442 244,843,525 61.30 6.654 348 80.81 643
36 465 58,902,045 14.75 7.077 326 80.77 653
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 26
21. Lien Position
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
1st Lien 1,879 363,440,526 91.00 6.577 354 79.96 643
2nd Lien 873 35,950,222 9.00 10.236 177 99.68 653
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
22. Interest Only Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 2,356 302,479,803 75.74 7.173 333 81.85 631
60 396 96,910,946 24.26 6.077 357 81.37 684
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,752 399,390,749 100.00 6.907 339 81.73 643
Xxxxxx Xxxxxxx
2005-WMC3
Group 2
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 2,376
Aggregate Principal Balance ($): 587,266,149
Weighted Average Current Mortgage Rate (%): 6.890
Non-Zero Weighted Average Margin (%): 6.067
Non-Zero Weighted Average Maximum Rate (%): 13.080
Weighted Average Stated Original Term (months): 343
Weighted Average Stated Remaining Term (months): 340
Weighted Average Combined Original LTV (%): 82.64
% First Liens: 91.12
% Owner Occupied: 95.23
% Purchase: 46.19
% Full Doc: 43.11
Non-Zero Weighted Average Credit Score: 641
2. Product Types
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed - 10 Year 1 63,484 0.01 6.990 116 77.84 631
Fixed - 15 Year 14 1,741,602 0.30 7.377 177 82.69 641
Fixed - 20 Year 4 666,200 0.11 6.473 237 79.21 633
Fixed - 30 Year 246 57,683,212 9.82 6.738 357 80.33 646
Balloon - 15/30 570 51,879,502 8.83 9.887 177 99.04 674
ARM - 6 Month 1 416,964 0.07 6.990 357 95.00 593
ARM - 2 Year/6 Month 1,053 292,917,047 49.88 6.858 357 80.57 626
ARM - 3 Year/6 Month 52 14,784,951 2.52 6.507 357 78.97 638
ARM - 5 Year/6 Month 34 10,043,808 1.71 6.359 357 81.16 650
Interest Only ARM - 5 Year/6 Month 47 17,915,000 3.05 5.989 357 81.33 649
Interest Only ARM - 2 Year/6 Month 353 138,434,380 23.57 6.089 357 82.49 658
Interest Only ARM - 3 Year/6 Month 1 720,000 0.12 6.990 355 80.00 669
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
3. Range of Gross Interest Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
4.000 - 4.999 12 5,830,766 0.99 4.990 357 80.54 686
5.000 - 5.999 419 154,099,538 26.24 5.744 356 80.08 658
6.000 - 6.999 774 237,168,960 40.39 6.552 356 81.32 643
7.000 - 7.999 451 111,754,878 19.03 7.481 355 81.28 612
8.000 - 8.999 232 32,630,702 5.56 8.477 300 88.83 621
9.000 - 9.999 279 25,815,705 4.40 9.732 206 96.19 663
10.000 - 10.999 188 17,976,602 3.06 10.646 178 98.66 647
11.000 - 11.999 19 1,906,042 0.32 11.533 177 97.42 635
12.000 - 12.999 1 57,695 0.01 12.875 176 95.00 689
13.000 - 13.999 1 25,260 0.00 13.125 176 100.00 608
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 4.990
Maximum: 13.125
Weighted Average: 6.890
4. Range of Cut-off Date Principal Balances ($)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
1 - 25,000 1 17,653 0.00 10.750 176 85.00 676
25,001 - 50,000 36 1,533,395 0.26 8.948 287 79.51 621
50,001 - 75,000 231 14,912,071 2.54 9.295 218 93.77 671
75,001 - 100,000 308 26,923,030 4.58 9.151 230 93.44 650
100,001 - 125,000 187 20,865,804 3.55 8.491 268 87.63 639
125,001 - 150,000 150 20,667,775 3.52 7.913 296 84.40 626
150,001 - 175,000 126 20,543,124 3.50 7.444 331 81.93 614
175,001 - 200,000 87 16,426,365 2.80 7.305 334 80.25 615
200,001 - 225,000 145 30,889,734 5.26 6.901 355 80.45 631
225,001 - 250,000 111 26,426,742 4.50 6.754 357 80.15 623
250,001 - 275,000 110 28,811,607 4.91 6.702 357 80.69 626
275,001 - 300,000 98 28,148,759 4.79 6.686 357 80.70 631
300,001 - 325,000 75 23,438,345 3.99 6.540 355 82.65 647
325,001 - 350,000 47 15,892,419 2.71 6.732 357 82.72 635
350,001 - 375,000 106 38,527,637 6.56 6.540 357 81.38 645
375,001 - 400,000 115 44,622,400 7.60 6.500 357 81.79 641
400,001 - 425,000 84 34,694,569 5.91 6.553 357 82.56 645
425,001 - 450,000 66 28,981,430 4.93 6.289 354 84.24 659
450,001 - 475,000 50 23,172,921 3.95 6.471 357 83.59 640
475,001 - 500,000 52 25,487,875 4.34 6.701 357 81.32 640
500,001 - 750,000 176 104,162,895 17.74 6.281 357 80.73 655
750,001 - 1,000,000 15 12,119,597 2.06 6.104 357 78.91 652
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 17,653
Maximum: 874,816
Average: 247,166
5. Stated Original Term (months)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
120 1 63,484 0.01 6.990 116 77.84 631
180 584 53,621,104 9.13 9.806 177 98.50 673
240 4 666,200 0.11 6.473 237 79.21 633
360 1,787 532,915,362 90.75 6.597 357 81.04 638
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 120
Maximum: 360
Weighted Average: 343
6. Range of Stated Remaining Terms (months)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
109 - 120 1 63,484 0.01 6.990 116 77.84 631
169 - 180 584 53,621,104 9.13 9.806 177 98.50 673
229 - 240 4 666,200 0.11 6.473 237 79.21 633
337 - 348 1 197,510 0.03 7.500 344 54.79 631
349 - 360 1,786 532,717,852 90.71 6.597 357 81.05 638
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 116
Maximum: 358
Weighted Average: 340
7. Range of Combined Original LTV Ratios (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
30.01 - 35.00 1 74,733 0.01 6.625 356 30.36 564
35.01 - 40.00 9 1,171,002 0.20 7.089 357 38.23 634
40.01 - 45.00 8 1,062,047 0.18 6.655 356 42.99 587
45.01 - 50.00 13 2,747,391 0.47 7.429 357 48.50 586
50.01 - 55.00 14 2,513,168 0.43 6.690 356 52.96 610
55.01 - 60.00 30 6,794,617 1.16 6.705 357 57.94 604
60.01 - 65.00 31 7,695,727 1.31 7.022 357 62.77 587
65.01 - 70.00 72 20,017,222 3.41 6.583 356 68.10 617
70.01 - 75.00 150 41,172,845 7.01 6.783 354 74.13 609
75.01 - 80.00 938 282,213,321 48.06 6.407 356 79.75 651
80.01 - 85.00 113 42,069,896 7.16 6.637 356 84.14 620
85.01 - 90.00 288 84,869,432 14.45 6.812 353 89.50 638
90.01 - 95.00 206 46,869,928 7.98 7.427 342 94.75 634
95.01 - 100.00 503 47,994,820 8.17 9.773 184 99.92 675
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Minimum: 30.36
Maximum: 100.00
Weighted Average: 82.64
8. Range of Gross Margins (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 835 112,033,999 19.08 8.205 270 89.02 659
4.001 - 4.500 10 3,732,630 0.64 5.733 357 69.01 660
4.501 - 5.000 133 50,275,328 8.56 5.958 357 79.52 656
5.001 - 5.500 268 86,615,667 14.75 6.150 357 80.62 644
5.501 - 6.000 343 104,275,966 17.76 6.374 357 80.19 641
6.001 - 6.500 338 112,861,392 19.22 6.624 357 81.53 637
6.501 - 7.000 207 64,059,075 10.91 6.988 357 82.02 629
7.001 - 7.500 110 28,517,329 4.86 7.368 357 84.16 623
7.501 - 8.000 110 20,346,557 3.46 8.232 357 84.28 593
8.001 - 8.500 17 3,453,851 0.59 7.982 357 84.94 596
8.501 - 9.000 5 1,094,354 0.19 7.753 357 84.89 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.375
Maximum: 9.000
Non-Zero Weighted Average: 6.067
9. Range of Minimum Mortgage Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 835 112,033,999 19.08 8.205 270 89.02 659
<=5.000 14 6,882,186 1.17 4.992 357 79.98 687
5.001 - 5.500 77 35,121,503 5.98 5.396 357 81.35 664
5.501 - 6.000 332 117,222,848 19.96 5.869 357 79.52 656
6.001 - 6.500 282 92,789,907 15.80 6.330 357 81.15 645
6.501 - 7.000 344 104,413,708 17.78 6.802 357 81.98 637
7.001 - 7.500 198 54,596,552 9.30 7.275 357 80.86 619
7.501 - 8.000 166 40,767,260 6.94 7.791 357 82.00 596
8.001 - 8.500 60 12,538,178 2.14 8.291 357 85.70 595
8.501 - 9.000 40 6,901,089 1.18 8.785 357 84.67 565
9.001 - 9.500 15 1,640,376 0.28 9.252 357 74.91 548
9.501 - 10.000 11 2,193,800 0.37 9.798 357 84.15 546
10.001 -10.500 2 164,744 0.03 10.327 357 75.41 547
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 4.990
Maximum: 10.375
Non-Zero Weighted Average: 6.577
10. Range of Maximum Mortgage Rates (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 835 112,033,999 19.08 8.205 270 89.02 659
<= 12.500 418 157,808,048 26.87 5.719 357 79.97 659
12.501 - 13.000 287 95,610,515 16.28 6.337 357 81.17 645
13.001 - 13.500 343 102,479,858 17.45 6.798 357 82.01 637
13.501 - 14.000 196 54,173,249 9.22 7.278 357 80.70 618
14.001 - 14.500 166 41,314,914 7.04 7.786 357 81.96 596
14.501 - 15.000 63 12,945,558 2.20 8.281 357 85.58 594
15.001 - 15.500 40 6,901,089 1.18 8.785 357 84.67 565
15.501 - 16.000 15 1,640,376 0.28 9.252 357 74.91 548
16.001 - 16.500 11 2,193,800 0.37 9.798 357 84.15 546
16.501 - 17.000 2 164,744 0.03 10.327 357 75.41 547
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 11.490
Maximum: 16.875
Non-Zero Weighted Average: 13.080
11. Initial Periodic Cap (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 835 112,033,999 19.08 8.205 270 89.02 659
0.500 1 473,044 0.08 7.075 357 89.98 618
1.000 22 4,661,781 0.79 6.870 356 84.36 625
1.005 1 132,681 0.02 7.150 357 56.60 596
1.125 1 478,632 0.08 7.750 356 80.00 599
1.500 1,005 282,909,811 48.17 6.849 357 80.47 627
1.682 1 122,102 0.02 7.075 357 90.00 609
2.000 4 605,954 0.10 6.939 356 76.27 598
2.005 1 151,555 0.03 6.125 357 80.00 590
3.000 458 167,910,398 28.59 6.173 357 82.20 655
5.000 46 17,696,400 3.01 5.992 357 80.80 648
6.500 1 89,794 0.02 8.825 356 75.00 534
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.500
Maximum: 6.500
Non-Zero Weighted Average: 2.156
12. Subsequent Periodic Cap (%)
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 835 112,033,999 19.08 8.205 270 89.02 659
0.5 1 473,044 0.08 7.075 357 89.98 618
1 1,533 473,417,488 80.61 6.578 357 81.13 637
1.5 3 735,664 0.13 7.413 356 81.96 601
2 4 605,954 0.10 6.939 356 76.27 598
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 0.500
Maximum: 2.000
Non-Zero Weighted Average: 1.002
13. Next Rate Adjustment Dates
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Fixed Rate Loans 835 112,033,999 19.08 8.205 270 89.02 659
Jul-05 1 416,964 0.07 6.990 357 95.00 593
Dec-05 1 197,510 0.03 7.500 344 54.79 631
Sep-06 2 338,482 0.06 8.375 353 78.20 563
Oct-06 1 155,314 0.03 7.650 354 80.00 631
Nov-06 18 4,489,497 0.76 7.184 355 80.09 614
Dec-06 328 97,221,510 16.55 6.626 356 81.06 631
Jan-07 1,054 328,505,664 55.94 6.595 357 81.26 638
Feb-07 2 443,451 0.08 7.603 358 75.66 596
Nov-07 2 916,999 0.16 7.325 355 80.00 640
Dec-07 8 2,586,696 0.44 6.401 356 80.64 644
Jan-08 43 12,001,256 2.04 6.497 357 78.59 639
Sep-09 1 516,000 0.09 6.500 353 80.00 582
Dec-09 21 6,441,269 1.10 6.376 356 81.57 639
Jan-10 59 21,001,539 3.58 6.034 357 81.21 654
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
14. Geographic Distribution of Mortgaged Properties
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
California 1,200 339,949,847 57.89 6.794 335 83.20 648
New York 128 33,711,226 5.74 6.872 342 82.20 650
Virginia 130 28,696,907 4.89 7.101 342 82.38 636
Maryland 103 24,071,582 4.10 6.875 348 82.75 628
Florida 127 22,705,055 3.87 7.175 350 80.79 628
New Jersey 80 20,901,334 3.56 6.911 348 78.99 626
Illinois 73 14,868,046 2.53 7.225 348 83.36 630
Texas 78 14,353,864 2.44 7.089 343 81.11 636
Nevada 52 11,547,378 1.97 6.988 342 82.04 642
Massachusetts 38 10,019,626 1.71 6.919 345 82.77 644
Connecticut 39 9,418,347 1.60 7.035 347 83.62 638
Arizona 39 7,940,723 1.35 6.888 356 83.92 624
Washington 35 7,867,089 1.34 6.694 346 82.17 629
Pennsylvania 29 5,068,747 0.86 7.177 353 80.17 609
Michigan 29 4,932,312 0.84 7.696 347 81.72 611
Other 196 31,214,069 5.32 7.091 351 81.48 618
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Number of States/District of Columbia Represented: 44
15. Occupancy
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Primary 2,251 559,269,579 95.23 6.877 340 82.66 640
Investment 78 19,823,091 3.38 7.225 356 80.77 655
Second Home 47 8,173,479 1.39 6.957 337 85.51 695
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
16. Property Type
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Single Family Residence 1,725 424,858,052 72.35 6.897 341 82.49 639
Planned Unit Development 309 82,310,430 14.02 6.787 341 83.09 646
2-4 Family 164 45,187,908 7.69 6.986 340 82.44 656
Condominium 166 32,780,741 5.58 6.947 332 83.86 646
Manufactured Housing 12 2,129,018 0.36 6.723 348 78.97 636
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
17. Loan Purpose
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Purchase 1,158 271,243,966 46.19 7.025 328 84.44 664
Refinance - Cashout 794 216,677,051 36.90 6.757 351 81.42 621
Refinance - Rate Term 424 99,345,133 16.92 6.812 348 80.36 625
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
18. Documentation Level
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Full Documentation 1,078 253,195,890 43.11 6.738 344 83.32 626
Stated Documentation 1,004 250,236,354 42.61 7.128 335 81.47 659
Limited Documentation 294 83,833,906 14.28 6.642 343 84.06 635
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
19. Credit Score
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
500 - 524 62 13,083,191 2.23 8.090 357 76.83 513
525 - 549 69 13,036,004 2.22 7.663 357 72.86 538
550 - 574 146 33,193,895 5.65 7.307 355 80.78 562
575 - 599 279 70,149,154 11.95 6.924 351 81.36 588
600 - 624 425 110,569,352 18.83 6.819 347 82.87 613
625 - 649 393 101,755,747 17.33 6.829 339 82.35 636
650 - 674 321 84,217,850 14.34 6.769 336 82.97 661
675 - 699 295 70,879,930 12.07 6.843 329 84.55 687
700 - 724 198 45,110,135 7.68 6.795 325 84.23 712
725 - 749 99 24,724,310 4.21 6.579 329 84.81 736
750 - 774 54 13,031,113 2.22 6.794 330 86.66 761
775 - 799 26 5,900,182 1.00 6.804 326 83.65 785
800 + 9 1,615,286 0.28 6.562 311 88.61 811
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 500
Maximum: 821
Non-Zero Weighted Average: 641
20. Prepayment Penalty Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 675 154,261,769 26.27 7.149 338 82.53 642
12 100 29,973,579 5.10 6.902 342 80.14 644
24 1,237 336,351,245 57.27 6.720 345 82.65 639
36 363 66,585,320 11.34 7.147 322 83.93 651
60 1 94,236 0.02 6.375 357 90.00 673
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Non-Zero Minimum: 12
Maximum: 60
Non-Zero Weighted Average: 25
21. Lien Position
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
1st Lien 1,803 535,132,511 91.12 6.598 356 81.04 638
2nd Lien 573 52,133,638 8.88 9.888 177 99.04 674
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
22. Interest Only Term
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
0 1,975 430,196,769 73.25 7.185 334 82.74 636
60 401 157,069,380 26.75 6.082 357 82.34 657
--------------------------------------------------------- -------- ----------- --------- -------- --------- -------- --------
Total: 2,376 587,266,149 100.00 6.890 340 82.64 641
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
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make its own investment decision, including, where applicable, a review of any
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would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
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to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
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The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
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recipients should determine, in consultation with their own legal, tax,
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the legal, tax, regulatory and accounting characteristics and consequences, of
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The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
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and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
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Additionally, transfers of any such securities or instruments may be limited by
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Asset Backed Certificates
MSAC
2005-WMC3
--------------------------------------------------------------------------------
Forward + 150
--------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 5/25/2005 986,656,897.84 3,565,244.23 3.0400 3.3900 4.34%
2 6/25/2005 963,263,676.95 1,239,334.16 4.6224 5.0063 1.54%
3 7/25/2005 940,266,229.29 1,156,790.84 4.7997 5.1312 1.48%
4 8/25/2005 917,650,660.03 921,669.83 4.9537 5.2295 1.21%
5 9/25/2005 895,404,273.10 831,302.98 5.0927 5.3183 1.11%
6 10/25/2005 873,515,383.45 844,911.77 5.1505 5.3882 1.16%
7 11/25/2005 851,973,475.27 687,490.32 5.2633 5.4510 0.97%
8 12/25/2005 830,769,120.71 675,423.03 5.3616 5.5060 0.98%
9 1/25/2006 809,893,954.84 560,600.88 5.3832 5.5539 0.83%
10 2/25/2006 789,340,647.19 578,147.63 5.4726 5.5966 0.88%
11 3/25/2006 769,102,910.96 711,494.08 5.5196 5.6339 1.11%
12 4/25/2006 749,175,341.19 478,914.36 5.5185 5.6696 0.77%
13 5/25/2006 729,553,637.42 482,806.20 5.5862 5.7056 0.79%
14 6/25/2006 710,245,655.20 395,735.70 5.6406 5.7384 0.67%
15 7/25/2006 691,448,840.20 438,184.37 5.6327 5.7676 0.76%
16 8/25/2006 673,149,841.22 331,391.95 5.6868 5.7976 0.59%
17 9/25/2006 655,335,479.22 335,908.44 5.7319 5.8256 0.62%
18 10/25/2006 637,992,864.44 364,477.43 5.7317 5.8483 0.69%
19 11/25/2006 621,109,480.92 309,897.41 5.7790 5.8668 0.60%
20 12/25/2006 604,673,145.51 314,197.58 5.8149 5.8823 0.62%
21 1/25/2007 588,671,999.04 262,702.90 5.8091 5.8960 0.54%
22 2/25/2007 573,094,604.53 950,304.21 5.8503 5.9075 1.99%
23 3/25/2007 557,994,968.46 1,013,065.78 5.8741 5.9172 2.18%
24 4/25/2007 543,293,380.01 855,708.78 5.8395 5.9263 1.89%
25 5/25/2007 528,979,324.76 849,457.72 5.8705 5.9380 1.93%
26 6/25/2007 515,042,566.76 794,962.31 5.8937 5.9491 1.85%
27 7/25/2007 501,473,141.13 805,763.30 5.8773 5.9587 1.93%
28 8/25/2007 488,261,397.28 1,007,623.88 5.9055 5.9713 2.48%
29 9/25/2007 475,427,844.82 1,004,476.57 5.9239 5.9830 2.54%
30 10/25/2007 462,931,747.12 1,007,967.19 5.9094 5.9926 2.61%
31 11/25/2007 450,764,212.04 953,183.62 5.9343 6.0031 2.54%
32 12/25/2007 438,916,582.45 948,306.70 5.9521 6.0123 2.59%
33 1/25/2008 427,380,429.94 881,316.69 5.9505 6.0214 2.47%
34 2/25/2008 416,147,608.39 1,159,893.45 5.9737 6.0302 3.34%
35 3/25/2008 405,236,798.42 1,176,225.48 5.9851 6.0387 3.48%
36 4/25/2008 394,612,135.42 1,084,368.84 5.9700 6.0478 3.30%
37 5/25/2008 384,266,098.14 9,535,996.21 5.9895 6.0588 29.78%
38 6/25/2008 374,191,363.61 1,676,998.90 6.0040 6.0701 5.38%
39 7/25/2008 364,380,801.92 1,662,684.25 6.0036 6.0809 5.48%
40 8/25/2008 354,827,503.31 1,770,636.07 6.0227 6.0941 5.99%
41 9/25/2008 345,542,029.76 1,740,274.55 6.0358 6.1069 6.04%
42 10/25/2008 336,499,584.79 1,713,600.33 6.0365 6.1174 6.11%
43 11/25/2008 327,693,792.85 1,646,992.44 6.0546 6.1275 6.03%
44 12/25/2008 319,118,446.15 1,616,399.82 6.0694 6.1367 6.08%
45 1/25/2009 310,767,500.31 1,538,655.34 6.0798 6.1455 5.94%
46 2/25/2009 302,635,093.88 1,662,357.02 6.0976 6.1439 6.59%
47 3/25/2009 294,727,283.87 1,656,154.46 6.1039 6.1406 6.74%
48 4/25/2009 287,026,100.90 1,540,772.02 6.0946 6.1394 6.44%
49 5/25/2009 279,526,133.07 1,508,949.15 6.1097 6.1412 6.48%
50 6/25/2009 272,222,110.71 1,454,779.05 6.1194 6.1476 6.41%
51 7/25/2009 265,108,902.64 1,438,168.34 6.0707 6.1549 6.51%
52 8/25/2009 258,181,519.80 1,383,211.91 6.0787 6.1737 6.43%
53 9/25/2009 251,436,205.55 1,359,145.21 6.0919 6.1936 6.49%
54 10/25/2009 244,867,052.26 1,331,027.44 6.1069 6.2120 6.52%
55 11/25/2009 238,469,449.08 1,277,878.94 6.1448 6.2310 6.43%
56 12/25/2009 232,238,906.22 1,250,600.82 6.1652 6.2399 6.46%
57 1/25/2010 226,170,982.54 1,194,184.74 6.1800 6.2465 6.34%
58 2/25/2010 220,261,192.28 1,244,940.53 6.1946 6.2522 6.78%
59 3/25/2010 214,480,690.09 1,238,646.38 6.2073 6.2579 6.93%
60 4/25/2010 208,851,542.93 1,149,642.05 6.2170 6.2644 6.61%
61 5/25/2010 203,369,783.59 1,131,209.39 6.1975 6.2704 6.67%
62 6/25/2010 198,031,549.08 1,091,257.90 6.2024 6.2841 6.61%
63 7/25/2010 192,833,077.95 1,069,613.02 6.2146 6.2989 6.66%
64 8/25/2010 187,770,797.75 1,031,959.54 6.2277 6.3144 6.60%
65 9/25/2010 182,842,694.79 1,013,882.19 6.2407 6.3300 6.65%
66 10/25/2010 178,043,567.56 992,911.46 6.2545 6.3439 6.69%
67 11/25/2010 173,370,037.78 955,460.19 6.2764 6.3588 6.61%
68 12/25/2010 168,818,815.86 935,619.17 6.2913 6.3679 6.65%
69 1/25/2011 164,386,698.62 891,180.34 6.3048 6.3760 6.51%
70 2/25/2011 160,070,600.67 905,428.13 6.3182 6.3834 6.79%
71 3/25/2011 155,868,591.11 901,291.65 6.3298 6.3910 6.94%
72 4/25/2011 151,776,514.70 835,777.52 6.3400 6.3993 6.61%
73 5/25/2011 147,791,493.74 821,308.49 6.3304 6.4065 6.67%
74 6/25/2011 143,910,726.02 791,895.10 6.3375 6.4163 6.60%
75 7/25/2011 140,131,482.88 775,993.26 6.3492 6.4259 6.65%
76 8/25/2011 136,451,125.83 744,854.37 6.3618 6.4361 6.55%
77 9/25/2011 132,867,771.63 732,061.34 6.3742 6.4460 6.61%
78 10/25/2011 129,378,141.71 717,381.40 6.3845 6.4549 6.65%
79 11/25/2011 125,979,784.02 692,128.56 6.3865 6.4644 6.59%
80 12/25/2011 122,670,310.79 678,392.73 6.3955 6.4700 6.64%
81 1/25/2012 119,447,396.88 645,896.47 6.4077 6.4752 6.49%
82 2/25/2012 116,308,783.21 645,775.75 6.4197 6.4796 6.66%
83 3/25/2012 113,252,664.75 638,050.91 6.4306 6.4843 6.76%
84 4/25/2012 110,276,469.53 602,893.72 6.4384 6.4894 6.56%
85 5/25/2012 107,378,107.54 593,220.18 6.4207 6.4941 6.63%
86 6/25/2012 104,555,543.56 572,109.50 6.4248 6.5041 6.57%
87 7/25/2012 101,806,795.68 560,694.43 6.4351 6.5145 6.61%
88 8/25/2012 99,129,936.00 536,394.35 6.4463 6.5257 6.49%
89 9/25/2012 96,523,411.33 508,987.09 6.4574 6.5368 6.33%
90 10/25/2012 93,985,047.10 499,249.71 6.4678 6.5462 6.37%
91 11/25/2012 91,513,061.71 480,530.07 6.4779 6.5567 6.30%
92 12/25/2012 89,105,720.20 471,366.96 6.4882 6.5623 6.35%
93 1/25/2013 86,761,333.08 447,824.74 6.4994 6.5673 6.19%
94 2/25/2013 84,478,257.45 454,144.62 6.5104 6.5715 6.45%
95 3/25/2013 82,255,172.06 453,780.33 6.5198 6.5760 6.62%
96 4/25/2013 80,090,219.36 418,319.80 6.5273 6.5814 6.27%
97 5/25/2013 77,981,880.50 411,945.68 6.5119 6.5864 6.34%
98 6/25/2013 75,928,676.39 396,802.99 6.5160 6.5994 6.27%
99 7/25/2013 73,929,166.62 389,316.64 6.5255 6.6136 6.32%
100 8/25/2013 71,981,950.35 372,107.31 6.5359 6.6286 6.20%
101 9/25/2013 70,085,964.90 277,932.13 6.5463 6.6436 4.76%
102 10/25/2013 68,239,559.81 232,131.52 6.5589 6.6570 4.08%
103 11/25/2013 66,441,440.22 222,007.50 6.5868 6.6711 4.01%
104 12/25/2013 64,690,345.12 219,431.96 6.6012 6.6776 4.07%
105 1/25/2014 62,985,046.52 206,544.17 6.6123 6.6829 3.94%
106 2/25/2014 61,324,350.87 215,879.10 6.6231 6.6874 4.22%
107 3/25/2014 59,707,364.83 219,215.43 6.6321 6.6922 4.41%
108 4/25/2014 58,132,667.03 197,634.04 6.6398 6.6979 4.08%
109 5/25/2014 56,599,153.47 196,511.82 6.6261 6.7028 4.17%
110 6/25/2014 55,105,749.04 189,388.56 6.6306 6.7131 4.12%
111 7/25/2014 53,651,406.71 187,303.45 6.6400 6.7239 4.19%
112 8/25/2014 52,235,107.30 178,071.78 6.6503 6.7354 4.09%
113 9/25/2014 50,856,029.55 177,220.91 6.6605 6.7468 4.18%
114 10/25/2014 49,513,025.69 175,129.07 6.6707 6.7565 4.24%
115 11/25/2014 48,205,154.26 168,653.20 6.6850 6.7666 4.20%
116 12/25/2014 46,931,498.40 166,632.85 6.6957 6.7663 4.26%
117 1/25/2015 45,691,165.21 157,585.54 6.7062 6.7640 4.14%
118 2/25/2015 44,483,519.30 163,573.13 6.7164 6.7608 4.41%
119 3/25/2015 43,307,544.83 165,119.37 6.7247 6.7577 4.58%
120 4/25/2015 42,162,339.51 150,517.29 6.7275 6.7560 4.28%
121 5/25/2015 41,047,100.54 150,271.68 6.6849 6.7533 4.39%
122 6/25/2015 39,961,046.09 145,655.88 6.6811 6.7581 4.37%
123 7/25/2015 38,903,414.73 143,851.54 6.6891 6.7640 4.44%
124 8/25/2015 37,873,464.95 136,732.64 6.6983 6.7705 4.33%
125 9/25/2015 36,870,496.45 136,223.63 6.7072 6.7768 4.43%
126 10/25/2015 35,893,782.95 134,535.04 6.7139 6.7820 4.50%
127 11/25/2015 34,942,639.54 130,632.83 6.7116 6.7887 4.49%
128 12/25/2015 34,016,399.20 128,989.12 6.7171 6.7959 4.55%
129 1/25/2016 33,114,412.30 122,726.70 6.7260 6.8042 4.45%
130 2/25/2016 32,236,046.40 124,988.98 6.7347 6.8117 4.65%
131 3/25/2016 31,380,765.03 124,209.57 6.7424 6.8197 4.75%
132 4/25/2016 30,547,884.22 117,497.14 6.7510 6.8283 4.62%
133 5/25/2016 29,736,819.71 115,917.64 6.7557 6.8360 4.68%
134 6/25/2016 28,947,002.49 112,608.06 6.7638 6.8461 4.67%
135 7/25/2016 28,177,878.39 111,006.37 6.7718 6.8558 4.73%
136 8/25/2016 27,428,907.92 106,590.69 6.7807 6.8664 4.66%
137 9/25/2016 26,699,656.91 106,227.60 6.7894 6.8767 4.77%
138 10/25/2016 25,989,517.14 104,648.93 6.7985 6.8854 4.83%
139 11/25/2016 25,297,990.21 101,788.74 6.8132 6.8942 4.83%
140 12/25/2016 24,624,590.71 100,247.58 6.8229 6.8913 4.89%
141 1/25/2017 23,968,845.90 96,030.40 6.8319 6.8861 4.81%
142 2/25/2017 23,330,295.48 99,142.79 6.8407 6.8799 5.10%
143 3/25/2017 22,708,510.38 98,443.48 6.8475 6.8738 5.20%
144 4/25/2017 22,103,033.44 92,305.79 6.8480 6.8694 5.01%
145 5/25/2017 21,513,439.35 91,688.53 6.7978 6.8641 5.11%
146 6/25/2017 20,939,313.90 89,805.96 6.7912 6.8687 5.15%
147 7/25/2017 20,380,253.67 88,386.44 6.7977 6.8748 5.20%
148 8/25/2017 19,835,865.73 85,083.39 6.8056 6.8817 5.15%
149 9/25/2017 19,305,769.73 84,844.34 6.8132 6.8884 5.27%
150 10/25/2017 18,789,590.60 83,449.35 6.8195 6.8934 5.33%
151 11/25/2017 18,286,965.37 81,811.11 6.8229 6.8996 5.37%
152 12/25/2017 17,797,540.54 80,447.40 6.8288 6.9006 5.42%
153 1/25/2018 17,320,971.79 77,696.41 6.8366 6.9012 5.38%
154 2/25/2018 16,856,923.89 79,990.15 6.8441 6.9009 5.69%
155 3/25/2018 16,405,091.23 78,617.38 6.8499 6.9008 5.75%
156 4/25/2018 15,965,133.58 75,005.77 6.8536 6.9021 5.64%
157 5/25/2018 15,536,741.21 73,955.55 6.8306 6.9028 5.71%
158 6/25/2018 15,119,612.42 72,815.34 6.8304 6.9118 5.78%
159 7/25/2018 14,713,453.39 71,514.19 6.8365 6.9218 5.83%
160 8/25/2018 14,317,978.00 69,594.18 6.8438 6.9328 5.83%
161 9/25/2018 13,932,937.71 69,448.68 6.8508 6.9436 5.98%
162 10/25/2018 13,558,029.28 68,151.77 6.8596 6.9528 6.03%
163 11/25/2018 13,192,988.39 67,139.62 6.8814 6.9626 6.11%
164 12/25/2018 12,837,557.57 65,859.33 6.8916 6.9638 6.16%
165 1/25/2019 12,491,486.10 64,181.86 6.8992 6.9637 6.17%
166 2/25/2019 12,154,529.85 65,930.87 6.9064 6.9626 6.51%
167 3/25/2019 11,826,475.40 64,117.25 6.9119 6.9618 6.51%
168 4/25/2019 11,507,065.29 62,293.63 6.9151 6.9625 6.50%
169 5/25/2019 11,196,073.94 61,296.30 6.8900 6.9611 6.57%
170 6/25/2019 10,893,281.63 60,652.06 6.8891 6.9603 6.68%
171 7/25/2019 10,598,474.38 59,557.91 6.8950 6.9586 6.74%
172 8/25/2019 10,311,443.75 58,245.61 6.9019 6.9577 6.78%
173 9/25/2019 10,031,983.24 58,053.49 6.9084 6.9562 6.94%
174 10/25/2019 9,759,898.83 57,088.28 6.9093 6.9538 7.02%
175 11/25/2019 9,494,997.96 56,606.83 6.8835 6.9518 7.15%
176 12/25/2019 9,234,865.03 55,708.01 6.8813 6.9441 7.24%
177 1/25/2020 8,982,351.52 54,634.96 6.8874 6.9354 7.30%
178 2/25/2020 7,070,369.84 51,623.15 6.8936 6.9260 8.76%
179 3/25/2020 6,870,006.68 50,823.57 6.8984 6.9165 8.88%
180 4/25/2020 6,678,519.64 50,154.83 6.8955 6.9083 9.01%
181 5/25/2020 6,492,225.86 49,591.40 6.8395 6.8991 9.17%
182 6/25/2020 6,310,986.32 49,096.13 6.8297 6.8960 9.34%
183 7/25/2020 6,134,665.73 48,490.25 6.8338 6.8934 9.49%
184 8/25/2020 5,963,132.33 47,783.91 6.8392 6.8916 9.62%
185 9/25/2020 5,796,239.23 47,385.30 6.8442 6.8892 9.81%
186 10/25/2020 5,633,881.40 46,852.78 6.8440 6.8855 9.98%
187 11/25/2020 5,475,937.34 46,404.46 6.8193 6.8830 10.17%
188 12/25/2020 5,322,288.79 45,909.45 6.8163 6.8765 10.35%
189 1/25/2021 5,172,820.64 45,430.98 6.8210 6.8697 10.54%
190 2/25/2021 5,027,420.80 92,288.41 6.8257 6.8620 22.03%
191 3/25/2021 4,885,966.07 181,818.60 6.8287 6.8545 44.65%
192 4/25/2021 4,748,365.20 176,805.07 6.8269 6.8487 44.68%
193 5/25/2021 4,614,514.84 171,927.10 6.7829 6.8422 44.71%
194 6/25/2021 4,484,314.38 167,181.04 6.7752 6.8457 44.74%
195 7/25/2021 4,357,665.88 162,563.30 6.7783 6.8507 44.77%
196 8/25/2021 4,234,474.00 158,062.88 6.7826 6.8566 44.79%
197 9/25/2021 4,114,643.71 153,691.90 6.7866 6.8622 44.82%
198 10/25/2021 3,998,087.09 149,439.27 6.7911 6.8664 44.85%
199 11/25/2021 3,884,716.22 145,301.80 6.8015 6.8713 44.88%
200 12/25/2021 3,774,445.54 141,276.41 6.8065 6.8697 44.92%
201 1/25/2022 3,667,191.76 137,360.15 6.8110 6.8672 44.95%
202 2/25/2022 3,562,873.82 133,558.61 6.8150 6.8639 44.98%
203 3/25/2022 3,461,415.45 129,851.60 6.8176 6.8609 45.02%
204 4/25/2022 3,362,737.05 126,245.12 6.8182 6.8593 45.05%
205 5/25/2022 3,266,763.86 122,736.49 6.7936 6.8570 45.09%
206 6/25/2022 3,173,423.13 119,323.07 6.7906 6.8633 45.12%
207 7/25/2022 3,082,644.03 116,002.33 6.7935 6.8705 45.16%
208 8/25/2022 2,994,357.64 112,786.20 6.7975 6.8788 45.20%
209 9/25/2022 2,908,501.48 109,643.12 6.8012 6.8867 45.24%
210 10/25/2022 2,825,005.38 106,585.45 6.8072 6.8932 45.28%
211 11/25/2022 2,743,805.76 103,610.89 6.8280 6.9004 45.31%
212 12/25/2022 2,664,840.79 100,717.21 6.8355 6.8999 45.35%
213 1/25/2023 2,588,050.24 97,902.32 6.8398 6.8983 45.39%
214 2/25/2023 2,513,375.54 95,177.61 6.8437 6.8959 45.44%
215 3/25/2023 2,440,764.18 92,513.54 6.8461 6.8937 45.48%
216 4/25/2023 2,370,155.84 89,922.01 6.8473 6.8930 45.53%
217 5/25/2023 2,301,496.49 87,401.08 6.8266 6.8909 45.57%
218 6/25/2023 2,234,733.54 84,948.84 6.8246 6.8927 45.62%
219 7/25/2023 2,169,815.81 82,563.45 6.8274 6.8945 45.66%
220 8/25/2023 2,106,693.49 80,243.91 6.8313 6.8971 45.71%
221 9/25/2023 2,045,318.36 77,986.87 6.8349 6.8993 45.76%
222 10/25/2023 1,985,642.95 75,791.43 6.8371 6.9006 45.80%
223 11/25/2023 1,927,621.32 73,655.94 6.8354 6.9030 45.85%
224 12/25/2023 1,871,208.77 71,578.78 6.8370 6.9030 45.90%
225 1/25/2024 1,816,361.80 69,558.41 6.8408 6.9034 45.95%
226 2/25/2024 1,763,038.05 67,596.42 6.8443 6.9030 46.01%
227 3/25/2024 1,711,197.47 65,684.96 6.8468 6.9030 46.06%
228 4/25/2024 1,660,798.72 63,825.81 6.8488 6.9037 46.12%
229 5/25/2024 1,611,802.75 62,017.55 6.8375 6.9033 46.17%
230 6/25/2024 1,564,171.58 60,258.82 6.8376 6.9046 46.23%
231 7/25/2024 1,517,868.23 58,548.28 6.8403 6.9052 46.29%
232 8/25/2024 1,472,856.70 56,886.21 6.8440 6.9066 46.35%
233 9/25/2024 1,429,102.56 55,268.17 6.8472 6.9077 46.41%
234 10/25/2024 1,386,571.09 53,694.52 6.8486 6.9073 46.47%
235 11/25/2024 1,345,229.11 52,164.08 6.8428 6.9071 46.53%
236 12/25/2024 1,305,044.32 50,675.68 6.8433 6.8967 46.60%
237 1/25/2025 1,265,985.31 49,175.01 6.8467 6.8843 46.61%
238 2/25/2025 1,228,074.61 47,717.39 6.8499 6.8711 46.63%
239 3/25/2025 1,191,261.54 46,352.52 6.8514 6.8578 46.69%
240 4/25/2025 1,155,481.82 45,025.22 6.8456 6.8468 46.76%
241 5/25/2025 1,120,707.33 43,734.46 6.7833 6.8342 46.83%
242 6/25/2025 1,086,910.72 42,479.27 6.7699 6.8294 46.90%
243 7/25/2025 1,054,065.37 41,258.62 6.7713 6.8256 46.97%
244 8/25/2025 1,022,145.34 40,057.09 6.7741 6.8225 47.03%
245 9/25/2025 991,119.37 38,903.16 6.7764 6.8190 47.10%
246 10/25/2025 960,969.34 37,781.10 6.7745 6.8142 47.18%
247 11/25/2025 931,671.36 36,690.05 6.7533 6.8102 47.26%
248 12/25/2025 903,202.18 35,629.17 6.7492 6.8000 47.34%
249 1/25/2026 875,539.15 34,597.61 6.7515 6.7888 47.42%
250 2/25/2026 848,660.25 33,583.36 6.7536 6.7768 47.49%
251 3/25/2026 822,539.15 32,608.34 6.7542 6.7649 47.57%
252 4/25/2026 797,160.20 31,660.36 6.7488 6.7550 47.66%
253 5/25/2026 772,503.07 30,738.68 6.6949 6.7441 47.75%
254 6/25/2026 748,548.01 29,842.58 6.6829 6.7424 47.84%
255 7/25/2026 725,275.79 28,971.35 6.6835 6.7421 47.93%
256 8/25/2026 702,667.68 28,116.97 6.6854 6.7426 48.02%
257 9/25/2026 680,702.13 27,293.66 6.6868 6.7428 48.12%
258 10/25/2026 659,364.96 26,493.26 6.6870 6.7417 48.22%
259 11/25/2026 638,638.94 25,715.16 6.6833 6.7412 48.32%
260 12/25/2026 618,507.26 24,958.75 6.6830 6.7340 48.42%
261 1/25/2027 598,953.60 24,223.43 6.6847 6.7257 48.53%
262 2/25/2027 579,962.05 23,503.75 6.6861 6.7167 48.63%
263 3/25/2027 561,514.82 22,809.02 6.6862 6.7078 48.74%
264 4/25/2027 543,599.33 22,133.71 6.6823 6.7007 48.86%
265 5/25/2027 526,200.93 21,476.31 6.6425 6.6921 48.98%
266 6/25/2027 509,306.34 20,838.33 6.6337 6.6888 49.10%
267 7/25/2027 492,900.66 20,218.22 6.6339 6.6859 49.22%
268 8/25/2027 476,970.39 19,610.06 6.6352 6.6838 49.34%
269 9/25/2027 461,499.70 19,024.35 6.6361 6.6812 49.47%
270 10/25/2027 446,478.67 18,455.11 6.6344 6.6778 49.60%
271 11/25/2027 431,894.88 17,901.88 6.6213 6.6757 49.74%
272 12/25/2027 417,736.22 17,364.22 6.6183 6.6733 49.88%
273 1/25/2028 403,990.91 16,841.70 6.6193 6.6716 50.03%
274 2/25/2028 390,647.48 16,331.81 6.6202 6.6692 50.17%
275 3/25/2028 377,693.71 15,838.40 6.6202 6.6671 50.32%
276 4/25/2028 365,119.90 15,358.92 6.6199 6.6659 50.48%
277 5/25/2028 352,915.50 14,893.00 6.6087 6.6641 50.64%
278 6/25/2028 341,070.23 14,440.27 6.6069 6.6671 50.81%
279 7/25/2028 329,574.10 14,000.37 6.6071 6.6703 50.98%
280 8/25/2028 318,417.39 13,573.54 6.6082 6.6744 51.15%
281 9/25/2028 307,590.96 13,158.23 6.6090 6.6781 51.33%
282 10/25/2028 297,085.26 12,754.73 6.6113 6.6806 51.52%
283 11/25/2028 286,891.35 12,362.70 6.6244 6.6836 51.71%
284 12/25/2028 277,000.50 11,981.84 6.6278 6.6793 51.91%
285 1/25/2029 267,404.26 11,611.83 6.6291 6.6738 52.11%
286 2/25/2029 258,094.36 11,251.76 6.6299 6.6676 52.31%
287 3/25/2029 249,062.45 10,902.58 6.6295 6.6615 52.53%
288 4/25/2029 240,301.10 10,563.39 6.6271 6.6571 52.75%
289 5/25/2029 231,802.71 10,233.91 6.6003 6.6519 52.98%
290 6/25/2029 223,559.90 9,913.87 6.5945 6.6550 53.21%
291 7/25/2029 215,565.49 9,603.01 6.5944 6.6592 53.46%
292 8/25/2029 207,812.48 9,300.83 6.5953 6.6642 53.71%
293 9/25/2029 200,293.94 9,007.59 6.5960 6.6689 53.97%
294 10/25/2029 193,003.41 8,722.80 6.5989 6.6724 54.23%
295 11/25/2029 185,934.46 8,446.21 6.6166 6.6764 54.51%
296 12/25/2029 179,080.82 8,177.61 6.6209 6.6727 54.80%
297 1/25/2030 172,436.41 7,916.78 6.6221 6.6678 55.09%
298 2/25/2030 165,995.32 7,663.37 6.6229 6.6622 55.40%
299 3/25/2030 159,751.70 7,417.43 6.6223 6.6568 55.72%
300 4/25/2030 153,700.04 7,178.61 6.6204 6.6529 56.05%
301 5/25/2030 147,834.89 6,946.74 6.6204 6.6529 56.39%
302 6/25/2030 142,150.94 6,721.62 6.6204 6.6529 56.74%
303 7/25/2030 136,643.04 6,503.04 6.6204 6.6529 57.11%
304 8/25/2030 131,306.18 6,290.45 6.6204 6.6529 57.49%
305 9/25/2030 126,135.22 6,084.46 6.6204 6.6529 57.89%
306 10/25/2030 121,125.69 5,884.50 6.6204 6.6529 58.30%
307 11/25/2030 116,272.99 5,690.41 6.6204 6.6529 58.73%
308 12/25/2030 111,572.63 5,502.01 6.6204 6.6529 59.18%
309 1/25/2031 107,020.23 5,319.14 6.6204 6.6529 59.64%
310 2/25/2031 102,611.57 5,141.67 6.6204 6.6529 60.13%
311 3/25/2031 98,342.50 4,969.42 6.6204 6.6529 60.64%
312 4/25/2031 94,209.02 4,802.27 6.6204 6.6529 61.17%
313 5/25/2031 90,207.22 4,640.05 6.6204 6.6529 61.73%
314 6/25/2031 86,333.30 4,482.65 6.6204 6.6529 62.31%
315 7/25/2031 82,583.58 4,329.92 6.6204 6.6529 62.92%
316 8/25/2031 78,954.47 4,181.73 6.6204 6.6529 63.56%
317 9/25/2031 75,442.46 4,037.95 6.6204 6.6529 64.23%
318 10/25/2031 72,044.18 3,898.47 6.6204 6.6529 64.93%
319 11/25/2031 68,756.31 3,763.15 6.6204 6.6529 65.68%
320 12/25/2031 65,575.65 3,631.89 6.6204 6.6529 66.46%
321 1/25/2032 62,499.07 3,504.57 6.6204 6.6529 67.29%
322 2/25/2032 59,523.55 3,381.07 6.6204 6.6529 68.16%
323 3/25/2032 56,646.13 3,261.30 6.6204 6.6529 69.09%
324 4/25/2032 53,863.94 3,145.14 6.6204 6.6529 70.07%
325 5/25/2032 51,174.20 3,032.49 6.6204 6.6529 71.11%
326 6/25/2032 48,574.19 2,923.26 6.6204 6.6529 72.22%
327 7/25/2032 46,061.27 2,817.35 6.6204 6.6529 73.40%
328 8/25/2032 43,632.89 2,714.66 6.6204 6.6529 74.66%
329 9/25/2032 41,286.54 2,615.10 6.6204 6.6529 76.01%
330 10/25/2032 39,019.82 2,518.58 6.6204 6.6529 77.46%
331 11/25/2032 36,830.35 2,425.02 6.6204 6.6529 79.01%
332 12/25/2032 34,715.86 2,334.34 6.6204 6.6529 80.69%
333 1/25/2033 32,674.12 2,246.45 6.6204 6.6529 82.50%
334 2/25/2033 30,702.96 2,161.26 6.6204 6.6529 84.47%
335 3/25/2033 28,800.28 2,078.72 6.6204 6.6529 86.61%
336 4/25/2033 26,964.04 1,998.73 6.6204 6.6529 88.95%
337 5/25/2033 25,192.24 1,921.23 6.6204 6.6529 91.52%
338 6/25/2033 23,482.97 1,846.14 6.6204 6.6529 94.34%
339 7/25/2033 21,834.33 1,773.40 6.6204 6.6529 97.46%
340 8/25/2033 20,244.52 1,702.94 6.6204 6.6529 100.94%
341 9/25/2033 18,711.74 1,634.69 6.6204 6.6529 104.83%
342 10/25/2033 17,234.29 1,568.59 6.6204 6.6529 109.22%
343 11/25/2033 15,810.48 1,504.58 6.6204 6.6529 114.20%
344 12/25/2033 14,438.69 1,442.60 6.6204 6.6529 119.89%
345 1/25/2034 13,117.34 1,382.58 6.6204 6.6529 126.48%
346 2/25/2034 11,844.89 1,324.48 6.6204 6.6529 134.18%
347 3/25/2034 10,619.84 1,268.24 6.6204 6.6529 143.31%
348 4/25/2034 9,440.74 1,213.80 6.6204 6.6529 154.28%
349 5/25/2034 8,306.19 1,161.11 6.6204 6.6529 167.75%
350 6/25/2034 7,214.81 1,110.12 6.6204 6.6529 184.64%
351 7/25/2034 6,165.27 1,060.78 6.6204 6.6529 206.47%
352 8/25/2034 5,156.28 1,013.04 6.6204 6.6529 235.76%
353 9/25/2034 4,186.58 966.57 6.6204 6.6529 277.05%
354 10/25/2034 3,255.25 921.92 6.6204 6.6529 339.85%
355 11/25/2034 2,360.79 878.39 6.6204 6.6529 446.49%
356 12/25/2034 1,502.39 834.57 6.6204 6.6529 666.59%
357 1/25/2035 680.65 686.63 6.6204 6.6529 1210.54%
Total 117,446,162.58
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
Asset Backed Certificates
MSAC
2005-WMC3
--------------------------------------------------------------------------------
Forward + 200
--------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 5/25/2005 986,656,897.84 3,565,244.23 3.0400 3.3900 4.34%
2 6/25/2005 963,263,676.95 852,125.29 5.1224 5.5063 1.06%
3 7/25/2005 940,266,229.29 786,228.12 5.2997 5.6312 1.00%
4 8/25/2005 917,650,660.03 557,156.62 5.4537 5.7295 0.73%
5 9/25/2005 895,404,273.10 478,818.95 5.5927 5.8183 0.64%
6 10/25/2005 873,515,383.45 507,539.64 5.6505 5.8882 0.70%
7 11/25/2005 851,973,475.27 360,804.77 5.7633 5.9510 0.51%
8 12/25/2005 830,769,120.71 360,292.30 5.8616 6.0060 0.52%
9 1/25/2006 809,893,954.84 263,028.84 5.8832 6.0539 0.39%
10 2/25/2006 789,340,647.19 306,636.62 5.9726 6.0966 0.47%
11 3/25/2006 769,102,910.96 430,535.33 6.0196 6.1339 0.67%
12 4/25/2006 749,175,341.19 224,379.39 6.0185 6.1696 0.36%
13 5/25/2006 729,553,637.42 224,477.27 6.0862 6.2056 0.37%
14 6/25/2006 710,245,655.20 171,260.87 6.1406 6.2384 0.29%
15 7/25/2006 691,448,840.20 200,427.01 6.1327 6.2676 0.35%
16 8/25/2006 673,149,841.22 125,222.05 6.1868 6.2976 0.22%
17 9/25/2006 655,335,479.22 141,162.46 6.2319 6.3256 0.26%
18 10/25/2006 637,992,864.44 159,161.70 6.2317 6.3483 0.30%
19 11/25/2006 621,109,480.92 130,016.37 6.2790 6.3668 0.25%
20 12/25/2006 604,673,145.51 130,327.70 6.3149 6.3823 0.26%
21 1/25/2007 588,671,999.04 95,540.23 6.3091 6.3960 0.19%
22 2/25/2007 573,094,604.53 731,419.94 6.3503 6.4075 1.53%
23 3/25/2007 557,994,968.46 802,336.45 6.3741 6.4172 1.73%
24 4/25/2007 543,293,380.01 644,531.85 6.3395 6.4263 1.42%
25 5/25/2007 528,979,324.76 643,495.71 6.3705 6.4380 1.46%
26 6/25/2007 515,042,566.76 597,235.03 6.3937 6.4491 1.39%
27 7/25/2007 501,473,141.13 611,313.43 6.3773 6.4587 1.46%
28 8/25/2007 488,261,397.28 812,481.00 6.4055 6.4713 2.00%
29 9/25/2007 475,427,844.82 817,125.55 6.4239 6.4830 2.06%
30 10/25/2007 462,931,747.12 827,510.25 6.4094 6.4926 2.15%
31 11/25/2007 450,764,212.04 776,247.80 6.4343 6.5031 2.07%
32 12/25/2007 438,916,582.45 778,054.58 6.4521 6.5123 2.13%
33 1/25/2008 427,380,429.94 712,386.45 6.4505 6.5214 2.00%
34 2/25/2008 416,147,608.39 999,363.92 6.4737 6.5302 2.88%
35 3/25/2008 405,236,799.35 1,023,752.05 6.4851 6.5387 3.03%
36 4/25/2008 394,612,137.24 931,156.57 6.4700 6.5478 2.83%
37 5/25/2008 384,266,100.81 9,388,977.39 6.4895 6.5588 29.32%
38 6/25/2008 374,191,367.08 1,528,850.79 6.5040 6.5701 4.90%
39 7/25/2008 364,380,806.16 1,520,135.89 6.5036 6.5809 5.01%
40 8/25/2008 354,827,508.28 1,640,174.73 6.5227 6.5941 5.55%
41 9/25/2008 345,542,042.12 1,614,730.48 6.5358 6.6069 5.61%
42 10/25/2008 336,499,604.20 1,592,688.08 6.5365 6.6174 5.68%
43 11/25/2008 327,693,818.96 1,527,993.10 6.5546 6.6275 5.60%
44 12/25/2008 319,118,478.62 1,501,637.25 6.5694 6.6367 5.65%
45 1/25/2009 310,767,538.82 1,424,350.84 6.5798 6.6455 5.50%
46 2/25/2009 302,635,138.12 1,583,779.55 6.5976 6.6439 6.28%
47 3/25/2009 294,728,394.34 1,582,352.45 6.6039 6.6406 6.44%
48 4/25/2009 287,028,226.06 1,463,376.04 6.5946 6.6394 6.12%
49 5/25/2009 279,529,223.26 1,434,416.08 6.6097 6.6412 6.16%
50 6/25/2009 272,226,118.04 1,381,316.33 6.6194 6.6476 6.09%
51 7/25/2009 265,113,780.98 1,367,524.69 6.5707 6.6549 6.19%
52 8/25/2009 258,187,231.32 1,352,857.24 6.5787 6.6737 6.29%
53 9/25/2009 251,446,607.25 1,330,757.77 6.5919 6.6936 6.35%
54 10/25/2009 244,881,914.71 1,304,089.48 6.6069 6.7120 6.39%
55 11/25/2009 238,488,551.10 1,250,847.08 6.6448 6.7310 6.29%
56 12/25/2009 232,262,034.69 1,224,946.59 6.6652 6.7399 6.33%
57 1/25/2010 226,197,932.06 1,167,329.27 6.6800 6.7465 6.19%
58 2/25/2010 220,291,766.42 1,221,927.69 6.6946 6.7522 6.66%
59 3/25/2010 214,516,694.14 1,218,207.70 6.7073 6.7579 6.81%
60 4/25/2010 208,892,696.59 1,125,696.18 6.7170 6.7644 6.47%
61 5/25/2010 203,415,816.81 1,108,491.16 6.6975 6.7704 6.54%
62 6/25/2010 198,082,201.81 1,068,481.02 6.7024 6.7841 6.47%
63 7/25/2010 192,888,099.78 1,048,016.20 6.7146 6.7989 6.52%
64 8/25/2010 187,829,949.31 1,007,855.93 6.7277 6.8144 6.44%
65 9/25/2010 182,905,529.92 991,276.81 6.7407 6.8300 6.50%
66 10/25/2010 178,109,873.52 971,424.67 6.7545 6.8439 6.54%
67 11/25/2010 173,439,609.89 933,962.35 6.7764 6.8588 6.46%
68 12/25/2010 168,891,457.26 915,183.99 6.7913 6.8679 6.50%
69 1/25/2011 164,462,219.97 870,042.19 6.8048 6.8760 6.35%
70 2/25/2011 160,148,832.87 886,565.63 6.8182 6.8834 6.64%
71 3/25/2011 155,949,246.13 884,364.62 6.8298 6.8910 6.81%
72 4/25/2011 151,859,429.49 816,341.43 6.8400 6.8993 6.45%
73 5/25/2011 147,876,511.62 802,821.62 6.8304 6.9065 6.51%
74 6/25/2011 143,997,696.53 773,415.57 6.8375 6.9163 6.45%
75 7/25/2011 140,220,261.53 758,415.21 6.8492 6.9259 6.49%
76 8/25/2011 136,541,573.94 725,398.06 6.8618 6.9361 6.38%
77 9/25/2011 132,959,585.84 713,748.74 6.8742 6.9460 6.44%
78 10/25/2011 129,471,202.81 699,934.42 6.8845 6.9549 6.49%
79 11/25/2011 126,073,977.67 674,721.44 6.8865 6.9644 6.42%
80 12/25/2011 122,765,527.40 661,808.05 6.8955 6.9700 6.47%
81 1/25/2012 119,543,531.44 628,768.33 6.9077 6.9752 6.31%
82 2/25/2012 116,405,736.16 629,772.35 6.9197 6.9796 6.49%
83 3/25/2012 113,350,263.57 623,163.53 6.9306 6.9843 6.60%
84 4/25/2012 110,374,625.84 587,135.92 6.9384 6.9894 6.38%
85 5/25/2012 107,476,736.80 578,199.27 6.9207 6.9941 6.46%
86 6/25/2012 104,654,564.95 557,135.36 6.9248 7.0041 6.39%
87 7/25/2012 101,906,131.98 546,406.40 6.9351 7.0145 6.43%
88 8/25/2012 99,229,511.88 520,551.38 6.9463 7.0257 6.30%
89 9/25/2012 96,623,003.24 494,004.71 6.9574 7.0368 6.14%
90 10/25/2012 94,084,595.50 484,943.16 6.9678 7.0462 6.19%
91 11/25/2012 91,612,509.86 466,293.96 6.9779 7.0567 6.11%
92 12/25/2012 89,205,014.11 457,772.80 6.9882 7.0623 6.16%
93 1/25/2013 86,860,421.38 433,852.61 6.9994 7.0673 5.99%
94 2/25/2013 84,577,089.50 440,355.43 7.0104 7.0715 6.25%
95 3/25/2013 82,353,510.21 441,125.36 7.0198 7.0760 6.43%
96 4/25/2013 80,188,029.11 404,424.02 7.0273 7.0814 6.05%
97 5/25/2013 78,079,129.26 398,653.16 7.0119 7.0864 6.13%
98 6/25/2013 76,025,333.40 383,607.30 7.0160 7.0994 6.05%
99 7/25/2013 74,025,202.93 376,681.94 7.0255 7.1136 6.11%
100 8/25/2013 72,077,337.33 357,491.51 7.0359 7.1286 5.95%
101 9/25/2013 70,180,444.00 270,683.60 7.0463 7.1436 4.63%
102 10/25/2013 68,333,118.58 218,731.18 7.0589 7.1570 3.84%
103 11/25/2013 66,534,067.31 208,789.57 7.0868 7.1711 3.77%
104 12/25/2013 64,782,030.25 206,808.69 7.1012 7.1776 3.83%
105 1/25/2014 63,075,780.41 193,770.20 7.1123 7.1829 3.69%
106 2/25/2014 61,414,123.28 202,820.03 7.1231 7.1874 3.96%
107 3/25/2014 59,795,949.44 207,094.76 7.1321 7.1922 4.16%
108 4/25/2014 58,220,068.27 184,763.98 7.1398 7.1979 3.81%
109 5/25/2014 56,685,376.26 184,199.04 7.1261 7.2028 3.90%
110 6/25/2014 55,190,798.69 177,282.39 7.1306 7.2131 3.85%
111 7/25/2014 53,735,288.96 175,719.06 7.1400 7.2239 3.92%
112 8/25/2014 52,317,827.98 165,484.51 7.1503 7.2354 3.80%
113 9/25/2014 50,937,460.87 165,269.07 7.1605 7.2468 3.89%
114 10/25/2014 49,593,181.14 163,681.42 7.1707 7.2565 3.96%
115 11/25/2014 48,284,047.43 157,419.93 7.1850 7.2666 3.91%
116 12/25/2014 47,009,142.94 155,874.56 7.1957 7.2663 3.98%
117 1/25/2015 45,767,574.83 146,804.22 7.2062 7.2640 3.85%
118 2/25/2015 44,558,707.59 153,408.42 7.2164 7.2608 4.13%
119 3/25/2015 43,381,468.70 155,616.03 7.2247 7.2577 4.30%
120 4/25/2015 42,235,015.63 140,558.60 7.2275 7.2560 3.99%
121 5/25/2015 41,118,545.49 140,735.54 7.1849 7.2533 4.11%
122 6/25/2015 40,031,276.36 136,321.33 7.1811 7.2581 4.09%
123 7/25/2015 38,972,446.73 134,910.42 7.1891 7.2640 4.15%
124 8/25/2015 37,941,314.98 127,689.15 7.1983 7.2705 4.04%
125 9/25/2015 36,937,164.59 127,656.08 7.2072 7.2768 4.15%
126 10/25/2015 35,959,286.10 126,328.87 7.2139 7.2820 4.22%
127 11/25/2015 35,006,994.47 122,615.15 7.2116 7.2887 4.20%
128 12/25/2015 34,079,622.53 121,316.70 7.2171 7.2959 4.27%
129 1/25/2016 33,176,520.51 115,068.67 7.2260 7.3042 4.16%
130 2/25/2016 32,297,055.67 117,538.03 7.2347 7.3117 4.37%
131 3/25/2016 31,440,633.02 117,136.76 7.2424 7.3197 4.47%
132 4/25/2016 30,606,629.91 110,385.90 7.2510 7.3283 4.33%
133 5/25/2016 29,794,461.81 109,105.09 7.2557 7.3360 4.39%
134 6/25/2016 29,003,559.44 105,973.57 7.2638 7.3461 4.38%
135 7/25/2016 28,233,368.38 104,650.57 7.2718 7.3558 4.45%
136 8/25/2016 27,483,348.71 99,852.83 7.2807 7.3664 4.36%
137 9/25/2016 26,752,998.68 99,857.05 7.2894 7.3767 4.48%
138 10/25/2016 26,041,780.72 98,542.70 7.2985 7.3854 4.54%
139 11/25/2016 25,349,196.06 95,858.07 7.3132 7.3942 4.54%
140 12/25/2016 24,674,758.94 94,564.10 7.3229 7.3913 4.60%
141 1/25/2017 24,017,996.23 90,395.55 7.3319 7.3861 4.52%
142 2/25/2017 23,378,447.18 93,961.26 7.3407 7.3799 4.82%
143 3/25/2017 22,755,665.14 93,536.97 7.3475 7.3738 4.93%
144 4/25/2017 22,149,210.83 87,280.63 7.3480 7.3694 4.73%
145 5/25/2017 21,558,658.56 86,876.48 7.2978 7.3641 4.84%
146 6/25/2017 20,983,593.77 85,155.39 7.2912 7.3687 4.87%
147 7/25/2017 20,423,612.69 83,932.82 7.2977 7.3748 4.93%
148 8/25/2017 19,878,322.06 80,675.67 7.3056 7.3817 4.87%
149 9/25/2017 19,347,339.13 80,706.85 7.3132 7.3884 5.01%
150 10/25/2017 18,830,290.63 79,488.30 7.3195 7.3934 5.07%
151 11/25/2017 18,326,813.24 78,000.38 7.3229 7.3996 5.11%
152 12/25/2017 17,836,553.13 76,800.47 7.3288 7.4006 5.17%
153 1/25/2018 17,359,165.69 74,107.75 7.3366 7.4012 5.12%
154 2/25/2018 16,894,315.25 76,702.64 7.3441 7.4009 5.45%
155 3/25/2018 16,441,677.08 75,476.11 7.3499 7.4008 5.51%
156 4/25/2018 16,000,930.53 71,839.69 7.3536 7.4021 5.39%
157 5/25/2018 15,571,765.52 70,928.02 7.3306 7.4028 5.47%
158 6/25/2018 15,153,880.02 69,927.55 7.3304 7.4118 5.54%
159 7/25/2018 14,746,979.90 68,753.09 7.3365 7.4218 5.59%
160 8/25/2018 14,350,778.67 66,747.29 7.3438 7.4328 5.58%
161 9/25/2018 13,965,000.09 66,804.98 7.3508 7.4436 5.74%
162 10/25/2018 13,589,369.46 65,623.99 7.3596 7.4528 5.79%
163 11/25/2018 13,223,622.10 64,746.37 7.3814 7.4626 5.88%
164 12/25/2018 12,867,500.24 63,572.41 7.3916 7.4638 5.93%
165 1/25/2019 12,520,752.77 61,962.50 7.3992 7.4637 5.94%
166 2/25/2019 12,183,135.18 63,894.72 7.4064 7.4626 6.29%
167 3/25/2019 11,854,411.35 62,137.44 7.4119 7.4618 6.29%
168 4/25/2019 11,534,347.14 60,361.94 7.4151 7.4625 6.28%
169 5/25/2019 11,222,716.60 59,455.06 7.3900 7.4611 6.36%
170 6/25/2019 10,919,299.69 58,933.71 7.3891 7.4603 6.48%
171 7/25/2019 10,623,882.07 57,925.44 7.3950 7.4586 6.54%
172 8/25/2019 10,336,255.01 56,697.40 7.4019 7.4577 6.58%
173 9/25/2019 10,056,214.89 56,649.40 7.4084 7.4562 6.76%
174 10/25/2019 9,783,564.01 55,764.16 7.4093 7.4538 6.84%
175 11/25/2019 9,518,109.49 55,388.69 7.3835 7.4518 6.98%
176 12/25/2019 9,257,435.46 54,567.39 7.3813 7.4441 7.07%
177 1/25/2020 9,004,393.11 53,557.93 7.3874 7.4354 7.14%
178 2/25/2020 7,091,894.61 51,480.54 7.3936 7.4260 8.71%
179 3/25/2020 6,891,044.45 50,730.21 7.3984 7.4165 8.83%
180 4/25/2020 6,699,080.93 50,116.10 7.3955 7.4083 8.98%
181 5/25/2020 6,512,320.93 49,607.37 7.3395 7.3991 9.14%
182 6/25/2020 6,330,625.25 49,175.03 7.3297 7.3960 9.32%
183 7/25/2020 6,153,858.38 48,620.98 7.3338 7.3934 9.48%
184 8/25/2020 5,981,888.41 48,042.38 7.3392 7.3916 9.64%
185 9/25/2020 5,814,585.18 47,705.42 7.3442 7.3892 9.85%
186 10/25/2020 5,651,825.57 47,219.30 7.3440 7.3855 10.03%
187 11/25/2020 5,493,487.92 46,822.18 7.3193 7.3830 10.23%
188 12/25/2020 5,339,453.82 46,371.85 7.3163 7.3765 10.42%
189 1/25/2021 5,189,607.98 45,936.60 7.3210 7.3697 10.62%
190 2/25/2021 5,043,838.21 76,837.15 7.3257 7.3620 18.28%
191 3/25/2021 4,902,033.49 182,898.03 7.3287 7.3545 44.77%
192 4/25/2021 4,764,089.40 177,857.76 7.3269 7.3487 44.80%
193 5/25/2021 4,629,902.47 172,953.69 7.2829 7.3422 44.83%
194 6/25/2021 4,499,371.97 168,182.18 7.2752 7.3457 44.85%
195 7/25/2021 4,372,399.85 163,539.67 7.2783 7.3507 44.88%
196 8/25/2021 4,248,890.66 159,020.54 7.2826 7.3566 44.91%
197 9/25/2021 4,128,750.90 154,625.82 7.2866 7.3622 44.94%
198 10/25/2021 4,011,890.80 150,350.02 7.2911 7.3664 44.97%
199 11/25/2021 3,898,222.33 146,189.94 7.3015 7.3713 45.00%
200 12/25/2021 3,787,659.83 142,142.50 7.3065 7.3697 45.03%
201 1/25/2022 3,680,119.89 138,204.68 7.3110 7.3672 45.07%
202 2/25/2022 3,575,521.37 134,375.97 7.3150 7.3639 45.10%
203 3/25/2022 3,473,785.96 130,648.59 7.3176 7.3609 45.13%
204 4/25/2022 3,374,836.00 127,022.24 7.3182 7.3593 45.17%
205 5/25/2022 3,278,596.64 123,494.23 7.2936 7.3570 45.20%
206 6/25/2022 3,184,995.03 120,061.90 7.2906 7.3633 45.24%
207 7/25/2022 3,093,960.23 116,722.70 7.2935 7.3705 45.27%
208 8/25/2022 3,005,423.23 113,475.96 7.2975 7.3788 45.31%
209 9/25/2022 2,919,317.41 110,315.55 7.3012 7.3867 45.35%
210 10/25/2022 2,835,576.76 107,240.98 7.3072 7.3932 45.38%
211 11/25/2022 2,754,137.64 104,249.93 7.3280 7.4004 45.42%
212 12/25/2022 2,674,938.08 101,340.17 7.3355 7.3999 45.46%
213 1/25/2023 2,597,917.79 98,509.52 7.3398 7.3983 45.50%
214 2/25/2023 2,523,018.06 95,757.36 7.3437 7.3959 45.54%
215 3/25/2023 2,450,182.26 93,078.58 7.3461 7.3937 45.59%
216 4/25/2023 2,379,354.25 90,472.71 7.3473 7.3930 45.63%
217 5/25/2023 2,310,479.92 87,937.78 7.3266 7.3909 45.67%
218 6/25/2023 2,243,506.59 85,471.90 7.3246 7.3927 45.72%
219 7/25/2023 2,178,382.98 83,073.21 7.3274 7.3945 45.76%
220 8/25/2023 2,115,059.17 80,739.97 7.3313 7.3971 45.81%
221 9/25/2023 2,053,486.64 78,470.28 7.3349 7.3993 45.86%
222 10/25/2023 1,993,618.06 76,262.51 7.3371 7.4006 45.90%
223 11/25/2023 1,935,407.42 74,114.99 7.3354 7.4030 45.95%
224 12/25/2023 1,878,809.93 72,026.10 7.3370 7.4030 46.00%
225 1/25/2024 1,823,782.00 69,994.27 7.3408 7.4034 46.05%
226 2/25/2024 1,770,281.21 68,018.27 7.3443 7.4030 46.11%
227 3/25/2024 1,718,266.36 66,095.97 7.3468 7.4030 46.16%
228 4/25/2024 1,667,697.14 64,226.25 7.3488 7.4037 46.21%
229 5/25/2024 1,618,534.45 62,407.69 7.3375 7.4033 46.27%
230 6/25/2024 1,570,740.19 60,638.91 7.3376 7.4046 46.33%
231 7/25/2024 1,524,277.33 58,918.57 7.3403 7.4052 46.38%
232 8/25/2024 1,479,109.79 57,245.52 7.3440 7.4066 46.44%
233 9/25/2024 1,435,202.52 55,618.18 7.3472 7.4077 46.50%
234 10/25/2024 1,392,521.31 54,035.48 7.3486 7.4073 46.56%
235 11/25/2024 1,351,032.89 52,496.20 7.3428 7.4071 46.63%
236 12/25/2024 1,310,704.93 50,999.17 7.3433 7.3967 46.69%
237 1/25/2025 1,271,505.90 49,490.13 7.3467 7.3843 46.71%
238 2/25/2025 1,233,458.31 48,035.82 7.3499 7.3711 46.73%
239 3/25/2025 1,196,515.98 46,662.77 7.3514 7.3578 46.80%
240 4/25/2025 1,160,609.71 45,327.48 7.3456 7.3468 46.87%
241 5/25/2025 1,125,711.34 44,028.94 7.2833 7.3342 46.93%
242 6/25/2025 1,091,793.46 42,766.16 7.2699 7.3294 47.00%
243 7/25/2025 1,058,829.40 41,538.15 7.2713 7.3256 47.08%
244 8/25/2025 1,026,793.20 40,340.14 7.2741 7.3225 47.15%
245 9/25/2025 995,658.03 39,178.99 7.2764 7.3190 47.22%
246 10/25/2025 965,400.95 38,049.88 7.2745 7.3142 47.30%
247 11/25/2025 935,998.04 36,951.95 7.2533 7.3102 47.37%
248 12/25/2025 907,426.00 35,884.36 7.2492 7.3000 47.45%
249 1/25/2026 879,662.17 34,846.27 7.2515 7.2888 47.54%
250 2/25/2026 852,684.48 33,833.68 7.2536 7.2768 47.61%
251 3/25/2026 826,470.11 32,852.31 7.2542 7.2649 47.70%
252 4/25/2026 800,999.61 31,898.11 7.2488 7.2550 47.79%
253 5/25/2026 776,252.65 30,970.37 7.1949 7.2441 47.88%
254 6/25/2026 752,209.44 30,068.35 7.1829 7.2424 47.97%
255 7/25/2026 728,850.73 29,191.36 7.1835 7.2421 48.06%
256 8/25/2026 706,157.77 28,336.76 7.1854 7.2426 48.15%
257 9/25/2026 684,111.45 27,507.85 7.1868 7.2428 48.25%
258 10/25/2026 662,694.96 26,702.00 7.1870 7.2417 48.35%
259 11/25/2026 641,891.03 25,918.57 7.1833 7.2412 48.45%
260 12/25/2026 621,682.84 25,156.95 7.1830 7.2340 48.56%
261 1/25/2027 602,054.05 24,416.56 7.1847 7.2257 48.67%
262 2/25/2027 582,988.74 23,695.60 7.1861 7.2167 48.77%
263 3/25/2027 564,470.86 22,995.97 7.1862 7.2078 48.89%
264 4/25/2027 546,485.93 22,315.88 7.1823 7.2007 49.00%
265 5/25/2027 529,019.30 21,653.80 7.1425 7.1921 49.12%
266 6/25/2027 512,057.68 21,011.27 7.1337 7.1888 49.24%
267 7/25/2027 495,586.15 20,386.71 7.1339 7.1859 49.36%
268 8/25/2027 479,591.20 19,778.39 7.1352 7.1838 49.49%
269 9/25/2027 464,059.06 19,188.38 7.1361 7.1812 49.62%
270 10/25/2027 448,977.61 18,614.93 7.1344 7.1778 49.75%
271 11/25/2027 434,334.40 18,057.58 7.1213 7.1757 49.89%
272 12/25/2027 420,117.30 17,515.91 7.1183 7.1733 50.03%
273 1/25/2028 406,314.53 16,989.47 7.1193 7.1716 50.18%
274 2/25/2028 392,914.62 16,477.41 7.1202 7.1692 50.32%
275 3/25/2028 379,906.19 15,980.22 7.1202 7.1671 50.48%
276 4/25/2028 367,278.62 15,497.06 7.1199 7.1659 50.63%
277 5/25/2028 355,021.35 15,027.55 7.1087 7.1641 50.79%
278 6/25/2028 343,124.09 14,571.30 7.1069 7.1671 50.96%
279 7/25/2028 331,576.86 14,127.96 7.1071 7.1703 51.13%
280 8/25/2028 320,369.91 13,697.31 7.1082 7.1744 51.31%
281 9/25/2028 309,493.84 13,278.73 7.1090 7.1781 51.49%
282 10/25/2028 298,939.38 12,872.03 7.1113 7.1806 51.67%
283 11/25/2028 288,697.56 12,476.89 7.1244 7.1836 51.86%
284 12/25/2028 278,759.67 12,092.98 7.1278 7.1793 52.06%
285 1/25/2029 269,117.21 11,719.99 7.1291 7.1738 52.26%
286 2/25/2029 259,761.94 11,357.50 7.1299 7.1676 52.47%
287 3/25/2029 250,685.76 11,005.47 7.1295 7.1615 52.68%
288 4/25/2029 241,880.92 10,663.50 7.1271 7.1571 52.90%
289 5/25/2029 233,339.84 10,331.31 7.1003 7.1519 53.13%
290 6/25/2029 225,055.12 10,008.62 7.0945 7.1550 53.37%
291 7/25/2029 217,019.57 9,695.17 7.0944 7.1592 53.61%
292 8/25/2029 209,226.19 9,390.66 7.0953 7.1642 53.86%
293 9/25/2029 201,668.14 9,094.95 7.0960 7.1689 54.12%
294 10/25/2029 194,338.83 8,807.74 7.0989 7.1724 54.39%
295 11/25/2029 187,231.83 8,528.80 7.1166 7.1764 54.66%
296 12/25/2029 180,340.86 8,257.90 7.1209 7.1727 54.95%
297 1/25/2030 173,659.83 7,994.81 7.1221 7.1678 55.24%
298 2/25/2030 167,182.82 7,739.31 7.1229 7.1622 55.55%
299 3/25/2030 160,904.03 7,491.21 7.1223 7.1568 55.87%
300 4/25/2030 154,817.88 7,250.31 7.1204 7.1529 56.20%
301 5/25/2030 148,918.90 7,016.40 7.1204 7.1529 56.54%
302 6/25/2030 143,201.80 6,789.27 7.1204 7.1529 56.89%
303 7/25/2030 137,661.39 6,568.76 7.1204 7.1529 57.26%
304 8/25/2030 132,292.67 6,354.58 7.1204 7.1529 57.64%
305 9/25/2030 127,090.69 6,146.74 7.1204 7.1529 58.04%
306 10/25/2030 122,050.75 5,944.97 7.1204 7.1529 58.45%
307 11/25/2030 117,168.25 5,749.10 7.1204 7.1529 58.88%
308 12/25/2030 112,438.67 5,558.97 7.1204 7.1529 59.33%
309 1/25/2031 107,857.66 5,374.42 7.1204 7.1529 59.79%
310 2/25/2031 103,420.96 5,195.30 7.1204 7.1529 60.28%
311 3/25/2031 99,124.42 5,021.45 7.1204 7.1529 60.79%
312 4/25/2031 94,964.04 4,852.72 7.1204 7.1529 61.32%
313 5/25/2031 90,935.90 4,688.98 7.1204 7.1529 61.88%
314 6/25/2031 87,036.19 4,530.08 7.1204 7.1529 62.46%
315 7/25/2031 83,261.21 4,375.90 7.1204 7.1529 63.07%
316 8/25/2031 79,607.37 4,226.29 7.1204 7.1529 63.71%
317 9/25/2031 76,071.17 4,081.12 7.1204 7.1529 64.38%
318 10/25/2031 72,649.21 3,940.29 7.1204 7.1529 65.08%
319 11/25/2031 69,338.18 3,803.65 7.1204 7.1529 65.83%
320 12/25/2031 66,134.85 3,671.10 7.1204 7.1529 66.61%
321 1/25/2032 63,036.11 3,542.53 7.1204 7.1529 67.44%
322 2/25/2032 60,038.90 3,417.81 7.1204 7.1529 68.31%
323 3/25/2032 57,140.28 3,296.84 7.1204 7.1529 69.24%
324 4/25/2032 54,337.36 3,179.51 7.1204 7.1529 70.22%
325 5/25/2032 51,627.35 3,065.73 7.1204 7.1529 71.26%
326 6/25/2032 49,007.53 2,955.39 7.1204 7.1529 72.37%
327 7/25/2032 46,475.25 2,848.40 7.1204 7.1529 73.55%
328 8/25/2032 44,027.95 2,744.66 7.1204 7.1529 74.81%
329 9/25/2032 41,663.13 2,644.07 7.1204 7.1529 76.16%
330 10/25/2032 39,378.35 2,546.56 7.1204 7.1529 77.60%
331 11/25/2032 37,171.25 2,452.03 7.1204 7.1529 79.16%
332 12/25/2032 35,039.54 2,360.39 7.1204 7.1529 80.84%
333 1/25/2033 32,980.99 2,271.57 7.1204 7.1529 82.65%
334 2/25/2033 30,993.42 2,185.49 7.1204 7.1529 84.62%
335 3/25/2033 29,074.72 2,102.06 7.1204 7.1529 86.76%
336 4/25/2033 27,222.85 2,021.22 7.1204 7.1529 89.10%
337 5/25/2033 25,435.80 1,942.88 7.1204 7.1529 91.66%
338 6/25/2033 23,711.65 1,866.98 7.1204 7.1529 94.48%
339 7/25/2033 22,048.51 1,793.45 7.1204 7.1529 97.61%
340 8/25/2033 20,444.54 1,722.22 7.1204 7.1529 101.09%
341 9/25/2033 18,897.97 1,653.22 7.1204 7.1529 104.98%
342 10/25/2033 17,407.07 1,586.39 7.1204 7.1529 109.36%
343 11/25/2033 15,970.15 1,521.67 7.1204 7.1529 114.34%
344 12/25/2033 14,585.59 1,458.99 7.1204 7.1529 120.04%
345 1/25/2034 13,251.79 1,398.30 7.1204 7.1529 126.62%
346 2/25/2034 11,967.22 1,339.54 7.1204 7.1529 134.32%
347 3/25/2034 10,730.36 1,282.66 7.1204 7.1529 143.44%
348 4/25/2034 9,539.77 1,227.60 7.1204 7.1529 154.42%
349 5/25/2034 8,394.03 1,174.30 7.1204 7.1529 167.88%
350 6/25/2034 7,291.77 1,122.73 7.1204 7.1529 184.77%
351 7/25/2034 6,231.63 1,072.81 7.1204 7.1529 206.59%
352 8/25/2034 5,212.34 1,024.52 7.1204 7.1529 235.87%
353 9/25/2034 4,232.62 977.50 7.1204 7.1529 277.13%
354 10/25/2034 3,291.54 932.32 7.1204 7.1529 339.90%
355 11/25/2034 2,387.60 888.28 7.1204 7.1529 446.45%
356 12/25/2034 1,519.99 843.96 7.1204 7.1529 666.29%
357 1/25/2035 689.31 695.5 7.1204 7.1529 1210.78%
Total 106,253,421.19
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purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
Asset Backed Certificates
MSAC
2005-WMC3
--------------------------------------------------------------------------------
Forward
--------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 5/25/2005 986,656,897.84 3,565,244.23 3.0400 3.3900 4.34%
2 6/25/2005 963,263,676.95 2,430,954.79 3.1224 3.5063 3.03%
3 7/25/2005 940,266,229.29 2,295,693.36 3.2997 3.6312 2.93%
4 8/25/2005 917,650,660.03 2,056,959.85 3.4537 3.7295 2.69%
5 9/25/2005 895,404,273.10 1,926,234.34 3.5927 3.8183 2.58%
6 10/25/2005 873,515,383.45 1,895,667.00 3.6505 3.8882 2.60%
7 11/25/2005 851,973,475.27 1,721,292.23 3.7633 3.9510 2.42%
8 12/25/2005 830,769,120.71 1,667,206.54 3.8616 4.0060 2.41%
9 1/25/2006 809,893,954.84 1,543,904.75 3.8832 4.0539 2.29%
10 2/25/2006 789,340,647.19 1,510,180.03 3.9726 4.0966 2.30%
11 3/25/2006 769,102,910.96 1,586,968.81 4.0196 4.1339 2.48%
12 4/25/2006 749,175,341.19 1,372,504.18 4.0185 4.1696 2.20%
13 5/25/2006 729,553,637.42 1,341,758.13 4.0862 4.2056 2.21%
14 6/25/2006 710,245,655.20 1,235,364.04 4.1406 4.2384 2.09%
15 7/25/2006 691,448,840.20 1,248,207.19 4.1327 4.2676 2.17%
16 8/25/2006 673,149,841.22 1,129,134.64 4.1868 4.2976 2.01%
17 9/25/2006 655,335,479.22 1,098,361.15 4.2319 4.3256 2.01%
18 10/25/2006 637,992,864.44 1,104,868.59 4.2317 4.3483 2.08%
19 11/25/2006 621,109,480.92 1,021,982.47 4.2790 4.3668 1.97%
20 12/25/2006 604,673,145.51 1,009,431.43 4.3149 4.3823 2.00%
21 1/25/2007 588,671,999.04 937,795.76 4.3091 4.3960 1.91%
22 2/25/2007 573,094,604.53 1,623,251.20 4.3503 4.4075 3.40%
23 3/25/2007 557,994,968.46 1,645,253.74 4.3741 4.4172 3.54%
24 4/25/2007 543,293,380.01 1,504,867.77 4.3395 4.4263 3.32%
25 5/25/2007 528,979,324.76 1,474,251.60 4.3705 4.4380 3.34%
26 6/25/2007 515,042,566.76 1,407,630.67 4.3937 4.4491 3.28%
27 7/25/2007 501,473,141.13 1,396,174.45 4.3773 4.4587 3.34%
28 8/25/2007 488,261,397.28 1,591,997.60 4.4055 4.4713 3.91%
29 9/25/2007 475,427,833.61 1,565,503.18 4.4239 4.4830 3.95%
30 10/25/2007 462,931,725.25 1,548,339.29 4.4094 4.4926 4.01%
31 11/25/2007 450,764,180.04 1,483,019.28 4.4343 4.5031 3.95%
32 12/25/2007 438,916,540.82 1,458,117.55 4.4521 4.5123 3.99%
33 1/25/2008 427,380,379.17 1,387,187.40 4.4505 4.5214 3.89%
34 2/25/2008 416,147,548.96 1,585,197.76 4.4737 4.5302 4.57%
35 3/25/2008 405,236,683.65 1,578,881.35 4.4851 4.5387 4.68%
36 4/25/2008 394,611,968.08 1,490,720.05 4.4700 4.5478 4.53%
37 5/25/2008 384,265,880.88 9,925,224.07 4.4895 4.5588 30.99%
38 6/25/2008 374,191,098.99 2,070,999.57 4.5040 4.5701 6.64%
39 7/25/2008 364,380,492.40 2,041,161.22 4.5036 4.5809 6.72%
40 8/25/2008 354,827,142.88 2,018,399.13 4.5227 4.5941 6.83%
41 9/25/2008 345,532,120.80 1,977,146.43 4.5358 4.6069 6.87%
42 10/25/2008 336,480,598.92 1,940,330.96 4.5365 4.6174 6.92%
43 11/25/2008 327,666,184.32 1,871,642.76 4.5546 4.6275 6.85%
44 12/25/2008 319,082,652.47 1,831,826.19 4.5694 4.6367 6.89%
45 1/25/2009 310,723,942.73 1,755,920.19 4.5798 4.6455 6.78%
46 2/25/2009 302,584,158.31 1,757,525.58 4.5976 4.6439 6.97%
47 3/25/2009 294,658,474.13 1,740,745.87 4.6039 4.6406 7.09%
48 4/25/2009 286,940,324.73 1,639,814.25 4.5946 4.6394 6.86%
49 5/25/2009 279,424,264.68 1,602,959.50 4.6097 4.6412 6.88%
50 6/25/2009 272,104,991.88 1,548,891.34 4.6194 4.6476 6.83%
51 7/25/2009 264,977,343.77 1,527,399.08 4.5707 4.6549 6.92%
52 8/25/2009 258,036,293.84 1,468,825.10 4.5787 4.6737 6.83%
53 9/25/2009 251,277,342.95 1,438,983.18 4.5919 4.6936 6.87%
54 10/25/2009 244,695,310.21 1,406,642.08 4.6069 4.7120 6.90%
55 11/25/2009 238,285,556.03 1,353,907.72 4.6448 4.7310 6.82%
56 12/25/2009 232,043,562.89 1,322,630.19 4.6652 4.7399 6.84%
57 1/25/2010 225,964,845.30 1,269,654.66 4.6800 4.7465 6.74%
58 2/25/2010 220,044,866.20 1,307,750.07 4.6946 4.7522 7.13%
59 3/25/2010 214,247,562.22 1,293,873.16 4.7073 4.7579 7.25%
60 4/25/2010 208,602,572.21 1,215,552.84 4.7170 4.7644 6.99%
61 5/25/2010 203,105,892.26 1,193,573.37 4.6975 4.7704 7.05%
62 6/25/2010 197,753,623.93 1,153,943.68 4.7024 4.7841 7.00%
63 7/25/2010 192,541,972.06 1,128,491.21 4.7146 4.7989 7.03%
64 8/25/2010 187,467,276.23 1,090,280.79 4.7277 4.8144 6.98%
65 9/25/2010 182,527,274.31 1,068,066.77 4.7407 4.8300 7.02%
66 10/25/2010 177,717,019.44 1,044,089.72 4.7545 4.8439 7.05%
67 11/25/2010 173,033,102.87 1,007,017.08 4.7764 4.8588 6.98%
68 12/25/2010 168,472,205.60 984,328.13 4.7913 4.8679 7.01%
69 1/25/2011 164,031,096.97 942,544.19 4.8048 4.8760 6.90%
70 2/25/2011 159,706,647.51 946,949.76 4.8182 4.8834 7.12%
71 3/25/2011 155,496,909.83 937,394.34 4.8298 4.8910 7.23%
72 4/25/2011 151,397,708.53 879,797.21 4.8400 4.8993 6.97%
73 5/25/2011 147,406,141.15 862,849.10 4.8304 4.9065 7.02%
74 6/25/2011 143,519,381.62 833,781.00 4.8375 4.9163 6.97%
75 7/25/2011 139,734,678.67 815,412.28 4.8492 4.9259 7.00%
76 8/25/2011 136,049,356.89 784,862.19 4.8618 4.9361 6.92%
77 9/25/2011 132,461,415.59 769,119.99 4.8742 4.9460 6.97%
78 10/25/2011 128,967,670.91 752,312.48 4.8845 4.9549 7.00%
79 11/25/2011 125,565,650.55 727,398.47 4.8865 4.9644 6.95%
80 12/25/2011 122,252,947.23 711,643.98 4.8955 4.9700 6.99%
81 1/25/2012 119,027,217.40 681,227.90 4.9077 4.9752 6.87%
82 2/25/2012 115,886,182.02 676,373.63 4.9197 4.9796 7.00%
83 3/25/2012 112,828,052.87 665,758.59 4.9306 4.9843 7.08%
84 4/25/2012 109,850,205.82 633,662.82 4.9384 4.9894 6.92%
85 5/25/2012 106,950,534.64 622,210.76 4.9207 4.9941 6.98%
86 6/25/2012 104,126,988.42 601,386.45 4.9248 5.0041 6.93%
87 7/25/2012 101,377,570.44 588,291.11 4.9351 5.0145 6.96%
88 8/25/2012 98,700,338.50 565,729.51 4.9463 5.0257 6.88%
89 9/25/2012 96,093,798.71 536,247.16 4.9574 5.0368 6.70%
90 10/25/2012 93,555,684.83 524,951.02 4.9678 5.0462 6.73%
91 11/25/2012 91,084,202.36 506,478.81 4.9779 5.0567 6.67%
92 12/25/2012 88,677,603.96 495,836.96 4.9882 5.0623 6.71%
93 1/25/2013 86,334,188.53 473,825.15 4.9994 5.0673 6.59%
94 2/25/2013 84,052,301.95 475,722.60 5.0104 5.0715 6.79%
95 3/25/2013 81,830,674.15 472,479.56 5.0198 5.0760 6.93%
96 4/25/2013 79,667,370.31 441,261.29 5.0273 5.0814 6.65%
97 5/25/2013 77,560,861.41 433,573.84 5.0119 5.0864 6.71%
98 6/25/2013 75,509,658.58 418,630.04 5.0160 5.0994 6.65%
99 7/25/2013 73,512,312.23 409,904.16 5.0255 5.1136 6.69%
100 8/25/2013 71,567,412.74 393,981.53 5.0359 5.1286 6.61%
101 9/25/2013 69,673,957.05 269,156.06 5.0463 5.1436 4.64%
102 10/25/2013 67,830,213.56 251,541.92 5.0589 5.1570 4.45%
103 11/25/2013 66,034,879.49 241,438.98 5.0868 5.1711 4.39%
104 12/25/2013 64,286,686.26 237,629.02 5.1012 5.1776 4.44%
105 1/25/2014 62,584,398.95 225,690.44 5.1123 5.1829 4.33%
106 2/25/2014 60,926,817.26 231,660.01 5.1231 5.1874 4.56%
107 3/25/2014 59,313,099.99 232,808.55 5.1321 5.1922 4.71%
108 4/25/2014 57,741,756.30 214,105.67 5.1398 5.1979 4.45%
109 5/25/2014 56,211,676.13 211,908.30 5.1261 5.2028 4.52%
110 6/25/2014 54,721,778.50 204,754.61 5.1306 5.2131 4.49%
111 7/25/2014 53,271,010.96 201,670.88 5.1400 5.2239 4.54%
112 8/25/2014 51,858,349.86 193,336.93 5.1503 5.2354 4.47%
113 9/25/2014 50,483,030.95 191,190.38 5.1605 5.2468 4.54%
114 10/25/2014 49,143,834.75 188,179.04 5.1707 5.2565 4.59%
115 11/25/2014 47,839,815.21 181,643.75 5.1850 5.2666 4.56%
116 12/25/2014 46,570,051.08 178,761.07 5.1957 5.2663 4.61%
117 1/25/2015 45,333,645.43 170,340.07 5.2062 5.2640 4.51%
118 2/25/2015 44,129,959.63 173,953.63 5.2164 5.2608 4.73%
119 3/25/2015 42,958,006.81 174,053.62 5.2247 5.2577 4.86%
120 4/25/2015 41,816,845.24 161,366.51 5.2275 5.2560 4.63%
121 5/25/2015 40,705,668.66 160,361.68 5.1849 5.2533 4.73%
122 6/25/2015 39,623,691.93 155,648.63 5.1811 5.2581 4.71%
123 7/25/2015 38,570,150.44 153,152.15 5.1891 5.2640 4.76%
124 8/25/2015 37,544,299.68 146,561.34 5.1983 5.2705 4.68%
125 9/25/2015 36,545,450.43 145,094.74 5.2072 5.2768 4.76%
126 10/25/2015 35,572,858.96 142,778.18 5.2139 5.2820 4.82%
127 11/25/2015 34,625,837.78 138,760.95 5.2116 5.2887 4.81%
128 12/25/2015 33,703,717.37 136,502.37 5.2171 5.2959 4.86%
129 1/25/2016 32,805,845.89 130,628.50 5.2260 5.3042 4.78%
130 2/25/2016 31,931,589.32 131,760.60 5.2347 5.3117 4.95%
131 3/25/2016 31,080,460.35 130,265.89 5.2424 5.3197 5.03%
132 4/25/2016 30,251,718.11 124,093.76 5.2510 5.3283 4.92%
133 5/25/2016 29,444,776.53 122,017.86 5.2557 5.3360 4.97%
134 6/25/2016 28,659,064.88 118,571.30 5.2638 5.3461 4.96%
135 7/25/2016 27,894,027.49 116,510.17 5.2718 5.3558 5.01%
136 8/25/2016 27,149,124.08 112,600.14 5.2807 5.3664 4.98%
137 9/25/2016 26,423,977.99 111,521.83 5.2894 5.3767 5.06%
138 10/25/2016 25,717,916.55 109,525.76 5.2985 5.3854 5.11%
139 11/25/2016 25,030,440.21 106,512.16 5.3132 5.3942 5.11%
140 12/25/2016 24,361,062.46 104,585.36 5.3229 5.3913 5.15%
141 1/25/2017 23,709,309.65 100,577.57 5.3319 5.3861 5.09%
142 2/25/2017 23,074,720.86 102,394.90 5.3407 5.3799 5.33%
143 3/25/2017 22,456,878.56 101,196.94 5.3475 5.3738 5.41%
144 4/25/2017 21,855,311.17 95,760.98 5.3480 5.3694 5.26%
145 5/25/2017 21,269,592.63 94,815.14 5.2978 5.3641 5.35%
146 6/25/2017 20,699,308.04 92,761.54 5.2912 5.3687 5.38%
147 7/25/2017 20,144,053.31 91,040.25 5.2977 5.3748 5.42%
148 8/25/2017 19,603,434.82 87,876.25 5.3056 5.3817 5.38%
149 9/25/2017 19,077,073.30 87,110.91 5.3132 5.3884 5.48%
150 10/25/2017 18,564,591.64 85,462.67 5.3195 5.3934 5.52%
151 11/25/2017 18,065,626.43 83,648.83 5.3229 5.3996 5.56%
152 12/25/2017 17,579,823.75 82,054.71 5.3288 5.4006 5.60%
153 1/25/2018 17,106,839.01 79,392.47 5.3366 5.4012 5.57%
154 2/25/2018 16,646,336.86 80,754.00 5.3441 5.4009 5.82%
155 3/25/2018 16,198,024.64 79,183.29 5.3499 5.4008 5.87%
156 4/25/2018 15,761,547.62 75,906.87 5.3536 5.4021 5.78%
157 5/25/2018 15,336,595.88 74,672.95 5.3306 5.4028 5.84%
158 6/25/2018 14,922,867.56 73,347.86 5.3304 5.4118 5.90%
159 7/25/2018 14,520,068.74 71,888.28 5.3365 5.4218 5.94%
160 8/25/2018 14,127,913.39 70,071.96 5.3438 5.4328 5.95%
161 9/25/2018 13,746,172.15 69,537.44 5.3508 5.4436 6.07%
162 10/25/2018 13,374,521.22 68,107.03 5.3596 5.4528 6.11%
163 11/25/2018 13,012,696.32 66,907.25 5.3814 5.4626 6.17%
164 12/25/2018 12,660,440.05 65,511.05 5.3916 5.4638 6.21%
165 1/25/2019 12,317,501.79 63,837.24 5.3992 5.4637 6.22%
166 2/25/2019 11,983,637.80 64,901.70 5.4064 5.4626 6.50%
167 3/25/2019 11,658,649.94 63,128.44 5.4119 5.4618 6.50%
168 4/25/2019 11,342,264.51 61,358.95 5.4151 5.4625 6.49%
169 5/25/2019 11,034,256.11 60,276.52 5.3900 5.4611 6.56%
170 6/25/2019 10,734,405.23 59,443.99 5.3891 5.4603 6.65%
171 7/25/2019 10,442,498.09 58,270.62 5.3950 5.4586 6.70%
172 8/25/2019 10,158,326.44 56,923.10 5.4019 5.4577 6.72%
173 9/25/2019 9,881,681.90 56,460.33 5.4084 5.4562 6.86%
174 10/25/2019 9,612,373.01 55,418.07 5.4093 5.4538 6.92%
175 11/25/2019 9,350,207.44 54,773.00 5.3835 5.4518 7.03%
176 12/25/2019 9,092,769.89 53,795.52 5.3813 5.4441 7.10%
177 1/25/2020 8,842,912.09 52,684.29 5.3874 5.4354 7.15%
178 2/25/2020 6,933,546.63 47,230.65 5.3936 5.4260 8.17%
179 3/25/2020 6,735,748.60 46,420.52 5.3984 5.4165 8.27%
180 4/25/2020 6,546,788.64 45,720.68 5.3955 5.4083 8.38%
181 5/25/2020 6,362,984.14 45,118.30 5.3395 5.3991 8.51%
182 6/25/2020 6,184,196.42 44,556.19 5.3297 5.3960 8.65%
183 7/25/2020 6,010,290.43 43,916.73 5.3338 5.3934 8.77%
184 8/25/2020 5,841,134.57 43,151.86 5.3392 5.3916 8.87%
185 9/25/2020 5,676,571.37 42,672.69 5.3442 5.3892 9.02%
186 10/25/2020 5,516,507.86 42,107.40 5.3440 5.3855 9.16%
187 11/25/2020 5,360,822.86 41,605.51 5.3193 5.3830 9.31%
188 12/25/2020 5,209,398.42 41,076.98 5.3163 5.3765 9.46%
189 1/25/2021 5,062,119.72 54,978.46 5.3210 5.3697 13.03%
190 2/25/2021 4,918,874.93 179,272.89 5.3257 5.3620 43.74%
191 3/25/2021 4,779,533.24 174,306.29 5.3287 5.3545 43.76%
192 4/25/2021 4,644,012.23 169,474.57 5.3269 5.3487 43.79%
193 5/25/2021 4,512,208.85 164,774.12 5.2829 5.3422 43.82%
194 6/25/2021 4,384,022.81 160,201.33 5.2752 5.3457 43.85%
195 7/25/2021 4,259,356.50 155,752.63 5.2783 5.3507 43.88%
196 8/25/2021 4,138,114.84 151,414.89 5.2826 5.3566 43.91%
197 9/25/2021 4,020,201.98 147,205.31 5.2866 5.3622 43.94%
198 10/25/2021 3,905,531.65 143,110.25 5.2911 5.3664 43.97%
199 11/25/2021 3,794,016.24 139,126.65 5.3015 5.3713 44.00%
200 12/25/2021 3,685,570.54 135,251.53 5.3065 5.3697 44.04%
201 1/25/2022 3,580,111.61 131,482.10 5.3110 5.3672 44.07%
202 2/25/2022 3,477,558.78 127,826.63 5.3150 5.3639 44.11%
203 3/25/2022 3,377,837.44 124,259.41 5.3176 5.3609 44.14%
204 4/25/2022 3,280,866.87 120,789.42 5.3182 5.3593 44.18%
205 5/25/2022 3,186,572.67 117,414.05 5.2936 5.3570 44.22%
206 6/25/2022 3,094,882.42 114,130.74 5.2906 5.3633 44.25%
207 7/25/2022 3,005,725.63 110,937.06 5.2935 5.3705 44.29%
208 8/25/2022 2,919,033.76 107,849.86 5.2975 5.3788 44.34%
209 9/25/2022 2,834,747.11 104,827.81 5.3012 5.3867 44.38%
210 10/25/2022 2,752,793.25 101,888.30 5.3072 5.3932 44.42%
211 11/25/2022 2,673,108.99 99,029.11 5.3280 5.4004 44.46%
212 12/25/2022 2,595,632.81 96,248.11 5.3355 5.3999 44.50%
213 1/25/2023 2,520,304.88 93,543.34 5.3398 5.3983 44.54%
214 2/25/2023 2,447,067.01 90,930.63 5.3437 5.3959 44.59%
215 3/25/2023 2,375,869.37 88,371.31 5.3461 5.3937 44.63%
216 4/25/2023 2,306,649.44 85,882.04 5.3473 5.3930 44.68%
217 5/25/2023 2,239,353.57 83,460.94 5.3266 5.3909 44.72%
218 6/25/2023 2,173,929.50 81,106.16 5.3246 5.3927 44.77%
219 7/25/2023 2,110,326.41 78,815.90 5.3274 5.3945 44.82%
220 8/25/2023 2,048,494.81 76,589.51 5.3313 5.3971 44.87%
221 9/25/2023 1,988,387.00 74,423.15 5.3349 5.3993 44.91%
222 10/25/2023 1,929,955.68 72,316.23 5.3371 5.4006 44.96%
223 11/25/2023 1,873,155.26 70,267.15 5.3354 5.4030 45.02%
224 12/25/2023 1,817,941.38 68,274.36 5.3370 5.4030 45.07%
225 1/25/2024 1,764,270.86 66,336.37 5.3408 5.4034 45.12%
226 2/25/2024 1,712,101.70 64,455.87 5.3443 5.4030 45.18%
227 3/25/2024 1,661,394.75 62,622.88 5.3468 5.4030 45.23%
228 4/25/2024 1,612,108.36 60,840.31 5.3488 5.4037 45.29%
229 5/25/2024 1,564,203.83 59,106.81 5.3375 5.4033 45.34%
230 6/25/2024 1,517,643.47 57,421.06 5.3376 5.4046 45.40%
231 7/25/2024 1,472,390.64 55,781.77 5.3403 5.4052 45.46%
232 8/25/2024 1,428,409.65 54,189.79 5.3440 5.4066 45.52%
233 9/25/2024 1,385,666.68 52,639.61 5.3472 5.4077 45.59%
234 10/25/2024 1,344,127.01 51,132.22 5.3486 5.4073 45.65%
235 11/25/2024 1,303,757.75 49,666.43 5.3428 5.4071 45.71%
236 12/25/2024 1,264,526.93 48,241.14 5.3433 5.3967 45.78%
237 1/25/2025 1,226,403.40 46,802.03 5.3467 5.3843 45.79%
238 2/25/2025 1,189,410.00 45,400.22 5.3499 5.3711 45.80%
239 3/25/2025 1,153,493.88 44,094.09 5.3514 5.3578 45.87%
240 4/25/2025 1,118,593.68 42,824.12 5.3456 5.3468 45.94%
241 5/25/2025 1,084,681.56 41,589.33 5.2833 5.3342 46.01%
242 6/25/2025 1,051,730.45 40,388.73 5.2699 5.3294 46.08%
243 7/25/2025 1,019,713.99 39,221.27 5.2713 5.3256 46.16%
244 8/25/2025 988,606.47 38,067.18 5.2741 5.3225 46.21%
245 9/25/2025 958,374.22 36,964.09 5.2764 5.3190 46.28%
246 10/25/2025 929,002.29 35,891.65 5.2745 5.3142 46.36%
247 11/25/2025 900,467.06 34,849.03 5.2533 5.3102 46.44%
248 12/25/2025 872,745.50 33,835.40 5.2492 5.3000 46.52%
249 1/25/2026 845,815.25 32,849.91 5.2515 5.2888 46.61%
250 2/25/2026 819,654.47 31,877.29 5.2536 5.2768 46.67%
251 3/25/2026 794,235.03 30,946.26 5.2542 5.2649 46.76%
252 4/25/2026 769,543.74 30,041.20 5.2488 5.2550 46.85%
253 5/25/2026 745,560.52 29,161.40 5.1949 5.2441 46.94%
254 6/25/2026 722,265.84 28,306.17 5.1829 5.2424 47.03%
255 7/25/2026 699,640.67 27,474.77 5.1835 5.2421 47.12%
256 8/25/2026 677,666.50 26,657.83 5.1854 5.2426 47.21%
257 9/25/2026 656,320.98 25,872.52 5.1868 5.2428 47.30%
258 10/25/2026 635,591.27 25,109.22 5.1870 5.2417 47.41%
259 11/25/2026 615,460.34 24,367.32 5.1833 5.2412 47.51%
260 12/25/2026 595,911.60 23,646.24 5.1830 5.2340 47.62%
261 1/25/2027 576,928.94 22,945.38 5.1847 5.2257 47.73%
262 2/25/2027 558,496.64 22,258.80 5.1861 5.2167 47.83%
263 3/25/2027 540,596.65 21,596.90 5.1862 5.2078 47.94%
264 4/25/2027 523,217.10 20,953.62 5.1823 5.2007 48.06%
265 5/25/2027 506,343.52 20,327.56 5.1425 5.1921 48.17%
266 6/25/2027 489,962.76 19,720.07 5.1337 5.1888 48.30%
267 7/25/2027 474,060.18 19,129.69 5.1339 5.1859 48.42%
268 8/25/2027 458,622.46 18,550.46 5.1352 5.1838 48.54%
269 9/25/2027 443,633.69 17,993.08 5.1361 5.1812 48.67%
270 10/25/2027 429,084.46 17,451.48 5.1344 5.1778 48.81%
271 11/25/2027 414,962.49 16,925.20 5.1213 5.1757 48.94%
272 12/25/2027 401,255.85 16,413.85 5.1183 5.1733 49.09%
273 1/25/2028 387,952.95 15,916.98 5.1193 5.1716 49.23%
274 2/25/2028 375,042.48 15,432.26 5.1202 5.1692 49.38%
275 3/25/2028 362,512.38 14,963.27 5.1202 5.1671 49.53%
276 4/25/2028 350,353.14 14,507.61 5.1199 5.1659 49.69%
277 5/25/2028 338,554.36 14,064.93 5.1087 5.1641 49.85%
278 6/25/2028 327,105.94 13,634.86 5.1069 5.1671 50.02%
279 7/25/2028 315,998.03 13,217.07 5.1071 5.1703 50.19%
280 8/25/2028 305,221.08 12,811.76 5.1082 5.1744 50.37%
281 9/25/2028 294,766.10 12,417.50 5.1090 5.1781 50.55%
282 10/25/2028 284,623.70 12,034.51 5.1113 5.1806 50.74%
283 11/25/2028 274,785.08 11,662.49 5.1244 5.1836 50.93%
284 12/25/2028 265,241.66 11,301.15 5.1278 5.1793 51.13%
285 1/25/2029 255,985.14 10,950.17 5.1291 5.1738 51.33%
286 2/25/2029 247,007.40 10,608.70 5.1299 5.1676 51.54%
287 3/25/2029 238,300.23 10,277.62 5.1295 5.1615 51.75%
288 4/25/2029 229,856.34 9,956.08 5.1271 5.1571 51.98%
289 5/25/2029 221,668.25 9,643.81 5.1003 5.1519 52.21%
290 6/25/2029 213,728.74 9,340.55 5.0945 5.1550 52.44%
291 7/25/2029 206,030.75 9,046.05 5.0944 5.1592 52.69%
292 8/25/2029 198,567.42 8,759.84 5.0953 5.1642 52.94%
293 9/25/2029 191,331.94 8,482.16 5.0960 5.1689 53.20%
294 10/25/2029 184,317.98 8,212.52 5.0989 5.1724 53.47%
295 11/25/2029 177,519.23 7,950.72 5.1166 5.1764 53.75%
296 12/25/2029 170,929.56 7,696.53 5.1209 5.1727 54.03%
297 1/25/2030 164,543.01 7,449.75 5.1221 5.1678 54.33%
298 2/25/2030 158,353.76 7,210.05 5.1229 5.1622 54.64%
299 3/25/2030 152,356.12 6,977.45 5.1223 5.1568 54.96%
300 4/25/2030 146,544.66 6,751.65 5.1204 5.1529 55.29%
301 5/25/2030 140,914.06 6,532.45 5.1204 5.1529 55.63%
302 6/25/2030 135,459.11 6,319.69 5.1204 5.1529 55.98%
303 7/25/2030 130,174.79 6,113.16 5.1204 5.1529 56.35%
304 8/25/2030 125,056.18 5,912.33 5.1204 5.1529 56.73%
305 9/25/2030 120,098.26 5,717.78 5.1204 5.1529 57.13%
306 10/25/2030 115,296.66 5,528.97 5.1204 5.1529 57.55%
307 11/25/2030 110,646.88 5,345.73 5.1204 5.1529 57.98%
308 12/25/2030 106,144.52 5,167.91 5.1204 5.1529 58.42%
309 1/25/2031 101,785.32 4,995.36 5.1204 5.1529 58.89%
310 2/25/2031 97,565.14 4,827.93 5.1204 5.1529 59.38%
311 3/25/2031 93,479.94 4,665.47 5.1204 5.1529 59.89%
312 4/25/2031 89,525.80 4,507.84 5.1204 5.1529 60.42%
313 5/25/2031 85,698.92 4,354.91 5.1204 5.1529 60.98%
314 6/25/2031 81,995.58 4,206.55 5.1204 5.1529 61.56%
315 7/25/2031 78,412.18 4,062.63 5.1204 5.1529 62.17%
316 8/25/2031 74,945.23 3,923.02 5.1204 5.1529 62.81%
317 9/25/2031 71,591.31 3,787.60 5.1204 5.1529 63.49%
318 10/25/2031 68,347.12 3,656.25 5.1204 5.1529 64.19%
319 11/25/2031 65,209.44 3,528.86 5.1204 5.1529 64.94%
320 12/25/2031 62,175.14 3,405.31 5.1204 5.1529 65.72%
321 1/25/2032 59,241.18 3,285.50 5.1204 5.1529 66.55%
322 2/25/2032 56,404.61 3,169.32 5.1204 5.1529 67.43%
323 3/25/2032 53,662.55 3,056.66 5.1204 5.1529 68.35%
324 4/25/2032 51,012.20 2,947.43 5.1204 5.1529 69.33%
325 5/25/2032 48,450.87 2,841.53 5.1204 5.1529 70.38%
326 6/25/2032 45,975.89 2,738.87 5.1204 5.1529 71.49%
327 7/25/2032 43,584.72 2,639.34 5.1204 5.1529 72.67%
328 8/25/2032 41,274.86 2,542.87 5.1204 5.1529 73.93%
329 9/25/2032 39,043.89 2,449.37 5.1204 5.1529 75.28%
330 10/25/2032 36,889.45 2,358.74 5.1204 5.1529 76.73%
331 11/25/2032 34,809.25 2,270.91 5.1204 5.1529 78.29%
332 12/25/2032 32,801.07 2,185.80 5.1204 5.1529 79.97%
333 1/25/2033 30,862.75 2,103.33 5.1204 5.1529 81.78%
334 2/25/2033 28,992.19 2,023.42 5.1204 5.1529 83.75%
335 3/25/2033 27,187.34 1,946.01 5.1204 5.1529 85.89%
336 4/25/2033 25,446.23 1,871.01 5.1204 5.1529 88.23%
337 5/25/2033 23,766.93 1,798.36 5.1204 5.1529 90.80%
338 6/25/2033 22,147.55 1,727.99 5.1204 5.1529 93.63%
339 7/25/2033 20,586.30 1,659.84 5.1204 5.1529 96.75%
340 8/25/2033 19,081.38 1,593.84 5.1204 5.1529 100.23%
341 9/25/2033 17,631.10 1,529.93 5.1204 5.1529 104.13%
342 10/25/2033 16,233.77 1,468.05 5.1204 5.1529 108.52%
343 11/25/2033 14,887.78 1,408.14 5.1204 5.1529 113.50%
344 12/25/2033 13,591.55 1,350.14 5.1204 5.1529 119.20%
345 1/25/2034 12,343.56 1,294.00 5.1204 5.1529 125.80%
346 2/25/2034 11,142.30 1,239.66 5.1204 5.1529 133.51%
347 3/25/2034 9,986.35 1,187.07 5.1204 5.1529 142.64%
348 4/25/2034 8,874.29 1,136.18 5.1204 5.1529 153.64%
349 5/25/2034 7,804.76 1,086.94 5.1204 5.1529 167.12%
350 6/25/2034 6,776.44 1,039.30 5.1204 5.1529 184.04%
351 7/25/2034 5,788.05 993.21 5.1204 5.1529 205.92%
352 8/25/2034 4,838.33 948.63 5.1204 5.1529 235.28%
353 9/25/2034 3,926.06 905.25 5.1204 5.1529 276.69%
354 10/25/2034 3,050.35 863.58 5.1204 5.1529 339.73%
355 11/25/2034 2,209.77 822.97 5.1204 5.1529 446.91%
356 12/25/2034 1,403.50 782.02 5.1204 5.1529 668.63%
357 1/25/2035 632.18 637.11 5.1204 5.1529 1209.36%
Total 149,268,983.41
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
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events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
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Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
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information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
Asset Backed Certificates
MSAC
2005-WMC3
--------------------------------------------------------------------------------
Forward + 100
--------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 5/25/2005 986,656,897.84 3,565,244.23 3.0400 3.3900 4.34%
2 6/25/2005 963,263,676.95 1,636,541.04 4.1224 4.5063 2.04%
3 7/25/2005 940,266,229.29 1,536,425.01 4.2997 4.6312 1.96%
4 8/25/2005 917,650,660.03 1,296,922.23 4.4537 4.7295 1.70%
5 9/25/2005 895,404,273.10 1,190,255.07 4.5927 4.8183 1.60%
6 10/25/2005 873,515,383.45 1,192,024.36 4.6505 4.8882 1.64%
7 11/25/2005 851,973,475.27 1,022,711.71 4.7633 4.9510 1.44%
8 12/25/2005 830,769,120.71 1,000,614.07 4.8616 5.0060 1.45%
9 1/25/2006 809,893,954.84 879,237.75 4.8832 5.0539 1.30%
10 2/25/2006 789,340,647.19 880,483.15 4.9726 5.0966 1.34%
11 3/25/2006 769,102,910.96 1,001,315.10 5.0196 5.1339 1.56%
12 4/25/2006 749,175,341.19 768,438.72 5.0185 5.1696 1.23%
13 5/25/2006 729,553,637.42 761,500.58 5.0862 5.2056 1.25%
14 6/25/2006 710,245,655.20 668,498.67 5.1406 5.2384 1.13%
15 7/25/2006 691,448,840.20 700,158.46 5.1327 5.2676 1.22%
16 8/25/2006 673,149,841.22 590,633.98 5.1868 5.2976 1.05%
17 9/25/2006 655,335,479.22 581,451.93 5.2319 5.3256 1.06%
18 10/25/2006 637,992,864.44 603,176.74 5.2317 5.3483 1.13%
19 11/25/2006 621,109,480.92 535,907.69 5.2790 5.3668 1.04%
20 12/25/2006 604,673,145.51 537,886.23 5.3149 5.3823 1.07%
21 1/25/2007 588,671,999.04 475,542.05 5.3091 5.3960 0.97%
22 2/25/2007 573,094,604.53 1,174,619.88 5.3503 5.4075 2.46%
23 3/25/2007 557,994,968.46 1,223,795.10 5.3741 5.4172 2.63%
24 4/25/2007 543,293,380.01 1,072,095.11 5.3395 5.4263 2.37%
25 5/25/2007 528,979,324.76 1,057,722.35 5.3705 5.4380 2.40%
26 6/25/2007 515,042,566.76 999,185.09 5.3937 5.4491 2.33%
27 7/25/2007 501,473,141.13 1,002,567.01 5.3773 5.4587 2.40%
28 8/25/2007 488,261,397.28 1,202,766.76 5.4055 5.4713 2.96%
29 9/25/2007 475,427,844.82 1,191,827.59 5.4239 5.4830 3.01%
30 10/25/2007 462,931,747.12 1,188,424.14 5.4094 5.4926 3.08%
31 11/25/2007 450,764,212.04 1,130,119.43 5.4343 5.5031 3.01%
32 12/25/2007 438,916,582.45 1,118,558.83 5.4521 5.5123 3.06%
33 1/25/2008 427,380,429.94 1,050,246.93 5.4505 5.5214 2.95%
34 2/25/2008 416,147,608.39 1,320,087.94 5.4737 5.5302 3.81%
35 3/25/2008 405,236,792.27 1,328,372.90 5.4851 5.5387 3.93%
36 4/25/2008 394,612,123.42 1,237,263.90 5.4700 5.5478 3.76%
37 5/25/2008 384,266,080.57 9,682,707.77 5.4895 5.5588 30.24%
38 6/25/2008 374,191,340.74 1,824,847.00 5.5040 5.5701 5.85%
39 7/25/2008 364,380,774.02 1,804,940.69 5.5036 5.5809 5.94%
40 8/25/2008 354,827,470.64 1,880,590.78 5.5227 5.5941 6.36%
41 9/25/2008 345,541,975.48 1,845,865.72 5.5358 5.6069 6.41%
42 10/25/2008 336,499,509.98 1,815,098.45 5.5365 5.6174 6.47%
43 11/25/2008 327,693,698.53 1,747,101.88 5.5546 5.6275 6.40%
44 12/25/2008 319,118,333.31 1,712,782.55 5.5694 5.6367 6.44%
45 1/25/2009 310,767,369.91 1,635,016.33 5.5798 5.6455 6.31%
46 2/25/2009 302,634,941.49 1,698,713.75 5.5976 5.6439 6.74%
47 3/25/2009 294,721,703.73 1,688,865.95 5.6039 5.6406 6.88%
48 4/25/2009 287,015,356.88 1,578,179.41 5.5946 5.6394 6.60%
49 5/25/2009 279,510,479.49 1,544,564.68 5.6097 5.6412 6.63%
50 6/25/2009 272,201,792.66 1,490,312.45 5.6194 5.6476 6.57%
51 7/25/2009 265,084,156.23 1,471,924.58 5.5707 5.6549 6.66%
52 8/25/2009 258,152,567.74 1,411,868.98 5.5787 5.6737 6.56%
53 9/25/2009 251,402,637.34 1,385,877.19 5.5919 5.6936 6.62%
54 10/25/2009 244,829,109.53 1,356,351.30 5.6069 5.7120 6.65%
55 11/25/2009 238,427,364.50 1,303,339.28 5.6448 5.7310 6.56%
56 12/25/2009 232,192,903.82 1,274,735.45 5.6652 5.7399 6.59%
57 1/25/2010 226,121,274.62 1,219,555.62 5.6800 5.7465 6.47%
58 2/25/2010 220,207,984.39 1,266,599.98 5.6946 5.7522 6.90%
59 3/25/2010 214,422,021.27 1,257,762.82 5.7073 5.7579 7.04%
60 4/25/2010 208,787,711.19 1,172,302.46 5.7170 5.7644 6.74%
61 5/25/2010 203,301,075.73 1,152,672.72 5.6975 5.7704 6.80%
62 6/25/2010 197,958,241.11 1,112,816.46 5.7024 5.7841 6.75%
63 7/25/2010 192,755,435.91 1,089,846.65 5.7146 5.7989 6.78%
64 8/25/2010 187,689,054.66 1,052,190.36 5.7277 5.8144 6.73%
65 9/25/2010 182,757,032.11 1,032,715.77 5.7407 5.8300 6.78%
66 10/25/2010 177,954,225.37 1,010,724.96 5.7545 5.8439 6.82%
67 11/25/2010 173,277,246.86 973,381.95 5.7764 5.8588 6.74%
68 12/25/2010 168,722,798.03 952,579.67 5.7913 5.8679 6.77%
69 1/25/2011 164,287,667.85 909,009.18 5.8048 5.8760 6.64%
70 2/25/2011 159,968,756.98 919,667.79 5.8182 5.8834 6.90%
71 3/25/2011 155,764,094.84 913,716.58 5.8298 5.8910 7.04%
72 4/25/2011 151,669,556.27 850,833.22 5.8400 5.8993 6.73%
73 5/25/2011 147,682,255.93 835,530.01 5.8304 5.9065 6.79%
74 6/25/2011 143,799,384.26 806,226.40 5.8375 5.9163 6.73%
75 7/25/2011 140,018,205.89 789,484.16 5.8492 5.9259 6.77%
76 8/25/2011 136,336,069.19 758,673.50 5.8618 5.9361 6.68%
77 9/25/2011 132,751,071.95 744,886.17 5.8742 5.9460 6.73%
78 10/25/2011 129,259,948.28 729,486.16 5.8845 5.9549 6.77%
79 11/25/2011 125,860,239.90 704,335.89 5.8865 5.9644 6.72%
80 12/25/2011 122,549,553.01 689,919.17 5.8955 5.9700 6.76%
81 1/25/2012 119,325,557.07 658,095.51 5.9077 5.9752 6.62%
82 2/25/2012 116,185,985.18 656,125.93 5.9197 5.9796 6.78%
83 3/25/2012 113,129,006.07 647,434.95 5.9306 5.9843 6.87%
84 4/25/2012 110,152,066.18 613,296.39 5.9384 5.9894 6.68%
85 5/25/2012 107,253,070.42 603,027.81 5.9207 5.9941 6.75%
86 6/25/2012 104,429,978.64 582,011.47 5.9248 6.0041 6.69%
87 7/25/2012 101,680,804.44 570,034.44 5.9351 6.0145 6.73%
88 8/25/2012 99,003,615.38 546,320.02 5.9463 6.0257 6.62%
89 9/25/2012 96,396,877.95 518,214.87 5.9574 6.0368 6.45%
90 10/25/2012 93,858,387.63 507,955.19 5.9678 6.0462 6.49%
91 11/25/2012 91,386,358.75 489,315.64 5.9779 6.0567 6.43%
92 12/25/2012 88,979,052.46 479,656.02 5.9882 6.0623 6.47%
93 1/25/2013 86,634,775.51 456,622.87 5.9994 6.0673 6.32%
94 2/25/2013 84,351,881.70 461,478.89 6.0104 6.0715 6.57%
95 3/25/2013 82,129,067.71 460,151.68 6.0198 6.0760 6.72%
96 4/25/2013 79,964,449.66 426,103.90 6.0273 6.0814 6.39%
97 5/25/2013 77,856,505.48 419,289.40 6.0119 6.0864 6.46%
98 6/25/2013 75,803,752.99 404,210.09 6.0160 6.0994 6.40%
99 7/25/2013 73,804,748.84 396,308.36 6.0255 6.1136 6.44%
100 8/25/2013 71,858,089.54 379,555.30 6.0359 6.1286 6.34%
101 9/25/2013 69,962,735.27 276,146.07 6.0463 6.1436 4.74%
102 10/25/2013 68,117,005.64 238,736.89 6.0589 6.1570 4.21%
103 11/25/2013 66,319,603.30 228,616.80 6.0868 6.1711 4.14%
104 12/25/2013 64,569,264.84 225,625.50 6.1012 6.1776 4.19%
105 1/25/2014 62,864,759.95 213,052.71 6.1123 6.1829 4.07%
106 2/25/2014 61,204,893.19 221,287.95 6.1231 6.1874 4.34%
107 3/25/2014 59,588,791.37 223,890.61 6.1321 6.1922 4.51%
108 4/25/2014 58,015,007.18 203,266.97 6.1398 6.1979 4.20%
109 5/25/2014 56,482,434.70 201,782.89 6.1261 6.2028 4.29%
110 6/25/2014 54,989,996.97 194,646.11 6.1306 6.2131 4.25%
111 7/25/2014 53,536,645.18 192,228.52 6.1400 6.2239 4.31%
112 8/25/2014 52,121,359.34 183,414.70 6.1503 6.2354 4.22%
113 9/25/2014 50,743,353.49 182,124.92 6.1605 6.2468 4.31%
114 10/25/2014 49,401,438.42 179,719.88 6.1707 6.2565 4.37%
115 11/25/2014 48,094,671.25 173,218.25 6.1850 6.2666 4.32%
116 12/25/2014 46,822,133.74 170,903.63 6.1957 6.2663 4.38%
117 1/25/2015 45,582,931.69 162,063.65 6.2062 6.2640 4.27%
118 2/25/2015 44,376,429.29 167,330.60 6.2164 6.2608 4.52%
119 3/25/2015 43,201,631.23 168,385.98 6.2247 6.2577 4.68%
120 4/25/2015 42,057,610.25 154,416.48 6.2275 6.2560 4.41%
121 5/25/2015 40,943,562.48 153,910.64 6.1849 6.2533 4.51%
122 6/25/2015 39,858,705.07 149,255.65 6.1811 6.2581 4.49%
123 7/25/2015 38,802,275.63 147,213.20 6.1891 6.2640 4.55%
124 8/25/2015 37,773,531.70 140,301.76 6.1983 6.2705 4.46%
125 9/25/2015 36,771,782.47 139,465.37 6.2072 6.2768 4.55%
126 10/25/2015 35,796,289.91 137,559.60 6.2139 6.2820 4.61%
127 11/25/2015 34,846,368.33 133,612.11 6.2116 6.2887 4.60%
128 12/25/2015 33,921,349.93 131,756.60 6.2171 6.2959 4.66%
129 1/25/2016 33,020,584.38 125,620.03 6.2260 6.3042 4.57%
130 2/25/2016 32,143,439.21 127,637.85 6.2347 6.3117 4.77%
131 3/25/2016 31,289,416.03 126,608.79 6.2424 6.3197 4.86%
132 4/25/2016 30,457,788.80 120,067.27 6.2510 6.3283 4.73%
133 5/25/2016 29,647,972.76 118,312.00 6.2557 6.3360 4.79%
134 6/25/2016 28,859,398.39 114,947.12 6.2638 6.3461 4.78%
135 7/25/2016 28,091,511.08 113,185.36 6.2718 6.3558 4.83%
136 8/25/2016 27,343,771.63 109,089.16 6.2807 6.3664 4.79%
137 9/25/2016 26,615,790.63 108,473.87 6.2894 6.3767 4.89%
138 10/25/2016 25,906,911.17 106,742.67 6.2985 6.3854 4.94%
139 11/25/2016 25,216,634.57 103,818.89 6.3132 6.3942 4.94%
140 12/25/2016 24,544,475.17 102,136.29 6.3229 6.3913 4.99%
141 1/25/2017 23,889,959.99 97,979.18 6.3319 6.3861 4.92%
142 2/25/2017 23,252,628.90 100,681.10 6.3407 6.3799 5.20%
143 3/25/2017 22,632,062.28 99,802.30 6.3475 6.3738 5.29%
144 4/25/2017 22,027,792.19 93,888.01 6.3480 6.3694 5.11%
145 5/25/2017 21,439,393.18 93,149.54 6.2978 6.3641 5.21%
146 6/25/2017 20,866,450.91 91,198.98 6.2912 6.3687 5.24%
147 7/25/2017 20,308,561.82 89,667.35 6.2977 6.3748 5.30%
148 8/25/2017 19,765,332.75 86,404.22 6.3056 6.3817 5.25%
149 9/25/2017 19,236,384.53 85,978.83 6.3132 6.3884 5.36%
150 10/25/2017 18,721,340.79 84,488.78 6.3195 6.3934 5.42%
151 11/25/2017 18,219,838.48 82,782.22 6.3229 6.3996 5.45%
152 12/25/2017 17,731,524.03 81,331.67 6.3288 6.4006 5.50%
153 1/25/2018 17,256,053.08 78,602.01 6.3366 6.4012 5.47%
154 2/25/2018 16,793,090.58 80,609.66 6.3441 6.4009 5.76%
155 3/25/2018 16,342,341.44 79,160.12 6.3499 6.4008 5.81%
156 4/25/2018 15,903,454.04 75,651.75 6.3536 6.4021 5.71%
157 5/25/2018 15,476,118.63 74,530.69 6.3306 6.4028 5.78%
158 6/25/2018 15,060,033.55 73,319.87 6.3304 6.4118 5.84%
159 7/25/2018 14,654,904.97 71,957.23 6.3365 6.4218 5.89%
160 8/25/2018 14,260,446.99 70,112.84 6.3438 6.4328 5.90%
161 9/25/2018 13,876,426.63 69,827.56 6.3508 6.4436 6.04%
162 10/25/2018 13,502,524.14 68,476.26 6.3596 6.4528 6.09%
163 11/25/2018 13,138,475.27 67,392.35 6.3814 6.4626 6.16%
164 12/25/2018 12,784,022.65 66,063.95 6.3916 6.4638 6.20%
165 1/25/2019 12,438,915.61 64,380.11 6.3992 6.4637 6.21%
166 2/25/2019 12,102,910.40 65,937.47 6.4064 6.4626 6.54%
167 3/25/2019 11,775,806.10 64,121.05 6.4119 6.4618 6.53%
168 4/25/2019 11,457,331.97 62,306.69 6.4151 6.4625 6.53%
169 5/25/2019 11,147,262.55 61,272.18 6.3900 6.4611 6.60%
170 6/25/2019 10,845,378.26 60,556.40 6.3891 6.4603 6.70%
171 7/25/2019 10,551,465.22 59,427.28 6.3950 6.4586 6.76%
172 8/25/2019 10,265,315.11 58,089.81 6.4019 6.4577 6.79%
173 9/25/2019 9,986,719.79 57,799.28 6.4084 6.4562 6.95%
174 10/25/2019 9,715,487.27 56,800.74 6.4093 6.4538 7.02%
175 11/25/2019 9,451,425.10 56,257.34 6.3835 6.4518 7.14%
176 12/25/2019 9,192,117.84 55,325.10 6.3813 6.4441 7.22%
177 1/25/2020 8,940,417.08 54,232.08 6.3874 6.4354 7.28%
178 2/25/2020 7,029,235.25 50,369.84 6.3936 6.4260 8.60%
179 3/25/2020 6,829,649.23 49,560.92 6.3984 6.4165 8.71%
180 4/25/2020 6,638,927.38 48,876.27 6.3955 6.4083 8.83%
181 5/25/2020 6,453,386.92 48,294.52 6.3395 6.3991 8.98%
182 6/25/2020 6,272,888.97 47,771.62 6.3297 6.3960 9.14%
183 7/25/2020 6,097,298.36 47,148.75 6.3338 6.3934 9.28%
184 8/25/2020 5,926,483.25 46,391.57 6.3392 6.3916 9.39%
185 9/25/2020 5,760,287.67 45,961.65 6.3442 6.3892 9.57%
186 10/25/2020 5,598,616.62 45,414.12 6.3440 6.3855 9.73%
187 11/25/2020 5,441,348.70 44,943.99 6.3193 6.3830 9.91%
188 12/25/2020 5,288,365.75 44,433.96 6.3163 6.3765 10.08%
189 1/25/2021 5,139,552.76 43,941.71 6.3210 6.3697 10.26%
190 2/25/2021 4,994,797.67 122,736.56 6.3257 6.3620 29.49%
191 3/25/2021 4,853,970.62 179,485.48 6.3287 6.3545 44.37%
192 4/25/2021 4,716,987.69 174,528.43 6.3269 6.3487 44.40%
193 5/25/2021 4,583,745.62 169,705.60 6.2829 6.3422 44.43%
194 6/25/2021 4,454,143.89 165,013.37 6.2752 6.3457 44.46%
195 7/25/2021 4,328,084.67 160,447.98 6.2783 6.3507 44.49%
196 8/25/2021 4,205,472.63 155,995.88 6.2826 6.3566 44.51%
197 9/25/2021 4,086,211.87 151,675.06 6.2866 6.3622 44.54%
198 10/25/2021 3,970,215.67 147,471.39 6.2911 6.3664 44.57%
199 11/25/2021 3,857,396.21 143,381.73 6.3015 6.3713 44.60%
200 12/25/2021 3,747,668.02 139,403.02 6.3065 6.3697 44.64%
201 1/25/2022 3,640,947.91 135,532.48 6.3110 6.3672 44.67%
202 2/25/2022 3,537,154.97 131,778.78 6.3150 6.3639 44.71%
203 3/25/2022 3,436,214.19 128,115.15 6.3176 6.3609 44.74%
204 4/25/2022 3,338,044.79 124,551.02 6.3182 6.3593 44.78%
205 5/25/2022 3,242,572.11 121,083.73 6.2936 6.3570 44.81%
206 6/25/2022 3,149,723.49 117,710.69 6.2906 6.3633 44.85%
207 7/25/2022 3,059,428.22 114,429.38 6.2935 6.3705 44.88%
208 8/25/2022 2,971,617.47 111,257.48 6.2975 6.3788 44.93%
209 9/25/2022 2,886,231.04 108,151.86 6.3012 6.3867 44.97%
210 10/25/2022 2,803,196.55 105,130.76 6.3072 6.3932 45.00%
211 11/25/2022 2,722,450.56 102,191.91 6.3280 6.4004 45.04%
212 12/25/2022 2,643,931.31 99,333.10 6.3355 6.3999 45.08%
213 1/25/2023 2,567,578.69 96,552.40 6.3398 6.3983 45.13%
214 2/25/2023 2,493,334.30 93,866.38 6.3437 6.3959 45.18%
215 3/25/2023 2,421,147.80 91,234.65 6.3461 6.3937 45.22%
216 4/25/2023 2,350,956.73 88,674.69 6.3473 6.3930 45.26%
217 5/25/2023 2,282,707.14 86,184.57 6.3266 6.3909 45.31%
218 6/25/2023 2,216,346.58 83,762.41 6.3246 6.3927 45.35%
219 7/25/2023 2,151,823.96 81,406.37 6.3274 6.3945 45.40%
220 8/25/2023 2,089,089.57 79,115.81 6.3313 6.3971 45.45%
221 9/25/2023 2,028,095.43 76,886.74 6.3349 6.3993 45.49%
222 10/25/2023 1,968,794.04 74,718.62 6.3371 6.4006 45.54%
223 11/25/2023 1,911,139.57 72,609.78 6.3354 6.4030 45.59%
224 12/25/2023 1,855,087.42 70,558.65 6.3370 6.4030 45.64%
225 1/25/2024 1,800,594.18 68,563.71 6.3408 6.4034 45.69%
226 2/25/2024 1,747,617.62 66,627.82 6.3443 6.4030 45.75%
227 3/25/2024 1,696,118.31 64,740.54 6.3468 6.4030 45.80%
228 4/25/2024 1,646,054.43 62,904.99 6.3488 6.4037 45.86%
229 5/25/2024 1,597,387.05 61,119.77 6.3375 6.4033 45.91%
230 6/25/2024 1,550,078.27 59,383.53 6.3376 6.4046 45.97%
231 7/25/2024 1,504,091.20 57,694.95 6.3403 6.4052 46.03%
232 8/25/2024 1,459,389.96 56,054.96 6.3440 6.4066 46.09%
233 9/25/2024 1,415,940.49 54,457.82 6.3472 6.4077 46.15%
234 10/25/2024 1,373,707.85 52,904.57 6.3486 6.4073 46.21%
235 11/25/2024 1,332,658.97 51,394.04 6.3428 6.4071 46.28%
236 12/25/2024 1,292,761.64 49,925.07 6.3433 6.3967 46.34%
237 1/25/2025 1,253,984.53 48,443.32 6.3467 6.3843 46.36%
238 2/25/2025 1,216,350.24 46,999.06 6.3499 6.3711 46.37%
239 3/25/2025 1,179,805.89 45,652.33 6.3514 6.3578 46.43%
240 4/25/2025 1,144,289.73 44,342.74 6.3456 6.3468 46.50%
241 5/25/2025 1,109,773.75 43,069.27 6.2833 6.3342 46.57%
242 6/25/2025 1,076,230.67 41,830.96 6.2699 6.3294 46.64%
243 7/25/2025 1,043,633.93 40,626.66 6.2713 6.3256 46.71%
244 8/25/2025 1,011,957.64 39,435.64 6.2741 6.3225 46.76%
245 9/25/2025 981,168.05 38,297.49 6.2764 6.3190 46.84%
246 10/25/2025 951,249.89 37,190.83 6.2745 6.3142 46.92%
247 11/25/2025 922,179.34 36,114.80 6.2533 6.3102 46.99%
248 12/25/2025 893,933.22 35,068.59 6.2492 6.3000 47.08%
249 1/25/2026 866,488.95 34,051.29 6.2515 6.2888 47.16%
250 2/25/2026 839,824.55 33,046.87 6.2536 6.2768 47.22%
251 3/25/2026 813,911.75 32,085.56 6.2542 6.2649 47.31%
252 4/25/2026 788,737.11 31,150.96 6.2488 6.2550 47.39%
253 5/25/2026 764,280.39 30,242.34 6.1949 6.2441 47.48%
254 6/25/2026 740,521.89 29,358.99 6.1829 6.2424 47.58%
255 7/25/2026 717,442.43 28,500.13 6.1835 6.2421 47.67%
256 8/25/2026 695,023.31 27,655.92 6.1854 6.2426 47.75%
257 9/25/2026 673,242.03 26,844.49 6.1868 6.2428 47.85%
258 10/25/2026 652,085.60 26,055.69 6.1870 6.2417 47.95%
259 11/25/2026 631,536.80 25,288.92 6.1833 6.2412 48.05%
260 12/25/2026 611,578.91 24,543.56 6.1830 6.2340 48.16%
261 1/25/2027 592,195.65 23,819.02 6.1847 6.2257 48.27%
262 2/25/2027 573,371.14 23,109.03 6.1861 6.2167 48.36%
263 3/25/2027 555,087.20 22,424.59 6.1862 6.2078 48.48%
264 4/25/2027 537,331.78 21,759.32 6.1823 6.2007 48.59%
265 5/25/2027 520,090.31 21,111.75 6.1425 6.1921 48.71%
266 6/25/2027 503,349.52 20,483.35 6.1337 6.1888 48.83%
267 7/25/2027 487,094.58 19,872.54 6.1339 6.1859 48.96%
268 8/25/2027 471,312.04 19,273.09 6.1352 6.1838 49.07%
269 9/25/2027 455,985.83 18,696.29 6.1361 6.1812 49.20%
270 10/25/2027 441,106.40 18,135.73 6.1344 6.1778 49.34%
271 11/25/2027 426,661.37 17,590.98 6.1213 6.1757 49.48%
272 12/25/2027 412,638.67 17,061.59 6.1183 6.1733 49.62%
273 1/25/2028 399,026.56 16,547.14 6.1193 6.1716 49.76%
274 2/25/2028 385,813.63 16,045.15 6.1202 6.1692 49.91%
275 3/25/2028 372,987.68 15,559.43 6.1202 6.1671 50.06%
276 4/25/2028 360,539.07 15,087.45 6.1199 6.1659 50.22%
277 5/25/2028 348,457.29 14,628.86 6.1087 6.1641 50.38%
278 6/25/2028 336,732.11 14,183.27 6.1069 6.1671 50.54%
279 7/25/2028 325,353.59 13,750.34 6.1071 6.1703 50.72%
280 8/25/2028 314,312.04 13,330.31 6.1082 6.1744 50.89%
281 9/25/2028 303,598.36 12,921.64 6.1090 6.1781 51.07%
282 10/25/2028 293,203.06 12,524.62 6.1113 6.1806 51.26%
283 11/25/2028 283,117.21 12,138.91 6.1244 6.1836 51.45%
284 12/25/2028 273,332.14 11,764.21 6.1278 6.1793 51.65%
285 1/25/2029 263,839.43 11,400.22 6.1291 6.1738 51.85%
286 2/25/2029 254,630.86 11,046.02 6.1299 6.1676 52.06%
287 3/25/2029 245,698.11 10,702.57 6.1295 6.1615 52.27%
288 4/25/2029 237,033.78 10,368.96 6.1271 6.1571 52.49%
289 5/25/2029 228,630.32 10,044.93 6.1003 6.1519 52.72%
290 6/25/2029 220,480.39 9,730.20 6.0945 6.1550 52.96%
291 7/25/2029 212,576.83 9,424.52 6.0944 6.1592 53.20%
292 8/25/2029 204,912.70 9,127.41 6.0953 6.1642 53.45%
293 9/25/2029 197,481.08 8,839.10 6.0960 6.1689 53.71%
294 10/25/2029 190,275.56 8,559.11 6.0989 6.1724 53.98%
295 11/25/2029 183,289.73 8,287.22 6.1166 6.1764 54.26%
296 12/25/2029 176,517.38 8,023.19 6.1209 6.1727 54.54%
297 1/25/2030 169,952.45 7,766.81 6.1221 6.1678 54.84%
298 2/25/2030 163,589.06 7,517.76 6.1229 6.1622 55.15%
299 3/25/2030 157,421.40 7,276.06 6.1223 6.1568 55.46%
300 4/25/2030 151,443.98 7,041.38 6.1204 6.1529 55.79%
301 5/25/2030 145,651.39 6,813.54 6.1204 6.1529 56.14%
302 6/25/2030 140,038.35 6,592.34 6.1204 6.1529 56.49%
303 7/25/2030 134,599.74 6,377.61 6.1204 6.1529 56.86%
304 8/25/2030 129,330.58 6,168.75 6.1204 6.1529 57.24%
305 9/25/2030 124,225.76 5,966.41 6.1204 6.1529 57.63%
306 10/25/2030 119,280.84 5,770.00 6.1204 6.1529 58.05%
307 11/25/2030 114,491.26 5,579.37 6.1204 6.1529 58.48%
308 12/25/2030 109,852.53 5,394.34 6.1204 6.1529 58.93%
309 1/25/2031 105,360.33 5,214.77 6.1204 6.1529 59.39%
310 2/25/2031 101,010.44 5,040.49 6.1204 6.1529 59.88%
311 3/25/2031 96,798.77 4,871.37 6.1204 6.1529 60.39%
312 4/25/2031 92,721.32 4,707.26 6.1204 6.1529 60.92%
313 5/25/2031 88,774.21 4,548.02 6.1204 6.1529 61.48%
314 6/25/2031 84,953.68 4,393.50 6.1204 6.1529 62.06%
315 7/25/2031 81,256.06 4,243.59 6.1204 6.1529 62.67%
316 8/25/2031 77,677.78 4,098.14 6.1204 6.1529 63.31%
317 9/25/2031 74,215.38 3,957.04 6.1204 6.1529 63.98%
318 10/25/2031 70,865.49 3,820.16 6.1204 6.1529 64.69%
319 11/25/2031 67,624.83 3,687.38 6.1204 6.1529 65.43%
320 12/25/2031 64,490.22 3,558.60 6.1204 6.1529 66.22%
321 1/25/2032 61,458.56 3,433.68 6.1204 6.1529 67.04%
322 2/25/2032 58,526.83 3,312.53 6.1204 6.1529 67.92%
323 3/25/2032 55,692.11 3,195.04 6.1204 6.1529 68.84%
324 4/25/2032 52,951.54 3,081.11 6.1204 6.1529 69.82%
325 5/25/2032 50,302.38 2,970.63 6.1204 6.1529 70.87%
326 6/25/2032 47,741.91 2,863.50 6.1204 6.1529 71.97%
327 7/25/2032 45,267.54 2,759.64 6.1204 6.1529 73.16%
328 8/25/2032 42,876.70 2,658.95 6.1204 6.1529 74.42%
329 9/25/2032 40,566.94 2,561.34 6.1204 6.1529 75.77%
330 10/25/2032 38,335.85 2,466.72 6.1204 6.1529 77.21%
331 11/25/2032 36,181.10 2,375.01 6.1204 6.1529 78.77%
332 12/25/2032 34,100.41 2,286.12 6.1204 6.1529 80.45%
333 1/25/2033 32,091.58 2,199.97 6.1204 6.1529 82.26%
334 2/25/2033 30,152.46 2,116.49 6.1204 6.1529 84.23%
335 3/25/2033 28,280.97 2,035.60 6.1204 6.1529 86.37%
336 4/25/2033 26,475.08 1,957.22 6.1204 6.1529 88.71%
337 5/25/2033 24,732.83 1,881.29 6.1204 6.1529 91.28%
338 6/25/2033 23,052.29 1,807.73 6.1204 6.1529 94.10%
339 7/25/2033 21,431.61 1,736.47 6.1204 6.1529 97.23%
340 8/25/2033 19,868.98 1,667.45 6.1204 6.1529 100.71%
341 9/25/2033 18,362.65 1,600.60 6.1204 6.1529 104.60%
342 10/25/2033 16,910.90 1,535.87 6.1204 6.1529 108.99%
343 11/25/2033 15,512.08 1,473.19 6.1204 6.1529 113.96%
344 12/25/2033 14,164.57 1,412.49 6.1204 6.1529 119.66%
345 1/25/2034 12,866.82 1,353.73 6.1204 6.1529 126.25%
346 2/25/2034 11,617.29 1,296.85 6.1204 6.1529 133.96%
347 3/25/2034 10,414.51 1,241.79 6.1204 6.1529 143.08%
348 4/25/2034 9,257.04 1,188.50 6.1204 6.1529 154.07%
349 5/25/2034 8,143.48 1,136.93 6.1204 6.1529 167.53%
350 6/25/2034 7,072.49 1,087.03 6.1204 6.1529 184.44%
351 7/25/2034 6,042.73 1,038.75 6.1204 6.1529 206.28%
352 8/25/2034 5,052.94 992.04 6.1204 6.1529 235.60%
353 9/25/2034 4,101.86 946.58 6.1204 6.1529 276.92%
354 10/25/2034 3,188.57 902.89 6.1204 6.1529 339.80%
355 11/25/2034 2,311.61 860.31 6.1204 6.1529 446.60%
356 12/25/2034 1,470.16 817.42 6.1204 6.1529 667.21%
357 1/25/2035 664.84 670.46 6.1204 6.1529 1210.14%
Total 128,252,725.33
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
Security A-2A
Scenario PXCAP
Avg Life: 1.0038 Total Interest: 30,917,935.94
Per Date Balance Principal Interest Coupon Total Effective
Cash Coupon
0 5/6/2005 291,000,000.00 0 0 -1 0
1 5/25/2005 277,061,573.94 13,938,426.06 2,167,841.45 10.05837 16,106,267.51 14.12
2 6/25/2005 263,360,869.84 13,700,704.10 2,399,592.33 6.16977 16,100,296.43 10.06
3 7/25/2005 249,889,888.03 13,470,981.81 2,257,784.34 6.38033 15,728,766.15 10.29
4 8/25/2005 236,641,015.66 13,248,872.37 2,170,461.97 6.17969 15,419,334.34 10.09
5 9/25/2005 223,607,189.43 13,033,826.24 2,058,319.91 6.18394 15,092,146.15 10.10
6 10/25/2005 210,782,061.28 12,825,128.15 1,925,399.29 6.39420 14,750,527.44 10.33
7 11/25/2005 198,159,926.11 12,622,135.17 1,838,732.25 6.19164 14,460,867.42 10.13
8 12/25/2005 185,735,707.13 12,424,218.98 1,711,375.84 6.40157 14,135,594.82 10.36
9 1/25/2006 173,504,939.22 12,230,767.90 1,625,098.99 6.19818 13,855,866.90 10.16
10 2/25/2006 161,463,791.58 12,041,147.64 1,505,557.22 6.20165 13,546,704.86 10.08
11 3/25/2006 149,608,920.56 11,854,871.02 1,356,197.30 6.86886 13,211,068.32 10.80
12 4/25/2006 137,937,575.38 11,671,345.18 1,302,364.70 6.20627 12,973,709.88 10.11
13 5/25/2006 126,448,055.53 11,489,519.85 1,189,346.08 6.41500 12,678,865.93 10.35
14 6/25/2006 115,262,628.94 11,185,426.60 1,104,452.21 6.20949 12,289,878.81 10.14
15 7/25/2006 104,373,438.75 10,889,190.18 997,338.36 6.41795 11,886,528.54 10.38
16 8/25/2006 93,772,654.19 10,600,784.56 906,020.89 6.21302 11,506,805.45 10.08
17 9/25/2006 83,452,591.53 10,320,062.66 815,596.38 6.21446 11,135,659.04 10.10
18 10/25/2006 73,405,802.39 10,046,789.14 719,444.34 6.42311 10,766,233.48 10.35
19 11/25/2006 63,625,036.48 9,780,765.91 641,138.51 6.21736 10,421,904.42 10.14
20 12/25/2006 54,103,236.33 9,521,800.15 550,954.41 6.42611 10,072,754.55 10.39
21 1/25/2007 44,833,616.84 9,269,619.50 474,813.33 6.22227 9,744,432.83 10.19
22 2/25/2007 35,847,628.56 8,985,988.28 387,746.45 7.57400 9,373,734.73 10.04
23 3/25/2007 27,098,538.24 8,749,090.32 305,737.73 8.38568 9,054,828.05 10.97
24 4/25/2007 18,580,087.33 8,518,450.91 235,818.30 7.57432 8,754,269.20 10.11
25 5/25/2007 10,286,183.06 8,293,904.27 161,328.96 7.82697 8,455,233.23 10.42
26 6/25/2007 2,210,894.04 8,075,289.02 90,133.22 7.57465 8,165,422.25 10.18
27 7/25/2007 0.00 2,210,894.04 19,341.20 7.82835 2,230,235.23 10.50
Total 291,000,000.00 30,917,935.94 321,917,935.94
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
investigation of the transaction and received all information it required to
make its own investment decision, including, where applicable, a review of any
offering circular or memorandum describing such security or instrument which
would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
shall be deemed superseded and replaced in its entirety by such offering
circular or memorandum. No representation or warranty can be given with respect
to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
Xxxxxxx and its affiliates disclaim any and all liability relating to this
information.
The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
transaction. Any such discussion is necessarily generic and may not be
applicable to or complete for any particular recipient's specific facts and
circumstances. Xxxxxx Xxxxxxx is not offering and does not purport to offer tax,
regulatory, accounting or legal advice and this information should not and
cannot be relied upon as such. Prior to entering into any proposed transaction,
recipients should determine, in consultation with their own legal, tax,
regulatory and accounting advisors, the economic risks and merits, as well as
the legal, tax, regulatory and accounting characteristics and consequences, of
the transaction.
The projections or other estimates in these materials (if any), including
estimates of returns or performance, are forward-looking statements based upon
certain assumptions and are preliminary in nature. Actual results are difficult
to predict and may depend upon events outside the issuer's or counterparty's
control. Actual events may differ from those assumed and changes to any
assumptions may have a material impact on any projections or estimates. Other
events which were not taken into account may occur and may significantly affect
the analysis. Certain assumptions may have been made for modeling purposes only
to simplify the presentation and/or calculation of any projections or estimates,
and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
actual future events. Accordingly, there can be no assurance that estimated
returns or projections will be realized or that actual returns or performance
results will not be materially different than those estimated herein. Any such
estimated returns and projections should be viewed as hypothetical. Recipients
should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
decision regarding these transactions. Past performance is not necessarily
indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
understanding to the contrary, Xxxxxx Xxxxxxx and each recipient hereof are
deemed to agree that both Xxxxxx Xxxxxxx and such recipient (and their
respective employees, representatives, and other agents) may disclose to any and
all persons, without limitation of any kind from the commencement of
discussions, the U.S. federal income tax treatment of the transaction ("tax
treatment") and any fact that may be relevant to understanding the tax treatment
of the transaction described herein ("tax structure") and all materials of any
kind (including opinions or other tax analyses) that are provided to such person
relating to such tax treatment and tax structure, except where confidentiality
is reasonably necessary to comply with securities laws (including, where
applicable, confidentiality regarding the identity of an issuer of securities or
its affiliates, agents and advisors).
The offer or sale of securities or transactions may be restricted by law.
Additionally, transfers of any such securities or instruments may be limited by
law or the terms thereof. Unless noted herein, neither Xxxxxx Xxxxxxx or any
issuer of securities has taken or will take any action in any jurisdiction that
would permit a public offering of Notes, or possession or distribution of any
offering material in relation thereto, in any country or jurisdiction where
action for such purpose is required. Recipients are required to inform
themselves of and comply with any legal or contractual restrictions on their
purchase, holding, sale, exercise of rights or performance of obligations under
any transaction. Xxxxxx Xxxxxxx does not undertake or have any responsibility to
notify you of any changes to the attached information. Xxxxxx Xxxxxxx & Co.
Incorporated, its affiliates and others associated with it may have positions
in, and may effect transactions in, securities and instruments of issuers
mentioned herein and may also perform or seek to perform investment banking
services for the issuers of such securities and instruments. Additional
information is available upon request.
With respect to any UK recipients, this communication is directed only to those
persons who are market counterparties or intermediate customers (as defined in
the UK Financial Services Authority's rules).
Prepays Fixed: CPR 2-15 over 18 mths, 15 for life
Float: CPR 4-25 over 12 mths, 25-30 over 11 mths, 70 for 6 mths, 53 for 6 mths, 43 for 6 mths, 37 for 6 mths, 32 for life
1 M Libor 9%
6 M Libor 9%
Triggers Fail for Subs
Call? No
------------------------------------------------------------------------------------------------------------------------
Date AFC w/o XS M1 AFC w/o XS M4 AFC w XS M1 AFC w XS M4 Balance M1 Balance M4 ARM Balance
------------------------------------------------------------------------------------------------------------------------
5/6/2005 -- -- -- -- 33,053,000.00 17,266,000.00 795,784,012.83
5/25/2005 9.41 9.61 9.41 9.61 33,053,000.00 17,266,000.00 788,544,808.65
6/25/2005 9.17 9.17 9.41 9.61 33,053,000.00 17,266,000.00 779,977,733.92
7/25/2005 9.38 9.38 9.41 9.61 33,053,000.00 17,266,000.00 770,097,618.06
8/25/2005 9.18 9.18 9.18 9.18 33,053,000.00 17,266,000.00 758,926,062.64
9/25/2005 9.18 9.18 9.18 9.18 33,053,000.00 17,266,000.00 746,491,309.46
10/25/2005 9.39 9.39 9.88 9.39 33,053,000.00 17,266,000.00 732,828,425.01
11/25/2005 9.18 9.18 9.18 9.18 33,053,000.00 17,266,000.00 717,979,183.93
12/25/2005 9.39 9.39 9.39 9.39 33,053,000.00 17,266,000.00 701,993,289.25
1/25/2006 9.19 9.19 9.19 9.19 33,053,000.00 17,266,000.00 684,935,820.10
2/25/2006 9.19 9.19 9.19 9.19 33,053,000.00 17,266,000.00 668,287,210.26
3/25/2006 9.86 9.86 9.86 9.86 33,053,000.00 17,266,000.00 651,677,321.53
4/25/2006 9.20 9.20 9.20 9.20 33,053,000.00 17,266,000.00 635,121,202.45
5/25/2006 9.41 9.41 9.41 9.41 33,053,000.00 17,266,000.00 618,633,587.42
6/25/2006 9.21 9.21 9.21 9.21 33,053,000.00 17,266,000.00 602,228,873.07
7/25/2006 9.42 9.42 9.42 9.42 33,053,000.00 17,266,000.00 585,921,095.62
8/25/2006 9.22 9.22 9.22 9.22 33,053,000.00 17,266,000.00 569,723,943.17
9/25/2006 9.22 9.22 9.22 9.22 33,053,000.00 17,266,000.00 553,650,631.90
10/25/2006 9.43 9.43 9.43 9.43 33,053,000.00 17,266,000.00 537,713,992.03
11/25/2006 9.23 9.23 9.23 9.23 33,053,000.00 17,266,000.00 521,895,398.92
12/25/2006 9.44 9.44 9.44 9.44 33,053,000.00 17,266,000.00 505,994,051.39
1/25/2007 9.24 9.24 9.24 9.24 33,053,000.00 17,266,000.00 457,382,654.18
2/25/2007 9.42 9.42 9.42 9.42 33,053,000.00 17,266,000.00 413,502,576.34
3/25/2007 10.23 10.23 10.23 10.23 33,053,000.00 17,266,000.00 373,830,801.64
4/25/2007 9.42 9.42 9.42 9.42 33,053,000.00 17,266,000.00 337,963,861.79
5/25/2007 9.67 9.67 9.67 9.67 33,053,000.00 17,266,000.00 305,545,889.31
6/25/2007 9.42 9.42 9.69 9.42 33,053,000.00 17,266,000.00 276,307,938.26
7/25/2007 9.57 9.72 9.57 9.72 33,053,000.00 17,266,000.00 259,317,341.35
8/25/2007 9.39 9.39 9.41 9.39 33,053,000.00 17,266,000.00 243,390,650.87
9/25/2007 9.38 9.38 9.41 10.96 33,053,000.00 17,266,000.00 228,441,297.05
10/25/2007 9.41 9.89 9.41 14.65 33,053,000.00 17,266,000.00 214,409,351.11
11/25/2007 9.36 9.36 9.41 9.61 33,053,000.00 17,266,000.00 201,241,258.27
12/25/2007 9.41 9.61 9.41 9.61 33,053,000.00 17,266,000.00 188,902,715.32
1/25/2008 9.34 9.34 9.41 9.61 33,053,000.00 17,266,000.00 180,170,576.36
2/25/2008 9.15 9.15 9.41 9.61 33,053,000.00 17,266,000.00 171,856,363.47
3/25/2008 9.41 9.61 9.41 9.61 33,053,000.00 17,266,000.00 163,925,244.85
4/25/2008 9.12 9.12 9.41 9.61 33,053,000.00 17,266,000.00 156,359,590.20
5/25/2008 9.39 9.39 9.41 9.61 33,053,000.00 17,266,000.00 149,143,651.03
6/25/2008 9.09 9.09 9.41 9.61 33,053,000.00 17,266,000.00 142,268,724.72
7/25/2008 9.36 9.36 9.41 9.61 33,053,000.00 17,266,000.00 136,837,650.30
8/25/2008 9.05 9.05 9.41 9.61 33,053,000.00 17,266,000.00 131,622,200.19
9/25/2008 9.03 9.03 9.41 9.61 33,053,000.00 17,266,000.00 126,605,107.05
10/25/2008 9.32 9.32 9.41 9.61 33,053,000.00 17,266,000.00 121,778,839.06
11/25/2008 9.00 9.00 9.41 9.61 33,053,000.00 17,266,000.00 117,136,803.64
12/25/2008 9.28 9.28 9.41 9.61 33,053,000.00 17,266,000.00 112,676,508.09
1/25/2009 8.97 8.97 9.41 9.61 33,053,000.00 17,266,000.00 109,072,068.82
2/25/2009 9.35 9.35 9.41 9.61 33,053,000.00 17,266,000.00 105,588,732.10
3/25/2009 9.41 9.61 9.41 9.61 33,053,000.00 17,266,000.00 102,216,311.24
4/25/2009 9.31 9.31 9.41 9.61 33,053,000.00 17,266,000.00 98,951,281.61
5/25/2009 9.41 9.61 9.41 9.61 28,874,248.24 17,266,000.00 95,790,230.42
6/25/2009 9.28 9.28 9.41 9.61 24,341,733.31 17,266,000.00 92,729,853.21
7/25/2009 9.41 9.58 9.41 9.61 19,927,273.35 17,266,000.00 89,766,958.50
8/25/2009 9.41 9.54 9.41 9.61 15,631,740.25 17,266,000.00 86,902,700.53
9/25/2009 9.41 9.52 9.41 9.61 11,447,350.67 17,266,000.00 84,129,574.42
10/25/2009 9.41 9.61 9.41 9.61 7,370,935.84 17,266,000.00 81,444,686.13
11/25/2009 9.41 9.48 9.41 9.61 3,399,422.54 17,266,000.00 78,845,233.38
12/25/2009 9.41 9.61 9.41 9.61 -- 17,266,000.00 76,328,472.53
1/25/2010 9.46 -- 9.61 -- 17,266,000.00 73,891,675.90
2/25/2010 9.55 -- 9.61 -- 17,266,000.00 71,521,892.67
3/25/2010 9.61 -- 9.61 -- 17,266,000.00 69,227,758.94
4/25/2010 9.51 -- 9.61 -- 17,266,000.00 67,006,867.16
5/25/2010 9.61 -- 9.61 -- 17,266,000.00 64,856,886.25
6/25/2010 9.48 -- 9.61 -- 17,266,000.00 62,775,559.18
7/25/2010 9.61 -- 9.61 -- 17,266,000.00 60,760,739.99
8/25/2010 9.46 -- 9.61 -- 17,266,000.00 58,810,684.77
9/25/2010 9.44 -- 9.61 -- 17,266,000.00 56,922,906.55
10/25/2010 9.61 -- 9.61 -- 17,266,000.00 55,095,422.88
11/25/2010 9.41 -- 9.61 -- 17,266,000.00 53,326,314.29
12/25/2010 9.61 -- 9.61 -- 17,266,000.00 51,613,722.28
1/25/2011 9.37 -- 9.61 -- 17,266,000.00 49,955,867.17
2/25/2011 9.37 -- 9.61 -- 17,266,000.00 48,351,226.80
3/25/2011 9.61 -- 9.61 -- 17,266,000.00 46,797,859.00
4/25/2011 9.33 -- 9.61 -- 15,362,129.79 45,294,131.10
5/25/2011 9.61 -- 9.61 -- 12,842,423.14 43,838,462.29
6/25/2011 9.29 -- 9.61 -- 10,384,209.19 42,429,322.00
7/25/2011 9.58 -- 9.61 -- 7,985,807.34 41,065,235.65
8/25/2011 9.26 -- 9.61 -- 5,645,672.15 39,744,860.97
9/25/2011 9.25 -- 9.61 -- 3,362,107.68 38,466,702.46
10/25/2011 9.54 -- 9.61 -- 1,133,571.40 37,229,415.29
11/25/2011 9.21 -- 9.61 -- -- 36,031,697.38
12/25/2011 -- -- -- -- 34,872,288.00
1/25/2012 -- -- -- -- 33,749,969.34
2/25/2012 -- -- -- -- 32,663,598.77
3/25/2012 -- -- -- -- 31,611,987.37
4/25/2012 -- -- -- -- 30,594,027.33
5/25/2012 -- -- -- -- 29,608,646.09
6/25/2012 -- -- -- -- 28,654,805.15
7/25/2012 -- -- -- -- 27,731,499.05
8/25/2012 -- -- -- -- 26,837,754.31
9/25/2012 -- -- -- -- 25,972,628.37
10/25/2012 -- -- -- -- 25,135,208.66
11/25/2012 -- -- -- -- 24,324,611.63
12/25/2012 -- -- -- -- 23,539,981.82
1/25/2013 -- -- -- -- 22,780,490.99
2/25/2013 -- -- -- -- 22,045,337.22
3/25/2013 -- -- -- -- 21,333,744.12
4/25/2013 -- -- -- -- 20,644,959.99
5/25/2013 -- -- -- -- 19,978,257.04
6/25/2013 -- -- -- -- 19,332,930.62
7/25/2013 -- -- -- -- 18,708,298.52
8/25/2013 -- -- -- -- 18,103,700.22
9/25/2013 -- -- -- -- 17,518,496.24
10/25/2013 -- -- -- -- 16,952,067.42
11/25/2013 -- -- -- -- 16,403,814.33
12/25/2013 -- -- -- -- 15,873,156.59
1/25/2014 -- -- -- -- 15,359,532.32
2/25/2014 -- -- -- -- 14,862,397.51
3/25/2014 -- -- -- -- 14,381,225.48
4/25/2014 -- -- -- -- 13,915,506.29
5/25/2014 -- -- -- -- 13,464,746.25
6/25/2014 -- -- -- -- 13,028,467.41
7/25/2014 -- -- -- -- 12,606,207.01
8/25/2014 -- -- -- -- 12,197,517.02
9/25/2014 -- -- -- -- 11,801,963.72
10/25/2014 -- -- -- -- 11,419,127.17
11/25/2014 -- -- -- -- 11,048,600.80
12/25/2014 -- -- -- -- 10,689,991.01
1/25/2015 -- -- -- -- 10,342,916.74
2/25/2015 -- -- -- -- 10,007,009.05
3/25/2015 -- -- -- -- 9,681,910.79
4/25/2015 -- -- -- -- 9,367,276.14
5/25/2015 -- -- -- -- 9,062,770.35
6/25/2015 -- -- -- -- 8,768,069.30
7/25/2015 -- -- -- -- 8,482,859.23
8/25/2015 -- -- -- -- 8,206,836.36
9/25/2015 -- -- -- -- 7,939,706.60
10/25/2015 -- -- -- -- 7,681,185.25
11/25/2015 -- -- -- -- 7,430,996.66
12/25/2015 -- -- -- -- 7,188,873.99
1/25/2016 -- -- -- -- 6,954,558.90
2/25/2016 -- -- -- -- 6,727,801.30
3/25/2016 -- -- -- -- 6,508,359.06
4/25/2016 -- -- -- -- 6,295,997.78
5/25/2016 -- -- -- -- 6,090,490.55
6/25/2016 -- -- -- -- 5,891,617.68
7/25/2016 -- -- -- -- 5,699,166.50
8/25/2016 -- -- -- -- 5,512,931.13
9/25/2016 -- -- -- -- 5,332,712.24
10/25/2016 -- -- -- -- 5,158,316.90
11/25/2016 -- -- -- -- 4,989,558.29
12/25/2016 -- -- -- -- 4,826,255.59
1/25/2017 -- -- -- -- 4,668,233.74
2/25/2017 -- -- -- -- 4,515,323.28
3/25/2017 -- -- -- -- 4,367,360.14
4/25/2017 -- -- -- -- 4,224,185.50
5/25/2017 -- -- -- -- 4,085,645.63
6/25/2017 -- -- -- -- 3,951,591.68
7/25/2017 -- -- -- -- 3,821,879.58
8/25/2017 -- -- -- -- 3,696,369.84
9/25/2017 -- -- -- -- 3,574,927.46
10/25/2017 -- -- -- -- 3,457,421.73
11/25/2017 -- -- -- -- 3,343,726.11
12/25/2017 -- -- -- -- 3,233,718.13
1/25/2018 -- -- -- -- 3,127,279.22
2/25/2018 -- -- -- -- 3,024,294.60
3/25/2018 -- -- -- -- 2,924,653.17
4/25/2018 -- -- -- -- 2,828,247.37
5/25/2018 -- -- -- -- 2,734,973.09
6/25/2018 -- -- -- -- 2,644,729.55
7/25/2018 -- -- -- -- 2,557,419.19
8/25/2018 -- -- -- -- 2,472,947.56
9/25/2018 -- -- -- -- 2,391,223.27
10/25/2018 -- -- -- -- 2,312,157.82
11/25/2018 -- -- -- -- 2,235,665.54
12/25/2018 -- -- -- -- 2,161,663.54
1/25/2019 -- -- -- -- 2,090,071.54
2/25/2019 -- -- -- -- 2,020,811.85
3/25/2019 -- -- -- -- 1,953,809.29
4/25/2019 -- -- -- -- 1,888,991.04
5/25/2019 -- -- -- -- 1,826,286.66
6/25/2019 -- -- -- -- 1,765,627.93
7/25/2019 -- -- -- -- 1,706,948.85
8/25/2019 -- -- -- -- 1,650,185.50
9/25/2019 -- -- -- -- 1,595,276.04
10/25/2019 -- -- -- -- 1,542,160.59
11/25/2019 -- -- -- -- 1,490,781.21
12/25/2019 -- -- -- -- 1,441,081.79
1/25/2020 -- -- -- -- 1,393,008.05
2/25/2020 -- -- -- -- 1,346,507.44
3/25/2020 -- -- -- -- 1,301,529.08
4/25/2020 -- -- -- -- 1,258,023.75
5/25/2020 -- -- -- -- 1,215,943.79
6/25/2020 -- -- -- -- 1,175,243.08
7/25/2020 -- -- -- -- 1,135,876.98
8/25/2020 -- -- -- -- 1,097,802.27
9/25/2020 -- -- -- -- 1,060,977.13
10/25/2020 -- -- -- -- 1,025,361.09
11/25/2020 -- -- -- -- 990,914.96
12/25/2020 -- -- -- -- 957,600.84
1/25/2021 -- -- -- -- 925,382.01
2/25/2021 -- -- -- -- 894,222.95
3/25/2021 -- -- -- -- 864,089.30
4/25/2021 -- -- -- -- 834,947.77
5/25/2021 -- -- -- -- 806,766.16
6/25/2021 -- -- -- -- 779,513.31
7/25/2021 -- -- -- -- 753,159.04
8/25/2021 -- -- -- -- 727,674.17
9/25/2021 -- -- -- -- 703,030.45
10/25/2021 -- -- -- -- 679,200.52
11/25/2021 -- -- -- -- 656,157.93
12/25/2021 -- -- -- -- 633,877.05
1/25/2022 -- -- -- -- 612,333.12
2/25/2022 -- -- -- -- 591,502.13
3/25/2022 -- -- -- -- 571,360.87
4/25/2022 -- -- -- -- 551,886.88
5/25/2022 -- -- -- -- 533,058.41
6/25/2022 -- -- -- -- 514,854.43
7/25/2022 -- -- -- -- 497,254.56
8/25/2022 -- -- -- -- 480,239.11
9/25/2022 -- -- -- -- 463,789.00
10/25/2022 -- -- -- -- 447,885.79
11/25/2022 -- -- -- -- 432,511.60
12/25/2022 -- -- -- -- 417,649.16
1/25/2023 -- -- -- -- 403,281.75
2/25/2023 -- -- -- -- 389,393.19
3/25/2023 -- -- -- -- 375,967.80
4/25/2023 -- -- -- -- 362,990.45
5/25/2023 -- -- -- -- 350,446.46
6/25/2023 -- -- -- -- 338,321.64
7/25/2023 -- -- -- -- 326,602.27
8/25/2023 -- -- -- -- 315,275.05
9/25/2023 -- -- -- -- 304,327.13
10/25/2023 -- -- -- -- 293,746.07
11/25/2023 -- -- -- -- 283,519.83
12/25/2023 -- -- -- -- 273,636.77
1/25/2024 -- -- -- -- 264,085.61
2/25/2024 -- -- -- -- 254,855.45
3/25/2024 -- -- -- -- 245,935.74
4/25/2024 -- -- -- -- 237,316.26
5/25/2024 -- -- -- -- 228,987.14
6/25/2024 -- -- -- -- 220,938.82
7/25/2024 -- -- -- -- 213,162.06
8/25/2024 -- -- -- -- 205,647.90
9/25/2024 -- -- -- -- 198,387.69
10/25/2024 -- -- -- -- 191,373.06
11/25/2024 -- -- -- -- 184,595.89
12/25/2024 -- -- -- -- 178,048.36
1/25/2025 -- -- -- -- 171,722.87
2/25/2025 -- -- -- -- 165,612.08
3/25/2025 -- -- -- -- 159,708.91
4/25/2025 -- -- -- -- 154,006.47
5/25/2025 -- -- -- -- 148,498.12
6/25/2025 -- -- -- -- 143,177.44
7/25/2025 -- -- -- -- 138,038.20
8/25/2025 -- -- -- -- 133,074.40
9/25/2025 -- -- -- -- 128,280.20
10/25/2025 -- -- -- -- 123,649.98
11/25/2025 -- -- -- -- 119,178.29
12/25/2025 -- -- -- -- 114,859.86
1/25/2026 -- -- -- -- 110,689.60
2/25/2026 -- -- -- -- 106,662.57
3/25/2026 -- -- -- -- 102,774.00
4/25/2026 -- -- -- -- 99,019.29
5/25/2026 -- -- -- -- 95,393.97
6/25/2026 -- -- -- -- 91,893.72
7/25/2026 -- -- -- -- 88,514.37
8/25/2026 -- -- -- -- 85,251.87
9/25/2026 -- -- -- -- 82,102.33
10/25/2026 -- -- -- -- 79,061.96
11/25/2026 -- -- -- -- 76,127.11
12/25/2026 -- -- -- -- 73,294.24
1/25/2027 -- -- -- -- 70,559.94
2/25/2027 -- -- -- -- 67,920.89
3/25/2027 -- -- -- -- 65,373.91
4/25/2027 -- -- -- -- 62,915.89
5/25/2027 -- -- -- -- 60,544.02
6/25/2027 -- -- -- -- 58,255.22
7/25/2027 -- -- -- -- 56,046.70
8/25/2027 -- -- -- -- 53,915.75
9/25/2027 -- -- -- -- 51,859.76
10/25/2027 -- -- -- -- 49,876.19
11/25/2027 -- -- -- -- 47,962.60
12/25/2027 -- -- -- -- 46,116.62
1/25/2028 -- -- -- -- 44,335.97
2/25/2028 -- -- -- -- 42,618.42
3/25/2028 -- -- -- -- 40,961.86
4/25/2028 -- -- -- -- 39,364.19
5/25/2028 -- -- -- -- 37,823.43
6/25/2028 -- -- -- -- 36,337.64
7/25/2028 -- -- -- -- 34,904.94
8/25/2028 -- -- -- -- 33,523.54
9/25/2028 -- -- -- -- 32,191.68
10/25/2028 -- -- -- -- 30,907.67
11/25/2028 -- -- -- -- 29,669.88
12/25/2028 -- -- -- -- 28,476.73
1/25/2029 -- -- -- -- 27,326.68
2/25/2029 -- -- -- -- 26,218.27
3/25/2029 -- -- -- -- 25,150.07
4/25/2029 -- -- -- -- 24,120.69
5/25/2029 -- -- -- -- 23,128.81
6/25/2029 -- -- -- -- 22,173.12
7/25/2029 -- -- -- -- 21,252.39
8/25/2029 -- -- -- -- 20,365.40
9/25/2029 -- -- -- -- 19,511.01
10/25/2029 -- -- -- -- 18,688.07
11/25/2029 -- -- -- -- 17,895.49
12/25/2029 -- -- -- -- 17,132.24
1/25/2030 -- -- -- -- 16,397.29
2/25/2030 -- -- -- -- 15,689.65
3/25/2030 -- -- -- -- 15,008.38
4/25/2030 -- -- -- -- 14,352.56
5/25/2030 -- -- -- -- 13,721.31
6/25/2030 -- -- -- -- 13,113.75
7/25/2030 -- -- -- -- 12,529.08
8/25/2030 -- -- -- -- 11,966.48
9/25/2030 -- -- -- -- 11,425.18
10/25/2030 -- -- -- -- 10,904.44
11/25/2030 -- -- -- -- 10,403.52
12/25/2030 -- -- -- -- 9,921.75
1/25/2031 -- -- -- -- 9,458.42
2/25/2031 -- -- -- -- 9,012.91
3/25/2031 -- -- -- -- 8,584.58
4/25/2031 -- -- -- -- 8,172.81
5/25/2031 -- -- -- -- 7,777.02
6/25/2031 -- -- -- -- 7,396.65
7/25/2031 -- -- -- -- 7,031.14
8/25/2031 -- -- -- -- 6,679.97
9/25/2031 -- -- -- -- 6,342.62
10/25/2031 -- -- -- -- 6,018.60
11/25/2031 -- -- -- -- 5,707.43
12/25/2031 -- -- -- -- 5,408.65
1/25/2032 -- -- -- -- 5,121.81
2/25/2032 -- -- -- -- 4,846.48
3/25/2032 -- -- -- -- 4,582.26
4/25/2032 -- -- -- -- 4,328.73
5/25/2032 -- -- -- -- 4,085.51
6/25/2032 -- -- -- -- 3,852.22
7/25/2032 -- -- -- -- 3,628.51
8/25/2032 -- -- -- -- 3,414.02
9/25/2032 -- -- -- -- 3,208.42
10/25/2032 -- -- -- -- 3,011.37
11/25/2032 -- -- -- -- 2,822.58
12/25/2032 -- -- -- -- 2,641.73
1/25/2033 -- -- -- -- 2,468.53
2/25/2033 -- -- -- -- 2,302.70
3/25/2033 -- -- -- -- 2,143.97
4/25/2033 -- -- -- -- 1,992.06
5/25/2033 -- -- -- -- 1,846.74
6/25/2033 -- -- -- -- 1,707.74
7/25/2033 -- -- -- -- 1,574.84
8/25/2033 -- -- -- -- 1,447.81
9/25/2033 -- -- -- -- 1,326.43
10/25/2033 -- -- -- -- 1,210.47
11/25/2033 -- -- -- -- 1,099.75
12/25/2033 -- -- -- -- 994.06
1/25/2034 -- -- -- -- 893.2
2/25/2034 -- -- -- -- 797
3/25/2034 -- -- -- -- 705.27
4/25/2034 -- -- -- -- 617.84
5/25/2034 -- -- -- -- 534.56
6/25/2034 -- -- -- -- 455.25
7/25/2034 -- -- -- -- 379.77
8/25/2034 -- -- -- -- 307.96
9/25/2034 -- -- -- -- 239.71
10/25/2034 -- -- -- -- 174.86
11/25/2034 -- -- -- -- 113.3
12/25/2034 -- -- -- -- 54.97
1/25/2035 -- -- -- -- 0.00
-----------------------------------------------------------------
Date ARM % Fixed Balance Fixed % Collateral
-----------------------------------------------------------------
5/6/2005 80.65% 190,872,885.01 19.35% 986,656,897.84
5/25/2005 80.58% 190,024,069.05 19.42% 978,568,877.70
6/25/2005 80.49% 189,051,517.45 19.51% 969,029,251.37
7/25/2005 80.38% 187,956,145.87 19.62% 958,053,763.94
8/25/2005 80.25% 186,739,114.99 19.75% 945,665,177.62
9/25/2005 80.10% 185,401,829.86 19.90% 931,893,139.32
10/25/2005 79.94% 183,945,938.64 20.06% 916,774,363.65
11/25/2005 79.74% 182,373,330.44 20.26% 900,352,514.36
12/25/2005 79.53% 180,686,132.35 20.47% 882,679,421.60
1/25/2006 79.29% 178,886,705.74 20.71% 863,822,525.85
2/25/2006 79.06% 176,977,641.63 20.94% 845,264,851.89
3/25/2006 78.83% 174,961,755.38 21.17% 826,639,076.91
4/25/2006 78.61% 172,842,080.52 21.39% 807,963,282.96
5/25/2006 78.38% 170,621,861.82 21.62% 789,255,449.24
6/25/2006 78.16% 168,304,624.41 21.84% 770,533,497.49
7/25/2006 77.93% 165,900,597.24 22.07% 751,821,692.85
8/25/2006 77.70% 163,529,779.20 22.30% 733,253,722.37
9/25/2006 77.45% 161,191,839.82 22.55% 714,842,471.72
10/25/2006 77.19% 158,886,329.61 22.81% 696,600,321.64
11/25/2006 76.92% 156,612,805.18 23.08% 678,508,204.09
12/25/2006 76.62% 154,370,829.14 23.38% 660,364,880.54
1/25/2007 75.04% 152,159,970.08 24.96% 609,542,624.26
2/25/2007 73.38% 149,979,802.39 26.62% 563,482,378.74
3/25/2007 71.66% 147,829,906.29 28.34% 521,660,707.93
4/25/2007 69.87% 145,709,867.67 30.13% 483,673,729.46
5/25/2007 68.03% 143,619,278.04 31.97% 449,165,167.35
6/25/2007 66.12% 141,557,734.47 33.88% 417,865,672.73
7/25/2007 65.02% 139,524,839.49 34.98% 398,842,180.85
8/25/2007 63.90% 137,520,201.04 36.10% 380,910,851.91
9/25/2007 62.76% 135,543,432.37 37.24% 363,984,729.41
10/25/2007 61.61% 133,594,151.98 38.39% 348,003,503.09
11/25/2007 60.45% 131,671,983.58 39.55% 332,913,241.85
12/25/2007 59.28% 129,776,555.95 40.72% 318,679,271.27
1/25/2008 58.48% 127,907,502.94 41.52% 308,078,079.30
2/25/2008 57.69% 126,064,463.37 42.31% 297,920,826.84
3/25/2008 56.88% 124,247,080.95 43.12% 288,172,325.80
4/25/2008 56.08% 122,455,004.26 43.92% 278,814,594.46
5/25/2008 55.27% 120,687,886.62 44.73% 269,831,537.64
6/25/2008 54.46% 118,945,386.08 45.54% 261,214,110.80
7/25/2008 53.86% 117,227,165.33 46.14% 254,064,815.63
8/25/2008 53.25% 115,532,891.66 46.75% 247,155,091.84
9/25/2008 52.65% 113,862,236.85 47.35% 240,467,343.90
10/25/2008 52.04% 112,214,877.17 47.96% 233,993,716.23
11/25/2008 51.44% 110,590,493.27 48.56% 227,727,296.91
12/25/2008 50.83% 108,988,770.15 49.17% 221,665,278.24
1/25/2009 50.38% 107,409,397.09 49.62% 216,481,465.91
2/25/2009 49.94% 105,852,067.60 50.06% 211,440,799.70
3/25/2009 49.49% 104,316,479.34 50.51% 206,532,790.58
4/25/2009 49.05% 102,802,334.09 50.95% 201,753,615.70
5/25/2009 48.60% 101,309,337.69 51.40% 197,099,568.12
6/25/2009 48.15% 99,837,199.97 51.85% 192,567,053.18
7/25/2009 47.71% 98,385,634.72 52.29% 188,152,593.22
8/25/2009 47.27% 96,954,359.60 52.73% 183,857,060.12
9/25/2009 46.82% 95,543,096.12 53.18% 179,672,670.54
10/25/2009 46.38% 94,151,569.59 53.62% 175,596,255.72
11/25/2009 45.94% 92,779,509.03 54.06% 171,624,742.41
12/25/2009 45.50% 91,426,647.18 54.50% 167,755,119.71
1/25/2010 45.06% 90,092,720.38 54.94% 163,984,396.28
2/25/2010 44.62% 88,777,468.58 55.38% 160,299,361.26
3/25/2010 44.18% 87,480,635.27 55.82% 156,708,394.21
4/25/2010 43.74% 86,201,967.40 56.26% 153,208,834.56
5/25/2010 43.30% 84,941,215.40 56.70% 149,798,101.66
6/25/2010 42.86% 83,698,133.08 57.14% 146,473,692.27
7/25/2010 42.42% 82,472,477.60 57.58% 143,233,217.59
8/25/2010 41.99% 81,264,009.42 58.01% 140,074,694.20
9/25/2010 41.55% 80,072,492.27 58.45% 136,995,398.83
10/25/2010 41.12% 78,897,693.10 58.88% 133,993,115.98
11/25/2010 40.69% 77,739,382.01 59.31% 131,065,696.30
12/25/2010 40.26% 76,597,332.25 59.74% 128,211,054.53
1/25/2011 39.83% 75,471,320.15 60.17% 125,427,187.32
2/25/2011 39.40% 74,361,125.09 60.60% 122,712,351.89
3/25/2011 38.98% 73,266,529.45 61.02% 120,064,388.45
4/25/2011 38.55% 72,187,318.57 61.45% 117,481,449.67
5/25/2011 38.13% 71,123,280.72 61.87% 114,961,743.01
6/25/2011 37.71% 70,074,207.06 62.29% 112,503,529.06
7/25/2011 37.30% 69,039,891.57 62.70% 110,105,127.21
8/25/2011 36.88% 68,020,131.06 63.12% 107,764,992.02
9/25/2011 36.47% 67,014,725.10 63.53% 105,481,427.55
10/25/2011 36.06% 66,023,475.98 63.94% 103,252,891.28
11/25/2011 35.65% 65,046,188.72 64.35% 101,077,886.09
12/25/2011 35.24% 64,082,670.94 64.76% 98,954,958.94
1/25/2012 34.84% 63,132,732.93 65.16% 96,882,702.27
2/25/2012 34.43% 62,196,187.55 65.57% 94,859,786.32
3/25/2012 34.03% 61,272,850.20 65.97% 92,884,837.57
4/25/2012 33.64% 60,362,538.81 66.36% 90,956,566.14
5/25/2012 33.24% 59,465,073.78 66.76% 89,073,719.87
6/25/2012 32.85% 58,580,277.97 67.15% 87,235,083.12
7/25/2012 32.46% 57,707,976.65 67.54% 85,439,475.70
8/25/2012 32.07% 56,847,997.47 67.93% 83,685,751.78
9/25/2012 31.68% 56,000,170.43 68.32% 81,972,798.80
10/25/2012 31.30% 55,164,327.85 68.70% 80,299,536.51
11/25/2012 30.92% 54,340,304.34 69.08% 78,664,915.97
12/25/2012 30.54% 53,527,936.77 69.46% 77,067,918.59
1/25/2013 30.17% 52,727,064.21 69.83% 75,507,555.20
2/25/2013 29.80% 51,937,527.96 70.20% 73,982,865.18
3/25/2013 29.43% 51,159,171.46 70.57% 72,492,915.59
4/25/2013 29.06% 50,391,840.30 70.94% 71,036,800.29
5/25/2013 28.70% 49,635,382.17 71.30% 69,613,639.20
6/25/2013 28.34% 48,889,646.83 71.66% 68,222,577.45
7/25/2013 27.98% 48,154,486.11 72.02% 66,862,784.63
8/25/2013 27.63% 47,429,753.85 72.37% 65,533,454.08
9/25/2013 27.27% 46,715,305.89 72.73% 64,233,802.13
10/25/2013 26.92% 46,011,000.04 73.08% 62,963,067.46
11/25/2013 26.58% 45,316,696.03 73.42% 61,720,510.36
12/25/2013 26.23% 44,632,255.53 73.77% 60,505,412.13
1/25/2014 25.89% 43,957,542.10 74.11% 59,317,074.42
2/25/2014 25.56% 43,292,421.14 74.44% 58,154,818.66
3/25/2014 25.22% 42,636,759.91 74.78% 57,017,985.39
4/25/2014 24.89% 41,990,427.48 75.11% 55,905,933.76
5/25/2014 24.56% 41,353,294.69 75.44% 54,818,040.94
6/25/2014 24.24% 40,725,234.16 75.76% 53,753,701.57
7/25/2014 23.92% 40,106,120.26 76.08% 52,712,327.27
8/25/2014 23.60% 39,495,829.06 76.40% 51,693,346.08
9/25/2014 23.28% 38,894,238.32 76.72% 50,696,202.04
10/25/2014 22.97% 38,301,227.49 77.03% 49,720,354.65
11/25/2014 22.66% 37,716,677.64 77.34% 48,765,278.44
12/25/2014 22.35% 37,140,471.51 77.65% 47,830,462.52
1/25/2015 22.05% 36,573,094.57 77.95% 46,916,011.31
2/25/2015 21.74% 36,013,818.29 78.26% 46,020,827.35
3/25/2015 21.45% 35,462,530.36 78.55% 45,144,441.14
4/25/2015 21.15% 34,919,119.98 78.85% 44,286,396.12
5/25/2015 20.86% 34,383,477.89 79.14% 43,446,248.24
6/25/2015 20.57% 33,855,496.32 79.43% 42,623,565.62
7/25/2015 20.29% 33,335,068.95 79.71% 41,817,928.18
8/25/2015 20.00% 32,822,090.95 80.00% 41,028,927.31
9/25/2015 19.72% 32,316,458.90 80.28% 40,256,165.50
10/25/2015 19.45% 31,818,070.80 80.55% 39,499,256.04
11/25/2015 19.17% 31,326,826.04 80.83% 38,757,822.70
12/25/2015 18.90% 30,842,625.40 81.10% 38,031,499.39
1/25/2016 18.63% 30,365,371.02 81.37% 37,319,929.92
2/25/2016 18.37% 29,894,966.35 81.63% 36,622,767.65
3/25/2016 18.11% 29,431,316.20 81.89% 35,939,675.26
4/25/2016 17.85% 28,974,326.65 82.15% 35,270,324.43
5/25/2016 17.60% 28,523,905.09 82.40% 34,614,395.64
6/25/2016 17.34% 28,079,960.16 82.66% 33,971,577.84
7/25/2016 17.09% 27,642,401.77 82.91% 33,341,568.27
8/25/2016 16.85% 27,211,141.04 83.15% 32,724,072.17
9/25/2016 16.60% 26,786,090.33 83.40% 32,118,802.58
10/25/2016 16.36% 26,367,163.19 83.64% 31,525,480.09
11/25/2016 16.12% 25,954,274.35 83.88% 30,943,832.64
12/25/2016 15.89% 25,547,339.72 84.11% 30,373,595.31
1/25/2017 15.66% 25,146,276.35 84.34% 29,814,510.09
2/25/2017 15.43% 24,751,002.43 84.57% 29,266,325.70
3/25/2017 15.20% 24,361,437.28 84.80% 28,728,797.41
4/25/2017 14.98% 23,977,501.31 85.02% 28,201,686.81
5/25/2017 14.76% 23,599,116.04 85.24% 27,684,761.66
6/25/2017 14.54% 23,226,204.05 85.46% 27,177,795.73
7/25/2017 14.32% 22,858,688.99 85.68% 26,680,568.57
8/25/2017 14.11% 22,496,495.56 85.89% 26,192,865.40
9/25/2017 13.90% 22,139,549.48 86.10% 25,714,476.94
10/25/2017 13.70% 21,787,777.49 86.30% 25,245,199.22
11/25/2017 13.49% 21,441,107.36 86.51% 24,784,833.47
12/25/2017 13.29% 21,099,467.82 86.71% 24,333,185.95
1/25/2018 13.09% 20,762,788.59 86.91% 23,890,067.81
2/25/2018 12.89% 20,431,000.36 87.11% 23,455,294.96
3/25/2018 12.70% 20,104,034.77 87.30% 23,028,687.93
4/25/2018 12.51% 19,781,824.38 87.49% 22,610,071.75
5/25/2018 12.32% 19,464,302.70 87.68% 22,199,275.79
6/25/2018 12.13% 19,151,404.14 87.87% 21,796,133.69
7/25/2018 11.95% 18,843,064.02 88.05% 21,400,483.20
8/25/2018 11.77% 18,539,218.54 88.23% 21,012,166.10
9/25/2018 11.59% 18,239,804.77 88.41% 20,631,028.04
10/25/2018 11.41% 17,944,760.66 88.59% 20,256,918.48
11/25/2018 11.24% 17,654,025.01 88.76% 19,889,690.55
12/25/2018 11.07% 17,367,537.45 88.93% 19,529,200.99
1/25/2019 10.90% 17,085,238.45 89.10% 19,175,309.98
2/25/2019 10.73% 16,807,069.29 89.27% 18,827,881.14
3/25/2019 10.57% 16,532,972.07 89.43% 18,486,781.35
4/25/2019 10.41% 16,262,889.67 89.59% 18,151,880.71
5/25/2019 10.25% 15,996,765.76 89.75% 17,823,052.42
6/25/2019 10.09% 15,734,544.80 89.91% 17,500,172.73
7/25/2019 9.93% 15,476,171.99 90.07% 17,183,120.84
8/25/2019 9.78% 15,221,593.30 90.22% 16,871,778.80
9/25/2019 9.63% 14,970,755.44 90.37% 16,566,031.48
10/25/2019 9.48% 14,723,605.86 90.52% 16,265,766.45
11/25/2019 9.34% 14,470,814.92 90.66% 15,961,596.12
12/25/2019 9.20% 14,224,869.09 90.80% 15,665,950.88
1/25/2020 16.60% 6,997,853.77 83.40% 8,390,861.83
2/25/2020 16.40% 6,866,229.32 83.60% 8,212,736.75
3/25/2020 16.16% 6,751,114.43 83.84% 8,052,643.51
4/25/2020 15.93% 6,637,726.46 84.07% 7,895,750.21
5/25/2020 15.71% 6,526,040.78 84.29% 7,741,984.58
6/25/2020 15.48% 6,416,033.11 84.52% 7,591,276.19
7/25/2020 15.26% 6,307,679.48 84.74% 7,443,556.46
8/25/2020 15.04% 6,200,956.28 84.96% 7,298,758.55
9/25/2020 14.82% 6,095,840.23 85.18% 7,156,817.36
10/25/2020 14.61% 5,992,308.35 85.39% 7,017,669.43
11/25/2020 14.40% 5,890,338.00 85.60% 6,881,252.96
12/25/2020 14.19% 5,789,906.84 85.81% 6,747,507.68
1/25/2021 13.99% 5,690,992.86 86.01% 6,616,374.87
2/25/2021 13.78% 5,593,574.35 86.22% 6,487,797.30
3/25/2021 13.58% 5,497,629.89 86.42% 6,361,719.18
4/25/2021 13.38% 5,403,138.36 86.62% 6,238,086.13
5/25/2021 13.19% 5,310,078.96 86.81% 6,116,845.12
6/25/2021 13.00% 5,218,431.14 87.00% 5,997,944.45
7/25/2021 12.81% 5,128,174.67 87.19% 5,881,333.71
8/25/2021 12.62% 5,039,289.59 87.38% 5,766,963.76
9/25/2021 12.43% 4,951,756.21 87.57% 5,654,786.66
10/25/2021 12.25% 4,865,555.13 87.75% 5,544,755.65
11/25/2021 12.07% 4,780,667.20 87.93% 5,436,825.13
12/25/2021 11.89% 4,697,073.56 88.11% 5,330,950.62
1/25/2022 11.71% 4,614,755.61 88.29% 5,227,088.72
2/25/2022 11.54% 4,533,694.98 88.46% 5,125,197.11
3/25/2022 11.37% 4,453,873.60 88.63% 5,025,234.47
4/25/2022 11.20% 4,375,273.62 88.80% 4,927,160.50
5/25/2022 11.03% 4,297,877.46 88.97% 4,830,935.87
6/25/2022 10.87% 4,221,667.76 89.13% 4,736,522.19
7/25/2022 10.71% 4,146,627.43 89.29% 4,643,882.00
8/25/2022 10.55% 4,072,739.61 89.45% 4,552,978.72
9/25/2022 10.39% 3,999,987.67 89.61% 4,463,776.68
10/25/2022 10.23% 3,928,355.22 89.77% 4,376,241.00
11/25/2022 10.08% 3,857,826.08 89.92% 4,290,337.68
12/25/2022 9.93% 3,788,384.33 90.07% 4,206,033.50
1/25/2023 9.78% 3,720,014.24 90.22% 4,123,296.00
2/25/2023 9.63% 3,652,700.33 90.37% 4,042,093.52
3/25/2023 9.49% 3,586,427.30 90.51% 3,962,395.11
4/25/2023 9.35% 3,521,180.11 90.65% 3,884,170.56
5/25/2023 9.20% 3,456,943.88 90.80% 3,807,390.34
6/25/2023 9.07% 3,393,703.99 90.93% 3,732,025.62
7/25/2023 8.93% 3,331,445.97 91.07% 3,658,048.24
8/25/2023 8.79% 3,270,155.61 91.21% 3,585,430.66
9/25/2023 8.66% 3,209,818.86 91.34% 3,514,145.99
10/25/2023 8.53% 3,150,421.88 91.47% 3,444,167.95
11/25/2023 8.40% 3,091,951.02 91.60% 3,375,470.85
12/25/2023 8.27% 3,034,392.82 91.73% 3,308,029.59
1/25/2024 8.15% 2,977,734.02 91.85% 3,241,819.63
2/25/2024 8.02% 2,921,961.54 91.98% 3,176,816.99
3/25/2024 7.90% 2,867,062.47 92.10% 3,112,998.21
4/25/2024 7.78% 2,813,024.12 92.22% 3,050,340.37
5/25/2024 7.66% 2,759,833.92 92.34% 2,988,821.06
6/25/2024 7.54% 2,707,479.54 92.46% 2,928,418.36
7/25/2024 7.43% 2,655,948.77 92.57% 2,869,110.83
8/25/2024 7.32% 2,605,229.60 92.68% 2,810,877.50
9/25/2024 7.20% 2,555,310.19 92.80% 2,753,697.88
10/25/2024 7.09% 2,506,178.85 92.91% 2,697,551.91
11/25/2024 6.99% 2,457,824.07 93.01% 2,642,419.97
12/25/2024 6.88% 2,410,234.50 93.12% 2,588,282.86
1/25/2025 6.77% 2,363,766.00 93.23% 2,535,488.87
2/25/2025 6.67% 2,318,305.12 93.33% 2,483,917.21
3/25/2025 6.56% 2,273,562.99 93.44% 2,433,271.90
4/25/2025 6.46% 2,229,529.09 93.54% 2,383,535.56
5/25/2025 6.36% 2,186,193.07 93.64% 2,334,691.19
6/25/2025 6.26% 2,143,544.70 93.74% 2,286,722.14
7/25/2025 6.16% 2,101,573.92 93.84% 2,239,612.12
8/25/2025 6.07% 2,060,270.79 93.93% 2,193,345.18
9/25/2025 5.97% 2,019,625.52 94.03% 2,147,905.72
10/25/2025 5.88% 1,979,628.46 94.12% 2,103,278.44
11/25/2025 5.79% 1,940,270.10 94.21% 2,059,448.38
12/25/2025 5.70% 1,901,541.04 94.30% 2,016,400.90
1/25/2026 5.61% 1,863,432.05 94.39% 1,974,121.65
2/25/2026 5.52% 1,825,934.00 94.48% 1,932,596.57
3/25/2026 5.43% 1,789,037.91 94.57% 1,891,811.91
4/25/2026 5.35% 1,752,734.90 94.65% 1,851,754.20
5/25/2026 5.26% 1,717,016.25 94.74% 1,812,410.22
6/25/2026 5.18% 1,681,873.33 94.82% 1,773,767.05
7/25/2026 5.10% 1,647,297.65 94.90% 1,735,812.02
8/25/2026 5.02% 1,613,280.85 94.98% 1,698,532.72
9/25/2026 4.94% 1,579,814.67 95.06% 1,661,917.00
10/25/2026 4.86% 1,546,890.96 95.14% 1,625,952.92
11/25/2026 4.79% 1,514,501.71 95.21% 1,590,628.82
12/25/2026 4.71% 1,482,639.01 95.29% 1,555,933.25
1/25/2027 4.64% 1,451,295.07 95.36% 1,521,855.01
2/25/2027 4.56% 1,420,462.19 95.44% 1,488,383.08
3/25/2027 4.49% 1,390,132.80 95.51% 1,455,506.71
4/25/2027 4.42% 1,360,299.43 95.58% 1,423,215.33
5/25/2027 4.35% 1,330,954.72 95.65% 1,391,498.74
6/25/2027 4.28% 1,302,091.41 95.72% 1,360,346.63
7/25/2027 4.21% 1,273,702.33 95.79% 1,329,749.04
8/25/2027 4.15% 1,245,780.45 95.85% 1,299,696.20
9/25/2027 4.08% 1,218,318.80 95.92% 1,270,178.55
10/25/2027 4.02% 1,191,310.52 95.98% 1,241,186.71
11/25/2027 3.95% 1,164,748.86 96.05% 1,212,711.46
12/25/2027 3.89% 1,138,627.16 96.11% 1,184,743.78
1/25/2028 3.83% 1,112,938.85 96.17% 1,157,274.82
2/25/2028 3.77% 1,087,677.46 96.23% 1,130,295.88
3/25/2028 3.71% 1,062,836.60 96.29% 1,103,798.45
4/25/2028 3.65% 1,038,409.98 96.35% 1,077,774.17
5/25/2028 3.59% 1,014,391.41 96.41% 1,052,214.84
6/25/2028 3.54% 990,774.77 96.46% 1,027,112.40
7/25/2028 3.48% 967,554.03 96.52% 1,002,458.97
8/25/2028 3.43% 944,723.25 96.57% 978,246.79
9/25/2028 3.37% 922,276.59 96.63% 954,468.26
10/25/2028 3.32% 900,208.26 96.68% 931,115.93
11/25/2028 3.27% 878,512.58 96.73% 908,182.46
12/25/2028 3.22% 857,183.94 96.78% 885,660.67
1/25/2029 3.16% 836,216.82 96.84% 863,543.50
2/25/2029 3.11% 815,605.76 96.89% 841,824.03
3/25/2029 3.07% 795,345.39 96.93% 820,495.46
4/25/2029 3.02% 775,430.43 96.98% 799,551.12
5/25/2029 2.97% 755,855.64 97.03% 778,984.45
6/25/2029 2.92% 736,615.89 97.08% 758,789.01
7/25/2029 2.88% 717,706.12 97.12% 738,958.50
8/25/2029 2.83% 699,121.31 97.17% 719,486.71
9/25/2029 2.79% 680,856.54 97.21% 700,367.55
10/25/2029 2.74% 662,906.97 97.26% 681,595.03
11/25/2029 2.70% 645,267.80 97.30% 663,163.29
12/25/2029 2.66% 627,934.32 97.34% 645,066.56
1/25/2030 2.61% 610,901.87 97.39% 627,299.16
2/25/2030 2.57% 594,165.89 97.43% 609,855.54
3/25/2030 2.53% 577,721.84 97.47% 592,730.22
4/25/2030 2.49% 561,565.28 97.51% 575,917.84
5/25/2030 2.45% 545,691.82 97.55% 559,413.13
6/25/2030 2.41% 530,097.14 97.59% 543,210.89
7/25/2030 2.38% 514,776.97 97.62% 527,306.05
8/25/2030 2.34% 499,727.11 97.66% 511,693.59
9/25/2030 2.30% 484,943.43 97.70% 496,368.61
10/25/2030 2.27% 470,421.83 97.73% 481,326.27
11/25/2030 2.23% 456,158.31 97.77% 466,561.84
12/25/2030 2.19% 442,148.89 97.81% 452,070.64
1/25/2031 2.16% 428,389.68 97.84% 437,848.10
2/25/2031 2.13% 414,876.81 97.87% 423,889.72
3/25/2031 2.09% 401,606.49 97.91% 410,191.07
4/25/2031 2.06% 388,574.99 97.94% 396,747.80
5/25/2031 2.03% 375,778.62 97.97% 383,555.64
6/25/2031 2.00% 363,213.74 98.00% 370,610.39
7/25/2031 1.96% 350,876.78 98.04% 357,907.92
8/25/2031 1.93% 338,764.21 98.07% 345,444.17
9/25/2031 1.90% 326,872.54 98.10% 333,215.16
10/25/2031 1.87% 315,198.36 98.13% 321,216.96
11/25/2031 1.84% 303,738.29 98.16% 309,445.72
12/25/2031 1.82% 292,489.00 98.18% 297,897.64
1/25/2032 1.79% 281,447.20 98.21% 286,569.01
2/25/2032 1.76% 270,609.67 98.24% 275,456.16
3/25/2032 1.73% 259,973.23 98.27% 264,555.48
4/25/2032 1.71% 249,534.72 98.29% 253,863.45
5/25/2032 1.68% 239,291.07 98.32% 243,376.57
6/25/2032 1.65% 229,239.21 98.35% 233,091.43
7/25/2032 1.63% 219,376.15 98.37% 223,004.66
8/25/2032 1.60% 209,698.93 98.40% 213,112.95
9/25/2032 1.58% 200,204.63 98.42% 203,413.05
10/25/2032 1.55% 190,890.38 98.45% 193,901.75
11/25/2032 1.53% 181,753.33 98.47% 184,575.92
12/25/2032 1.51% 172,790.71 98.49% 175,432.44
1/25/2033 1.48% 163,999.76 98.52% 166,468.29
2/25/2033 1.46% 155,377.77 98.54% 157,680.47
3/25/2033 1.44% 146,922.07 98.56% 149,066.03
4/25/2033 1.42% 138,630.02 98.58% 140,622.09
5/25/2033 1.40% 130,499.04 98.60% 132,345.78
6/25/2033 1.37% 122,526.57 98.63% 124,234.32
7/25/2033 1.35% 114,710.10 98.65% 116,284.94
8/25/2033 1.33% 107,047.13 98.67% 108,494.94
9/25/2033 1.32% 99,535.22 98.68% 100,861.65
10/25/2033 1.30% 92,171.98 98.70% 93,382.45
11/25/2033 1.28% 84,955.02 98.72% 86,054.77
12/25/2033 1.26% 77,882.00 98.74% 78,876.05
1/25/2034 1.24% 70,950.62 98.76% 71,843.82
2/25/2034 1.23% 64,158.62 98.77% 64,955.61
3/25/2034 1.21% 57,503.75 98.79% 58,209.02
4/25/2034 1.20% 50,983.81 98.80% 51,601.65
5/25/2034 1.18% 44,596.63 98.82% 45,131.18
6/25/2034 1.17% 38,340.07 98.83% 38,795.32
7/25/2034 1.17% 32,212.02 98.83% 32,591.78
8/25/2034 1.16% 26,210.40 98.84% 26,518.36
9/25/2034 1.17% 20,333.17 98.83% 20,572.89
10/25/2034 1.19% 14,578.32 98.81% 14,753.18
11/25/2034 1.25% 8,943.85 98.75% 9,057.16
12/25/2034 1.57% 3,449.33 98.43% 3,504.30
1/25/2035 0.00 0.00
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is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. Any such offer
to buy or sell any security or instrument or to engage in a transaction would be
made only after a prospective participant had completed its own independent
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would contain material information not contained herein and to which prospective
participants are referred. In the event of any such offering, this information
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to the accuracy or completeness of the information herein, or that any future
offer of securities or transactions would conform to the terms hereof. Xxxxxx
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The following information may contain general, summary discussions of certain
tax, regulatory, accounting and/or legal issues relevant to the proposed
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indicative of future results. Price and availability are subject to change
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Notwithstanding any other express or implied agreement, arrangement, or
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Additionally, transfers of any such securities or instruments may be limited by
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MSAC 2005-WMC3
5 CDR - 50% Loss Severity - 6m lag
Triggers Calculated
--------------------------------------------------------------------------------
100 PPC - Forward
--------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 5/25/2005 986,656,897.84 3,565,244.23 3.0400 3.3900 4.34%
2 6/25/2005 963,263,676.95 2,430,954.79 3.1224 3.5063 3.03%
3 7/25/2005 940,364,242.73 2,295,914.96 3.2997 3.6312 2.93%
4 8/25/2005 917,940,931.67 2,057,552.87 3.4537 3.7295 2.69%
5 9/25/2005 895,977,473.83 1,927,342.42 3.5927 3.8183 2.58%
6 10/25/2005 874,458,783.96 1,897,552.56 3.6505 3.8882 2.60%
7 11/25/2005 853,371,099.20 0.00 3.7633 3.9510 0.00%
8 12/25/2005 828,512,262.42 0.00 3.8616 4.0060 0.00%
9 1/25/2006 804,180,598.74 0.00 3.8832 4.0539 0.00%
10 2/25/2006 780,363,218.07 0.00 3.9726 4.0966 0.00%
11 3/25/2006 757,048,438.77 0.00 4.0196 4.1339 0.00%
12 4/25/2006 734,225,604.84 0.00 4.0185 4.1696 0.00%
13 5/25/2006 711,885,279.91 0.00 4.0862 4.2056 0.00%
14 6/25/2006 690,029,711.89 0.00 4.1406 4.2384 0.00%
15 7/25/2006 668,840,336.65 0.00 4.1327 4.2676 0.00%
16 8/25/2006 648,297,831.38 0.00 4.1868 4.2976 0.00%
17 9/25/2006 628,383,281.64 0.00 4.2319 4.3256 0.00%
18 10/25/2006 609,078,279.29 0.00 4.2317 4.3483 0.00%
19 11/25/2006 590,364,992.44 0.00 4.2790 4.3668 0.00%
20 12/25/2006 572,226,114.25 0.00 4.3149 4.3823 0.00%
21 1/25/2007 554,644,798.67 0.00 4.3091 4.3960 0.00%
22 2/25/2007 537,603,986.51 0.00 4.3503 4.4075 0.00%
23 3/25/2007 521,147,974.35 0.00 4.3741 4.4172 0.00%
24 4/25/2007 505,195,897.41 0.00 4.3395 4.4263 0.00%
25 5/25/2007 489,732,302.36 0.00 4.3705 4.4380 0.00%
26 6/25/2007 474,742,210.61 0.00 4.3937 4.4491 0.00%
27 7/25/2007 460,211,103.73 0.00 4.3773 4.4587 0.00%
28 8/25/2007 446,124,955.27 0.00 4.4055 4.4713 0.00%
29 9/25/2007 432,497,359.55 0.00 4.4239 4.4830 0.00%
30 10/25/2007 419,286,182.44 0.00 4.4094 4.4926 0.00%
31 11/25/2007 406,478,681.36 0.00 4.4343 4.5031 0.00%
32 12/25/2007 394,062,504.42 0.00 4.4521 4.5123 0.00%
33 1/25/2008 382,025,678.42 0.00 4.4505 4.5214 0.00%
34 2/25/2008 370,356,650.25 0.00 4.4737 4.5302 0.00%
35 3/25/2008 359,067,754.06 0.00 4.4851 4.5387 0.00%
36 4/25/2008 348,123,043.67 0.00 4.4700 4.5478 0.00%
37 5/25/2008 337,512,009.73 0.00 4.4895 4.5588 0.00%
38 6/25/2008 327,224,464.49 0.00 4.5040 4.5701 0.00%
39 7/25/2008 317,250,531.88 0.00 4.5036 4.5809 0.00%
40 8/25/2008 307,580,658.62 0.00 4.5227 4.5941 0.00%
41 9/25/2008 298,212,319.18 0.00 4.5358 4.6069 0.00%
42 10/25/2008 289,129,342.99 0.00 4.5365 4.6174 0.00%
43 11/25/2008 280,323,025.41 28,214.10 4.5546 4.6275 0.12%
44 12/25/2008 271,784,927.88 415,863.99 4.5694 4.6367 1.84%
45 1/25/2009 263,506,869.76 375,770.85 4.5798 4.6455 1.71%
46 2/25/2009 255,480,924.05 384,232.72 4.5976 4.6439 1.80%
47 3/25/2009 247,700,176.17 442,089.36 4.6039 4.6406 2.14%
48 4/25/2009 240,156,350.09 356,742.89 4.5946 4.6394 1.78%
49 5/25/2009 232,842,222.26 368,624.39 4.6097 4.6412 1.90%
50 6/25/2009 225,750,789.83 334,351.01 4.6194 4.6476 1.78%
51 7/25/2009 218,875,263.87 357,376.02 4.5707 4.6549 1.96%
52 8/25/2009 212,209,063.03 326,452.80 4.5787 4.6737 1.85%
53 9/25/2009 205,746,130.39 316,975.64 4.5919 4.6936 1.85%
54 10/25/2009 199,479,937.67 331,464.99 4.6069 4.7120 1.99%
55 11/25/2009 193,404,489.00 295,725.97 4.6448 4.7310 1.83%
56 12/25/2009 187,513,971.57 309,974.04 4.6652 4.7399 1.98%
57 1/25/2010 181,802,680.31 282,333.37 4.6800 4.7465 1.86%
58 2/25/2010 176,264,949.49 5,702,543.81 4.6946 4.7522 38.82%
59 3/25/2010 170,870,059.19 5,570,378.87 4.7073 4.7579 39.12%
60 4/25/2010 165,639,962.25 5,316,047.06 4.7170 4.7644 38.51%
61 5/25/2010 160,569,624.39 5,156,672.97 4.6975 4.7704 38.54%
62 6/25/2010 155,654,165.32 3,894,300.01 4.7024 4.7841 30.02%
63 7/25/2010 150,888,854.47 519,174.57 4.7146 4.7989 4.13%
64 8/25/2010 146,269,133.08 491,752.19 4.7277 4.8144 4.03%
65 9/25/2010 141,791,592.37 478,007.82 4.7407 4.8300 4.05%
66 10/25/2010 137,450,792.46 483,003.10 4.7545 4.8439 4.22%
67 11/25/2010 133,242,557.86 449,114.66 4.7764 4.8588 4.04%
68 12/25/2010 129,162,840.73 453,517.87 4.7913 4.8679 4.21%
69 1/25/2011 125,207,717.73 422,484.95 4.8048 4.8760 4.05%
70 2/25/2011 121,373,397.68 415,331.99 4.8182 4.8834 4.11%
71 3/25/2011 117,657,036.85 451,139.69 4.8298 4.8910 4.60%
72 4/25/2011 114,054,151.02 388,732.19 4.8400 4.8993 4.09%
73 5/25/2011 110,561,276.54 393,355.03 4.8304 4.9065 4.27%
74 6/25/2011 107,175,055.61 365,900.18 4.8375 4.9163 4.10%
75 7/25/2011 103,892,233.35 368,412.65 4.8492 4.9259 4.26%
76 8/25/2011 100,709,656.92 345,273.39 4.8618 4.9361 4.11%
77 9/25/2011 97,624,714.95 311,695.76 4.8742 4.9460 3.83%
78 10/25/2011 94,633,963.57 315,657.52 4.8845 4.9549 4.00%
79 11/25/2011 91,734,528.65 292,525.50 4.8865 4.9644 3.83%
80 12/25/2011 88,923,623.86 296,293.35 4.8955 4.9700 4.00%
81 1/25/2012 86,198,548.27 273,873.09 4.9077 4.9752 3.81%
82 2/25/2012 83,556,685.52 267,030.96 4.9197 4.9796 3.83%
83 3/25/2012 80,995,808.26 282,399.24 4.9306 4.9843 4.18%
84 4/25/2012 78,513,122.41 250,204.73 4.9384 4.9894 3.82%
85 5/25/2012 76,106,242.64 255,099.27 4.9207 4.9941 4.02%
86 6/25/2012 73,772,856.49 236,202.48 4.9248 5.0041 3.84%
87 7/25/2012 71,510,722.26 227,150.86 4.9351 5.0145 3.81%
88 8/25/2012 69,317,668.15 71,586.34 4.9463 5.0257 1.24%
89 9/25/2012 67,191,866.22 69,674.60 4.9574 5.0368 1.24%
90 10/25/2012 65,130,976.01 77,507.15 4.9678 5.0462 1.43%
91 11/25/2012 63,133,017.82 66,185.17 4.9779 5.0567 1.26%
92 12/25/2012 61,196,072.34 73,562.55 4.9882 5.0623 1.44%
93 1/25/2013 59,318,279.12 62,963.61 4.9994 5.0673 1.27%
94 2/25/2013 57,497,836.02 62,964.91 5.0104 5.0715 1.31%
95 3/25/2013 55,733,227.72 85,988.38 5.0198 5.0760 1.85%
96 4/25/2013 54,022,508.95 60,241.66 5.0273 5.0814 1.34%
97 5/25/2013 52,364,036.54 67,502.93 5.0119 5.0864 1.55%
98 6/25/2013 50,756,217.38 58,717.17 5.0160 5.0994 1.39%
99 7/25/2013 49,197,507.16 64,448.02 5.0255 5.1136 1.57%
100 8/25/2013 47,686,409.90 57,588.81 5.0359 5.1286 1.45%
101 9/25/2013 46,221,720.25 56,260.19 5.0463 5.1436 1.46%
102 10/25/2013 44,801,768.13 61,315.79 5.0589 5.1570 1.64%
103 11/25/2013 43,425,189.69 53,121.61 5.0868 5.1711 1.47%
104 12/25/2013 42,090,662.66 57,856.14 5.1012 5.1776 1.65%
105 1/25/2014 40,796,905.35 50,748.00 5.1123 5.1829 1.49%
106 2/25/2014 39,542,676.59 50,755.98 5.1231 5.1874 1.54%
107 3/25/2014 38,326,984.54 65,774.08 5.1321 5.1922 2.06%
108 4/25/2014 37,148,433.02 48,346.37 5.1398 5.1979 1.56%
109 5/25/2014 36,005,889.96 52,851.08 5.1261 5.2028 1.76%
110 6/25/2014 34,898,257.82 46,798.13 5.1306 5.2131 1.61%
111 7/25/2014 33,824,472.61 50,422.72 5.1400 5.2239 1.79%
112 8/25/2014 32,783,503.53 45,532.31 5.1503 5.2354 1.67%
113 9/25/2014 31,774,497.37 44,510.02 5.1605 5.2468 1.68%
114 10/25/2014 30,796,327.54 47,778.04 5.1707 5.2565 1.86%
115 11/25/2014 29,848,054.28 42,507.83 5.1850 5.2666 1.71%
116 12/25/2014 28,928,766.47 45,566.72 5.1957 5.2663 1.89%
117 1/25/2015 28,037,580.88 40,750.78 5.2062 5.2640 1.74%
118 2/25/2015 27,173,785.70 40,318.69 5.2164 5.2608 1.78%
119 3/25/2015 26,336,465.00 50,232.90 5.2247 5.2577 2.29%
120 4/25/2015 25,524,743.78 38,930.53 5.2275 5.2560 1.83%
121 5/25/2015 24,737,841.89 42,374.14 5.1849 5.2533 2.06%
122 6/25/2015 23,975,002.94 38,594.11 5.1811 5.2581 1.93%
123 7/25/2015 23,235,493.53 40,951.71 5.1891 5.2640 2.11%
124 8/25/2015 22,518,602.69 37,372.32 5.1983 5.2705 1.99%
125 9/25/2015 21,823,662.41 36,735.48 5.2072 5.2768 2.02%
126 10/25/2015 21,149,981.67 38,864.09 5.2139 5.2820 2.21%
127 11/25/2015 20,496,912.53 35,722.92 5.2116 5.2887 2.09%
128 12/25/2015 19,863,826.75 37,701.57 5.2171 5.2959 2.28%
129 1/25/2016 19,250,115.30 34,663.78 5.2260 5.3042 2.16%
130 2/25/2016 18,655,188.16 34,568.79 5.2347 5.3117 2.22%
131 3/25/2016 18,078,548.87 38,509.25 5.2424 5.3197 2.56%
132 4/25/2016 17,519,560.99 33,590.33 5.2510 5.3283 2.30%
133 5/25/2016 16,977,686.52 35,210.84 5.2557 5.3360 2.49%
134 6/25/2016 16,452,403.81 32,730.74 5.2638 5.3461 2.39%
135 7/25/2016 15,943,207.19 34,193.53 5.2718 5.3558 2.57%
136 8/25/2016 15,449,606.85 32,366.25 5.2807 5.3664 2.51%
137 9/25/2016 14,971,212.47 31,964.05 5.2894 5.3767 2.56%
138 10/25/2016 14,507,472.19 33,225.37 5.2985 5.3854 2.75%
139 11/25/2016 14,057,939.30 31,163.17 5.3132 5.3942 2.66%
140 12/25/2016 13,622,180.71 32,317.03 5.3229 5.3913 2.85%
141 1/25/2017 13,199,776.57 30,477.20 5.3319 5.3861 2.77%
142 2/25/2017 12,790,319.99 30,253.77 5.3407 5.3799 2.84%
143 3/25/2017 12,393,433.76 33,891.65 5.3475 5.3738 3.28%
144 4/25/2017 12,008,716.24 29,722.35 5.3480 5.3694 2.97%
145 5/25/2017 11,635,796.38 30,958.00 5.2978 5.3641 3.19%
146 6/25/2017 11,274,314.46 29,589.10 5.2912 5.3687 3.15%
147 7/25/2017 10,923,921.67 30,394.94 5.2977 5.3748 3.34%
148 8/25/2017 10,584,279.76 29,103.42 5.3056 5.3817 3.30%
149 9/25/2017 10,255,062.97 28,870.75 5.3132 5.3884 3.38%
150 10/25/2017 9,935,951.26 29,549.75 5.3195 5.3934 3.57%
151 11/25/2017 9,626,636.41 28,508.21 5.3229 5.3996 3.55%
152 12/25/2017 9,326,819.57 29,161.82 5.3288 5.4006 3.75%
153 1/25/2018 9,036,211.04 28,234.77 5.3366 5.4012 3.75%
154 2/25/2018 8,754,530.03 28,195.03 5.3441 5.4009 3.86%
155 3/25/2018 8,481,522.07 30,016.11 5.3499 5.4008 4.25%
156 4/25/2018 8,216,903.86 27,979.56 5.3536 5.4021 4.09%
157 5/25/2018 7,960,419.41 28,511.95 5.3306 5.4028 4.30%
158 6/25/2018 7,711,820.50 27,876.03 5.3304 5.4118 4.34%
159 7/25/2018 7,470,866.49 28,252.01 5.3365 5.4218 4.54%
160 8/25/2018 7,237,324.14 27,813.84 5.3438 5.4328 4.61%
161 9/25/2018 7,010,992.40 27,734.62 5.3508 5.4436 4.75%
162 10/25/2018 6,791,625.07 28,014.05 5.3596 5.4528 4.95%
163 11/25/2018 6,579,009.55 27,580.40 5.3814 5.4626 5.03%
164 12/25/2018 6,372,939.69 27,798.32 5.3916 5.4638 5.23%
165 1/25/2019 6,173,215.67 27,471.31 5.3992 5.4637 5.34%
166 2/25/2019 5,979,643.89 27,516.84 5.4064 5.4626 5.52%
167 3/25/2019 5,792,056.10 28,043.46 5.4119 5.4618 5.81%
168 4/25/2019 5,610,249.06 27,607.93 5.4151 5.4625 5.91%
169 5/25/2019 5,434,046.18 27,799.65 5.3900 5.4611 6.14%
170 6/25/2019 5,263,276.29 27,775.05 5.3891 5.4603 6.33%
171 7/25/2019 5,097,773.39 27,880.17 5.3950 5.4586 6.56%
172 8/25/2019 4,937,376.41 179,265.32 5.4019 5.4577 43.57%
173 9/25/2019 4,781,926.49 177,776.52 5.4084 5.4562 44.61%
174 10/25/2019 4,631,191.54 172,340.09 5.4093 5.4538 44.66%
175 11/25/2019 4,485,029.40 168,132.88 5.3835 5.4518 44.99%
176 12/25/2019 4,342,237.27 162,621.04 5.3813 5.4441 44.94%
177 1/25/2020 4,204,140.33 947,325.06 5.3874 5.4354 270.40%
178 2/25/2020 3,280,547.55 126,126.61 5.3936 5.4260 46.14%
179 3/25/2020 3,173,016.27 120,479.97 5.3984 5.4165 45.56%
180 4/25/2020 3,070,512.10 116,645.07 5.3955 5.4083 45.59%
181 5/25/2020 2,971,251.53 112,930.65 5.3395 5.3991 45.61%
182 6/25/2020 2,875,133.09 109,332.88 5.3297 5.3960 45.63%
183 7/25/2020 2,782,058.50 105,847.84 5.3338 5.3934 45.66%
184 8/25/2020 2,691,932.41 102,428.80 5.3392 5.3916 45.66%
185 9/25/2020 2,604,648.97 99,160.86 5.3442 5.3892 45.68%
186 10/25/2020 2,520,133.33 95,995.72 5.3440 5.3855 45.71%
187 11/25/2020 2,438,298.84 92,930.18 5.3193 5.3830 45.74%
188 12/25/2020 2,359,061.51 89,961.11 5.3163 5.3765 45.76%
189 1/25/2021 2,282,339.98 87,085.34 5.3210 5.3697 45.79%
190 2/25/2021 2,208,055.36 84,269.79 5.3257 5.3620 45.80%
191 3/25/2021 2,136,121.44 81,573.19 5.3287 5.3545 45.83%
192 4/25/2021 2,066,474.73 78,961.56 5.3269 5.3487 45.85%
193 5/25/2021 1,999,043.52 76,432.25 5.2829 5.3422 45.88%
194 6/25/2021 1,933,758.30 73,982.67 5.2752 5.3457 45.91%
195 7/25/2021 1,870,551.74 71,610.26 5.2783 5.3507 45.94%
196 8/25/2021 1,809,358.56 69,308.32 5.2826 5.3566 45.97%
197 9/25/2021 1,750,114.09 67,083.49 5.2866 5.3622 46.00%
198 10/25/2021 1,692,758.69 64,928.90 5.2911 5.3664 46.03%
199 11/25/2021 1,637,233.04 62,842.35 5.3015 5.3713 46.06%
200 12/25/2021 1,583,479.64 60,821.73 5.3065 5.3697 46.09%
201 1/25/2022 1,531,442.81 58,865.02 5.3110 5.3672 46.13%
202 2/25/2022 1,481,068.59 56,974.97 5.3150 5.3639 46.16%
203 3/25/2022 1,432,306.41 55,139.85 5.3176 5.3609 46.20%
204 4/25/2022 1,385,103.77 53,362.77 5.3182 5.3593 46.23%
205 5/25/2022 1,339,411.62 51,641.92 5.2936 5.3570 46.27%
206 6/25/2022 1,295,182.42 49,975.53 5.2906 5.3633 46.30%
207 7/25/2022 1,252,370.10 48,361.92 5.2935 5.3705 46.34%
208 8/25/2022 1,210,930.06 46,807.44 5.2975 5.3788 46.38%
209 9/25/2022 1,170,821.98 45,294.26 5.3012 5.3867 46.42%
210 10/25/2022 1,132,000.88 43,829.05 5.3072 5.3932 46.46%
211 11/25/2022 1,094,426.19 42,410.29 5.3280 5.4004 46.50%
212 12/25/2022 1,058,058.61 41,036.55 5.3355 5.3999 46.54%
213 1/25/2023 1,022,860.07 39,706.47 5.3398 5.3983 46.58%
214 2/25/2023 988,793.72 38,425.91 5.3437 5.3959 46.63%
215 3/25/2023 955,826.59 37,178.71 5.3461 5.3937 46.68%
216 4/25/2023 923,921.08 35,971.12 5.3473 5.3930 46.72%
217 5/25/2023 893,043.66 34,801.91 5.3266 5.3909 46.76%
218 6/25/2023 863,161.86 33,669.86 5.3246 5.3927 46.81%
219 7/25/2023 834,244.21 32,573.81 5.3274 5.3945 46.86%
220 8/25/2023 806,260.22 31,513.06 5.3313 5.3971 46.90%
221 9/25/2023 779,180.54 30,485.66 5.3349 5.3993 46.95%
222 10/25/2023 752,976.37 29,490.97 5.3371 5.4006 47.00%
223 11/25/2023 727,620.02 28,527.98 5.3354 5.4030 47.05%
224 12/25/2023 703,084.64 27,595.68 5.3370 5.4030 47.10%
225 1/25/2024 679,344.21 26,693.12 5.3408 5.4034 47.15%
226 2/25/2024 656,373.56 25,820.98 5.3443 5.4030 47.21%
227 3/25/2024 634,148.94 24,975.05 5.3468 5.4030 47.26%
228 4/25/2024 612,646.01 24,156.14 5.3488 5.4037 47.32%
229 5/25/2024 591,841.85 23,363.39 5.3375 5.4033 47.37%
230 6/25/2024 571,714.30 22,595.97 5.3376 5.4046 47.43%
231 7/25/2024 552,241.87 21,853.10 5.3403 5.4052 47.49%
232 8/25/2024 533,403.75 21,134.85 5.3440 5.4066 47.55%
233 9/25/2024 515,180.09 20,438.84 5.3472 5.4077 47.61%
234 10/25/2024 497,551.03 19,765.11 5.3486 5.4073 47.67%
235 11/25/2024 480,497.64 19,112.97 5.3428 5.4071 47.73%
236 12/25/2024 464,001.63 18,481.71 5.3433 5.3967 47.80%
237 1/25/2025 448,045.25 17,851.31 5.3467 5.3843 47.81%
238 2/25/2025 432,630.67 17,240.30 5.3499 5.3711 47.82%
239 3/25/2025 417,732.51 16,669.56 5.3514 5.3578 47.89%
240 4/25/2025 403,322.66 16,117.16 5.3456 5.3468 47.95%
241 5/25/2025 389,385.54 15,582.52 5.2833 5.3342 48.02%
242 6/25/2025 375,906.07 15,065.06 5.2699 5.3294 48.09%
243 7/25/2025 362,869.62 14,564.20 5.2713 5.3256 48.16%
244 8/25/2025 350,262.01 14,072.73 5.2741 5.3225 48.21%
245 9/25/2025 338,066.47 13,603.80 5.2764 5.3190 48.29%
246 10/25/2025 326,273.03 13,149.99 5.2745 5.3142 48.36%
247 11/25/2025 314,868.81 12,710.83 5.2533 5.3102 48.44%
248 12/25/2025 303,841.35 12,285.84 5.2492 5.3000 48.52%
249 1/25/2026 293,178.58 11,874.56 5.2515 5.2888 48.60%
250 2/25/2026 282,868.79 11,471.53 5.2536 5.2768 48.67%
251 3/25/2026 272,898.26 11,086.54 5.2542 5.2649 48.75%
252 4/25/2026 263,258.61 10,714.01 5.2488 5.2550 48.84%
253 5/25/2026 253,939.19 10,353.55 5.1949 5.2441 48.93%
254 6/25/2026 244,929.71 10,004.78 5.1829 5.2424 49.02%
255 7/25/2026 236,220.20 9,667.29 5.1835 5.2421 49.11%
256 8/25/2026 227,801.00 9,337.80 5.1854 5.2426 49.19%
257 9/25/2026 219,661.29 9,021.96 5.1868 5.2428 49.29%
258 10/25/2026 211,793.60 8,716.39 5.1870 5.2417 49.39%
259 11/25/2026 204,189.15 8,420.77 5.1833 5.2412 49.49%
260 12/25/2026 196,839.45 8,134.77 5.1830 5.2340 49.59%
261 1/25/2027 189,736.26 7,858.09 5.1847 5.2257 49.70%
262 2/25/2027 182,871.62 7,588.66 5.1861 5.2167 49.80%
263 3/25/2027 176,236.91 7,329.78 5.1862 5.2078 49.91%
264 4/25/2027 169,825.63 7,079.35 5.1823 5.2007 50.02%
265 5/25/2027 163,630.54 6,836.83 5.1425 5.1921 50.14%
266 6/25/2027 157,644.93 6,602.53 5.1337 5.1888 50.26%
267 7/25/2027 151,861.70 6,375.90 5.1339 5.1859 50.38%
268 8/25/2027 146,274.27 6,154.94 5.1352 5.1838 50.49%
269 9/25/2027 140,875.36 5,942.97 5.1361 5.1812 50.62%
270 10/25/2027 135,659.81 5,737.96 5.1344 5.1778 50.76%
271 11/25/2027 130,621.66 5,539.69 5.1213 5.1757 50.89%
272 12/25/2027 125,755.12 5,347.94 5.1183 5.1733 51.03%
273 1/25/2028 121,054.61 5,162.50 5.1193 5.1716 51.18%
274 2/25/2028 116,514.70 4,982.57 5.1202 5.1692 51.32%
275 3/25/2028 112,129.82 4,809.17 5.1202 5.1671 51.47%
276 4/25/2028 107,895.24 4,641.51 5.1199 5.1659 51.62%
277 5/25/2028 103,806.07 4,479.38 5.1087 5.1641 51.78%
278 6/25/2028 99,857.53 4,322.62 5.1069 5.1671 51.95%
279 7/25/2028 96,045.02 4,171.05 5.1071 5.1703 52.11%
280 8/25/2028 92,364.08 4,024.68 5.1082 5.1744 52.29%
281 9/25/2028 88,810.49 3,883.00 5.1090 5.1781 52.47%
282 10/25/2028 85,379.95 3,746.02 5.1113 5.1806 52.65%
283 11/25/2028 82,068.44 3,613.60 5.1244 5.1836 52.84%
284 12/25/2028 78,872.02 3,485.60 5.1278 5.1793 53.03%
285 1/25/2029 75,786.90 3,361.85 5.1291 5.1738 53.23%
286 2/25/2029 72,809.42 3,242.07 5.1299 5.1676 53.43%
287 3/25/2029 69,935.92 3,126.45 5.1295 5.1615 53.65%
288 4/25/2029 67,163.08 3,014.70 5.1271 5.1571 53.86%
289 5/25/2029 64,487.55 2,906.69 5.1003 5.1519 54.09%
290 6/25/2029 61,906.12 2,802.31 5.0945 5.1550 54.32%
291 7/25/2029 59,415.67 2,701.42 5.0944 5.1592 54.56%
292 8/25/2029 57,013.19 2,603.86 5.0953 5.1642 54.81%
293 9/25/2029 54,695.69 2,509.65 5.0960 5.1689 55.06%
294 10/25/2029 52,460.42 2,418.61 5.0989 5.1724 55.32%
295 11/25/2029 50,304.61 2,330.65 5.1166 5.1764 55.60%
296 12/25/2029 48,225.64 2,245.65 5.1209 5.1727 55.88%
297 1/25/2030 46,220.93 2,163.53 5.1221 5.1678 56.17%
298 2/25/2030 44,288.00 2,084.16 5.1229 5.1622 56.47%
299 3/25/2030 42,424.43 2,007.51 5.1223 5.1568 56.78%
300 4/25/2030 40,627.92 1,933.47 5.1204 5.1529 57.11%
301 5/25/2030 38,896.22 1,861.94 5.1204 5.1529 57.44%
302 6/25/2030 37,227.15 1,792.85 5.1204 5.1529 57.79%
303 7/25/2030 35,618.61 1,726.12 5.1204 5.1529 58.15%
304 8/25/2030 34,068.56 1,661.56 5.1204 5.1529 58.53%
305 9/25/2030 32,574.96 1,599.31 5.1204 5.1529 58.92%
306 10/25/2030 31,135.98 1,539.20 5.1204 5.1529 59.32%
307 11/25/2030 29,749.76 1,481.15 5.1204 5.1529 59.74%
308 12/25/2030 28,414.53 1,425.09 5.1204 5.1529 60.18%
309 1/25/2031 27,128.56 1,370.97 5.1204 5.1529 60.64%
310 2/25/2031 25,890.17 1,318.71 5.1204 5.1529 61.12%
311 3/25/2031 24,697.74 1,268.26 5.1204 5.1529 61.62%
312 4/25/2031 23,549.72 1,219.55 5.1204 5.1529 62.14%
313 5/25/2031 22,444.58 1,172.53 5.1204 5.1529 62.69%
314 6/25/2031 21,380.86 1,127.14 5.1204 5.1529 63.26%
315 7/25/2031 20,357.15 1,083.34 5.1204 5.1529 63.86%
316 8/25/2031 19,372.08 1,041.06 5.1204 5.1529 64.49%
317 9/25/2031 18,424.31 1,000.26 5.1204 5.1529 65.15%
318 10/25/2031 17,512.57 960.88 5.1204 5.1529 65.84%
319 11/25/2031 16,635.62 922.89 5.1204 5.1529 66.57%
320 12/25/2031 15,792.25 886.22 5.1204 5.1529 67.34%
321 1/25/2032 14,981.30 850.85 5.1204 5.1529 68.15%
322 2/25/2032 14,201.66 816.73 5.1204 5.1529 69.01%
323 3/25/2032 13,452.24 783.82 5.1204 5.1529 69.92%
324 4/25/2032 12,731.99 752.06 5.1204 5.1529 70.88%
325 5/25/2032 12,039.89 721.44 5.1204 5.1529 71.90%
326 6/25/2032 11,374.96 691.91 5.1204 5.1529 72.99%
327 7/25/2032 10,736.26 663.43 5.1204 5.1529 74.15%
328 8/25/2032 10,122.85 635.96 5.1204 5.1529 75.39%
329 9/25/2032 9,533.87 609.48 5.1204 5.1529 76.71%
330 10/25/2032 8,968.44 583.95 5.1204 5.1529 78.13%
331 11/25/2032 8,425.74 559.34 5.1204 5.1529 79.66%
332 12/25/2032 7,904.97 535.62 5.1204 5.1529 81.31%
333 1/25/2033 7,405.35 512.76 5.1204 5.1529 83.09%
334 2/25/2033 6,926.13 490.72 5.1204 5.1529 85.02%
335 3/25/2033 6,466.59 469.49 5.1204 5.1529 87.12%
336 4/25/2033 6,026.02 449.03 5.1204 5.1529 89.42%
337 5/25/2033 5,603.75 429.32 5.1204 5.1529 91.94%
338 6/25/2033 5,199.12 410.33 5.1204 5.1529 94.71%
339 7/25/2033 4,811.50 392.04 5.1204 5.1529 97.78%
340 8/25/2033 4,440.29 374.42 5.1204 5.1529 101.19%
341 9/25/2033 4,084.87 357.46 5.1204 5.1529 105.01%
342 10/25/2033 3,744.70 341.12 5.1204 5.1529 109.31%
343 11/25/2033 3,419.21 325.40 5.1204 5.1529 114.20%
344 12/25/2033 3,107.87 310.26 5.1204 5.1529 119.80%
345 1/25/2034 2,810.16 295.69 5.1204 5.1529 126.27%
346 2/25/2034 2,525.59 281.66 5.1204 5.1529 133.83%
347 3/25/2034 2,253.68 268.16 5.1204 5.1529 142.79%
348 4/25/2034 1,993.96 255.18 5.1204 5.1529 153.57%
349 5/25/2034 1,745.97 242.69 5.1204 5.1529 166.80%
350 6/25/2034 1,509.30 230.67 5.1204 5.1529 183.40%
351 7/25/2034 1,283.51 219.12 5.1204 5.1529 204.86%
352 8/25/2034 1,068.20 208.07 5.1204 5.1529 233.74%
353 9/25/2034 862.98 197.73 5.1204 5.1529 274.95%
354 10/25/2034 667.45 187.90 5.1204 5.1529 337.82%
355 11/25/2034 481.27 178.33 5.1204 5.1529 444.65%
356 12/25/2034 304.19 168.70 5.1204 5.1529 665.51%
357 1/25/2035 136.29 136.68 5.1204 5.1529 1203.43%
Total 62,880,255.56
5 CDR - 50% Loss Severity - 6m lag
Triggers Calculated
--------------------------------------------------------------------------------
100 PPC - Forward + 200
--------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 5/25/2005 986,656,897.84 3,565,244.23 3.0400 3.3900 4.34%
2 6/25/2005 963,263,676.95 852,125.29 5.1224 5.5063 1.06%
3 7/25/2005 940,364,242.73 786,287.10 5.2997 5.6312 1.00%
4 8/25/2005 917,940,931.67 557,249.72 5.4537 5.7295 0.73%
5 9/25/2005 895,977,473.83 478,944.06 5.5927 5.8183 0.64%
6 10/25/2005 874,458,783.96 507,859.72 5.6505 5.8882 0.70%
7 11/25/2005 853,371,099.20 0.00 5.7633 5.9510 0.00%
8 12/25/2005 828,512,262.42 0.00 5.8616 6.0060 0.00%
9 1/25/2006 804,180,598.74 0.00 5.8832 6.0539 0.00%
10 2/25/2006 780,363,218.07 0.00 5.9726 6.0966 0.00%
11 3/25/2006 757,048,438.77 0.00 6.0196 6.1339 0.00%
12 4/25/2006 734,225,604.84 0.00 6.0185 6.1696 0.00%
13 5/25/2006 711,885,279.91 0.00 6.0862 6.2056 0.00%
14 6/25/2006 690,029,711.89 0.00 6.1406 6.2384 0.00%
15 7/25/2006 668,840,336.65 0.00 6.1327 6.2676 0.00%
16 8/25/2006 648,297,831.38 0.00 6.1868 6.2976 0.00%
17 9/25/2006 628,383,281.64 0.00 6.2319 6.3256 0.00%
18 10/25/2006 609,078,279.29 0.00 6.2317 6.3483 0.00%
19 11/25/2006 590,364,992.44 0.00 6.2790 6.3668 0.00%
20 12/25/2006 572,226,114.25 0.00 6.3149 6.3823 0.00%
21 1/25/2007 554,644,798.67 0.00 6.3091 6.3960 0.00%
22 2/25/2007 537,603,986.51 0.00 6.3503 6.4075 0.00%
23 3/25/2007 521,147,974.35 0.00 6.3741 6.4172 0.00%
24 4/25/2007 505,195,897.41 0.00 6.3395 6.4263 0.00%
25 5/25/2007 489,732,302.36 0.00 6.3705 6.4380 0.00%
26 6/25/2007 474,742,210.61 0.00 6.3937 6.4491 0.00%
27 7/25/2007 460,211,103.73 0.00 6.3773 6.4587 0.00%
28 8/25/2007 446,124,955.27 0.00 6.4055 6.4713 0.00%
29 9/25/2007 432,497,369.74 0.00 6.4239 6.4830 0.00%
30 10/25/2007 419,286,202.25 0.00 6.4094 6.4926 0.00%
31 11/25/2007 406,478,710.22 0.00 6.4343 6.5031 0.00%
32 12/25/2007 394,062,541.79 0.00 6.4521 6.5123 0.00%
33 1/25/2008 382,025,723.80 0.00 6.4505 6.5214 0.00%
34 2/25/2008 370,356,703.13 0.00 6.4737 6.5302 0.00%
35 3/25/2008 359,067,856.56 0.00 6.4851 6.5387 0.00%
36 4/25/2008 348,123,192.87 0.00 6.4700 6.5478 0.00%
37 5/25/2008 337,512,202.87 0.00 6.4895 6.5588 0.00%
38 6/25/2008 327,224,698.89 0.00 6.5040 6.5701 0.00%
39 7/25/2008 317,250,805.01 0.00 6.5036 6.5809 0.00%
40 8/25/2008 307,580,975.30 0.00 6.5227 6.5941 0.00%
41 9/25/2008 298,220,879.99 0.00 6.5358 6.6069 0.00%
42 10/25/2008 289,145,670.18 0.00 6.5365 6.6174 0.00%
43 11/25/2008 280,346,661.89 0.00 6.5546 6.6275 0.00%
44 12/25/2008 271,815,436.40 0.00 6.5694 6.6367 0.00%
45 1/25/2009 263,543,832.20 0.00 6.5798 6.6455 0.00%
46 2/25/2009 255,523,957.21 0.00 6.5976 6.6439 0.00%
47 3/25/2009 247,758,938.60 0.00 6.6039 6.6406 0.00%
48 4/25/2009 240,229,900.40 0.00 6.5946 6.6394 0.00%
49 5/25/2009 232,929,660.01 0.00 6.6097 6.6412 0.00%
50 6/25/2009 225,851,253.94 0.00 6.6194 6.6476 0.00%
51 7/25/2009 218,987,931.16 0.00 6.5707 6.6549 0.00%
52 8/25/2009 212,333,157.99 0.00 6.5787 6.6737 0.00%
53 9/25/2009 205,884,682.90 0.00 6.5919 6.6936 0.00%
54 10/25/2009 199,632,014.53 0.00 6.6069 6.7120 0.00%
55 11/25/2009 193,569,198.44 0.00 6.6448 6.7310 0.00%
56 12/25/2009 187,690,461.69 0.00 6.6652 6.7399 0.00%
57 1/25/2010 181,990,151.54 0.00 6.6800 6.7465 0.00%
58 2/25/2010 176,462,660.33 0.00 6.6946 6.7522 0.00%
59 3/25/2010 171,084,627.83 0.00 6.7073 6.7579 0.00%
60 4/25/2010 165,870,253.39 0.00 6.7170 6.7644 0.00%
61 5/25/2010 160,814,553.83 0.00 6.6975 6.7704 0.00%
62 6/25/2010 155,912,697.93 0.00 6.7024 6.7841 0.00%
63 7/25/2010 151,160,001.83 0.00 6.7146 6.7989 0.00%
64 8/25/2010 146,551,996.20 0.00 6.7277 6.8144 0.00%
65 9/25/2010 142,085,315.66 0.00 6.7407 6.8300 0.00%
66 10/25/2010 137,754,514.48 0.00 6.7545 6.8439 0.00%
67 11/25/2010 133,555,457.50 0.00 6.7764 6.8588 0.00%
68 12/25/2010 129,484,135.61 0.00 6.7913 6.8679 0.00%
69 1/25/2011 125,536,661.91 0.00 6.8048 6.8760 0.00%
70 2/25/2011 121,709,303.38 0.00 6.8182 6.8834 0.00%
71 3/25/2011 117,999,147.39 0.00 6.8298 6.8910 0.00%
72 4/25/2011 114,401,828.54 0.00 6.8400 6.8993 0.00%
73 5/25/2011 110,913,914.51 0.00 6.8304 6.9065 0.00%
74 6/25/2011 107,532,077.57 0.00 6.8375 6.9163 0.00%
75 7/25/2011 104,253,091.37 0.00 6.8492 6.9259 0.00%
76 8/25/2011 101,073,841.59 0.00 6.8618 6.9361 0.00%
77 9/25/2011 97,991,688.53 0.00 6.8742 6.9460 0.00%
78 10/25/2011 95,003,260.75 0.00 6.8845 6.9549 0.00%
79 11/25/2011 92,105,708.41 0.00 6.8865 6.9644 0.00%
80 12/25/2011 89,296,268.44 18,090.42 6.8955 6.9700 0.24%
81 1/25/2012 86,572,261.90 92,568.21 6.9077 6.9752 1.28%
82 2/25/2012 83,931,095.84 228,281.63 6.9197 6.9796 3.26%
83 3/25/2012 81,370,483.32 256,024.89 6.9306 6.9843 3.78%
84 4/25/2012 78,887,733.18 218,301.16 6.9384 6.9894 3.32%
85 5/25/2012 76,480,478.71 226,271.43 6.9207 6.9941 3.55%
86 6/25/2012 74,146,425.19 205,645.16 6.9248 7.0041 3.33%
87 7/25/2012 71,883,347.76 211,455.60 6.9351 7.0145 3.53%
88 8/25/2012 69,689,089.61 55,732.99 6.9463 7.0257 0.96%
89 9/25/2012 67,561,681.26 40,884.38 6.9574 7.0368 0.73%
90 10/25/2012 65,498,965.44 51,707.03 6.9678 7.0462 0.95%
91 11/25/2012 63,498,976.27 39,518.84 6.9779 7.0567 0.75%
92 12/25/2012 61,559,807.68 49,605.29 6.9882 7.0623 0.97%
93 1/25/2013 59,679,611.56 37,570.72 6.9994 7.0673 0.76%
94 2/25/2013 57,856,596.45 39,685.32 7.0104 7.0715 0.82%
95 3/25/2013 56,089,087.20 67,814.05 7.0198 7.0760 1.45%
96 4/25/2013 54,375,333.04 37,365.59 7.0273 7.0814 0.82%
97 5/25/2013 52,713,700.82 46,745.55 7.0119 7.0864 1.06%
98 6/25/2013 51,102,607.06 37,670.36 7.0160 7.0994 0.88%
99 7/25/2013 49,540,516.42 45,300.99 7.0255 7.1136 1.10%
100 8/25/2013 48,025,940.54 36,375.50 7.0359 7.1286 0.91%
101 9/25/2013 46,557,483.58 36,640.15 7.0463 7.1436 0.94%
102 10/25/2013 45,133,695.43 43,316.08 7.0589 7.1570 1.15%
103 11/25/2013 43,753,219.25 35,161.90 7.0868 7.1711 0.96%
104 12/25/2013 42,414,739.43 41,308.92 7.1012 7.1776 1.17%
105 1/25/2014 41,116,980.37 33,619.69 7.1123 7.1829 0.98%
106 2/25/2014 39,858,705.48 34,885.38 7.1231 7.1874 1.05%
107 3/25/2014 38,638,750.54 53,114.99 7.1321 7.1922 1.65%
108 4/25/2014 37,455,915.41 32,169.26 7.1398 7.1979 1.03%
109 5/25/2014 36,309,072.72 38,570.61 7.1261 7.2028 1.27%
110 6/25/2014 35,197,129.35 31,431.97 7.1306 7.2131 1.07%
111 7/25/2014 34,119,025.38 37,390.61 7.1400 7.2239 1.32%
112 8/25/2014 33,073,733.22 30,820.29 7.1503 7.2354 1.12%
113 9/25/2014 32,060,280.06 30,454.38 7.1605 7.2468 1.14%
114 10/25/2014 31,077,674.52 35,844.85 7.1707 7.2565 1.38%
115 11/25/2014 30,124,979.84 29,706.97 7.1850 7.2666 1.18%
116 12/25/2014 29,201,287.73 34,747.61 7.1957 7.2663 1.43%
117 1/25/2015 28,305,717.47 29,129.86 7.2062 7.2640 1.23%
118 2/25/2015 27,437,559.15 28,958.00 7.2164 7.2608 1.27%
119 3/25/2015 26,595,844.31 43,144.82 7.2247 7.2577 1.95%
120 4/25/2015 25,779,759.11 28,677.82 7.2275 7.2560 1.33%
121 5/25/2015 24,988,525.26 33,809.55 7.1849 7.2533 1.62%
122 6/25/2015 24,221,388.12 29,399.14 7.1811 7.2581 1.46%
123 7/25/2015 23,477,615.97 33,319.77 7.1891 7.2640 1.70%
124 8/25/2015 22,756,499.29 29,065.84 7.1983 7.2705 1.53%
125 9/25/2015 22,057,353.56 28,903.44 7.2072 7.2768 1.57%
126 10/25/2015 21,379,508.06 32,440.00 7.2139 7.2820 1.82%
127 11/25/2015 20,722,315.98 28,801.95 7.2116 7.2887 1.67%
128 12/25/2015 20,085,150.12 32,090.14 7.2171 7.2959 1.92%
129 1/25/2016 19,467,402.35 28,597.24 7.2260 7.3042 1.76%
130 2/25/2016 18,868,483.03 28,577.02 7.2347 7.3117 1.82%
131 3/25/2016 18,287,832.74 34,475.63 7.2424 7.3197 2.26%
132 4/25/2016 17,724,883.92 28,405.46 7.2510 7.3283 1.92%
133 5/25/2016 17,179,098.99 31,125.17 7.2557 7.3360 2.17%
134 6/25/2016 16,649,956.70 28,307.19 7.2638 7.3461 2.04%
135 7/25/2016 16,136,951.61 30,785.40 7.2718 7.3558 2.29%
136 8/25/2016 15,639,593.66 28,290.15 7.2807 7.3664 2.17%
137 9/25/2016 15,157,421.28 28,243.37 7.2894 7.3767 2.24%
138 10/25/2016 14,689,959.18 30,423.16 7.2985 7.3854 2.49%
139 11/25/2016 14,236,760.57 28,121.84 7.3132 7.3942 2.37%
140 12/25/2016 13,797,392.22 30,129.80 7.3229 7.3913 2.62%
141 1/25/2017 13,371,434.05 28,092.21 7.3319 7.3861 2.52%
142 2/25/2017 12,958,478.73 28,101.24 7.3407 7.3799 2.60%
143 3/25/2017 12,558,132.43 33,409.16 7.3475 7.3738 3.19%
144 4/25/2017 12,170,010.93 28,184.97 7.3480 7.3694 2.78%
145 5/25/2017 11,793,742.85 30,131.17 7.2978 7.3641 3.07%
146 6/25/2017 11,428,968.07 28,637.82 7.2912 7.3687 3.01%
147 7/25/2017 11,075,337.43 30,089.20 7.2977 7.3748 3.26%
148 8/25/2017 10,732,512.31 28,689.04 7.3056 7.3817 3.21%
149 9/25/2017 10,400,164.55 28,717.69 7.3132 7.3884 3.31%
150 10/25/2017 10,077,975.64 29,961.75 7.3195 7.3934 3.57%
151 11/25/2017 9,765,636.87 28,843.96 7.3229 7.3996 3.54%
152 12/25/2017 9,462,848.91 30,013.79 7.3288 7.4006 3.81%
153 1/25/2018 9,169,321.49 29,042.16 7.3366 7.4012 3.80%
154 2/25/2018 8,884,773.17 29,146.69 7.3441 7.4009 3.94%
155 3/25/2018 8,608,932.14 31,872.75 7.3499 7.4008 4.44%
156 4/25/2018 8,341,532.58 29,367.37 7.3536 7.4021 4.22%
157 5/25/2018 8,082,317.88 30,309.80 7.3306 7.4028 4.50%
158 6/25/2018 7,831,039.21 29,680.63 7.3304 7.4118 4.55%
159 7/25/2018 7,587,455.29 30,422.49 7.3365 7.4218 4.81%
160 8/25/2018 7,351,332.16 29,894.95 7.3438 7.4328 4.88%
161 9/25/2018 7,122,444.38 30,001.94 7.3508 7.4436 5.05%
162 10/25/2018 6,900,570.44 30,595.23 7.3596 7.4528 5.32%
163 11/25/2018 6,685,497.06 30,209.62 7.3814 7.4626 5.42%
164 12/25/2018 6,477,017.37 30,706.25 7.3916 7.4638 5.69%
165 1/25/2019 6,274,930.82 30,441.65 7.3992 7.4637 5.82%
166 2/25/2019 6,079,042.92 30,564.89 7.4064 7.4626 6.03%
167 3/25/2019 5,889,166.13 31,437.62 7.4119 7.4618 6.41%
168 4/25/2019 5,705,116.47 30,943.38 7.4151 7.4625 6.51%
169 5/25/2019 5,526,716.64 31,343.16 7.3900 7.4611 6.81%
170 6/25/2019 5,353,794.69 31,417.17 7.3891 7.4603 7.04%
171 7/25/2019 5,186,183.91 31,699.28 7.3950 7.4586 7.33%
172 8/25/2019 5,023,722.50 98,878.16 7.4019 7.4577 23.62%
173 9/25/2019 4,866,253.46 184,238.05 7.4084 7.4562 45.43%
174 10/25/2019 4,713,541.22 178,618.26 7.4093 7.4538 45.47%
175 11/25/2019 4,565,442.91 174,232.84 7.3835 7.4518 45.80%
176 12/25/2019 4,420,755.01 168,547.81 7.3813 7.4441 45.75%
177 1/25/2020 4,280,802.04 953,083.75 7.3874 7.4354 267.17%
178 2/25/2020 3,355,392.33 131,768.56 7.3936 7.4260 47.12%
179 3/25/2020 3,246,096.65 125,961.84 7.3984 7.4165 46.56%
180 4/25/2020 3,141,864.89 121,971.34 7.3955 7.4083 46.59%
181 5/25/2020 3,040,912.86 118,105.67 7.3395 7.3991 46.61%
182 6/25/2020 2,943,138.53 114,360.95 7.3297 7.3960 46.63%
183 7/25/2020 2,848,442.97 110,733.44 7.3338 7.3934 46.65%
184 8/25/2020 2,756,730.35 107,216.32 7.3392 7.3916 46.67%
185 9/25/2020 2,667,906.98 103,812.46 7.3442 7.3892 46.69%
186 10/25/2020 2,581,883.72 100,515.20 7.3440 7.3855 46.72%
187 11/25/2020 2,498,573.33 97,321.23 7.3193 7.3830 46.74%
188 12/25/2020 2,417,891.31 94,227.33 7.3163 7.3765 46.77%
189 1/25/2021 2,339,755.75 91,230.40 7.3210 7.3697 46.79%
190 2/25/2021 2,264,087.27 88,324.44 7.3257 7.3620 46.81%
191 3/25/2021 2,190,808.17 85,512.56 7.3287 7.3545 46.84%
192 4/25/2021 2,119,844.77 82,788.88 7.3269 7.3487 46.87%
193 5/25/2021 2,051,124.84 80,150.64 7.2829 7.3422 46.89%
194 6/25/2021 1,984,578.39 77,595.20 7.2752 7.3457 46.92%
195 7/25/2021 1,920,137.62 75,119.97 7.2783 7.3507 46.95%
196 8/25/2021 1,857,736.79 72,721.51 7.2826 7.3566 46.97%
197 9/25/2021 1,797,311.97 70,399.33 7.2866 7.3622 47.00%
198 10/25/2021 1,738,801.72 68,150.11 7.2911 7.3664 47.03%
199 11/25/2021 1,682,146.25 65,971.56 7.3015 7.3713 47.06%
200 12/25/2021 1,627,287.61 63,861.50 7.3065 7.3697 47.09%
201 1/25/2022 1,574,169.66 61,817.80 7.3110 7.3672 47.12%
202 2/25/2022 1,522,738.00 59,839.41 7.3150 7.3639 47.16%
203 3/25/2022 1,472,940.19 57,922.24 7.3176 7.3609 47.19%
204 4/25/2022 1,424,724.84 56,065.41 7.3182 7.3593 47.22%
205 5/25/2022 1,378,042.45 54,267.04 7.2936 7.3570 47.26%
206 6/25/2022 1,332,845.04 52,525.30 7.2906 7.3633 47.29%
207 7/25/2022 1,289,086.15 50,838.44 7.2935 7.3705 47.33%
208 8/25/2022 1,246,720.73 49,205.50 7.2975 7.3788 47.36%
209 9/25/2022 1,205,705.39 47,623.28 7.3012 7.3867 47.40%
210 10/25/2022 1,165,997.58 46,090.96 7.3072 7.3932 47.44%
211 11/25/2022 1,127,556.35 44,606.98 7.3280 7.4004 47.47%
212 12/25/2022 1,090,341.99 43,169.82 7.3355 7.3999 47.51%
213 1/25/2023 1,054,316.03 41,778.04 7.3398 7.3983 47.55%
214 2/25/2023 1,019,441.20 40,430.82 7.3437 7.3959 47.59%
215 3/25/2023 985,681.59 39,125.56 7.3461 7.3937 47.63%
216 4/25/2023 953,001.99 37,861.56 7.3473 7.3930 47.67%
217 5/25/2023 921,368.50 36,637.51 7.3266 7.3909 47.72%
218 6/25/2023 890,748.27 35,452.18 7.3246 7.3927 47.76%
219 7/25/2023 861,109.47 34,304.35 7.3274 7.3945 47.80%
220 8/25/2023 832,421.25 33,192.89 7.3313 7.3971 47.85%
221 9/25/2023 804,653.74 32,116.59 7.3349 7.3993 47.90%
222 10/25/2023 777,777.98 31,074.39 7.3371 7.4006 47.94%
223 11/25/2023 751,765.92 30,065.22 7.3354 7.4030 47.99%
224 12/25/2023 726,590.38 29,088.04 7.3370 7.4030 48.04%
225 1/25/2024 702,225.02 28,141.87 7.3408 7.4034 48.09%
226 2/25/2024 678,644.32 27,225.83 7.3443 7.4030 48.14%
227 3/25/2024 655,823.61 26,338.76 7.3468 7.4030 48.19%
228 4/25/2024 633,738.90 25,479.87 7.3488 7.4037 48.25%
229 5/25/2024 612,366.97 24,648.27 7.3375 7.4033 48.30%
230 6/25/2024 591,685.34 23,843.11 7.3376 7.4046 48.36%
231 7/25/2024 571,672.24 23,063.56 7.3403 7.4052 48.41%
232 8/25/2024 552,306.55 22,308.92 7.3440 7.4066 48.47%
233 9/25/2024 533,567.84 21,578.30 7.3472 7.4077 48.53%
234 10/25/2024 515,436.28 20,870.94 7.3486 7.4073 48.59%
235 11/25/2024 497,892.70 20,186.12 7.3428 7.4071 48.65%
236 12/25/2024 480,918.50 19,523.12 7.3433 7.3967 48.71%
237 1/25/2025 464,495.69 18,861.89 7.3467 7.3843 48.73%
238 2/25/2025 448,626.19 18,226.67 7.3499 7.3711 48.75%
239 3/25/2025 433,286.89 17,626.72 7.3514 7.3578 48.82%
240 4/25/2025 418,446.71 17,045.93 7.3456 7.3468 48.88%
241 5/25/2025 404,089.84 16,483.71 7.2833 7.3342 48.95%
242 6/25/2025 390,200.95 15,939.46 7.2699 7.3294 49.02%
243 7/25/2025 376,765.20 15,412.63 7.2713 7.3256 49.09%
244 8/25/2025 363,768.22 14,901.29 7.2741 7.3225 49.16%
245 9/25/2025 351,195.52 14,407.69 7.2764 7.3190 49.23%
246 10/25/2025 339,034.19 13,929.91 7.2745 7.3142 49.30%
247 11/25/2025 327,271.16 13,467.45 7.2533 7.3102 49.38%
248 12/25/2025 315,893.77 13,019.84 7.2492 7.3000 49.46%
249 1/25/2026 304,889.75 12,586.60 7.2515 7.2888 49.54%
250 2/25/2026 294,247.20 12,166.16 7.2536 7.2768 49.62%
251 3/25/2026 283,954.15 11,760.35 7.2542 7.2649 49.70%
252 4/25/2026 273,999.95 11,367.59 7.2488 7.2550 49.79%
253 5/25/2026 264,373.79 10,987.47 7.1949 7.2441 49.87%
254 6/25/2026 255,065.21 10,619.60 7.1829 7.2424 49.96%
255 7/25/2026 246,064.06 10,263.59 7.1835 7.2421 50.05%
256 8/25/2026 237,360.53 9,918.41 7.1854 7.2426 50.14%
257 9/25/2026 228,944.82 9,585.02 7.1868 7.2428 50.24%
258 10/25/2026 220,808.01 9,262.40 7.1870 7.2417 50.34%
259 11/25/2026 212,941.19 8,950.21 7.1833 7.2412 50.44%
260 12/25/2026 205,335.72 8,648.12 7.1830 7.2340 50.54%
261 1/25/2027 197,983.20 8,355.82 7.1847 7.2257 50.65%
262 2/25/2027 190,875.55 8,072.58 7.1861 7.2167 50.75%
263 3/25/2027 184,004.71 7,798.93 7.1862 7.2078 50.86%
264 4/25/2027 177,363.27 7,534.15 7.1823 7.2007 50.97%
265 5/25/2027 170,943.87 7,277.66 7.1425 7.1921 51.09%
266 6/25/2027 164,739.68 7,029.82 7.1337 7.1888 51.21%
267 7/25/2027 158,743.46 6,790.05 7.1339 7.1859 51.33%
268 8/25/2027 152,948.50 6,557.68 7.1352 7.1838 51.45%
269 9/25/2027 147,348.14 6,333.29 7.1361 7.1812 51.58%
270 10/25/2027 141,936.30 6,116.20 7.1344 7.1778 51.71%
271 11/25/2027 136,706.89 5,906.21 7.1213 7.1757 51.84%
272 12/25/2027 131,654.03 5,703.07 7.1183 7.1733 51.98%
273 1/25/2028 126,772.01 5,506.58 7.1193 7.1716 52.12%
274 2/25/2028 122,055.31 5,316.38 7.1202 7.1692 52.27%
275 3/25/2028 117,498.50 5,132.54 7.1202 7.1671 52.42%
276 4/25/2028 113,096.47 4,954.74 7.1199 7.1659 52.57%
277 5/25/2028 108,844.22 4,782.77 7.1087 7.1641 52.73%
278 6/25/2028 104,736.88 4,616.45 7.1069 7.1671 52.89%
279 7/25/2028 100,769.74 4,455.59 7.1071 7.1703 53.06%
280 8/25/2028 96,938.25 4,300.07 7.1082 7.1744 53.23%
281 9/25/2028 93,238.01 4,149.64 7.1090 7.1781 53.41%
282 10/25/2028 89,664.74 4,004.17 7.1113 7.1806 53.59%
283 11/25/2028 86,214.29 3,863.50 7.1244 7.1836 53.78%
284 12/25/2028 82,882.65 3,727.49 7.1278 7.1793 53.97%
285 1/25/2029 79,665.96 3,595.97 7.1291 7.1738 54.17%
286 2/25/2029 76,560.44 3,468.77 7.1299 7.1676 54.37%
287 3/25/2029 73,562.45 3,345.82 7.1295 7.1615 54.58%
288 4/25/2029 70,668.49 3,226.96 7.1271 7.1571 54.80%
289 5/25/2029 67,875.14 3,112.05 7.1003 7.1519 55.02%
290 6/25/2029 65,179.11 3,000.96 7.0945 7.1550 55.25%
291 7/25/2029 62,577.19 2,893.58 7.0944 7.1592 55.49%
292 8/25/2029 60,066.31 2,789.76 7.0953 7.1642 55.73%
293 9/25/2029 57,643.44 2,689.42 7.0960 7.1689 55.99%
294 10/25/2029 55,305.70 2,592.44 7.0989 7.1724 56.25%
295 11/25/2029 53,050.28 2,498.70 7.1166 7.1764 56.52%
296 12/25/2029 50,874.47 2,408.11 7.1209 7.1727 56.80%
297 1/25/2030 48,775.63 2,320.56 7.1221 7.1678 57.09%
298 2/25/2030 46,751.22 2,235.94 7.1229 7.1622 57.39%
299 3/25/2030 44,798.76 2,154.18 7.1223 7.1568 57.70%
300 4/25/2030 42,915.87 2,075.18 7.1204 7.1529 58.03%
301 5/25/2030 41,100.25 1,998.84 7.1204 7.1529 58.36%
302 6/25/2030 39,349.65 1,925.09 7.1204 7.1529 58.71%
303 7/25/2030 37,661.92 1,853.83 7.1204 7.1529 59.07%
304 8/25/2030 36,034.95 1,784.96 7.1204 7.1529 59.44%
305 9/25/2030 34,466.70 1,718.45 7.1204 7.1529 59.83%
306 10/25/2030 32,955.22 1,654.21 7.1204 7.1529 60.23%
307 11/25/2030 31,498.63 1,592.15 7.1204 7.1529 60.66%
308 12/25/2030 30,095.06 1,532.21 7.1204 7.1529 61.09%
309 1/25/2031 28,742.76 1,474.32 7.1204 7.1529 61.55%
310 2/25/2031 27,439.98 1,418.41 7.1204 7.1529 62.03%
311 3/25/2031 26,185.08 1,364.42 7.1204 7.1529 62.53%
312 4/25/2031 24,976.43 1,312.28 7.1204 7.1529 63.05%
313 5/25/2031 23,812.47 1,261.93 7.1204 7.1529 63.59%
314 6/25/2031 22,691.69 1,213.32 7.1204 7.1529 64.16%
315 7/25/2031 21,612.63 1,166.39 7.1204 7.1529 64.76%
316 8/25/2031 20,573.87 1,121.08 7.1204 7.1529 65.39%
317 9/25/2031 19,574.06 1,077.34 7.1204 7.1529 66.05%
318 10/25/2031 18,611.85 1,035.12 7.1204 7.1529 66.74%
319 11/25/2031 17,685.98 994.37 7.1204 7.1529 67.47%
320 12/25/2031 16,795.19 955.04 7.1204 7.1529 68.24%
321 1/25/2032 15,938.30 917.09 7.1204 7.1529 69.05%
322 2/25/2032 15,114.13 880.46 7.1204 7.1529 69.90%
323 3/25/2032 14,321.57 845.11 7.1204 7.1529 70.81%
324 4/25/2032 13,559.54 811.01 7.1204 7.1529 71.77%
325 5/25/2032 12,826.97 778.11 7.1204 7.1529 72.79%
326 6/25/2032 12,122.86 746.37 7.1204 7.1529 73.88%
327 7/25/2032 11,446.22 715.75 7.1204 7.1529 75.04%
328 8/25/2032 10,796.09 686.22 7.1204 7.1529 76.27%
329 9/25/2032 10,171.57 657.74 7.1204 7.1529 77.60%
330 10/25/2032 9,571.75 630.27 7.1204 7.1529 79.02%
331 11/25/2032 8,995.78 603.79 7.1204 7.1529 80.54%
332 12/25/2032 8,442.83 578.25 7.1204 7.1529 82.19%
333 1/25/2033 7,912.09 553.63 7.1204 7.1529 83.97%
334 2/25/2033 7,402.78 529.90 7.1204 7.1529 85.90%
335 3/25/2033 6,914.15 507.02 7.1204 7.1529 88.00%
336 4/25/2033 6,445.47 484.97 7.1204 7.1529 90.29%
337 5/25/2033 5,996.03 463.72 7.1204 7.1529 92.81%
338 6/25/2033 5,565.16 443.24 7.1204 7.1529 95.57%
339 7/25/2033 5,152.20 423.51 7.1204 7.1529 98.64%
340 8/25/2033 4,756.51 404.50 7.1204 7.1529 102.05%
341 9/25/2033 4,377.48 386.19 7.1204 7.1529 105.87%
342 10/25/2033 4,014.50 368.56 7.1204 7.1529 110.17%
343 11/25/2033 3,667.01 351.57 7.1204 7.1529 115.05%
344 12/25/2033 3,334.45 335.22 7.1204 7.1529 120.64%
345 1/25/2034 3,016.28 319.47 7.1204 7.1529 127.10%
346 2/25/2034 2,711.98 304.31 7.1204 7.1529 134.65%
347 3/25/2034 2,421.05 289.72 7.1204 7.1529 143.60%
348 4/25/2034 2,143.00 275.67 7.1204 7.1529 154.36%
349 5/25/2034 1,877.37 262.16 7.1204 7.1529 167.57%
350 6/25/2034 1,623.70 249.15 7.1204 7.1529 184.14%
351 7/25/2034 1,381.56 236.65 7.1204 7.1529 205.55%
352 8/25/2034 1,150.51 224.68 7.1204 7.1529 234.34%
353 9/25/2034 930.14 213.46 7.1204 7.1529 275.39%
354 10/25/2034 720.06 202.81 7.1204 7.1529 337.99%
355 11/25/2034 519.88 192.43 7.1204 7.1529 444.17%
356 12/25/2034 329.36 182.02 7.1204 7.1529 663.18%
357 1/25/2035 148.58 149.17 7.1204 7.1529 1204.77%
Total 16,812,217.12
The information herein has been prepared solely for informational purposes and
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to buy or sell any security or instrument or to engage in a transaction would be
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FRM 50% PPC
ARM 150% PPC
------------------------
Period M-5 cashcap
------------------------
0 --
1 13.07
2 9.18
3 9.40
4 9.21
5 9.22
6 9.44
7 9.24
8 9.46
9 9.26
10 9.28
11 9.96
12 9.30
13 9.52
14 9.32
15 9.55
16 9.35
17 9.36
18 9.59
19 9.39
20 9.61
21 9.41
22 9.42
23 10.23
24 9.42
25 9.67
26 9.42
27 9.67
28 9.60
29 9.59
30 9.85
31 9.58
32 9.84
33 9.57
34 9.65
35 10.22
36 9.61
37 9.88
38 9.58
39 9.84
40 9.42
41 9.37
42 9.62
43 9.29
44 9.55
45 9.22
46 9.17
47 10.12
48 9.11
49 9.38
50 9.05
51 9.32
52 9.23
53 9.20
54 9.47
55 9.13
56 9.40
57 9.07
58 9.13
59 10.07
60 9.06
61 9.33
62 8.99
63 9.26
64 8.95
65 8.91
66 9.18
67 8.85
68 9.11
69 8.79
70 8.77
71 9.68
72 8.71
73 8.97
74 8.66
75 8.92
76 8.61
77 8.58
78 8.84
79 8.53
80 8.79
81 8.48
82 8.46
83 9.01
84 8.41
85 8.67
86 8.36
87 8.62
88 8.32
89 8.30
90 8.56
91 8.26
92 8.52
93 8.22
94 8.20
95 9.06
96 8.17
97 8.42
98 8.14
99 8.39
100 8.11
101 8.09
102 8.35
103 8.06
104 8.32
105 8.03
106 8.02
107 8.87
108 8.00
109 8.25
110 7.97
111 8.23
112 7.95
113 7.94
114 8.20
115 7.92
116 8.18
117 7.90
118 7.89
119 8.73
120 7.88
121 8.13
122 7.86
123 8.11
124 7.85
125 7.84
126 8.09
127 7.83
128 8.08
129 7.81
130 7.81
131 8.34
132 7.80
133 8.05
134 7.79
135 8.04
136 7.78
137 7.77
138 8.03
139 7.76
140 8.02
141 7.76
142 7.75
143 8.58
144 7.74
145 8.00
146 7.74
147 7.99
148 7.73
149 7.73
150 7.98
151 7.72
152 7.98
153 7.72
154 7.72
155 8.54
156 7.71
157 7.97
158 7.71
159 7.96
160 7.71
161 7.70
162 7.96
163 7.70
164 7.96
165 7.70
166 7.70
167 8.52
168 7.70
169 7.95
170 7.70
171 7.95
172 7.69
173 7.69
174 7.95
175 7.69
176 7.95
177 7.69
178 --
179 --
180 --
181 --
182 --
183 --
184 --
185 --
186 --
187 --
188 --
189 --
190 --
191 --
192 --
193 --
194 --
195 --
196 --
197 --
198 --
199 --
200 --
201 --
202 --
203 --
204 --
205 --
206 --
207 --
208 --
209 --
210 --
211 --
212 --
213 --
214 --
215 --
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