EXHIBIT 99.1
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Xxxxxx Xxxxxxx December 7, 2004
Securitized Products Group [Xxxxxx Xxxxxxx Logo]
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Computational Materials
$777,004,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2004-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
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shall be deemed superseded and replaced in its entirety by such offering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 December 7, 2004
Securitized Products Group [Xxxxxx Xxxxxxx Logo]
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Approximately $777,004,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2004-WMC3
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Countrywide Home Loans Inc.
Servicer
Transaction Highlights
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Modified
Avg Life to Duration To
Offered Expected Ratings Call / Call /
Classes Description Balance (4) (S&P / Fitch / Moody's) Mty (1) (2) Mty (1)(2)(3)
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A-1ss Not Offered 323,051,000 AAA/AAA/Aaa 2.50 / 2.75
A-1mz Floater 80,763,000 AAA/AAA/Aaa 2.50 / 2.75 2.36 / 2.55
A-2pt Floater 200,000,000 AAA/AAA/Aaa 2.40 / 2.58 2.27 / 2.42
A-2a Floater 133,010,000 AAA/AAA/Aaa 0.70 / 0.70 0.69 / 0.69
A-2b Floater 150,000,000 AAA/AAA/Aaa 3.01 / 3.01 2.88 / 2.88
A-2c Floater 28,000,000 AAA/AAA/Aaa 7.19 / 9.27 6.53 / 8.12
M-1 Floater 36,253,000 AA+/AA+/Aa1 5.00 / 5.54 4.63 / 5.05
M-2 Floater 35,120,000 AA/AA/Aa2 4.96 / 5.47 4.59 / 4.99
M-3 Floater 21,525,000 AA-/AA-/Aa3 4.93 / 5.43 4.56 / 4.94
M-4 Floater 19,259,000 A+/A+/A1 4.91 / 5.38 4.49 / 4.85
M-5 Floater 18,127,000 A/A/A2 4.91 / 5.35 4.48 / 4.82
M-6 Floater 16,994,000 A-/A-/A3 4.89 / 5.29 4.44 / 4.75
B-1 Floater 14,728,000 BBB+/BBB+/Baa1 4.89 / 5.23 4.38 / 4.63
B-2 Floater 11,896,000 BBB/BBB/Baa2 4.88 / 5.15 4.35 / 4.55
B-3 Floater 11,329,000 BBB-/BBB-/Baa3 4.87 / 5.03 4.20 / 4.31
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Offered Payment Window To Call / Initial
Classes Mty (1) (2) Subordination Level Benchmark
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A-1ss ***Not Offered*** 19.25% 1 Mo. LIBOR
A-1mz 01/05 - 03/12 / 01/05 - 08/20 19.25% 1 Mo. LIBOR
A-2pt 01/05 - 03/12 / 01/05 - 10/19 19.25% 1 Mo. LIBOR
A-2a 01/05 - 05/06 / 01/05 - 05/06 19.25% 1 Mo. LIBOR
A-2b 05/06 - 07/11 / 05/06 - 07/11 19.25% 1 Mo. LIBOR
A-2c 07/11 - 03/12 / 07/11 - 10/19 19.25% 1 Mo. LIBOR
M-1 06/08 - 03/12 / 06/08 - 06/18 16.05% 1 Mo. LIBOR
M-2 04/08 - 03/12 / 04/08 - 12/17 12.95% 1 Mo. LIBOR
M-3 04/08 - 03/12 / 04/08 - 04/17 11.05% 1 Mo. LIBOR
M-4 03/08 - 03/12 / 03/08 - 10/16 9.35% 1 Mo. LIBOR
M-5 02/08 - 03/12 / 02/08 - 04/16 7.75% 1 Mo. LIBOR
M-6 02/08 - 03/12 / 02/08 - 09/15 6.25% 1 Mo. LIBOR
B-1 02/08 - 03/12 / 02/08 - 01/15 4.95% 1 Mo. LIBOR
B-2 01/08 - 03/12 / 01/08 - 05/14 3.90% 1 Mo. LIBOR
B-3 01/08 - 03/12 / 01/08 - 08/13 2.90% 1 Mo. LIBOR
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Notes: (1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2004-WMC3.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originator: WMC Mortgage Corp.
Servicer: Countrywide Home Loans Inc.
Trustee: [Xxxxx Fargo Bank Minnesota, N.A.]
Managers: Xxxxxx Xxxxxxx (lead manager), Countrywide Securities Corp. and
Xxxxxxxx Capital Partners, L.P.
Rating Agencies: Standard & Poor's, Fitch Ratings and Xxxxx'x Investors Service.
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The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
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Page 3
Offered Certificates: The Class A-1mz, A-2pt, A-2a, A-2b, A-2c, M-1, M-2, M-3, M-4, M-5, M-6, B-1, B-2 and B-3 Certificates.
Class A Certificates: The Class A-1ss, A-1mz, A-2pt, A-2a, A-2b and A-2c Certificates.
Group I Class A The Class A-1ss and Class A-1mz Certificates.
Certificates:
Group II Class A The Class A-2pt, Class A-2a, Class A-2b and Class A-2c Certificates.
Certificates:
Group II Class A The Class A-2a, Class A-2b and Class A-2c Certificates.
Sequential
Certificates:
Class A Certificate The Group I Class A Certificates and Group II Class A Certificates, as
Group: applicable.
Expected Closing December 21, 2004 through DTC and Euroclear or Clearstream. The Certificates will be sold without accrued
Date: interest.
Cut-off Date: December 1, 2004
Distribution Dates: The 25th of each month, or if such day is not a business day, on the next business day, beginning
January 25, 2005.
Final Scheduled For all Offered Certificates, the Distribution Date occurring in January 2035.
Distribution Date:
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 The interest accrual period for the Offered Certificates with respect to any Distribution Date will be the
Period: period beginning with the previous Distribution Date (or, in the case of the first Distribution Date, the
Closing Date) and ending on the day prior to the current Distribution Date (on an actual/360 day count basis).
Mortgage Loans: The Trust will consist of two groups of adjustable and fixed rate sub-prime residential, first-lien and
second-lien mortgage loans.
Group I Mortgage Approximately $500.1 million of Mortgage Loans with original principal balances that conform to the original
Loans: principal balance limits for one- to four-family residential mortgage loan guidelines for purchase by Xxxxxx
Xxx.
Group II Mortgage Approximately $632.8 million of Mortgage Loans that predominantly have
Loans: 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.
Pricing Prepayment 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) 2.90% 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 5.80% of the aggregate principal balance of
the Mortgage Loans as of the last day of the applicable Due Period, subject to a 0.50% floor, based on the
aggregate principal balance of the Mortgage Loans as of the cut-off date, and
3) Subordination of distributions on the more subordinate classes of certificates (if applicable) to the
required distributions on the more senior classes of certificates.
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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
Senior Enhancement For any Distribution Date, the percentage obtained by dividing (x) the aggregate Certificate Principal Balance
Percentage: 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 January 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 38.50%.
Trigger Event: Either a Delinquency Trigger Event or a Cumulative Loss Trigger Event.
Delinquency Trigger A Delinquency Trigger Event is in effect on any Distribution Date if on that Distribution Date the 60 Day+
Event: Rolling Average equals or exceeds [40%] of the prior period's Senior Enhancement Percentage. The 60 Day+
Rolling Average will equal the rolling 3 month average percentage of Mortgage Loans that are 60 or more days
delinquent.
Cumulative Loss A Cumulative Loss Trigger Event is in effect on any Distribution Date if the aggregate amount of Realized
Trigger Event: Losses incurred since the cut-off date through the last day of the related Prepayment Period divided by the
aggregate Stated Principal Balance of the mortgage loans as of the cut-off date exceeds the applicable
percentages described below with respect to such distribution date:
Months 37- 48 [3.00] for the first month, plus an additional 1/12th of [1.75] for each
month thereafter (e.g., [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., [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., [6.375] in Month 67)
Months 73- thereafter [6.75]
Sequential Trigger A Sequential Trigger Event is in effect on any Distribution Date if, before the 37th Distribution Date, the
Event: 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.
Initial Class A: 19.25%
Subordination Class M-1: 16.05%
Percentage: Class M-2: 12.95%
Class M-3: 11.05%
Class M-4: 9.35%
Class M-5: 7.75%
Class M-6: 6.25%
Class B-1: 4.95%
Class B-2: 3.90%
Class B-3: 2.90%
Optional Clean-up When the current aggregate principal balance of the Mortgage Loans is less than or equal to 10% of the
Call: aggregate principal balance of the Mortgage Loans as of the cut-off date.
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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
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 The Class A-1ss and A-1mz Certificates will accrue interest at a variable rate equal to the least of
Certificates (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional
Pass-Through Rate: Clean-up Call is exercisable), (ii) the Loan Group I Cap and (iii) the WAC Cap.
Group II Class A The Class A-2pt, A-2a, A-2b and A-2c Certificates will accrue interest at a variable rate equal to the
Certificates least of (i) one-month LIBOR plus [] bps ([] bps after the first distribution date on which the Optional
Pass-Through Rate: Clean-up Call is exercisable), (ii) the Loan Group II Cap and (iii) the WAC Cap.
Class M-1 The Class M-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month
Pass-Through Rate: 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 The Class M-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month
Pass-Through Rate: 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 The Class M-3 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month
Pass-Through Rate: 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 The Class M-4 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month
Pass-Through Rate: 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 The Class M-5 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR
Pass-Through Rate: 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 The Class M-6 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR
Pass-Through Rate: 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 The Class B-1 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR
Pass-Through Rate: 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 The Class B-2 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR
Pass-Through Rate: 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 The Class B-3 Certificates will accrue interest at a variable rate equal to the lesser of (i) one-month LIBOR
Pass-Through Rate: plus [] bps ([] bps after the first distribution date on which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
WAC Cap: For any distribution date, the weighted average of the mortgage rates for each mortgage loan (in each
case, less the applicable Expense Fee Rate) then in effect on the beginning of the related Due Period,
adjusted, in each case, to accrue on the basis of a 360-day year and the actual number of days in the related
Interest Accrual Period.
Loan Group I Cap: For any distribution date, the 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, 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.
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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.
================================================================================
Page 6
Group I Class A As to any Distribution Date, the supplemental interest amount for the Group I Class A Certificates
Basis Risk Carry will equal the sum of:
Forward Amount:
(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 As to any Distribution Date, the supplemental interest amount for each of the Group II Class A Certificates
Basis Risk Carry will equal the sum of:
Forward Amount:
(i) The excess, if any, of interest that would otherwise be due on such Certificates at the Group II Class A
Certificates Pass-Through Rates (without regard to the Loan Group II Cap or WAC Cap) over interest due
such Certificates at a rate equal to the lesser of the Loan Group II Cap or WAC Cap;
(ii) Any 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 interest amount for each of the Class M-1, M-2, M-3, M-4, M-5,
M-4, M-5, M-6, B-1, M-6, B-1, B-2 and B-3 Certificates will equal the sum of:
B-2 and B-3
Basis Risk (i) The excess, if any, of interest that would otherwise be due on such Certificates at such Certificates'
Carry Forward applicable Pass-Through Rate (without regard to the WAC Cap) over interest due such Certificates at a
Amounts: rate equal to the WAC Cap;
(ii) Any Basis Risk Carry Forward Amount for such class remaining unpaid for such Certificate from prior
Distribution Dates; and
(iii) Interest on the amount in clause (ii) at the Certificates' applicable Pass-Through Rate (without regard
to the WAC Cap).
Interest On each Distribution Date and after payments of servicing and trustee fees and other expenses, interest
Distributions distributions from the Interest Remittance Amount will be allocated as follows:
on Offered
Certificates:
(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;
(ii) The portion of the Interest Remittance Amount attributable to the Group II Mortgage Loans will be
allocated according to the related Accrued Certificate Interest and any unpaid interest shortfall
amounts for such class, as applicable, first, pro rata to the Group II Class A Certificates and
second, 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.
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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.
================================================================================
Page 7
Principal On each Distribution Date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect,
Distributions on principal distributions from the Principal Distribution Amount will be allocated as follows:
Offered Certificates:
(i) to the Class A Certificates, allocated between the Class A Certificates as described below, until the
Certificate Principal Balances thereof have been reduced to zero;
(ii) to the Class M-1 Certificates, until the Certificate Principal Balance thereof has been reduced to
zero;
(iii) to the Class M-2 Certificates, until the Certificate Principal Balance thereof has been reduced to
zero;
(iv) to the Class M-3 Certificates, until the Certificate Principal Balance thereof has been reduced to
zero;
(v) to the Class M-4 Certificates, until the Certificate Principal Balance thereof has been reduced to
zero;
(vi) to the Class M-5 Certificates, until the Certificate Principal Balance thereof has been reduced to
zero;
(vii) to the Class M-6 Certificates, until the Certificate Principal Balance thereof has been reduced to
zero;
(viii) to the Class B-1 Certificates, until the Certificate Principal Balance thereof has been reduced to
zero;
(ix) to the Class B-2 Certificates, until the Certificate Principal Balance thereof has been reduced to
zero; and
(x) to the Class B-3 Certificates, until the Certificate Principal Balance thereof has been reduced to
zero.
On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect,
the principal distributions from the Principal Distribution Amount will be allocated as follows:
(i) to the Class A Certificates, the lesser of the Principal Distribution Amount and the Class A Principal
Distribution Amount, allocated between the Class A Certificates as described below, until the
Certificate Principal Balances thereof have been reduced to zero;
(ii) to the Class M-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Class
M-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to
zero;
(iii) to the Class M-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class
M-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to
zero;
(iv) to the Class M-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class
M-3 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to
zero;
(v) to the Class M-4 Certificates, the lesser of the remaining Principal Distribution Amount and the Class
M-4 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to
zero;
(vi) to the Class M-5 Certificates, the lesser of the remaining Principal Distribution Amount and the Class
M-5 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to
zero;
(vii) to the Class M-6 Certificates, the lesser of the remaining Principal Distribution Amount and the Class
M-6 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to
zero;
(viii) to the Class B-1 Certificates, the lesser of the remaining Principal Distribution Amount and the
Class B-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been
reduced to zero;
(ix) to the Class B-2 Certificates, the lesser of the remaining Principal Distribution Amount and the Class
B-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to
zero; and
(x) to the Class B-3 Certificates, the lesser of the remaining Principal Distribution Amount and the Class
B-3 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to
zero.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
================================================================================
Page 8
Class A Principal Except as described below, the Group II Class A Sequential Certificates will receive principal sequentially;
Allocation: the Class A-2b Certificates will not receive principal distributions until the Certificate Principal Balance
of the Class A-2a Certificates has been reduced to zero, and the Class A-2c Certificates will not receive
principal distributions until the Certificate Principal Balance of the Class A-2b Certificates has been
reduced to zero.
All principal distributions to the holders of the Class A Certificates on any Distribution Date will be
allocated concurrently between the 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.
Any principal distributions allocated to the Group II Class A Certificates are required to be distributed pro
rata between the Class A-2pt Certificates and the Group II Class A Sequential Certificates. Principal
distributions to the Group II Class A Sequential Certificates will be allocated first to the Class A-2a
Certificates, until their Class Certificate Balance has been reduced to zero, then to the Class A-2b
Certificates, until their Class Certificate Balance has been reduced to zero, and then to the Class A-2c
Certificates, until their Class Certificate Balance has been reduced to zero.
Notwithstanding the above, in the event that all subordinate classes, including the Class X certificates, have
been reduced to zero, principal distributions to the Group II Class A Certificates will be distributed pro
rata to the Class A-2pt, Class A-2a, Class A-2b and Class A-2c Certificates.
Class A-1mz and Beginning on the first Distribution Date, and for a period of 27 months thereafter, an Interest Rate Cap will
Group II Class A be entered into by the Trust for the benefit of the Class A-1mz and Group II Class A Certificates.
Interest Rate Cap:
For its duration, the Class A-1mz and 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 Class A-1mz and Group II Class A Interest Rate Cap Notional
Balance ("the Class A-1mz and Group II Class A Interest Rate Cap Payment") as described on the schedule
herein.
Class A-1mz and The Class A-1mz and Group II Class A Interest Rate Cap Payment shall be available to pay any Basis
Group II Class A Risk Carry Forward Amount due to the Class A-1mz and Group II Class A Certificates on a pro rata basis.
Interest Rate Cap
Payment Allocation:
--------------------------------------------------------------------------------
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 M Interest Beginning on the first Distribution Date, and for a period of 45 months thereafter, an Interest Rate Cap
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 The Class M Interest Rate Cap Payment shall be available to pay any Basis Risk Carry Forward
Rate Cap Payment 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
Allocation: rata basis.
Class B Interest Beginning on the first Distribution Date, and for a period of 45 months thereafter, an Interest Rate Cap will
Rate Cap: 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 The Class B Interest Rate Cap Payment shall be available to pay any Basis Risk Carry Forward
Payment Rate Cap Amount due to the Class B-1, Class B-2 and Class B-3 Certificates on a pro rata basis.
Allocation:
Allocation of Net For any Distribution Date, any Net Monthly Excess Cashflow shall be paid as follows:
Monthly Excess
Cashflow:
(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 For any Distribution Date, the portion of available funds for such Distribution Date attributable to interest
Amount: received or advanced on the Mortgage Loans.
Accrued Certificate For any Distribution Date and each class of Offered Certificates, equals the amount of interest accrued during
Interest: the related interest accrual period at the related Pass-through Rate, reduced by any prepayment interest
shortfalls and shortfalls resulting from the application of the Servicemembers Civil Relief Act or similar
state law allocated to such class.
Principal On any Distribution Date, the sum of (i) the Basic Principal Distribution Amount and (ii) the Extra Principal
Distribution Amount: Distribution Amount.
--------------------------------------------------------------------------------
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
Basic Principal On any Distribution Date, the excess of (i) the aggregate principal remittance amount over (ii)
Distribution Amount: the Excess Subordinated Amount, if any.
Net Monthly Excess For any Distribution Date is the amount of funds available for distribution on such Distribution Date
Cashflow: remaining after making all distributions of interest and principal on the certificates.
Extra Principal For any Distribution Date, the lesser of (i) the excess of (x) interest collected or advanced with respect to
Distribution Amount: 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 For any Distribution Date, means the excess, if any of (i) the overcollateralization and (ii) the required
Amount: overcollateralization for such Distribution Date.
Class A Principal For any Distribution Date, the percentage equivalent of a fraction, determined as follows: (i) in the case of
Allocation the Group I Class A Certificates the numerator of which is (x) the portion of the principal remittance amount
Percentage: for such Distribution Date that is attributable to principal received or advanced on the Group I Mortgage
Loans and the denominator of which is (y) the principal remittance amount for such Distribution Date and (ii)
in the case of the Group II Class A Certificates, the numerator of which is (x) the portion of the principal
remittance amount for such Distribution Date that is attributable to principal received or advanced on the
Group II Mortgage Loans and the denominator of which is (y) the principal remittance amount for such
Distribution Date.
Class A Principal For any Distribution Date, an amount equal to the excess of (x) the aggregate Certificate Principal Balance of
Distribution Amount: the Class A Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of
(i) approximately 61.50% and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of
the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as
of the last day of the related Due Period over $5,664,548.
Class M-1 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Certificate
Distribution Amount: 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 67.90% 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 $5,664,548.
Class M-2 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Certificate
Distribution Amount: 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 74.10% and (ii) the
aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due
Period over $5,664,548.
Class M-3 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Certificate
Distribution Amount: 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 77.90% 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 $5,664,548.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
================================================================================
Page 11
Class M-4 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Certificate
Distribution Amount: Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the
Class M-3 Principal Distribution Amount on such Distribution Date) and (v) the Certificate Principal Balance
of the Class M-4 Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the
product of (i) approximately 81.30% 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 $5,664,548.
Class M-5 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Certificate
Distribution Amount: Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the
Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of
the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution
Amount on such Distribution Date) and (vi) the Certificate Principal Balance of the Class M-5 Certificates
immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 84.50%
and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period
and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the
related Due Period over $5,664,548.
Class M-6 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Certificate
Distribution Amount: Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the
Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of
the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution
Amount on such Distribution Date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after
taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date) and
(vii) the Certificate Principal Balance of the Class M-6 Certificates immediately prior to such Distribution
Date over (y) the lesser of (A) the product of (i) approximately 87.50% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over
$5,664,548.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
================================================================================
Page 12
Class B-1 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Certificate
Distribution Amount: 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 90.10% and (ii) the aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due Period over $5,664,548.
Class B-2 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Certificate
Distribution Amount: 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 92.20% 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 $5,664,548.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
================================================================================
Page 13
Class B-3 Principal For any Distribution Date, an amount equal to the excess of (x) the sum of (i) the aggregate Certificate
Distribution Amount: Principal Balance of the Class A Certificates (after taking into account the payment of the Class A Principal
Distribution Amount on such Distribution Date), (ii) the Certificate Principal Balance of the Class M-1
Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such
Distribution Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into
account the payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class M-3 Certificates (after taking into account the payment of the
Class M-3 Principal Distribution Amount on such Distribution Date), (v) the Certificate Principal Balance of
the Class M-4 Certificates (after taking into account the payment of the Class M-4 Principal Distribution
Amount on such Distribution Date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after
taking into account the payment of the Class M-5 Principal Distribution Amount on such Distribution Date),
(vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the payment
of the Class M-6 Principal Distribution Amount on such Distribution Date), (viii) the Certificate Principal
Balance of the Class B-1 Certificates (after taking into account the payment of the Class B-1 Principal
Distribution Amount on such Distribution Date), (ix) the Certificate Principal Balance of the Class B-2
Certificates (after taking into account the payment of the Class B-2 Principal Distribution Amount on such
Distribution Date) and (x) the Certificate Principal Balance of the Class B-3 Certificates immediately prior
to such Distribution Date over (y) the lesser of (A) the product of (i) approximately 94.20% 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 $5,664,548.
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-1mz, Class A-2pt, Class A-2a, Class A-2b, Class A-2c, Class M-1, Class M-2, Class M-3, Class M-4,
Class M-5, Class M-6, Class B-1, Class B-2 and Class B-3 Certificates are being offered pursuant to a
prospectus supplemented by a prospectus supplement (together, the "Prospectus"). Complete information with
respect to the Offered Certificates and the collateral securing them is contained in the Prospectus. The
information herein is qualified in its entirety by the information appearing in the Prospectus. To the extent
that the information herein is inconsistent with the Prospectus, the Prospectus shall govern in all respects.
Sales of the Offered Certificates may not be consummated unless the purchaser has received the Prospectus.
PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN
CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES.
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
================================================================================
Page 14
Weighted Average Life Sensitivity
To CALL
------------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75
------------------------------------------------------------------------------------------------------------------------------------
A-1mz WAL (yrs) 5.01 4.23 3.40
First Payment Date 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014
Window 1 - 173 1 - 147 1 - 118
A-2pt WAL (yrs) 4.93 4.14 3.30
First Payment Date 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014
Window 1 - 173 1 - 147 1 - 118
A-2a WAL (yrs) 1.38 1.16 0.93
First Payment Date 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 10/25/2007 5/25/2007 11/25/2006
Window 1 - 34 1 - 29 1 - 23
A-2b WAL (yrs) 6.32 5.28 4.20
First Payment Date 10/25/2007 5/25/2007 11/25/2006
Expected Final Maturity 4/25/2018 3/25/2016 12/25/2013
Window 34 - 160 29 - 135 23 - 108
A-2c WAL (yrs) 14.34 12.17 9.76
First Payment Date 4/25/2018 3/25/2016 12/25/2013
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014
Window 160 - 173 135 - 147 108 - 118
M-1 WAL (yrs) 9.59 8.09 6.47
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014
Window 56 - 173 46 - 147 37 - 118
M-2 WAL (yrs) 9.59 8.09 6.47
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014
Window 56 - 173 46 - 147 37 - 118
M-3 WAL (yrs) 9.59 8.09 6.47
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014
Window 56 - 173 46 - 147 37 - 118
M-4 WAL (yrs) 9.59 8.09 6.47
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014
Window 56 - 173 46 - 147 37 - 118
M-5 WAL (yrs) 9.59 8.09 6.47
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014
Window 56 - 173 46 - 147 37 - 118
M-6 WAL (yrs) 9.59 8.09 6.47
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014
Window 56 - 173 46 - 147 37 - 118
B-1 WAL (yrs) 9.59 8.09 6.47
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014
Window 56 - 173 46 - 147 37 - 118
B-2 WAL (yrs) 9.59 8.09 6.47
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014
Window 56 - 173 46 - 147 37 - 118
B-3 WAL (yrs) 9.59 8.09 6.47
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 5/25/2019 3/25/2017 10/25/2014
Window 56 - 173 46 - 147 37 - 118
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
PPC (%) 100 125 150 175
------------------------------------------------------------------------------------------------------------------------------------
A-1mz WAL (yrs) 2.50 1.87 1.37 1.10
First Payment Date 1/25/2005 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 3/25/2012 8/25/2010 7/25/2009 9/25/2007
Window 1 - 87 1 - 68 1 - 55 1 - 33
A-2pt WAL (yrs) 2.40 1.77 1.29 1.04
First Payment Date 1/25/2005 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 3/25/2012 8/25/2010 7/25/2009 8/25/2007
Window 1 - 87 1 - 68 1 - 55 1 - 32
A-2a WAL (yrs) 0.70 0.56 0.46 0.38
First Payment Date 1/25/2005 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 5/25/2006 1/25/2006 11/25/2005 9/25/2005
Window 1 - 17 1 - 13 1 - 11 1 - 9
A-2b WAL (yrs) 3.01 2.13 1.64 1.36
First Payment Date 5/25/2006 1/25/2006 11/25/2005 9/25/2005
Expected Final Maturity 7/25/2011 1/25/2010 7/25/2007 2/25/2007
Window 17 - 79 13 - 61 11 - 31 9 - 26
A-2c WAL (yrs) 7.19 5.61 3.32 2.40
First Payment Date 7/25/2011 1/25/2010 7/25/2007 2/25/2007
Expected Final Maturity 3/25/2012 8/25/2010 7/25/2009 8/25/2007
Window 79 - 87 61 - 68 31 - 55 26 - 32
M-1 WAL (yrs) 5.00 4.61 4.59 3.46
First Payment Date 6/25/2008 12/25/2008 7/25/2009 9/25/2007
Expected Final Maturity 3/25/2012 8/25/2010 7/25/2009 9/25/2008
Window 42 - 87 48 - 68 55 - 55 33 - 45
M-2 WAL (yrs) 4.96 4.40 4.49 3.76
First Payment Date 4/25/2008 8/25/2008 2/25/2009 9/25/2008
Expected Final Maturity 3/25/2012 8/25/2010 7/25/2009 9/25/2008
Window 40 - 87 44 - 68 50 - 55 45 - 45
M-3 WAL (yrs) 4.93 4.28 4.19 3.76
First Payment Date 4/25/2008 7/25/2008 11/25/2008 9/25/2008
Expected Final Maturity 3/25/2012 8/25/2010 7/25/2009 9/25/2008
Window 40 - 87 43 - 68 47 - 55 45 - 45
M-4 WAL (yrs) 4.91 4.22 4.02 3.73
First Payment Date 3/25/2008 5/25/2008 9/25/2008 7/25/2008
Expected Final Maturity 3/25/2012 8/25/2010 7/25/2009 9/25/2008
Window 39 - 87 41 - 68 45 - 55 43 - 45
M-5 WAL (yrs) 4.91 4.17 3.89 3.56
First Payment Date 2/25/2008 4/25/2008 7/25/2008 5/25/2008
Expected Final Maturity 3/25/2012 8/25/2010 7/25/2009 9/25/2008
Window 38 - 87 40 - 68 43 - 55 41 - 45
M-6 WAL (yrs) 4.89 4.13 3.80 3.43
First Payment Date 2/25/2008 3/25/2008 5/25/2008 3/25/2008
Expected Final Maturity 3/25/2012 8/25/2010 7/25/2009 9/25/2008
Window 38 - 87 39 - 68 41 - 55 39 - 45
B-1 WAL (yrs) 4.89 4.09 3.72 3.34
First Payment Date 2/25/2008 3/25/2008 4/25/2008 2/25/2008
Expected Final Maturity 3/25/2012 8/25/2010 7/25/2009 9/25/2008
Window 38 - 87 39 - 68 40 - 55 38 - 45
B-2 WAL (yrs) 4.88 4.07 3.67 3.26
First Payment Date 1/25/2008 2/25/2008 3/25/2008 1/25/2008
Expected Final Maturity 3/25/2012 8/25/2010 7/25/2009 9/25/2008
Window 37 - 87 38 - 68 39 - 55 37 - 45
B-3 WAL (yrs) 4.87 4.05 3.63 3.20
First Payment Date 1/25/2008 2/25/2008 2/25/2008 12/25/2007
Expected Final Maturity 3/25/2012 8/25/2010 7/25/2009 9/25/2008
Window 37 - 87 38 - 68 38 - 55 36 - 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 15
Weighted Average Life Sensitivity
To MATURITY
------------------------------------------------------------------------------------------------------------------------------------
PPC (%) 50 60 75
------------------------------------------------------------------------------------------------------------------------------------
A-1mz WAL (yrs) 5.34 4.56 3.70
First Payment Date 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 6/25/2031 3/25/2029 7/25/2025
Window 1 - 318 1 - 291 1 - 247
A-2pt WAL (yrs) 5.21 4.41 3.54
First Payment Date 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 1/25/2031 6/25/2028 7/25/2024
Window 1 - 313 1 - 282 1 - 235
A-2a WAL (yrs) 1.38 1.16 0.93
First Payment Date 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 10/25/2007 5/25/2007 11/25/2006
Window 1 - 34 1 - 29 1 - 23
A-2b WAL (yrs) 6.32 5.28 4.20
First Payment Date 10/25/2007 5/25/2007 11/25/2006
Expected Final Maturity 4/25/2018 3/25/2016 12/25/2013
Window 34 - 160 29 - 135 23 - 108
A-2c WAL (yrs) 17.48 15.18 12.43
First Payment Date 4/25/2018 3/25/2016 12/25/2013
Expected Final Maturity 1/25/2031 6/25/2028 7/25/2024
Window 160 - 313 135 - 282 108 - 235
M-1 WAL (yrs) 10.35 8.82 7.13
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 7/25/2028 10/25/2025 2/25/2022
Window 56 - 283 46 - 250 37 - 206
M-2 WAL (yrs) 10.32 8.79 7.10
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 10/25/2027 1/25/2025 6/25/2021
Window 56 - 274 46 - 241 37 - 198
M-3 WAL (yrs) 10.29 8.76 7.08
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 11/25/2026 2/25/2024 9/25/2020
Window 56 - 263 46 - 230 37 - 189
M-4 WAL (yrs) 10.26 8.73 7.05
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 3/25/2026 6/25/2023 1/25/2020
Window 56 - 255 46 - 222 37 - 181
M-5 WAL (yrs) 10.22 8.69 7.05
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 6/25/2025 9/25/2022 10/25/2019
Window 56 - 246 46 - 213 37 - 178
M-6 WAL (yrs) 10.15 8.63 7.00
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 7/25/2024 11/25/2021 5/25/2019
Window 56 - 235 46 - 203 37 - 173
B-1 WAL (yrs) 10.06 8.54 6.93
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 7/25/2023 11/25/2020 7/25/2018
Window 56 - 223 46 - 191 37 - 163
B-2 WAL (yrs) 9.94 8.48 6.83
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 5/25/2022 10/25/2019 8/25/2017
Window 56 - 209 46 - 178 37 - 152
B-3 WAL (yrs) 9.76 8.35 6.69
First Payment Date 8/25/2009 10/25/2008 1/25/2008
Expected Final Maturity 1/25/2021 5/25/2019 8/25/2016
Window 56 - 193 46 - 173 37 - 140
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
PPC (%) 100 125 150 175
------------------------------------------------------------------------------------------------------------------------------------
A-1mz WAL (yrs) 2.75 2.08 1.52 1.10
First Payment Date 1/25/2005 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 8/25/2020 11/25/2017 5/25/2015 9/25/2007
Window 1 - 188 1 - 155 1 - 125 1 - 33
A-2pt WAL (yrs) 2.58 1.91 1.36 1.04
First Payment Date 1/25/2005 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 10/25/2019 8/25/2016 12/25/2013 8/25/2007
Window 1 - 178 1 - 140 1 - 108 1 - 32
A-2a WAL (yrs) 0.70 0.56 0.46 0.38
First Payment Date 1/25/2005 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 5/25/2006 1/25/2006 11/25/2005 9/25/2005
Window 1 - 17 1 - 13 1 - 11 1 - 9
A-2b WAL (yrs) 3.01 2.13 1.64 1.36
First Payment Date 5/25/2006 1/25/2006 11/25/2005 9/25/2005
Expected Final Maturity 7/25/2011 1/25/2010 7/25/2007 2/25/2007
Window 17 - 79 13 - 61 11 - 31 9 - 26
A-2c WAL (yrs) 9.27 7.13 4.09 2.40
First Payment Date 7/25/2011 1/25/2010 7/25/2007 2/25/2007
Expected Final Maturity 10/25/2019 8/25/2016 12/25/2013 8/25/2007
Window 79 - 178 61 - 140 31 - 108 26 - 32
M-1 WAL (yrs) 5.54 5.02 5.65 5.56
First Payment Date 6/25/2008 12/25/2008 10/25/2009 9/25/2007
Expected Final Maturity 6/25/2018 7/25/2015 7/25/2013 7/25/2013
Window 42 - 162 48 - 127 58 - 103 33 - 103
M-2 WAL (yrs) 5.47 4.80 4.85 4.93
First Payment Date 4/25/2008 8/25/2008 2/25/2009 3/25/2009
Expected Final Maturity 12/25/2017 2/25/2015 2/25/2013 9/25/2011
Window 40 - 156 44 - 122 50 - 98 51 - 81
M-3 WAL (yrs) 5.43 4.66 4.49 4.27
First Payment Date 4/25/2008 7/25/2008 11/25/2008 10/25/2008
Expected Final Maturity 4/25/2017 8/25/2014 9/25/2012 5/25/2011
Window 40 - 148 43 - 116 47 - 93 46 - 77
M-4 WAL (yrs) 5.38 4.59 4.31 3.99
First Payment Date 3/25/2008 5/25/2008 9/25/2008 7/25/2008
Expected Final Maturity 10/25/2016 3/25/2014 6/25/2012 2/25/2011
Window 39 - 142 41 - 111 45 - 90 43 - 74
M-5 WAL (yrs) 5.35 4.51 4.16 3.79
First Payment Date 2/25/2008 4/25/2008 7/25/2008 5/25/2008
Expected Final Maturity 4/25/2016 10/25/2013 2/25/2012 11/25/2010
Window 38 - 136 40 - 106 43 - 86 41 - 71
M-6 WAL (yrs) 5.29 4.44 4.04 3.64
First Payment Date 2/25/2008 3/25/2008 5/25/2008 3/25/2008
Expected Final Maturity 9/25/2015 5/25/2013 9/25/2011 7/25/2010
Window 38 - 129 39 - 101 41 - 81 39 - 67
B-1 WAL (yrs) 5.23 4.36 3.93 3.51
First Payment Date 2/25/2008 3/25/2008 4/25/2008 2/25/2008
Expected Final Maturity 1/25/2015 11/25/2012 4/25/2011 3/25/2010
Window 38 - 121 39 - 95 40 - 76 38 - 63
B-2 WAL (yrs) 5.15 4.28 3.84 3.40
First Payment Date 1/25/2008 2/25/2008 3/25/2008 1/25/2008
Expected Final Maturity 5/25/2014 4/25/2012 11/25/2010 10/25/2009
Window 37 - 113 38 - 88 39 - 71 37 - 58
B-3 WAL (yrs) 5.03 4.18 3.73 3.29
First Payment Date 1/25/2008 2/25/2008 2/25/2008 12/25/2007
Expected Final Maturity 8/25/2013 9/25/2011 5/25/2010 6/25/2009
Window 37 - 104 38 - 81 38 - 65 36 - 54
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
================================================================================
Page 16
CPR Sensitivity
To CALL
------------------------------------------------------------------------------------------------------------------------------------
CPR (%) 20 25 30
------------------------------------------------------------------------------------------------------------------------------------
A-1mz WAL (yrs) 3.29 2.57 2.04
First Payment Date 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 10/25/2014 9/25/2012 4/25/2011
Window 1 - 118 1 - 93 1 - 76
A-2pt WAL (yrs) 3.32 2.59 2.05
First Payment Date 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 10/25/2014 9/25/2012 4/25/2011
Window 1 - 118 1 - 93 1 - 76
A-2a WAL (yrs) 0.91 0.72 0.59
First Payment Date 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 11/25/2006 6/25/2006 2/25/2006
Window 1 - 23 1 - 18 1 - 14
A-2b WAL (yrs) 4.26 3.29 2.55
First Payment Date 11/25/2006 6/25/2006 2/25/2006
Expected Final Maturity 2/25/2014 3/25/2012 11/25/2010
Window 23 - 110 18 - 87 14 - 71
A-2c WAL (yrs) 9.80 7.73 6.31
First Payment Date 2/25/2014 3/25/2012 11/25/2010
Expected Final Maturity 10/25/2014 9/25/2012 4/25/2011
Window 110 - 118 87 - 93 71 - 76
M-1 WAL (yrs) 6.45 5.23 4.70
First Payment Date 1/25/2008 5/25/2008 9/25/2008
Expected Final Maturity 10/25/2014 9/25/2012 4/25/2011
Window 37 - 118 41 - 93 45 - 76
M-2 WAL (yrs) 6.45 5.20 4.58
First Payment Date 1/25/2008 4/25/2008 7/25/2008
Expected Final Maturity 10/25/2014 9/25/2012 4/25/2011
Window 37 - 118 40 - 93 43 - 76
M-3 WAL (yrs) 6.45 5.18 4.51
First Payment Date 1/25/2008 3/25/2008 5/25/2008
Expected Final Maturity 10/25/2014 9/25/2012 4/25/2011
Window 37 - 118 39 - 93 41 - 76
M-4 WAL (yrs) 6.45 5.18 4.47
First Payment Date 1/25/2008 3/25/2008 4/25/2008
Expected Final Maturity 10/25/2014 9/25/2012 4/25/2011
Window 37 - 118 39 - 93 40 - 76
M-5 WAL (yrs) 6.45 5.16 4.44
First Payment Date 1/25/2008 2/25/2008 4/25/2008
Expected Final Maturity 10/25/2014 9/25/2012 4/25/2011
Window 37 - 118 38 - 93 40 - 76
M-6 WAL (yrs) 6.45 5.16 4.41
First Payment Date 1/25/2008 2/25/2008 3/25/2008
Expected Final Maturity 10/25/2014 9/25/2012 4/25/2011
Window 37 - 118 38 - 93 39 - 76
B-1 WAL (yrs) 6.45 5.16 4.40
First Payment Date 1/25/2008 1/25/2008 2/25/2008
Expected Final Maturity 10/25/2014 9/25/2012 4/25/2011
Window 37 - 118 37 - 93 38 - 76
B-2 WAL (yrs) 6.45 5.14 4.38
First Payment Date 1/25/2008 1/25/2008 2/25/2008
Expected Final Maturity 10/25/2014 9/25/2012 4/25/2011
Window 37 - 118 37 - 93 38 - 76
B-3 WAL (yrs) 6.45 5.14 4.38
First Payment Date 1/25/2008 1/25/2008 2/25/2008
Expected Final Maturity 10/25/2014 9/25/2012 4/25/2011
Window 37 - 118 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 17
CPR Sensitivity
To MATURITY
------------------------------------------------------------------------------------------------------------------------------------
CPR (%) 20 25 30
------------------------------------------------------------------------------------------------------------------------------------
A-1mz WAL (yrs) 3.55 2.79 2.22
First Payment Date 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 5/25/2025 8/25/2021 12/25/2018
Window 1 - 245 1 - 200 1 - 168
A-2pt WAL (yrs) 3.61 2.83 2.24
First Payment Date 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 11/25/2025 12/25/2021 3/25/2019
Window 1 - 251 1 - 204 1 - 171
A-2a WAL (yrs) 0.91 0.72 0.59
First Payment Date 1/25/2005 1/25/2005 1/25/2005
Expected Final Maturity 11/25/2006 6/25/2006 2/25/2006
Window 1 - 23 1 - 18 1 - 14
A-2b WAL (yrs) 4.26 3.29 2.55
First Payment Date 11/25/2006 6/25/2006 2/25/2006
Expected Final Maturity 2/25/2014 3/25/2012 11/25/2010
Window 23 - 110 18 - 87 14 - 71
A-2c WAL (yrs) 12.93 10.32 8.46
First Payment Date 2/25/2014 3/25/2012 11/25/2010
Expected Final Maturity 11/25/2025 12/25/2021 3/25/2019
Window 110 - 251 87 - 204 71 - 171
M-1 WAL (yrs) 7.11 5.79 5.16
First Payment Date 1/25/2008 5/25/2008 9/25/2008
Expected Final Maturity 6/25/2022 4/25/2019 9/25/2016
Window 37 - 210 41 - 172 45 - 141
M-2 WAL (yrs) 7.09 5.74 5.02
First Payment Date 1/25/2008 4/25/2008 7/25/2008
Expected Final Maturity 10/25/2021 9/25/2018 4/25/2016
Window 37 - 202 40 - 165 43 - 136
M-3 WAL (yrs) 7.06 5.70 4.94
First Payment Date 1/25/2008 3/25/2008 5/25/2008
Expected Final Maturity 12/25/2020 1/25/2018 9/25/2015
Window 37 - 192 39 - 157 41 - 129
M-4 WAL (yrs) 7.03 5.67 4.88
First Payment Date 1/25/2008 3/25/2008 4/25/2008
Expected Final Maturity 5/25/2020 7/25/2017 4/25/2015
Window 37 - 185 39 - 151 40 - 124
M-5 WAL (yrs) 7.01 5.63 4.82
First Payment Date 1/25/2008 2/25/2008 4/25/2008
Expected Final Maturity 10/25/2019 1/25/2017 10/25/2014
Window 37 - 178 38 - 145 40 - 118
M-6 WAL (yrs) 6.97 5.58 4.76
First Payment Date 1/25/2008 2/25/2008 3/25/2008
Expected Final Maturity 5/25/2019 5/25/2016 4/25/2014
Window 37 - 173 38 - 137 39 - 112
B-1 WAL (yrs) 6.90 5.52 4.69
First Payment Date 1/25/2008 1/25/2008 2/25/2008
Expected Final Maturity 6/25/2018 9/25/2015 9/25/2013
Window 37 - 162 37 - 129 38 - 105
B-2 WAL (yrs) 6.80 5.43 4.61
First Payment Date 1/25/2008 1/25/2008 2/25/2008
Expected Final Maturity 7/25/2017 12/25/2014 2/25/2013
Window 37 - 151 37 - 120 38 - 98
B-3 WAL (yrs) 6.66 5.32 4.51
First Payment Date 1/25/2008 1/25/2008 2/25/2008
Expected Final Maturity 8/25/2016 3/25/2014 6/25/2012
Window 37 - 140 37 - 111 38 - 90
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
================================================================================
Page 18
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-1mz Cap A-2pt Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap
------ (%) (%) (%) (%) (%) (%) (%) (%)
--- --- --- --- --- --- --- ---
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
0 -- -- -- -- -- -- -- --
1 8.40 8.39 8.39 8.39 8.39 8.44 8.44 8.44
2 9.18 9.17 9.17 9.17 9.17 9.19 9.19 9.19
3 9.92 9.91 9.91 9.91 9.91 9.89 9.89 9.89
4 9.21 9.20 9.20 9.20 9.20 9.20 9.20 9.20
5 9.45 9.44 9.44 9.44 9.44 9.42 9.42 9.42
6 9.24 9.23 9.23 9.23 9.23 9.21 9.21 9.21
7 9.48 9.47 9.47 9.47 9.47 9.43 9.43 9.43
8 9.26 9.25 9.25 9.25 9.25 9.22 9.22 9.22
9 9.27 9.27 9.27 9.27 9.27 9.22 9.22 9.22
10 9.52 9.51 9.51 9.51 9.51 9.44 9.44 9.44
11 9.30 9.30 9.30 9.30 9.30 9.23 9.23 9.23
12 9.55 9.54 9.54 9.54 9.54 9.45 9.45 9.45
13 9.33 9.33 9.33 9.33 9.33 9.23 9.23 9.23
14 9.35 9.34 9.34 9.34 9.34 9.24 9.24 9.24
15 10.10 10.09 10.09 10.09 10.09 9.94 9.94 9.94
16 9.38 9.37 9.37 9.37 9.37 9.24 9.24 9.24
17 9.63 9.62 9.62 9.62 9.62 9.46 9.46 9.46
18 9.41 9.41 -- 9.41 9.41 9.24 9.24 9.24
19 9.66 9.66 -- 9.66 9.66 9.46 9.46 9.46
20 9.45 9.44 -- 9.44 9.44 9.25 9.25 9.25
21 9.47 9.46 -- 9.46 9.46 9.25 9.25 9.25
22 9.74 9.73 -- 9.73 9.73 9.48 9.48 9.48
23 9.03 9.22 -- 9.22 9.22 9.48 9.48 9.48
24 9.33 9.53 -- 9.53 9.53 9.74 9.74 9.74
25 9.08 9.28 -- 9.28 9.28 9.48 9.48 9.48
26 9.11 9.30 -- 9.30 9.30 9.48 9.48 9.48
27 10.04 10.26 -- 10.26 10.26 10.32 10.32 10.32
28 9.18 9.37 -- 9.37 9.37 9.49 9.49 9.49
29 9.53 9.79 -- 9.79 9.79 10.00 10.00 10.00
30 9.26 9.52 -- 9.52 9.52 9.71 9.71 9.71
31 9.61 9.88 -- 9.88 9.88 10.00 10.00 10.00
32 9.34 9.60 -- 9.60 9.60 9.71 9.71 9.71
33 9.39 9.65 -- 9.65 9.65 9.71 9.71 9.71
34 9.78 10.08 -- 10.08 10.08 10.04 10.04 10.04
35 10.31 10.62 -- 10.62 10.62 10.01 10.01 10.01
36 10.71 11.04 -- 11.04 11.04 10.32 10.32 10.32
37 50.79 51.10 -- 51.10 51.10 10.01 10.01 10.01
38 13.49 13.81 -- 13.81 13.81 10.00 10.00 10.00
39 14.30 14.64 -- 14.64 14.64 10.64 10.64 10.64
40 13.27 13.60 -- 13.60 13.60 10.02 10.02 10.02
41 14.34 14.73 -- 14.73 14.73 10.77 10.77 10.77
42 13.76 14.15 -- 14.15 14.15 10.44 10.44 10.44
43 14.11 14.51 -- 14.51 14.51 10.77 10.77 10.77
44 13.55 13.93 -- 13.93 13.93 10.44 10.44 10.44
Period 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
0 -- -- -- -- -- --
1 8.44 8.44 8.44 8.44 8.44 8.44
2 9.19 9.19 9.19 9.19 9.19 9.19
3 9.89 9.89 9.89 9.89 9.89 9.89
4 9.20 9.20 9.20 9.20 9.20 9.20
5 9.42 9.42 9.42 9.42 9.42 9.42
6 9.21 9.21 9.21 9.21 9.21 9.21
7 9.43 9.43 9.43 9.43 9.43 9.43
8 9.22 9.22 9.22 9.22 9.22 9.22
9 9.22 9.22 9.22 9.22 9.22 9.22
10 9.44 9.44 9.44 9.44 9.44 9.44
11 9.23 9.23 9.23 9.23 9.23 9.23
12 9.45 9.45 9.45 9.45 9.45 9.45
13 9.23 9.23 9.23 9.23 9.23 9.23
14 9.24 9.24 9.24 9.24 9.24 9.24
15 9.94 9.94 9.94 9.94 9.94 9.94
16 9.24 9.24 9.24 9.24 9.24 9.24
17 9.46 9.46 9.46 9.46 9.46 9.46
18 9.24 9.24 9.24 9.24 9.24 9.24
19 9.46 9.46 9.46 9.46 9.46 9.46
20 9.25 9.25 9.25 9.25 9.25 9.25
21 9.25 9.25 9.25 9.25 9.25 9.25
22 9.48 9.48 9.48 9.48 9.48 9.48
23 9.48 9.48 9.48 9.48 9.48 9.48
24 9.74 9.74 9.74 9.74 9.74 9.74
25 9.48 9.48 9.48 9.48 9.48 9.48
26 9.48 9.48 9.48 9.48 9.48 9.48
27 10.32 10.32 10.32 10.32 10.32 10.32
28 9.49 9.49 9.49 9.49 9.49 9.49
29 10.00 10.00 10.00 10.00 10.00 10.00
30 9.71 9.71 9.71 9.71 9.71 9.71
31 10.00 10.00 10.00 10.00 10.00 10.00
32 9.71 9.71 9.71 9.71 9.71 9.71
33 9.71 9.71 9.71 9.71 9.71 9.71
34 10.04 10.04 10.04 10.04 10.04 10.04
35 10.01 10.01 10.01 10.01 10.01 10.01
36 10.32 10.32 10.32 10.32 10.32 10.32
37 10.01 10.01 10.01 10.01 10.01 10.01
38 10.00 10.00 10.00 10.00 10.00 10.00
39 10.64 10.64 10.64 10.64 10.64 10.64
40 10.02 10.02 10.02 10.02 10.02 10.02
41 10.77 10.77 10.77 10.77 10.77 10.77
42 10.44 10.44 10.44 10.44 10.44 10.44
43 10.77 10.77 10.77 10.77 10.77 10.77
44 10.44 10.44 10.44 10.44 10.44 10.44
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
================================================================================
Page 19
Period A-1mz Cap A-2pt Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap
------ (%) (%) (%) (%) (%) (%) (%) (%)
--- --- --- --- --- --- --- ---
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
45 13.52 13.91 -- 13.91 13.91 10.43 10.43 10.43
46 13.99 14.39 -- 14.39 14.39 10.78 10.78 10.78
47 14.17 14.59 -- 14.59 14.59 10.55 10.55 10.55
48 14.64 15.07 -- 15.07 15.07 10.89 10.89 10.89
49 14.16 14.58 -- 14.58 14.58 10.54 10.54 10.54
50 14.16 14.58 -- 14.58 14.58 10.54 10.54 10.54
51 15.67 16.14 -- 16.14 16.14 11.66 11.66 11.66
52 14.17 14.60 -- 14.60 14.60 10.55 10.55 10.55
53 15.15 15.59 -- 15.59 15.59 11.36 11.36 11.36
54 14.66 15.08 -- 15.08 15.08 10.99 10.99 10.99
55 15.14 15.58 -- 15.58 15.58 11.36 11.36 11.36
56 14.65 15.07 -- 15.07 15.07 10.99 10.99 10.99
57 14.64 15.07 -- 15.07 15.07 10.98 10.98 10.98
58 15.15 15.61 -- 15.61 15.61 11.37 11.37 11.37
59 14.75 15.21 -- 15.21 15.21 11.09 11.09 11.09
60 15.24 15.71 -- 15.71 15.71 11.45 11.45 11.45
61 14.74 15.20 -- 15.20 15.20 11.08 11.08 11.08
62 14.74 15.19 -- 15.19 15.19 11.08 11.08 11.08
63 16.31 16.82 -- 16.82 16.82 12.26 12.26 12.26
64 14.73 15.19 -- 15.19 15.19 11.07 11.07 11.07
65 15.24 15.72 -- 15.72 15.72 11.46 11.46 11.46
66 14.75 15.21 -- 15.21 15.21 11.09 11.09 11.09
67 15.23 15.71 -- 15.71 15.71 11.45 11.45 11.45
68 14.74 15.20 -- 15.20 15.20 11.08 11.08 11.08
69 14.73 15.20 -- 15.20 15.20 11.07 11.07 11.07
70 15.22 15.71 -- 15.71 15.71 11.44 11.44 11.44
71 14.75 15.21 -- 15.21 15.21 11.08 11.08 11.08
72 15.23 15.72 -- 15.72 15.72 11.45 11.45 11.45
73 14.74 15.20 -- 15.20 15.20 11.08 11.08 11.08
74 14.73 15.20 -- 15.20 15.20 11.07 11.07 11.07
75 16.30 16.83 -- 16.83 16.83 12.25 12.25 12.25
76 14.72 15.20 -- 15.20 15.20 11.07 11.07 11.07
77 15.23 15.71 -- 15.71 15.71 11.44 11.44 11.44
78 14.73 15.20 -- 15.20 15.20 11.07 11.07 11.07
79 15.22 15.70 -- 15.70 15.70 11.43 11.43 11.43
80 14.72 15.19 -- 15.19 15.19 11.06 11.06 11.06
81 14.72 15.19 -- -- 15.19 11.06 11.06 11.06
82 15.20 15.70 -- -- 15.70 11.42 11.42 11.42
83 14.72 15.19 -- -- 15.19 11.06 11.06 11.06
84 15.20 15.69 -- -- 15.69 11.42 11.42 11.42
85 14.71 15.18 -- -- 15.18 11.05 11.05 11.05
86 14.70 15.18 -- -- 15.18 11.04 11.04 11.04
87 15.71 16.22 -- -- 16.22 11.80 11.80 11.80
88 14.70 15.17 -- -- 15.17 11.04 11.04 11.04
89 15.18 15.68 -- -- 15.68 11.40 11.40 11.40
90 14.69 15.17 -- -- 15.17 11.03 11.03 11.03
Period 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
45 10.43 10.43 10.43 10.43 10.43 10.43
46 10.78 10.78 10.78 10.78 10.78 10.78
47 10.55 10.55 10.55 10.55 10.55 10.55
48 10.89 10.89 10.89 10.89 10.89 10.89
49 10.54 10.54 10.54 10.54 10.54 10.54
50 10.54 10.54 10.54 10.54 10.54 10.54
51 11.66 11.66 11.66 11.66 11.66 11.66
52 10.55 10.55 10.55 10.55 10.55 10.55
53 11.36 11.36 11.36 11.36 11.36 11.36
54 10.99 10.99 10.99 10.99 10.99 10.99
55 11.36 11.36 11.36 11.36 11.36 11.36
56 10.99 10.99 10.99 10.99 10.99 10.99
57 10.98 10.98 10.98 10.98 10.98 10.98
58 11.37 11.37 11.37 11.37 11.37 11.37
59 11.09 11.09 11.09 11.09 11.09 11.09
60 11.45 11.45 11.45 11.45 11.45 11.45
61 11.08 11.08 11.08 11.08 11.08 11.08
62 11.08 11.08 11.08 11.08 11.08 11.08
63 12.26 12.26 12.26 12.26 12.26 12.26
64 11.07 11.07 11.07 11.07 11.07 11.07
65 11.46 11.46 11.46 11.46 11.46 11.46
66 11.09 11.09 11.09 11.09 11.09 11.09
67 11.45 11.45 11.45 11.45 11.45 11.45
68 11.08 11.08 11.08 11.08 11.08 11.08
69 11.07 11.07 11.07 11.07 11.07 11.07
70 11.44 11.44 11.44 11.44 11.44 11.44
71 11.08 11.08 11.08 11.08 11.08 11.08
72 11.45 11.45 11.45 11.45 11.45 11.45
73 11.08 11.08 11.08 11.08 11.08 11.08
74 11.07 11.07 11.07 11.07 11.07 11.07
75 12.25 12.25 12.25 12.25 12.25 12.25
76 11.07 11.07 11.07 11.07 11.07 11.07
77 11.44 11.44 11.44 11.44 11.44 11.44
78 11.07 11.07 11.07 11.07 11.07 11.07
79 11.43 11.43 11.43 11.43 11.43 11.43
80 11.06 11.06 11.06 11.06 11.06 11.06
81 11.06 11.06 11.06 11.06 11.06 11.06
82 11.42 11.42 11.42 11.42 11.42 11.42
83 11.06 11.06 11.06 11.06 11.06 11.06
84 11.42 11.42 11.42 11.42 11.42 11.42
85 11.05 11.05 11.05 11.05 11.05 11.05
86 11.04 11.04 11.04 11.04 11.04 11.04
87 11.80 11.80 11.80 11.80 11.80 11.80
88 11.04 11.04 11.04 11.04 11.04 11.04
89 11.40 11.40 11.40 11.40 11.40 11.40
90 11.03 11.03 11.03 11.03 11.03 11.03
(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
Period A-1mz Cap A-2pt Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap
------ (%) (%) (%) (%) (%) (%) (%) (%)
--- --- --- --- --- --- --- ---
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
91 15.17 15.67 -- -- 15.67 11.39 11.39 11.39
92 14.68 15.16 -- -- 15.16 11.02 11.02 11.02
93 14.67 15.16 -- -- 15.16 11.01 11.01 11.01
94 12.39 12.89 -- -- 12.89 11.38 11.38 11.38
95 11.82 12.30 -- -- 12.30 11.01 11.01 11.01
96 12.24 12.74 -- -- 12.74 11.37 11.37 11.37
97 11.87 12.35 -- -- 12.35 11.00 11.00 11.00
98 11.89 12.38 -- -- 12.38 10.99 10.99 10.99
99 13.20 13.73 -- -- 13.73 12.17 12.17 12.17
100 11.95 12.43 -- -- 12.43 10.98 10.98 10.98
101 12.37 12.88 -- -- 12.88 11.35 11.35 11.35
102 12.00 12.49 -- -- 12.49 10.98 10.98 10.98
103 12.43 12.94 -- -- 12.94 11.34 11.34 11.34
104 12.06 12.55 -- -- 12.55 10.97 10.97 10.97
105 12.10 12.58 -- -- 12.58 10.96 10.96 10.96
106 12.53 13.04 -- -- 13.04 11.32 11.32 11.32
107 12.16 12.65 -- -- 12.65 10.95 10.95 10.95
108 12.60 13.11 -- -- 13.11 11.31 11.31 11.31
109 12.23 12.72 -- -- 12.72 10.95 10.95 10.95
110 12.27 12.76 -- -- 12.76 10.94 10.94 10.94
111 13.63 14.17 -- -- 14.17 12.11 12.11 12.11
112 12.35 12.84 -- -- 12.84 10.93 10.93 10.93
113 12.80 13.31 -- -- 13.31 11.29 11.29 11.29
114 12.43 12.92 -- -- 12.92 10.92 10.92 10.92
115 12.89 13.40 -- -- 13.40 11.28 11.28 11.28
116 12.51 13.01 -- -- 13.01 10.92 10.92 10.92
117 12.56 13.06 -- -- 13.06 10.91 10.91 10.91
118 13.03 13.54 -- -- 13.54 11.27 11.27 11.27
119 12.66 13.15 -- -- 13.15 10.90 10.90 10.90
120 13.13 13.64 -- -- 13.64 11.26 11.26 11.26
121 12.76 13.26 -- -- 13.26 10.89 10.89 10.89
122 12.81 13.31 -- -- 13.31 10.89 10.89 10.89
123 14.24 14.79 -- -- 14.79 12.05 12.05 12.05
124 12.92 13.42 -- -- 13.42 10.88 10.88 10.88
125 13.41 13.93 -- -- 13.93 11.24 11.24 11.24
126 13.03 13.54 -- -- 13.54 10.87 10.87 10.87
127 13.53 14.05 -- -- 14.05 11.23 11.23 11.23
128 13.16 13.66 -- -- 13.66 10.86 10.86 10.86
129 13.22 13.73 -- -- 13.73 10.86 10.86 10.86
130 13.73 14.25 -- -- 14.25 11.22 11.22 11.22
131 13.36 13.86 -- -- 13.86 10.85 10.85 10.85
132 13.87 14.40 -- -- 14.40 11.21 11.21 11.21
133 13.50 14.00 -- -- 14.00 10.84 10.84 10.84
134 13.57 14.08 -- -- 14.08 10.84 10.84 10.84
135 14.59 15.13 -- -- 15.13 11.58 11.58 11.58
136 13.73 14.24 -- -- 14.24 10.83 10.83 10.83
Period 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
91 11.39 11.39 11.39 11.39 11.39 11.39
92 11.02 11.02 11.02 11.02 11.02 11.02
93 11.01 11.01 11.01 11.01 11.01 11.01
94 11.38 11.38 11.38 11.38 11.38 11.38
95 11.01 11.01 11.01 11.01 11.01 11.01
96 11.37 11.37 11.37 11.37 11.37 11.37
97 11.00 11.00 11.00 11.00 11.00 11.00
98 10.99 10.99 10.99 10.99 10.99 10.99
99 12.17 12.17 12.17 12.17 12.17 12.17
100 10.98 10.98 10.98 10.98 10.98 10.98
101 11.35 11.35 11.35 11.35 11.35 11.35
102 10.98 10.98 10.98 10.98 10.98 10.98
103 11.34 11.34 11.34 11.34 11.34 11.34
104 10.97 10.97 10.97 10.97 10.97 10.97
105 10.96 10.96 10.96 10.96 10.96 10.96
106 11.32 11.32 11.32 11.32 11.32 --
107 10.95 10.95 10.95 10.95 10.95 --
108 11.31 11.31 11.31 11.31 11.31 --
109 10.95 10.95 10.95 10.95 10.95 --
110 10.94 10.94 10.94 10.94 10.94 --
111 12.11 12.11 12.11 12.11 12.11 --
112 10.93 10.93 10.93 10.93 10.93 --
113 11.29 11.29 11.29 11.29 11.29 --
114 10.92 10.92 10.92 10.92 10.92 --
115 11.28 11.28 11.28 11.28 -- --
116 10.92 10.92 10.92 10.92 -- --
117 10.91 10.91 10.91 10.91 -- --
118 11.27 11.27 11.27 11.27 -- --
119 10.90 10.90 10.90 10.90 -- --
120 11.26 11.26 11.26 11.26 -- --
121 10.89 10.89 10.89 10.89 -- --
122 10.89 10.89 10.89 10.89 -- --
123 12.05 12.05 12.05 -- -- --
124 10.88 10.88 10.88 -- -- --
125 11.24 11.24 11.24 -- -- --
126 10.87 10.87 10.87 -- -- --
127 11.23 11.23 11.23 -- -- --
128 10.86 10.86 10.86 -- -- --
129 10.86 10.86 10.86 -- -- --
130 11.22 11.22 11.22 -- -- --
131 10.85 10.85 -- -- -- --
132 11.21 11.21 -- -- -- --
133 10.84 10.84 -- -- -- --
134 10.84 10.84 -- -- -- --
135 11.58 11.58 -- -- -- --
136 10.83 10.83 -- -- -- --
(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
Period A-1mz Cap A-2pt Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap
------ (%) (%) (%) (%) (%) (%) (%) (%)
--- --- --- --- --- --- --- ---
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
137 14.27 14.79 -- -- 14.79 11.19 11.19 11.19
138 13.89 14.40 -- -- 14.40 10.82 10.82 10.82
139 14.44 14.97 -- -- 14.97 11.18 11.18 11.18
140 14.07 14.58 -- -- 14.58 10.81 10.81 10.81
141 14.16 14.67 -- -- 14.67 10.81 10.81 10.81
142 14.73 15.25 -- -- 15.25 11.17 11.17 11.17
143 14.35 14.86 -- -- 14.86 10.80 10.80 10.80
144 14.93 15.45 -- -- 15.45 11.16 11.16 11.16
145 14.55 15.06 -- -- 15.06 10.79 10.79 10.79
146 14.65 15.16 -- -- 15.16 10.79 10.79 10.79
147 16.34 16.91 -- -- 16.91 11.94 11.94 11.94
148 14.87 15.38 -- -- 15.38 10.78 10.78 10.78
149 15.48 16.01 -- -- 16.01 11.14 11.14 11.14
150 15.10 15.61 -- -- 15.61 10.77 10.77 --
151 15.73 16.26 -- -- 16.26 11.13 11.13 --
152 15.35 15.86 -- -- 15.86 10.77 10.77 --
153 15.47 15.99 -- -- 15.99 10.76 10.76 --
154 16.12 16.66 -- -- 16.66 11.12 11.12 --
155 15.74 16.25 -- -- 16.25 10.75 10.75 --
156 16.41 16.94 -- -- 16.94 11.11 11.11 --
157 16.02 16.54 -- -- 16.54 10.75 10.75 --
158 16.17 16.68 -- -- 16.68 10.74 -- --
159 18.07 18.64 -- -- 18.64 11.89 -- --
160 16.48 16.99 -- -- 16.99 10.73 -- --
161 17.19 17.72 -- -- 17.72 11.09 -- --
162 16.80 17.32 -- -- 17.32 10.73 -- --
163 17.54 18.07 -- -- 18.07 11.08 -- --
164 17.14 17.66 -- -- 17.66 10.72 -- --
165 17.39 17.90 -- -- 17.90 -- -- --
166 18.29 18.83 -- -- 18.83 -- -- --
167 18.04 18.56 -- -- 18.56 -- -- --
168 19.01 19.55 -- -- 19.55 -- -- --
169 18.79 19.30 -- -- 19.30 -- -- --
170 19.20 19.72 -- -- 19.72 -- -- --
171 21.75 22.33 -- -- 22.33 -- -- --
172 20.13 20.65 -- -- 20.65 -- -- --
173 21.34 21.87 -- -- 21.87 -- -- --
174 21.21 21.73 -- -- 21.73 -- -- --
175 22.55 23.09 -- -- 23.09 -- -- --
176 22.49 23.01 -- -- 23.01 -- -- --
177 23.23 23.75 -- -- 23.75 -- -- --
178 24.86 25.40 -- -- 25.40 -- -- --
179 37.88 -- -- -- -- -- -- --
180 42.08 -- -- -- -- -- -- --
181 44.14 -- -- -- -- -- -- --
182 48.31 -- -- -- -- -- -- --
Period 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
137 11.19 11.19 -- -- -- --
138 10.82 -- -- -- -- --
139 11.18 -- -- -- -- --
140 10.81 -- -- -- -- --
141 10.81 -- -- -- -- --
142 11.17 -- -- -- -- --
143 10.80 -- -- -- -- --
144 11.16 -- -- -- -- --
145 -- -- -- -- -- --
146 -- -- -- -- -- --
147 -- -- -- -- -- --
148 -- -- -- -- -- --
149 -- -- -- -- -- --
150 -- -- -- -- -- --
151 -- -- -- -- -- --
152 -- -- -- -- -- --
153 -- -- -- -- -- --
154 -- -- -- -- -- --
155 -- -- -- -- -- --
156 -- -- -- -- -- --
157 -- -- -- -- -- --
158 -- -- -- -- -- --
159 -- -- -- -- -- --
160 -- -- -- -- -- --
161 -- -- -- -- -- --
162 -- -- -- -- -- --
163 -- -- -- -- -- --
164 -- -- -- -- -- --
165 -- -- -- -- -- --
166 -- -- -- -- -- --
167 -- -- -- -- -- --
168 -- -- -- -- -- --
169 -- -- -- -- -- --
170 -- -- -- -- -- --
171 -- -- -- -- -- --
172 -- -- -- -- -- --
173 -- -- -- -- -- --
174 -- -- -- -- -- --
175 -- -- -- -- -- --
176 -- -- -- -- -- --
177 -- -- -- -- -- --
178 -- -- -- -- -- --
179 -- -- -- -- -- --
180 -- -- -- -- -- --
181 -- -- -- -- -- --
182 -- -- -- -- -- --
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
================================================================================
Page 22
Period A-1mz Cap A-2pt Cap A-2a Cap A-2b Cap A-2c Cap M-1 Cap M-2 Cap M-3 Cap
------ (%) (%) (%) (%) (%) (%) (%) (%)
--- --- --- --- --- --- --- ---
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
183 57.22 -- -- -- -- -- -- --
184 60.23 -- -- -- -- -- -- --
185 71.45 -- -- -- -- -- -- --
186 81.60 -- -- -- -- -- -- --
187 103.53 -- -- -- -- -- -- --
188 130.95 -- -- -- -- -- -- --
189 191.53 -- -- -- -- -- -- --
190 378.26 -- -- -- -- -- -- --
191 * -- -- -- -- -- -- --
192 -- -- -- -- -- -- -- --
Period 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
183 -- -- -- -- -- --
184 -- -- -- -- -- --
185 -- -- -- -- -- --
186 -- -- -- -- -- --
187 -- -- -- -- -- --
188 -- -- -- -- -- --
189 -- -- -- -- -- --
190 -- -- -- -- -- --
191 -- -- -- -- -- --
192 -- -- -- -- -- --
* In Period 191, the Class A-1mz Certificates have a balance of $2,056 and
are paid $40,417 in interest..
(1) Annualized coupon based on total interest paid to the certificates including
Accrued Certificate Interest, unpaid interest amounts and Basis Risk Carry
Forward Amount divided by the current certificate balance
(2) Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month LIBOR
rate of 20%
--------------------------------------------------------------------------------
The information herein has been prepared solely for informational purposes and
is not an offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any trading strategy. No
representation or warranty can be given with respect to the accuracy or
completeness of the information herein, or that any future offer of securities,
instruments or transactions will conform to the terms hereof. Please refer to
the important information and qualifications on the second page hereof when
reviewing this information.
================================================================================
Page 23
Interest Rate Cap Schedules
Class A-1mz and Group II Class A Cap
------------------------------------------
Period Balance ($) Strike % Ceiling %
1 591,773,000.00 6.55 9.00
2 574,160,762.58 6.55 9.00
3 556,876,170.42 6.55 9.00
4 539,907,915.44 6.55 9.00
5 523,245,732.75 6.55 9.00
6 506,879,434.15 6.55 9.00
7 490,799,963.67 6.55 9.00
8 474,999,013.04 6.55 9.00
9 459,469,019.38 6.55 9.00
10 444,203,143.27 6.55 9.00
11 429,195,324.79 6.55 9.00
12 414,440,079.75 6.55 9.00
13 399,933,273.51 6.55 9.00
14 385,671,145.99 6.55 9.00
15 371,661,529.79 6.55 9.00
16 358,024,548.90 6.55 9.00
17 344,750,279.08 6.55 9.00
18 331,829,060.85 6.55 9.00
19 319,251,492.47 6.55 9.00
20 307,008,422.93 6.55 9.00
21 295,091,011.01 6.55 9.00
22 283,490,518.30 6.55 9.00
23 272,198,834.22 8.30 9.00
24 261,257,707.50 8.30 9.00
25 250,606,222.49 8.30 9.00
26 240,236,700.31 8.30 9.00
27 230,141,694.21 8.30 9.00
28 220,313,898.30 8.30 9.00
29 - - -
30 - - -
31 - - -
32 - - -
33 - - -
34 - - -
35 - - -
36 - - -
37 - - -
38 - - -
39 - - -
40 - - -
41 - - -
42 - - -
43 - - -
44 - - -
45 - - -
46 - - -
47 - - -
Class M Cap
------------------------------------------
Period Balance ($) Strike % Ceiling %
1 147,278,000.00 5.80 8.50
2 147,278,000.00 5.80 8.50
3 147,278,000.00 5.80 8.50
4 147,278,000.00 5.80 8.50
5 147,278,000.00 5.80 8.50
6 147,278,000.00 5.80 8.50
7 147,278,000.00 5.80 8.50
8 147,278,000.00 5.80 8.50
9 147,278,000.00 5.80 8.50
10 147,278,000.00 5.80 8.50
11 147,278,000.00 5.80 8.50
12 147,278,000.00 5.80 8.50
13 147,278,000.00 5.80 8.50
14 147,278,000.00 5.80 8.50
15 147,278,000.00 5.80 8.50
16 147,278,000.00 5.80 8.50
17 147,278,000.00 5.80 8.50
18 147,278,000.00 5.80 8.50
19 147,278,000.00 5.80 8.50
20 147,278,000.00 5.80 8.50
21 147,278,000.00 5.80 8.50
22 147,278,000.00 5.80 8.50
23 147,278,000.00 7.10 8.75
24 147,278,000.00 7.10 8.75
25 147,278,000.00 7.10 8.75
26 147,278,000.00 7.10 8.75
27 147,278,000.00 7.10 8.75
28 147,278,000.00 7.10 8.75
29 147,278,000.00 7.75 8.95
30 147,278,000.00 7.75 8.95
31 147,278,000.00 7.75 8.95
32 147,278,000.00 7.75 8.95
33 147,278,000.00 7.75 8.95
34 147,278,000.00 7.75 8.95
35 147,278,000.00 8.50 9.25
36 147,278,000.00 8.50 9.25
37 147,278,000.00 8.50 9.25
38 147,278,000.00 8.50 9.25
39 142,592,144.33 8.50 9.25
40 132,925,058.15 8.50 9.25
41 123,512,065.48 9.20 9.70
42 114,346,478.58 9.20 9.70
43 105,421,783.56 9.20 9.70
44 96,731,640.05 9.20 9.70
45 93,045,506.91 9.20 9.70
46 90,597,230.34 9.20 9.70
47 - - -
Class B Cap
------------------------------------------
Period Balance ($) Strike % Ceiling %
1 37,953,000.00 4.45 7.15
2 37,953,000.00 4.45 7.15
3 37,953,000.00 4.45 7.15
4 37,953,000.00 4.45 7.15
5 37,953,000.00 4.45 7.15
6 37,953,000.00 4.45 7.15
7 37,953,000.00 4.45 7.15
8 37,953,000.00 4.45 7.15
9 37,953,000.00 4.45 7.15
10 37,953,000.00 4.45 7.15
11 37,953,000.00 4.45 7.15
12 37,953,000.00 4.45 7.15
13 37,953,000.00 4.45 7.15
14 37,953,000.00 4.45 7.15
15 37,953,000.00 4.45 7.15
16 37,953,000.00 4.45 7.15
17 37,953,000.00 4.45 7.15
18 37,953,000.00 4.45 7.15
19 37,953,000.00 4.45 7.15
20 37,953,000.00 4.45 7.15
21 37,953,000.00 4.45 7.15
22 37,953,000.00 4.45 7.15
23 37,953,000.00 5.75 7.40
24 37,953,000.00 5.75 7.40
25 37,953,000.00 5.75 7.40
26 37,953,000.00 5.75 7.40
27 37,953,000.00 5.75 7.40
28 37,953,000.00 5.75 7.40
29 37,953,000.00 6.40 7.60
30 37,953,000.00 6.40 7.60
31 37,953,000.00 6.40 7.60
32 37,953,000.00 6.40 7.60
33 37,953,000.00 6.40 7.60
34 37,953,000.00 6.40 7.60
35 37,953,000.00 7.15 7.90
36 37,953,000.00 7.15 7.90
37 37,953,000.00 7.15 7.90
38 34,139,491.98 7.15 7.90
39 28,137,082.07 7.15 7.90
40 27,396,848.32 7.15 7.90
41 26,676,071.15 7.85 8.35
42 25,974,238.48 7.85 8.35
43 25,290,851.54 7.85 8.35
44 24,625,424.80 7.85 8.35
45 23,977,485.59 7.85 8.35
46 23,346,573.71 7.85 8.35
47 - - -
--------------------------------------------------------------------------------
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
This information is being delivered to a specific number of prospective
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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
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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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warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
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also perform or seek to perform investment banking services for the issuers of
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Information contained in this material is current as of the date appearing on
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our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
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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
2004-WMC3
Balance greater than $450,000
Selection Criteria: Balance greater than $450,000
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Combined Original LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 367
Aggregate Principal Balance ($): 203,036,837
Weighted Average Current Mortgage Rate (%): 6.720
Non-Zero Weighted Average Margin (%): 5.975
Non-Zero Weighted Average Maximum Rate (%): 13.213
Weighted Average Stated Original Term (months): 359
Weighted Average Stated Remaining Term (months): 357
Weighted Average Combined Original LTV (%): 80.60
% First Liens: 100.00
% Owner Occupied: 95.41
% Purchase: 50.40
% Full Doc: 44.39
Non-Zero Weighted Average Credit Score: 650
2. Originator
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Originator Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
WMC 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
3. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed - 15 Year 1 514,833 0.25 6.5 177 78.79 689
Fixed - 20 Year 1 505,761 0.25 7.501 238 94 613
Fixed - 30 Year 27 15,407,891 7.59 6.749 357 79.51 666
ARM - 6 Month 1 462,048 0.23 5.75 356 76.95 621
ARM - 2 Year/6 Month 209 114,240,670 56.27 6.983 358 80.3 630
ARM - 3 Year/6 Month 9 5,192,304 2.56 6.397 357 82.73 654
ARM - 5 Year/6 Month 8 5,050,306 2.49 6.401 358 79.76 640
Interest Only ARM - 5 Year/6 Month 10 6,000,833 2.96 5.888 358 80.81 685
Interest Only ARM - 2 Year/6 Month 101 55,662,190 27.41 6.324 358 81.28 684
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
4. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 1 576,000 0.28 4.99 358 80 760
5.000 - 5.999 84 46,825,548 23.06 5.745 358 79.59 683
6.000 - 6.999 169 94,070,316 46.33 6.562 357 80.45 647
7.000 - 7.999 87 48,064,788 23.67 7.462 356 80.76 640
8.000 - 8.999 23 11,962,258 5.89 8.522 357 85.34 595
9.000 - 9.999 3 1,537,927 0.76 9.479 357 78.55 557
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.990
Maximum: 9.625
Weighted Average: 6.720
5. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Cut-off Mortgage Principal Principal Interest Term Original FICO
Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
450,001 - 475,000 53 24,428,932 12.03 6.756 358 80.25 643
475,001 - 500,000 79 38,697,804 19.06 6.911 358 79.2 639
500,001 - 750,000 227 133,387,361 65.7 6.669 357 81.04 654
750,001 - 1,000,000 8 6,522,740 3.21 6.492 357 81.05 669
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 450,041
Maximum: 994,259
Average: 553,234
6. Stated Original Term (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
180 1 514,833 0.25 6.5 177 78.79 689
240 1 505,761 0.25 7.501 238 94 613
360 365 202,016,243 99.5 6.718 358 80.57 650
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 180
Maximum: 360
Weighted Average: 359
7. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
169 - 180 1 514,833 0.25 6.5 177 78.79 689
229 - 240 1 505,761 0.25 7.501 238 94 613
349 - 360 365 202,016,243 99.5 6.718 358 80.57 650
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 177
Maximum: 359
Weighted Average: 357
8. Range of Combined Original LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 2 1,029,917 0.51 7.094 357 43.09 571
45.01 - 50.00 2 1,097,409 0.54 6.409 357 47.32 619
50.01 - 55.00 2 1,049,178 0.52 7.519 358 53.17 670
55.01 - 60.00 4 2,137,375 1.05 6.54 358 58.88 616
60.01 - 65.00 9 4,950,446 2.44 6.67 358 63.04 588
65.01 - 70.00 10 5,788,661 2.85 6.463 358 68.95 618
70.01 - 75.00 26 14,789,267 7.28 6.878 358 73.83 639
75.01 - 80.00 199 109,013,772 53.69 6.558 357 79.67 664
80.01 - 85.00 36 20,181,541 9.94 6.944 358 83.99 626
85.01 - 90.00 59 33,087,192 16.3 6.864 358 89.51 646
90.01 - 95.00 17 9,424,099 4.64 7.428 351 94.66 647
95.01 - 100.00 1 487,982 0.24 7.875 357 100 704
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 41.27
Maximum: 100.00
Weighted Average: 80.60
9. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 29 16,428,485 8.09 6.765 348 79.93 665
4.501 - 5.000 33 18,244,502 8.99 6.094 358 80.3 672
5.001 - 5.500 75 40,927,154 20.16 6.278 358 79.15 660
5.501 - 6.000 82 44,782,565 22.06 6.409 358 79.75 651
6.001 - 6.500 78 44,402,973 21.87 6.917 358 81.3 645
6.501 - 7.000 39 21,165,260 10.42 7.449 358 81.57 635
7.001 - 7.500 19 10,909,892 5.37 7.7 358 82.79 636
7.501 - 8.000 12 6,176,006 3.04 7.979 358 86.71 594
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.625
Maximum: 8.000
Non-Zero Weighted Average: 5.975
10. Range of Minimum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 29 16,428,485 8.09 6.765 348 79.93 665
<=5.000 1 576,000 0.28 4.99 358 80 760
5.001 - 5.500 23 12,876,122 6.34 5.42 358 78.24 690
5.501 - 6.000 63 35,244,603 17.36 5.876 358 80.1 673
6.001 - 6.500 68 37,845,409 18.64 6.325 358 80.3 649
6.501 - 7.000 85 46,706,764 23 6.82 358 80.99 646
7.001 - 7.500 46 25,654,835 12.64 7.32 358 80.97 641
7.501 - 8.000 28 15,232,298 7.5 7.842 358 79.42 625
8.001 - 8.500 12 6,276,392 3.09 8.364 357 86.76 597
8.501 - 9.000 9 4,658,003 2.29 8.851 357 85.93 592
9.001 - 9.500 1 599,301 0.3 9.25 358 79.99 596
9.501 - 10.000 2 938,627 0.46 9.625 357 77.63 532
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.990
Maximum: 9.625
Non-Zero Weighted Average: 6.713
11. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 29 16,428,485 8.09 6.765 348 79.93 665
<= 12.500 87 48,696,724 23.98 5.745 358 79.6 678
12.501 - 13.000 67 37,314,728 18.38 6.316 358 80.44 650
13.001 - 13.500 87 47,716,930 23.5 6.826 358 80.95 645
13.501 - 14.000 45 25,175,349 12.4 7.322 358 80.82 641
14.001 - 14.500 28 15,232,298 7.5 7.842 358 79.42 625
14.501 - 15.000 12 6,276,392 3.09 8.364 357 86.76 597
15.001 - 15.500 9 4,658,003 2.29 8.851 357 85.93 592
15.501 - 16.000 1 599,301 0.3 9.25 358 79.99 596
16.001 - 16.500 2 938,627 0.46 9.625 357 77.63 532
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 11.490
Maximum: 16.125
Non-Zero Weighted Average: 13.213
12. Initial Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 29 16,428,485 8.09 6.765 348 79.93 665
1 6 3,152,098 1.55 6.873 357 80.22 628
1.5 200 109,482,564 53.92 6.966 358 80.4 631
2 2 941,534 0.46 6.514 356 83.12 620
3 119 66,576,822 32.79 6.374 358 80.99 676
5 10 5,830,333 2.87 5.944 358 81.71 687
6.5 1 625,000 0.31 5.99 358 79.11 649
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 6.500
Non-Zero Weighted Average: 2.155
13. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 29 16,428,485 8.09 6.765 348 79.93 665
1 333 184,182,039 90.71 6.708 358 80.63 649
1.5 3 1,484,780 0.73 7.774 357 82.44 615
2 2 941,534 0.46 6.514 356 83.12 620
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 2.000
Non-Zero Weighted Average: 1.009
14. Next Rate Adjustment Dates
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 29 16,428,485 8.09 6.765 348 79.93 665
Feb-05 1 462,048 0.23 5.75 356 76.95 621
Jul-06 3 1,487,612 0.73 6.988 355 85.27 587
Aug-06 10 5,438,334 2.68 7.743 356 82.61 591
Sep-06 66 36,458,846 17.96 6.927 357 79.38 643
Oct-06 229 125,594,208 61.86 6.667 358 80.78 653
Nov-06 2 923,860 0.46 7.926 359 89.26 591
Aug-07 1 717,111 0.35 6 356 80 657
Sep-07 6 3,180,015 1.57 6.713 357 82.96 652
Oct-07 2 1,295,178 0.64 5.841 358 83.68 656
Sep-09 7 4,275,827 2.11 6.123 357 78.15 666
Oct-09 11 6,775,312 3.34 6.122 358 81.71 664
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
15. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
California 284 156,386,090 77.02 6.637 357 80.93 656
New York 20 11,225,893 5.53 6.967 358 80.15 625
New Jersey 9 4,708,493 2.32 6.756 344 76.74 643
Connecticut 7 3,991,409 1.97 6.959 358 84.47 634
Florida 7 3,914,670 1.93 7.214 358 77.61 646
Maryland 6 3,600,271 1.77 6.865 358 74.15 604
Arizona 5 3,140,347 1.55 6.862 358 78.54 651
Illinois 5 2,829,193 1.39 7.539 357 81.44 597
Virginia 4 2,108,261 1.04 5.95 357 78.78 624
Texas 3 1,839,710 0.91 6.946 357 80.81 682
Nevada 3 1,665,519 0.82 6.882 358 76.74 668
Massachusetts 3 1,590,547 0.78 7.111 358 80.34 609
Ohio 2 1,132,422 0.56 7.267 357 82.22 675
Colorado 2 1,131,800 0.56 6.188 358 80.8 689
Wisconsin 1 623,181 0.31 8.125 358 80 587
Other 6 3,149,030 1.55 7.77 357 81.76 576
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 21
16. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Primary 351 193,710,977 95.41 6.714 357 80.32 649
Investment 11 6,105,790 3.01 7.131 358 86.23 670
Second Home 5 3,220,070 1.59 6.299 358 86.46 680
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
17. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 257 142,334,226 70.1 6.734 357 80.41 648
Planned Unit Development 55 30,429,964 14.99 6.625 358 80.79 653
2-4 Family 35 18,911,950 9.31 6.94 358 81.11 650
Condominium 20 11,360,698 5.6 6.426 358 81.55 674
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
18. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Purchase 186 102,334,013 50.4 6.653 358 81.08 674
Refinance - Cashout 132 73,356,638 36.13 6.787 357 80.34 628
Refinance - Rate Term 49 27,346,185 13.47 6.79 354 79.47 621
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
19. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 161 90,129,646 44.39 6.529 357 81.64 647
Stated Documentation 148 79,699,001 39.25 6.903 357 79.5 662
Limited Documentation 58 33,208,189 16.36 6.799 358 80.41 631
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
20. Credit Score
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
500 - 524 4 2,029,136 1 7.808 358 76.36 515
525 - 549 12 6,281,237 3.09 8.008 357 75.48 536
550 - 574 28 14,926,459 7.35 7.262 358 80.99 561
575 - 599 31 16,863,119 8.31 7.029 358 76.66 591
600 - 624 55 30,445,740 15 6.862 356 81.9 613
625 - 649 40 23,061,540 11.36 6.733 358 79.41 639
650 - 674 78 43,207,736 21.28 6.507 358 81.23 662
675 - 699 54 29,911,294 14.73 6.502 355 80.44 688
700 - 724 29 16,484,522 8.12 6.478 358 83.03 711
725 - 749 13 7,447,736 3.67 6.389 358 81.67 737
750 - 774 19 10,195,454 5.02 6.203 358 81.94 762
775 - 799 4 2,182,863 1.08 6.34 358 82.55 789
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 512
Maximum: 796
Non-Zero Weighted Average: 650
21. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 94 51,794,404 25.51 7.205 356 79.28 644
12 22 12,653,714 6.23 6.611 350 79.7 661
24 216 118,433,647 58.33 6.577 358 81.05 649
36 35 20,155,073 9.93 6.381 358 81.85 668
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 25
22. Lien Position
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
23. 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
------------------------------------------------------------------------------------------------------------------------------------
0 256 141,373,813 69.63 6.911 357 80.32 635
60 111 61,663,023 30.37 6.281 358 81.23 684
------------------------------------------------------------------------------------------------------------------------------------
Total: 367 203,036,837 100 6.72 357 80.6 650
------------------------------------------------------------------------------------------------------------------------------------
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.
MSAC 2004-WMC3 Data
Collateral Characteristics Pool Balance $ 1,132,909,507.41
# of Loans # 6228
Avg Prin Balance $ 181,905.83
WAC % 7.217
WA Net Rate % 6.697
WAM # 339
Seasoning # 2.3
Second Liens % 9.052
WA CLTV % 82.15
WA FICO # 639
Prepay Penalties % 73.78
Arm Characteristics WAC (Arms only) % 6.895
WAM (Arms only) # 358
WA Margin % 6.119
WA Initial Cap % 1.982
WA Periodic Cap % 1.009
WA Cap % 6.50
WA Months to Roll # 23
Loan Type Fixed % 20.13
Balloons % 8.78
2/28 Arms % 73.89
3/27 Arms % 2.75
Other Hybrid Arms % 3.23
Index 1-Month LIBOR % 0.00
6-Month LIBOR % 79.87
Other Index % 20.13
Loan Purpose Purchase % 49.44
Cash-Out Refi % 36.18
Rate-Term Refi % 14.39
Debt Consolidation % 0
Occupancy Status Owner % 95.041
Second Home % 1.86
Investor % 3.10
Property Type Single Family % 71.24
2-4 Family % 7.27
PUD % 11.77
MH % 0.55
Condo % 9.18
Doc Type Full Doc % 48.18
Stated Doc % 40.35
Limited Doc % 11.47
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 % 2.87
FICO 520-539 % 3.73
FICO 540-559 % 4.81
FICO 560-579 % 5.92
FICO 580-599 % 8.91
FICO 600-619 % 11.08
FICO 620-639 % 11.40
FICO 640-659 % 12.60
FICO 660-679 % 12.91
FICO 680-699 % 9.97
FICO 700-719 % 5.84
FICO 720-739 % 4.28
FICO 740-759 % 3.06
FICO >760 % 2.62
LTV Distribution LTV <20 % 0.03
LTV 20.01-30 % 0.12
LTV 30.01-40 % 0.36
LTV 40.01-50 % 0.79
LTV 50.01-60 % 1.95
LTV 60.01-70 % 5.57
LTV 70.01-80 % 54.28
LTV 80.01-90 % 21.10
LTV 90.01-100 % 15.80
LTV >100 % 0.000
Data Data
Loan Balance Distribution $ 0-25,000 # & % 236 0.41
$ 25,001-50,000 # & % 777 2.61
$ 50,001-75,000 # & % 721 3.95
$ 75,001-100,000 # & % 537 4.14
$ 100,001-150,000 # & % 971 10.78
$ 150,001-200,000 # & % 759 11.73
$ 200,001-250,000 # & % 605 11.99
$ 250,001-300,000 # & % 469 11.39
$ 300,001-350,000 # & % 370 10.60
$ 350,001-400,000 # & % 262 8.68
$ 400,001-450,000 # & % 154 5.81
$ 450,001-500,000 # & % 132 5.57
$ 500,001-550,000 # & % 86 3.98
$ 550,001-600,000 # & % 57 2.89
$ 600,001-650,000 # & % 45 2.48
$ 650,001-700,000 # & % 20 1.21
$ 700,001-750,000 # & % 19 1.22
$ 750,001-800,000 # & % 5 0.34
$ 800,001-850,000 # & % 2 0.15
$ 850,001-900,000 # & % 0 0.00
$ 900,001-950,000 # & % 0 0.00
$ 950,001-1,000,000 # & % 1 0.09
> $ 1,000,001 # & % 0 0.00
Geographic Distribution Alabama % 0.02
Arizona % 2.02
Arkansas % 0.05
California % 57.01
Colorado % 1.12
Connecticut % 1.56
Delaware % 0.16
District of Columbia % 0.37
Florida % 3.28
Georgia % 1.19
Idaho % 0.29
Illinois % 3.28
Indiana % 0.14
Iowa % 0.06
Kansas % 0.13
Kentucky % 0.12
Louisiana % 0.63
Maine % 0.11
Maryland % 3.43
Massachusetts % 1.46
Michigan % 0.39
Minnesota % 0.26
Mississippi % 0.18
Missouri % 0.29
Montana % 0.25
Nebraska % 0.03
Nevada % 1.85
New Hampshire % 0.16
New Jersey % 3.30
New Mexico % 0.14
New York % 5.23
North Carolina % 0.49
Ohio % 0.33
Oklahoma % 0.24
Oregon % 0.34
Pennsylvania % 1.12
Rhode Island % 0.39
South Carolina % 0.14
Tennessee % 0.47
Texas % 3.10
Utah % 0.09
Vermont % 0.08
Virginia % 3.27
Washington % 1.01
West Virginia % 0.06
Wisconsin % 0.32
Wyoming % 0.07
--------------------------------------------------------------------------------
Please populate column D (&E) with the corresponding pool characteristics in
Column B. - For values in currency format, omit $. - For values in percentage
format,
--------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Balance # of loans WAC WA FICO WA CLTV Owner Occ % Cashout Refi% Full Doc%
------------------------------------------------------------------------------------------------------------------------------------
600,000.01 - 650,000.00 45 6.634 646 81.786 93.35 33.44 44.61
650,000.01 - 700,000.00 20 6.700 648 77.533 95.07 45.21 45.05
700,000.01 - 750,000.00 19 6.340 666 82.045 89.54 41.82 68.49
750,000.01 - 800,000.00 5 6.491 689 80.921 100.00 19.94 20.30
800,000.01 - 850,000.00 2 6.197 644 82.545 100.00 49.09 100.00
$850,001-900,000 0 0 0 0.000 0.00 0.00 0.00
$900,001-950,000 0 0 0 0.000 0.00 0.00 0.00
$950,001-1,000,000 1 6.990 629 79.040 100.00 0.00 0.00
>$1,000,000 0 0.000 0 0.000 0.00 0.00 0.00
------------------------------------------------------------------------------------------------------------------------------------
Please populate appropriate loan characteristics for each loan bucket.
Percentage by range Loans without MI
FICOs
<450 451-500 501-550 551-600 601-650 651-700 701-750 >750
1,132,909,507.41 <20 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
20-30 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
30-40 0.000 0.000 0.000 0.002 0.001 0.000 0.000 0.000
40-50 0.000 0.000 0.001 0.003 0.001 0.001 0.001 0.000
CLTVs 50-60 0.000 0.000 0.006 0.005 0.005 0.003 0.000 0.000
60-70 0.000 0.000 0.011 0.020 0.014 0.008 0.002 0.000
70-80 0.000 0.001 0.036 0.073 0.150 0.183 0.074 0.026
80-90 0.000 0.001 0.028 0.053 0.063 0.043 0.015 0.007
90-100 0.000 0.000 0.001 0.026 0.050 0.051 0.024 0.006
>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
<450 451-500 501-550 551-600 601-650 651-700 701-750 >750
<20 0 0 0 1 2 2 0 1
20-30 0 0 2 5 3 3 2 0
30-40 0 0 5 13 5 4 3 0
40-50 0 1 10 15 9 11 5 1
CLTVs 50-60 0 1 31 32 25 15 3 1
60-70 0 1 65 94 76 36 8 1
70-80 0 6 213 404 762 779 321 105
80-90 0 4 159 270 303 193 72 25
90-100 0 0 10 311 694 699 311 95
>100 0 0 0 0 0 0 0 0
# 0 13 495 1145 1879 1742 725 229
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
Please provide a breakdown of percentages for each cell of the matrix for loans
that fall within the appropriate category brokendown between loans with MI and
loans without MI as well as the loan count for each breakdown in the matrices
below. The sum of the percentages for the with MI and without MI percentages
should equal 100%. The sum of the loans in the matrices below should equal the
number of loans in the pool. If FICO is not available for loan, default to <450
bucket. If deal does not have MI, provide data for the entire pool in the "Loans
without MI" matrix.
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
2004-WMC3
All records
1. 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
------------------------------------------------------------------------------------------------------------------------------------
Alabama 2 245,104 0.02 7.178 211 94.01 682
Arizona 185 22,896,474 2.02 7.468 336 83.48 638
Arkansas 5 524,298 0.05 7.958 357 92.97 588
California 2,776 645,854,800 57.01 6.983 339 81.49 647
Colorado 99 12,672,831 1.12 7.217 337 85.11 638
Connecticut 81 17,619,484 1.56 7.415 350 82.96 617
Delaware 12 1,860,419 0.16 7.980 318 85.12 580
District of Columbia 20 4,157,393 0.37 7.378 343 80.55 615
Florida 296 37,108,358 3.28 7.728 338 82.51 628
Georgia 113 13,514,415 1.19 7.921 329 86.35 632
Idaho 44 3,274,270 0.29 7.641 334 84.16 632
Illinois 249 37,140,943 3.28 7.498 345 84.16 628
Indiana 21 1,614,677 0.14 7.487 332 84.13 625
Iowa 6 648,730 0.06 7.515 350 83.01 598
Kansas 18 1,452,557 0.13 7.655 336 85.72 630
Kentucky 15 1,323,720 0.12 7.218 315 82.20 635
Louisiana 81 7,106,687 0.63 8.059 334 82.26 594
Maine 12 1,244,052 0.11 7.781 334 85.07 607
Maryland 251 38,859,121 3.43 7.585 339 82.42 623
Massachusetts 74 16,572,338 1.46 7.173 344 82.50 630
Michigan 49 4,441,936 0.39 8.109 340 83.75 600
Minnesota 15 2,922,812 0.26 7.735 357 85.08 587
Mississippi 22 2,007,941 0.18 8.450 349 88.74 602
Missouri 38 3,225,537 0.28 8.113 340 85.84 629
Montana 27 2,848,619 0.25 7.657 337 84.44 617
Nebraska 3 291,350 0.03 7.563 339 79.61 611
Nevada 140 20,973,091 1.85 7.383 337 81.42 641
New Hampshire 12 1,780,179 0.16 7.565 343 83.44 610
New Jersey 185 37,325,230 3.29 7.387 344 81.08 626
New Mexico 16 1,600,703 0.14 7.951 329 85.20 627
New York 250 59,209,868 5.23 7.104 347 81.42 634
North Carolina 68 5,542,513 0.49 7.983 321 84.17 623
Ohio 33 3,740,254 0.33 7.668 346 85.18 642
Oklahoma 30 2,709,121 0.24 8.174 342 87.00 600
Oregon 32 3,819,944 0.34 7.792 338 85.76 635
Pennsylvania 107 12,697,072 1.12 7.777 349 83.38 613
Rhode Island 26 4,468,716 0.39 7.172 342 82.17 617
South Carolina 17 1,606,172 0.14 8.390 327 87.65 594
Tennessee 48 5,366,045 0.47 7.691 335 86.44 610
Texas 358 35,139,516 3.10 7.798 330 82.99 637
Utah 13 1,034,893 0.09 7.675 325 85.90 640
Vermont 6 867,689 0.08 7.854 358 87.04 610
Virginia 244 36,994,485 3.27 7.557 335 83.12 636
Washington 92 11,456,100 1.01 7.381 335 83.99 639
West Virginia 4 730,656 0.06 7.785 353 84.22 593
Wisconsin 29 3,652,075 0.32 7.828 341 83.89 625
Wyoming 4 766,319 0.07 7.088 337 83.06 662
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 47
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.
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XXXXXX XXXXXXX
2004-WMC3
ARM Loans
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Combined Original LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 3,766
Aggregate Principal Balance ($): 904,898,836
Weighted Average Current Mortgage Rate (%): 6.895
Non-Zero Weighted Average Margin (%): 6.119
Non-Zero Weighted Average Maximum Rate (%): 13.394
Weighted Average Stated Original Term (months): 360
Weighted Average Stated Remaining Term (months): 358
Weighted Average Combined Original LTV (%): 80.82
% First Liens: 100.00
% Owner Occupied: 94.81
% Purchase: 49.77
% Full Doc: 46.96
Non-Zero Weighted Average Credit Score: 635
2. Originator
------------------------------------------------------------------------------------------------------------------------------------
% of
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
Originator Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
WMC 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
3. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
ARM - 6 Month 10 2,441,788 0.27 6.743 357 80.03 619
ARM - 2 Year/6 Month 2,878 645,992,995 71.39 7.092 358 80.70 620
ARM - 3 Year/6 Month 145 31,201,188 3.45 6.868 358 81.45 632
ARM - 5 Year/6 Month 85 21,391,734 2.36 6.554 358 79.46 650
Interest Only ARM - 5 Year/6 Month 40 12,769,395 1.41 6.150 358 80.52 671
Interest Only ARM - 2 Year/6 Month 608 191,101,736 21.12 6.324 358 81.32 683
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
4. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 12 3,408,055 0.38 4.986 358 79.55 718
5.000 - 5.999 534 156,444,466 17.29 5.750 358 79.40 675
6.000 - 6.999 1,571 406,424,932 44.91 6.583 358 80.39 645
7.000 - 7.999 1,118 244,882,688 27.06 7.491 358 81.52 616
8.000 - 8.999 406 76,021,168 8.40 8.468 357 83.59 579
9.000 - 9.999 106 16,020,243 1.77 9.449 357 82.96 549
10.000 - 10.999 17 1,456,102 0.16 10.326 357 76.16 525
11.000 - 11.999 2 241,182 0.03 11.823 356 60.75 544
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.875
Maximum: 11.990
Weighted Average: 6.895
5. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Cut-off Mortgage Principal Principal Interest Term Original FICO
Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
25,001 - 50,000 58 2,625,960 0.29 8.495 357 77.13 588
50,001 - 75,000 182 11,595,157 1.28 7.675 358 80.57 617
75,001 - 100,000 229 20,455,741 2.26 7.472 358 79.67 614
100,001 - 125,000 322 36,559,683 4.04 7.331 358 80.24 617
125,001 - 150,000 357 49,370,991 5.46 7.216 358 80.68 620
150,001 - 175,000 303 49,208,023 5.44 7.057 358 79.80 626
175,001 - 200,000 324 60,826,472 6.72 7.038 358 79.74 624
200,001 - 225,000 287 61,199,240 6.76 6.954 358 80.44 623
225,001 - 250,000 250 59,192,408 6.54 6.824 358 81.21 638
250,001 - 275,000 212 55,581,375 6.14 6.839 358 81.27 633
275,001 - 300,000 212 61,208,157 6.76 6.819 358 80.45 638
300,001 - 325,000 167 52,272,487 5.78 6.719 358 80.66 643
325,001 - 350,000 150 50,618,911 5.59 6.879 358 81.32 628
350,001 - 375,000 120 43,470,654 4.80 6.792 358 83.18 638
375,001 - 400,000 124 48,117,409 5.32 6.642 358 82.10 648
400,001 - 425,000 64 26,560,437 2.94 6.677 358 81.53 647
425,001 - 450,000 67 29,427,379 3.25 6.925 358 81.22 642
450,001 - 475,000 50 23,035,530 2.55 6.747 358 80.46 641
475,001 - 500,000 74 36,235,871 4.00 6.909 358 79.67 640
500,001 - 750,000 206 120,814,211 13.35 6.664 358 80.96 652
750,001 - 1,000,000 8 6,522,740 0.72 6.492 357 81.05 669
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 39,020
Maximum: 994,259
Average: 240,281
6. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
360 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 360
Maximum: 360
Weighted Average: 360
7. Range of Stated Remaining Terms (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Stated Mortgage Principal Principal Interest Term Original FICO
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
349 - 360 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 353
Maximum: 360
Weighted Average: 358
8. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
10.01 - 15.00 1 59,883 0.01 6.125 358 12.63 584
15.01 - 20.00 1 119,820 0.01 7.450 358 15.38 670
20.01 - 25.00 2 329,558 0.04 8.034 358 20.75 520
25.01 - 30.00 4 239,371 0.03 7.346 357 28.30 602
30.01 - 35.00 8 922,951 0.10 7.274 358 32.24 573
35.01 - 40.00 10 1,748,947 0.19 7.045 358 38.38 598
40.01 - 45.00 6 1,170,599 0.13 6.876 358 43.41 601
45.01 - 50.00 22 3,880,060 0.43 6.991 358 48.29 588
50.01 - 55.00 24 4,778,938 0.53 7.146 357 52.74 612
55.01 - 60.00 55 11,760,824 1.30 6.915 358 58.05 584
60.01 - 65.00 68 16,376,202 1.81 6.877 358 62.83 584
65.01 - 70.00 140 32,003,636 3.54 7.015 358 68.40 589
70.01 - 75.00 223 55,179,086 6.10 7.035 358 73.90 605
75.01 - 80.00 2,080 505,245,604 55.83 6.680 358 79.82 654
80.01 - 85.00 321 79,908,935 8.83 7.202 358 84.29 602
85.01 - 90.00 494 123,200,853 13.61 7.103 358 89.53 625
90.01 - 95.00 280 63,560,072 7.02 7.535 358 94.74 625
95.01 - 100.00 27 4,413,497 0.49 7.755 357 99.17 664
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 12.63
Maximum: 100.00
Weighted Average: 80.82
9. Range of Gross Margins (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
3.501 - 4.000 1 215,548 0.02 5.750 358 80.00 638
4.001 - 4.500 5 1,150,339 0.13 5.877 358 69.41 642
4.501 - 5.000 293 76,402,766 8.44 6.203 358 79.72 659
5.001 - 5.500 550 146,967,045 16.24 6.301 358 78.95 654
5.501 - 6.000 936 229,268,058 25.34 6.627 358 79.54 643
6.001 - 6.500 833 210,071,758 23.21 6.964 358 80.69 634
6.501 - 7.000 555 126,644,526 14.00 7.379 358 82.71 619
7.001 - 7.500 301 63,589,918 7.03 7.724 358 84.29 610
7.501 - 8.000 246 44,104,485 4.87 8.267 358 85.75 593
8.001 - 8.500 23 3,220,993 0.36 8.564 357 87.10 589
8.501 - 9.000 15 2,407,674 0.27 9.175 357 84.88 562
9.001 - 9.500 5 579,473 0.06 9.976 357 68.69 527
9.501 - 10.000 1 40,767 0.00 10.500 358 85.00 514
>10.000 2 235,486 0.03 11.817 356 62.14 548
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 3.875
Maximum: 10.990
Non-Zero Weighted Average: 6.119
10. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
<=5.000 14 3,956,135 0.44 5.327 358 79.04 699
5.001 - 5.500 122 38,213,070 4.22 5.411 358 79.53 691
5.501 - 6.000 456 128,913,573 14.25 5.874 358 79.26 669
6.001 - 6.500 683 181,054,714 20.01 6.358 358 79.92 646
6.501 - 7.000 920 230,820,937 25.51 6.821 358 80.91 643
7.001 - 7.500 566 131,994,325 14.59 7.316 358 81.66 623
7.501 - 8.000 507 103,209,525 11.41 7.814 358 81.33 603
8.001 - 8.500 220 42,613,480 4.71 8.331 358 84.09 585
8.501 - 9.000 162 27,456,628 3.03 8.809 357 83.79 567
9.001 - 9.500 62 9,207,733 1.02 9.310 357 82.86 557
9.501 - 10.000 37 6,034,939 0.67 9.748 358 82.11 536
10.001 -10.500 11 924,959 0.10 10.286 358 80.46 518
10.501 - 11.000 4 257,637 0.03 10.813 356 67.77 531
11.001 - 11.500 1 46,468 0.01 11.125 358 75.00 503
11.501 - 12.000 1 194,715 0.02 11.990 355 57.35 554
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.750
Maximum: 11.990
Non-Zero Weighted Average: 6.888
11. Range of Maximum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
<= 12.500 589 170,153,054 18.80 5.756 358 79.33 674
12.501 - 13.000 681 180,176,570 19.91 6.348 358 79.95 647
13.001 - 13.500 924 231,803,332 25.62 6.821 358 80.89 643
13.501 - 14.000 559 130,839,387 14.46 7.315 358 81.62 623
14.001 - 14.500 508 103,750,226 11.47 7.809 358 81.36 604
14.501 - 15.000 227 43,743,635 4.83 8.323 358 84.01 585
15.001 - 15.500 162 27,870,488 3.08 8.799 357 83.57 568
15.501 - 16.000 57 8,323,753 0.92 9.305 358 82.42 558
16.001 - 16.500 39 6,494,018 0.72 9.724 357 82.46 537
16.501 - 17.000 12 974,140 0.11 10.259 358 80.69 524
17.001 - 17.500 5 410,372 0.05 9.436 355 91.04 560
17.501 - 18.000 2 165,145 0.02 10.856 354 56.73 528
18.501 - 19.000 1 194,715 0.02 11.990 355 57.35 554
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 8.750
Maximum: 18.990
Non-Zero Weighted Average: 13.394
12. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1 78 16,093,923 1.78 7.140 357 79.69 623
1.25 1 299,507 0.03 7.000 358 68.18 556
1.495 1 229,175 0.03 7.745 358 85.00 605
1.5 2,687 608,431,337 67.24 7.066 358 80.75 621
1.625 1 233,652 0.03 7.500 358 90.00 575
1.75 1 169,734 0.02 7.250 358 74.56 558
2 22 4,465,534 0.49 7.386 356 80.82 601
3 930 261,027,911 28.85 6.509 358 81.11 667
5 43 13,093,844 1.45 6.181 358 80.97 671
6.5 2 854,220 0.09 6.227 357 67.38 642
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 6.500
Non-Zero Weighted Average: 1.982
13. Subsequent Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0.75 1 264,032 0.03 5.990 357 94.64 627
1 3,698 891,979,309 98.57 6.886 358 80.82 636
1.5 47 8,623,047 0.95 7.771 357 80.17 611
2 20 4,032,447 0.45 7.085 356 82.89 604
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 0.750
Maximum: 2.000
Non-Zero Weighted Average: 1.009
14. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Jan-05 1 115,121 0.01 9.250 355 95.00 544
Feb-05 1 462,048 0.05 5.750 356 76.95 621
Mar-05 3 670,358 0.07 6.406 357 81.74 657
Apr-05 4 1,022,238 0.11 6.793 358 76.10 607
May-05 1 172,023 0.02 8.750 353 95.00 589
May-06 3 577,176 0.06 8.468 353 81.69 558
Jun-06 6 624,783 0.07 7.441 354 77.91 588
Jul-06 35 7,356,071 0.81 7.551 355 82.50 588
Aug-06 137 30,296,091 3.35 7.370 356 81.38 614
Sep-06 798 189,495,490 20.94 7.004 357 80.74 632
Oct-06 2,493 604,958,694 66.85 6.857 358 80.81 637
Nov-06 13 3,500,826 0.39 6.964 359 83.52 624
Dec-06 1 285,600 0.03 6.500 360 80.00 682
Jul-07 3 356,558 0.04 7.059 355 83.19 590
Aug-07 8 1,835,934 0.20 6.547 356 82.42 657
Sep-07 38 9,270,753 1.02 6.801 357 79.55 632
Oct-07 95 19,664,474 2.17 6.923 358 82.22 630
Nov-07 1 73,468 0.01 7.740 359 80.00 707
Aug-09 6 1,395,525 0.15 5.925 356 78.08 697
Sep-09 35 11,221,013 1.24 6.346 357 80.21 661
Oct-09 84 21,544,591 2.38 6.463 358 79.79 653
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
15. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Geographic Distribution Mortgage Principal Principal Interest Term Original FICO
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
California 1,717 527,344,354 58.28 6.666 358 80.16 644
New York 133 38,134,548 4.21 6.974 358 80.42 623
Illinois 177 33,201,122 3.67 7.276 358 82.86 624
Virginia 153 31,551,663 3.49 7.110 358 80.60 632
Maryland 153 31,135,869 3.44 7.160 358 81.40 621
New Jersey 124 29,303,724 3.24 7.220 357 80.15 619
Florida 162 27,666,188 3.06 7.325 358 80.72 625
Texas 179 24,389,830 2.70 7.376 358 81.29 634
Arizona 111 19,116,298 2.11 7.046 358 81.38 633
Nevada 88 17,483,128 1.93 7.016 358 80.31 636
Massachusetts 52 15,044,911 1.66 6.847 358 81.07 626
Connecticut 56 13,869,405 1.53 7.303 357 82.21 610
Georgia 67 10,901,274 1.20 7.473 358 84.23 627
Colorado 59 10,550,218 1.17 6.724 358 83.31 637
Pennsylvania 65 8,558,732 0.95 7.745 357 84.28 603
Other 470 66,647,572 7.37 7.425 358 83.53 613
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 46
16. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Primary 3,531 857,971,573 94.81 6.889 358 80.70 633
Investment 154 29,807,178 3.29 7.237 358 82.37 668
Second Home 81 17,120,085 1.89 6.612 358 84.47 681
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
17. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 2,715 638,497,358 70.56 6.911 358 80.67 631
Planned Unit Development 432 110,637,017 12.23 6.909 358 81.91 639
Condominium 377 87,139,782 9.63 6.648 358 81.42 657
2-4 Family 213 64,889,100 7.17 7.046 358 80.12 648
Manufactured Housing 29 3,735,578 0.41 6.882 357 72.64 622
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
18. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Purchase 1,857 450,377,560 49.77 6.757 358 81.31 663
Refinance - Cashout 1,359 326,397,484 36.07 7.025 358 80.30 609
Refinance - Rate Term 550 128,123,791 14.16 7.050 358 80.42 605
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
19. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 1,959 424,927,355 46.96 6.842 358 82.20 619
Stated Documentation 1,400 370,499,813 40.94 6.975 358 79.01 657
Limited Documentation 407 109,471,668 12.10 6.830 358 81.61 628
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
20. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
500 - 524 213 40,428,434 4.47 8.071 357 76.27 513
525 - 549 221 46,415,291 5.13 8.014 357 77.54 537
550 - 574 349 77,797,846 8.60 7.416 358 81.32 562
575 - 599 471 100,377,818 11.09 7.136 358 79.88 588
600 - 624 545 129,387,155 14.30 6.850 358 82.18 613
625 - 649 521 120,166,853 13.28 6.829 358 81.39 637
650 - 674 563 148,539,684 16.42 6.606 358 81.28 662
675 - 699 380 107,433,527 11.87 6.496 358 80.71 687
700 - 724 226 60,443,480 6.68 6.471 358 81.64 711
725 - 749 150 38,088,482 4.21 6.423 358 81.57 736
750 - 774 97 28,339,618 3.13 6.278 358 81.16 761
775 - 799 28 7,030,247 0.78 6.470 358 81.60 785
800 + 2 450,400 0.05 5.830 358 80.00 802
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 500
Maximum: 802
Non-Zero Weighted Average: 635
21. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 1,038 237,817,077 26.28 7.232 358 81.26 632
12 99 29,643,586 3.28 6.891 358 79.71 646
24 2,424 588,063,043 64.99 6.783 358 80.68 635
36 205 49,375,129 5.46 6.613 358 81.05 648
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 24
22. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
23. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 3,118 701,027,705 77.47 7.064 358 80.69 622
60 648 203,871,131 22.53 6.313 358 81.27 682
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 6.895 358 80.82 635
------------------------------------------------------------------------------------------------------------------------------------
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.
Generic Strats for the Entire Pool
Range Assumptions Prepayment Penalty Length
No Pen. 1 yr 2 yr 3 yr 4 yr 5yr
------------------------------------------
< Deal Gross WAC - 100 bp < Deal Gross WAC - 100 bp 1.04 0.52 7.39 0.90 0.00 0.00
Deal Gross WAC - 100 bp to Deal Gross WAC - 75 bp > Deal Gross WAC - 100 bp 1.43 0.54 6.12 0.87 0.00 0.00
Deal Gross WAC - 75.01 bp to Deal Gross WAC - 50 bp > Deal Gross WAC - 75 bp 1.64 0.47 4.89 1.22 0.00 0.00
Deal Gross WAC - 50.01 bp to Deal Gross WAC - 25 bp > Deal Gross WAC - 50 bp 2.31 0.48 7.69 1.76 0.00 0.00
Deal Gross WAC - 25.01 bp to Deal Gross WAC > Deal Gross WAC - 25 bp 2.47 0.33 6.43 1.68 0.00 0.00
Deal Gross WAC Deal Gross WAC 0.00 0.00 0.00 0.00 0.00 0.00
Deal Gross WAC to Deal Gross WAC + 25 bp < Deal Gross WAC + 25 bp 2.73 0.58 6.41 1.51 0.00 0.00
Deal Gross WAC + 25.01 bp to Deal Gross WAC + 50 bp < Deal Gross WAC + 50 bp 2.24 0.27 3.37 0.45 0.00 0.00
Deal Gross WAC + 50.01 bp to Deal Gross WAC + 75 bp < Deal Gross WAC + 75 bp 2.49 0.38 3.11 0.59 0.00 0.00
Deal Gross WAC + 75.01 bp to Deal Gross WAC + 100 bp < Deal Gross WAC + 100 bp 1.56 0.17 2.17 0.49 0.00 0.00
> Deal Gross WAC + 100 bp > Deal Gross WAC + 100 bp 8.30 0.75 9.02 3.23 0.00 0.00
------------------------------------------
Prepayment Penalty Type
% of Coll Bal Avg Loan Balance Avg FICO Avg Length
-----------------------------------------------------------------------------------------
CA Style (80% of 6 months Interest)
Type 2
Type 3
None
Zip Code % Collateral Balance Average LTV Avg Loan Balance Avg Credit Score
------------------------------------------------------------------------------------------------------------------------------------
1,132,909,507.41
every zip code ...
....
....
....
We would like to see these stratifications separately for Owner Occ & NonOwner
Properties
NON-OWNER
----------------------------------------------------------------------------------------
Range Assumptions <67.5 67.5 - 72.5 72.5 - 77.5 77.5 - 82.5 82.5 - 87.5
----------------------------------------------------------------------------------------
Original LTV
< 67.5% < 72.5% < 77.5% < 82.5% < 87.5%
----------------------------------------------------------------------------------------
0 - 100K < 100K 0.08 0.01 0.03 0.10 0.05
100K - 200K < 200K 0.09 0.02 0.12 0.50 0.15
200K - 300K < 300K 0.07 0.00 0.11 0.31 0.13
300K - 400K < 400K 0.06 0.00 0.06 0.28 0.03
400K - 500K < 500K 0.04 0.00 0.08 0.23 0.00
500K - 750K < 750K 0.00 0.00 0.00 0.16 0.06
750K - 1.0MM < 1.0 MM 0.00 0.00 0.00 0.00 0.00
1.0MM - 1.5MM < 1.5 MM 0.00 0.00 0.00 0.00 0.00
1.5MM - 2.0MM < 2 MM 0.00 0.00 0.00 0.00 0.00
>2.0MM > 2 MM 0.00 0.00 0.00 0.00 0.00
----------------------------------------------------------------------------------------
Loan Balance
------------------------------------------------------
87.5 - 92.5 92.5 - 97.5 >97.5
------------------------------------------------------
< 92.5% < 97.5% > 97.5%
------------------------------------------------------
0 - 100K 0.20 0.03 0.12
100K - 200K 0.31 0.16 0.03
200K - 300K 0.30 0.13 0.00
300K - 400K 0.19 0.09 0.00
400K - 500K 0.12 0.04 0.00
500K - 750K 0.42 0.06 0.00
750K - 1.0MM 0.00 0.00 0.00
1.0MM - 1.5MM 0.00 0.00 0.00
1.5MM - 2.0MM 0.00 0.00 0.00
>2.0MM 0.00 0.00 0.00
------------------------------------------------------
-----------------------------------------------------------------------------------------
Range Assumptions <67.5 67.5 - 72.5 72.5 - 77.5 77.5 - 82.5 82.5 - 87.5
-----------------------------------------------------------------------------------------
Original LTV
< 67.5% < 72.5% < 77.5% < 82.5% < 87.5%
-----------------------------------------------------------------------------------------
0 - 100K < 550 0.01 0.02 0.00 0.01 0.00
100K - 200K < 575 0.03 0.00 0.02 0.08 0.02
200K - 300K < 600 0.13 0.00 0.00 0.04 0.03
300K - 400K < 625 0.03 0.00 0.05 0.16 0.12
400K - 500K < 650 0.02 0.01 0.07 0.18 0.01
500K - 750K < 675 0.04 0.00 0.08 0.30 0.02
750K - 1.0MM < 700 0.04 0.00 0.04 0.27 0.05
1.0MM - 1.5MM < 725 0.00 0.00 0.03 0.29 0.06
1.5MM - 2.0MM > 725 0.04 0.00 0.09 0.24 0.11
>2.0MM Credit Score -----------------------------------------------------------------------------------------
-----------------------------------------------------
87.5 - 92.5 92.5 - 97.5 >97.5
< 92.5% < 97.5% > 97.5%
-----------------------------------------------------
0 - 100K 0.00 0.00 0.00
100K - 200K 0.03 0.00 0.00
200K - 300K 0.04 0.01 0.00
300K - 400K 0.27 0.00 0.01
400K - 500K 0.19 0.08 0.02
500K - 750K 0.34 0.12 0.03
750K - 1.0MM 0.13 0.10 0.02
1.0MM - 1.5MM 0.18 0.07 0.04
1.5MM - 2.0MM 0.36 0.12 0.04
>2.0MM -----------------------------------------------------
-----------------------------------------------------------------------------------------
Range Assumptions <550 550 - 575 575 - 600 600 - 625 625 - 650
-----------------------------------------------------------------------------------------
Credit Score
< 550 < 575 < 600 < 625 < 650
-----------------------------------------------------------------------------------------
0 - 100K < 100K 0.02 0.04 0.05 0.06 0.09
100K - 200K < 200K 0.02 0.06 0.06 0.19 0.18
200K - 300K < 300K 0.00 0.09 0.06 0.04 0.10
300K - 400K < 400K 0.00 0.00 0.03 0.09 0.13
400K - 500K < 500K 0.00 0.00 0.04 0.04 0.04
500K - 750K < 750K 0.00 0.00 0.00 0.22 0.05
750K - 1.0MM < 1.0 MM 0.00 0.00 0.00 0.00 0.00
1.0MM - 1.5MM < 1.5 MM 0.00 0.00 0.00 0.00 0.00
1.5MM - 2.0MM < 2 MM 0.00 0.00 0.00 0.00 0.00
>2.0MM > 2 MM 0.00 0.00 0.00 0.00 0.00
-----------------------------------------------------------------------------------------
Loan Balance
----------------------------------------------------------------------
650 - 675 675 - 700 700 - 725 > 725
----------------------------------------------------------------------
< 675 < 700 < 725 > 725
----------------------------------------------------------------------
0 - 100K 0.13 0.06 0.07 0.10
100K - 200K 0.19 0.22 0.24 0.23
200K - 300K 0.24 0.16 0.15 0.20
300K - 400K 0.12 0.09 0.03 0.23
400K - 500K 0.15 0.08 0.08 0.08
500K - 750K 0.11 0.05 0.10 0.16
750K - 1.0MM 0.00 0.00 0.00 0.00
1.0MM - 1.5MM 0.00 0.00 0.00 0.00
1.5MM - 2.0MM 0.00 0.00 0.00 0.00
>2.0MM 0.00 0.00 0.00 0.00
----------------------------------------------------------------------
-----------------------------------------------------------------------------------------
Range Assumptions <67.5 67.5 - 72.5 72.5 - 77.5 77.5 - 82.5 82.5 - 87.5
-----------------------------------------------------------------------------------------
Original LTV
< 67.5% < 72.5% < 77.5% < 82.5% < 87.5%
-----------------------------------------------------------------------------------------
<550 < 550 67,318.81 69,991.91 46,467.58 135,706.47 0.00
550 - 575 < 575 123,950.85 0.00 136,268.47 171,458.87 140,996.44
575 - 600 < 600 179,589.95 0.00 0.00 109,044.34 154,437.68
600 - 625 < 625 101,456.23 0.00 193,594.39 255,594.64 196,269.29
625 - 650 < 650 137,279.55 157,259.58 169,174.73 187,344.10 49,734.17
650 - 675 < 675 168,828.35 0.00 294,422.56 241,182.09 131,347.98
675 - 700 < 700 159,739.05 0.00 140,905.93 234,573.86 177,922.66
700 - 725 < 725 0.00 0.00 172,247.86 237,433.92 161,340.32
> 725 > 725 398,576.62 0.00 244,279.79 173,473.77 237,918.49
-----------------------------------------------------------------------------------------
Credit Score
-----------------------------------------------------
87.5 - 92.5 92.5 - 97.5 >97.5
-----------------------------------------------------
< 92.5% < 97.5% > 97.5%
-----------------------------------------------------
<550 0.00 0.00 0.00
550 - 575 167,634.37 0.00 0.00
575 - 600 147,675.21 109,136.29 0.00
600 - 625 251,749.63 52,135.84 32,372.19
625 - 650 153,524.83 230,381.46 61,240.26
650 - 675 184,755.28 167,638.41 53,926.66
675 - 700 166,397.24 297,071.14 64,345.09
700 - 725 169,002.92 161,481.43 58,553.78
> 725 237,848.43 200,673.32 33,996.12
-----------------------------------------------------
---------------------------------------------------------------------------
Range Assumptions <67.5 67.5 - 72.5 72.5 - 77.5 77.5 - 82.5
---------------------------------------------------------------------------
Original LTV
< 67.5 < 72.5 < 77.5 < 82.5
---------------------------------------------------------------------------
0 - 100K < 100K 593 517 629 652
100K - 200K < 200K 628 599 655 676
200K - 300K < 300K 638 0 696 668
300K - 400K < 400K 687 0 633 676
400K - 500K < 500K 599 0 710 700
500K - 750K < 750K 0 0 0 662
750K - 1.0MM < 1.0 MM 0 0 0 0
1.0MM - 1.5MM < 1.5 MM 0 0 0 0
1.5MM - 2.0MM < 2 MM 0 0 0 0
>2.0MM > 2 MM 0 0 0 0
---------------------------------------------------------------------------
Loan Balance
-------------------------------------------------------------------------
82.5 - 87.5 87.5 - 92.5 92.5 - 97.5 >97.5
-------------------------------------------------------------------------
Original LTV
< 87.5 < 92.5 < 97.5 > 97.5
-------------------------------------------------------------------------
0 - 100K 641 674 693 696
100K - 200K 669 674 697 697
200K - 300K 686 677 680 0
300K - 400K 755 691 683 0
400K - 500K 0 657 636 0
500K - 750K 622 680 746 0
750K - 1.0MM 0 0 0 0
1.0MM - 1.5MM 0 0 0 0
1.5MM - 2.0MM 0 0 0 0
>2.0MM 0 0 0 0
-------------------------------------------------------------------------
------------------------------------------------------------------------------------------
Range Assumptions <67.5 67.5 - 72.5 72.5 - 77.5 77.5 - 82.5 82.5 - 87.5
------------------------------------------------------------------------------------------
Original LTV
< 67.5% < 72.5% < 77.5% < 82.5% < 87.5%
------------------------------------------------------------------------------------------
<550 < 550 8.67 9.14 11.13 9.75 0.00
550 - 575 < 575 8.35 0.00 8.68 7.27 7.28
575 - 600 < 600 7.06 0.00 0.00 8.04 8.91
600 - 625 < 625 6.71 0.00 6.70 6.91 6.89
625 - 650 < 650 6.49 7.38 7.28 7.07 8.70
650 - 675 < 675 6.58 0.00 6.98 6.72 7.16
675 - 700 < 700 7.05 0.00 7.33 6.46 7.34
700 - 725 < 725 0.00 0.00 6.71 6.71 7.07
> 725 > 725 6.63 0.00 6.80 6.52 6.72
------------------------------------------------------------------------------------------
Credit Score
--------------------------------------------------------
87.5 - 92.5 92.5 - 97.5 >97.5
--------------------------------------------------------
< 92.5% < 97.5% > 97.5%
--------------------------------------------------------
<550 0.00 0.00 0.00
550 - 575 8.29 0.00 0.00
575 - 600 8.66 9.25 0.00
600 - 625 7.62 7.63 12.21
625 - 650 7.11 7.24 9.35
650 - 675 7.04 7.22 10.60
675 - 700 6.79 7.06 10.41
700 - 725 6.57 7.91 10.16
> 725 7.34 7.15 10.46
--------------------------------------------------------
OWNER
------------------------------------------------------------------------------------------
Range Assumptions <67.5 67.5 - 72.5 72.5 - 77.5 77.5 - 82.5 82.5 - 87.5
------------------------------------------------------------------------------------------
Original LTV
< 67.5% < 72.5% < 77.5% < 82.5% < 87.5%
------------------------------------------------------------------------------------------
0 - 100K < 100K 0.35 0.18 0.32 1.81 0.32
100K - 200K < 200K 2.11 0.83 1.20 9.82 1.63
200K - 300K < 300K 1.56 1.00 1.20 12.84 1.78
300K - 400K < 400K 0.61 0.77 1.38 9.61 2.43
400K - 500K < 500K 0.85 0.56 0.90 5.45 0.84
500K - 750K < 750K 0.39 0.70 0.88 6.06 0.99
750K - 1.0MM < 1.0 MM 0.00 0.00 0.00 0.43 0.14
1.0MM - 1.5MM < 1.5 MM 0.00 0.00 0.00 0.00 0.00
1.5MM - 2.0MM < 2 MM 0.00 0.00 0.00 0.00 0.00
>2.0MM > 2 MM 0.00 0.00 0.00 0.00 0.00
------------------------------------------------------------------------------------------
Loan Balance
-----------------------------------------------------
87.5 - 92.5 92.5 - 97.5 >97.5
-----------------------------------------------------
< 92.5% < 97.5% > 97.5%
-----------------------------------------------------
0 - 100K 0.53 0.63 6.33
100K - 200K 2.00 1.58 1.96
200K - 300K 2.27 1.59 0.11
300K - 400K 2.46 1.26 0.03
400K - 500K 1.51 0.70 0.08
500K - 750K 1.50 0.56 0.00
750K - 1.0MM 0.00 0.00 0.00
1.0MM - 1.5MM 0.00 0.00 0.00
1.5MM - 2.0MM 0.00 0.00 0.00
>2.0MM 0.00 0.00 0.00
-----------------------------------------------------
-----------------------------------------------------------------------------------------
Range Assumptions <67.5 67.5 - 72.5 72.5 - 77.5 77.5 - 82.5 82.5 - 87.5
-----------------------------------------------------------------------------------------
Original LTV
< 67.5% < 72.5% < 77.5% < 82.5% < 87.5%
-----------------------------------------------------------------------------------------
<550 < 550 1.31 0.91 1.44 2.04 1.89
550 - 575 < 575 0.90 0.47 0.81 1.67 1.01
575 - 600 < 600 1.07 0.64 0.67 4.02 1.07
600 - 625 < 625 0.74 0.51 0.84 6.09 1.15
625 - 650 < 650 0.75 0.46 0.67 6.94 1.10
650 - 675 < 675 0.53 0.60 0.56 9.33 0.91
675 - 700 < 700 0.29 0.25 0.49 7.00 0.50
700 - 725 < 725 0.13 0.07 0.14 4.12 0.22
> 725 > 725 0.15 0.13 0.25 4.81 0.28
-----------------------------------------------------------------------------------------
Credit Score
-----------------------------------------------------
87.5 - 92.5 92.5 - 97.5 >97.5
-----------------------------------------------------
< 92.5% < 97.5% > 97.5%
-----------------------------------------------------
<550 0.92 0.09 0.02
550 - 575 1.41 1.09 0.06
575 - 600 1.47 0.68 0.67
600 - 625 1.97 1.52 1.06
625 - 650 1.26 1.03 1.25
650 - 675 1.51 0.83 1.86
675 - 700 0.75 0.48 1.57
700 - 725 0.45 0.42 0.98
> 725 0.52 0.18 1.04
-----------------------------------------------------
-----------------------------------------------------------------------------------------
Range Assumptions <550 550 - 575 575 - 600 600 - 625 625 - 650
-----------------------------------------------------------------------------------------
Credit Score
< 550 < 575 < 600 < 625 < 650
-----------------------------------------------------------------------------------------
0 - 100K < 100K 0.67 0.44 1.26 1.54 1.64
100K - 200K < 200K 2.47 1.92 2.78 3.04 3.15
200K - 300K < 300K 2.25 1.93 2.71 3.52 3.31
300K - 400K < 400K 1.86 1.54 1.56 2.32 2.72
400K - 500K < 500K 0.92 0.96 1.05 1.84 1.23
500K - 750K < 750K 0.46 0.62 0.94 1.55 1.20
750K - 1.0MM < 1.0 MM 0.00 0.00 0.00 0.07 0.22
1.0MM - 1.5MM < 1.5 MM 0.00 0.00 0.00 0.00 0.00
1.5MM - 2.0MM < 2 MM 0.00 0.00 0.00 0.00 0.00
>2.0MM > 2 MM 0.00 0.00 0.00 0.00 0.00
-----------------------------------------------------------------------------------------
Loan Balance
-----------------------------------------------------------------------
650 - 675 675 - 700 700 - 725 > 725
-----------------------------------------------------------------------
< 675 < 700 < 725 > 725
-----------------------------------------------------------------------
0 - 100K 1.80 1.34 0.87 0.92
100K - 200K 3.26 2.02 1.23 1.25
200K - 300K 3.12 2.50 1.37 1.63
300K - 400K 3.36 2.43 1.34 1.44
400K - 500K 1.66 1.37 0.79 1.06
500K - 750K 2.91 1.46 0.92 1.01
750K - 1.0MM 0.00 0.21 0.00 0.07
1.0MM - 1.5MM 0.00 0.00 0.00 0.00
1.5MM - 2.0MM 0.00 0.00 0.00 0.00
>2.0MM 0.00 0.00 0.00 0.00
-----------------------------------------------------------------------
------------------------------------------------------------------------------------------
Range Assumptions <67.5 67.5 - 72.5 72.5 - 77.5 77.5 - 82.5 82.5 - 87.5
------------------------------------------------------------------------------------------
Original LTV
< 67.5% < 72.5% < 77.5% < 82.5% < 87.5%
------------------------------------------------------------------------------------------
<550 < 550 190,365.46 229,608.43 230,167.04 163,778.87 185,813.33
550 - 575 < 575 195,232.43 211,563.90 200,075.08 239,243.08 249,244.95
575 - 600 < 600 224,858.20 249,244.79 200,034.64 195,415.16 258,766.25
600 - 625 < 625 227,508.10 232,199.19 215,892.06 222,731.56 266,770.01
625 - 650 < 650 196,696.60 216,459.99 245,953.49 225,348.29 249,505.45
650 - 675 < 675 180,583.52 322,615.54 226,315.65 263,709.18 258,862.73
675 - 700 < 700 193,315.44 279,636.06 349,383.65 269,769.89 299,087.54
700 - 725 < 725 145,066.07 254,714.75 319,341.34 263,753.52 271,850.38
> 725 > 725 172,208.54 244,296.01 350,898.03 276,707.50 289,838.37
------------------------------------------------------------------------------------------
Credit Score
-----------------------------------------------------
87.5 - 92.5 92.5 - 97.5 >97.5
-----------------------------------------------------
< 92.5% < 97.5% > 97.5%
-----------------------------------------------------
<550 254,793.75 214,487.28 51,232.35
550 - 575 213,637.99 202,280.67 55,213.28
575 - 600 198,198.45 164,688.77 40,795.80
600 - 625 232,550.10 189,483.93 48,331.25
625 - 650 219,466.31 174,246.77 52,270.73
650 - 675 258,385.21 176,353.72 63,263.04
675 - 700 257,053.27 216,192.78 69,327.79
700 - 725 301,415.59 188,881.27 70,871.87
> 725 269,079.46 110,123.29 69,114.22
-----------------------------------------------------
-----------------------------------------------------------------------------------------
Range Assumptions <67.5 67.5 - 72.5 72.5 - 77.5 77.5 - 82.5 82.5 - 87.5
-----------------------------------------------------------------------------------------
Original LTV
< 67.5% < 72.5% < 77.5% < 82.5% < 87.5%
-----------------------------------------------------------------------------------------
0 - 100K < 100K 607 598 591 623 570
100K - 200K < 200K 601 599 591 640 593
200K - 300K < 300K 590 599 589 653 595
300K - 400K < 400K 607 603 603 662 613
400K - 500K < 500K 586 598 630 661 606
500K - 750K < 750K 624 625 629 668 630
750K - 1.0MM < 1.0 MM 0 0 0 682 628
1.0MM - 1.5MM < 1.5 MM 0 0 0 0 0
1.5MM - 2.0MM < 2 MM 0 0 0 0 0
>2.0MM > 2 MM 0 0 0 0 0
-----------------------------------------------------------------------------------------
Loan Balance
------------------------------------------------------
87.5 - 92.5 92.5 - 97.5 >97.5
------------------------------------------------------
< 92.5% < 97.5% > 97.5%
------------------------------------------------------
0 - 100K 618 643 663
100K - 200K 614 618 678
200K - 300K 613 619 690
300K - 400K 620 628 675
400K - 500K 632 644 721
500K - 750K 645 639 0
750K - 1.0MM 0 0 0
1.0MM - 1.5MM 0 0 0
1.5MM - 2.0MM 0 0 0
>2.0MM 0 0 0
------------------------------------------------------
Range Assumptions
Original LTV
< 67.5% < 72.5% < 77.5% < 82.5% < 87.5%
-----------------------------------------------------------------------------------------
<550 < 550 7.66 8.15 7.78 8.13 8.25
550 - 575 < 575 7.16 7.17 7.26 7.14 7.32
575 - 600 < 600 6.85 6.65 6.84 7.05 7.13
600 - 625 < 625 6.46 6.62 6.72 6.74 6.76
625 - 650 < 650 6.46 6.39 6.75 6.80 6.73
650 - 675 < 675 6.41 6.19 6.53 6.57 6.67
675 - 700 < 700 6.83 6.63 6.63 6.48 6.52
700 - 725 < 725 6.27 5.78 6.96 6.40 6.44
> 725 > 725 6.34 6.53 6.72 6.25 5.97
-----------------------------------------------------------------------------------------
Credit Score
< 92.5% < 97.5% > 97.5%
---------------------------------------------------
<550 8.01 8.80 11.52
550 - 575 7.53 8.28 10.38
575 - 600 7.34 8.36 11.34
600 - 625 7.11 7.68 11.06
625 - 650 7.08 7.59 10.60
650 - 675 6.96 7.57 10.06
675 - 700 6.72 7.53 9.84
700 - 725 6.82 7.24 9.46
> 725 6.53 8.13 9.31
---------------------------------------------------
Top 50 Zipcodes
---------------------------------------------------------------------------
Avg
% Collateral Average Avg Loan Credit
Zip Code Balance LTV Balance Score
---------------------------------------------------------------------------
93535 0.54 83.77 130,902.44 649
91342 0.51 81.00 184,847.17 667
92336 0.44 82.30 226,432.32 662
91343 0.39 84.23 247,039.38 671
91344 0.39 85.52 277,399.62 672
93550 0.36 80.37 163,074.98 636
92345 0.35 84.99 145,374.83 651
92881 0.33 86.06 344,232.07 651
94806 0.31 83.19 272,895.06 680
93551 0.31 85.11 270,020.86 608
93536 0.30 86.14 189,192.39 612
90003 0.30 84.63 178,578.28 672
90280 0.30 82.91 198,796.43 649
91766 0.30 82.25 210,058.85 642
92882 0.29 82.67 325,366.83 661
90002 0.28 81.22 131,842.27 650
91706 0.27 80.38 205,825.71 662
92555 0.27 84.39 236,284.55 622
92530 0.27 81.26 168,889.46 650
93021 0.27 75.40 337,277.66 625
91335 0.26 80.77 199,564.66 655
90011 0.26 79.40 175,527.57 681
94591 0.26 84.61 212,700.69 639
92376 0.26 83.21 173,155.46 632
91331 0.26 80.70 209,517.95 655
91001 0.26 83.24 323,713.51 669
92504 0.25 83.32 219,667.93 634
91402 0.25 82.92 189,598.41 673
92691 0.25 82.71 405,559.49 652
92324 0.25 83.60 175,659.77 613
11236 0.24 78.77 251,304.10 627
91913 0.24 84.36 388,713.50 654
94014 0.24 83.96 270,646.03 683
94509 0.24 85.78 246,029.26 679
92557 0.24 81.43 178,809.23 632
91411 0.23 86.42 266,186.05 674
90045 0.23 83.35 437,510.97 665
92503 0.23 83.05 262,276.24 635
90019 0.23 76.22 370,111.35 661
90004 0.23 83.63 368,720.39 607
95823 0.23 80.91 151,088.09 636
20110 0.22 84.53 149,939.05 677
91356 0.22 79.64 317,490.92 641
92335 0.22 76.87 148,933.81 663
94565 0.22 81.26 276,985.97 647
92509 0.22 78.57 207,271.65 619
91791 0.22 79.23 245,505.28 686
94112 0.22 83.19 349,221.74 690
90250 0.21 79.83 345,631.76 667
91768 0.21 79.01 218,526.79 657
Other 86.10 82.11 177,358.85 637
---------------------------------------------------------------------------
Total: 100.00 82.15 181,905.83 639
---------------------------------------------------------------------------
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 2004-WMC3
-----------------------------------------------------------------
Selection Criteria: Full Documentation & Purchase
=================================================================
Number of Mortgage Loans: 1,498
Total Current Balance: 214,270,750.04
Average Current Balance: 143,037.88
Weighted Average FICO Score: 652.0
Weighted Average Current LTV: 84.88
Weighted Average DTI Ratio: 40.97
% Cash-Out Refinance: 0.0
% Full Documentation: 100.0
% Owner Occupied: 91.4
Weighted Average Coupon: 7.117
Weighted Average Margin: 5.824
% 2-4 Family: 6.7
% MH: 0.2
% PUD: 13.6
% Condo: 13.2
% Silent Second: 59.33
# 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: 340
Total Current Balance: 64,573,047.73
Average Current Balance: 189,920.73
Weighted Average FICO Score: 651.2
Weighted Average Current LTV: 84.08
Weighted Average DTI Ratio: 38.25
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 90.8
Weighted Average Coupon: 7.143
Weighted Average Margin: 5.952
% 2-4 Family: 5.1
% MH: 0.1
% PUD: 11.6
% Condo: 12.4
% Silent Second: 59.96
# 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: 1,641
Total Current Balance: 281,226,022.13
Average Current Balance: 171,374.78
Weighted Average FICO Score: 677.9
Weighted Average Current LTV: 83.33
Weighted Average DTI Ratio: 41.45
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 96.3
Weighted Average Coupon: 7.498
Weighted Average Margin: 6.119
% 2-4 Family: 8.7
% MH: 0.2
% PUD: 15.5
% Condo: 10.8
% Silent Second: 69.57
# 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: 1,197
Total Current Balance: 232,965,500.84
Average Current Balance: 194,624.48
Weighted Average FICO Score: 605.7
Weighted Average Current LTV: 81.65
Weighted Average DTI Ratio: 41.30
% Cash-Out Refinance: 100.0
% Full Documentation: 100.0
% Owner Occupied: 96.1
Weighted Average Coupon: 7.111
Weighted Average Margin: 6.251
% 2-4 Family: 4.7
% MH: 0.9
% PUD: 11.6
% Condo: 6.3
% Silent Second: 10.90
# 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: 200
Total Current Balance: 45,947,778.35
Average Current Balance: 229,738.89
Weighted Average FICO Score: 615.0
Weighted Average Current LTV: 81.01
Weighted Average DTI Ratio: 38.48
% Cash-Out Refinance: 100.0
% Full Documentation: 0.0
% Owner Occupied: 93.3
Weighted Average Coupon: 7.107
Weighted Average Margin: 6.217
% 2-4 Family: 3.4
% MH: 0.7
% PUD: 8.1
% Condo: 10.1
% Silent Second: 19.20
# 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: 568
Total Current Balance: 130,919,792.12
Average Current Balance: 230,492.59
Weighted Average FICO Score: 631.3
Weighted Average Current LTV: 76.86
Weighted Average DTI Ratio: 40.09
% Cash-Out Refinance: 100.0
% Full Documentation: 0.0
% Owner Occupied: 95.7
Weighted Average Coupon: 7.169
Weighted Average Margin: 6.186
% 2-4 Family: 9.1
% MH: 0.6
% PUD: 7.9
% Condo: 7.0
% Silent Second: 13.88
# 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: 512
Total Current Balance: 98,643,932.94
Average Current Balance: 192,663.93
Weighted Average FICO Score: 605.8
Weighted Average Current LTV: 81.69
Weighted Average DTI Ratio: 41.17
% Cash-Out Refinance: 0.0
% Full Documentation: 100.0
% Owner Occupied: 97.8
Weighted Average Coupon: 7.101
Weighted Average Margin: 6.338
% 2-4 Family: 8.6
% MH: 0.6
% PUD: 7.4
% Condo: 5.6
% Silent Second: 9.95
# 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: 87
Total Current Balance: 19,363,620.38
Average Current Balance: 222,570.35
Weighted Average FICO Score: 606.9
Weighted Average Current LTV: 83.03
Weighted Average DTI Ratio: 39.44
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 96.1
Weighted Average Coupon: 7.067
Weighted Average Margin: 6.367
% 2-4 Family: 2.9
% MH: 1.0
% PUD: 15.6
% Condo: 8.6
% Silent Second: 11.90
# 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: 185
Total Current Balance: 44,999,062.88
Average Current Balance: 243,238.18
Weighted Average FICO Score: 625.5
Weighted Average Current LTV: 75.20
Weighted Average DTI Ratio: 38.42
% Cash-Out Refinance: 0.0
% Full Documentation: 0.0
% Owner Occupied: 98.3
Weighted Average Coupon: 7.170
Weighted Average Margin: 6.198
% 2-4 Family: 14.6
% MH: 2.4
% PUD: 3.7
% Condo: 3.7
% Silent Second: 11.29
# of Bankruptcy's in past 36 months: N/A
# of Foreclosures in past 36 months: N/A
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
2004-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 1,959 424,927,355 46.96 216,910 6.842 6.097 82.20 618.5
Stated Documentation 1,400 370,499,813 40.94 264,643 6.975 6.146 79.01 656.7
Limited Documentation 407 109,471,668 12.10 268,972 6.830 6.110 81.61 628.0
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 240,281 6.895 6.119 80.82 635.3
------------------------------------------------------------------------------------------------------------------------------------
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 11 1,886,802 0.21 171,527 8.304 6.441 77.89 500.0
501 - 520 158 29,930,766 3.31 189,435 8.050 6.534 75.24 511.1
521 - 540 188 39,667,329 4.38 210,996 8.057 6.734 77.84 530.8
541 - 560 239 52,034,732 5.75 217,719 7.567 6.585 79.92 552.5
561 - 580 275 59,035,340 6.52 214,674 7.337 6.504 81.55 570.6
581 - 600 401 87,429,170 9.66 218,028 7.121 6.245 79.70 590.8
601 - 620 426 100,189,190 11.07 235,186 6.857 6.118 82.32 611.3
621 - 640 423 98,149,656 10.85 232,032 6.812 6.083 81.89 629.8
641 - 660 444 106,644,822 11.79 240,191 6.762 5.989 80.84 650.4
661 - 680 411 112,602,667 12.44 273,972 6.537 5.907 81.28 669.6
681 - 700 295 85,116,986 9.41 288,532 6.505 5.855 80.73 689.9
701 - 720 183 48,929,585 5.41 267,375 6.433 5.835 81.11 709.6
721 - 740 143 36,875,260 4.08 257,869 6.454 5.930 82.32 729.9
741 - 760 88 24,554,605 2.71 279,030 6.341 5.779 81.64 750.5
761 - 780 60 16,425,636 1.82 273,761 6.339 6.023 80.79 768.3
781 - 800 19 4,975,891 0.55 261,889 6.402 5.952 81.85 788.2
801 - 820 2 450,400 0.05 225,200 5.830 5.625 80.00 801.7
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 240,281 6.895 6.119 80.82 635.3
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 500
Maximum: 802
Non-Zero Weighted Average: 635
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
Range of Combined Mortgage Principal Principal Principal Interest Gross Original Average
Original LTV Ratios (%) Loans Balance Balance Balance Rate Margin LTV FICO Score
------------------------------------------------------------------------------------------------------------------------------------
10.01 - 15.00 1 59,883 0.01 59,883 6.125 6.500 12.63 584.0
15.01 - 20.00 1 119,820 0.01 119,820 7.450 6.125 15.38 670.0
20.01 - 25.00 2 329,558 0.04 164,779 8.034 6.568 20.75 520.1
25.01 - 30.00 4 239,371 0.03 59,843 7.346 6.498 28.30 601.5
30.01 - 35.00 8 922,951 0.10 115,369 7.274 6.003 32.24 573.1
35.01 - 40.00 10 1,748,947 0.19 174,895 7.045 5.979 38.38 597.7
40.01 - 45.00 6 1,170,599 0.13 195,100 6.876 6.439 43.41 600.7
45.01 - 50.00 22 3,880,060 0.43 176,366 6.991 6.158 48.29 588.0
50.01 - 55.00 24 4,778,938 0.53 199,122 7.146 5.896 52.74 612.0
55.01 - 60.00 55 11,760,824 1.30 213,833 6.915 6.084 58.05 583.8
60.01 - 65.00 68 16,376,202 1.81 240,827 6.877 6.017 62.83 583.8
65.01 - 70.00 140 32,003,636 3.54 228,597 7.015 6.099 68.40 589.1
70.01 - 75.00 223 55,179,086 6.10 247,440 7.035 6.182 73.90 604.7
75.01 - 80.00 2,080 505,245,604 55.83 242,907 6.680 5.894 79.82 654.3
80.01 - 85.00 321 79,908,935 8.83 248,937 7.202 6.366 84.29 601.9
85.01 - 90.00 494 123,200,853 13.61 249,394 7.103 6.484 89.53 625.0
90.01 - 95.00 280 63,560,072 7.02 227,000 7.535 6.850 94.74 624.6
95.01 - 100.00 27 4,413,497 0.49 163,463 7.755 6.599 99.17 663.5
------------------------------------------------------------------------------------------------------------------------------------
Total: 3,766 904,898,836 100.00 240,281 6.895 6.119 80.82 635.3
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 12.63
Maximum: 100.00
Weighted Average: 80.82
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
Documentation Level Mortgage Principal Principal Principal Interest Gross Original Average
Greater than 85% LTV Loans Balance Balance Balance Rate Margin LTV FICO Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 562 125,642,828 65.72 223,564 7.239 6.613 91.60 614.1
Stated Documentation 133 39,428,767 20.62 296,457 7.344 6.528 90.84 658.1
Limited Documentation 106 26,102,827 13.65 246,253 7.248 6.707 91.87 632.7
------------------------------------------------------------------------------------------------------------------------------------
Total: 801 191,174,422 100.00 238,670 7.262 6.608 91.48 625.8
------------------------------------------------------------------------------------------------------------------------------------
S:\Home Equity\2004-wmc3\20041124_wmc3_termsheet.cas
12/2/2004 10:58
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
2004-WMC3
Fixed Rate 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 1,248 120,952,829 53.05 96,917 8.058 86.14 642.7
Stated Documentation 994 86,645,064 38.00 87,168 9.066 88.41 670.7
Limited Documentation 220 20,412,779 8.95 92,785 8.669 90.72 652.1
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 92,612 8.496 87.41 654.2
------------------------------------------------------------------------------------------------------------------------------------
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 2 452,317 0.20 226,159 6.745 70.77 500.0
501 - 520 13 1,115,347 0.49 85,796 8.940 72.79 512.4
521 - 540 27 3,829,819 1.68 141,845 8.388 73.40 530.7
541 - 560 45 5,710,178 2.50 126,893 7.973 74.49 553.0
561 - 580 67 8,128,240 3.56 121,317 8.079 80.18 571.4
581 - 600 227 14,555,275 6.38 64,120 9.278 85.66 591.0
601 - 620 304 26,852,268 11.78 88,330 8.546 86.49 610.9
621 - 640 317 31,285,599 13.72 98,693 8.379 86.14 630.9
641 - 660 364 32,634,624 14.31 89,656 8.397 86.34 650.4
661 - 680 378 34,398,062 15.09 91,000 8.658 89.94 669.8
681 - 700 259 25,004,772 10.97 96,544 8.714 91.76 690.5
701 - 720 186 18,136,265 7.95 97,507 8.414 92.18 709.4
721 - 740 121 10,341,138 4.54 85,464 8.342 88.71 729.8
741 - 760 82 8,812,687 3.87 107,472 7.958 91.49 749.7
761 - 780 50 4,392,328 1.93 87,847 8.352 88.70 769.5
781 - 800 19 2,324,200 1.02 122,326 7.924 86.47 788.4
801 - 820 1 37,554 0.02 37,554 8.500 100.00 801.0
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 92,612 8.496 87.41 654.2
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 801
Weighted Average: 654
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
Range of Combined Mortgage Principal Principal Principal Interest Original Average
Original LTV Ratios (%) Loans Balance Balance Balance Rate LTV FICO Score
------------------------------------------------------------------------------------------------------------------------------------
<= 10.00 1 59,886 0.03 59,886 6.250 8.22 674.0
10.01 - 15.00 2 120,481 0.05 60,240 7.080 11.88 630.9
15.01 - 20.00 1 24,417 0.01 24,417 7.000 15.15 778.0
20.01 - 25.00 5 478,487 0.21 95,697 7.167 22.86 671.0
25.01 - 30.00 4 294,634 0.13 73,658 6.719 27.76 639.0
30.01 - 35.00 5 568,314 0.25 113,663 6.917 31.87 610.7
35.01 - 40.00 7 812,874 0.36 116,125 6.606 38.18 647.2
40.01 - 45.00 9 1,636,000 0.72 181,778 6.812 42.74 612.7
45.01 - 50.00 15 2,254,033 0.99 150,269 6.580 48.21 659.9
50.01 - 55.00 16 2,727,091 1.20 170,443 7.089 52.49 607.8
55.01 - 60.00 13 2,840,104 1.25 218,470 6.838 58.52 615.0
60.01 - 65.00 29 6,612,552 2.90 228,019 6.827 63.43 639.3
65.01 - 70.00 44 8,103,139 3.55 184,162 6.898 68.55 620.0
70.01 - 75.00 68 13,911,096 6.10 204,575 7.010 73.54 643.2
75.01 - 80.00 219 40,630,826 17.82 185,529 6.964 79.50 648.3
80.01 - 85.00 82 15,851,134 6.95 193,307 7.106 84.22 636.4
85.01 - 90.00 129 20,111,637 8.82 155,904 7.423 89.50 649.7
90.01 - 95.00 152 15,379,172 6.74 101,179 8.677 94.55 668.1
95.01 - 100.00 1,661 95,594,796 41.93 57,553 10.246 99.96 667.3
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 92,612 8.496 87.41 654.2
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 8.22
Maximum: 100.00
Weighted Average: 87.41
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
Documentation Level Mortgage Principal Principal Principal Interest Original Average
Greater than 85% LTV Loans Balance Balance Balance Rate LTV FICO Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 928 63,196,807 48.21 68,100 9.156 96.97 653.0
Stated Documentation 830 53,421,532 40.75 64,363 10.263 98.72 681.7
Limited Documentation 184 14,467,266 11.04 78,626 9.351 97.28 652.8
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,942 131,085,605 100.00 67,500 9.629 97.72 664.7
------------------------------------------------------------------------------------------------------------------------------------
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
2004-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 - 50,000.00 777 29,527,494.31 2.61 10.328 8.89 644 95.49 54.26 95.60 71.30 17.34
50,000.01 - 75,000.00 721 44,699,604.10 3.95 9.424 25.94 649 92.11 48.66 94.38 70.04 22.40
Other 4,730 1,058,682,409.00 93.45 7.037 84.13 639 81.36 47.99 95.05 71.29 37.28
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507.41 100.00 7.217 79.87 639 82.15 48.18 95.04 71.24 36.18
------------------------------------------------------------------------------------------------------------------------------------
2. Current Mortgage Principal Balance Greater or Equal to 400K
------------------------------------------------------------------------------------------------------------------------------------
Wtd
Current Mortgage Number % of Avg
Principal of Total Total Wtd Wtd Comb Pct Pct Pct Pct
Balance Greater Mortgage Current Current Avg Pct Avg Orig Full Owner Single Cashout
or Equal to 400K Loans Balance Balance Coupon ARM FICO LTV Doc Occ Family Refi
------------------------------------------------------------------------------------------------------------------------------------
= 400,000 4 1,600,000.00 0.14 6.435 100.00 679 80.00 50.00 100.00 75.00 0.00
400000 - 450000 154 65,840,506.91 5.81 6.807 85.04 644 81.01 39.44 93.38 66.91 36.96
450000 - 500000 132 63,126,735.48 5.57 6.851 93.89 640 79.61 40.10 97.73 66.73 38.93
500000 - 550000 86 45,039,529.25 3.98 6.618 92.00 659 80.57 41.71 97.63 78.05 28.14
550000 - 600000 57 32,784,779.25 2.89 6.894 92.99 652 82.10 47.09 91.34 61.51 40.19
600000 - 650000 45 28,114,716.16 2.48 6.634 88.87 646 81.79 44.61 93.35 73.45 33.44
650000 - 700000 20 13,655,026.08 1.21 6.700 89.82 648 77.53 45.05 95.07 84.94 45.21
700000 - 750000 19 13,793,310.73 1.22 6.340 84.38 666 82.05 68.49 89.54 63.12 41.82
750000 - 800000 5 3,861,703.58 0.34 6.491 100.00 689 80.92 20.30 100.00 80.06 19.94
800000 - 850000 2 1,666,776.95 0.15 6.197 100.00 644 82.55 100.00 100.00 50.91 49.09
950000 - 1000000 1 994,259.35 0.09 6.990 100.00 629 79.04 0.00 100.00 0.00 0.00
Other 5,703 862,432,163.67 76.13 7.367 76.61 636 82.61 49.74 95.07 71.83 36.19
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507.41 100.00 7.217 79.87 639 82.15 48.18 95.04 71.24 36.18
------------------------------------------------------------------------------------------------------------------------------------
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 - 524 234 42,886,279.19 3.79 8.085 94.27 513 75.99 74.52 99.79 82.15 64.76
525 - 549 259 51,398,970.78 4.54 8.047 90.30 537 76.93 65.59 99.15 78.12 67.33
550 - 574 405 86,027,816.84 7.59 7.460 90.43 562 81.09 63.67 97.54 75.55 56.88
575 - 599 720 117,043,024.14 10.33 7.419 85.76 588 80.66 69.79 97.66 76.37 44.44
600 - 624 937 164,407,633.34 14.51 7.217 78.70 613 83.14 57.05 95.96 74.13 40.72
625 - 649 934 159,504,369.63 14.08 7.196 75.34 637 82.37 40.17 95.75 69.46 37.13
Other 2,739 511,641,413.49 45.16 6.981 76.29 694 83.32 36.33 92.69 67.35 23.52
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507.41 100.00 7.217 79.87 639 82.15 48.18 95.04 71.24 36.18
------------------------------------------------------------------------------------------------------------------------------------
4. Original Loan-to-Value Ratio Greater or Equal 80
------------------------------------------------------------------------------------------------------------------------------------
Wtd
Number % of Avg
Original of Total Total Wtd Wtd Comb Pct Pct Pct Pct
Loan-to-Value Ratio Mortgage Current Current Avg Pct Avg Orig Full Owner Single Cashout
Greater or Equal 80 Loans Balance Balance Coupon ARM FICO LTV Doc Occ Family Refi
------------------------------------------------------------------------------------------------------------------------------------
80.00 - 85.00 2,427 574,435,751.80 50.70 6.757 92.45 651 80.71 44.44 96.33 69.60 26.80
85.01 - 90.00 623 143,312,490.43 12.65 7.148 85.97 628 89.52 63.45 87.62 72.69 45.73
90.01 - 95.01 432 78,939,244.16 6.97 7.758 80.52 633 94.70 67.61 92.44 70.29 46.68
95.01 - 100.00 1,688 100,008,292.85 8.83 10.136 4.41 667 99.92 44.53 98.24 70.50 13.10
Other 1,058 236,213,728.17 20.85 6.962 77.34 608 69.45 43.07 95.92 74.97 59.43
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507.41 100.00 7.217 79.87 639 82.15 48.18 95.04 71.24 36.18
------------------------------------------------------------------------------------------------------------------------------------
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 132 21,048,340.90 1.86 7.006 81.34 684 85.81 50.86 0.00 56.67 18.61
Other 6,096 1,111,861,166.51 98.14 7.221 79.85 638 82.08 48.13 96.84 71.51 36.51
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507.41 100.00 7.217 79.87 639 82.15 48.18 95.04 71.24 36.18
------------------------------------------------------------------------------------------------------------------------------------
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 189 35,130,294.44 3.10 7.267 84.85 667 82.24 53.95 0.00 62.59 39.38
Other 6,039 1,097,779,212.97 96.90 7.216 79.71 638 82.15 48.00 98.08 71.51 36.07
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507.41 100.00 7.217 79.87 639 82.15 48.18 95.04 71.24 36.18
------------------------------------------------------------------------------------------------------------------------------------
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 1,965 409,833,071.31 36.18 7.129 79.64 615 80.20 56.84 95.67 76.23 100.00
Other 4,263 723,076,436.10 63.82 7.267 80.01 653 83.25 43.28 94.69 68.41 0.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507.41 100.00 7.217 79.87 639 82.15 48.18 95.04 71.24 36.18
------------------------------------------------------------------------------------------------------------------------------------
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 2,394 457,144,877.13 40.35 7.372 81.05 659 80.80 0.00 96.34 68.87 28.64
Other 3,834 675,764,630.28 59.65 7.113 79.08 625 83.07 80.78 94.16 72.84 41.27
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507.41 100.00 7.217 79.87 639 82.15 48.18 95.04 71.24 36.18
------------------------------------------------------------------------------------------------------------------------------------
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 627 129,884,446.46 11.46 7.119 84.28 632 83.04 0.00 92.46 73.43 35.38
Other 5,601 1,003,025,060.95 88.54 7.230 79.30 640 82.03 54.42 95.38 70.95 36.28
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507.41 100.00 7.217 79.87 639 82.15 48.18 95.04 71.24 36.18
------------------------------------------------------------------------------------------------------------------------------------
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 328 82,322,761.69 7.27 7.262 78.82 652 80.98 41.18 89.93 0.00 29.71
Other 5,900 1,050,586,745.72 92.73 7.214 79.96 638 82.24 48.73 95.44 76.82 36.68
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507.41 100.00 7.217 79.87 639 82.15 48.18 95.04 71.24 36.18
------------------------------------------------------------------------------------------------------------------------------------
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 648 203,871,130.77 18.00 6.313 100.00 682 81.27 46.25 96.85 66.98 23.82
Other 5,580 929,038,376.64 82.00 7.416 75.46 630 82.34 48.61 94.65 72.17 38.89
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507.41 100.00 7.217 79.87 639 82.15 48.18 95.04 71.24 36.18
------------------------------------------------------------------------------------------------------------------------------------
Collateral Cuts for MSAC 2004-WMC2
Note: Cells in red font are calculations
FICO Score
----------
FICO Total Balance LTV Adjusted Balance[1] WA Loan Balance WAC % Covered by WA FICO
----------------------- ------------------- Mortgage Ins.
Amount %[2] Amount %[2]
-----------------------------------------------------------------------------------------------------------------------------------
FICO NA 0 0% > 65.0 0 0%
0 - 500 2,339,120 0% > 65.0 2,089,500 0% 179,932 8.002 -- 500
500.01 - 550 95,946,908 8% > 70.0 74,477,664 7% 193,832 8.039 -- 528
550.01 - 575 86,153,583 8% > 70.0 71,770,829 6% 210,131 7.457 -- 563
575.01 - 600 119,335,704 11% > 70.0 100,081,303 9% 162,362 7.413 -- 589
600.01 - 620 127,041,457 11% > 70.0 116,561,659 10% 174,029 7.214 -- 611
620.01 - 650 196,838,295 17% > 80.0 72,864,651 6% 171,313 7.199 -- 635
650.01 - 680 218,877,135 19% > 80.0 73,334,798 6% 184,240 7.049 -- 665
680.01 - 700 110,121,757 10% > 85.0 28,100,205 2% 198,776 7.007 -- 690
700.01 - 750 131,224,198 12% > 85.0 39,987,942 4% 180,999 6.920 -- 721
750.01 - 800 44,543,395 4% > 85.0 11,101,553 1% 197,095 6.746 -- 767
800 + 487,954 0% > 85.0 37,554 0% 162,651 6.036 -- 802
-----------------------------------------------------------------------------------------------------------------------------------
Total: 1,132,909,507 100% 590,407,658 52% 181,906 7.217 -- 639
FICO: Average 639 Min: 500 Max: 802
-------------- ----------- -------
FICO WA LTV WA DTI % SFR/PUD % Owner Occ. % Full Doc % Cashout Refi
----------------------------------------------------------------------------------------
FICO NA
0 - 500 76.51 42.97 77.8 100.0 78.7 78.0
500.01 - 550 76.90 41.59 91.2 99.5 69.8 64.3
550.01 - 575 80.99 39.99 86.6 97.5 63.6 57.8
575.01 - 600 80.53 40.07 88.9 97.7 69.4 44.3
600.01 - 620 83.20 40.96 85.1 96.4 56.4 39.1
620.01 - 650 82.50 41.19 82.6 95.2 42.9 38.6
650.01 - 680 83.05 41.08 82.2 94.4 37.3 30.5
680.01 - 700 83.23 40.34 78.8 94.7 31.8 18.9
700.01 - 750 83.99 40.25 75.5 89.5 37.9 19.5
750.01 - 800 83.22 38.99 74.7 88.8 38.1 10.9
800 + 81.54 33.94 61.5 100.0 30.8 0.0
----------------------------------------------------------------------------------------
Total: 82.15 40.69 83.0 95.0 48.2 36.2
Debt To Income (DTI) Ratio
--------------------------
DTI Total Balance FICO Adjusted Balance[1] WA Loan Balance WAC % Covered by WA FICO
----------------------- ------------------- Mortgage Ins.
Amount %[2] Amount %[2]
-----------------------------------------------------------------------------------------------------------------------------------
<= 20 27,563,881 2% < 550 2,333,207 0% 138,512 7.358 -- 636
20.001 - 25.00 37,656,130 3% < 550 2,361,168 0% 151,839 7.152 -- 638
25.001 - 30.00 64,983,303 6% < 575 13,021,026 1% 164,099 7.117 -- 635
30.001 - 35.00 138,800,501 12% < 575 19,264,270 2% 185,562 7.091 -- 645
35.001 - 40.00 195,289,033 17% < 600 48,193,124 4% 179,494 7.142 -- 643
40.001 - 45.00 281,378,764 25% < 625 102,409,616 9% 188,213 7.265 -- 644
45.001 - 50.00 274,480,620 24% < 650 156,442,734 14% 183,354 7.336 -- 635
50.001 - 55.00 90,657,942 8% < 675 73,633,031 6% 204,645 7.138 -- 625
55+ 22,099,332 2% < 700 19,041,501 2% 193,854 7.153 -- 631
-----------------------------------------------------------------------------------------------------------------------------------
Total: 1,132,909,507 100% 436,699,677 39% 181,906 7.217 -- 639
DTI: Average 40.69 Min: 0.5 Max: 60.00
-------------- ----------- -------
DTI WA LTV WA DTI % SFR/PUD % Owner Occ. % Full Doc % Cashout Refi
-----------------------------------------------------------------------------------------
<= 20 79.99 15.19 85.6 87.1 38.6 40.6
20.001 - 25.00 80.34 22.65 83.8 94.1 52.2 43.3
25.001 - 30.00 81.02 27.74 85.2 96.7 49.9 40.2
30.001 - 35.00 81.52 32.70 82.6 94.4 49.8 39.0
35.001 - 40.00 81.75 37.67 81.8 94.3 46.2 32.4
40.001 - 45.00 82.68 42.71 83.7 95.4 43.8 31.9
45.001 - 50.00 82.52 47.80 83.5 95.9 43.9 35.8
50.001 - 55.00 83.32 52.28 80.4 95.7 70.6 46.2
55+ 82.55 56.55 80.7 93.6 71.4 40.8
-----------------------------------------------------------------------------------------
Total: 82.15 40.69 83.0 95.0 48.2 36.2
Loan To Value (LTV) Ratio
-------------------------
LTV Total Balance DTI Adjusted Balance[1] WA Loan Balance WAC % Covered by WA FICO
----------------------- ------------------- Mortgage Ins.
Amount %[2] Amount %[2]
-----------------------------------------------------------------------------------------------------------------------------------
< 60.00 36,827,270 3% > 50 4,234,022 0% 174,537 6.956 -- 603
60.01 - 70.00 63,095,530 6% > 50 5,600,147 0% 224,539 6.944 -- 597
70.01 - 80.00 614,966,611 54% > 50 47,599,100 4% 237,439 6.738 -- 649
80.01 - 85.00 95,760,069 8% > 50 12,159,261 1% 237,618 7.187 -- 608
85.01 - 90.00 143,312,490 13% > 50 20,772,636 2% 230,036 7.148 -- 628
90.01 - 95.00 78,939,244 7% > 50 15,087,653 1% 182,730 7.758 -- 633
95.01 - 100.00 100,008,293 9% > 50 7,304,455 1% 59,247 10.136 -- 667
100+ 0 0% > 50 0 0%
-----------------------------------------------------------------------------------------------------------------------------------
Total: 1,132,909,507 100% 112,757,274 10% 181,906 7.217 -- 639
LTV: Average 82.15 Min: 8.22 Max: 100.00
------------- ----- --------
LTV WA LTV WA DTI % SFR/PUD % Owner Occ. % Full Doc % Cashout Refi
-----------------------------------------------------------------------------------------
< 60.00 50.08 38.43 84.3 93.8 43.3 67.6
60.01 - 70.00 66.45 38.86 83.6 96.9 46.6 62.8
70.01 - 80.00 79.13 40.75 82.4 96.5 40.8 27.2
80.01 - 85.00 84.28 40.35 85.0 94.6 63.2 65.5
85.01 - 90.00 89.52 40.83 84.6 87.6 63.5 45.7
90.01 - 95.00 94.70 42.30 80.0 92.4 67.6 46.7
95.01 - 100.00 99.92 41.15 84.4 98.2 44.5 13.1
100+
-----------------------------------------------------------------------------------------
Total: 82.15 40.69 83.0 95.0 48.2 36.2
[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
STATE Total Balance WA Loan WAC % Covered by WA FICO
---------------------- Balance Mortgage Ins.
Amount %[2]
--------------------------------------------------------------------------------------
California 645,854,800 57% 232,657 6.983 -- 647
New York 59,209,868 5% 236,839 7.104 -- 634
Maryland 38,859,121 3% 154,817 7.585 -- 623
New Jersey 37,325,230 3% 201,758 7.387 -- 626
Illinois 37,140,943 3% 149,160 7.498 -- 628
Florida 37,108,358 3% 125,366 7.728 -- 628
Virginia 36,994,485 3% 151,617 7.557 -- 636
Texas 35,139,516 3% 98,155 7.798 -- 637
Arizona 22,896,474 2% 123,765 7.468 -- 638
Nevada 20,973,091 2% 149,808 7.383 -- 641
Connecticut 17,619,484 2% 217,524 7.415 -- 617
Massachusetts 16,572,338 1% 223,951 7.173 -- 630
Other 127,215,799 11% 111,691 7.711 -- 621
--------------------------------------------------------------------------------------
Total: 1,132,909,507 100% 181,906 7.217 -- 639
STATE WA LTV WA DTI % SFR/ PUD % Owner Occ % Full Doc % Cashout Refi
-----------------------------------------------------------------------------------------
California 81.49 40.71 82.5 95.4 43.2 35.8
New York 81.42 42.76 64.9 96.4 47.4 31.2
Maryland 82.42 41.84 92.7 95.4 60.3 47.3
New Jersey 81.08 39.43 72.6 93.4 44.6 43.1
Illinois 84.16 40.69 72.1 95.7 55.1 40.7
Florida 82.51 40.93 79.7 91.5 60.2 33.6
Virginia 83.12 41.74 87.9 97.8 45.5 27.3
Texas 82.99 36.90 98.0 94.2 51.7 25.5
Arizona 83.48 38.24 94.4 86.5 48.6 39.4
Nevada 81.42 38.79 91.8 86.1 46.6 36.0
Connecticut 82.96 41.72 65.3 93.5 50.3 33.4
Massachusetts 82.50 42.02 64.6 100.0 48.7 33.9
Other 84.59 40.75 94.1 95.7 65.4 39.9
-----------------------------------------------------------------------------------------
Total: 82.15 40.69 83.0 95.0 48.2 36.2
Principal Balance
Scheduled Principal Balance Total Balance WA Loan Balance WAC % Covered by WA FICO
---------------------- Mortgage Ins.
Amount %[2]
-------------------------------------------------------------------------------------------------------------
0 - $50K 34,164,007 3% 33,726 10.422 -- 644
$51 - $200K 346,567,687 31% 115,987 7.833 -- 634
$200.1 - $250K 135,864,340 12% 224,569 6.907 -- 631
$250.1 - $300K 129,052,318 11% 275,165 6.815 -- 636
$300.1 - $400K 218,383,812 19% 345,544 6.756 -- 641
$400.1 - $500K 128,967,242 11% 450,934 6.829 -- 642
$500.1 - $600K 77,824,309 7% 544,226 6.734 -- 656
$600.1 - $700K 41,769,742 4% 642,611 6.656 -- 647
$700.1 - $800K 17,655,014 2% 735,626 6.373 -- 671
$800.1 - $900K 1,666,777 0% 833,388 6.197 -- 644
$900.1 - $1000K 994,259 0% 994,259 6.990 -- 629
>$1000K 0 0%
-------------------------------------------------------------------------------------------------------------
Total: 1,132,909,507 100% 181,906 7.217 -- 639
Principal Balance: Average 181,906 Min: 11,587 Max: 994,259
---------- --------- ----------
Scheduled Principal Balance WA LTV WA DTI % SFR/PUD % Owner Occ % Full Doc % Cashout Refi
------------------------------------------------------------------------------------------------------
0 - $50K 95.93 39.21 86.4 95.8 55.8 16.8
$51 - $200K 83.50 39.60 85.3 93.9 54.9 34.6
$200.1 - $250K 80.68 40.87 82.9 95.0 47.1 39.8
$250.1 - $300K 80.50 41.59 78.8 96.2 46.3 37.6
$300.1 - $400K 81.52 41.33 81.2 96.3 44.3 38.5
$400.1 - $500K 80.32 42.28 80.6 95.5 39.8 37.9
$500.1 - $600K 81.21 39.80 82.3 95.0 44.0 33.2
$600.1 - $700K 80.40 41.02 90.5 93.9 44.8 37.3
$700.1 - $800K 81.80 40.63 91.8 91.8 57.9 37.0
$800.1 - $900K 82.55 37.71 100.0 100.0 100.0 49.1
$900.1 - $1000K 79.04 46.30 0.0 100.0 0.0 0.0
>$1000K
------------------------------------------------------------------------------------------------------
Total: 82.15 40.69 83.0 95.0 48.2 36.2
Documentation Type
------------------
Doc Type Total Balance WA Loan Balance WAC % Covered by WA FICO
---------------------- Mortgage Ins.
Amount %[2]
---------------------------------------------------------------------------------------------
Full Doc 545,880,184 48% 170,215 7.111 -- 624
Stated Doc 457,144,877 40% 190,954 7.372 -- 659
Limited Doc 129,884,446 11% 207,152 7.119 -- 632
NINA 0 0%
Other 0 0%
---------------------------------------------------------------------------------------------
Total: 1,132,909,507 100% 181,906 7.217 -- 639
Doc Type WA LTV WA DTI % SFR/PUD % Owner Occ % Cashout Refi
----------------------------------------------------------------------------
Full Doc 83.07 41.14 84.3 94.6 42.7
Stated Doc 80.80 40.76 81.0 96.3 28.6
Limited Doc 83.04 38.51 84.4 92.5 35.4
XXXX
Other
----------------------------------------------------------------------------
Total: 82.15 40.69 83.0 95.0 36.2
Property Type
-------------
Property Type Total Balance WA Loan Balance WAC % Covered by WA FICO
---------------------- Mortgage Ins.
Amount %[2]
-----------------------------------------------------------------------------------------------
Single Family 807,048,258 71% 179,623 7.223 -- 635
PUD 133,307,410 12% 182,613 7.312 -- 641
Townhouse 0 0%
2-4 Family 82,322,762 7% 250,984 7.262 -- 652
Condo 103,956,846 9% 166,865 7.029 -- 658
Manufactured 6,274,231 1% 116,189 7.061 0.000 641
Other 0 0%
-----------------------------------------------------------------------------------------------
Total: 1,132,909,507 100% 181,906 7.217 -- 639
Property Type WA LTV WA DTI % Owner Occ % Full Doc % Cashout Refi
------------------------------------------------------------------------------
Single Family 81.97 40.55 95.8 49.2 38.7
PUD 83.44 41.06 95.8 47.6 30.8
Townhouse
2-4 Family 80.98 42.90 89.9 41.2 29.7
Condo 83.36 39.87 92.4 46.6 27.4
Manufactured 73.65 35.38 93.5 51.6 53.4
Other
------------------------------------------------------------------------------
Total: 82.15 40.69 95.0 48.2 36.2
Primary Mortgage Insurance
--------------------------
Mortgage Insurance Total Balance WA Loan Balance WAC % Covered by WA FICO
-------------------- Mortgage Ins.
Amount %[2]
------------------------------------------------------------------------------------------------
Loans >80 LTV w/MI -- -- -- -- -- --
Loans >80 LTV w/o MI -- -- -- -- -- --
Other -- -- -- -- --
------------------------------------------------------------------------------------------------
Total: -- -- -- -- -- --
Mortgage Insurance WA LTV 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
-------------------- Mortgage Ins.
Amount %[2]
------------------------------------------------------------------------------------------
Debt Consolidation -- 0%
Refinance - Cashout 409,833,071 36% 208,566 7.129 --
Purchase 560,069,820 49% 160,986 7.311 --
Refinance - Rate Term 163,006,616 14% 207,917 7.116 --
Other -- 0%
------------------------------------------------------------------------------------------
Total: 1,132,909,507 100% 181,906 7.217 --
Loan Purpose WA. FICO WA LTV WA DTI % SFR/PUD % Owner Occ
---------------------------------------------------------------------------
Debt Consolidation
Refinance - Cashout 615 80.20 40.60 86.3 95.7
Purchase 665 84.14 40.90 80.4 93.8
Refinance - Rate Term 611 80.21 40.21 83.8 97.7
Other
---------------------------------------------------------------------------
Total: 639 82.15 40.69 83.0 95.0
Fixed Vs. Floating Collateral
-----------------------------
Collateral Type Total Balance WA Loan Balance WAC % Covered by WA FICO
-------------------- Mortgage Ins.
Amount %[2]
---------------------------------------------------------------------------------------------
Fixed 228,010,672 20% 92,612 8.496 -- 654
Floating 227,704,653 20% 306,467 6.340 -- 679
A2/6 645,992,995 57% 224,459 7.092 -- 620
A3/6 31,201,188 3% 215,181 6.868 -- 632
Other 0 0%
---------------------------------------------------------------------------------------------
Total: 1,132,909,507 100% 181,906 7.217 -- 639
Collateral Type WA LTV WA DTI % SFR/PUD % Owner Occ % Cashout Refi Index Margin
-----------------------------------------------------------------------------------------------------------------------------
Fixed 87.41 40.91 83.9 95.9 36.6 0.000
Floating 81.08 38.88 81.1 95.6 25.9 6 Month Libor/1 Month Libor 5.800
A2/6 80.70 41.27 83.4 94.6 39.0 6 Month Libor 6.234
A3/6 81.45 40.22 83.0 92.9 50.1 6 Month Libor 6.055
Other 6 Month Libor
-----------------------------------------------------------------------------------------------------------------------------
Total: 82.15 40.69 83.0 95.0 36.2 6.119
Lien Status
-----------
Lien Status Total Balance WA Loan Balance WAC % Covered by WA FICO
--------------- Mortgage Ins.
Amount %[2]
--------------------------------------------------------------------------------------------
First Lien 1,030,352,927 91% 232,796 6.909 -- 636
Second Lien 102,556,580 9% 56,913 10.313 -- 667
Third Lien 0 0%
--------------------------------------------------------------------------------------------
Total: 1,132,909,507 100% 181,906 7.217 -- 639
Lien Status WA LTV WA DTI % SFR/PUD % Owner Occ % Cashout Refi
--------------------------------------------------------------------------
First Lien 80.44 40.66 83.0 94.7 38.5
Second Lien 99.29 41.03 83.2 98.1 12.6
Third Lien
--------------------------------------------------------------------------
Total: 82.15 40.69 83.0 95.0 36.2
Occupancy Status
----------------
Occupancy Type Total Balance WA Loan Balance WAC % Covered by
---------------------- Mortgage Ins.
Amount %[2]
-----------------------------------------------------------------------------------------
Primary Residence 1,076,730,872 95% 182,280 7.220 --
Second Home 21,048,341 2% 159,457 7.006 --
Investment 35,130,294 3% 185,875 7.267 --
Non-owner 0 0%
Other 0 0%
-----------------------------------------------------------------------------------------
Total: 1,132,909,507 100% 181,906 7.217 --
Occupancy Type WA. FICO WA LTV WA DTI % SFR/PUD % Owner Occ % Cashout Refi
-----------------------------------------------------------------------------------------
Primary Residence 637 82.08 40.76 83.7 100.0 36.4
Second Home 684 85.81 41.61 77.6 0.0 18.6
Investment 667 82.24 38.07 66.1 0.0 39.4
Non-owner
Other
-----------------------------------------------------------------------------------------
Total: 639 82.15 40.69 83.0 95.0 36.2
Prepayment Penalty
------------------
Prepayment Charges Term at Origination Total Balance WA Loan Balance WAC % Covered by
---------------------- Mortgage Ins.
Amount %[2]
--------------------------------------------------------------------------------------------------------------
0 Months 297,025,206 26% 156,083 7.662 --
6 Months 50,284 0% 50,284 10.125 --
12 Months 50,791,397 4% 244,189 6.978 --
24 Months 641,169,924 57% 208,986 6.969 --
36 Months 143,872,696 13% 137,283 7.489 --
60 Months 0 0%
Other 0 0%
--------------------------------------------------------------------------------------------------------------
Total: 1,132,909,507 100% 181,906 7.217 --
Prepayment Charges Term at Origination # of Loans WA FICO WA LTV WA DTI % SFR/PUD % Owner Occ % Cashout Refi
--------------------------------------------------------------------------------------------------------------------------------
0 Months 1,903 637 83.32 40.67 81.3 94.5 36.5
6 Months 1 561 95.00 42.10 100.0 100.0 100.0
12 Months 208 649 80.61 41.45 77.8 93.3 34.8
24 Months 3,068 638 81.66 40.63 84.1 95.6 34.3
36 Months 1,048 648 82.45 40.72 83.7 94.5 44.4
60 Months
Other
--------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 639 82.15 40.69 83.0 95.0 36.2
Section 32 Loans
----------------
Total Balance WA Loan Balance WAC % Covered by WA FICO
--------------- Mortgage Ins.
Amount %[2]
---------------------------------------------------------------------------------------------------
Section 32 Loans 0 0% 0 0 0
---------------------------------------------------------------------------------------------------
Total: -- 0 0 0
WA LTV WA DTI % SFR/PUD % Owner Occ % Cashout Refi
------------------------------------------------------------------------------
Section 32 Loans 0 0 0 0 0
------------------------------------------------------------------------------
Total: 0.00 0.00 0.0 0.0 0.0
Top 5 MSA
---------
MSA %[2]
------------------------------------- ------
No MSA 78.86
San Diego 4.19
Las Vegas, NV-AZ 1.77
Phoenix-Mesa 1.72
Atlanta 0.86
Bakersfield 0.78
Other 11.82
Top 5 Originators
-----------------
Originator %[2]
------------------------------------- ------
WMC 100
Servicers
---------
Servicer %[2]
------------------------------------- ------
Countrywide 100
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 More...
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 179932.2746 8.002330338 0 500 76.51250865
500.01 - 550 193832.1378 8.039025307 0 527.9047205 76.902784
550.01 - 575 210130.6912 7.456970588 0 562.9752029 80.99062847
575.01 - 600 162361.5019 7.41322268 0 589.040884 80.53430005
600.01 - 620 174029.3935 7.213775608 0 611.187656 83.20133368
620.01 - 650 171312.7028 7.199232487 0 635.3086097 82.50471847
650.01 - 680 184240.0124 7.04850089 0 664.8360042 83.04995587
680.01 - 700 198775.7351 7.006894952 0 690.0588043 83.23055704
700.01 - 750 180998.894 6.919947649 0 721.4943302 83.99486869
750.01 - 800 197094.6685 6.745873334 0 766.9840836 83.22230197
800 + 162651.43 6.035621626 0 801.6148117 81.53925442
Total: 181905.8297 7.217292408 0 639.1121126 82.14962882
0 - 500 42.96843196 77.8086962 100 78.7477367 78.01256821
500.01 - 550 41.58570433 91.19925888 99.45095949 69.79904563 64.3415973
550.01 - 575 39.98950951 86.61618616 97.54050222 63.61615969 57.80250807
575.01 - 600 40.06619103 88.93721348 97.70903917 69.37401565 44.32772821
600.01 - 620 40.95980728 85.12256065 96.4302049 56.35155457 39.06473451
620.01 - 650 41.18947367 82.60269676 95.22794612 42.87472907 38.64853779
650.01 - 680 41.0811706 82.23493982 94.43910269 37.29048631 30.45152577
680.01 - 700 40.33823356 78.84760762 94.65652973 31.77559273 18.9236236
700.01 - 750 40.2512303 75.54439827 89.45695286 37.93211749 19.45951446
750.01 - 800 38.98585434 74.72914703 88.82048871 38.05312689 10.88191749
800 + 33.94369547 61.48116866 100 30.82255922 0
Total: 40.68927005 83.00359936 95.04120718 48.18391763 36.17526984
<= 20.00 138511.9662 7.358194026 0 635.6707334 79.99335505
20.01 - 25.00 151839.2358 7.152133338 0 637.9800643 80.33813007
25.01 - 30.00 164099.2511 7.116952497 0 634.6662226 81.02267449
30.01 - 35.00 185562.1668 7.091378752 0 644.9329474 81.51750861
35.01 - 40.00 179493.5967 7.141944551 0 642.8033211 81.74693885
40.01 - 45.00 188213.2203 7.264514145 0 644.4678253 82.68035201
45.01 - 50.00 183353.7877 7.336083124 0 634.7805754 82.52362526
50.01 - 55.00 204645.4671 7.138092104 0 625.4229907 83.32355666
55.01 + 193853.7876 7.152536765 0 630.9930643 82.54996548
Total: 181905.8297 7.217292408 0 639.1121126 82.14962882
<= 20.00 15.19066282 85.62110527 87.05625567 38.63528915 40.59201859
20.01 - 25.00 22.64537137 83.76246813 94.14410695 52.21006854 43.28703355
25.01 - 30.00 27.74487573 85.21318409 96.74092029 49.85637214 40.21458297
30.01 - 35.00 32.70297581 82.63392281 94.40480341 49.80199436 39.02909061
35.01 - 40.00 37.66722334 81.83955434 94.27457042 46.22874741 32.43524617
40.01 - 45.00 42.70903285 83.67444535 95.44739518 43.83176936 31.86235723
45.01 - 50.00 47.80390343 83.48147523 95.91351034 43.93812826 35.75887626
50.01 - 55.00 52.2761783 80.42221805 95.69623495 70.64289773 46.19762077
55.01 + 56.55197185 80.66954476 93.60980905 71.44452611 40.76771554
Total: 40.68927005 83.00359936 95.04120718 48.18391763 36.17526984
<= 60.00 174536.8251 6.956284039 0 602.5923385
60.01 - 70.00 224539.2517 6.944237798 0 596.953704
70.01 - 80.00 237438.8461 6.73786803 0 649.2330069
80.01 - 85.00 237618.0369 7.186525481 0 607.6318718
85.01 - 90.00 230036.1002 7.148196557 0 628.4460098
90.01 - 95.00 182729.7319 7.757684788 0 633.1104005
95.01 - 100.00 59246.61899 10.13566151 0 667.0880432
Total: 181905.8297 7.217292408 0 639.1121126
<= 60.00 50.08480139 38.42598827 84.32982153 93.79159774 43.25063474 67.60388606
60.01 - 70.00 66.45063125 38.86410419 83.55888332 96.85038449 46.63711977 62.81826611
70.01 - 80.00 79.12834375 40.74854532 82.35281156 96.5443136 40.84591451 27.17175099
80.01 - 85.00 84.28198458 40.35401064 85.02440993 94.59284646 63.17648561 65.49480656
85.01 - 90.00 89.52320643 40.83191445 84.57653424 87.6162418 63.45485935 45.72968744
90.01 - 95.00 94.70087469 42.30225194 79.95731162 92.43901543 67.60978422 46.68060299
95.01 - 100.00 99.92495383 41.1531531 84.38221671 98.24043007 44.52655112 13.0990643
Total: 82.14962882 40.68927005 83.00359936 95.04120718 48.18391763 36.17526984
California 232656.6284 6.983480875 0 647.2736716 81.48884319
New York 236839.4722 7.103655391 0 633.7407453 81.42219364
Maryland 154817.2162 7.58494488 0 623.1728513 82.42147239
New Jersey 201758.0017 7.386743947 0 625.6611997 81.07987131
Illinois 149160.4129 7.497836319 0 627.8195085 84.16392964
Florida 125366.0732 7.728148044 0 628.3890495 82.50961345
Virginia 151616.7429 7.557124785 0 636.1930088 83.11921973
Texas 98155.07145 7.798122466 0 637.1058223 82.98553129
Arizona 123764.7242 7.468477001 0 637.9111028 83.48238003
Nevada 149807.7906 7.382574117 0 641.2139134 81.42484703
Connecticut 217524.4981 7.415151647 0 616.6201119 82.96034459
Massachusetts 223950.5169 7.173473356 0 630.3119976 82.50355221
Other 111690.7804 7.710854305 0 620.9514569 84.58902667
Total: 181905.8297 7.217292408 0 639.1121126 82.14962882
California 40.70960214 82.47445097 95.42291567 43.18897965 35.83498279
New York 42.75546718 64.89196416 96.35838388 47.40349344 31.24572691
Maryland 41.8401377 92.70937415 95.39436744 60.28901531 47.34184436
New Jersey 39.42859137 72.61961575 93.42450072 44.61054153 43.10435037
Illinois 40.69490788 72.07552129 95.70743075 55.0894327 40.65328272
Florida 40.93214009 79.69354497 91.47726135 60.21188559 33.58230788
Virginia 41.74361802 87.92498066 97.82308127 45.51547064 27.34419759
Texas 36.89891292 97.95455043 94.18392574 51.7329172 25.49536342
Arizona 38.23736862 94.35028694 86.52758782 48.58318084 39.40308127
Nevada 38.7923463 91.83382227 86.08641013 46.56469935 35.97465998
Connecticut 41.72425946 65.33128281 93.50356539 50.33772824 33.38354803
Massachusetts 42.02024484 64.6163674 100 48.69133346 33.90047105
Other 40.74789357 94.14171473 95.70524484 65.35827445 39.85547938
Total: 40.68927005 83.00359936 95.04120718 48.18391763 36.17526984
BALCURR lt 50000 33725.57477 10.4218516 0 644.1539186
BALCURR between 50000 -200000 115986.5083 7.83317719 0 634.3323501
BALCURR between 200000 -250000 224569.1569 6.906792166 0 631.0837813
BALCURR between 250000 -300000 275164.8574 6.815188409 0 636.4766172
BALCURR between 300000 -400000 345544.0056 6.755546471 0 640.5368914
BALCURR between 400000 -500000 450934.414 6.828700743 0 642.3116731
BALCURR between 500000 -500000 544225.9336 6.734188997 0 655.7848179
BALCURR between 600000 -700000 642611.4191 6.655503803 0 647.0242717
BALCURR between 700000 -800000 735625.5963 6.373074297 0 671.0879884
BALCURR between 800000 -900000 833388.475 6.196803932 0 644.4190716
BALCURR between 900000 -1000000 994259.35 6.99 0 629
Total: 181905.8297 7.217292408 0 639.1121126
BALCURR lt 50000 95.92621958 39.20854252 86.36188411 95.7614521 55.79461047 16.84119199
BALCURR between 50000 -200000 83.50382308 39.59759111 85.27328848 93.85022714 54.88645217 34.554676
BALCURR between 200000 -250000 80.6779021 40.86585655 82.85963698 95.03903899 47.07623508 39.82735313
BALCURR between 250000 -300000 80.49774965 41.58958891 78.84475748 96.15693487 46.31564062 37.56828787
BALCURR between 300000 -400000 81.52480256 41.32964976 81.19783507 96.32264851 44.3127897 38.48159831
BALCURR between 400000 -500000 80.32406952 42.27545508 80.59468506 95.50708168 39.76125231 37.92605955
BALCURR between 500000 -500000 81.2105785 39.80103813 82.29295818 94.98034111 43.97772921 33.21424114
BALCURR between 600000 -700000 80.39566692 41.02295311 90.51354646 93.91007719 44.75636762 37.28882477
BALCURR between 700000 -800000 81.79932659 40.62767723 91.82655378 91.83055128 57.94879296 37.03171306
BALCURR between 800000 -900000 82.54538503 37.70794386 100 100 100 49.09229936
BALCURR between 900000 -1000000 79.04 46.3 0 100 0 0
Total: 82.14962882 40.68927005 83.00359936 95.04120718 48.18391763 36.17526984
Full Doc 170215.2117 7.111392409 0 623.8731208 83.07229045
Stated Doc 190954.4182 7.37173891 0 659.3857989 80.7950635
Limited Doc 207152.2272 7.118776249 0 631.8029375 83.03941896
Total: 181905.8297 7.217292408 0 639.1121126 82.14962882
Full Doc 41.14435886 84.31481696 94.56715826 100 42.67703935
Stated Doc 40.7647179 81.04712193 96.34182012 0 28.63857798
Limited Doc 38.51106806 84.37886742 92.4558735 0 35.37588957
Total: 40.68927005 83.00359936 95.04120718 48.18391763 36.17526984
PUD 182612.8911 7.311605065 0 640.99311 83.43734946
Single Family 179623.4717 7.222724968 0 634.9717117 81.96641803
2-4 Family 250984.0295 7.26153671 0 652.0204059 80.97642504
Condo 166864.9213 7.028586424 0 658.4863865 83.36255442
Manufactured 116189.4654 7.060787475 0 641.3462912 73.6524456
Total: 181905.8297 7.217292408 0 639.1121126 82.14962882
PUD 41.06348625 100 95.77524206 47.56914449 30.81491401
Single Family 40.54840968 100 95.79739841 49.17236102 38.71080609
2-4 Family 42.90273464 0 89.93208551 41.18284611 29.70644662
Condo 39.87030072 0 92.36889897 46.63667962 27.44974666
Manufactured 35.38412151 0 93.48988264 51.59880969 53.37009333
Total: 40.68927005 83.00359936 95.04120718 48.18391763 36.17526984
Other 231956.3307 6.767333671 0 642.216203 76.51325205
Total: 231956.3307 6.767333671 0 642.216203 76.51325205
Other 40.46258047 96.42952199 32.40072886 41.48091965 0
Total: 40.46258047 96.42952199 32.40072886 41.48091965 0
Refinance - Cashout 208566.4485 7.128840536 0 614.9401219 80.19959138
Purchase 160985.8637 7.311462425 0 664.8842952 84.14228614
Refinance - Rate Term 207916.6023 7.116123003 0 611.3356913 80.20592005
Total: 181905.8297 7.217292408 0 639.1121126 82.14962882
Refinance - Cashout 40.59509042 86.25303201 95.66857616 56.84399751 100
Purchase 40.89854941 80.39256846 93.80524117 38.25786401 0
Refinance - Rate Term 40.20700051 83.80500635 97.71048962 60.51529394 0
Total: 40.68927005 83.00359936 95.04120718 48.18391763 36.17526984
Fixed 92611.97067 8.49594206 0 654.2168606 87.41349938
Floating 306466.5585 6.340388896 0 678.5060322 81.08362356
A2/6 224458.998 7.092 0.000 620.2482183 80.70133236
A3/6 215180.604 6.868 0.000 631.7957587 81.4478949
Total: 181905.8297 7.217292408 0 639.1121126 82.14962882
Fixed 40.91127225 83.86506286 95.94257026 53.04700353 36.59284306 0
Floating 38.87653745 81.12648735 95.6037114 47.11567689 25.92343605 5.799603409
A2/6 41.27254478 83.3601891 94.6277691 46.55491583 38.96852875 6.234171362
A3/6 40.21997334 83.02442533 92.90900855 54.16867854 50.1091437 6.05486654
Total: 40.68927005 83.00359936 95.04120718 48.18391763 36.17526984 6.118636162
First Lien 232795.51 6.909192211 0 636.3112369 80.4437202
Second Lien 56912.64168 10.31267584 0 667.2516095 99.28834327
Total: 181905.8297 7.217292408 0 639.1121126 82.14962882
First Lien 40.65560427 82.98738749 94.73528779 48.93462732 38.52185866
Second Lien 41.02749932 83.16647479 98.11468072 40.64177914 12.59984785
Total: 40.68927005 83.00359936 95.04120718 48.18391763 36.17526984
Primary Residence 182280.493 7.219812297 0 637.3097924
Second Home 159457.128 7.005942726 0 684.0324091
Investment 185874.5738 7.26668903 0 667.4385523
Total: 181905.8297 7.217292408 0 639.1121126
Primary Residence 82.07521981 40.7568455 83.66127076 100 47.94358467 36.41406355
Second Home 85.80729004 41.60828658 77.62773721 0 50.86077697 18.61264101
Investment 82.23874815 38.06747745 66.06715927 0 53.94619385 39.37899021
Total: 82.14962882 40.68927005 83.00359936 95.04120718 48.18391763 36.17526984
0 Months 156082.6095 7.662180452 0 1903 636.5091824
6 Months 50284.38 10.125 0 1 561
12 Months 244189.4098 6.977549305 0 208 649.3487819
24 Months 208986.2856 6.96891784 0 3068 637.534773
36 Months 137283.1065 7.489324672 0 1048 647.9287383
Total: 181905.8297 7.217292408 0 6228 639.1121126
0 Months 83.3192456 40.67132898 81.26409608 94.47630547 36.53176361
6 Months 95 42.1 100 100 100
12 Months 80.60744871 41.44639379 77.75856797 93.29705817 34.84459071
24 Months 81.6616641 40.63103 84.06258041 95.57050192 34.26295852
36 Months 82.44951863 40.71807614 83.7211597 94.46264423 44.40898317
Total: 82.14962882 40.68927005 83.00359936 95.04120718 36.17526984
0
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BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
XXXXXX XXXXXXX
2004-WMC3
Fixed Rate Loans
Table of Contents
1. Summary Statistics
2. Originator
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Stated Original Term (months)
7. Range of Stated Remaining Terms (months)
8. Range of Original Combined LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Rangec of Maximum Mortgage Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
22. Lien Position
23. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 2,462
Aggregate Principal Balance ($): 228,010,672
Weighted Average Current Mortgage Rate (%): 8.496
Non-Zero Weighted Average Margin (%): 0.000
Non-Zero Weighted Average Maximum Rate (%): 0.000
Weighted Average Stated Original Term (months): 269
Weighted Average Stated Remaining Term (months): 266
Weighted Average Combined Original LTV (%): 87.41
% First Liens: 55.02
% Owner Occupied: 95.94
% Purchase: 48.11
% Full Doc: 53.05
Weighted Average Credit Score: 654
2. Originator
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Originator Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
WMC 2,462 228,010,672 100.00 8.496 266 87.41
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
3. Product Types
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 5 400,554 0.18 7.293 117 68.27
Fixed - 15 Year 139 13,043,519 5.72 7.798 177 77.64
Fixed - 20 Year 22 3,295,284 1.45 7.384 237 81.34
Fixed - 25 Year 3 499,883 0.22 6.679 296 66.26
Fixed - 30 Year 555 111,303,639 48.82 7.011 358 78.28
Balloon - 8/15 1 36,730 0.02 9.990 81 100.00
Balloon - 15/30 1,737 99,431,064 43.61 10.301 178 99.30
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
4. Range of Gross Interest Rates (%)
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
5.000 - 5.999 34 8,755,377 3.84 5.896 332 73.01
6.000 - 6.999 305 69,866,306 30.64 6.608 342 76.62
7.000 - 7.999 209 35,795,546 15.70 7.506 337 80.77
8.000 - 8.999 307 24,184,927 10.61 8.614 225 92.88
9.000 - 9.999 535 34,715,318 15.23 9.726 191 97.52
10.000 - 10.999 655 38,294,139 16.79 10.681 179 98.88
11.000 - 11.999 208 7,958,648 3.49 11.708 181 99.21
12.000 - 12.999 207 8,405,243 3.69 12.673 179 99.44
13.000 - 13.999 2 35,169 0.02 13.492 176 100.00
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
Minimum: 5.500
Maximum: 13.875
Weighted Average: 8.496
5. Range of Cut-off Date Principal Balances ($)
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
1 - 25,000 236 4,636,513 2.03 11.018 178 98.73
25,001 - 50,000 719 26,901,534 11.80 10.507 187 97.28
50,001 - 75,000 539 33,104,447 14.52 10.036 193 96.15
75,001 - 100,000 308 26,389,849 11.57 9.587 207 94.95
100,001 - 125,000 157 17,612,383 7.72 8.923 246 90.68
125,001 - 150,000 135 18,551,523 8.14 8.521 254 86.24
150,001 - 175,000 72 11,649,471 5.11 7.590 315 78.78
175,001 - 200,000 60 11,243,947 4.93 7.502 312 78.11
200,001 - 225,000 29 6,225,898 2.73 7.189 341 79.53
225,001 - 250,000 39 9,246,795 4.06 6.934 345 79.58
250,001 - 275,000 27 7,112,070 3.12 6.746 331 76.71
275,001 - 300,000 18 5,150,716 2.26 6.615 348 77.99
300,001 - 325,000 26 8,094,845 3.55 6.770 346 78.95
325,001 - 350,000 27 9,107,622 3.99 6.699 337 80.55
350,001 - 375,000 11 3,941,064 1.73 6.890 358 82.69
375,001 - 400,000 7 2,760,820 1.21 6.550 306 74.70
400,001 - 425,000 10 4,138,598 1.82 6.742 358 78.93
425,001 - 450,000 13 5,714,093 2.51 6.855 358 79.03
450,001 - 475,000 3 1,393,402 0.61 6.893 358 76.78
475,001 - 500,000 5 2,461,933 1.08 6.944 358 72.22
500,001 - 750,000 21 12,573,150 5.51 6.715 345 81.79
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
Minimum: 11,587
Maximum: 723,023
Average: 92,612
6. Stated Original Term (months)
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
84 1 36,730 0.02 9.990 81 100.00
120 5 400,554 0.18 7.293 117 68.27
180 1,876 112,474,583 49.33 10.010 178 96.79
240 22 3,295,284 1.45 7.384 237 81.34
300 3 499,883 0.22 6.679 296 66.26
360 555 111,303,639 48.82 7.011 358 78.28
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
Minimum: 84
Maximum: 360
Weighted Average: 269
7. Range of Stated Remaining Terms (months)
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
73 - 84 1 36,730 0.02 9.990 81 100.00
109 - 120 5 400,554 0.18 7.293 117 68.27
169 - 180 1,876 112,474,583 49.33 10.010 178 96.79
229 - 240 22 3,295,284 1.45 7.384 237 81.34
289 - 300 3 499,883 0.22 6.679 296 66.26
349 - 360 555 111,303,639 48.82 7.011 358 78.28
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
Minimum: 81
Maximum: 358
Weighted Average: 266
8. Range of Original Combined LTV Ratios (%)
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Original Combined LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
<= 10.00 1 59,886 0.03 6.250 358 8.22
10.01 - 15.00 2 120,481 0.05 7.080 256 11.88
15.01 - 20.00 1 24,417 0.01 7.000 116 15.15
20.01 - 25.00 5 478,487 0.21 7.167 307 22.86
25.01 - 30.00 4 294,634 0.13 6.719 251 27.76
30.01 - 35.00 5 568,314 0.25 6.917 233 31.87
35.01 - 40.00 7 812,874 0.36 6.606 261 38.18
40.01 - 45.00 9 1,636,000 0.72 6.812 328 42.74
45.01 - 50.00 15 2,254,033 0.99 6.580 329 48.21
50.01 - 55.00 16 2,727,091 1.20 7.089 342 52.49
55.01 - 60.00 13 2,840,104 1.25 6.838 344 58.52
60.01 - 65.00 29 6,612,552 2.90 6.827 341 63.43
65.01 - 70.00 44 8,103,139 3.55 6.898 326 68.55
70.01 - 75.00 68 13,911,096 6.10 7.010 336 73.54
75.01 - 80.00 219 40,630,826 17.82 6.964 341 79.50
80.01 - 85.00 82 15,851,134 6.95 7.106 342 84.22
85.01 - 90.00 129 20,111,637 8.82 7.423 327 89.50
90.01 - 95.00 152 15,379,172 6.74 8.677 275 94.55
95.01 - 100.00 1,661 95,594,796 41.93 10.246 181 99.96
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
Minimum: 8.22
Maximum: 100.00
Weighted Average: 87.41
9. Range of Gross Margins (%)
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,462 228,010,672 100.00 8.496 266 87.41
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
10. Range of Minimum Mortgage Rates (%)
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,462 228,010,672 100.00 8.496 266 87.41
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
11. Range of Maximum Mortgage Rates (%)
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,462 228,010,672 100.00 8.496 266 87.41
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
12. Initial Periodic Cap (%)
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,462 228,010,672 100.00 8.496 266 87.41
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
13. Subsequent Periodic Cap (%)
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,462 228,010,672 100.00 8.496 266 87.41
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
California 1,059 118,510,447 51.98 8.396 256 87.40
New York 117 21,075,320 9.24 7.339 327 83.23
Texas 179 10,749,686 4.71 8.755 267 86.83
Florida 134 9,442,169 4.14 8.910 280 87.75
New Jersey 61 8,021,506 3.52 7.997 296 84.49
Maryland 98 7,723,253 3.39 9.298 263 86.55
Virginia 91 5,442,822 2.39 10.151 205 97.71
Pennsylvania 42 4,138,341 1.81 7.843 331 81.50
Illinois 72 3,939,821 1.73 9.370 243 95.16
Arizona 74 3,780,176 1.66 9.604 229 94.10
Connecticut 25 3,750,079 1.64 7.830 321 85.72
Nevada 52 3,489,963 1.53 9.218 231 86.99
Washington 44 3,034,430 1.33 8.461 272 86.92
Georgia 46 2,613,141 1.15 9.791 211 95.19
Colorado 40 2,122,613 0.93 9.668 233 94.06
Other 328 20,176,905 8.85 8.872 268 87.92
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
Number of States/District of Columbia Represented: 46
16. Occupancy
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
Primary 2,376 218,759,299 95.94 8.518 265 87.48
Investment 35 5,323,117 2.33 7.432 335 81.48
Second Home 51 3,928,256 1.72 8.725 257 91.62
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
17. Property Type
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
Single Family Residence 1,778 168,550,900 73.92 8.403 270 86.87
Planned Unit Development 298 22,670,393 9.94 9.274 238 90.89
2-4 Family 115 17,433,662 7.65 8.065 297 84.16
Condominium 246 16,817,064 7.38 9.003 231 93.41
Manufactured Housing 25 2,538,653 1.11 7.324 335 75.14
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
18. Loan Purpose
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
Purchase 1,622 109,692,260 48.11 9.587 214 95.76
Refinance - Cashout 606 83,435,587 36.59 7.537 311 79.79
Refinance - Rate Term 234 34,882,825 15.30 7.359 324 79.41
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
19. Documentation Level
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
Full Documentation 1,248 120,952,829 53.05 8.058 285 86.14
Stated Documentation 994 86,645,064 38.00 9.066 245 88.41
Limited Documentation 220 20,412,779 8.95 8.669 246 90.72
Total: 2,462 228,010,672 100.00 8.496 266 87.41
20. Credit Score
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
500 - 524 21 2,457,845 1.08 8.326 312 71.36
525 - 549 38 4,983,679 2.19 8.358 340 71.26
550 - 574 56 8,229,971 3.61 7.873 327 78.86
575 - 599 249 16,665,206 7.31 9.127 261 85.38
600 - 624 392 35,020,478 15.36 8.571 279 86.71
625 - 649 413 39,337,517 17.25 8.315 279 85.34
650 - 674 484 44,320,957 19.44 8.563 257 88.68
675 - 699 343 32,387,532 14.20 8.694 241 91.50
700 - 724 221 21,588,282 9.47 8.376 256 90.94
725 - 749 134 12,303,113 5.40 8.232 258 90.70
750 - 774 81 7,322,895 3.21 8.325 237 92.12
775 - 799 29 3,355,642 1.47 7.873 261 84.61
800 + 1 37,554 0.02 8.500 178 100.00
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
Minimum: 500
Maximum: 801
Non-Zero Weighted Average: 654
21. Prepayment Penalty Term
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
0 865 59,208,129 25.97 9.389 235 91.60
6 1 50,284 0.02 10.125 357 95.00
12 109 21,147,811 9.27 7.098 325 81.87
24 644 53,106,881 23.29 9.033 223 92.48
36 843 94,497,566 41.44 7.947 297 83.18
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
Non-Zero Minimum: 6
Maximum: 36
Non-Zero Weighted Average: 29
22. Lien Position
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Lien Mortgage Principal Principal Interest Term Original
Position Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
1st Lien 660 125,454,091 55.02 7.011 339 77.71
2nd Lien 1,802 102,556,580 44.98 10.313 178 99.29
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
23. Interest Only Term
-------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Comb
Mortgage Principal Principal Interest Term Original
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV
-------------------------------------------------------------------------------------------------------------------------
0 2,462 228,010,672 100.00 8.496 266 87.41
-------------------------------------------------------------------------------------------------------------------------
Total: 2,462 228,010,672 100.00 8.496 266 87.41
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
2004-WMC3
Interest Only Loans
Table of Contents
1. Credit Score
2. Range of Combined Original LTV Ratios (%)
3. Documentation Level
4. Occupancy
5. Range of Cut-off Date Principal Balances ($)
6. % Purchase Loans
7. % Silent Seconds
8. Product Types
9. Interest Only Term
1. Credit Score
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
550 - 574 4 1,079,000 0.53 6.551 357 72.03 566
575 - 599 41 13,232,633 6.49 6.606 358 79.83 589
600 - 624 47 12,955,809 6.35 6.501 357 83.53 613
625 - 649 42 11,830,911 5.80 6.490 357 83.17 638
650 - 674 149 49,114,656 24.09 6.367 358 81.93 666
675 - 699 152 50,055,887 24.55 6.274 358 80.78 688
700 - 724 97 30,005,561 14.72 6.275 358 80.74 711
725 - 749 60 18,093,130 8.87 6.127 358 80.65 737
750 - 774 47 14,588,294 7.16 6.088 358 81.28 760
775 - 799 7 2,464,850 1.21 5.794 358 79.71 790
800 + 2 450,400 0.22 5.830 358 80.00 802
------------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 551
Maximum: 802
Non-Zero Weighted Average: 682
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
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
35.01 - 40.00 1 105,000 0.05 5.750 358 38.89 683
50.01 - 55.00 2 652,700 0.32 7.716 358 52.43 697
55.01 - 60.00 2 414,000 0.20 6.633 358 59.58 622
60.01 - 65.00 3 689,000 0.34 6.236 357 62.38 606
65.01 - 70.00 7 2,518,600 1.24 6.151 358 68.44 635
70.01 - 75.00 15 5,607,363 2.75 6.512 358 74.33 667
75.01 - 80.00 504 152,520,240 74.81 6.227 358 79.93 688
80.01 - 85.00 34 13,335,645 6.54 6.361 357 84.12 667
85.01 - 90.00 53 18,354,000 9.00 6.613 358 89.42 671
90.01 - 95.00 27 9,674,583 4.75 6.873 358 94.91 661
------------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 38.89
Maximum: 95.00
Weighted Average: 81.27
3. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 305 94,293,081 46.25 6.065 358 81.73 673
Stated Documentation 256 81,531,227 39.99 6.627 358 80.55 698
Limited Documentation 87 28,046,823 13.76 6.235 358 81.81 668
------------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
------------------------------------------------------------------------------------------------------------------------------------
4. 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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Primary 622 197,440,413 96.85 6.310 358 81.13 682
Second Home 26 6,430,718 3.15 6.403 358 85.34 692
------------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
------------------------------------------------------------------------------------------------------------------------------------
5. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average 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
------------------------------------------------------------------------------------------------------------------------------------
50,001 - 75,000 5 336,000 0.16 6.193 358 79.77 715
75,001 - 100,000 10 880,040 0.43 6.638 358 80.48 696
100,001 - 125,000 26 2,942,442 1.44 6.269 358 76.84 686
125,001 - 150,000 35 4,858,566 2.38 6.578 358 80.66 686
150,001 - 175,000 29 4,691,342 2.30 6.444 358 81.81 682
175,001 - 200,000 43 8,098,527 3.97 6.470 358 80.49 670
200,001 - 225,000 48 10,290,166 5.05 6.416 358 80.67 681
225,001 - 250,000 53 12,561,620 6.16 6.426 358 80.82 674
250,001 - 275,000 42 11,014,297 5.40 6.251 358 81.52 678
275,001 - 300,000 44 12,777,210 6.27 6.264 358 80.09 674
300,001 - 325,000 41 12,774,534 6.27 6.198 358 80.47 691
325,001 - 350,000 41 13,778,386 6.76 6.296 358 81.77 682
350,001 - 375,000 37 13,448,470 6.60 6.103 358 81.61 689
375,001 - 400,000 40 15,483,131 7.59 6.493 358 81.92 671
400,001 - 425,000 24 9,922,800 4.87 6.272 358 83.95 689
425,001 - 450,000 19 8,350,577 4.10 6.277 358 82.34 694
450,001 - 475,000 13 6,003,600 2.94 6.322 358 81.31 676
475,001 - 500,000 23 11,260,028 5.52 6.590 358 81.79 674
500,001 - 750,000 72 42,061,395 20.63 6.204 358 81.05 687
750,001 - 1,000,000 3 2,338,000 1.15 6.082 357 81.52 701
------------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 63,000
Maximum: 784,000
Average: 314,616
6. % Purchase Loans
------------------------------------------------------------------------------------------------------------------------------------
% of
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
% Purchase Loans Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Purchase 452 138,269,791 67.82 6.291 358 80.50 692
Refinance - Rate Term 52 17,041,433 8.36 6.324 358 83.19 672
Refinance - Cashout 144 48,559,907 23.82 6.373 358 82.77 660
------------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
------------------------------------------------------------------------------------------------------------------------------------
7. % Silent Seconds
% Silent Seconds: 71.14
8. Product Types
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Interest Only ARM - 5 Year/6 Month 40 12,769,395 6.26 6.150 358 80.52 671
Interest Only ARM - 2 Year/6 Month 608 191,101,736 93.74 6.324 358 81.32 683
------------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
------------------------------------------------------------------------------------------------------------------------------------
9. 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
------------------------------------------------------------------------------------------------------------------------------------
60 648 203,871,131 100.00 6.313 358 81.27 682
------------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
------------------------------------------------------------------------------------------------------------------------------------
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
2004-WMC3
Interest Only 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: 648
Aggregate Principal Balance ($): 203,871,131
Weighted Average Current Mortgage Rate (%): 6.313
Non-Zero Weighted Average Margin (%): 5.762
Non-Zero Weighted Average Maximum Rate (%): 12.813
Weighted Average Stated Original Term (months): 360
Weighted Average Stated Remaining Term (months): 358
Weighted Average Combined Original LTV (%): 81.27
% First Liens: 100.00
% Owner Occupied: 96.85
% Purchase: 67.82
% Full Doc: 46.25
Weighted Average Credit Score: 682
2. Product Types
---------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
Interest Only ARM - 5 Year/6 Month 40 12,769,395 6.26 6.150 358 80.52 671
Interest Only ARM - 2 Year/6 Month 608 191,101,736 93.74 6.324 358 81.32 683
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 7 2,725,750 1.34 4.990 358 80 734
5.000 - 5.999 226 74,838,305 36.71 5.705 358 80.39 694
6.000 - 6.999 340 102,807,575 50.43 6.522 358 81.54 676
7.000 - 7.999 70 22,077,981 10.83 7.429 358 82.69 666
8.000 - 8.999 5 1,421,519 0.70 8.401 358 87.76 668
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.990
Maximum: 8.500
Weighted Average: 6.313
4. Range of Cut-off Date Principal Balances ($)
---------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
50,001 - 75,000 5 336,000 0.16 6.193 358 79.77 715
75,001 - 100,000 10 880,040 0.43 6.638 358 80.48 696
100,001 - 125,000 26 2,942,442 1.44 6.269 358 76.84 686
125,001 - 150,000 35 4,858,566 2.38 6.578 358 80.66 686
150,001 - 175,000 29 4,691,342 2.30 6.444 358 81.81 682
175,001 - 200,000 43 8,098,527 3.97 6.470 358 80.49 670
200,001 - 225,000 48 10,290,166 5.05 6.416 358 80.67 681
225,001 - 250,000 53 12,561,620 6.16 6.426 358 80.82 674
250,001 - 275,000 42 11,014,297 5.40 6.251 358 81.52 678
275,001 - 300,000 44 12,777,210 6.27 6.264 358 80.09 674
300,001 - 325,000 41 12,774,534 6.27 6.198 358 80.47 691
325,001 - 350,000 41 13,778,386 6.76 6.296 358 81.77 682
350,001 - 375,000 37 13,448,470 6.60 6.103 358 81.61 689
375,001 - 400,000 40 15,483,131 7.59 6.493 358 81.92 671
400,001 - 425,000 24 9,922,800 4.87 6.272 358 83.95 689
425,001 - 450,000 19 8,350,577 4.10 6.277 358 82.34 694
450,001 - 475,000 13 6,003,600 2.94 6.322 358 81.31 676
475,001 - 500,000 23 11,260,028 5.52 6.590 358 81.79 674
500,001 - 750,000 72 42,061,395 20.63 6.204 358 81.05 687
750,001 - 1,000,000 3 2,338,000 1.15 6.082 357 81.52 701
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Minimum: 63,000
Maximum: 784,000
Average: 314,616
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
360 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Minimum: 360
Maximum: 360
Weighted Average: 360
6. Range of Stated Remaining Terms (months)
---------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
349 - 360 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Minimum: 355
Maximum: 359
Weighted Average: 358
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
35.01 - 40.00 1 105,000 0.05 5.750 358 38.89 683
50.01 - 55.00 2 652,700 0.32 7.716 358 52.43 697
55.01 - 60.00 2 414,000 0.20 6.633 358 59.58 622
60.01 - 65.00 3 689,000 0.34 6.236 357 62.38 606
65.01 - 70.00 7 2,518,600 1.24 6.151 358 68.44 635
70.01 - 75.00 15 5,607,363 2.75 6.512 358 74.33 667
75.01 - 80.00 504 152,520,240 74.81 6.227 358 79.93 688
80.01 - 85.00 34 13,335,645 6.54 6.361 357 84.12 667
85.01 - 90.00 53 18,354,000 9.00 6.613 358 89.42 671
90.01 - 95.00 27 9,674,583 4.75 6.873 358 94.91 661
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Minimum: 38.89
Maximum: 95.00
Weighted Average: 81.27
8. Range of Gross Margins (%)
---------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
4.001 - 4.500 1 365,600 0.18 6.125 357 80 613
4.501 - 5.000 74 24,827,025 12.18 5.918 358 79.87 685
5.001 - 5.500 168 52,268,725 25.64 5.999 358 80.27 686
5.501 - 6.000 212 65,116,842 31.94 6.311 358 81 681
6.001 - 6.500 122 39,454,448 19.35 6.570 358 82.21 682
6.501 - 7.000 51 16,432,617 8.06 6.965 358 82.99 680
7.001 - 7.500 14 4,094,446 2.01 7.331 358 87.83 654
7.501 - 8.000 6 1,311,428 0.64 7.408 357 90.48 665
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.500
Maximum: 7.990
Non-Zero Weighted Average: 5.762
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
<=5.000 8 2,945,578 1.44 5.084 358 79.69 728
5.001 - 5.500 74 25,745,458 12.63 5.402 358 80.03 703
5.501 - 6.000 163 51,539,348 25.28 5.871 358 80.56 690
6.001 - 6.500 167 53,256,190 26.12 6.306 358 81.13 674
6.501 - 7.000 164 47,749,758 23.42 6.801 358 82.3 677
7.001 - 7.500 46 15,095,337 7.40 7.317 358 83.11 666
7.501 - 8.000 21 6,117,944 3.00 7.766 358 80.28 668
8.001 - 8.500 5 1,421,519 0.70 8.401 358 87.76 668
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 4.500
Maximum: 8.500
Non-Zero Weighted Average: 6.311
10. Range of Maximum Mortgage Rates (%)
---------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Maximum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
<= 12.500 244 80,010,555 39.25 5.690 358 80.37 696
12.501 - 13.000 168 53,476,018 26.23 6.306 358 81.11 673
13.001 - 13.500 164 47,749,758 23.42 6.801 358 82.3 677
13.501 - 14.000 46 15,095,337 7.40 7.317 358 83.11 666
14.001 - 14.500 21 6,117,944 3.00 7.766 358 80.28 668
14.501 - 15.000 5 1,421,519 0.70 8.401 358 87.76 668
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 11.490
Maximum: 15.000
Non-Zero Weighted Average: 12.813
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
1 3 985,908 0.48 6.901 357 82.05 673
1.5 12 3,494,582 1.71 6.430 357 81.79 657
3 590 185,763,595 91.12 6.319 358 81.28 684
5 42 13,002,046 6.38 6.170 358 80.98 671
??? 1 625,000 0.31 5.990 358 79.11 649
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 6.500
Non-Zero Weighted Average: 3.103
12. Subsequent Periodic Cap (%)
---------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
1 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
Jul-06 1 531,250 0.26 5.990 355 85 650
Aug-06 20 5,759,903 2.83 6.719 356 83.68 653
Sep-06 143 43,906,594 21.54 6.358 357 81.29 669
Oct-06 442 140,329,889 68.83 6.301 358 81.23 689
Nov-06 2 574,100 0.28 5.715 359 77.52 656
Aug-09 2 339,317 0.17 6.130 356 80 652
Sep-09 13 5,136,533 2.52 6.175 357 81.21 669
Oct-09 25 7,293,545 3.58 6.133 358 80.07 673
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
14. Geographic Distribution of Mortgaged Properties
---------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
California 464 162,872,510 79.89 6.248 358 81.16 683
Arizona 22 4,481,628 2.20 6.579 358 81.21 689
Maryland 15 3,882,640 1.90 6.503 358 79.21 674
Illinois 16 3,695,750 1.81 6.875 358 84.67 681
Florida 17 3,331,816 1.63 6.429 358 83.14 674
Virginia 13 3,257,629 1.60 6.579 358 80.51 689
Nevada 16 3,154,614 1.55 6.700 358 83.34 680
Texas 12 3,097,636 1.52 6.941 358 80.45 702
Colorado 11 2,780,220 1.36 6.237 358 81.25 675
Georgia 11 2,154,737 1.06 6.392 358 80.81 699
Massachusetts 5 1,949,993 0.96 6.661 358 79.6 691
Washington 9 1,746,795 0.86 6.526 358 82.37 667
New Jersey 5 1,121,100 0.55 6.971 357 84.96 629
Wisconsin 4 857,733 0.42 6.239 358 80.62 666
Connecticut 4 715,976 0.35 7.394 357 84.25 642
Other 24 4,770,355 2.34 6.249 358 81.81 681
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 29
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
Primary 622 197,440,413 96.85 6.310 358 81.13 682
Second Home 26 6,430,718 3.15 6.403 358 85.34 692
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
16. Property Type
---------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 423 136,552,528 66.98 6.327 358 81.07 679
Condominium 110 30,496,851 14.96 6.110 358 81.41 690
Planned Unit Development 95 30,002,924 14.72 6.375 358 81.71 688
2-4 Family 20 6,818,827 3.34 6.666 358 82.69 692
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
Purchase 452 138,269,791 67.82 6.291 358 80.5 692
Refinance - Cashout 144 48,559,907 23.82 6.373 358 82.77 660
Refinance - Rate Term 52 17,041,433 8.36 6.324 358 83.19 672
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
18. Documentation Level
---------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
Full Documentation 305 94,293,081 46.25 6.065 358 81.73 673
Stated Documentation 256 81,531,227 39.99 6.627 358 80.55 698
Limited Documentation 87 28,046,823 13.76 6.235 358 81.81 668
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
550 - 574 4 1,079,000 0.53 6.551 357 72.03 566
575 - 599 41 13,232,633 6.49 6.606 358 79.83 589
600 - 624 47 12,955,809 6.35 6.501 357 83.53 613
625 - 649 42 11,830,911 5.80 6.490 357 83.17 638
650 - 674 149 49,114,656 24.09 6.367 358 81.93 666
675 - 699 152 50,055,887 24.55 6.274 358 80.78 688
700 - 724 97 30,005,561 14.72 6.275 358 80.74 711
725 - 749 60 18,093,130 8.87 6.127 358 80.65 737
750 - 774 47 14,588,294 7.16 6.088 358 81.28 760
775 - 799 7 2,464,850 1.21 5.794 358 79.71 790
800 + 2 450,400 0.22 5.830 358 80 802
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Minimum: 551
Maximum: 802
Non-Zero Weighted Average: 682
20. Prepayment Penalty Term
---------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
0 131 39,171,021 19.21 6.768 358 80.98 681
12 18 5,905,029 2.90 6.454 358 80.38 695
24 462 146,453,186 71.84 6.202 358 81.4 683
36 37 12,341,895 6.05 6.127 358 80.99 676
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
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 Comb Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
1st Lien 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
22. Interest Only Term
---------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
60 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100.00 6.313 358 81.27 682
---------------------------------------------------------------------------------------------------------------------------------
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.
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% 180,289.94 3.21 8.177 0 514 41.57 79.45 83.07 9.08
525 549 > 65% 203,791.61 3.92 8.087 0 537 42.01 80.37 77.82 13.38
550 574 > 65% 216,013.86 6.94 7.475 0 562 40.45 83.46 76.44 10.78
575 599 > 70% 154,912.27 8.68 7.537 0 588 40.65 84.54 74.32 14.61
600 624 > 70% 172,038.77 13.27 7.275 0 613 41.54 85.08 73.81 10.9
625 649 > 70% 169,591.97 13.13 7.245 0 637 41.15 84.14 68.33 14.99
650 674 > 80% 121,280.32 5.85 8.002 0 662 40.41 92.8 70.99 11.13
675 699 > 80% 118,290.21 3.79 8.162 0 687 39.9 94.17 74.12 10.96
700 724 > 80% 116,307.46 2.4 8.023 0 712 43.12 94.66 66.18 8.96
725 749 > 85% 104,431.01 1.35 8.124 0 737 38.92 95.41 66.56 9.01
750 774 > 85% 103,807.48 0.79 8.124 0 759 40.55 95.15 56.06 18.01
775 799 > 85% 93,353.71 0.21 8.514 0 785 40.76 95.82 67.85 14
800 max > 85% 37,554.29 0 8.5 0 801 38.77 100 0 0
FICO Low % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only
-------- ----------- ---------- --------- ------------ ----------
500 99.76 74.84 8.66 16.5 0
525 99.32 68.47 15.66 15.88 0
550 97.78 66.36 12.99 20.65 1.01
575 98.68 73.46 13 13.54 12.59
600 95.79 57.74 15.25 27.01 8.38
625 95.73 40.35 14.21 45.43 7.95
650 90.31 47.52 11.05 41.43 19.88
675 92.07 41.66 7.08 51.26 17.03
700 85.73 44.61 16.66 38.73 11.14
725 73.5 44.95 9.3 45.74 10.54
750 86.89 43.52 6.25 50.23 15.3
775 67.82 18.29 30.33 51.38 0
800 max 100 0 100 0 0
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% 230,740.87 0.22 6.490 0.00 609 53.55 62.47 45.37 0.00
65% 69% > 50% 287,671.62 0.20 6.929 0.00 589 53.30 67.58 75.02 0.00
70% 74% > 50% 239,029.97 0.51 6.820 0.00 606 52.96 72.51 58.12 11.86
75% 79% > 50% 271,444.26 0.79 6.917 0.00 603 53.07 77.16 74.79 14.10
80% 84% > 50% 242,482.79 3.57 6.685 0.00 636 52.89 80.51 66.40 15.66
85% 89% > 50% 229,772.61 0.97 7.066 0.00 614 53.08 86.48 66.49 14.13
90% 94% > 50% 255,131.15 1.71 7.248 0.00 621 53.31 90.66 69.42 7.70
95% 99% > 50% 182,609.74 1.05 7.669 0.00 631 53.51 95.16 72.28 5.80
100% max > 50% 63,766.17 0.60 10.125 0.00 654 53.06 100.00 67.94 21.12
LTV Low % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only
------- ----------- ---------- --------- ------------ ----------
60% 94.50 75.69 10.62 13.69 0.00
65% 100.00 100.00 0.00 0.00 0.00
70% 97.26 68.90 6.35 24.74 0.00
75% 100.00 48.91 22.95 28.14 4.36
80% 97.35 66.57 10.33 23.10 7.31
85% 92.35 73.48 17.02 9.49 4.36
90% 87.19 80.12 12.55 7.33 0.87
95% 96.11 78.49 15.63 5.88 0.00
100% max 99.36 69.46 11.21 19.33 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% < 525 130,492.69 0.17 8.413 0 509 22.38 71.37 69.66 15.04
25% 29% < 550 145,619.85 0.45 7.948 0 527 27.35 72.49 85.5 14.5
30% 34% < 575 182,126.77 1.72 7.828 0 546 32.27 77.69 74.92 12.51
35% 39% < 600 176,774.90 4.24 7.703 0 562 37.52 79.06 77.55 10.83
40% 44% < 625 185,388.73 9.05 7.505 0 581 42.64 80.59 77.46 9.34
45% 49% < 650 186,832.47 13.79 7.457 0 593 47.86 81.8 72.44 13.16
50% 54% < 675 199,186.71 6.47 7.22 0 606 52.23 83.33 71.42 10.98
55% max < 700 194,303.06 1.73 7.162 0 616 56.53 81.57 65.08 17.65
DTI Low % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only
------- ----------- ---------- --------- ------------ ----------
20% 100 55.24 18.61 26.15 0
25% 99.18 68.96 12.9 18.14 0
30% 98.18 62.28 8.77 28.95 2.91
35% 97.64 68.95 12.66 18.39 6.63
40% 97.2 64.84 9.5 25.67 6.18
45% 98.48 54.19 14.48 31.34 4.17
50% 96.65 73.54 11.66 14.8 2.81
55% max 93.74 73.57 14.4 12.03 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
-------- --------- --------------- --------------- ---- ---- ---- --- --- ----- -----
500 524 206,197.76 0.96 8.339 0 513 38.86 73.17 79.39 9.18
525 549 238,996.16 1.56 8.042 0 538 41.66 72.09 82.44 7.99
550 574 234,968.66 2.76 7.393 0 561 38.92 76.34 71.91 9.54
575 599 267,847.02 3.12 7.257 0 589 38.04 76.10 72.42 14.74
600 624 203,512.16 6.23 7.304 0 613 40.76 81.81 75.58 7.83
625 649 180,391.70 8.42 7.381 0 638 40.43 81.62 71.59 14.51
650 674 183,590.93 10.68 7.300 0 662 40.98 82.38 71.18 11.37
675 699 194,490.63 8.24 7.217 0 687 40.25 82.70 64.17 13.08
700 724 181,298.64 4.62 7.206 0 711 41.01 83.83 59.61 14.99
725 749 173,724.17 2.65 7.183 0 737 39.34 83.59 70.71 5.80
750 774 195,356.21 1.91 6.954 0 761 39.27 83.40 65.01 17.09
775 799 178,178.24 0.61 7.218 0 783 38.68 82.66 61.57 9.27
800 max 168,777.15 0.03 6.056 0 802 31.81 82.23 88.87 0.00
FICO Low % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only % CA % NY % FL
-------- ----------- ---------- --------- ------------ ---------- ----- ---- ----
500 100.00 0 30.81 69.19 0.00 57.84 5.72 3.23
525 100.00 0 42.35 57.65 0.00 55.84 2.67 2.14
550 98.50 0 35.25 64.75 1.64 48.01 8.06 4.03
575 96.16 0 45.19 54.81 11.08 62.82 4.56 3.23
600 96.93 0 33.31 66.69 3.89 58.12 8.41 1.63
625 96.09 0 22.50 77.50 5.49 56.77 8.44 3.52
650 96.15 0 15.49 84.51 20.86 62.84 3.65 2.77
675 95.42 0 12.22 87.78 34.69 69.24 2.75 2.67
700 92.90 0 17.87 82.13 36.66 63.68 6.10 0.54
725 90.07 0 12.70 87.30 33.78 75.98 1.39 0.66
750 93.86 0 10.99 89.01 43.52 79.66 3.18 1.78
775 73.49 0 18.49 81.51 6.40 55.37 8.93 5.89
800 max 100.00 0 11.13 88.87 88.87 88.87 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
550 574 269,749.91 0.10 6.551 0.00 566 32.37 72.03 100.00 0.00
575 599 322,747.16 1.17 6.606 0.00 589 37.64 79.83 74.95 16.31
600 624 275,655.51 1.14 6.501 0.00 613 39.53 83.53 81.36 5.64
625 649 281,688.36 1.04 6.490 0.00 638 36.96 83.17 57.71 23.01
650 674 329,628.56 4.34 6.367 0.00 666 38.49 81.93 66.05 14.30
675 699 329,315.05 4.42 6.274 0.00 688 39.68 80.78 70.39 11.51
700 724 309,335.68 2.65 6.275 0.00 711 39.77 80.74 67.78 15.89
725 749 301,552.17 1.60 6.127 0.00 737 37.18 80.65 62.78 17.13
750 774 310,389.23 1.29 6.088 0.00 760 37.95 81.28 56.18 18.21
775 799 352,121.43 0.22 5.794 0.00 790 38.12 79.71 12.93 43.83
800 max 225,200.00 0.04 5.830 0.00 802 33.54 80.00 66.61 0.00
FICO Low % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only % CA % NY % FL
-------- ----------- ---------- --------- ------------ ---------- ----- ---- ----
500
525
550 100.00 52.55 0.00 47.45 100.00 100.00 0.00 0.00
575 100.00 70.39 23.18 6.43 100.00 83.16 0.00 0.00
600 98.71 78.82 21.18 0.00 100.00 71.22 0.00 0.97
625 94.93 55.71 34.16 10.13 100.00 67.49 0.00 4.63
650 96.75 48.61 14.99 36.40 100.00 82.11 0.00 2.14
675 97.20 35.31 7.50 57.19 100.00 82.54 0.00 1.83
700 96.28 35.98 13.81 50.21 100.00 74.21 0.57 1.44
725 93.30 43.89 6.42 49.68 100.00 87.04 0.00 1.43
750 97.69 35.32 9.10 55.58 100.00 80.27 0.00 0.00
775 100.00 81.95 18.05 0.00 100.00 77.36 0.00 0.00
800 max 100.00 33.39 0.00 66.61 100.00 66.61 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
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
2004-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 13 2,339,120 0.21 8.002 6.441 14.804 8.304 0.52 353 353 356
501 - 510 75 13,610,846 1.20 8.133 6.564 14.598 8.060 0.52 356 357 359
511 - 520 96 17,435,267 1.54 8.042 6.510 14.517 8.012 0.52 357 357 359
521 - 530 108 21,033,241 1.86 8.175 6.735 14.582 8.093 0.52 353 353 356
531 - 540 107 22,463,906 1.98 8.003 6.733 14.476 7.879 0.52 357 357 360
541 - 550 109 21,403,648 1.89 7.880 6.712 14.336 7.836 0.52 355 357 357
551 - 560 175 36,341,262 3.21 7.447 6.510 13.915 7.394 0.52 354 355 356
561 - 570 155 34,969,779 3.09 7.522 6.552 13.968 7.475 0.52 355 356 358
571 - 580 187 32,193,801 2.84 7.323 6.452 13.683 7.183 0.52 350 357 352
581 - 590 298 48,963,702 4.32 7.338 6.266 13.535 7.029 0.52 343 354 345
591 - 600 330 53,020,743 4.68 7.513 6.226 13.701 7.202 0.52 344 357 346
601 - 610 328 53,608,582 4.73 7.221 6.135 13.409 6.906 0.52 342 354 344
611 - 620 402 73,432,875 6.48 7.208 6.105 13.310 6.815 0.52 340 355 342
621 - 630 374 68,083,358 6.01 7.222 6.096 13.342 6.837 0.52 340 354 342
631 - 640 366 61,351,896 5.42 7.156 6.067 13.275 6.777 0.52 339 354 341
641 - 650 409 67,403,041 5.95 7.215 6.013 13.339 6.831 0.52 337 355 339
651 - 660 399 71,876,406 6.34 7.079 5.967 13.190 6.685 0.52 337 355 339
661 - 670 441 81,919,003 7.23 7.008 5.930 13.028 6.526 0.52 333 354 335
671 - 680 348 65,081,726 5.74 7.065 5.878 13.051 6.549 0.52 333 356 335
681 - 690 297 57,470,624 5.07 7.004 5.863 12.996 6.489 0.52 330 354 332
691 - 700 257 52,651,133 4.65 7.010 5.845 13.034 6.518 0.52 332 356 334
701 - 710 211 38,259,484 3.38 7.005 5.887 12.985 6.481 0.52 331 355 333
711 - 720 158 28,806,366 2.54 6.921 5.765 12.869 6.369 0.52 329 356 331
721 - 730 144 24,623,285 2.17 6.843 5.805 12.922 6.422 0.52 333 356 336
731 - 740 120 22,593,112 1.99 6.894 6.062 12.997 6.468 0.52 336 357 338
741 - 750 92 16,941,951 1.50 6.873 5.835 12.939 6.425 0.52 332 352 335
751 - 760 78 16,425,341 1.45 6.660 5.728 12.751 6.251 0.52 332 357 335
761 - 770 61 12,012,114 1.06 6.650 5.820 12.788 6.288 0.52 336 355 338
771 - 780 49 8,805,850 0.78 6.920 6.337 12.935 6.419 0.52 331 356 333
781 - 790 29 5,172,980 0.46 7.006 6.127 13.025 6.525 0.52 322 339 325
791 - 800 9 2,127,111 0.19 6.595 5.299 12.441 5.941 0.52 331 358 333
801 - 810 3 487,954 0.04 6.036 5.625 12.330 5.830 0.52 344 358 346
-----------------------------------------------------------------------------------------------------------------------------------
Total: 6228 1,132,909,507 100.00 7.217 6.119 13.394 6.888 0.52 339 355 342
-----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------
Month
Initial Periodic to Next Provided Known
FICO Spreadsheet Request Cap Cap Adj LTV FICOs Avg Balance LTV>80w MI
--------------------------------------------------------------------------------------------------------
500 - 500 1.500 1.000 21 76.51 500 179,932 0
501 - 510 1.642 1.000 22 73.12 506 181,478 0
511 - 520 1.627 1.011 22 76.73 515 181,617 0
521 - 530 1.602 1.013 22 78.28 525 194,752 0
531 - 540 1.600 1.039 22 76.67 536 209,943 0
541 - 550 1.651 1.003 23 78.34 546 196,364 0
551 - 560 1.619 1.014 22 79.99 556 207,664 0
561 - 570 1.690 1.014 23 81.64 566 225,611 0
571 - 580 1.712 1.014 23 81.11 576 172,159 0
581 - 590 1.895 1.014 24 80.45 586 164,308 0
591 - 600 1.870 1.005 23 80.64 596 160,669 0
601 - 610 1.778 1.008 23 83.52 605 163,441 0
611 - 620 1.852 1.024 24 82.97 615 182,669 0
621 - 630 1.816 1.013 24 83.49 625 182,041 0
631 - 640 1.763 1.004 23 82.29 636 167,628 0
641 - 650 1.813 1.004 24 81.71 645 164,800 0
651 - 660 1.740 1.010 24 82.52 655 180,141 0
661 - 670 2.401 1.006 24 83.35 665 185,757 0
671 - 680 2.374 1.010 25 83.25 675 187,016 0
681 - 690 2.292 1.007 24 83.09 685 193,504 0
691 - 700 2.459 1.002 24 83.39 695 204,868 0
701 - 710 2.387 1.005 24 84.25 705 181,325 0
711 - 720 2.422 1.002 23 83.90 715 182,319 0
721 - 730 2.154 1.000 23 84.27 725 170,995 0
731 - 740 2.318 1.000 24 83.12 735 188,276 0
741 - 750 2.461 1.000 23 84.33 745 184,152 0
751 - 760 2.260 1.000 22 84.14 755 210,581 0
761 - 770 2.422 1.000 25 82.58 765 196,920 0
771 - 780 2.143 1.000 22 82.31 774 179,711 0
781 - 790 2.329 1.000 27 83.90 786 178,379 0
791 - 800 3.207 1.000 26 81.89 794 236,346 0
801 - 810 3.000 1.000 22 81.54 802 162,651 0
--------------------------------------------------------------------------------------------------------
Total: 1.982 1.009 23 82.15 639 181,906 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
2004-WMC3
All records
Table of Contents
1. Range of Gross Interest Rates (%)
2. Lien Position
3. Range of Cut-off Date Principal Balances ($)
4. Range of Original Combined LTV Ratios (%)
5. Range of Current Combined LTV Ratios (%)
6. Range of Credit Scores
7. Documentation Level
8. Loan Purpose
9. Occupancy Type
10. Property Type
11. Geographic Distribution of Mortgaged Properties
12. Range of Remaining Terms (Months)
13. Product Types
14. Subsequent Periodic Cap (%)
15. Range of Maximum Loan Rates (%)
16. Range of Gross Margins (%)
1. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct Pct Pct Weighted
Range of Gross Mortgage Balance Principal Rate Term LTV FICO Full Owner Fixed Average
Interest Rates (%) Loans ($) Balance (%) (Months) (%) Score Doc Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.999 12 3,408,055 0.30 4.986 358 79.55 718 67.74 95.04 0.00 38.46
5.000 - 5.999 568 165,199,842 14.58 5.757 356 79.06 676 66.32 95.90 5.30 39.60
6.000 - 6.999 1,876 476,291,238 42.04 6.587 355 79.84 646 45.04 95.00 14.67 40.95
7.000 - 7.999 1,327 280,678,234 24.77 7.493 355 81.43 619 42.08 94.40 12.75 40.97
8.000 - 8.999 713 100,206,095 8.85 8.503 325 85.83 601 57.26 93.38 24.14 40.22
9.000 - 9.999 641 50,735,561 4.48 9.639 244 92.92 633 44.97 96.03 68.42 40.14
10.000 - 10.999 672 39,750,241 3.51 10.668 186 98.05 648 31.73 98.60 96.34 41.76
11.000 - 11.999 210 8,199,831 0.72 11.711 186 98.08 630 50.58 98.66 97.06 41.47
12.000 - 12.999 207 8,405,243 0.74 12.673 179 99.44 629 52.59 95.82 100.00 41.78
13.000 - 13.999 2 35,169 0.00 13.492 176 100.00 626 51.11 100.00 100.00 45.13
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639 48.18 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 4.875
Maximum: 13.875
Weighted Average: 7.217
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 Pct Pct Weighted
Mortgage Balance Principal Rate Term LTV FICO Full Owner Fixed Average
Lien Position Loans ($) Balance (%) (Months) (%) Score Doc Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 4,426 1,030,352,927 90.95 6.909 355 80.44 636 48.93 94.74 12.18 40.66
2nd Lien 1,802 102,556,580 9.05 10.313 178 99.29 667 40.64 98.11 100.00 41.03
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639 48.18 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
3. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------------
% 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
Range of Cut-off Mortgage Balance Principal Rate Term LTV FICO
Date Principal Balances ($) Loans ($) Balance (%) (Months) (%) Score
------------------------------------------------------------------------------------------------------------------------------------
0.01 - 25,000.00 236 4,636,513 0.41 11.018 178 98.73 646
25,000.01 - 50,000.00 777 29,527,494 2.61 10.328 202 95.49 644
50,000.01 - 75,000.00 721 44,699,604 3.95 9.424 236 92.11 649
75,000.01 - 100,000.00 537 46,845,590 4.13 8.663 273 88.28 643
100,000.01 - 125,000.00 479 54,172,066 4.78 7.849 321 83.64 628
125,000.01 - 150,000.00 492 67,922,513 6.00 7.573 329 82.20 632
150,000.01 - 175,000.00 375 60,857,494 5.37 7.159 350 79.61 630
175,000.01 - 200,000.00 384 72,070,419 6.36 7.110 350 79.48 630
200,000.01 - 225,000.00 316 67,425,138 5.95 6.975 356 80.36 623
225,000.01 - 250,000.00 289 68,439,202 6.04 6.839 356 80.99 639
250,000.01 - 275,000.00 239 62,693,445 5.53 6.828 355 80.75 634
275,000.01 - 300,000.00 230 66,358,873 5.86 6.803 357 80.26 638
300,000.01 - 325,000.00 193 60,367,332 5.33 6.726 356 80.43 642
325,000.01 - 350,000.00 177 59,726,533 5.27 6.851 355 81.21 632
350,000.01 - 375,000.00 131 47,411,718 4.18 6.800 358 83.14 640
375,000.01 - 400,000.00 131 50,878,229 4.49 6.637 355 81.69 650
400,000.01 - 425,000.00 74 30,699,035 2.71 6.686 358 81.18 649
425,000.01 - 450,000.00 80 35,141,472 3.10 6.913 358 80.87 640
450,000.01 - 475,000.00 53 24,428,932 2.16 6.756 358 80.25 643
475,000.01 - 500,000.00 79 38,697,804 3.42 6.911 358 79.20 639
500,000.01 - 525,000.00 46 23,496,286 2.07 6.612 351 80.88 668
525,000.01 - 550,000.00 40 21,543,243 1.90 6.624 358 80.23 649
550,000.01 - 575,000.00 29 16,328,767 1.44 7.012 358 83.74 644
575,000.01 - 600,000.00 28 16,456,012 1.45 6.777 358 80.46 659
600,000.01 >= 92 62,085,793 5.48 6.568 358 80.83 654
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct Pct Pct Weighted
Range of Cut-off Full Owner Fixed Average
Date Principal Balances ($) Doc Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
0.01 - 25,000.00 65.56 96.78 100.00 39.26
25,000.01 - 50,000.00 54.26 95.60 91.11 39.20
50,000.01 - 75,000.00 48.66 94.38 74.06 39.09
75,000.01 - 100,000.00 53.00 93.50 56.33 39.58
100,000.01 - 125,000.00 60.11 93.47 32.51 39.06
125,000.01 - 150,000.00 58.59 94.31 27.31 39.72
150,000.01 - 175,000.00 56.09 93.63 19.14 39.77
175,000.01 - 200,000.00 51.55 93.79 15.60 40.07
200,000.01 - 225,000.00 47.56 94.57 9.23 41.18
225,000.01 - 250,000.00 46.60 95.50 13.51 40.56
250,000.01 - 275,000.00 44.78 95.75 11.34 41.73
275,000.01 - 300,000.00 47.77 96.54 7.76 41.45
300,000.01 - 325,000.00 41.88 95.31 13.41 41.54
325,000.01 - 350,000.00 46.90 98.32 15.25 41.68
350,000.01 - 375,000.00 46.70 96.90 8.31 40.74
375,000.01 - 400,000.00 41.93 94.63 5.43 41.21
400,000.01 - 425,000.00 41.76 97.27 13.48 43.00
425,000.01 - 450,000.00 37.41 89.97 16.26 42.42
450,000.01 - 475,000.00 41.47 98.09 5.70 43.08
475,000.01 - 500,000.00 39.23 97.50 6.36 41.06
500,000.01 - 525,000.00 41.12 100.00 13.06 41.11
525,000.01 - 550,000.00 42.36 95.05 2.48 37.55
550,000.01 - 575,000.00 48.04 86.18 3.40 41.19
575,000.01 - 600,000.00 46.14 96.45 10.58 39.51
600,000.01 >= 49.27 93.58 10.75 40.91
------------------------------------------------------------------------------------------------------------------------------------
Total: 48.18 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 11,587
Maximum: 994,259
Average: 181,906
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
Range of Original of Principal Date Interest Remaining Combined Average Pct
Combined LTV Ratios Mortgage Balance Principal Rate Term LTV FICO Full
(%) Loans ($) Balance (%) (Months) (%) Score Doc
------------------------------------------------------------------------------------------------------------------------------------
<= 30.00 21 1,726,536 0.15 7.224 315 21.79 623 58.60
30.01 - 40.00 30 4,053,086 0.36 6.991 321 36.03 604 33.81
40.01 - 50.00 52 8,940,692 0.79 6.839 345 46.61 612 42.81
50.01 - 60.00 108 22,106,956 1.95 6.976 354 56.28 597 43.96
60.01 - 70.00 281 63,095,530 5.57 6.944 352 66.45 597 46.64
70.01 - 80.00 2,590 614,966,611 54.28 6.738 356 79.13 649 40.85
80.01 - 90.00 1,026 239,072,559 21.10 7.164 354 87.42 620 63.34
90.01 - 100.00 2,120 178,947,537 15.80 9.087 256 97.62 652 54.71
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639 48.18
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Range of Original Pct Pct Weighted
Combined LTV Ratios Owner Fixed Average
(%) Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
<= 30.00 100.00 56.64 34.12
30.01 - 40.00 93.36 34.08 40.46
40.01 - 50.00 94.57 43.51 36.81
50.01 - 60.00 93.07 25.18 39.04
60.01 - 70.00 96.85 23.32 38.86
70.01 - 80.00 96.54 8.87 40.75
80.01 - 90.00 90.41 15.04 40.64
90.01 - 100.00 95.68 62.01 41.66
------------------------------------------------------------------------------------------------------------------------------------
Total: 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 8.22
Maximum: 100.00
Weighted Average: 82.15
5. Range of Current Combined LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Range of Current Combined LTV Ratios Mortgage Balance Principal Rate Term LTV
(%) Loans ($) Balance (%) (Months) (%)
------------------------------------------------------------------------------------------------------------------------------------
<= 30.00 22 1,778,425 0.16 7.214 316 23.49
30.01 - 40.00 30 4,053,086 0.36 6.991 321 36.03
40.01 - 50.00 54 9,395,494 0.83 6.806 346 47.88
50.01 - 60.00 107 21,968,954 1.94 6.979 354 56.28
60.01 - 70.00 286 65,114,836 5.75 6.928 352 66.66
70.01 - 80.00 2,586 613,396,573 54.14 6.740 356 79.15
80.01 - 90.00 1,025 238,633,608 21.06 7.164 354 87.45
90.01 - 100.00 2,118 178,568,531 15.76 9.091 256 97.64
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero
Weighted
Average Pct Pct Pct Weighted
Range of Current Combined LTV Ratios FICO Full Owner Fixed Average
(%) Score Doc Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
<= 30.00 624 56.90 100.00 54.99 34.56
30.01 - 40.00 604 33.81 93.36 34.08 40.46
40.01 - 50.00 614 42.21 94.84 42.87 36.15
50.01 - 60.00 597 43.61 93.03 24.71 39.16
60.01 - 70.00 599 46.18 96.95 23.59 38.66
70.01 - 80.00 649 40.91 96.54 8.80 40.79
80.01 - 90.00 620 63.43 90.39 15.05 40.64
90.01 - 100.00 652 54.64 95.67 62.12 41.65
------------------------------------------------------------------------------------------------------------------------------------
Total: 639 48.18 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 8.22
Maximum: 100.00
Weighted Average: 82.01
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
Mortgage Balance Principal Rate Term LTV FICO
Range of Credit Scores Loans ($) Balance (%) (Months) (%) Score
------------------------------------------------------------------------------------------------------------------------------------
500 - 525 246 44,720,626 3.95 8.094 355 75.98 514
526 - 550 262 53,565,401 4.73 7.992 356 77.66 539
551 - 575 410 86,153,583 7.60 7.457 355 80.99 563
576 - 600 735 119,335,704 10.53 7.413 344 80.53 589
601 - 625 935 164,580,617 14.53 7.208 340 83.16 614
626 - 650 944 159,299,136 14.06 7.202 338 82.39 638
651 - 675 1,033 193,267,127 17.06 7.044 335 83.01 663
676 - 700 709 135,731,765 11.98 7.022 330 83.25 688
701 - 725 448 81,533,322 7.20 6.956 331 84.17 712
726 - 750 277 49,690,876 4.39 6.862 334 83.71 737
751 - 775 173 34,676,103 3.06 6.684 334 83.19 762
776 - 800 53 9,867,292 0.87 6.965 325 83.33 786
Above 800 3 487,954 0.04 6.036 344 81.54 802
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct Pct Pct Weighted
Full Owner Fixed Average
Range of Credit Scores Doc Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
500 - 525 75.08 99.80 6.84 41.57
526 - 550 65.78 99.18 8.18 41.66
551 - 575 63.62 97.54 10.29 39.99
576 - 600 69.37 97.71 14.65 40.07
601 - 625 55.91 95.63 21.38 41.25
626 - 650 40.16 95.77 24.72 40.94
651 - 675 37.58 94.50 22.86 41.03
676 - 700 32.40 94.53 23.15 40.55
701 - 725 35.84 90.66 26.37 41.45
726 - 750 41.36 87.49 24.32 38.28
751 - 775 39.72 91.33 21.58 39.30
776 - 800 32.20 79.99 29.80 37.88
Above 800 30.82 100.00 7.70 33.94
------------------------------------------------------------------------------------------------------------------------------------
Total: 48.18 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 500
Maximum: 802
Non-Zero Weighted Average: 639
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
Mortgage Balance Principal Rate Term LTV FICO
Documentation Level Loans ($) Balance (%) (Months) (%) Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 3,207 545,880,184 48.18 7.111 342 83.07 624
Stated Documentation 2,394 457,144,877 40.35 7.372 336 80.80 659
Limited/Alternate Documentation 627 129,884,446 11.46 7.119 340 83.04 632
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct Pct Pct Weighted
Full Owner Fixed Average
Documentation Level Doc Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 100.00 94.57 22.16 41.14
Stated Documentation 0.00 96.34 18.95 40.76
Limited/Alternate Documentation 0.00 92.46 15.72 38.51
------------------------------------------------------------------------------------------------------------------------------------
Total: 48.18 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
8. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Mortgage Balance Principal Rate Term LTV FICO Full
Loan Purpose Loans ($) Balance (%) (Months) (%) Score Doc
------------------------------------------------------------------------------------------------------------------------------------
Purchase 3,479 560,069,820 49.44 7.311 330 84.14 665 38.26
Refinance - Cashout 1,965 409,833,071 36.18 7.129 348 80.20 615 56.84
Refinance - Rate Term 784 163,006,616 14.39 7.116 351 80.21 611 60.52
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639 48.18
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct Pct Weighted
Owner Fixed Average
Loan Purpose Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
Purchase 93.81 19.59 40.90
Refinance - Cashout 95.67 20.36 40.60
Refinance - Rate Term 97.71 21.40 40.21
------------------------------------------------------------------------------------------------------------------------------------
Total: 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
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 Pct Pct Weighted
Mortgage Balance Principal Rate Term LTV FICO Full Owner Fixed Average
Occupancy Type Loans ($) Balance (%) (Months) (%) Score Doc Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
Primary 5,907 1,076,730,872 95.04 7.220 339 82.08 637 47.94 100.00 20.32 40.76
Non-Owner Occupied 189 35,130,294 3.10 7.267 354 82.24 667 53.95 0.00 15.15 38.07
Second Home 132 21,048,341 1.86 7.006 339 85.81 684 50.86 0.00 18.66 41.61
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639 48.18 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
10. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average Non-Zero
Number Date Cut-off Gross Average Original Weighted
of Principal Date Interest Remaining Combined Average Pct
Mortgage Balance Principal Rate Term LTV FICO Full
Property Type Loans ($) Balance (%) (Months) (%) Score Doc
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 4,493 807,048,258 71.24 7.223 339 81.97 635 49.17
Planned Unit Development 730 133,307,410 11.77 7.312 337 83.44 641 47.57
Condominium 623 103,956,846 9.18 7.029 337 83.36 658 46.64
2-4 Family 328 82,322,762 7.27 7.262 345 80.98 652 41.18
Manufactured Housing 54 6,274,231 0.55 7.061 348 73.65 641 51.60
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639 48.18
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct Pct Weighted
Owner Fixed Average
Property Type Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 95.80 20.88 40.55
Planned Unit Development 95.78 17.01 41.06
Condominium 92.37 16.18 39.87
2-4 Family 89.93 21.18 42.90
Manufactured Housing 93.49 40.46 35.38
------------------------------------------------------------------------------------------------------------------------------------
Total: 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
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 2,776 645,854,800 57.01 6.983 339 81.49 647 43.19
New York 250 59,209,868 5.23 7.104 347 81.42 634 47.40
Maryland 251 38,859,121 3.43 7.585 339 82.42 623 60.29
New Jersey 185 37,325,230 3.29 7.387 344 81.08 626 44.61
Illinois 249 37,140,943 3.28 7.498 345 84.16 628 55.09
Florida 296 37,108,358 3.28 7.728 338 82.51 628 60.21
Virginia 244 36,994,485 3.27 7.557 335 83.12 636 45.52
Texas 358 35,139,516 3.10 7.798 330 82.99 637 51.73
Arizona 185 22,896,474 2.02 7.468 336 83.48 638 48.58
Nevada 140 20,973,091 1.85 7.383 337 81.42 641 46.56
Connecticut 81 17,619,484 1.56 7.415 350 82.96 617 50.34
Massachusetts 74 16,572,338 1.46 7.173 344 82.50 630 48.69
Georgia 113 13,514,415 1.19 7.921 329 86.35 632 73.13
Pennsylvania 107 12,697,072 1.12 7.777 349 83.38 613 66.14
Colorado 99 12,672,831 1.12 7.217 337 85.11 638 56.98
Other 820 88,331,480 7.80 7.740 337 84.42 618 65.26
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639 48.18
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct Pct Weighted
Geographic Distribution Owner Fixed Average
of Mortgaged Properties Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
California 95.42 18.35 40.71
New York 96.36 35.59 42.76
Maryland 95.39 19.88 41.84
New Jersey 93.42 21.49 39.43
Illinois 95.71 10.61 40.69
Florida 91.48 25.44 40.93
Virginia 97.82 14.71 41.74
Texas 94.18 30.59 36.90
Arizona 86.53 16.51 38.24
Nevada 86.09 16.64 38.79
Connecticut 93.50 21.28 41.72
Massachusetts 100.00 9.22 42.02
Georgia 100.00 19.34 41.00
Pennsylvania 98.20 32.59 37.40
Colorado 92.92 16.75 43.44
Other 95.09 24.55 40.80
------------------------------------------------------------------------------------------------------------------------------------
Total: 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
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
Range of of Principal Date Interest Remaining Combined Average Pct Pct Pct Weighted
Remaining Terms Mortgage Balance Principal Rate Term LTV FICO Full Owner Fixed Average
(Months) Loans ($) Balance (%) (Months) (%) Score Doc Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
73 - 84 1 36,730 0.00 9.990 81 100.00 610 100.00 100.00 100.00 50.32
109 - 120 5 400,554 0.04 7.293 117 68.27 667 17.15 35.41 100.00 37.39
169 - 180 1,876 112,474,583 9.93 10.010 178 96.79 665 41.75 97.77 100.00 40.65
229 - 240 22 3,295,284 0.29 7.384 237 81.34 642 59.93 100.00 100.00 41.76
289 - 300 3 499,883 0.04 6.679 296 66.26 612 69.46 100.00 100.00 44.35
349 - 360 4,321 1,016,202,475 89.70 6.908 358 80.54 636 48.86 94.74 10.95 40.69
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639 48.18 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 81
Maximum: 360
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
Mortgage Balance Principal Rate Term LTV FICO
Product Types Loans ($) Balance (%) (Months) (%) Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 5 400,554 0.04 7.293 117 68.27 667
Fixed - 15 Year 139 13,043,519 1.15 7.798 177 77.64 644
Fixed - 20 Year 22 3,295,284 0.29 7.384 237 81.34 642
Fixed - 25 Year 3 499,883 0.04 6.679 296 66.26 612
Fixed - 30 Year 555 111,303,639 9.82 7.011 358 78.28 644
Balloon - 8/15 1 36,730 0.00 9.990 81 100.00 610
Balloon - 15/30 1,737 99,431,064 8.78 10.301 178 99.30 667
ARM - 6 Month 10 2,441,788 0.22 6.743 357 80.03 619
ARM - 2 Year/6 Month 2,878 645,992,995 57.02 7.092 358 80.70 620
ARM - 3 Year/6 Month 145 31,201,188 2.75 6.868 358 81.45 632
ARM - 5 Year/6 Month 85 21,391,734 1.89 6.554 358 79.46 650
Interest Only ARM - 5 Year/6 Month 40 12,769,395 1.13 6.150 358 80.52 671
Interest Only ARM - 2 Year/6 Month 608 191,101,736 16.87 6.324 358 81.32 683
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct Pct Pct Weighted
Full Owner Fixed Average
Product Types Doc Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 17.15 35.41 100.00 37.39
Fixed - 15 Year 50.72 95.29 100.00 37.88
Fixed - 20 Year 59.93 100.00 100.00 41.76
Fixed - 25 Year 69.46 100.00 100.00 44.35
Fixed - 30 Year 64.30 94.17 100.00 41.15
Balloon - 8/15 100.00 100.00 100.00 50.32
Balloon - 15/30 40.58 98.09 100.00 41.01
ARM - 6 Month 62.97 100.00 0.00 42.57
ARM - 2 Year/6 Month 46.55 94.63 0.00 41.27
ARM - 3 Year/6 Month 54.17 92.91 0.00 40.22
ARM - 5 Year/6 Month 53.54 83.27 0.00 40.23
Interest Only ARM - 5 Year/6 Month 55.02 100.00 0.00 38.03
Interest Only ARM - 2 Year/6 Month 45.67 96.63 0.00 38.73
------------------------------------------------------------------------------------------------------------------------------------
Total: 48.18 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
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
Mortgage Balance Principal Rate Term LTV FICO
Subsequent Periodic Cap (%) Loans ($) Balance (%) (Months) (%) Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,462 228,010,672 20.13 8.496 266 87.41 654
0.75 1 264,032 0.02 5.990 357 94.64 627
1 3,698 891,979,309 78.73 6.886 358 80.82 636
1.5 47 8,623,047 0.76 7.771 357 80.17 611
2 20 4,032,447 0.36 7.085 356 82.89 604
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct Pct Pct Weighted
Full Owner Fixed Average
Subsequent Periodic Cap (%) Doc Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 53.05 95.94 100.00 40.91
0.75 100.00 100.00 0.00 38.47
1 46.88 94.78 0.00 40.67
1.5 49.21 95.53 0.00 36.78
2 55.41 100.00 0.00 41.88
------------------------------------------------------------------------------------------------------------------------------------
Total: 48.18 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 0.750
Maximum: 2.000
Weighted Average: 1.009
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
Mortgage Balance Principal Rate Term LTV FICO
Range of Maximum Loan Rates (%) Loans ($) Balance (%) (Months) (%) Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,462 228,010,672 20.13 8.496 266 87.41 654
<= 13.000 1,270 350,329,624 30.92 6.060 358 79.65 660
13.001 - 13.500 924 231,803,332 20.46 6.821 358 80.89 643
13.501 - 14.000 559 130,839,387 11.55 7.315 358 81.62 623
14.001 - 14.500 508 103,750,226 9.16 7.809 358 81.36 604
14.501 - 15.000 227 43,743,635 3.86 8.323 358 84.01 585
15.001 - 15.500 162 27,870,488 2.46 8.799 357 83.57 568
15.501 - 16.000 57 8,323,753 0.73 9.305 358 82.42 558
16.001 - 16.500 39 6,494,018 0.57 9.724 357 82.46 537
16.501 - 17.000 12 974,140 0.09 10.259 358 80.69 524
17.001 - 17.500 5 410,372 0.04 9.436 355 91.04 560
17.501 - 18.000 2 165,145 0.01 10.856 354 56.73 528
18.501 - 19.000 1 194,715 0.02 11.990 355 57.35 554
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct Pct Pct Weighted
Full Owner Fixed Average
Range of Maximum Loan Rates (%) Doc Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 53.05 95.94 100.00 40.91
<= 13.000 54.42 95.71 0.00 40.26
13.001 - 13.500 38.20 94.18 0.00 40.87
13.501 - 14.000 39.25 95.05 0.00 41.14
14.001 - 14.500 41.66 94.48 0.00 41.16
14.501 - 15.000 57.49 93.27 0.00 40.71
15.001 - 15.500 55.21 92.52 0.00 39.60
15.501 - 16.000 57.51 88.45 0.00 38.82
16.001 - 16.500 66.53 97.26 0.00 41.04
16.501 - 17.000 75.78 100.00 0.00 36.07
17.001 - 17.500 100.00 100.00 0.00 37.95
17.501 - 18.000 100.00 71.86 0.00 36.29
18.501 - 19.000 100.00 100.00 0.00 41.64
------------------------------------------------------------------------------------------------------------------------------------
Total: 48.18 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
Non Fixed Rate Minimum: 8.750
Maximum: 18.990
Non Fixed Rate Weighted Average: 13.394
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
Mortgage Balance Principal Rate Term LTV FICO
Range of Gross Margins (%) Loans ($) Balance (%) (Months) (%) Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,462 228,010,672 20.13 8.496 266 87.41 654
<=5.000 299 77,768,653 6.86 6.197 358 79.57 659
5.001 - 5.500 550 146,967,045 12.97 6.301 358 78.95 654
5.501 - 6.000 936 229,268,058 20.24 6.627 358 79.54 643
6.001 - 6.500 833 210,071,758 18.54 6.964 358 80.69 634
6.501 - 7.000 555 126,644,526 11.18 7.379 358 82.71 619
7.001 - 7.500 301 63,589,918 5.61 7.724 358 84.29 610
7.501 - 8.000 246 44,104,485 3.89 8.267 358 85.75 593
8.001 - 8.500 23 3,220,993 0.28 8.564 357 87.10 589
8.501 - 9.000 15 2,407,674 0.21 9.175 357 84.88 562
>=9.001 8 855,726 0.08 10.508 357 67.67 532
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 7.217 339 82.15 639
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Pct Pct Pct Weighted
Full Owner Fixed Average
Range of Gross Margins (%) Doc Occ Rate DTI
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 53.05 95.94 100.00 40.91
<=5.000 58.38 96.30 0.00 40.83
5.001 - 5.500 56.42 97.44 0.00 40.72
5.501 - 6.000 42.01 96.32 0.00 40.54
6.001 - 6.500 39.04 93.35 0.00 40.50
6.501 - 7.000 45.42 92.31 0.00 40.52
7.001 - 7.500 48.42 93.79 0.00 41.43
7.501 - 8.000 59.75 91.02 0.00 40.53
8.001 - 8.500 56.28 94.30 0.00 38.41
8.501 - 9.000 52.13 100.00 0.00 42.37
>=9.001 64.48 94.57 0.00 32.69
------------------------------------------------------------------------------------------------------------------------------------
Total: 48.18 95.04 20.13 40.69
------------------------------------------------------------------------------------------------------------------------------------
Non Fixed Rate Minimum: 3.875
Maximum: 10.990
Non Fixed Rate Weighted Average: 6.119
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
2004-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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Purchase 56 8,636,253 9.16 8.512 354 80.61 526
Refinance - Rate Term 129 23,271,300 24.68 8.064 355 76.13 525
Refinance - Cashout 308 62,377,696 66.16 8.003 356 76.07 527
------------------------------------------------------------------------------------------------------------------------------------
Total: 493 94,285,250 100.00 8.065 355 76.50 526
------------------------------------------------------------------------------------------------------------------------------------
2. Range of Combined Original LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 2 329,558 0.35 8.034 358 20.75 520
30.01 - 35.00 3 286,620 0.30 8.583 358 32.19 528
35.01 - 40.00 2 217,035 0.23 7.817 358 39.02 519
40.01 - 45.00 2 537,954 0.57 7.062 345 41.49 547
45.01 - 50.00 9 1,241,905 1.32 8.468 357 48.62 519
50.01 - 55.00 12 1,914,839 2.03 7.951 358 53.67 530
55.01 - 60.00 20 4,622,958 4.90 7.330 358 58.04 526
60.01 - 65.00 23 4,289,241 4.55 7.711 358 63.08 522
65.01 - 70.00 42 8,478,293 8.99 8.104 355 68.71 526
70.01 - 75.00 65 14,561,902 15.44 8.000 353 73.94 527
75.01 - 80.00 151 26,669,867 28.29 8.003 356 79.19 524
80.01 - 85.00 109 20,191,578 21.42 8.274 357 84.56 527
85.01 - 90.00 43 9,614,900 10.20 8.212 357 89.23 530
90.01 - 95.00 5 1,072,436 1.14 8.796 357 95.00 541
95.01 - 100.00 5 256,162 0.27 11.517 178 99.82 536
------------------------------------------------------------------------------------------------------------------------------------
Total: 493 94,285,250 100.00 8.065 355 76.50 526
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 20.69
Maximum: 100.00
Weighted Average: 76.50
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 ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 366 65,671,052 69.65 8.025 355 78.25 525
Stated Documentation 74 17,756,020 18.83 8.246 354 69.75 527
Limited Documentation 53 10,858,178 11.52 8.007 357 77.00 531
------------------------------------------------------------------------------------------------------------------------------------
Total: 493 94,285,250 100.00 8.065 355 76.50 526
------------------------------------------------------------------------------------------------------------------------------------
4. Geographic Distribution by State
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
Geographic of Date Date Gross Remaining Combined Average
Distribution Mortgage Principal Principal Interest Term Original FICO
by State Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Arizona 11 1,514,095 1.61 8.337 357 83.35 522
Arkansas 1 44,102 0.05 9.000 356 85.00 529
California 184 48,028,072 50.94 7.768 356 75.50 526
Colorado 4 529,971 0.56 7.950 358 79.66 524
Connecticut 10 2,437,232 2.58 7.896 357 76.92 520
Delaware 3 496,493 0.53 9.371 358 80.23 539
District of Columbia 1 548,509 0.58 8.000 356 68.58 539
Florida 27 3,121,504 3.31 8.561 354 78.64 525
Georgia 8 1,332,173 1.41 8.771 357 82.51 525
Idaho 1 105,985 0.11 8.875 357 85.00 523
Illinois 25 4,751,449 5.04 8.250 357 79.21 526
Indiana 2 209,353 0.22 8.657 358 80.00 542
Iowa 1 65,369 0.07 8.750 354 80.00 500
Kentucky 1 147,656 0.16 9.000 357 85.00 525
Louisiana 17 1,589,541 1.69 8.912 343 74.81 529
Maine 1 181,465 0.19 8.500 357 90.00 538
Maryland 24 4,168,842 4.42 8.289 356 70.46 531
Massachusetts 4 1,044,969 1.11 7.794 357 83.56 531
Michigan 14 1,293,491 1.37 9.098 357 76.48 529
Minnesota 5 995,666 1.06 8.645 357 78.30 530
Mississippi 3 146,694 0.16 9.786 358 82.09 532
Missouri 5 520,203 0.55 8.758 358 81.46 526
Nebraska 1 142,343 0.15 8.990 358 75.00 528
Nevada 6 1,437,575 1.52 7.460 358 74.67 519
New Jersey 18 3,458,776 3.67 8.394 357 73.35 532
New Mexico 2 160,716 0.17 7.832 357 65.07 532
New York 16 3,478,549 3.69 7.962 358 73.86 527
North Carolina 3 532,763 0.57 8.871 336 83.23 538
Ohio 3 139,104 0.15 9.743 357 73.83 518
Oklahoma 5 294,545 0.31 9.339 358 80.83 516
Oregon 3 493,361 0.52 8.689 357 83.82 536
Pennsylvania 12 1,166,000 1.24 8.617 349 81.04 519
Rhode Island 4 671,630 0.71 7.344 358 73.66 525
South Carolina 2 175,337 0.19 8.062 357 81.61 522
Tennessee 9 925,261 0.98 9.174 308 84.69 530
Texas 25 2,896,668 3.07 8.580 358 78.91 526
Vermont 2 257,063 0.27 8.869 357 86.72 537
Virginia 22 3,521,217 3.73 8.188 354 79.19 528
Washington 5 895,572 0.95 8.340 358 81.20 519
Wisconsin 3 365,938 0.39 9.063 358 80.00 516
------------------------------------------------------------------------------------------------------------------------------------
Total: 493 94,285,250 100.00 8.065 355 76.50 526
------------------------------------------------------------------------------------------------------------------------------------
Number of States Represented: 40
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.
----------------------------------------------------------------------
Please fill in all blue values!
Thank You!
----------------------------------------------------------------------
--------------------------------------------------------------------------------
ARM FRM Total/Avg.
--------------------------------------------------------------------------------
Percentage Bal. 79.87% 20.13% 100.00%
Deal Balance 904,898,836 228,010,672 1,132,909,507
WAM 358 266
WALA 2 2
WAC 6.895 8.496
LTV 80.82 87.41
FICO 635 654
Avg. Loan Size 240,281.16 92,611.97
Stated Document % 40.94 38.00
DTI 40.63 40.91
IO % 22.53 0.00
Second Lien % 0.00 44.98
Property Type 1.00 1.00
------------------------
Single Family % 70.56 73.92
PUD % 12.23 9.94
2-4 Unit % 7.17 7.65
CO % 9.63 7.38
MH % 0.41 1.11
Occupancy Type 1.00 1.00
------------------------
Owner Occupied 94.81 95.94
2nd Home 1.89 1.72
Investor Prop. 3.29 2.34
Loan Purpose 1.00 1.00
------------------------
Purchase 49.77 48.11
Cash-Out 36.07 36.59
Rate-Reduction 14.16 15.30
--------------------------------------------------------------------------------
ARM Check FRM Check
------------ -------------
100.00% 100.00%
------------ -------------
State Percent State Percent
------------------------- ------------------------
NY 4.21 NY 9.24
PA 0.95 PA 1.82
OH 0.29 OH 0.48
NJ 3.24 NJ 3.52
GA 1.21 GA 1.15
FL 3.06 FL 4.14
IL 3.67 IL 1.73
Other 83.38 Other 77.93
------------------------- ------------------------
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.
--------------------------------------------------------------------------------
Please fill in all values!
Thank You!
--------------------------------------------------------------------------------
ARM FRM IO Non-IO
---------------------------------------------------------- ---------------------------------------------------------------
Percentage Bal. 79.87% 20.13% Percentage Bal. 18.00% 82.00%
Deal Balance 904,898,836 228,010,672 Deal Balance 203,871,131 929,038,377
Gross WAC 6.895 8.496 Gross WAC 6.313 7.416
CLTV (incld. Sil. 2nds) 89.68 88.79 CLTV (incld. Sil. 2nds) 95.11 88.27
FICO 635 654 FICO 682 630
Loan Balance 240281.16 92611.97 Loan Balance 314615.94 166494.33
Stated Document % 40.94 38.00 Stated Document % 39.99 40.43
DTI 40.63 40.91 DTI 38.69 41.13
IO % 22.53 0.00 IO % 100.00 0.00
Second Lien % 0.00 44.98 Second Lien % 0.00 11.04
Silent Seconds % 45.81 7.27 Silent Seconds % 71.14 30.79
Property Type 1.00 1.00 Property Type 1.00 1.00
------------- -------------
Single Family % 70.56 73.92 Single Family % 66.98 72.17
PUD % 12.23 9.94 PUD % 14.72 11.12
2-4 Unit % 7.17 7.65 2-4 Unit % 3.35 8.13
CO% 9.63 7.38 CO% 14.96 7.91
MH % 0.41 1.11 MH % 0.00 0.68
Occupancy Type 1.00 Occupancy Type 1.00 1.00
-------------- --------------
Owner Occupied 94.81 95.94 Owner Occupied 96.85 94.65
2nd Home 1.89 1.72 2nd Home 3.15 1.57
Investor Prop. 3.29 2.34 Investor Prop. 0.00 3.78
Loan Purpose 1.00 1.00 Loan Purpose 1.00 1.00
------------ ------------
Purchase 49.77 48.11 Purchase 67.82 45.40
Cash-Out 36.07 36.59 Cash-Out 23.82 38.89
Rate-Reduction 14.16 15.30 Rate-Reduction 8.36 15.71
---------------------------------------------------------- ---------------------------------------------------------------
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
--------------------------------------------------------------------------------------------
A FICO below 600 26.25 79.47 40.53 10.12 67.98 98.19 7.636
FICO below 580 17.34 78.81 41.57 8.41 67.5 98.27 7.743
FICO below 560 11.41 77.62 38.28 3.68 66.84 99.22 7.889
-----------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------
% below 100k % above 500k % IO ave DTI DTI > 45%
--------------------------------------------------------
A 9.26 7.52 4.81 40.54 37.39
7.59 6.58 0.62 40.79 38.37
8 5.87 0.15 41.47 41.19
----------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
% of pool average LTV FICO <600 FICO < 575 % full doc % owner occ ave wac % below 100k
----------------------------------------------------------------------------------------------------
B LTV above 85% 28.45 94.02 23.14 12.89 58.6 92.09 8.225 27.72
LTV above 90% 15.8 97.62 16.81 7.52 54.71 95.68 9.087 45.33
LTV above 95% 8.83 99.92 8.79 1.42 44.53 98.24 10.136 73.31
-------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------
% above 500k % IO ave DTI DTI > 45% LTV above 80% LTV above 90%
-------------------------------------------------------------------------
B 9.46 8.7 41.29 37.57 100 55.53
3.93 5.41 41.66 37.14 100 100
0 0 41.15 32.94 100 100
---------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
% of pool average LTV FICO <600 FICO < 575 % full doc % owner occ ave wac % below 100k
----------------------------------------------------------------------------------------------------
C DTI > 40% 59.02 82.7 26.05 16.33 48.42 95.61 7.273 10.3
DTI > 45% 34.18 82.71 28.71 18.26 51.76 95.73 7.279 10.07
DTI > 50% 9.95 83.17 29.55 19.55 70.8 95.29 7.141 7.28
-------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------
% above 500k % IO ave DTI DTI > 45% LTV above 80% LTV above 90%
-------------------------------------------------------------------------
C 11.67 14.94 46.56 57.92 37.71 17.2
9.69 9.99 49.35 100 39.65 17.16
10.74 3.55 53.11 100 49.06 19.86
---------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
D Non Owner Occ % of pool average LTV FICO <600 FICO < 575 % full doc % owner occ ave wac % below 100k
----------------------------------------------------------------------------------------------------
Stated Docs 29.77 79.3 5.72 0.5 0 0 7.395 9.22
Loans below 100k 12.48 84.54 18.44 10.44 65.59 0 8.358 100
IO Loans 11.45 85.34 0 0 59.62 0 6.403 2.19
-------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------
D % above 500k % IO ave DTI DTI > 45% LTV > 80% LTV > 90%
--------------------------------------------------------------------------
7.81 6.9 38.57 26.69 29.75 8.48
0 2.01 37.09 33.11 66.01 25.5
8.2 100 41.88 28.95 43.79 22.09
----------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
E When do IOs reset
-----------------------------------------------------------------------------------------------------
Months to next reset Count Balance ($) % of Balance WAC Remaining Term WA LTV WA FICO
-----------------------------------------------------------------------------------------------------
19 1 531,250 0.26 5.99 355 85 650
20 20 5,759,903 2.83 6.719 356 83.68 653
21 143 43,906,594 21.54 6.358 357 81.29 669
22 442 140,329,889 68.83 6.301 358 81.23 689
23 2 574,100 0.28 5.715 359 77.52 656
56 2 339,317 0.17 6.13 356 80 652
57 13 5,136,533 2.52 6.175 357 81.21 669
58 25 7,293,545 3.58 6.133 358 80.07 673
-----------------------------------------------------------------------------------------------------
Total: 648 203,871,131 100 6.313 358 81.27 682
-----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
---------------------------------------------------------
F Is DTI off current mortgage rate for IO Y
---------------------------------------------------------
---------------------------------------------------------------------------------------------------------------
G Summary of pool per WMC grades
-------------------------------------------------------------------------------------------------------
Credit Grade Count Balance ($) % of Balance WAC Remaining Term WA LTV WA FICO
-------------------------------------------------------------------------------------------------------
A 1,541 273,464,958 24.14 7.175 340 82.83 625
AA 2,998 551,979,777 48.72 7.012 333 83.33 687
A- 675 103,670,494 9.15 7.456 339 81.58 593
B 508 97,588,848 8.61 7.946 356 76.35 536
B+ 438 92,886,317 8.2 7.374 356 81.13 568
C 68 13,319,114 1.18 8.321 356 73.49 546
-------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100 7.217 339 82.15 639
-------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
H What are top 10 cities and average strats for each
-----------------------------------------------------------------------------------------------------
Top 10 Cities of Overall Pool Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------
Los Angeles CA 217 51,899,127 4.58 7.136 342 79.91 650
San Diego CA 61 18,804,137 1.66 6.714 343 81.58 668
Las Vegas NV 93 13,983,487 1.23 7.543 333 81.25 639
Sacramento CA 79 13,222,344 1.17 7.139 334 82.79 649
Chicago IL 85 13,123,759 1.16 7.281 347 83.52 633
Riverside CA 49 11,387,482 1.01 6.784 341 80.78 627
Lancaster CA 76 11,154,161 0.98 7.206 336 84.81 638
Corona CA 35 10,823,895 0.96 6.998 342 83.53 646
Palmdale CA 53 9,892,175 0.87 7.066 344 82.09 632
Moreno Vall CA 48 8,988,202 0.79 7.232 335 82.27 623
Other 5,432 969,630,739 85.59 7.236 339 82.24 638
-----------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100 7.217 339 82.15 639
-------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
I What % of pool are LTV above 90% and stated doc, IO, FICO below 600 or NOO?
---------------------------------------------------------------------------------------------------------------------
% non-
% stated owner % Fico Less
LTV > 90 Loans Balance ($) % of Balance Rate (%) Doctype % IO Loans Occupied Than 600
---------------------------------------------------------------------------------------------------------------------
LTV > 90 2,120 178,947,537 15.8 9.087 33.19 5.41 4.32 16.81
-----------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------
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: 500
--------------------------------------------------------------------------
--------------------------------------------------------------------------
K What is min FICO for loans above 90% LTV
Min Fico for ltv greater than 90: 508
--------------------------------------------------------------------------
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.
Here's what we like to see: 1,132,909,507.41
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 6.07 0.96 1.64 8.68 193,476 76.76
551-600 12.15 2.42 3.58 18.14 179,467 80.59
601-650 13.77 3.94 10.88 28.59 172,368 82.63
651-700 10.29 2.67 16.07 29.04 188,863 82.97
701-750 4.39 1.16 6.03 11.58 180,999 83.85
751-800 1.50 0.31 2.12 3.93 197,095 83.12
801-850 0.01 0.00 0.03 0.04 162,651 81.54
----------------------------------------------------------------------------------------------
Total 48.18 11.46 40.35 100.00 181,906 82.01
----------------------------------------------------------------------------------------------
LTV & FICO
-----------------------------------------------------------------------------------------------------------------------------------
FICO FICO Avg Gross
Current LTV NA 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total Prin Bal WAC Margin
-----------------------------------------------------------------------------------------------------------------------------------
(10 increment)
..01 - 10.00 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.01 59,886 6.250 0.000
10.01-20 0.00 0.00 0.01 0.01 0.01 0.00 0.00 0.00 0.03 64,920 7.035 6.250
20.01-30 0.00 0.03 0.03 0.03 0.02 0.02 0.00 0.00 0.12 87,121 7.297 6.588
30.01-40 0.00 0.04 0.16 0.08 0.05 0.03 0.00 0.00 0.36 135,103 6.991 5.987
40.01-50 0.00 0.16 0.27 0.16 0.17 0.07 0.01 0.00 0.83 173,991 6.806 6.203
50.01-60 0.00 0.58 0.51 0.48 0.30 0.04 0.04 0.00 1.94 205,317 6.979 6.029
60.01-70 0.00 1.15 2.03 1.47 0.83 0.24 0.04 0.00 5.75 227,674 6.928 6.068
70.01-80 0.00 3.72 7.26 15.02 18.20 7.35 2.56 0.04 54.14 237,199 6.740 5.923
80.01-90 0.00 2.88 5.29 6.33 4.35 1.49 0.72 0.00 21.06 232,813 7.164 6.438
90.01-100 0.00 0.12 2.59 5.02 5.11 2.35 0.57 0.00 15.76 84,310 9.091 6.835
-----------------------------------------------------------------------------------------------------------------------------------
Total 0.00 8.68 18.14 28.59 29.04 11.58 3.93 0.04 100.00 181,906 7.217 6.119
-----------------------------------------------------------------------------------------------------------------------------------
Prin Balance & FICO
-----------------------------------------------------------------------------------------------------------------------------------
FICO FICO Current Gross
Prin Balance NA 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total LTV WAC Margin
-----------------------------------------------------------------------------------------------------------------------------------
(50,000 increments)
$1 - $50,000 0.00 0.12 0.52 1.05 0.87 0.35 0.11 0.00 3.02 95.88 10.422 7.194
$50,001 - $100,000 0.00 0.57 1.27 2.28 2.46 1.21 0.29 0.00 8.08 90.03 9.035 6.482
$100,001 - $150,000 0.00 1.22 2.27 3.17 2.66 1.02 0.44 0.00 10.78 82.69 7.695 6.265
$150,001 - $200,000 0.00 1.27 2.56 3.40 3.02 1.19 0.28 0.01 11.73 79.40 7.133 6.221
$200,001 - $250,000 0.00 1.21 2.46 3.80 3.04 1.21 0.28 0.00 11.99 80.54 6.907 6.153
$250,001 - $300,000 0.00 1.04 2.33 3.18 2.98 1.47 0.37 0.03 11.39 80.36 6.815 6.066
$300,001 - $350,000 0.00 1.24 1.70 2.85 3.23 1.21 0.37 0.00 10.60 80.60 6.788 6.093
$350,001 - $400,000 0.00 0.61 1.43 2.41 2.77 1.12 0.34 0.00 8.68 82.27 6.716 6.060
$400,001 - $450,000 0.00 0.49 0.91 1.74 1.55 0.74 0.38 0.00 5.81 80.90 6.807 6.091
$450,001 - $500,000 0.00 0.42 1.14 1.40 1.72 0.51 0.38 0.00 5.57 79.49 6.851 6.002
$500,001 - $550,000 0.00 0.14 0.38 0.97 1.70 0.51 0.27 0.00 3.98 80.46 6.618 5.865
$550,001 - $600,000 0.00 0.10 0.50 0.76 1.07 0.20 0.26 0.00 2.89 81.97 6.894 6.025
$600,001 - $650,000 0.00 0.16 0.50 0.60 0.83 0.33 0.06 0.00 2.48 81.45 6.634 5.998
$650,001 - $700,000 0.00 0.06 0.12 0.36 0.54 0.06 0.06 0.00 1.21 77.37 6.700 6.254
$700,001 - $750,000 0.00 0.00 0.06 0.32 0.38 0.45 0.00 0.00 1.22 81.94 6.340 5.771
$750,001 - $800,000 0.00 0.00 0.00 0.14 0.14 0.00 0.07 0.00 0.34 80.83 6.491 5.922
$800,001 - $850,000 0.00 0.00 0.00 0.07 0.07 0.00 0.00 0.00 0.15 82.39 6.197 5.884
$850,001 - $900,000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.000 0.000
$900,001 - $950,000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.000 0.000
$950,001 - $1,000,000 0.00 0.00 0.00 0.09 0.00 0.00 0.00 0.00 0.09 78.91 6.990 6.250
<= $1,000,000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.000 0.000
-----------------------------------------------------------------------------------------------------------------------------------
total 0.00 8.68 18.14 28.59 29.04 11.58 3.93 0.04 100.00 82.01 7.217 6.119
-----------------------------------------------------------------------------------------------------------------------------------
Prepayment Penalty & FICO
------------------------------------------------------------------------------------------------------------------------------------
Prepayment FICO FICO Current Gross Avg
Penalty Term NA 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total LT WAC Margin Prin Bal
------------------------------------------------------------------------------------------------------------------------------------
(whatever increments)
0 0.00 2.37 4.85 8.16 7.02 2.93 0.87 0.02 26.22 83.16 7.66 6.20 156083.00
6 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 94.88 10.13 0.00 50284.00
12 0.00 0.24 0.69 1.35 1.43 0.35 0.42 0.00 4.48 80.47 6.98 6.21 244189.00
24 0.00 5.44 10.80 15.03 16.42 6.67 2.20 0.03 56.59 81.53 6.97 6.08 208986.00
36 0.00 0.62 1.79 4.04 4.16 1.64 0.44 0.00 12.70 82.30 7.49 6.11 137283.00
60 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
------------------------------------------------------------------------------------------------------------------------------------
total 0.00 8.68 18.14 28.59 29.04 11.58 3.93 0.04 100.00 82.01 7.22 6.12 181906.00
------------------------------------------------------------------------------------------------------------------------------------
Mortg Rates & FICO
------------------------------------------------------------------------------------------------------------------------------------
FICO FICO Current Gross Avg
Mortg Rates NA 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total LT WAC Margin Prin Bal
------------------------------------------------------------------------------------------------------------------------------------
(50 bps increment)
4.001 - 4.5% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
4.501 - 5.0% 0.00 0.02 0.00 0.01 0.07 0.09 0.12 0.00 0.30 79.49 4.99 4.99 284005.00
5.001 - 5.5% 0.00 0.00 0.06 0.36 1.63 0.99 0.33 0.00 3.36 79.54 5.40 5.29 314902.00
5.501 - 6.0% 0.00 0.01 1.09 3.35 4.51 2.17 1.00 0.04 12.17 78.63 5.88 5.53 280907.00
6.001 - 6.5% 0.00 0.39 2.85 6.33 6.19 2.14 0.76 0.00 18.65 78.83 6.35 5.80 263770.00
6.501 - 7.0% 0.00 1.11 4.60 7.29 7.54 2.68 0.80 0.00 24.02 80.37 6.82 6.10 244038.00
7.001 - 7.5% 0.00 1.35 2.80 4.64 3.08 1.16 0.17 0.00 13.19 81.39 7.32 6.35 223678.00
7.501 - 8.0% 0.00 2.10 3.21 2.79 1.78 0.58 0.20 0.00 10.67 81.38 7.82 6.60 196519.00
8.001 - 8.5% 0.00 1.46 1.33 0.80 0.60 0.43 0.16 0.00 4.79 85.42 8.35 7.01 154913.00
8.501 - 9.0% 0.00 1.09 0.95 0.55 0.52 0.39 0.05 0.00 3.54 87.26 8.83 7.23 116745.00
9.001 - 9.5% 0.00 0.49 0.32 0.16 0.57 0.14 0.05 0.00 1.73 90.24 9.37 7.55 85919.00
9.501 - 10.0% 0.00 0.51 0.25 0.33 0.92 0.47 0.18 0.00 2.67 94.80 9.86 7.42 75246.00
10.001 - 10.5% 0.00 0.09 0.10 0.43 0.69 0.09 0.03 0.00 1.43 97.74 10.43 7.81 59307.00
10.501 - 11.0% 0.00 0.05 0.22 0.87 0.69 0.16 0.05 0.00 2.03 98.47 10.87 8.78 58029.00
11.001 - 11.5% 0.00 0.00 0.06 0.11 0.04 0.01 0.00 0.00 0.22 99.04 11.28 9.50 32111.00
11.501 - 12.0% 0.00 0.00 0.09 0.24 0.09 0.04 0.00 0.00 0.47 97.93 11.96 10.99 43613.00
12.001 - 12.5% 0.00 0.00 0.06 0.12 0.02 0.03 0.00 0.00 0.24 99.28 12.30 0.00 44442.00
12.501 - 13.0% 0.00 0.00 0.16 0.21 0.10 0.03 0.00 0.00 0.50 99.49 12.86 0.00 39015.00
13.001 - 13.5% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 99.97 13.13 0.00 17975.00
13.501 - 14.0% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 99.99 13.88 0.00 17194.00
------------------------------------------------------------------------------------------------------------------------------------
total 0.00 8.68 18.14 28.59 29.04 11.58 3.93 0.04 100.00 82.01 7.22 6.12 181906.00
------------------------------------------------------------------------------------------------------------------------------------
Mortg Rates & LTV
------------------------------------------------------------------------------------------------------------------------------------
10.01 20.01 30.01 40.01 50.01 60.01 70.01 80.01 90.01 avg Gross Avg
Mortg Rates .01-10 -20 -30 -40 -50 -60 -70 -80 -90 -100 total FICO Margin Prin Bal
------------------------------------------------------------------------------------------------------------------------------------
(50 bps increment)
4.001 - 4.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0 0.0 0.0
4.501 - 5.000 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.27 0.01 0.00 0.30 718 5.0 284005.0
5.001 - 5.500 0.00 0.00 0.00 0.00 0.01 0.08 0.09 2.65 0.46 0.07 3.36 692 5.3 314902.0
5.501 - 6.000 0.00 0.00 0.02 0.05 0.13 0.25 0.85 8.89 1.81 0.19 12.17 669 5.5 280907.0
6.001 - 6.500 0.01 0.01 0.03 0.09 0.32 0.34 1.40 12.27 3.72 0.47 18.65 649 5.8 263770.0
6.501 - 7.000 0.00 0.01 0.01 0.09 0.17 0.50 1.56 14.56 5.37 1.73 24.02 643 6.1 244038.0
7.001 - 7.500 0.00 0.02 0.00 0.02 0.08 0.36 0.50 7.31 3.58 1.33 13.19 627 6.3 223678.0
7.501 - 8.000 0.00 0.00 0.03 0.07 0.07 0.25 0.69 5.12 3.06 1.38 10.67 606 6.6 196519.0
8.001 - 8.500 0.00 0.00 0.02 0.03 0.00 0.02 0.29 1.58 1.35 1.50 4.79 602 7.0 154913.0
8.501 - 9.000 0.00 0.00 0.00 0.00 0.02 0.09 0.18 0.83 0.93 1.49 3.54 600 7.2 116745.0
9.001 - 9.500 0.00 0.00 0.01 0.00 0.00 0.00 0.11 0.34 0.34 0.93 1.73 617 7.5 85919.0
9.501 - 10.000 0.00 0.00 0.00 0.00 0.01 0.02 0.06 0.24 0.27 2.07 2.67 645 7.4 75246.0
10.001 - 10.500 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.06 0.05 1.30 1.43 649 7.8 59307.0
10.501 - 11.000 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.03 0.07 1.93 2.03 647 8.8 58029.0
11.001 - 11.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.21 0.22 629 9.5 32111.0
11.501 - 12.000 0.00 0.00 0.00 0.00 0.00 0.02 0.00 0.00 0.01 0.45 0.47 633 11.0 43613.0
12.001 - 12.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.23 0.24 636 0.0 44442.0
12.501 - 13.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.48 0.50 625 0.0 39015.0
13.001 - 13.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 593 0.0 17975.0
13.501 - 14.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 660 0.0 17194.0
------------------------------------------------------------------------------------------------------------------------------------
total 0.01 0.03 0.12 0.36 0.83 1.94 5.75 54.14 21.06 15.76 100.00 639 6.1 181906.0
------------------------------------------------------------------------------------------------------------------------------------
Here's what we like to see: 632,830,079.84
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 5.57 1.16 1.47 8.20 218,883 76.69
551-600 11.32 3.14 3.50 17.96 191,979 80.84
601-650 11.86 3.87 10.22 25.95 223,465 82.73
651-700 10.69 2.71 17.47 30.87 257,358 83.33
701-750 4.60 1.44 6.22 12.27 239,637 84.16
751-800 1.84 0.45 2.46 4.75 261,555 83.26
801-850 0.00 0.00 0.00 0.00 - 0
Total 45.88 12.77 41.35 100.00 229,120 82.28
--------------------------------------------------------------------------------------------
LTV & FICO
------------------------------------------------------------------------------------------------------------------------------------
FICO FICO Avg Gross
Current LTV NA 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total Prin Bal WAC Margin
------------------------------------------------------------------------------------------------------------------------------------
(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 0.000
10.01-20 0.00 0.00 0.00 0.00 0.02 0.00 0.00 0.00 0.02 119,820 7.450 6.125
20.01-30 0.00 0.00 0.03 0.00 0.02 0.00 0.00 0.00 0.05 58,252 7.262 6.610
30.01-40 0.00 0.05 0.12 0.00 0.00 0.00 0.00 0.00 0.16 148,933 7.804 6.056
40.01-50 0.00 0.16 0.22 0.13 0.05 0.00 0.00 0.00 0.56 221,185 7.025 6.386
50.01-60 0.00 0.52 0.27 0.43 0.16 0.05 0.06 0.00 1.49 254,963 7.055 5.989
60.01-70 0.00 1.07 2.44 1.25 0.70 0.34 0.06 0.00 5.86 272,735 6.926 6.112
70.01-80 0.00 3.72 7.18 14.06 19.80 8.03 3.01 0.00 55.79 296,940 6.701 5.904
80.01-90 0.00 2.55 5.04 5.84 4.86 1.34 0.99 0.00 20.62 304,175 7.125 6.406
90.01-100 0.00 0.13 2.67 4.25 5.26 2.52 0.63 0.00 15.45 103,778 9.249 6.849
------------------------------------------------------------------------------------------------------------------------------------
Total 0.00 8.20 17.96 25.95 30.87 12.27 4.75 0.00 100.00 229,120 7.204 6.092
------------------------------------------------------------------------------------------------------------------------------------
Prin Balance & FICO
------------------------------------------------------------------------------------------------------------------------------------
FICO FICO Current Gross
Prin Balance NA 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total LTV WAC Margin
------------------------------------------------------------------------------------------------------------------------------------
(50,000 increments)
$1 - $50,000 0.00 0.12 0.68 0.52 0.08 0.02 0.01 0.00 1.43 93.61 11.072 7.322
$50,001 - $100,000 0.00 0.45 1.12 1.67 2.35 1.26 0.33 0.00 7.17 93.01 9.453 6.616
$100,001 - $150,000 0.00 0.95 1.58 2.09 2.43 0.93 0.48 0.00 8.46 87.03 8.369 6.390
$150,001 - $200,000 0.00 0.90 1.62 1.48 1.85 0.60 0.23 0.00 6.67 80.89 7.519 6.333
$200,001 - $250,000 0.00 0.63 1.16 1.85 1.54 0.57 0.17 0.00 5.93 79.94 7.009 6.159
$250,001 - $300,000 0.00 0.61 1.58 1.49 1.43 1.32 0.14 0.00 6.57 79.74 6.887 6.079
$300,001 - $350,000 0.00 0.96 1.58 2.03 2.83 1.00 0.36 0.00 8.76 80.01 6.742 6.004
$350,001 - $400,000 0.00 1.10 2.49 3.85 4.47 1.83 0.55 0.00 14.29 82.34 6.715 6.074
$400,001 - $450,000 0.00 0.88 1.56 2.78 2.58 1.14 0.53 0.00 9.47 80.47 6.789 6.063
$450,001 - $500,000 0.00 0.76 1.98 2.35 2.93 0.91 0.68 0.00 9.60 79.54 6.842 5.983
$500,001 - $550,000 0.00 0.25 0.67 1.74 3.05 0.92 0.49 0.00 7.12 80.46 6.618 5.865
$550,001 - $600,000 0.00 0.18 0.73 1.27 1.83 0.36 0.46 0.00 4.82 82.10 6.890 5.990
$600,001 - $650,000 0.00 0.29 0.89 1.08 1.49 0.49 0.10 0.00 4.35 81.26 6.628 5.998
$650,001 - $700,000 0.00 0.11 0.21 0.65 0.97 0.11 0.11 0.00 2.16 77.37 6.700 6.254
$700,001 - $750,000 0.00 0.00 0.11 0.58 0.68 0.81 0.00 0.00 2.18 81.94 6.340 5.771
$750,001 - $800,000 0.00 0.00 0.00 0.24 0.24 0.00 0.12 0.00 0.61 80.83 6.491 5.922
$800,001 - $850,000 0.00 0.00 0.00 0.13 0.13 0.00 0.00 0.00 0.26 82.39 6.197 5.884
$850,001 - $900,000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.000 0.000
$900,001 - $950,000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.000 0.000
$950,001 - $1,000,000 0.00 0.00 0.00 0.16 0.00 0.00 0.00 0.00 0.16 78.91 6.990 6.250
<= $1,000,000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.000 0.000
------------------------------------------------------------------------------------------------------------------------------------
total 0.00 8.20 17.96 25.95 30.87 12.27 4.75 0.00 100.00 82.28 7.204 6.092
------------------------------------------------------------------------------------------------------------------------------------
Prepayment Penalty & FICO
------------------------------------------------------------------------------------------------------------------------------------
Prepayment FICO FICO Current Gross Avg
Penalty Term NA 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total LTV WAC Margin Prin Bal
------------------------------------------------------------------------------------------------------------------------------------
(whatever increments)
0 0.00 2.39 5.22 8.28 7.22 3.24 1.04 0.00 27.39 83.05 7.71 6.22 191941.00
12 0.00 0.13 0.84 1.14 1.71 0.33 0.49 0.00 4.63 81.12 6.98 6.15 308566.00
24 0.00 5.25 10.66 14.04 18.43 7.38 2.76 0.00 58.52 81.66 6.93 6.04 257726.00
36 0.00 0.43 1.23 2.49 3.51 1.32 0.46 0.00 9.46 84.44 7.55 6.09 182999.00
------------------------------------------------------------------------------------------------------------------------------------
total 0.00 8.20 17.96 25.95 30.87 12.27 4.75 0.00 100.00 82.28 7.20 6.09 229120.00
------------------------------------------------------------------------------------------------------------------------------------
Mortg Rates & FICO
------------------------------------------------------------------------------------------------------------------------------------
FICO FICO Current Gross Avg
Mortg Rates NA 500-550 551-600 601-650 651-700 701-750 751-800 801-850 total LTV WAC Margin Prin Bal
------------------------------------------------------------------------------------------------------------------------------------
(50 bps increment)
4.001 - 4.5% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
4.501 - 5.0% 0.00 0.00 0.00 0.00 0.07 0.06 0.21 0.00 0.35 80.00 4.99 4.97 436960.00
5.001 - 5.5% 0.00 0.00 0.05 0.30 2.07 1.08 0.42 0.00 3.92 79.71 5.40 5.29 399694.00
5.501 - 6.0% 0.00 0.00 1.29 2.89 5.13 2.73 1.38 0.00 13.43 79.69 5.88 5.53 361602.00
6.001 - 6.5% 0.00 0.34 2.77 6.29 6.21 2.23 0.78 0.00 18.62 79.23 6.34 5.77 330940.00
6.501 - 7.0% 0.00 0.99 4.43 6.36 8.15 2.30 0.97 0.00 23.19 80.55 6.82 6.08 312892.00
7.001 - 7.5% 0.00 1.39 2.85 4.40 3.06 1.26 0.12 0.00 13.08 81.09 7.31 6.31 287489.00
7.501 - 8.0% 0.00 1.74 2.53 2.44 1.54 0.59 0.20 0.00 9.04 80.74 7.81 6.60 241314.00
8.001 - 8.5% 0.00 1.51 1.37 0.59 0.74 0.44 0.21 0.00 4.85 85.81 8.35 6.98 195486.00
8.501 - 9.0% 0.00 0.79 0.89 0.54 0.56 0.52 0.06 0.00 3.36 89.06 8.85 7.24 146618.00
9.001 - 9.5% 0.00 0.51 0.44 0.09 0.60 0.12 0.07 0.00 1.83 89.93 9.39 7.79 114597.00
9.501 - 10.0% 0.00 0.73 0.36 0.33 1.04 0.52 0.23 0.00 3.22 93.98 9.86 7.42 102368.00
10.001 - 10.5% 0.00 0.12 0.09 0.33 0.76 0.14 0.05 0.00 1.48 97.48 10.42 7.76 86438.00
10.501 - 11.0% 0.00 0.05 0.24 0.75 0.78 0.19 0.07 0.00 2.08 97.89 10.86 8.78 82401.00
11.001 - 11.5% 0.00 0.01 0.10 0.08 0.01 0.01 0.00 0.00 0.22 98.53 11.27 9.50 30804.00
11.501 - 12.0% 0.00 0.01 0.16 0.22 0.07 0.04 0.00 0.00 0.51 97.00 11.96 10.99 50164.00
12.001 - 12.5% 0.00 0.01 0.10 0.08 0.01 0.02 0.00 0.00 0.21 99.28 12.33 0.00 45332.00
12.501 - 13.0% 0.00 0.00 0.27 0.26 0.06 0.03 0.00 0.00 0.63 99.56 12.87 0.00 39536.00
13.001 - 13.5% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 99.97 13.13 0.00 17975.00
------------------------------------------------------------------------------------------------------------------------------------
total 0.00 8.20 17.96 25.95 30.87 12.27 4.75 0.00 100.00 82.28 7.20 6.09 229120.00
------------------------------------------------------------------------------------------------------------------------------------
Mortg Rates & LTV
------------------------------------------------------------------------------------------------------------------------------------
10.01 20.01 30.01 40.01 50.01 60.01 70.01 80.01 90.01 avg Gross Avg
Mortg Rates .01-10 -20 -30 -40 -50 -60 -70 -80 -90 -100 total FICO Margin Prin Bal
------------------------------------------------------------------------------------------------------------------------------------
(50 bps increment)
4.001 - 4.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0 0.0 0.0
4.501 - 5.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.35 0.00 0.00 0.35 741 5.0 436960.0
5.001 - 5.500 0.00 0.00 0.00 0.00 0.00 0.07 0.16 3.02 0.54 0.12 3.92 694 5.3 399694.0
5.501 - 6.000 0.00 0.00 0.00 0.00 0.05 0.06 0.89 10.30 1.97 0.17 13.43 674 5.5 361602.0
6.001 - 6.500 0.00 0.00 0.01 0.03 0.21 0.27 1.43 12.55 3.74 0.38 18.62 650 5.8 330940.0
6.501 - 7.000 0.00 0.00 0.01 0.00 0.14 0.49 1.55 14.20 5.34 1.47 23.19 645 6.1 312892.0
7.001 - 7.500 0.00 0.02 0.01 0.00 0.10 0.34 0.46 7.52 3.76 0.88 13.08 627 6.3 287489.0
7.501 - 8.000 0.00 0.00 0.02 0.08 0.02 0.22 0.63 4.69 2.30 1.07 9.04 610 6.6 241314.0
8.001 - 8.500 0.00 0.00 0.01 0.06 0.00 0.01 0.26 1.66 1.15 1.72 4.85 603 7.0 195486.0
8.501 - 9.000 0.00 0.00 0.00 0.00 0.00 0.00 0.21 0.66 0.93 1.56 3.36 613 7.2 146618.0
9.001 - 9.500 0.00 0.00 0.00 0.00 0.00 0.00 0.16 0.38 0.32 0.97 1.83 616 7.8 114597.0
9.501 - 10.000 0.00 0.00 0.00 0.00 0.02 0.00 0.09 0.36 0.37 2.37 3.22 638 7.4 102368.0
10.001 - 10.500 0.00 0.00 0.00 0.00 0.01 0.00 0.02 0.07 0.08 1.31 1.48 653 7.8 86438.0
10.501 - 11.000 0.00 0.00 0.00 0.00 0.02 0.00 0.00 0.04 0.09 1.94 2.08 651 8.8 82401.0
11.001 - 11.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.01 0.20 0.22 609 9.5 30804.0
11.501 - 12.000 0.00 0.00 0.00 0.00 0.00 0.03 0.00 0.00 0.00 0.48 0.51 621 11.0 50164.0
12.001 - 12.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.20 0.21 609 0.0 45332.0
12.501 - 13.000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.62 0.63 614 0.0 39536.0
13.001 - 13.500 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 593 0.0 17975.0
------------------------------------------------------------------------------------------------------------------------------------
total 0.00 0.02 0.05 0.16 0.56 1.49 5.86 55.79 20.62 15.45 100.00 642 6.1 229120.0
------------------------------------------------------------------------------------------------------------------------------------
XXXXXX XXXXXXX
2004-WMC3
Table of Contents
1. Range of Combined Original LTV - FICO 500-524
2. Range of Combined Original LTV - FICO 525-549
3. Range of Combined Original LTV - Balance > 350K
4. Range of Combined Original LTV - Balance gt 500K
5. Range of Principal Balances - FICO 500 524
6. Range of Principal Balances - FICO 525 - 549
7. Range of Principal Balances > 350K
8. Range of Principal Balances > 500K
9. Documentation Level FICO 500 - 524
10. Documentation Level FICO 525-549
11. Documentation Level Balance > 350K
12. Documentation Level Balance > 500K
1. Range of Combined Original LTV - FICO 500-524
------------------------------------------------------------------------------------------------------------------------------------
% 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
Range of Combined Original Mortgage Principal Principal Interest Term Original FICO
LTV - FICO 500-524 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 1 179,745 0.42 7.750 358 20.69 506
30.01 - 35.00 1 156,809 0.37 8.500 358 31.53 517
35.01 - 40.00 1 167,104 0.39 7.800 358 38.92 516
40.01 - 45.00 1 39,795 0.09 9.400 178 44.20 523
45.01 - 50.00 4 734,081 1.71 8.429 358 48.61 506
50.01 - 55.00 4 512,203 1.19 8.173 358 53.72 508
55.01 - 60.00 8 2,110,864 4.92 7.211 358 58.27 511
60.01 - 65.00 12 2,567,109 5.99 7.384 358 63.28 512
65.01 - 70.00 18 3,324,734 7.75 8.419 353 68.58 510
70.01 - 75.00 33 6,662,458 15.54 8.055 348 73.80 515
75.01 - 80.00 86 14,008,466 32.66 8.021 356 79.29 513
80.01 - 85.00 51 9,298,588 21.68 8.405 357 84.32 515
85.01 - 90.00 13 3,069,353 7.16 8.131 357 89.07 514
95.01 - 100.00 1 54,968 0.13 11.990 178 100.00 508
------------------------------------------------------------------------------------------------------------------------------------
Total: 234 42,886,279 100.00 8.085 355 75.99 513
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 20.69
Maximum: 100.00
Weighted Average: 75.99
2. Range of Combined Original LTV - FICO 525-549
------------------------------------------------------------------------------------------------------------------------------------
% 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
Range of Combined Original Mortgage Principal Principal Interest Term Original FICO
LTV - FICO 525-549 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 1 149,813 0.29 8.375 358 20.83 537
30.01 - 35.00 2 129,811 0.25 8.683 357 32.98 542
35.01 - 40.00 1 49,931 0.10 7.875 358 39.37 530
40.01 - 45.00 1 498,159 0.97 6.875 358 41.27 549
45.01 - 50.00 5 507,825 0.99 8.526 356 48.64 539
50.01 - 55.00 8 1,402,636 2.73 7.870 358 53.65 538
55.01 - 60.00 12 2,512,094 4.89 7.429 358 57.85 538
60.01 - 65.00 11 1,722,132 3.35 8.198 357 62.79 538
65.01 - 70.00 24 5,153,559 10.03 7.901 356 68.80 536
70.01 - 75.00 32 7,899,443 15.37 7.954 357 74.07 537
75.01 - 80.00 65 12,661,401 24.63 7.983 355 79.08 537
80.01 - 85.00 58 10,892,990 21.19 8.163 357 84.77 537
85.01 - 90.00 30 6,545,547 12.73 8.251 357 89.30 537
90.01 - 95.00 5 1,072,436 2.09 8.796 357 95.00 541
95.01 - 100.00 4 201,193 0.39 11.388 178 99.77 543
------------------------------------------------------------------------------------------------------------------------------------
Total: 259 51,398,971 100.00 8.047 356 76.93 537
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 20.83
Maximum: 100.00
Weighted Average: 76.93
3. Range of Combined Original LTV - Balance > 350K
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Combined Original Mortgage Principal Principal Interest Term Original FICO
LTV - Balance > 350K Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 2 1,029,917 0.28 7.094 357 43.09 571
45.01 - 50.00 2 1,097,409 0.30 6.409 357 47.32 619
50.01 - 55.00 3 1,447,755 0.39 7.273 357 52.38 694
55.01 - 60.00 8 3,820,604 1.04 6.749 358 57.91 584
60.01 - 65.00 16 7,877,462 2.15 6.625 358 62.86 610
65.01 - 70.00 24 11,457,295 3.12 6.768 351 68.53 605
70.01 - 75.00 55 26,454,431 7.21 6.960 358 73.81 633
75.01 - 80.00 411 192,699,451 52.48 6.544 357 79.74 664
80.01 - 85.00 78 36,443,698 9.93 6.956 358 84.21 620
85.01 - 90.00 128 59,991,359 16.34 6.857 358 89.62 638
90.01 - 95.00 53 23,534,812 6.41 7.298 355 94.70 640
95.01 - 100.00 3 1,313,099 0.36 8.004 357 99.22 672
------------------------------------------------------------------------------------------------------------------------------------
Total: 783 367,167,291 100.00 6.734 357 81.15 648
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 41.27
Maximum: 100.00
Weighted Average: 81.15
4. Range of Combined Original LTV - Balance gt 500K
------------------------------------------------------------------------------------------------------------------------------------
% 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
Range of Combined Original Mortgage Principal Principal Interest Term Original FICO
LTV - Balance gt 500K Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 1 531,757 0.38 7.300 357 44.79 592
45.01 - 50.00 1 598,324 0.43 6.375 357 48.00 644
50.01 - 55.00 1 550,000 0.39 7.990 358 52.63 690
55.01 - 60.00 1 698,731 0.50 6.500 358 59.57 638
60.01 - 65.00 3 2,079,491 1.49 6.667 357 61.73 604
65.01 - 70.00 8 4,834,480 3.46 6.496 358 69.02 610
70.01 - 75.00 18 10,931,203 7.81 6.860 358 73.94 634
75.01 - 80.00 126 74,225,301 53.05 6.499 356 79.74 669
80.01 - 85.00 25 14,972,627 10.70 6.700 357 84.03 631
85.01 - 90.00 39 23,454,752 16.76 6.840 358 89.63 651
90.01 - 95.00 12 7,033,436 5.03 7.372 349 94.66 650
------------------------------------------------------------------------------------------------------------------------------------
Total: 235 139,910,101 100.00 6.661 357 81.04 655
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 44.79
Maximum: 95.00
Weighted Average: 81.04
5. Range of Principal Balances - FICO 500 524
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Principal Mortgage Principal Principal Interest Term Original FICO
Balances - FICO 500 524 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
25,001 - 50,000 15 673,540 1.57 9.899 347 76.85 514
50,001 - 75,000 18 1,065,317 2.48 8.932 338 76.75 512
75,001 - 100,000 24 2,128,714 4.96 8.611 351 79.09 513
100,001 - 125,000 29 3,276,725 7.64 8.631 358 77.80 515
125,001 - 150,000 25 3,449,579 8.04 8.088 355 74.90 511
150,001 - 175,000 19 3,078,461 7.18 8.180 358 70.95 512
175,001 - 200,000 16 2,995,178 6.98 8.248 357 75.76 513
200,001 - 225,000 20 4,336,679 10.11 7.804 358 77.70 514
225,001 - 250,000 8 1,905,545 4.44 7.225 358 75.00 510
250,001 - 275,000 12 3,155,674 7.36 7.954 357 75.06 513
275,001 - 300,000 13 3,735,095 8.71 7.899 357 77.99 511
300,001 - 325,000 6 1,875,694 4.37 7.531 358 73.51 508
325,001 - 350,000 11 3,705,113 8.64 7.728 342 74.33 515
350,001 - 375,000 7 2,550,908 5.95 8.293 357 81.14 518
375,001 - 400,000 1 382,478 0.89 9.915 357 83.26 524
400,001 - 425,000 4 1,659,094 3.87 7.808 357 71.86 515
425,001 - 450,000 2 883,349 2.06 8.425 357 72.54 507
475,001 - 500,000 3 1,477,501 3.45 8.017 357 73.13 517
500,001 - 750,000 1 551,635 1.29 7.250 358 85.00 512
------------------------------------------------------------------------------------------------------------------------------------
Total: 234 42,886,279 100.00 8.085 355 75.99 513
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 39,795
Maximum: 551,635
Average: 183,275
6. Range of Principal Balances - FICO 525 - 549
------------------------------------------------------------------------------------------------------------------------------------
% 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
Range of Principal Mortgage Principal Principal Interest Term Original FICO
Balances - FICO 525 - 549 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1 - 25,000 1 24,716 0.05 12.750 176 98.10 549
25,001 - 50,000 16 705,165 1.37 9.481 325 68.51 535
50,001 - 75,000 15 899,909 1.75 8.929 323 80.65 536
75,001 - 100,000 25 2,237,020 4.35 8.739 344 78.60 540
100,001 - 125,000 27 3,080,869 5.99 8.723 357 76.84 539
125,001 - 150,000 27 3,728,962 7.25 8.081 358 72.29 537
150,001 - 175,000 20 3,254,662 6.33 7.942 358 73.33 538
175,001 - 200,000 25 4,698,664 9.14 8.103 357 77.46 536
200,001 - 225,000 24 5,116,943 9.96 7.872 358 81.46 538
225,001 - 250,000 9 2,118,490 4.12 7.666 358 79.02 537
250,001 - 275,000 10 2,654,704 5.16 8.258 358 81.78 535
275,001 - 300,000 7 2,013,387 3.92 7.715 358 72.65 538
300,001 - 325,000 9 2,812,732 5.47 7.971 357 77.53 536
325,001 - 350,000 15 5,053,772 9.83 7.973 358 78.56 538
350,001 - 375,000 8 2,893,327 5.63 7.734 358 80.28 538
375,001 - 400,000 2 774,752 1.51 6.990 357 78.29 533
400,001 - 425,000 2 837,908 1.63 8.322 358 68.17 534
425,001 - 450,000 5 2,211,752 4.30 7.395 358 71.94 541
450,001 - 475,000 4 1,849,916 3.60 8.030 356 79.19 534
475,001 - 500,000 2 978,755 1.90 7.612 358 65.20 549
500,001 - 750,000 6 3,452,566 6.72 8.109 357 76.41 534
------------------------------------------------------------------------------------------------------------------------------------
Total: 259 51,398,971 100.00 8.047 356 76.93 537
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 24,716
Maximum: 673,091
Average: 198,452
7. Range of Principal Balances > 350K
------------------------------------------------------------------------------------------------------------------------------------
% 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
Range of Principal Mortgage Principal Principal Interest Term Original FICO
Balances > 350K Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
350,001 - 375,000 131 47,411,718 12.91 6.800 358 83.14 640
375,001 - 400,000 131 50,878,229 13.86 6.637 355 81.69 650
400,001 - 425,000 74 30,699,035 8.36 6.686 358 81.18 649
425,001 - 450,000 80 35,141,472 9.57 6.913 358 80.87 640
450,001 - 475,000 53 24,428,932 6.65 6.756 358 80.25 643
475,001 - 500,000 79 38,697,804 10.54 6.911 358 79.20 639
500,001 - 750,000 227 133,387,361 36.33 6.669 357 81.04 654
750,001 - 1,000,000 8 6,522,740 1.78 6.492 357 81.05 669
------------------------------------------------------------------------------------------------------------------------------------
Total: 783 367,167,291 100.00 6.734 357 81.15 648
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 350,400
Maximum: 994,259
Average: 468,924
8. Range of Principal Balances > 500K
------------------------------------------------------------------------------------------------------------------------------------
% 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
Mortgage Principal Principal Interest Term Original FICO
Range of Principal Balances > 500K Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
500,001 - 750,000 227 133,387,361 95.34 6.669 357 81.04 654
750,001 - 1,000,000 8 6,522,740 4.66 6.492 357 81.05 669
------------------------------------------------------------------------------------------------------------------------------------
Total: 235 139,910,101 100.00 6.661 357 81.04 655
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 500,800
Maximum: 994,259
Average: 595,362
9. Documentation Level FICO 500 - 524
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Documentation Level Mortgage Principal Principal Interest Term Original FICO
FICO 500 - 524 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 181 31,957,798 74.52 7.998 356 76.95 513
Limited Documentation 21 3,367,433 7.85 8.063 358 77.72 514
Stated Documentation 32 7,561,048 17.63 8.462 349 71.15 513
------------------------------------------------------------------------------------------------------------------------------------
Total: 234 42,886,279 100.00 8.085 355 75.99 513
------------------------------------------------------------------------------------------------------------------------------------
10. Documentation Level FICO 525-549
------------------------------------------------------------------------------------------------------------------------------------
% 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
Documentation Level Mortgage Principal Principal Interest Term Original FICO
FICO 525-549 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 185 33,713,255 65.59 8.050 355 79.47 537
Stated Documentation 42 10,194,972 19.83 8.087 357 68.72 537
Limited Documentation 32 7,490,744 14.57 7.981 357 76.68 538
------------------------------------------------------------------------------------------------------------------------------------
Total: 259 51,398,971 100.00 8.047 356 76.93 537
------------------------------------------------------------------------------------------------------------------------------------
11. Documentation Level Balance > 350K
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Documentation Level Mortgage Principal Principal Interest Term Original FICO
Balance > 350K Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 338 159,570,141 43.46 6.560 357 82.44 638
Limited Documentation 111 54,579,238 14.86 6.776 358 81.23 633
Stated Documentation 334 153,017,912 41.68 6.901 357 79.78 663
------------------------------------------------------------------------------------------------------------------------------------
Total: 783 367,167,291 100.00 6.734 357 81.15 648
------------------------------------------------------------------------------------------------------------------------------------
12. Documentation Level Balance > 500K
------------------------------------------------------------------------------------------------------------------------------------
% 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
Documentation Level Mortgage Principal Principal Interest Term Original FICO
Balance > 500K Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 108 64,817,628 46.33 6.449 357 82.38 656
Stated Documentation 87 50,476,731 36.08 6.878 356 79.32 662
Limited Documentation 40 24,615,743 17.59 6.772 358 81.06 637
------------------------------------------------------------------------------------------------------------------------------------
Total: 235 139,910,101 100.00 6.661 357 81.04 655
------------------------------------------------------------------------------------------------------------------------------------
XXXXXX XXXXXXX
2004-WMC3
Table of Contents
1. FICO Score LTV 95.01 - 100
2. Originator LTV 95.01 - 100
3. Grade LTV 95.01 - 100
4. Doc Type LTV 95.01 - 100
5. Lien Position LTV 95.01 - 100
6. FICO Score LTV 90.01 - 95
7. Originator LTV 90.01 - 95
8. Grade LTV 90.01 - 95
9. Doc Type LTV 90.01 - 95
10. Lien Position LTV 90.01 - 95
1. FICO - Score Combined Original LTV 95.01 - 100
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
FICO Score LTV 95.01 - 100 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
500 - 524 1 54,968 0.05 11.990 178 100.00 508
525 - 549 4 201,193 0.20 11.388 178 99.77 543
550 - 574 13 1,160,175 1.16 9.244 257 98.62 560
575 - 599 180 7,378,733 7.38 11.284 182 99.91 589
600 - 624 256 12,388,405 12.39 10.997 183 99.81 613
625 - 649 269 14,270,439 14.27 10.571 193 99.98 638
650 - 674 347 21,530,821 21.53 10.110 187 99.91 663
675 - 699 265 18,817,608 18.82 9.752 188 99.97 687
700 - 724 162 11,507,886 11.51 9.529 191 99.99 711
725 - 749 104 7,034,197 7.03 9.266 199 100.00 736
750 - 774 65 4,263,275 4.26 9.417 182 100.00 761
775 - 799 21 1,363,037 1.36 9.636 184 100.00 785
800 + 1 37,554 0.04 8.500 178 100.00 801
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,688 100,008,293 100.00 10.136 189 99.92 667
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 508
Maximum: 801
Non-Zero Weighted Average: 667
2. Originator - Combined Original LTV 95.01 - 100
------------------------------------------------------------------------------------------------------------------------------------
% 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
Mortgage Principal Principal Interest Term Original FICO
Originator LTV 95.01 - 100 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
WMC 1,688 100,008,293 100.00 10.136 189 99.92 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,688 100,008,293 100.00 10.136 189 99.92 667
------------------------------------------------------------------------------------------------------------------------------------
3. Grade - Combined Original LTV 95.01 - 100
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Grade LTV 95.01 - 100 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
A 421 21,805,843 21.80 10.776 190 99.88 625
AA 1,056 68,932,847 68.93 9.811 189 99.96 690
A- 210 9,144,457 9.14 11.088 184 99.85 598
B+ 1 125,145 0.13 7.990 357 95.73 560
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,688 100,008,293 100.00 10.136 189 99.92 667
------------------------------------------------------------------------------------------------------------------------------------
4. Doc Type - Combined Original LTV 95.01 - 100
------------------------------------------------------------------------------------------------------------------------------------
% 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
Mortgage Principal Principal Interest Term Original FICO
Doc Type LTV 95.01 - 100 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 812 44,530,244 44.53 9.877 197 99.87 652
Limited Documentation 157 10,931,527 10.93 9.810 198 99.94 664
Stated Documentation 719 44,546,522 44.54 10.474 178 99.98 683
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,688 100,008,293 100.00 10.136 189 99.92 667
------------------------------------------------------------------------------------------------------------------------------------
5. Lien Position - Combined Original LTV 95.01 - 100
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Lien Position LTV 95.01 - 100 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 37 6,289,453 6.29 7.750 349 99.14 665
2nd Lien 1,651 93,718,840 93.71 10.296 178 99.98 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,688 100,008,293 100.00 10.136 189 99.92 667
------------------------------------------------------------------------------------------------------------------------------------
6. FICO Score - Combined Original LTV 90.01 - 95
------------------------------------------------------------------------------------------------------------------------------------
% 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
Mortgage Principal Principal Interest Term Original FICO
FICO Score LTV 90.01 - 95 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
525 - 549 5 1,072,436 1.36 8.796 357 95 541
550 - 574 56 10,973,420 13.9 8.319 357 94.76 564
575 - 599 51 9,245,308 11.71 8.201 349 94.64 586
600 - 624 90 17,173,980 21.76 7.676 344 94.71 613
625 - 649 76 13,314,541 16.87 7.54 340 94.68 636
650 - 674 62 10,495,992 13.3 7.504 333 94.75 663
675 - 699 34 7,369,013 9.34 7.522 335 94.52 687
700 - 724 29 5,392,972 6.83 7.35 334 94.9 715
725 - 749 17 2,824,393 3.58 7.278 335 94.48 740
750 - 774 10 969,795 1.23 8.553 261 94.67 760
775 - 799 2 107,392 0.14 8.697 263 95 789
------------------------------------------------------------------------------------------------------------------------------------
Total: 432 78,939,244 100 7.758 342 94.7 633
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 533
Maximum: 791
Non-Zero Weighted Average: 633
7. Originator - Combined Original LTV 90.01 - 95
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Originator LTV 90.01 - 95 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
WMC 432 78,939,244 100.00 7.758 342 94.70 633
------------------------------------------------------------------------------------------------------------------------------------
Total: 432 78,939,244 100.00 7.758 342 94.70 633
------------------------------------------------------------------------------------------------------------------------------------
8. Grade - Combined Original LTV 90.01 - 95
------------------------------------------------------------------------------------------------------------------------------------
% 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
Mortgage Principal Principal Interest Term Original FICO
Grade LTV 90.01 - 95 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
A 145 25,769,782 32.65 7.685 341 94.73 622
AA 171 31,227,718 39.56 7.458 334 94.65 684
A- 39 6,756,990 8.56 8.113 345 94.54 591
B 7 1,418,588 1.80 8.558 358 95.00 565
B+ 69 13,651,046 17.29 8.308 357 94.81 567
C 1 115,121 0.15 9.250 355 95.00 544
------------------------------------------------------------------------------------------------------------------------------------
Total: 432 78,939,244 100.00 7.758 342 94.70 633
------------------------------------------------------------------------------------------------------------------------------------
9. Doc Type - Combined Original LTV 90.01 - 95
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Doc Type LTV 90.01 - 95 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 272 53,370,653 67.61 7.540 350 94.68 626
Limited Documentation 51 10,724,836 13.59 7.706 344 94.84 634
Stated Documentation 109 14,843,755 18.80 8.577 308 94.68 657
------------------------------------------------------------------------------------------------------------------------------------
Total: 432 78,939,244 100.00 7.758 342 94.70 633
------------------------------------------------------------------------------------------------------------------------------------
10. Lien Position - Combined Original LTV 90.01 - 95
------------------------------------------------------------------------------------------------------------------------------------
% 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
Mortgage Principal Principal Interest Term Original FICO
Lien Position LTV 90.01 - 95 Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 320 72,550,744 91.91 7.519 356 94.71 630
2nd Lien 112 6,388,500 8.09 10.472 180 94.63 668
------------------------------------------------------------------------------------------------------------------------------------
Total: 432 78,939,244 100.00 7.758 342 94.70 633
------------------------------------------------------------------------------------------------------------------------------------
XXXXXX XXXXXXX
2004-WMC3
Table of Contents
1. Combined Original LTV - Margin > 6.500%
2. Current Mortgage Balances - Margin > 6.500%
3. Credit Score - Margin gt 6.500%
4. Lien Position - Margin > 6.500%
5. Occupancy - Margin > 6.500%
6. Documentation Level - Margin > 6.500%
1. Combined Original LTV - Margin > 6.500%
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Combined Original LTV Mortgage Principal Principal Interest Term Original FICO
- Margin > 6.500% Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 1 179,745 0.07 7.750 358 20.69 506
25.01 - 30.00 2 94,808 0.04 7.614 357 28.22 571
30.01 - 35.00 1 89,876 0.04 7.875 358 33.96 549
35.01 - 40.00 2 357,502 0.15 7.849 358 38.37 559
40.01 - 45.00 1 531,757 0.22 7.300 357 44.79 592
45.01 - 50.00 7 1,190,146 0.49 8.222 357 49.31 542
50.01 - 55.00 4 873,636 0.36 7.779 358 52.88 564
55.01 - 60.00 11 2,271,566 0.94 7.784 357 58.89 579
60.01 - 65.00 17 3,733,800 1.55 7.472 357 62.06 581
65.01 - 70.00 34 5,767,981 2.40 8.493 358 68.73 550
70.01 - 75.00 68 16,524,386 6.86 7.699 358 74.28 588
75.01 - 80.00 404 82,923,427 34.43 7.543 358 79.75 636
80.01 - 85.00 138 28,466,609 11.82 7.889 358 84.43 575
85.01 - 90.00 250 55,082,146 22.87 7.547 358 89.69 609
90.01 - 95.00 193 40,384,749 16.77 7.846 358 94.78 610
95.01 - 100.00 15 2,351,187 0.98 7.872 357 99.24 668
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,148 240,823,322 100.00 7.678 358 83.71 611
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 20.69
Maximum: 100.00
Weighted Average: 83.71
2. Current Mortgage Balances - Margin > 6.500%
------------------------------------------------------------------------------------------------------------------------------------
% 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
Current Mortgage Balances Mortgage Principal Principal Interest Term Original FICO
- Margin > 6.500% Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
25,001 - 50,000 42 1,888,546 0.78 8.888 357 80.26 580
50,001 - 75,000 85 5,363,529 2.23 8.273 358 84.11 608
75,001 - 100,000 96 8,536,860 3.54 8.079 358 83.36 600
100,001 - 125,000 125 14,128,737 5.87 8.097 358 83.45 597
125,001 - 150,000 116 16,040,244 6.66 7.984 358 83.73 597
150,001 - 175,000 83 13,505,729 5.61 7.800 358 83.51 595
175,001 - 200,000 107 20,186,506 8.38 7.668 358 82.76 609
200,001 - 225,000 78 16,554,938 6.87 7.577 358 84.37 602
225,001 - 250,000 77 18,228,921 7.57 7.484 358 84.22 609
250,001 - 275,000 52 13,635,726 5.66 7.641 358 83.55 611
275,001 - 300,000 47 13,528,788 5.62 7.566 358 83.24 618
300,001 - 325,000 39 12,216,179 5.07 7.540 358 83.42 620
325,001 - 350,000 45 15,154,557 6.29 7.612 358 83.36 608
350,001 - 375,000 35 12,639,925 5.25 7.567 358 85.63 593
375,001 - 400,000 20 7,763,685 3.22 7.361 358 84.80 632
400,001 - 425,000 17 7,071,603 2.94 7.043 358 87.11 632
425,001 - 450,000 14 6,127,689 2.54 7.652 357 85.24 615
450,001 - 475,000 8 3,689,566 1.53 8.148 358 83.33 597
475,001 - 500,000 18 8,813,689 3.66 7.441 358 81.44 642
500,001 - 750,000 44 25,747,902 10.69 7.585 358 83.11 629
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,148 240,823,322 100.00 7.678 358 83.71 611
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 39,020
Maximum: 738,000
Average: 209,776
3. Credit Score - Margin gt 6.500%
------------------------------------------------------------------------------------------------------------------------------------
% 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
Credit Score Mortgage Principal Principal Interest Term Original FICO
- Margin gt 6.500% Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
500 - 524 106 17,969,233 7.46 8.480 357 78.27 514
525 - 549 132 26,544,105 11.02 8.362 358 80.27 537
550 - 574 160 31,698,675 13.16 8.035 358 85.54 562
575 - 599 189 37,551,251 15.59 7.593 358 83.79 587
600 - 624 144 34,049,182 14.14 7.491 358 87.00 613
625 - 649 149 30,024,834 12.47 7.426 358 84.72 636
650 - 674 115 26,124,243 10.85 7.302 358 84.27 663
675 - 699 57 14,049,893 5.83 7.148 358 81.11 687
700 - 724 38 9,357,493 3.89 7.174 358 84.14 710
725 - 749 32 7,581,617 3.15 7.462 358 84.22 737
750 - 774 14 3,096,163 1.29 7.193 358 84.35 762
775 - 799 12 2,776,631 1.15 7.080 357 82.87 783
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,148 240,823,322 100.00 7.678 358 83.71 611
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 500
Maximum: 789
Non-Zero Weighted Average: 611
4. Lien Position - Margin > 6.500%
------------------------------------------------------------------------------------------------------------------------------------
% 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
Lien Position Mortgage Principal Principal Interest Term Original FICO
- Margin > 6.500% Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1st Lien 1,148 240,823,322 100.00 7.678 358 83.71 611
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,148 240,823,322 100.00 7.678 358 83.71 611
------------------------------------------------------------------------------------------------------------------------------------
5. Occupancy - Margin > 6.500%
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy - Margin > 6.500% Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Primary 1,044 222,942,391 92.58 7.682 358 83.61 607
Investment 81 14,714,534 6.11 7.638 357 83.96 661
Second Home 23 3,166,396 1.31 7.601 358 89.39 665
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,148 240,823,322 100.00 7.678 358 83.71 611
------------------------------------------------------------------------------------------------------------------------------------
6. Documentation Level - Margin > 6.500%
------------------------------------------------------------------------------------------------------------------------------------
% 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
Documentation Level Mortgage Principal Principal Interest Term Original FICO
- Margin > 6.500% Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 637 118,285,294 49.12 7.795 358 86.02 586
Stated Documentation 387 92,694,907 38.49 7.538 358 80.28 644
Limited Documentation 124 29,843,120 12.39 7.650 358 85.21 606
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,148 240,823,322 100.00 7.678 358 83.71 611
------------------------------------------------------------------------------------------------------------------------------------
XXXXXX XXXXXXX
2004-WMC3
All records
1. Credit Score - 2nd Liens
--------------------------------------------------------------------------------
Aggregate Weighted
Number Cut-off Average
of Date Comb
Mortgage Principal Original
Credit Score - 2nd Liens Loans Balance ($) LTV
--------------------------------------------------------------------------------
500 - 524 1 54,968 100.00
525 - 549 4 201,193 99.77
550 - 574 11 646,081 99.93
575 - 599 186 7,770,337 99.54
600 - 624 280 13,182,612 99.36
625 - 649 290 14,382,476 99.37
650 - 674 376 22,767,869 99.24
675 - 699 278 19,282,223 98.81
700 - 724 174 11,560,231 99.53
725 - 749 109 6,672,982 99.51
750 - 774 71 4,629,448 99.45
775 - 799 21 1,368,605 99.79
800 + 1 37,554 100.00
--------------------------------------------------------------------------------
Total: 1,802 102,556,580 99.29
--------------------------------------------------------------------------------
Minimum: 508
Maximum: 801
Non-Zero Weighted Average: 667
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.
XXXXXX XXXXXXX
2004-WMC3
Balloon Loans
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
22. Interest Only Term
1. Summary Statistics
Number of Mortgage Loans: 1,738
Aggregate Principal Balance ($): 99,467,793
Weighted Average Current Mortgage Rate (%): 10.300
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): 178
Weighted Average Combined Original LTV (%): 99.30
% First Liens: 0.00
% Owner Occupied: 98.09
% Purchase: 84.49
% Full Doc: 40.60
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Balloon - 8/15 1 36,730 0.04 9.990 81 100.00 610
Balloon - 15/30 1,737 99,431,064 99.96 10.301 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
3. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Gross Mortgage Principal Principal Interest Term Original FICO
Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
6.000 - 6.999 1 31,208 0.03 6.000 178 100.00 653
7.000 - 7.999 4 320,490 0.32 7.764 178 100.00 713
8.000 - 8.999 227 15,937,289 16.02 8.705 178 99.68 703
9.000 - 9.999 486 30,909,137 31.07 9.750 178 99.27 683
10.000 - 10.999 629 36,998,316 37.20 10.686 178 99.06 654
11.000 - 11.999 199 7,449,480 7.49 11.713 178 99.56 633
12.000 - 12.999 190 7,786,704 7.83 12.675 178 99.47 628
13.000 - 13.999 2 35,169 0.04 13.492 176 100.00 626
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 6.000
Maximum: 13.875
Weighted Average: 10.300
4. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Cut-off Date Mortgage Principal Principal Interest Term Original FICO
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
1 - 25,000 220 4,315,859 4.34 11.040 178 99.18 645
25,001 - 50,000 653 24,152,278 24.28 10.651 178 99.44 653
50,001 - 75,000 454 27,840,620 27.99 10.339 178 99.58 665
75,001 - 100,000 234 20,049,730 20.16 10.049 178 99.16 678
100,001 - 125,000 85 9,583,861 9.64 10.098 178 99.58 672
125,001 - 150,000 66 8,987,279 9.04 9.947 178 99.24 684
150,001 - 175,000 13 2,091,435 2.10 9.972 178 98.38 672
175,001 - 200,000 13 2,446,732 2.46 9.527 178 95.97 694
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 11,587
Maximum: 199,853
Average: 57,231
5. Stated Original Term (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Stated Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
84 1 36,730 0.04 9.990 81 100.00 610
180 1,737 99,431,064 99.96 10.301 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 84
Maximum: 180
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 Comb Average
Range of Stated Mortgage Principal Principal Interest Term Original FICO
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
73 - 84 1 36,730 0.04 9.990 81 100.00 610
169 - 180 1,737 99,431,064 99.96 10.301 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 81
Maximum: 179
Weighted Average: 178
7. Range of Combined Original LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Combined Mortgage Principal Principal Interest Term Original FICO
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 1 94,906 0.10 9.500 178 23.80 689
70.01 - 75.00 1 199,853 0.20 10.875 178 72.50 690
75.01 - 80.00 1 169,864 0.17 10.500 178 80.00 684
85.01 - 90.00 35 1,953,746 1.96 10.534 177 89.67 661
90.01 - 95.00 104 6,037,558 6.07 10.435 178 94.74 670
95.01 - 100.00 1,596 91,011,867 91.50 10.286 178 99.98 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 23.80
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
9. Range of Minimum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Range of Minimum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
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 Comb Average
Range of Maximum Mortgage Principal Principal Interest Term Original FICO
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
11. Initial Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Geographic Distribution of Mortgage Principal Principal Interest Term Original FICO
Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
California 818 60,951,838 61.28 9.917 178 99.14 675
Virginia 82 4,399,625 4.42 10.727 178 99.87 663
Texas 122 4,061,872 4.08 10.709 178 99.83 645
Maryland 79 3,873,654 3.89 10.923 178 99.63 649
Florida 79 3,319,728 3.34 11.206 178 99.38 654
Arizona 63 2,544,354 2.56 10.614 178 99.29 665
New York 40 2,450,807 2.46 11.477 178 98.93 670
Illinois 59 2,413,940 2.43 10.329 178 99.54 673
Nevada 42 1,872,209 1.88 10.915 178 99.84 656
Georgia 40 1,581,251 1.59 11.348 178 99.40 650
Colorado 35 1,468,334 1.48 10.689 178 100.00 648
New Jersey 26 1,346,062 1.35 11.209 175 98.00 660
Washington 32 1,272,187 1.28 10.638 178 99.52 655
Massachusetts 18 1,145,614 1.15 10.992 178 99.76 677
North Carolina 30 1,000,433 1.01 10.782 177 99.92 633
Other 173 5,765,884 5.80 11.052 178 99.60 643
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 43
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Primary 1,699 97,572,392 98.09 10.299 178 99.30 667
Second Home 38 1,815,969 1.83 10.369 178 99.62 693
Investment 1 79,433 0.08 10.250 178 95.00 707
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
16. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 1,201 68,424,003 68.79 10.294 178 99.25 665
Planned Unit Development 253 14,371,326 14.45 10.489 178 99.58 662
Condominium 213 11,337,519 11.40 10.026 178 99.75 677
2-4 Family 71 5,334,945 5.36 10.454 178 98.22 690
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Purchase 1,453 84,043,015 84.49 10.280 178 99.56 670
Refinance - Cashout 216 12,058,891 12.12 10.464 178 97.60 652
Refinance - Rate Term 69 3,365,887 3.38 10.228 177 98.90 646
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
18. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
Stated Documentation 790 48,403,515 48.66 10.481 178 99.19 682
Full Documentation 788 40,381,468 40.60 10.151 178 99.49 651
Limited Documentation 160 10,682,810 10.74 10.047 178 99.04 661
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
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 Comb Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
500 - 524 1 54,968 0.06 11.990 178 100.00 508
525 - 549 4 201,193 0.20 11.388 178 99.77 543
550 - 574 10 623,193 0.63 10.401 178 100.00 561
575 - 599 181 7,579,011 7.62 11.328 178 99.62 589
600 - 624 265 12,650,114 12.72 11.072 177 99.44 613
625 - 649 284 14,161,478 14.24 10.826 178 99.38 638
650 - 674 366 22,111,088 22.23 10.223 178 99.23 663
675 - 699 264 18,564,112 18.66 9.924 178 98.76 687
700 - 724 167 11,099,892 11.16 9.651 178 99.56 711
725 - 749 107 6,563,911 6.60 9.517 178 99.50 736
750 - 774 69 4,571,163 4.60 9.517 178 99.46 761
775 - 799 19 1,250,116 1.26 9.772 178 99.78 785
800 + 1 37,554 0.04 8.500 178 100.00 801
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 508
Maximum: 801
Non-Zero Weighted Average: 667
20. Prepayment Penalty Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 701 34,960,325 35.15 10.668 178 99.16 663
12 35 2,609,633 2.62 9.884 178 96.92 690
24 541 35,887,156 36.08 9.920 178 99.56 672
36 461 26,010,679 26.15 10.373 178 99.35 665
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
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 Comb Average
Lien Mortgage Principal Principal Interest Term Original FICO
Position Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
2nd Lien 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
22. Interest Only Term
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Comb Average
Mortgage Principal Principal Interest Term Original FICO
Interest Only Term Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
0 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,738 99,467,793 100.00 10.300 178 99.30 667
------------------------------------------------------------------------------------------------------------------------------------
XXXXXX XXXXXXX
2004-WMC3
2nd Liens
Table of Contents
1. Summary Statistics
2. Product Types
3. Range of Gross Interest Rates (%)
4. Range of Cut-off Date Principal Balances ($)
5. Stated Original Term (months)
6. Range of Stated Remaining Terms (months)
7. Range of Combined Original LTV Ratios (%)
8. Range of Gross Margins (%)
9. Range of Minimum Mortgage Rates (%)
10. Range of Maximum Mortgage Rates (%)
11. Initial Periodic Cap (%)
12. Subsequent Periodic Cap (%)
13. Next Rate Adjustment Dates
14. Geographic Distribution of Mortgaged Properties
15. Occupancy
16. Property Type
17. Loan Purpose
18. Documentation Level
19. Credit Score
20. Prepayment Penalty Term
21. Lien Position
1. Summary Statistics
Number of Mortgage Loans: 1,802
Aggregate Principal Balance ($): 102,556,580
Weighted Average Current Mortgage Rate (%): 10.313
Non-Zero Weighted Average Margin (%): 0.000
Non-Zero Weighted Average Maximum Rate (%): 0.000
Weighted Average Stated Original Term (months): 181
Weighted Average Stated Remaining Term (months): 178
Weighted Average Combined Original LTV (%): 99.29
% First Liens: 0.00
% Owner Occupied: 98.11
% Purchase: 84.01
% Full Doc: 40.64
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
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Product Types Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 1 29,410 0.03 12.125 117 99.40
Fixed - 15 Year 51 2,473,788 2.41 10.653 178 99.41
Fixed - 20 Year 9 397,079 0.39 11.041 236 96.08
Fixed - 30 Year 3 188,509 0.18 10.503 355 99.11
Balloon - 8/15 1 36,730 0.04 9.990 81 100.00
Balloon - 15/30 1,737 99,431,064 96.95 10.301 178 99.30
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
3. Range of Gross Interest Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Gross Mortgage Principal Principal Interest Term Original
Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
6.000 - 6.999 1 31,208 0.03 6.000 178 100.00
7.000 - 7.999 4 320,490 0.31 7.764 178 100.00
8.000 - 8.999 235 16,406,316 16.00 8.708 178 99.69
9.000 - 9.999 496 31,512,948 30.73 9.749 178 99.27
10.000 - 10.999 651 38,019,713 37.07 10.683 178 99.05
11.000 - 11.999 206 7,825,494 7.63 11.720 178 99.48
12.000 - 12.999 207 8,405,243 8.20 12.673 179 99.44
13.000 - 13.999 2 35,169 0.03 13.492 176 100.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 6.000
Maximum: 13.875
Weighted Average: 10.313
4. Range of Cut-off Date Principal Balances ($)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Cut-off Date Mortgage Principal Principal Interest Term Original
Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
1 - 25,000 235 4,612,096 4.50 11.039 178 99.17
25,001 - 50,000 675 24,966,792 24.34 10.674 178 99.41
50,001 - 75,000 471 28,850,882 28.13 10.349 178 99.56
75,001 - 100,000 241 20,685,845 20.17 10.059 179 99.15
100,001 - 125,000 88 9,915,519 9.67 10.086 178 99.60
125,001 - 150,000 66 8,987,279 8.76 9.947 178 99.24
150,001 - 175,000 13 2,091,435 2.04 9.972 178 98.38
175,001 - 200,000 13 2,446,732 2.39 9.527 178 95.97
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 11,587
Maximum: 199,853
Average: 56,913
5. Stated Original Term (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Stated Mortgage Principal Principal Interest Term Original
Original Term (months) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
84 1 36,730 0.04 9.990 81 100.00
120 1 29,410 0.03 12.125 117 99.40
180 1,788 101,904,852 99.36 10.309 178 99.30
240 9 397,079 0.39 11.041 236 96.08
360 3 188,509 0.18 10.503 355 99.11
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 84
Maximum: 360
Weighted Average: 181
6. Range of Stated Remaining Terms (months)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Stated Mortgage Principal Principal Interest Term Original
Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
73 - 84 1 36,730 0.04 9.990 81 100.00
109 - 120 1 29,410 0.03 12.125 117 99.40
169 - 180 1,788 101,904,852 99.36 10.309 178 99.30
229 - 240 9 397,079 0.39 11.041 236 96.08
349 - 360 3 188,509 0.18 10.503 355 99.11
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 81
Maximum: 357
Weighted Average: 178
7. Range of Combined Original LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Combined Mortgage Principal Principal Interest Term Original
Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 1 94,906 0.09 9.500 178 23.80
70.01 - 75.00 1 199,853 0.19 10.875 178 72.50
75.01 - 80.00 1 169,864 0.17 10.500 178 80.00
85.01 - 90.00 36 1,984,617 1.94 10.565 177 89.68
90.01 - 95.00 112 6,388,500 6.23 10.472 180 94.63
95.01 - 100.00 1,651 93,718,840 91.38 10.296 178 99.98
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 23.80
Maximum: 100.00
Weighted Average: 99.29
8. Range of Gross Margins (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
9. Range of Minimum Mortgage Rates (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Range of Minimum Mortgage Principal Principal Interest Term Original
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
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
of Date Date Gross Remaining Combined
Range of Maximum Mortgage Principal Principal Interest Term Original
Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
11. Initial Periodic Cap (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
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
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 0.000
Maximum: 0.000
Non-Zero Weighted Average: 0.000
13. Next Rate Adjustment Dates
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
14. Geographic Distribution of Mortgaged Properties
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Geographic Distribution Mortgage Principal Principal Interest Term Original
of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
California 832 61,908,267 60.36 9.917 178 99.14
Virginia 85 4,473,299 4.36 10.758 178 99.80
Texas 123 4,082,775 3.98 10.708 178 99.83
Maryland 80 3,966,710 3.87 10.884 182 99.64
Florida 85 3,531,660 3.44 11.218 178 99.39
New York 45 2,795,006 2.73 11.477 179 98.96
Arizona 65 2,627,058 2.56 10.657 180 99.24
Illinois 61 2,498,914 2.44 10.309 178 99.56
Nevada 43 1,971,658 1.92 10.818 178 99.85
New Jersey 34 1,784,817 1.74 11.173 185 98.40
Georgia 41 1,624,487 1.58 11.365 178 99.28
Colorado 35 1,468,334 1.43 10.689 178 100.00
Massachusetts 21 1,292,825 1.26 11.033 178 99.79
Washington 32 1,272,187 1.24 10.638 178 99.52
North Carolina 30 1,000,433 0.98 10.782 177 99.92
Other 190 6,258,150 6.10 11.054 178 99.52
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 43
15. Occupancy
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Primary 1,762 100,623,061 98.11 10.312 178 99.29
Second Home 39 1,854,086 1.81 10.366 178 99.63
Investment 1 79,433 0.08 10.250 178 95.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
16. Property Type
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Property Type Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 1,251 70,659,716 68.90 10.311 178 99.23
Planned Unit Development 258 14,632,977 14.27 10.492 180 99.56
Condominium 217 11,528,812 11.24 10.024 178 99.76
2-4 Family 76 5,735,076 5.59 10.461 178 98.35
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
17. Loan Purpose
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Purchase 1,496 86,153,638 84.01 10.285 178 99.56
Refinance - Cashout 234 12,921,973 12.60 10.515 179 97.58
Refinance - Rate Term 72 3,480,969 3.39 10.241 179 98.89
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
18. Documentation Level
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
Stated Documentation 815 49,912,318 48.67 10.495 178 99.20
Full Documentation 821 41,680,819 40.64 10.158 178 99.47
Limited Documentation 166 10,963,443 10.69 10.069 178 99.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
19. Credit Score
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
500 - 524 1 54,968 0.05 11.990 178 100.00
525 - 549 4 201,193 0.20 11.388 178 99.77
550 - 574 11 646,081 0.63 10.387 178 99.93
575 - 599 186 7,770,337 7.58 11.342 179 99.54
600 - 624 280 13,182,612 12.85 11.090 178 99.36
625 - 649 290 14,382,476 14.02 10.830 178 99.37
650 - 674 376 22,767,869 22.20 10.250 178 99.24
675 - 699 278 19,282,223 18.80 9.923 179 98.81
700 - 724 174 11,560,231 11.27 9.687 178 99.53
725 - 749 109 6,672,982 6.51 9.505 178 99.51
750 - 774 71 4,629,448 4.51 9.537 178 99.45
775 - 799 21 1,368,605 1.33 9.697 178 99.79
800 + 1 37,554 0.04 8.500 178 100.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 508
Maximum: 801
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
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
0 729 36,356,423 35.45 10.677 179 99.18
12 39 2,852,473 2.78 9.907 179 97.19
24 559 36,743,396 35.83 9.927 178 99.52
36 475 26,604,289 25.94 10.390 178 99.35
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 12
Maximum: 36
Non-Zero Weighted Average: 28
21. Lien Position
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Lien Mortgage Principal Principal Interest Term Original
Position Loans Balance ($) Balance Rate (%) (months) LTV
------------------------------------------------------------------------------------------------------------------------------------
2nd Lien 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29
------------------------------------------------------------------------------------------------------------------------------------
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.
XXXXXX XXXXXXX
2004-WMC3
All records
1. Top 20 Zip Code Concentrations PUDs
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Top 20 Number Cut-off Cut-off Average Average Average Weighted
Zip Code of Date Date Gross Remaining Comb Average
Concentrations Mortgage Principal Principal Interest Term Original FICO
PUDs Loans Balance ($) Balance Rate (%) (months) LTV Score
------------------------------------------------------------------------------------------------------------------------------------
91913 7 2,720,994 2.04 6.717 339 84.36 654
89141 6 1,538,571 1.15 7.472 335 77.90 660
20110 9 1,367,776 1.03 7.592 327 83.48 696
20720 4 1,247,983 0.94 7.921 322 84.00 630
20120 7 1,242,711 0.93 7.997 330 83.10 640
92128 2 1,191,244 0.89 6.180 356 77.68 674
91730 3 1,163,896 0.87 7.352 340 89.38 679
22026 9 1,063,218 0.80 7.607 331 86.65 675
93021 2 1,033,325 0.78 7.086 358 71.91 550
92883 3 1,000,394 0.75 7.179 358 78.46 539
20170 5 999,360 0.75 7.272 348 83.33 585
92688 3 993,301 0.75 7.259 338 77.05 686
92694 2 991,226 0.74 5.750 358 76.06 610
20109 8 956,496 0.72 7.487 322 84.00 689
94547 2 934,761 0.70 5.849 322 84.00 729
92675 4 932,921 0.70 7.073 325 83.36 649
92203 4 895,781 0.67 6.858 347 82.23 652
95618 2 886,675 0.67 6.500 321 83.99 668
92881 2 881,885 0.66 7.115 357 79.64 573
89139 5 879,548 0.66 7.710 333 84.32 620
Other 641 110,385,345 82.81 7.355 337 83.75 640
------------------------------------------------------------------------------------------------------------------------------------
Total: 730 133,307,410 100.00 7.312 337 83.44 641
------------------------------------------------------------------------------------------------------------------------------------
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.
XXXXXX XXXXXXX
2004-WMC3
Table of Contents
1. Range of Combined Original LTV Ratios (%)
2. Credit Score - 2nd Liens
3. Back Ratio
1. Range of Combined Original LTV Ratios (%)
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate
Number Cut-off Cut-off Weighted
of Date Date Average
Mortgage Principal Principal FICO
Range of Combined Original LTV Ratios (%) Loans Balance ($) Balance Score % 2nd Liens % Full Doc
------------------------------------------------------------------------------------------------------------------------------------
<= 10.00 1 59,886 0.01 674 0.00 100.00
10.01 - 20.00 5 324,601 0.03 648 0.00 18.45
20.01 - 30.00 15 1,342,050 0.12 615 7.07 66.47
30.01 - 40.00 30 4,053,086 0.36 604 0.00 33.81
40.01 - 50.00 52 8,940,692 0.79 612 0.00 42.81
50.01 - 60.00 108 22,106,956 1.95 597 0.00 43.96
60.01 - 70.00 281 63,095,530 5.57 597 0.00 46.64
70.01 - 80.00 2,590 614,966,611 54.28 649 0.06 40.85
80.01 - 90.00 1,026 239,072,559 21.10 620 0.83 63.34
90.01 - 100.00 2,120 178,947,537 15.80 652 55.94 54.71
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 639 9.05 48.18
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 8.22
Maximum: 100.00
Weighted Average: 82.15
2. Credit Score - 2nd Liens
--------------------------------------------------------------------------------
Aggregate Weighted
Number Cut-off Average
of Date Comb
Mortgage Principal Original
Credit Score - 2nd Liens Loans Balance ($) LTV
--------------------------------------------------------------------------------
500 - 524 1 54,968 100.00
525 - 549 4 201,193 99.77
550 - 574 11 646,081 99.93
575 - 599 186 7,770,337 99.54
600 - 624 280 13,182,612 99.36
625 - 649 290 14,382,476 99.37
650 - 674 376 22,767,869 99.24
675 - 699 278 19,282,223 98.81
700 - 724 174 11,560,231 99.53
725 - 749 109 6,672,982 99.51
750 - 774 71 4,629,448 99.45
775 - 799 21 1,368,605 99.79
800 + 1 37,554 100.00
--------------------------------------------------------------------------------
Total: 1,802 102,556,580 99.29
--------------------------------------------------------------------------------
Minimum: 508
Maximum: 801
Non-Zero Weighted Average: 667
3. Back Ratio
------------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted
Number Cut-off Cut-off Average Weighted
of Date Date Comb Average
Back Mortgage Principal Principal Original FICO
Ratio Loans Balance ($) Balance LTV Score % 2nd Liens
------------------------------------------------------------------------------------------------------------------------------------
0.01 - 5.00 6 898,095 0.08 82.41 589 7.64
5.01 - 10.00 24 3,322,611 0.29 80.53 663 9.90
10.01 - 15.00 57 6,780,889 0.60 80.10 628 6.73
15.01 - 20.00 112 16,562,287 1.46 79.71 636 7.51
20.01 - 25.00 248 37,656,130 3.32 80.34 638 6.86
25.01 - 30.00 396 64,983,303 5.74 81.02 635 7.39
30.01 - 35.00 748 138,800,501 12.25 81.52 645 8.03
35.01 - 40.00 1,088 195,289,033 17.24 81.75 643 9.07
40.01 - 45.00 1,495 281,378,764 24.84 82.68 644 10.73
45.01 - 50.00 1,497 274,480,620 24.23 82.52 635 9.91
50.01 - 55.00 443 90,657,942 8.00 83.32 625 6.07
55.01 - 60.00 114 22,099,332 1.95 82.55 631 5.96
------------------------------------------------------------------------------------------------------------------------------------
Total: 6,228 1,132,909,507 100.00 82.15 639 9.05
------------------------------------------------------------------------------------------------------------------------------------
Minimum: 0.50
Maximum: 60.00
Weighted Average: 40.69
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 the pool avg .oan size avg FICO OLTV Combined LTV <600 % of primary resi
------------------------------------------------------------------------------------------------------------------------------------
all collateral 100.00 181,905.83 639 74.94 82.15 26.25 95.04
FICO <600 26.25 183,780.03 561 77.14 79.47 100.00 98.19
IO loans 18.00 314,615.94 682 81.27 81.27 7.02 96.85
2nd liens 9.05 56,912.64 667 19.66 99.29 8.46 98.11
first liens that have
a slient 2nd behind 38.05 243,416.36 668 79.77 79.77 7.64 98.02
$500-750k 11.91 586,466.79 654 81.02 81.02 17.32 94.15
>$750k 0.58 815,342.49 669 81.05 81.05 0.00 100.00
2-4 families 7.27 250,984.03 652 75.49 80.98 20.00 89.93
stated doc 40.35 190,954.42 659 72.10 80.8 12.55 96.34
DTI >=50 9.98 202,523.40 626 78.35 83.16 29.70 95.30
fixed rate- first lien 11.07 190,081.96 644 77.71 77.71 18.86 94.17
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
% of stated doc WAC DTI fixed % IO loans % of CA % of 2nd lien
------------------------------------------------------------------------------------------------------------------------------------
all collateral 40.35 7.217 40.69 20.13 18.00 57.01 9.05
FICO <600 19.29 7.636 40.54 10.87 4.81 48.39 2.92
IO loans 39.99 6.313 38.69 0.00 100.00 79.89 0.00
2nd liens 48.67 10.313 41.03 100.00 0.00 60.36 100.00
first liens that have
a slient 2nd behind 50.78 6.610 41.09 3.84 33.64 62.91 0.00
$500-750k 36.64 6.662 40.23 9.32 32.29 75.56 0.00
>$750k 23.82 6.492 40.81 0.00 35.84 73.14 0.00
2-4 families 52.25 7.262 42.90 21.18 8.28 46.98 6.97
stated doc 100.00 7.372 40.76 18.95 17.83 63.38 10.92
DTI >=50 16.79 7.141 53.11 24.69 3.54 50.83 6.03
fixed rate- first lien 29.28 7.011 40.82 100.00 0.00 45.12 0.00
------------------------------------------------------------------------------------------------------------------------------------
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
2004-WMC3
--------------------------------------------------------------------------------
Forward 50% 12 Mo Lag
CDR Cum Loss
M2 16.60 18.50
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Forward 40% 12 Mo Lag
CDR Cum Loss
M2 21.96 17.81
--------------------------------------------------------------------------------
MSAC 2004-WMC3
FFTW, Inc. Requested Stress Runs
1) Subordinate Net WAC Schedule
Assumptions:
Run to Fail
1 Month LIBOR: 20%
6 Month LIBOR: 20%
Other ARM Benchmark rates: 20%
Cap Proceeds included if applicable
Optional Clean-up Call NOT exercised
Prepayment Speeds as indicated in table below
2) Excess Spread Schedule
Assumptions:
Run to Fail
Forward LIBOR with following shocks:
0% shock for 6 months;
1% shock thereafter.
Optional Clean-up Call NOT exercised
Prepayment Speeds as indicated in table below
Prepayment Speed Assumptions:
------------------------------------------------
Period FRM (CPR) ARM (CPR)
------------------------------------------------
1 1.63 3.39
2 3.25 6.28
3 4.88 9.17
4 6.50 12.06
5 8.13 14.95
6 9.75 17.80
7 10.70 19.54
8 11.64 21.29
9 12.56 23.03
10 13.49 24.77
11 14.41 26.52
12 15.33 30.69
13 16.46 30.48
14 16.42 30.24
15 16.32 30.00
16 16.21 29.76
17 16.11 29.52
18 16.00 29.28
19 15.94 28.97
20 15.88 28.65
21 15.66 28.28
22 15.43 27.90
23 15.21 27.52
24 14.98 29.17
25 26.85 67.65
26 26.74 63.48
27 25.87 58.83
28 24.99 54.18
29 24.12 49.53
30 23.24 45.98
31 22.91 44.59
32 22.58 43.20
33 22.25 41.80
34 21.92 40.41
35 21.59 39.02
36 21.26 38.60
37 23.53 42.88
38 23.49 41.77
39 23.27 40.66
40 23.06 39.55
41 22.85 38.90
42 22.63 38.36
43 22.54 37.83
44 22.45 37.29
45 22.36 36.75
46 22.27 36.22
47 22.18 35.68
48 22.09 35.17
49 21.89 34.73
50 21.85 34.29
51 21.80 33.85
52 21.75 33.42
53 21.70 32.98
54 21.65 32.54
55 21.61 32.10
56 21.56 31.66
57 21.51 31.23
58 21.46 30.79
59 21.41 30.35
60 21.37 29.93
61 21.32 29.93
62 21.27 29.93
63 21.22 29.93
64 21.17 29.93
65 21.12 29.93
66 21.08 29.93
67 21.03 29.93
68 20.98 29.93
69 20.93 29.93
70 20.88 29.93
71 20.84 29.93
72 20.79 29.93
-------------------------------------------
Thereafter 20.79 29.93
-------------------------------------------
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
2004-WMC3
-----------------------------------------------------------------------------------------------------------------------------
Per Date RP1monthlibor M-1 cashcap M-2 cashcap M-3 cashcap M-4 cashcap M-5 cashcap M-6A cashcap
-----------------------------------------------------------------------------------------------------------------------------
0 12/25/2004 0 -- -- -- -- -- --
1 1/25/2005 20 8.44 8.44 8.44 8.44 8.44 8.44
2 2/25/2005 20 9.18 9.18 9.18 9.18 9.18 9.18
3 3/25/2005 20 9.88 9.88 9.88 9.88 9.88 9.88
4 4/25/2005 20 9.19 9.19 9.19 9.19 9.19 9.19
5 5/25/2005 20 9.41 9.41 9.41 9.41 9.41 9.41
6 6/25/2005 20 9.19 9.19 9.19 9.19 9.19 9.19
7 7/25/2005 20 9.41 9.41 9.41 9.41 9.41 9.41
8 8/25/2005 20 9.20 9.20 9.20 9.20 9.20 9.20
9 9/25/2005 20 9.20 9.20 9.20 9.20 9.20 9.20
10 10/25/2005 20 9.42 9.42 9.42 9.42 9.42 9.42
11 11/25/2005 20 9.21 9.21 9.21 9.21 9.21 9.21
12 12/25/2005 20 9.43 9.43 9.43 9.43 9.43 9.43
13 1/25/2006 20 9.22 9.22 9.22 9.22 9.22 9.22
14 2/25/2006 20 9.22 9.22 9.22 9.22 9.22 9.22
15 3/25/2006 20 9.92 9.92 9.92 9.92 9.92 9.92
16 4/25/2006 20 9.23 9.23 9.23 9.23 9.23 9.23
17 5/25/2006 20 9.45 9.45 9.45 9.45 9.45 9.45
18 6/25/2006 20 9.24 9.24 9.24 9.24 9.24 9.24
19 7/25/2006 20 9.46 9.46 9.46 9.46 9.46 9.46
20 8/25/2006 20 9.25 9.25 9.25 9.25 9.25 9.25
21 9/25/2006 20 9.25 9.25 9.25 9.25 9.25 9.25
22 10/25/2006 20 9.49 9.49 9.49 9.49 9.49 9.49
23 11/25/2006 20 9.48 9.48 9.48 9.48 9.48 9.48
24 12/25/2006 20 9.74 9.74 9.74 9.74 9.74 9.74
25 1/25/2007 20 9.48 9.48 9.48 9.48 9.48 9.48
26 2/25/2007 20 9.48 9.48 9.48 9.48 9.48 9.48
27 3/25/2007 20 10.32 10.32 10.32 10.32 10.32 10.32
28 4/25/2007 20 9.48 9.48 9.48 9.48 9.48 9.48
29 5/25/2007 20 9.94 9.94 9.94 9.94 9.94 9.94
30 6/25/2007 20 9.65 9.65 9.65 9.65 9.65 9.65
31 7/25/2007 20 9.93 9.93 9.93 9.93 9.93 9.93
32 8/25/2007 20 9.64 9.64 9.64 9.64 9.64 9.64
33 9/25/2007 20 9.64 9.64 9.64 9.64 9.64 9.64
34 10/25/2007 20 9.95 9.95 9.95 9.95 9.95 9.95
35 11/25/2007 20 9.85 9.85 9.85 9.85 9.85 9.85
36 12/25/2007 20 10.14 10.14 10.14 10.14 10.14 10.14
37 1/25/2008 20 9.83 9.83 9.83 9.83 9.83 9.83
38 2/25/2008 20 9.82 9.82 9.82 9.82 9.82 9.82
39 3/25/2008 20 10.41 10.41 10.41 10.41 10.41 10.41
40 4/25/2008 20 9.75 9.75 9.75 9.75 9.75 9.75
41 5/25/2008 20 10.39 10.39 10.39 10.39 10.39 10.39
42 6/25/2008 20 10.02 10.02 10.02 10.02 10.02 10.02
43 7/25/2008 20 10.30 10.30 10.30 10.30 10.30 10.30
44 8/25/2008 20 9.94 9.94 9.94 9.94 9.94 9.94
45 9/25/2008 20 9.92 9.92 9.92 9.92 9.92 9.92
46 10/25/2008 20 10.23 10.23 10.23 10.23 10.23 10.23
47 11/25/2008 20 10.10 10.10 10.10 10.10 10.10 10.10
48 12/25/2008 20 10.42 10.42 10.42 10.42 10.42 10.42
49 1/25/2009 20 10.08 10.08 10.08 10.08 10.08 10.08
50 2/25/2009 20 10.06 10.06 10.06 10.06 10.06 10.06
51 3/25/2009 20 11.13 11.13 11.13 11.13 11.13 11.13
52 4/25/2009 20 10.06 10.06 10.06 10.06 10.06 10.06
53 5/25/2009 20 21.24 10.77 10.77 10.77 10.77 10.77
54 6/25/2009 20 22.70 10.41 10.41 10.41 10.41 10.41
55 7/25/2009 20 26.73 10.74 10.74 10.74 10.74 10.74
56 8/25/2009 20 30.98 10.39 10.39 10.39 10.39 10.39
57 9/25/2009 20 40.61 10.38 10.38 10.38 10.38 10.38
58 10/25/2009 20 67.71 10.74 10.74 10.74 10.74 10.74
59 11/25/2009 20 274.97 10.45 10.45 10.45 10.45 10.45
60 12/25/2009 20 -- 21.99 10.79 10.79 10.79 10.79
61 1/25/2010 20 -- 23.12 10.43 10.43 10.43 10.43
62 2/25/2010 20 -- 25.64 10.42 10.42 10.42 10.42
63 3/25/2010 20 -- 32.45 11.53 11.53 11.53 11.53
64 4/25/2010 20 -- 35.13 10.41 10.41 10.41 10.41
65 5/25/2010 20 -- 47.31 10.76 10.76 10.76 10.76
66 6/25/2010 20 -- 71.11 10.40 10.40 10.40 10.40
67 7/25/2010 20 -- 218.70 10.74 10.74 10.74 10.74
68 8/25/2010 20 -- -- 27.97 10.38 10.38 10.38
69 9/25/2010 20 -- -- 32.11 10.37 10.37 10.37
70 10/25/2010 20 -- -- 39.91 10.71 10.71 10.71
71 11/25/2010 20 -- -- 50.32 10.37 10.37 10.37
72 12/25/2010 20 -- -- 79.73 10.70 10.70 10.70
73 1/25/2011 20 -- -- 204.45 10.35 10.35 10.35
74 2/25/2011 20 -- -- -- 29.46 10.34 10.34
75 3/25/2011 20 -- -- -- 37.18 11.43 11.43
76 4/25/2011 20 -- -- -- 39.80 10.32 10.32
77 5/25/2011 20 -- -- -- 51.90 10.66 10.66
78 6/25/2011 20 -- -- -- 71.16 10.31 10.31
79 7/25/2011 20 -- -- -- 139.50 10.64 10.64
80 8/25/2011 20 -- -- -- -- 28.99 10.29
81 9/25/2011 20 -- -- -- -- 32.26 10.27
82 10/25/2011 20 -- -- -- -- 38.02 10.61
83 11/25/2011 20 -- -- -- -- 43.47 10.26
84 12/25/2011 20 -- -- -- -- 56.07 10.59
85 1/25/2012 20 -- -- -- -- 74.73 10.24
86 2/25/2012 20 -- -- -- -- 128.34 10.23
87 3/25/2012 20 -- -- -- -- 680.88 10.92
88 4/25/2012 20 -- -- -- -- -- 32.16
89 5/25/2012 20 -- -- -- -- -- 36.99
90 6/25/2012 20 -- -- -- -- -- 40.74
91 7/25/2012 20 -- -- -- -- -- 49.45
92 8/25/2012 20 -- -- -- -- -- 58.95
93 9/25/2012 20 -- -- -- -- -- 78.62
94 10/25/2012 20 -- -- -- -- -- 127.20
95 11/25/2012 20 -- -- -- -- -- 319.03
96 12/25/2012 20 -- -- -- -- -- --
97 1/25/2013 20 -- -- -- -- -- --
98 2/25/2013 20 -- -- -- -- -- --
99 3/25/2013 20 -- -- -- -- -- --
100 4/25/2013 20 -- -- -- -- -- --
101 5/25/2013 20 -- -- -- -- -- --
102 6/25/2013 20 -- -- -- -- -- --
103 7/25/2013 20 -- -- -- -- -- --
104 8/25/2013 20 -- -- -- -- -- --
105 9/25/2013 20 -- -- -- -- -- --
106 10/25/2013 20 -- -- -- -- -- --
107 11/25/2013 20 -- -- -- -- -- --
108 12/25/2013 20 -- -- -- -- -- --
109 1/25/2014 20 -- -- -- -- -- --
110 2/25/2014 20 -- -- -- -- -- --
111 3/25/2014 20 -- -- -- -- -- --
112 4/25/2014 20 -- -- -- -- -- --
113 5/25/2014 20 -- -- -- -- -- --
114 6/25/2014 20 -- -- -- -- -- --
115 7/25/2014 20 -- -- -- -- -- --
116 8/25/2014 20 -- -- -- -- -- --
117 9/25/2014 20 -- -- -- -- -- --
118 10/25/2014 20 -- -- -- -- -- --
119 11/25/2014 20 -- -- -- -- -- --
120 12/25/2014 20 -- -- -- -- -- --
121 1/25/2015 20 -- -- -- -- -- --
122 2/25/2015 20 -- -- -- -- -- --
123 3/25/2015 20 -- -- -- -- -- --
124 4/25/2015 20 -- -- -- -- -- --
125 5/25/2015 20 -- -- -- -- -- --
126 6/25/2015 20 -- -- -- -- -- --
127 7/25/2015 20 -- -- -- -- -- --
128 8/25/2015 20 -- -- -- -- -- --
129 9/25/2015 20 -- -- -- -- -- --
130 10/25/2015 20 -- -- -- -- -- --
131 11/25/2015 20 -- -- -- -- -- --
132 12/25/2015 20 -- -- -- -- -- --
133 1/25/2016 20 -- -- -- -- -- --
134 2/25/2016 20 -- -- -- -- -- --
135 3/25/2016 20 -- -- -- -- -- --
136 4/25/2016 20 -- -- -- -- -- --
137 5/25/2016 20 -- -- -- -- -- --
138 6/25/2016 20 -- -- -- -- -- --
139 7/25/2016 20 -- -- -- -- -- --
140 8/25/2016 20 -- -- -- -- -- --
141 9/25/2016 20 -- -- -- -- -- --
142 10/25/2016 20 -- -- -- -- -- --
143 11/25/2016 20 -- -- -- -- -- --
144 12/25/2016 20 -- -- -- -- -- --
145 1/25/2017 20 -- -- -- -- -- --
146 2/25/2017 20 -- -- -- -- -- --
147 3/25/2017 20 -- -- -- -- -- --
148 4/25/2017 20 -- -- -- -- -- --
149 5/25/2017 20 -- -- -- -- -- --
150 6/25/2017 20 -- -- -- -- -- --
151 7/25/2017 20 -- -- -- -- -- --
152 8/25/2017 20 -- -- -- -- -- --
153 9/25/2017 20 -- -- -- -- -- --
154 10/25/2017 20 -- -- -- -- -- --
155 11/25/2017 20 -- -- -- -- -- --
156 12/25/2017 20 -- -- -- -- -- --
157 1/25/2018 20 -- -- -- -- -- --
158 2/25/2018 20 -- -- -- -- -- --
159 3/25/2018 20 -- -- -- -- -- --
160 4/25/2018 20 -- -- -- -- -- --
161 5/25/2018 20 -- -- -- -- -- --
162 6/25/2018 20 -- -- -- -- -- --
163 7/25/2018 20 -- -- -- -- -- --
164 8/25/2018 20 -- -- -- -- -- --
165 9/25/2018 20 -- -- -- -- -- --
166 10/25/2018 20 -- -- -- -- -- --
167 11/25/2018 20 -- -- -- -- -- --
168 12/25/2018 20 -- -- -- -- -- --
169 1/25/2019 20 -- -- -- -- -- --
170 2/25/2019 20 -- -- -- -- -- --
171 3/25/2019 20 -- -- -- -- -- --
172 4/25/2019 20 -- -- -- -- -- --
173 5/25/2019 20 -- -- -- -- -- --
174 6/25/2019 20 -- -- -- -- -- --
175 7/25/2019 20 -- -- -- -- -- --
176 8/25/2019 20 -- -- -- -- -- --
177 9/25/2019 20 -- -- -- -- -- --
178 10/25/2019 20 -- -- -- -- -- --
179 11/25/2019 20 -- -- -- -- -- --
180 12/25/2019 20 -- -- -- -- -- --
181 1/25/2020 20 -- -- -- -- -- --
182 2/25/2020 20 -- -- -- -- -- --
183 3/25/2020 20 -- -- -- -- -- --
184 4/25/2020 20 -- -- -- -- -- --
185 5/25/2020 20 -- -- -- -- -- --
186 6/25/2020 20 -- -- -- -- -- --
187 7/25/2020 20 -- -- -- -- -- --
188 8/25/2020 20 -- -- -- -- -- --
189 9/25/2020 20 -- -- -- -- -- --
190 10/25/2020 20 -- -- -- -- -- --
191 11/25/2020 20 -- -- -- -- -- --
192 12/25/2020 20 -- -- -- -- -- --
193 1/25/2021 20 -- -- -- -- -- --
194 2/25/2021 20 -- -- -- -- -- --
195 3/25/2021 20 -- -- -- -- -- --
196 4/25/2021 20 -- -- -- -- -- --
197 5/25/2021 20 -- -- -- -- -- --
198 6/25/2021 20 -- -- -- -- -- --
199 7/25/2021 20 -- -- -- -- -- --
200 8/25/2021 20 -- -- -- -- -- --
201 9/25/2021 20 -- -- -- -- -- --
202 10/25/2021 20 -- -- -- -- -- --
203 11/25/2021 20 -- -- -- -- -- --
204 12/25/2021 20 -- -- -- -- -- --
205 1/25/2022 20 -- -- -- -- -- --
206 2/25/2022 20 -- -- -- -- -- --
207 3/25/2022 20 -- -- -- -- -- --
208 4/25/2022 20 -- -- -- -- -- --
209 5/25/2022 20 -- -- -- -- -- --
210 6/25/2022 20 -- -- -- -- -- --
211 7/25/2022 20 -- -- -- -- -- --
212 8/25/2022 20 -- -- -- -- -- --
213 9/25/2022 20 -- -- -- -- -- --
214 10/25/2022 20 -- -- -- -- -- --
215 11/25/2022 20 -- -- -- -- -- --
216 12/25/2022 20 -- -- -- -- -- --
217 1/25/2023 20 -- -- -- -- -- --
218 2/25/2023 20 -- -- -- -- -- --
219 3/25/2023 20 -- -- -- -- -- --
220 4/25/2023 20 -- -- -- -- -- --
221 5/25/2023 20 -- -- -- -- -- --
222 6/25/2023 20 -- -- -- -- -- --
223 7/25/2023 20 -- -- -- -- -- --
224 8/25/2023 20 -- -- -- -- -- --
225 9/25/2023 20 -- -- -- -- -- --
226 10/25/2023 20 -- -- -- -- -- --
227 11/25/2023 20 -- -- -- -- -- --
228 12/25/2023 20 -- -- -- -- -- --
229 1/25/2024 20 -- -- -- -- -- --
230 2/25/2024 20 -- -- -- -- -- --
231 3/25/2024 20 -- -- -- -- -- --
232 4/25/2024 20 -- -- -- -- -- --
233 5/25/2024 20 -- -- -- -- -- --
234 6/25/2024 20 -- -- -- -- -- --
235 7/25/2024 20 -- -- -- -- -- --
236 8/25/2024 20 -- -- -- -- -- --
237 9/25/2024 20 -- -- -- -- -- --
238 10/25/2024 20 -- -- -- -- -- --
239 11/25/2024 20 -- -- -- -- -- --
240 12/25/2024 20 -- -- -- -- -- --
241 1/25/2025 20 -- -- -- -- -- --
242 2/25/2025 20 -- -- -- -- -- --
243 3/25/2025 20 -- -- -- -- -- --
244 4/25/2025 20 -- -- -- -- -- --
245 5/25/2025 20 -- -- -- -- -- --
246 6/25/2025 20 -- -- -- -- -- --
247 7/25/2025 20 -- -- -- -- -- --
248 8/25/2025 20 -- -- -- -- -- --
249 9/25/2025 20 -- -- -- -- -- --
250 10/25/2025 20 -- -- -- -- -- --
251 11/25/2025 20 -- -- -- -- -- --
252 12/25/2025 20 -- -- -- -- -- --
253 1/25/2026 20 -- -- -- -- -- --
254 2/25/2026 20 -- -- -- -- -- --
255 3/25/2026 20 -- -- -- -- -- --
256 4/25/2026 20 -- -- -- -- -- --
257 5/25/2026 20 -- -- -- -- -- --
258 6/25/2026 20 -- -- -- -- -- --
259 7/25/2026 20 -- -- -- -- -- --
260 8/25/2026 20 -- -- -- -- -- --
261 9/25/2026 20 -- -- -- -- -- --
262 10/25/2026 20 -- -- -- -- -- --
263 11/25/2026 20 -- -- -- -- -- --
264 12/25/2026 20 -- -- -- -- -- --
265 1/25/2027 20 -- -- -- -- -- --
266 2/25/2027 20 -- -- -- -- -- --
267 3/25/2027 20 -- -- -- -- -- --
268 4/25/2027 20 -- -- -- -- -- --
269 5/25/2027 20 -- -- -- -- -- --
270 6/25/2027 20 -- -- -- -- -- --
271 7/25/2027 20 -- -- -- -- -- --
272 8/25/2027 20 -- -- -- -- -- --
273 9/25/2027 20 -- -- -- -- -- --
274 10/25/2027 20 -- -- -- -- -- --
275 11/25/2027 20 -- -- -- -- -- --
276 12/25/2027 20 -- -- -- -- -- --
277 1/25/2028 20 -- -- -- -- -- --
278 2/25/2028 20 -- -- -- -- -- --
279 3/25/2028 20 -- -- -- -- -- --
280 4/25/2028 20 -- -- -- -- -- --
281 5/25/2028 20 -- -- -- -- -- --
282 6/25/2028 20 -- -- -- -- -- --
283 7/25/2028 20 -- -- -- -- -- --
284 8/25/2028 20 -- -- -- -- -- --
285 9/25/2028 20 -- -- -- -- -- --
286 10/25/2028 20 -- -- -- -- -- --
287 11/25/2028 20 -- -- -- -- -- --
288 12/25/2028 20 -- -- -- -- -- --
289 1/25/2029 20 -- -- -- -- -- --
290 2/25/2029 20 -- -- -- -- -- --
291 3/25/2029 20 -- -- -- -- -- --
292 4/25/2029 20 -- -- -- -- -- --
293 5/25/2029 20 -- -- -- -- -- --
294 6/25/2029 20 -- -- -- -- -- --
295 7/25/2029 20 -- -- -- -- -- --
296 8/25/2029 20 -- -- -- -- -- --
297 9/25/2029 20 -- -- -- -- -- --
298 10/25/2029 20 -- -- -- -- -- --
299 11/25/2029 20 -- -- -- -- -- --
300 12/25/2029 20 -- -- -- -- -- --
301 1/25/2030 20 -- -- -- -- -- --
302 2/25/2030 20 -- -- -- -- -- --
303 3/25/2030 20 -- -- -- -- -- --
304 4/25/2030 20 -- -- -- -- -- --
305 5/25/2030 20 -- -- -- -- -- --
306 6/25/2030 20 -- -- -- -- -- --
307 7/25/2030 20 -- -- -- -- -- --
308 8/25/2030 20 -- -- -- -- -- --
309 9/25/2030 20 -- -- -- -- -- --
310 10/25/2030 20 -- -- -- -- -- --
311 11/25/2030 20 -- -- -- -- -- --
312 12/25/2030 20 -- -- -- -- -- --
313 1/25/2031 20 -- -- -- -- -- --
314 2/25/2031 20 -- -- -- -- -- --
315 3/25/2031 20 -- -- -- -- -- --
316 4/25/2031 20 -- -- -- -- -- --
317 5/25/2031 20 -- -- -- -- -- --
318 6/25/2031 20 -- -- -- -- -- --
319 7/25/2031 20 -- -- -- -- -- --
320 8/25/2031 20 -- -- -- -- -- --
321 9/25/2031 20 -- -- -- -- -- --
322 10/25/2031 20 -- -- -- -- -- --
323 11/25/2031 20 -- -- -- -- -- --
324 12/25/2031 20 -- -- -- -- -- --
325 1/25/2032 20 -- -- -- -- -- --
326 2/25/2032 20 -- -- -- -- -- --
327 3/25/2032 20 -- -- -- -- -- --
328 4/25/2032 20 -- -- -- -- -- --
329 5/25/2032 20 -- -- -- -- -- --
330 6/25/2032 20 -- -- -- -- -- --
331 7/25/2032 20 -- -- -- -- -- --
332 8/25/2032 20 -- -- -- -- -- --
333 9/25/2032 20 -- -- -- -- -- --
334 10/25/2032 20 -- -- -- -- -- --
335 11/25/2032 20 -- -- -- -- -- --
336 12/25/2032 20 -- -- -- -- -- --
337 1/25/2033 20 -- -- -- -- -- --
338 2/25/2033 20 -- -- -- -- -- --
339 3/25/2033 20 -- -- -- -- -- --
340 4/25/2033 20 -- -- -- -- -- --
341 5/25/2033 20 -- -- -- -- -- --
342 6/25/2033 20 -- -- -- -- -- --
343 7/25/2033 20 -- -- -- -- -- --
344 8/25/2033 20 -- -- -- -- -- --
345 9/25/2033 20 -- -- -- -- -- --
346 10/25/2033 20 -- -- -- -- -- --
347 11/25/2033 20 -- -- -- -- -- --
348 12/25/2033 20 -- -- -- -- -- --
349 1/25/2034 20 -- -- -- -- -- --
350 2/25/2034 20 -- -- -- -- -- --
351 3/25/2034 20 -- -- -- -- -- --
352 4/25/2034 20 -- -- -- -- -- --
353 5/25/2034 20 -- -- -- -- -- --
354 6/25/2034 20 -- -- -- -- -- --
355 7/25/2034 20 -- -- -- -- -- --
356 8/25/2034 20 -- -- -- -- -- --
357 9/25/2034 20 -- -- -- -- -- --
358 10/25/2034 20 -- -- -- -- -- --
Total 20,487,035.47 10,374,273.63
---------------------------------------------------
Per B-1 cashcap B-2 cashcap B-3A cashcap
---------------------------------------------------
0 -- -- --
1 8.44 8.44 8.44
2 9.18 9.18 9.18
3 9.88 9.88 9.88
4 9.19 9.19 9.19
5 9.41 9.41 9.41
6 9.19 9.19 9.19
7 9.41 9.41 9.41
8 9.20 9.20 9.20
9 9.20 9.20 9.20
10 9.42 9.42 9.42
11 9.21 9.21 9.21
12 9.43 9.43 9.43
13 9.22 9.22 9.22
14 9.22 9.22 9.22
15 9.92 9.92 9.92
16 9.23 9.23 9.23
17 9.45 9.45 9.45
18 9.24 9.24 9.24
19 9.46 9.46 9.46
20 9.25 9.25 9.25
21 9.25 9.25 9.25
22 9.49 9.49 9.49
23 9.48 9.48 9.48
24 9.74 9.74 9.74
25 9.48 9.48 9.48
26 9.48 9.48 9.48
27 10.32 10.32 10.32
28 9.48 9.48 9.48
29 9.94 9.94 9.94
30 9.65 9.65 9.65
31 9.93 9.93 9.93
32 9.64 9.64 9.64
33 9.64 9.64 9.64
34 9.95 9.95 9.95
35 9.85 9.85 9.85
36 10.14 10.14 10.14
37 9.83 9.83 9.83
38 9.75 9.75 9.75
39 10.24 10.24 10.24
40 9.61 9.61 9.61
41 10.32 10.32 10.32
42 9.98 9.98 9.98
43 10.28 10.28 10.28
44 9.94 9.94 9.94
45 9.92 9.92 9.92
46 10.23 10.23 10.23
47 10.10 10.10 10.10
48 10.42 10.42 10.42
49 10.08 10.08 10.08
50 10.06 10.06 10.06
51 11.13 11.13 11.13
52 10.06 10.06 10.06
53 10.77 10.77 10.77
54 10.41 10.41 10.41
55 10.74 10.74 10.74
56 10.39 10.39 10.39
57 10.38 10.38 10.38
58 10.74 10.74 10.74
59 10.45 10.45 10.45
60 10.79 10.79 10.79
61 10.43 10.43 10.43
62 10.42 10.42 10.42
63 11.53 11.53 11.53
64 10.41 10.41 10.41
65 10.76 10.76 10.76
66 10.40 10.40 10.40
67 10.74 10.74 10.74
68 10.38 10.38 10.38
69 10.37 10.37 10.37
70 10.71 10.71 10.71
71 10.37 10.37 10.37
72 10.70 10.70 10.70
73 10.35 10.35 10.35
74 10.34 10.34 10.34
75 11.43 11.43 11.43
76 10.32 10.32 10.32
77 10.66 10.66 10.66
78 10.31 10.31 10.31
79 10.64 10.64 10.64
80 10.29 10.29 10.29
81 10.27 10.27 10.27
82 10.61 10.61 10.61
83 10.26 10.26 10.26
84 10.59 10.59 10.59
85 10.24 10.24 10.24
86 10.23 10.23 10.23
87 10.92 10.92 10.92
88 10.21 10.21 10.21
89 10.54 10.54 10.54
90 10.19 10.19 10.19
91 10.52 10.52 10.52
92 10.17 10.17 10.17
93 10.16 10.16 10.16
94 10.48 10.48 10.48
95 10.14 10.14 10.14
96 35.05 10.46 10.46
97 37.35 10.11 10.11
98 41.81 10.10 10.10
99 52.98 11.18 11.18
100 56.49 10.08 10.08
101 72.16 10.41 10.41
102 93.18 10.06 10.06
103 149.29 10.39 10.39
104 348.23 10.04 10.04
105 -- 38.88 10.03
106 -- 44.31 10.36
107 -- 48.04 10.01
108 -- 56.76 10.34
109 -- 64.58 9.99
110 -- 79.08 9.98
111 -- 114.37 11.04
112 -- 151.86 9.96
113 -- 308.44 10.28
114 -- -- 38.80
115 -- -- 43.31
116 -- -- 45.67
117 -- -- 50.32
118 -- -- 58.06
119 -- -- 63.85
120 -- -- 76.72
121 -- -- 89.16
122 -- -- 112.38
123 -- -- 169.88
124 -- -- 245.72
125 -- -- 1,439.14
126 -- -- --
127 -- -- --
128 -- -- --
129 -- -- --
130 -- -- --
131 -- -- --
132 -- -- --
133 -- -- --
134 -- -- --
135 -- -- --
136 -- -- --
137 -- -- --
138 -- -- --
139 -- -- --
140 -- -- --
141 -- -- --
142 -- -- --
143 -- -- --
144 -- -- --
145 -- -- --
146 -- -- --
147 -- -- --
148 -- -- --
149 -- -- --
150 -- -- --
151 -- -- --
152 -- -- --
153 -- -- --
154 -- -- --
155 -- -- --
156 -- -- --
157 -- -- --
158 -- -- --
159 -- -- --
160 -- -- --
161 -- -- --
162 -- -- --
163 -- -- --
164 -- -- --
165 -- -- --
166 -- -- --
167 -- -- --
168 -- -- --
169 -- -- --
170 -- -- --
171 -- -- --
172 -- -- --
173 -- -- --
174 -- -- --
175 -- -- --
176 -- -- --
177 -- -- --
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179 -- -- --
180 -- -- --
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182 -- -- --
183 -- -- --
184 -- -- --
185 -- -- --
186 -- -- --
187 -- -- --
188 -- -- --
189 -- -- --
190 -- -- --
191 -- -- --
192 -- -- --
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194 -- -- --
195 -- -- --
196 -- -- --
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198 -- -- --
199 -- -- --
200 -- -- --
201 -- -- --
202 -- -- --
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218 -- -- --
219 -- -- --
220 -- -- --
221 -- -- --
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223 -- -- --
224 -- -- --
225 -- -- --
226 -- -- --
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285 -- -- --
286 -- -- --
287 -- -- --
288 -- -- --
289 -- -- --
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293 -- -- --
294 -- -- --
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296 -- -- --
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315 -- -- --
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320 -- -- --
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322 -- -- --
323 -- -- --
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325 -- -- --
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327 -- -- --
328 -- -- --
329 -- -- --
330 -- -- --
331 -- -- --
332 -- -- --
333 -- -- --
334 -- -- --
335 -- -- --
336 -- -- --
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338 -- -- --
339 -- -- --
340 -- -- --
341 -- -- --
342 -- -- --
343 -- -- --
344 -- -- --
345 -- -- --
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347 -- -- --
348 -- -- --
349 -- -- --
350 -- -- --
351 -- -- --
352 -- -- --
353 -- -- --
354 -- -- --
355 -- -- --
356 -- -- --
357 -- -- --
358 -- -- --
Total
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
2004-WMC3
-----------------------------------------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
-----------------------------------------------------------------------------------------------------------------------
1 1/25/2005 1,132,909,507.41 3,365,778.66 2.33 2.65 3.57%
2 2/25/2005 1,123,853,045.66 3,598,286.93 2.411 2.7439 3.84%
3 3/25/2005 1,112,149,393.77 3,644,322.66 2.6174 2.8512 3.93%
4 4/25/2005 1,097,803,417.83 3,251,810.81 2.7015 2.9349 3.55%
5 5/25/2005 1,080,917,248.33 3,227,622.21 2.7779 3.0163 3.58%
6 6/25/2005 1,062,592,812.84 2,973,843.23 2.8999 3.0928 3.36%
7 7/25/2005 1,042,883,165.57 2,121,592.00 3.96 4.1623 2.44%
8 8/25/2005 1,021,849,741.98 1,899,721.34 4.0303 4.2316 2.23%
9 9/25/2005 999,559,887.07 1,779,291.46 4.1278 4.2991 2.14%
10 10/25/2005 976,009,660.98 1,816,692.60 4.1851 4.359 2.23%
11 11/25/2005 949,349,982.23 1,614,339.86 4.2328 4.4144 2.04%
12 12/25/2005 923,434,781.76 1,629,821.70 4.3133 4.4679 2.12%
13 1/25/2006 898,469,151.55 1,430,806.19 4.3705 4.5186 1.91%
14 2/25/2006 874,422,619.77 1,355,274.52 4.4257 4.5648 1.86%
15 3/25/2006 851,255,697.31 1,613,670.45 4.496 4.6072 2.27%
16 4/25/2006 828,930,656.48 1,235,241.64 4.5099 4.6457 1.79%
17 5/25/2006 807,409,448.20 1,290,793.45 4.547 4.6873 1.92%
18 6/25/2006 786,704,933.51 1,115,914.97 4.61 4.7279 1.70%
19 7/25/2006 766,778,065.80 1,176,153.48 4.6415 4.7663 1.84%
20 8/25/2006 747,664,181.60 1,031,162.02 4.6697 4.805 1.66%
21 9/25/2006 729,298,296.56 976,616.77 4.7269 4.8449 1.61%
22 10/25/2006 711,627,819.29 1,044,547.57 4.7569 4.8808 1.76%
23 11/25/2006 692,139,202.38 1,649,215.50 4.7869 4.9181 2.86%
24 12/25/2006 640,679,607.30 1,591,968.19 4.8385 4.9542 2.98%
25 1/25/2007 597,983,988.68 1,387,284.05 4.8697 4.9896 2.78%
26 2/25/2007 562,659,087.03 1,291,847.68 4.9027 5.0241 2.76%
27 3/25/2007 533,174,390.97 1,436,580.75 4.9492 5.0588 3.23%
28 4/25/2007 508,390,771.04 1,143,348.71 4.9742 5.0919 2.70%
29 5/25/2007 486,880,788.02 1,419,896.81 4.9989 5.1255 3.50%
30 6/25/2007 467,126,508.01 1,276,438.33 5.0447 5.1604 3.28%
31 7/25/2007 448,928,271.50 1,282,167.97 5.0729 5.1943 3.43%
32 8/25/2007 432,138,740.29 1,160,408.36 5.102 5.2286 3.22%
33 9/25/2007 416,625,758.88 1,103,935.54 5.1462 5.2637 3.18%
34 10/25/2007 402,263,540.76 1,128,668.35 5.174 5.2965 3.37%
35 11/25/2007 388,533,429.52 1,225,639.11 5.2045 5.3298 3.79%
36 12/25/2007 373,618,690.12 1,221,232.28 5.2461 5.3621 3.92%
37 1/25/2008 359,706,690.66 1,112,100.51 5.2747 5.3945 3.71%
38 2/25/2008 346,732,870.51 1,062,568.01 5.3063 5.426 3.68%
39 3/25/2008 334,615,276.18 1,116,870.96 5.3457 5.4581 4.01%
40 4/25/2008 323,157,058.42 977,023.64 5.3688 5.4894 3.63%
41 5/25/2008 312,285,304.78 1,107,472.51 5.3953 5.5207 4.26%
42 6/25/2008 301,963,466.30 1,014,656.68 5.4346 5.5531 4.03%
43 7/25/2008 292,144,984.91 1,020,609.65 5.4611 5.5846 4.19%
44 8/25/2008 282,799,663.78 937,382.86 5.4913 5.6164 3.98%
45 9/25/2008 273,899,466.98 899,711.46 5.53 5.6464 3.94%
46 10/25/2008 265,418,102.98 910,561.66 5.5551 5.6736 4.12%
47 11/25/2008 257,327,354.07 873,463.81 5.5852 5.7046 4.07%
48 12/25/2008 249,602,203.51 879,740.39 5.6222 5.7361 4.23%
49 1/25/2009 242,206,466.46 811,091.32 5.6475 5.7672 4.02%
50 2/25/2009 235,122,831.97 784,453.18 5.666 5.7945 4.00%
51 3/25/2009 228,335,069.88 865,198.30 5.6991 5.8242 4.55%
52 4/25/2009 221,827,951.27 730,024.66 5.7348 5.8533 3.95%
53 5/25/2009 215,587,240.83 757,315.45 5.7705 5.8819 4.22%
54 6/25/2009 209,600,931.51 699,386.82 5.8019 5.9108 4.00%
55 7/25/2009 203,854,831.80 713,308.57 5.8081 5.9374 4.20%
56 8/25/2009 198,337,085.34 659,869.99 5.836 5.9564 3.99%
57 9/25/2009 193,036,508.18 639,028.85 5.8708 5.9735 3.97%
58 10/25/2009 187,942,525.17 652,515.24 5.905 5.9881 4.17%
59 11/25/2009 183,041,367.04 623,559.70 5.9394 6.0038 4.09%
60 12/25/2009 178,262,375.00 635,122.89 5.9603 6.0181 4.28%
61 1/25/2010 173,613,947.11 597,443.11 5.9195 6.0328 4.13%
62 2/25/2010 169,092,414.16 581,889.41 5.9352 6.0465 4.13%
63 3/25/2010 164,694,212.50 644,066.65 5.9636 6.06 4.69%
64 4/25/2010 160,415,879.50 549,923.09 5.9947 6.0733 4.11%
65 5/25/2010 156,254,147.43 566,888.30 6.025 6.0854 4.35%
66 6/25/2010 152,206,560.78 527,970.22 6.0438 6.0978 4.16%
67 7/25/2010 148,268,984.57 544,001.95 6.0001 6.111 4.40%
68 8/25/2010 144,438,334.78 508,096.52 6.0122 6.138 4.22%
69 9/25/2010 140,711,607.19 494,561.08 6.04 6.168 4.22%
70 10/25/2010 137,085,884.84 503,628.29 6.0675 6.1955 4.41%
71 11/25/2010 133,558,149.66 478,791.04 6.0959 6.2256 4.30%
72 12/25/2010 130,124,051.47 486,708.57 6.1242 6.2549 4.49%
73 1/25/2011 126,779,958.82 453,983.05 6.1569 6.2834 4.30%
74 2/25/2011 123,523,457.32 442,828.25 6.1864 6.3022 4.30%
75 3/25/2011 120,352,199.51 488,919.86 6.2125 6.3194 4.87%
76 4/25/2011 117,263,901.05 423,368.11 6.2408 6.3364 4.33%
77 5/25/2011 114,256,388.04 438,653.95 6.2682 6.3523 4.61%
78 6/25/2011 111,328,279.06 360,001.94 6.2885 6.3688 3.88%
79 7/25/2011 108,476,600.00 373,480.71 6.2679 6.3832 4.13%
80 8/25/2011 105,699,308.75 348,524.77 6.2841 6.3936 3.96%
81 9/25/2011 102,994,419.38 341,468.26 6.3105 6.4027 3.98%
82 10/25/2011 100,354,188.04 351,316.22 6.3365 6.4102 4.20%
83 11/25/2011 97,788,523.08 331,217.39 6.3628 6.4185 4.06%
84 12/25/2011 95,289,961.08 341,071.34 6.3757 6.4255 4.30%
85 1/25/2012 92,856,360.93 323,340.87 6.328 6.4337 4.18%
86 2/25/2012 90,485,993.69 318,226.15 6.3365 6.4437 4.22%
87 3/25/2012 88,177,177.66 340,381.23 6.3587 6.4544 4.63%
88 4/25/2012 85,928,276.64 307,591.78 6.383 6.4652 4.30%
89 5/25/2012 83,737,707.60 317,722.34 6.4062 6.4749 4.55%
90 6/25/2012 81,604,154.01 300,493.53 6.4209 6.4852 4.42%
91 7/25/2012 79,525,856.08 310,269.51 6.3878 6.4958 4.68%
92 8/25/2012 77,501,348.95 294,431.88 6.3979 6.5165 4.56%
93 9/25/2012 75,529,207.73 290,263.99 6.42 6.5393 4.61%
94 10/25/2012 73,608,045.83 297,078.24 6.4418 6.5597 4.84%
95 11/25/2012 71,736,526.69 285,647.27 6.4644 6.5826 4.78%
96 12/25/2012 69,913,717.99 292,374.28 6.486 6.6046 5.02%
97 1/25/2013 68,137,929.12 280,050.97 6.5076 6.6266 4.93%
98 2/25/2013 66,407,918.65 277,722.43 6.5299 6.6431 5.02%
99 3/25/2013 64,722,479.02 301,534.38 6.55 6.659 5.59%
100 4/25/2013 63,080,434.79 273,562.34 6.5727 6.6753 5.20%
101 5/25/2013 61,480,654.79 282,051.56 6.5943 6.6902 5.51%
102 6/25/2013 59,922,347.23 272,330.78 6.612 6.7061 5.45%
103 7/25/2013 58,404,078.06 278,230.99 6.6051 6.7216 5.72%
104 8/25/2013 56,924,794.58 269,480.30 6.6206 6.7431 5.68%
105 9/25/2013 55,483,472.66 267,919.62 6.6421 6.7656 5.79%
106 10/25/2013 54,079,115.40 272,735.59 6.663 6.7857 6.05%
107 11/25/2013 52,710,762.78 267,812.81 6.6848 6.8083 6.10%
108 12/25/2013 51,377,771.74 271,965.59 6.7059 6.83 6.35%
109 1/25/2014 50,078,896.02 265,452.21 6.7289 6.8501 6.36%
110 2/25/2014 48,813,242.45 264,392.01 6.751 6.8552 6.50%
111 3/25/2014 47,579,941.91 276,622.69 6.7703 6.8569 6.98%
112 4/25/2014 46,378,148.50 262,571.61 6.7924 6.8595 6.79%
113 5/25/2014 45,207,044.66 266,383.44 6.8128 6.8602 7.07%
114 6/25/2014 44,065,939.70 262,103.61 6.8206 6.8617 7.14%
115 7/25/2014 42,953,931.32 266,777.15 6.7593 6.8609 7.45%
116 8/25/2014 41,870,260.94 264,596.25 6.7611 6.8575 7.58%
117 9/25/2014 40,814,190.24 265,402.17 6.7801 6.8529 7.80%
118 10/25/2014 39,785,093.16 268,367.40 6.799 6.8468 8.09%
119 11/25/2014 38,782,270.01 266,806.78 6.8182 6.8416 8.26%
120 12/25/2014 37,805,233.87 269,283.41 6.8193 6.835 8.55%
121 1/25/2015 36,853,021.53 268,956.23 6.7384 6.8313 8.76%
122 2/25/2015 35,924,988.38 269,816.94 6.7343 6.8372 9.01%
123 3/25/2015 35,020,506.96 272,626.33 6.7487 6.8457 9.34%
124 4/25/2015 34,138,966.54 271,436.42 6.7666 6.8552 9.54%
125 5/25/2015 33,279,773.08 684,628.81 6.783 6.8631 24.69%
126 6/25/2015 32,442,383.42 1,085,562.59 6.7943 6.8719 40.15%
127 7/25/2015 31,626,196.23 1,057,890.06 6.7745 6.8808 40.14%
128 8/25/2015 30,830,663.21 1,030,935.73 6.7831 6.8985 40.13%
129 9/25/2015 30,055,250.61 1,004,680.38 6.7993 6.9178 40.11%
130 10/25/2015 29,299,438.80 979,127.26 6.8151 6.9357 40.10%
131 11/25/2015 28,562,725.86 954,950.94 6.8319 6.9553 40.12%
132 12/25/2015 27,844,747.04 930,665.28 6.8494 6.974 40.11%
133 1/25/2016 27,144,883.95 907,007.65 6.8761 6.9931 40.10%
134 2/25/2016 26,462,670.11 883,961.67 6.895 7.0082 40.08%
135 3/25/2016 25,797,651.39 861,510.95 6.9103 7.0233 40.07%
136 4/25/2016 25,149,385.63 839,662.86 6.9274 7.0389 40.06%
137 5/25/2016 24,517,446.61 818,890.74 6.9433 7.0532 40.08%
138 6/25/2016 23,901,508.70 798,120.11 6.9589 7.0684 40.07%
139 7/25/2016 23,301,060.49 777,884.55 6.9665 7.0803 40.06%
140 8/25/2016 22,715,704.80 758,170.07 6.9815 7.08 40.05%
141 9/25/2016 22,145,054.97 738,962.92 6.998 7.0764 40.04%
142 10/25/2016 21,588,734.44 720,255.68 7.0138 7.0711 40.04%
143 11/25/2016 21,046,377.73 702,084.71 7.03 7.0672 40.03%
144 12/25/2016 20,517,638.30 684,319.21 7.0309 7.0618 40.02%
145 1/25/2017 20,002,156.16 667,009.75 6.9636 7.0582 40.02%
146 2/25/2017 19,499,592.81 650,144.33 6.9606 7.0567 40.01%
147 3/25/2017 19,009,618.61 633,711.30 6.9727 7.0559 40.00%
148 4/25/2017 18,531,912.52 617,697.08 6.9884 7.0564 40.00%
149 5/25/2017 18,066,161.48 602,050.65 7.0021 7.0549 39.99%
150 6/25/2017 17,612,052.64 586,849.00 7.0063 7.0544 39.99%
151 7/25/2017 17,169,298.84 572,036.14 6.9563 7.0548 39.98%
152 8/25/2017 16,737,611.31 557,601.86 6.9561 7.0701 39.98%
153 9/25/2017 16,316,708.80 543,536.29 6.9692 7.0881 39.97%
154 10/25/2017 15,906,317.37 529,835.73 6.9822 7.1039 39.97%
155 11/25/2017 15,506,171.51 516,680.11 6.9963 7.1224 39.99%
156 12/25/2017 15,116,051.88 503,659.08 7.0122 7.14 39.98%
157 1/25/2018 14,735,661.28 490,969.77 7.0429 7.1575 39.98%
158 2/25/2018 14,364,753.28 478,603.59 7.0604 7.1682 39.98%
159 3/25/2018 14,003,087.87 466,552.12 7.0723 7.1783 39.98%
160 4/25/2018 13,650,431.25 454,815.95 7.0872 7.1893 39.98%
161 5/25/2018 13,306,557.64 443,553.95 7.1003 7.1986 40.00%
162 6/25/2018 12,971,283.02 432,393.95 7.1116 7.2089 40.00%
163 7/25/2018 12,644,349.28 421,517.24 7.1075 7.219 40.00%
164 8/25/2018 12,325,546.02 410,916.51 7.1176 7.2354 40.01%
165 9/25/2018 12,014,668.29 400,584.60 7.1311 7.2527 40.01%
166 10/25/2018 11,711,516.42 390,519.02 7.1441 7.2676 40.01%
167 11/25/2018 11,415,896.93 380,830.38 7.1582 7.2852 40.03%
168 12/25/2018 11,127,647.57 371,260.93 7.1735 7.3018 40.04%
169 1/25/2019 10,846,553.86 361,933.54 7.2008 7.3164 40.04%
170 2/25/2019 10,572,436.01 352,841.99 7.2175 7.3127 40.05%
171 3/25/2019 10,305,118.84 343,980.20 7.2293 7.3051 40.06%
172 4/25/2019 10,044,431.72 335,343.30 7.2441 7.299 40.06%
173 5/25/2019 9,790,208.63 326,926.98 7.2567 7.2905 40.07%
174 6/25/2019 9,542,288.14 318,719.39 7.2558 7.283 40.08%
175 7/25/2019 9,300,511.52 310,718.75 7.1807 7.2712 40.09%
176 8/25/2019 9,064,724.99 302,919.75 7.1739 7.2454 40.10%
177 9/25/2019 8,834,778.69 307,555.58 7.1857 7.2157 41.77%
178 10/25/2019 8,598,288.23 3,076,884.02 7.1974 7.1854 429.42%
179 11/25/2019 5,590,500.74 193,180.80 7.209 7.1554 41.47%
180 12/25/2019 5,441,680.09 188,022.42 7.19 7.1236 41.46%
181 1/25/2020 5,296,776.14 183,002.54 7.0296 7.0951 41.46%
182 2/25/2020 5,155,684.84 178,117.34 7.0021 7.0756 41.46%
183 3/25/2020 5,018,304.92 173,363.15 7.0092 7.0578 41.46%
184 4/25/2020 4,884,537.89 168,729.64 7.0195 7.0414 41.45%
185 5/25/2020 4,754,286.09 164,078.81 7.0279 7.0232 41.41%
186 6/25/2020 4,627,419.48 159,700.00 7.0188 7.0059 41.41%
187 7/25/2020 4,503,888.14 155,438.50 6.9168 6.9897 41.41%
188 8/25/2020 4,383,603.67 151,291.08 6.9006 6.9901 41.42%
189 9/25/2020 4,266,480.05 147,254.65 6.9077 6.9936 41.42%
190 10/25/2020 4,152,433.57 143,324.44 6.9151 6.9955 41.42%
191 11/25/2020 4,041,382.31 139,478.60 6.9233 6.9993 41.42%
192 12/25/2020 3,933,241.34 135,757.92 6.9274 7.0021 41.42%
193 1/25/2021 3,827,940.08 132,136.67 6.9169 7.0056 41.42%
194 2/25/2021 3,725,403.45 128,612.16 6.9206 7.0058 41.43%
195 3/25/2021 3,625,558.40 125,181.76 6.9264 7.0058 41.43%
196 4/25/2021 3,528,333.86 121,843.29 6.9352 7.0072 41.44%
197 5/25/2021 3,433,660.75 118,599.18 6.9421 7.0066 41.45%
198 6/25/2021 3,341,473.26 115,436.00 6.9448 7.007 41.46%
199 7/25/2021 3,251,704.15 112,357.15 6.92 7.008 41.46%
200 8/25/2021 3,164,289.67 109,360.37 6.9206 7.0196 41.47%
201 9/25/2021 3,079,167.77 106,443.44 6.9276 7.033 41.48%
202 10/25/2021 2,996,278.07 103,605.16 6.9343 7.0443 41.49%
203 11/25/2021 2,915,562.09 100,873.63 6.9421 7.0583 41.52%
204 12/25/2021 2,836,971.94 98,182.88 6.9531 7.0713 41.53%
205 1/25/2022 2,760,441.78 95,563.72 6.9853 7.084 41.54%
206 2/25/2022 2,685,917.44 93,014.22 6.9981 7.0893 41.56%
207 3/25/2022 2,613,346.22 90,532.51 7.004 7.0935 41.57%
208 4/25/2022 2,542,676.81 88,117.91 7.0128 7.099 41.59%
209 5/25/2022 2,473,859.63 85,788.52 7.0197 7.1026 41.61%
210 6/25/2022 2,406,852.63 83,498.96 7.0252 7.1073 41.63%
211 7/25/2022 2,341,601.16 81,270.19 7.0178 7.1122 41.65%
212 8/25/2022 2,278,059.19 79,100.58 7.0224 7.1256 41.67%
213 9/25/2022 2,216,181.91 76,988.54 7.0297 7.1403 41.69%
214 10/25/2022 2,155,925.71 74,933.45 7.0365 7.1529 41.71%
215 11/25/2022 2,097,248.43 72,958.56 7.0445 7.1681 41.75%
216 12/25/2022 2,040,117.06 71,009.61 7.0565 7.1824 41.77%
217 1/25/2023 1,984,482.24 69,112.29 7.0935 7.1962 41.79%
218 2/25/2023 1,930,304.81 67,265.25 7.1075 7.2006 41.82%
219 3/25/2023 1,877,546.68 65,467.12 7.1136 7.2035 41.84%
220 4/25/2023 1,826,170.74 63,717.31 7.1226 7.2078 41.87%
221 5/25/2023 1,776,141.14 62,026.69 7.1297 7.2101 41.91%
222 6/25/2023 1,727,427.04 60,367.35 7.1343 7.2134 41.94%
223 7/25/2023 1,679,989.38 58,751.91 7.1209 7.2156 41.97%
224 8/25/2023 1,633,794.84 57,179.19 7.1243 7.2195 42.00%
225 9/25/2023 1,588,811.00 55,648.07 7.1317 7.223 42.03%
226 10/25/2023 1,545,006.29 54,157.55 7.1386 7.2253 42.06%
227 11/25/2023 1,502,350.02 52,709.94 7.1464 7.2292 42.10%
228 12/25/2023 1,460,813.51 51,296.98 7.1503 7.232 42.14%
229 1/25/2024 1,420,366.25 49,921.34 7.1411 7.2342 42.18%
230 2/25/2024 1,380,979.90 48,582.03 7.1447 7.2265 42.22%
231 3/25/2024 1,342,626.82 47,278.10 7.1506 7.2169 42.26%
232 4/25/2024 1,305,280.15 46,008.49 7.1588 7.2083 42.30%
233 5/25/2024 1,268,913.64 44,766.99 7.165 7.198 42.34%
234 6/25/2024 1,233,499.84 43,563.71 7.1607 7.1887 42.38%
235 7/25/2024 1,199,016.06 42,392.19 7.0979 7.1762 42.43%
236 8/25/2024 1,165,438.14 41,242.14 7.0894 7.1545 42.47%
237 9/25/2024 1,132,751.98 40,079.16 7.0953 7.1299 42.46%
238 10/25/2024 1,100,977.75 38,897.31 7.1011 7.1048 42.40%
239 11/25/2024 1,070,140.71 37,715.75 7.1072 7.0803 42.29%
240 12/25/2024 1,040,220.29 36,701.59 7.0904 7.0542 42.34%
241 1/25/2025 1,011,085.74 35,714.18 6.9698 7.0288 42.39%
242 2/25/2025 982,716.63 34,752.82 6.9476 6.9984 42.44%
243 3/25/2025 955,093.09 33,816.80 6.9499 6.9661 42.49%
244 4/25/2025 928,195.76 32,904.45 6.956 6.9364 42.54%
245 5/25/2025 902,005.39 31,989.94 6.9596 6.904 42.56%
246 6/25/2025 876,492.92 31,126.49 6.9391 6.8726 42.62%
247 7/25/2025 851,652.30 30,285.82 6.7933 6.8419 42.67%
248 8/25/2025 827,466.10 29,467.30 6.7637 6.827 42.73%
249 9/25/2025 803,917.34 28,670.36 6.7657 6.8149 42.80%
250 10/25/2025 780,989.48 27,893.78 6.7683 6.8021 42.86%
251 11/25/2025 758,666.15 27,122.08 6.7715 6.7904 42.90%
252 12/25/2025 736,924.95 26,386.79 6.7631 6.7775 42.97%
253 1/25/2026 715,758.05 25,670.87 6.7044 6.7652 43.04%
254 2/25/2026 695,150.57 24,973.82 6.6936 6.7494 43.11%
255 3/25/2026 675,088.00 24,295.14 6.6942 6.7327 43.19%
256 4/25/2026 655,556.22 23,634.03 6.6979 6.718 43.26%
257 5/25/2026 636,541.33 22,980.37 6.6995 6.701 43.32%
258 6/25/2026 618,025.42 22,354.11 6.689 6.685 43.40%
259 7/25/2026 600,000.40 21,744.37 6.6136 6.6695 43.49%
260 8/25/2026 582,453.56 21,150.68 6.5984 6.666 43.58%
261 9/25/2026 565,372.50 20,572.65 6.5994 6.6645 43.67%
262 10/25/2026 548,745.15 20,009.68 6.6006 6.6618 43.76%
263 11/25/2026 532,559.69 19,458.01 6.6026 6.6607 43.84%
264 12/25/2026 516,802.99 18,924.56 6.6015 6.6587 43.94%
265 1/25/2027 501,465.77 18,405.16 6.5907 6.6567 44.04%
266 2/25/2027 486,537.18 17,899.46 6.5895 6.6486 44.15%
267 3/25/2027 472,006.62 17,407.09 6.5895 6.6395 44.25%
268 4/25/2027 457,863.80 16,927.63 6.5923 6.632 44.37%
269 5/25/2027 444,098.64 16,458.09 6.5931 6.6226 44.47%
270 6/25/2027 430,700.01 16,003.70 6.5876 6.614 44.59%
271 7/25/2027 417,659.87 15,561.29 6.5456 6.6053 44.71%
272 8/25/2027 404,968.92 15,130.55 6.5375 6.6029 44.83%
273 9/25/2027 392,618.13 14,711.18 6.5382 6.6013 44.96%
274 10/25/2027 380,598.70 14,302.81 6.5388 6.5989 45.10%
275 11/25/2027 368,902.00 13,903.84 6.5402 6.5977 45.23%
276 12/25/2027 357,518.98 13,516.82 6.5389 6.5956 45.37%
277 1/25/2028 346,442.29 13,140.03 6.5295 6.5946 45.51%
278 2/25/2028 335,663.99 12,773.18 6.5281 6.5936 45.66%
279 3/25/2028 325,176.36 12,416.03 6.5281 6.5932 45.82%
280 4/25/2028 314,971.88 12,068.30 6.5299 6.5937 45.98%
281 5/25/2028 305,043.19 11,729.54 6.5304 6.5928 46.14%
282 6/25/2028 295,383.06 11,399.97 6.5308 6.5929 46.31%
283 7/25/2028 285,984.64 11,079.10 6.5257 6.5928 46.49%
284 8/25/2028 276,841.15 10,766.72 6.5258 6.5982 46.67%
285 9/25/2028 267,946.00 10,462.61 6.5266 6.6042 46.86%
286 10/25/2028 259,292.75 10,166.56 6.5271 6.6086 47.05%
287 11/25/2028 250,875.14 9,879.13 6.5285 6.6151 47.25%
288 12/25/2028 242,687.49 9,598.52 6.5327 6.6207 47.46%
289 1/25/2029 234,723.39 9,325.35 6.5548 6.6259 47.67%
290 2/25/2029 226,977.03 9,059.42 6.5604 6.6233 47.90%
291 3/25/2029 219,442.78 8,800.53 6.5603 6.6194 48.12%
292 4/25/2029 212,115.13 8,548.52 6.5626 6.6169 48.36%
293 5/25/2029 204,988.72 8,303.12 6.5631 6.6126 48.61%
294 6/25/2029 198,058.30 8,064.30 6.5611 6.6092 48.86%
295 7/25/2029 191,318.82 7,824.07 6.5414 6.6061 49.07%
296 8/25/2029 184,773.08 7,598.07 6.5381 6.6121 49.35%
297 9/25/2029 178,408.24 7,378.07 6.5389 6.6193 49.63%
298 10/25/2029 172,219.59 7,163.93 6.5393 6.6251 49.92%
299 11/25/2029 166,202.57 6,952.10 6.5408 6.6329 50.19%
300 12/25/2029 160,356.80 6,749.35 6.546 6.6399 50.51%
301 1/25/2030 154,673.70 6,551.99 6.546 6.6399 50.83%
302 2/25/2030 149,149.05 6,359.90 6.546 6.6399 51.17%
303 3/25/2030 143,778.72 6,172.92 6.546 6.6399 51.52%
304 4/25/2030 138,558.70 5,990.95 6.546 6.6399 51.89%
305 5/25/2030 133,485.09 5,813.95 6.546 6.6399 52.27%
306 6/25/2030 128,554.13 5,641.56 6.546 6.6399 52.66%
307 7/25/2030 123,762.05 5,473.78 6.546 6.6399 53.07%
308 8/25/2030 119,105.21 5,310.49 6.546 6.6399 53.50%
309 9/25/2030 114,580.09 5,151.57 6.546 6.6399 53.95%
310 10/25/2030 110,183.25 4,996.92 6.546 6.6399 54.42%
311 11/25/2030 105,911.36 4,846.41 6.546 6.6399 54.91%
312 12/25/2030 101,761.14 4,699.94 6.546 6.6399 55.42%
313 1/25/2031 97,729.42 4,557.41 6.546 6.6399 55.96%
314 2/25/2031 93,813.10 4,418.71 6.546 6.6399 56.52%
315 3/25/2031 90,009.16 4,283.74 6.546 6.6399 57.11%
316 4/25/2031 86,314.67 4,152.41 6.546 6.6399 57.73%
317 5/25/2031 82,726.75 4,024.62 6.546 6.6399 58.38%
318 6/25/2031 79,242.62 3,900.28 6.546 6.6399 59.06%
319 7/25/2031 75,859.55 3,779.30 6.546 6.6399 59.78%
320 8/25/2031 72,574.89 3,661.59 6.546 6.6399 60.54%
321 9/25/2031 69,386.06 3,547.07 6.546 6.6399 61.34%
322 10/25/2031 66,290.54 3,435.65 6.546 6.6399 62.19%
323 11/25/2031 63,285.88 3,327.26 6.546 6.6399 63.09%
324 12/25/2031 60,369.69 3,221.81 6.546 6.6399 64.04%
325 1/25/2032 57,539.64 3,119.22 6.546 6.6399 65.05%
326 2/25/2032 54,793.46 3,019.43 6.546 6.6399 66.13%
327 3/25/2032 52,128.93 2,922.36 6.546 6.6399 67.27%
328 4/25/2032 49,543.90 2,827.94 6.546 6.6399 68.50%
329 5/25/2032 47,036.28 2,736.10 6.546 6.6399 69.80%
330 6/25/2032 44,604.01 2,646.78 6.546 6.6399 71.21%
331 7/25/2032 42,245.09 2,559.90 6.546 6.6399 72.72%
332 8/25/2032 39,957.60 2,475.41 6.546 6.6399 74.34%
333 9/25/2032 37,739.63 2,393.23 6.546 6.6399 76.10%
334 10/25/2032 35,589.33 2,313.32 6.546 6.6399 78.00%
335 11/25/2032 33,504.92 2,235.61 6.546 6.6399 80.07%
336 12/25/2032 31,484.63 2,160.05 6.546 6.6399 82.33%
337 1/25/2033 29,526.76 2,086.58 6.546 6.6399 84.80%
338 2/25/2033 27,629.64 2,015.14 6.546 6.6399 87.52%
339 3/25/2033 25,791.65 1,945.68 6.546 6.6399 90.53%
340 4/25/2033 24,011.22 1,878.15 6.546 6.6399 93.86%
341 5/25/2033 22,286.81 1,812.50 6.546 6.6399 97.59%
342 6/25/2033 20,616.90 1,748.69 6.546 6.6399 101.78%
343 7/25/2033 19,000.05 1,686.65 6.546 6.6399 106.52%
344 8/25/2033 17,434.82 1,626.35 6.546 6.6399 111.94%
345 9/25/2033 15,919.83 1,567.74 6.546 6.6399 118.17%
346 10/25/2033 14,453.72 1,510.78 6.546 6.6399 125.43%
347 11/25/2033 13,035.18 1,455.42 6.546 6.6399 133.98%
348 12/25/2033 11,662.93 1,352.62 6.546 6.6399 139.17%
349 1/25/2034 10,384.71 1,302.21 6.546 6.6399 150.48%
350 2/25/2034 9,148.69 1,253.24 6.546 6.6399 164.38%
351 3/25/2034 7,953.74 1,205.66 6.546 6.6399 181.90%
352 4/25/2034 6,798.72 1,159.43 6.546 6.6399 204.64%
353 5/25/2034 5,682.55 1,114.53 6.546 6.6399 235.36%
354 6/25/2034 4,604.17 1,070.89 6.546 6.6399 279.11%
355 7/25/2034 3,562.57 1,026.76 6.546 6.6399 345.85%
356 8/25/2034 2,558.48 981.77 6.546 6.6399 460.48%
357 9/25/2034 1,593.02 940.88 6.546 6.6399 708.75%
358 10/25/2034 662.33 666.64 6.546 6.6399 1207.81%
Total
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
2004-WMC3
----------------------------------------------------------------------------------------
Forward + 300
----------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
----------------------------------------------------------------------------------------
1 1/25/2005 1,132,909,507.41 3,365,778.66 2.3300 2.6500 3.57%
2 2/25/2005 1,106,418,744.94 803,717.27 5.4110 5.7439 0.87%
3 3/25/2005 1,080,367,299.15 1,116,989.55 5.6174 5.8512 1.24%
4 4/25/2005 1,054,738,716.12 533,664.55 5.7015 5.9349 0.61%
5 5/25/2005 1,029,518,256.39 628,479.72 5.7779 6.0163 0.73%
6 6/25/2005 1,004,691,739.99 372,986.50 5.8999 6.0928 0.45%
7 7/25/2005 980,246,674.59 482,460.00 5.9600 6.1623 0.59%
8 8/25/2005 956,171,822.77 283,305.11 6.0303 6.2316 0.36%
9 9/25/2005 932,457,230.07 222,145.99 6.1278 6.2991 0.29%
10 10/25/2005 909,094,170.36 316,849.18 6.1851 6.3590 0.42%
11 11/25/2005 886,075,370.90 163,763.20 6.2328 6.4144 0.22%
12 12/25/2005 863,394,443.95 240,190.94 6.3133 6.4679 0.33%
13 1/25/2006 841,047,143.78 93,005.00 6.3705 6.5186 0.13%
14 2/25/2006 819,030,096.53 67,860.83 6.4257 6.5648 0.10%
15 3/25/2006 797,364,522.11 379,961.71 6.4960 6.6072 0.57%
16 4/25/2006 776,272,195.21 36,616.66 6.5099 6.6457 0.06%
17 5/25/2006 755,738,102.15 127,710.93 6.5470 6.6873 0.20%
18 6/25/2006 735,747,274.60 20,230.50 6.6100 6.7279 0.03%
19 7/25/2006 716,285,312.51 117,970.30 6.6415 6.7663 0.20%
20 8/25/2006 697,338,192.89 24,909.79 6.6697 6.8050 0.04%
21 9/25/2006 678,892,339.20 23,412.21 6.7269 6.8449 0.04%
22 10/25/2006 660,934,402.47 117,855.04 6.7569 6.8808 0.21%
23 11/25/2006 643,452,484.86 517,572.57 6.7869 6.9181 0.97%
24 12/25/2006 626,512,145.93 595,091.78 6.8385 6.9542 1.14%
25 1/25/2007 610,017,796.24 458,797.57 6.8697 6.9896 0.90%
26 2/25/2007 593,957,666.52 435,451.83 6.9027 7.0241 0.88%
27 3/25/2007 578,320,335.87 721,278.35 6.9492 7.0588 1.50%
28 4/25/2007 563,094,622.58 392,951.69 6.9742 7.0919 0.84%
29 5/25/2007 548,270,161.17 772,849.50 6.9989 7.1255 1.69%
30 6/25/2007 533,872,186.18 638,829.26 7.0447 7.1604 1.44%
31 7/25/2007 519,852,250.35 708,963.16 7.0729 7.1943 1.64%
32 8/25/2007 506,200,404.08 589,937.87 7.1020 7.2286 1.40%
33 9/25/2007 492,907,001.65 561,248.79 7.1462 7.2637 1.37%
34 10/25/2007 479,962,577.11 641,868.70 7.1740 7.2965 1.60%
35 11/25/2007 467,360,566.54 795,823.34 7.2045 7.3298 2.04%
36 12/25/2007 455,118,882.89 855,692.64 7.2461 7.3621 2.26%
37 1/25/2008 443,197,745.83 8,558,484.11 7.2747 7.3945 23.17%
38 2/25/2008 431,588,742.65 1,320,566.76 7.3063 7.4260 3.67%
39 3/25/2008 420,283,704.01 1,452,627.65 7.3457 7.4581 4.15%
40 4/25/2008 409,274,635.38 1,249,103.73 7.3688 7.4894 3.66%
41 5/25/2008 398,554,521.93 1,518,179.65 7.3953 7.5207 4.57%
42 6/25/2008 388,135,381.24 1,385,237.14 7.4346 7.5531 4.28%
43 7/25/2008 377,988,486.99 1,420,601.78 7.4611 7.5846 4.51%
44 8/25/2008 368,106,709.84 1,297,177.03 7.4913 7.6164 4.23%
45 9/25/2008 358,483,123.03 1,251,337.56 7.5300 7.6464 4.19%
46 10/25/2008 349,110,951.95 1,290,085.60 7.5551 7.6736 4.43%
47 11/25/2008 339,984,157.82 1,349,398.75 7.5852 7.7046 4.76%
48 12/25/2008 331,110,852.65 1,374,296.36 7.6222 7.7361 4.98%
49 1/25/2009 322,468,975.18 1,261,562.56 7.6475 7.7672 4.69%
50 2/25/2009 314,052,475.80 1,223,048.92 7.6660 7.7945 4.67%
51 3/25/2009 305,855,475.00 1,380,817.43 7.6991 7.8242 5.42%
52 4/25/2009 297,872,225.26 1,145,536.07 7.7348 7.8533 4.61%
53 5/25/2009 290,097,527.64 1,283,159.10 7.7705 7.8819 5.31%
54 6/25/2009 282,535,619.49 1,179,704.20 7.8019 7.9108 5.01%
55 7/25/2009 275,170,641.96 1,206,985.33 7.8081 7.9374 5.26%
56 8/25/2009 267,997,454.84 1,109,597.45 7.8360 7.9564 4.97%
57 9/25/2009 261,011,052.94 1,072,330.76 7.8708 7.9735 4.93%
58 10/25/2009 254,206,562.15 1,099,110.87 7.9050 7.9881 5.19%
59 11/25/2009 247,579,602.25 1,026,722.62 7.9394 8.0038 4.98%
60 12/25/2009 241,108,092.34 1,048,785.11 7.9603 8.0181 5.22%
61 1/25/2010 234,805,335.96 975,691.38 7.9195 8.0328 4.99%
62 2/25/2010 228,666,926.44 946,368.51 7.9352 8.0465 4.97%
63 3/25/2010 222,688,572.74 1,065,139.76 7.9636 8.0600 5.74%
64 4/25/2010 216,866,096.20 886,364.75 7.9947 8.0733 4.90%
65 5/25/2010 211,195,569.38 908,440.30 8.0250 8.0854 5.16%
66 6/25/2010 205,673,405.67 834,352.52 8.0438 8.0978 4.87%
67 7/25/2010 200,295,195.19 863,859.41 8.0001 8.1110 5.18%
68 8/25/2010 195,057,181.17 794,706.27 8.0122 8.1380 4.89%
69 9/25/2010 189,955,705.29 768,865.92 8.0400 8.1680 4.86%
70 10/25/2010 184,987,205.00 786,488.55 8.0675 8.1955 5.10%
71 11/25/2010 180,148,300.12 722,662.12 8.0959 8.2256 4.81%
72 12/25/2010 175,435,847.70 739,040.57 8.1242 8.2549 5.06%
73 1/25/2011 170,846,212.42 675,483.40 8.1569 8.2834 4.74%
74 2/25/2011 166,376,190.74 653,137.70 8.1864 8.3022 4.71%
75 3/25/2011 162,022,663.16 744,005.89 8.2125 8.3194 5.51%
76 4/25/2011 157,782,591.75 611,660.23 8.2408 8.3364 4.65%
77 5/25/2011 153,653,081.41 628,785.56 8.2682 8.3523 4.91%
78 6/25/2011 149,631,378.53 574,510.85 8.2885 8.3688 4.61%
79 7/25/2011 145,714,474.06 595,107.99 8.2679 8.3832 4.90%
80 8/25/2011 141,899,635.90 544,125.72 8.2841 8.3936 4.60%
81 9/25/2011 138,184,203.51 526,706.60 8.3105 8.4027 4.57%
82 10/25/2011 134,560,624.44 541,034.96 8.3365 8.4102 4.82%
83 11/25/2011 131,036,465.42 493,651.93 8.3628 8.4185 4.52%
84 12/25/2011 127,604,217.00 508,919.72 8.3757 8.4255 4.79%
85 1/25/2012 124,261,401.05 470,767.03 8.3280 8.4337 4.55%
86 2/25/2012 121,005,687.18 457,175.96 8.3365 8.4437 4.53%
87 3/25/2012 117,834,805.92 497,927.18 8.3587 8.4544 5.07%
88 4/25/2012 114,746,547.10 428,400.99 8.3830 8.4652 4.48%
89 5/25/2012 111,738,758.28 403,468.24 8.4062 8.4749 4.33%
90 6/25/2012 108,809,343.64 364,346.34 8.4209 8.4852 4.02%
91 7/25/2012 105,956,261.32 383,385.03 8.3878 8.4958 4.34%
92 8/25/2012 103,177,523.09 346,699.07 8.3979 8.5165 4.03%
93 9/25/2012 100,471,192.66 335,457.45 8.4200 8.5393 4.01%
94 10/25/2012 97,835,384.32 209,852.93 8.4418 8.5597 2.57%
95 11/25/2012 95,268,261.59 170,521.21 8.4644 8.5826 2.15%
96 12/25/2012 92,768,036.02 188,724.22 8.4860 8.6046 2.44%
97 1/25/2013 90,332,965.71 161,106.04 8.5076 8.6266 2.14%
98 2/25/2013 87,961,354.12 156,616.04 8.5299 8.6431 2.14%
99 3/25/2013 85,651,549.10 216,123.51 8.5500 8.6590 3.03%
100 4/25/2013 83,401,941.59 148,270.58 8.5727 8.6753 2.13%
101 5/25/2013 81,210,964.53 164,437.75 8.5943 8.6902 2.43%
102 6/25/2013 79,077,091.82 140,781.78 8.6120 8.7061 2.14%
103 7/25/2013 76,998,837.06 157,866.57 8.6051 8.7216 2.46%
104 8/25/2013 74,974,752.54 135,689.87 8.6206 8.7431 2.17%
105 9/25/2013 73,003,428.40 132,268.90 8.6421 8.7656 2.17%
106 10/25/2013 71,083,491.55 146,326.44 8.6630 8.7857 2.47%
107 11/25/2013 69,213,604.68 125,467.09 8.6848 8.8083 2.18%
108 12/25/2013 67,392,465.47 138,810.85 8.7059 8.8300 2.47%
109 1/25/2014 65,618,805.42 119,074.62 8.7289 8.8501 2.18%
110 2/25/2014 63,891,389.02 116,063.90 8.7510 8.8552 2.18%
111 3/25/2014 62,209,013.07 159,039.76 8.7703 8.8569 3.07%
112 4/25/2014 60,570,505.71 110,531.00 8.7924 8.8595 2.19%
113 5/25/2014 58,974,725.63 122,362.87 8.8128 8.8602 2.49%
114 6/25/2014 57,420,561.29 106,019.69 8.8206 8.8617 2.22%
115 7/25/2014 55,906,930.04 120,629.98 8.7593 8.8609 2.59%
116 8/25/2014 54,432,777.47 105,473.01 8.7611 8.8575 2.33%
117 9/25/2014 52,997,076.63 103,168.10 8.7801 8.8529 2.34%
118 10/25/2014 51,598,899.79 113,334.03 8.7990 8.8468 2.64%
119 11/25/2014 50,237,272.82 98,823.82 8.8182 8.8416 2.36%
120 12/25/2014 48,911,425.38 109,111.88 8.8193 8.8350 2.68%
121 1/25/2015 47,620,167.74 99,077.73 8.7384 8.8313 2.50%
122 2/25/2015 46,362,600.32 97,879.04 8.7343 8.8372 2.53%
123 3/25/2015 45,137,846.97 127,717.59 8.7487 8.8457 3.40%
124 4/25/2015 43,945,054.33 94,128.49 8.7666 8.8552 2.57%
125 5/25/2015 42,783,391.27 102,261.27 8.7830 8.8631 2.87%
126 6/25/2015 41,652,048.28 90,724.28 8.7943 8.8719 2.61%
127 7/25/2015 40,550,236.93 99,463.59 8.7745 8.8808 2.94%
128 8/25/2015 39,477,189.31 88,704.21 8.7831 8.8985 2.70%
129 9/25/2015 38,432,157.47 87,115.78 8.7993 8.9178 2.72%
130 10/25/2015 37,414,412.94 94,121.64 8.8151 8.9357 3.02%
131 11/25/2015 36,423,246.22 84,113.56 8.8319 8.9553 2.77%
132 12/25/2015 35,457,966.26 90,661.47 8.8494 8.9740 3.07%
133 1/25/2016 34,517,900.01 81,001.72 8.8761 8.9931 2.82%
134 2/25/2016 33,602,391.86 79,619.49 8.8950 9.0082 2.84%
135 3/25/2016 32,710,803.31 93,012.08 8.9103 9.0233 3.41%
136 4/25/2016 31,842,512.44 77,144.96 8.9274 9.0389 2.91%
137 5/25/2016 30,996,913.52 82,859.83 8.9433 9.0532 3.21%
138 6/25/2016 30,173,416.57 74,884.36 8.9589 9.0684 2.98%
139 7/25/2016 29,371,446.98 80,420.19 8.9665 9.0803 3.29%
140 8/25/2016 28,590,445.02 72,961.90 8.9815 9.0800 3.06%
141 9/25/2016 27,829,865.55 71,956.89 8.9980 9.0764 3.10%
142 10/25/2016 27,089,177.60 76,847.98 9.0138 9.0711 3.40%
143 11/25/2016 26,367,863.98 70,089.16 9.0300 9.0672 3.19%
144 12/25/2016 25,665,420.98 74,931.29 9.0309 9.0618 3.50%
145 1/25/2017 24,981,357.97 69,949.27 8.9636 9.0582 3.36%
146 2/25/2017 24,315,197.05 69,331.04 8.9606 9.0567 3.42%
147 3/25/2017 23,666,472.77 83,139.68 8.9727 9.0559 4.22%
148 4/25/2017 23,034,731.76 67,638.38 8.9884 9.0564 3.52%
149 5/25/2017 22,419,532.44 71,401.62 9.0021 9.0549 3.82%
150 6/25/2017 21,820,444.69 66,216.13 9.0063 9.0544 3.64%
151 7/25/2017 21,237,049.58 70,540.04 8.9563 9.0548 3.99%
152 8/25/2017 20,668,939.05 65,760.39 8.9561 9.0701 3.82%
153 9/25/2017 20,115,715.65 65,046.11 8.9692 9.0881 3.88%
154 10/25/2017 19,576,992.26 68,136.01 8.9822 9.1039 4.18%
155 11/25/2017 19,052,391.80 63,692.29 8.9963 9.1224 4.01%
156 12/25/2017 18,541,547.00 66,534.46 9.0122 9.1400 4.31%
157 1/25/2018 18,044,100.13 62,239.51 9.0429 9.1575 4.14%
158 2/25/2018 17,559,702.74 61,622.07 9.0604 9.1682 4.21%
159 3/25/2018 17,088,015.41 70,463.27 9.0723 9.1783 4.95%
160 4/25/2018 16,628,707.56 60,536.74 9.0872 9.1893 4.37%
161 5/25/2018 16,181,457.20 62,918.14 9.1003 9.1986 4.67%
162 6/25/2018 15,745,950.68 59,563.04 9.1116 9.2089 4.54%
163 7/25/2018 15,321,882.52 61,895.34 9.1075 9.2190 4.85%
164 8/25/2018 14,908,955.14 58,816.81 9.1176 9.2354 4.73%
165 9/25/2018 14,506,878.70 58,381.57 9.1311 9.2527 4.83%
166 10/25/2018 14,115,370.88 60,298.22 9.1441 9.2676 5.13%
167 11/25/2018 13,734,156.70 57,565.35 9.1582 9.2852 5.03%
168 12/25/2018 13,362,968.31 59,302.33 9.1735 9.3018 5.33%
169 1/25/2019 13,001,544.82 56,723.73 9.2008 9.3164 5.24%
170 2/25/2019 12,649,632.10 56,363.17 9.2175 9.3127 5.35%
171 3/25/2019 12,306,982.61 61,591.31 9.2293 9.3051 6.01%
172 4/25/2019 11,973,355.25 55,732.39 9.2441 9.2990 5.59%
173 5/25/2019 11,648,515.18 57,112.30 9.2567 9.2905 5.88%
174 6/25/2019 11,332,233.63 55,233.85 9.2558 9.2830 5.85%
175 7/25/2019 11,024,287.80 56,857.14 9.1807 9.2712 6.19%
176 8/25/2019 10,724,460.64 55,183.00 9.1739 9.2454 6.17%
177 9/25/2019 10,432,540.76 54,919.81 9.1857 9.2157 6.32%
178 10/25/2019 10,139,992.46 55,911.45 9.1974 9.1854 6.62%
179 11/25/2019 7,967,737.98 55,279.87 9.2090 9.1554 8.33%
180 12/25/2019 7,746,547.80 55,681.25 9.1900 9.1236 8.63%
181 1/25/2020 7,531,333.61 55,154.54 9.0296 9.0951 8.79%
182 2/25/2020 7,321,936.00 54,964.27 9.0021 9.0756 9.01%
183 3/25/2020 7,118,199.81 55,519.92 9.0092 9.0578 9.36%
184 4/25/2020 6,919,973.95 54,497.78 9.0195 9.0414 9.45%
185 5/25/2020 6,727,111.37 54,569.32 9.0279 9.0232 9.73%
186 6/25/2020 6,539,468.91 54,083.20 9.0188 9.0059 9.92%
187 7/25/2020 6,356,907.21 54,132.70 8.9168 8.9897 10.22%
188 8/25/2020 6,179,290.61 53,745.45 8.9006 8.9901 10.44%
189 9/25/2020 6,006,487.06 53,539.65 8.9077 8.9936 10.70%
190 10/25/2020 5,838,368.01 53,388.96 8.9151 8.9955 10.97%
191 11/25/2020 5,674,808.32 202,013.91 8.9233 8.9993 42.72%
192 12/25/2020 5,515,686.18 206,527.33 8.9274 9.0021 44.93%
193 1/25/2021 5,360,882.99 200,851.25 8.9169 9.0056 44.96%
194 2/25/2021 5,210,283.32 195,328.14 8.9206 9.0058 44.99%
195 3/25/2021 5,063,774.81 189,953.92 8.9264 9.0058 45.01%
196 4/25/2021 4,921,248.06 184,724.61 8.9352 9.0072 45.04%
197 5/25/2021 4,782,596.60 179,636.33 8.9421 9.0066 45.07%
198 6/25/2021 4,647,716.76 174,685.33 8.9448 9.0070 45.10%
199 7/25/2021 4,516,507.66 169,867.93 8.9200 9.0080 45.13%
200 8/25/2021 4,388,871.06 165,180.56 8.9206 9.0196 45.16%
201 9/25/2021 4,264,711.35 160,619.75 8.9276 9.0330 45.20%
202 10/25/2021 4,143,935.46 156,182.11 8.9343 9.0443 45.23%
203 11/25/2021 4,026,452.79 151,864.36 8.9421 9.0583 45.26%
204 12/25/2021 3,912,175.14 147,663.31 8.9531 9.0713 45.29%
205 1/25/2022 3,801,016.67 143,575.80 8.9853 9.0840 45.33%
206 2/25/2022 3,692,893.80 139,598.81 8.9981 9.0893 45.36%
207 3/25/2022 3,587,725.18 135,729.38 9.0040 9.0935 45.40%
208 4/25/2022 3,485,431.63 131,964.65 9.0128 9.0990 45.43%
209 5/25/2022 3,385,936.05 128,301.80 9.0197 9.1026 45.47%
210 6/25/2022 3,289,163.42 124,738.14 9.0252 9.1073 45.51%
211 7/25/2022 3,195,040.70 121,270.97 9.0178 9.1122 45.55%
212 8/25/2022 3,103,496.79 117,897.73 9.0224 9.1256 45.59%
213 9/25/2022 3,014,462.47 114,615.91 9.0297 9.1403 45.63%
214 10/25/2022 2,927,870.38 111,423.05 9.0365 9.1529 45.67%
215 11/25/2022 2,843,654.94 108,316.78 9.0445 9.1681 45.71%
216 12/25/2022 2,761,752.32 105,294.80 9.0565 9.1824 45.75%
217 1/25/2023 2,682,100.39 102,354.81 9.0935 9.1962 45.79%
218 2/25/2023 2,604,638.66 99,494.63 9.1075 9.2006 45.84%
219 3/25/2023 2,529,308.25 96,712.13 9.1136 9.2035 45.88%
220 4/25/2023 2,456,051.86 94,005.23 9.1226 9.2078 45.93%
221 5/25/2023 2,384,813.70 91,371.89 9.1297 9.2101 45.98%
222 6/25/2023 2,315,539.48 88,810.16 9.1343 9.2134 46.02%
223 7/25/2023 2,248,176.34 86,318.11 9.1209 9.2156 46.07%
224 8/25/2023 2,182,672.83 83,893.87 9.1243 9.2195 46.12%
225 9/25/2023 2,118,978.87 81,535.61 9.1317 9.2230 46.17%
226 10/25/2023 2,057,045.73 79,241.59 9.1386 9.2253 46.23%
227 11/25/2023 1,996,825.94 77,010.06 9.1464 9.2292 46.28%
228 12/25/2023 1,938,273.34 74,839.36 9.1503 9.2320 46.33%
229 1/25/2024 1,881,342.97 72,727.85 9.1411 9.2342 46.39%
230 2/25/2024 1,825,991.06 70,673.94 9.1447 9.2265 46.45%
231 3/25/2024 1,772,175.03 68,676.09 9.1506 9.2169 46.50%
232 4/25/2024 1,719,853.42 66,732.79 9.1588 9.2083 46.56%
233 5/25/2024 1,668,985.89 64,842.58 9.1650 9.1980 46.62%
234 6/25/2024 1,619,533.15 63,004.02 9.1607 9.1887 46.68%
235 7/25/2024 1,571,456.97 61,215.74 9.0979 9.1762 46.75%
236 8/25/2024 1,524,720.15 59,470.80 9.0894 9.1545 46.81%
237 9/25/2024 1,479,292.06 57,748.12 9.0953 9.1299 46.85%
238 10/25/2024 1,435,162.82 56,044.00 9.1011 9.1048 46.86%
239 11/25/2024 1,392,326.15 54,380.39 9.1072 9.0803 46.87%
240 12/25/2024 1,350,753.50 52,830.77 9.0904 9.0542 46.93%
241 1/25/2025 1,310,342.59 51,323.65 8.9698 9.0288 47.00%
242 2/25/2025 1,271,061.94 49,857.88 8.9476 8.9984 47.07%
243 3/25/2025 1,232,880.93 48,432.33 8.9499 8.9661 47.14%
244 4/25/2025 1,195,769.74 47,045.94 8.9560 8.9364 47.21%
245 5/25/2025 1,159,699.35 45,697.64 8.9596 8.9040 47.29%
246 6/25/2025 1,124,641.53 44,386.38 8.9391 8.8726 47.36%
247 7/25/2025 1,090,568.77 43,111.22 8.7933 8.8419 47.44%
248 8/25/2025 1,057,454.34 41,871.15 8.7637 8.8270 47.52%
249 9/25/2025 1,025,272.18 40,665.23 8.7657 8.8149 47.60%
250 10/25/2025 993,996.97 39,492.54 8.7683 8.8021 47.68%
251 11/25/2025 963,604.03 38,352.18 8.7715 8.7904 47.76%
252 12/25/2025 934,069.35 37,243.28 8.7631 8.7775 47.85%
253 1/25/2026 905,369.58 36,164.99 8.7044 8.7652 47.93%
254 2/25/2026 877,481.97 35,116.49 8.6936 8.7494 48.02%
255 3/25/2026 850,384.40 34,096.98 8.6942 8.7327 48.12%
256 4/25/2026 824,055.32 33,105.66 8.6979 8.7180 48.21%
257 5/25/2026 798,473.79 32,141.76 8.6995 8.7010 48.30%
258 6/25/2026 773,619.38 31,204.57 8.6890 8.6850 48.40%
259 7/25/2026 749,472.26 30,293.35 8.6136 8.6695 48.50%
260 8/25/2026 726,013.11 29,407.40 8.5984 8.6660 48.61%
261 9/25/2026 703,223.10 28,546.04 8.5994 8.6645 48.71%
262 10/25/2026 681,083.96 27,708.60 8.6006 8.6618 48.82%
263 11/25/2026 659,577.86 26,894.43 8.6026 8.6607 48.93%
264 12/25/2026 638,687.48 26,102.90 8.6015 8.6587 49.04%
265 1/25/2027 618,395.94 25,333.41 8.5907 8.6567 49.16%
266 2/25/2027 598,686.84 24,585.34 8.5895 8.6486 49.28%
267 3/25/2027 579,544.19 23,858.13 8.5895 8.6395 49.40%
268 4/25/2027 560,952.46 23,151.21 8.5923 8.6320 49.53%
269 5/25/2027 542,896.51 22,464.02 8.5931 8.6226 49.65%
270 6/25/2027 525,361.62 21,796.03 8.5876 8.6140 49.79%
271 7/25/2027 508,333.47 21,146.71 8.5456 8.6053 49.92%
272 8/25/2027 491,798.11 20,515.58 8.5375 8.6029 50.06%
273 9/25/2027 475,741.98 19,902.11 8.5382 8.6013 50.20%
274 10/25/2027 460,151.88 19,305.85 8.5388 8.5989 50.35%
275 11/25/2027 445,014.95 18,726.32 8.5402 8.5977 50.50%
276 12/25/2027 430,318.70 18,163.06 8.5389 8.5956 50.65%
277 1/25/2028 416,050.95 17,615.63 8.5295 8.5946 50.81%
278 2/25/2028 402,199.89 17,083.60 8.5281 8.5936 50.97%
279 3/25/2028 388,753.97 16,566.55 8.5281 8.5932 51.14%
280 4/25/2028 375,702.01 16,064.08 8.5299 8.5937 51.31%
281 5/25/2028 363,033.08 15,575.78 8.5304 8.5928 51.49%
282 6/25/2028 350,736.58 15,101.28 8.5308 8.5929 51.67%
283 7/25/2028 338,802.18 14,640.18 8.5257 8.5928 51.85%
284 8/25/2028 327,219.83 14,192.13 8.5258 8.5982 52.05%
285 9/25/2028 315,979.76 13,756.77 8.5266 8.6042 52.24%
286 10/25/2028 305,072.45 13,333.76 8.5271 8.6086 52.45%
287 11/25/2028 294,488.65 12,922.75 8.5285 8.6151 52.66%
288 12/25/2028 284,219.35 12,523.42 8.5327 8.6207 52.88%
289 1/25/2029 274,255.79 12,135.45 8.5548 8.6259 53.10%
290 2/25/2029 264,589.45 11,758.52 8.5604 8.6233 53.33%
291 3/25/2029 255,212.02 11,392.35 8.5603 8.6194 53.57%
292 4/25/2029 246,115.43 11,036.62 8.5626 8.6169 53.81%
293 5/25/2029 237,291.84 10,691.05 8.5631 8.6126 54.07%
294 6/25/2029 228,733.61 10,355.37 8.5611 8.6092 54.33%
295 7/25/2029 220,433.30 10,025.32 8.5414 8.6061 54.58%
296 8/25/2029 212,387.66 9,708.77 8.5381 8.6121 54.85%
297 9/25/2029 204,585.52 9,401.31 8.5389 8.6193 55.14%
298 10/25/2029 197,020.05 9,102.69 8.5393 8.6251 55.44%
299 11/25/2029 189,684.59 8,810.71 8.5408 8.6329 55.74%
300 12/25/2029 182,574.61 8,529.13 8.5460 8.6399 56.06%
301 1/25/2030 175,681.80 8,255.67 8.5460 8.6399 56.39%
302 2/25/2030 169,000.03 7,990.11 8.5460 8.6399 56.73%
303 3/25/2030 162,523.34 7,732.23 8.5460 8.6399 57.09%
304 4/25/2030 156,245.93 7,481.83 8.5460 8.6399 57.46%
305 5/25/2030 150,162.18 7,238.69 8.5460 8.6399 57.85%
306 6/25/2030 144,266.58 7,002.62 8.5460 8.6399 58.25%
307 7/25/2030 138,553.82 6,773.41 8.5460 8.6399 58.66%
308 8/25/2030 133,018.69 6,550.88 8.5460 8.6399 59.10%
309 9/25/2030 127,656.14 6,334.85 8.5460 8.6399 59.55%
310 10/25/2030 122,461.27 6,125.13 8.5460 8.6399 60.02%
311 11/25/2030 117,429.31 5,921.55 8.5460 8.6399 60.51%
312 12/25/2030 112,555.59 5,723.94 8.5460 8.6399 61.03%
313 1/25/2031 107,835.61 5,532.13 8.5460 8.6399 61.56%
314 2/25/2031 103,264.97 5,345.97 8.5460 8.6399 62.12%
315 3/25/2031 98,839.39 5,165.29 8.5460 8.6399 62.71%
316 4/25/2031 94,554.72 4,989.94 8.5460 8.6399 63.33%
317 5/25/2031 90,406.90 4,819.77 8.5460 8.6399 63.97%
318 6/25/2031 86,392.01 4,654.65 8.5460 8.6399 64.65%
319 7/25/2031 82,506.22 4,494.42 8.5460 8.6399 65.37%
320 8/25/2031 78,745.81 4,338.95 8.5460 8.6399 66.12%
321 9/25/2031 75,107.15 4,188.12 8.5460 8.6399 66.91%
322 10/25/2031 71,586.74 4,041.78 8.5460 8.6399 67.75%
323 11/25/2031 68,181.14 3,899.82 8.5460 8.6399 68.64%
324 12/25/2031 64,887.04 3,762.10 8.5460 8.6399 69.58%
325 1/25/2032 61,701.18 3,628.52 8.5460 8.6399 70.57%
326 2/25/2032 58,620.44 3,498.96 8.5460 8.6399 71.63%
327 3/25/2032 55,641.73 3,373.30 8.5460 8.6399 72.75%
328 4/25/2032 52,762.10 3,251.43 8.5460 8.6399 73.95%
329 5/25/2032 49,978.64 3,133.25 8.5460 8.6399 75.23%
330 6/25/2032 47,288.53 3,018.65 8.5460 8.6399 76.60%
331 7/25/2032 44,689.05 2,907.54 8.5460 8.6399 78.07%
332 8/25/2032 42,177.54 2,799.81 8.5460 8.6399 79.66%
333 9/25/2032 39,751.39 2,695.36 8.5460 8.6399 81.37%
334 10/25/2032 37,408.11 2,594.11 8.5460 8.6399 83.22%
335 11/25/2032 35,145.24 2,495.97 8.5460 8.6399 85.22%
336 12/25/2032 32,960.41 2,400.84 8.5460 8.6399 87.41%
337 1/25/2033 30,851.31 2,308.65 8.5460 8.6399 89.80%
338 2/25/2033 28,815.68 2,219.30 8.5460 8.6399 92.42%
339 3/25/2033 26,851.34 2,132.72 8.5460 8.6399 95.31%
340 4/25/2033 24,956.18 2,048.83 8.5460 8.6399 98.52%
341 5/25/2033 23,128.11 1,967.55 8.5460 8.6399 102.09%
342 6/25/2033 21,365.15 1,888.80 8.5460 8.6399 106.09%
343 7/25/2033 19,665.33 1,812.52 8.5460 8.6399 110.60%
344 8/25/2033 18,026.75 1,738.64 8.5460 8.6399 115.74%
345 9/25/2033 16,447.59 1,667.08 8.5460 8.6399 121.63%
346 10/25/2033 14,926.03 1,597.78 8.5460 8.6399 128.46%
347 11/25/2033 13,460.35 1,530.68 8.5460 8.6399 136.46%
348 12/25/2033 12,048.85 1,443.43 8.5460 8.6399 143.76%
349 1/25/2034 10,712.16 1,381.48 8.5460 8.6399 154.76%
350 2/25/2034 9,425.57 1,321.51 8.5460 8.6399 168.25%
351 3/25/2034 8,187.55 1,263.47 8.5460 8.6399 185.18%
352 4/25/2034 6,996.62 1,207.30 8.5460 8.6399 207.07%
353 5/25/2034 5,851.32 1,152.94 8.5460 8.6399 236.45%
354 6/25/2034 4,750.26 1,100.21 8.5460 8.6399 277.93%
355 7/25/2034 3,692.21 1,048.55 8.5460 8.6399 340.79%
356 8/25/2034 2,676.48 997.3 8.5460 8.6399 447.14%
357 9/25/2034 1,703.04 949.22 8.5460 8.6399 668.84%
358 10/25/2034 769.1 776.15 8.5460 8.6399
Total
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
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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
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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
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and Xxxxxx Xxxxxxx does not purport that any such assumptions will reflect
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should conduct their own analysis, using such assumptions as they deem
appropriate, and should fully consider other available information in making a
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indicative of future results. Price and availability are subject to change
without notice.
Notwithstanding any other express or implied agreement, arrangement, or
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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
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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
2004-WMC3
----------------------------------------------------------------------------------------------------------------------------
Forward
----------------------------------------------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 1/25/2005 1,132,909,507.41 3,365,778.66 2.3300 2.6500 3.57%
2 2/25/2005 1,106,418,744.94 3,545,684.73 2.4110 2.7439 3.85%
3 3/25/2005 1,080,367,299.15 3,546,419.41 2.6174 2.8512 3.94%
4 4/25/2005 1,054,738,716.12 3,132,631.22 2.7015 2.9349 3.56%
5 5/25/2005 1,029,518,256.39 3,084,436.03 2.7779 3.0163 3.60%
6 6/25/2005 1,004,691,733.07 2,823,467.79 2.8999 3.0928 3.37%
7 7/25/2005 980,246,661.10 2,798,014.35 2.9600 3.1623 3.43%
8 8/25/2005 956,171,803.06 2,587,646.23 3.0303 3.2316 3.25%
9 9/25/2005 932,457,204.47 2,449,674.56 3.1278 3.2991 3.15%
10 10/25/2005 909,094,139.18 2,436,814.26 3.1851 3.3590 3.22%
11 11/25/2005 886,075,273.47 2,254,526.56 3.2328 3.4144 3.05%
12 12/25/2005 863,394,275.46 2,227,830.01 3.3133 3.4679 3.10%
13 1/25/2006 841,046,904.96 2,045,711.98 3.3705 3.5186 2.92%
14 2/25/2006 819,029,791.05 1,955,204.37 3.4257 3.5648 2.86%
15 3/25/2006 797,364,153.52 2,111,945.21 3.4960 3.6072 3.18%
16 4/25/2006 776,271,766.93 1,800,121.94 3.5099 3.6457 2.78%
17 5/25/2006 755,737,523.54 1,811,118.03 3.5470 3.6873 2.88%
18 6/25/2006 735,746,546.38 1,646,412.80 3.6100 3.7279 2.69%
19 7/25/2006 716,284,436.78 1,664,339.09 3.6415 3.7663 2.79%
20 8/25/2006 697,337,177.50 1,528,503.02 3.6697 3.8050 2.63%
21 9/25/2006 678,891,191.71 1,457,207.41 3.7269 3.8449 2.58%
22 10/25/2006 660,933,130.14 1,484,725.31 3.7569 3.8808 2.70%
23 11/25/2006 643,451,018.60 2,058,748.08 3.7869 3.9181 3.84%
24 12/25/2006 626,510,490.89 2,050,760.38 3.8385 3.9542 3.93%
25 1/25/2007 610,015,958.47 1,910,991.13 3.8697 3.9896 3.76%
26 2/25/2007 593,955,656.13 1,845,163.66 3.9027 4.0241 3.73%
27 3/25/2007 578,318,162.58 1,980,472.75 3.9492 4.0588 4.11%
28 4/25/2007 563,092,295.72 1,720,343.99 3.9742 4.0919 3.67%
29 5/25/2007 548,267,645.26 2,018,284.83 3.9989 4.1255 4.42%
30 6/25/2007 533,869,489.51 1,881,606.30 4.0447 4.1604 4.23%
31 7/25/2007 519,849,380.33 1,883,587.40 4.0729 4.1943 4.35%
32 8/25/2007 506,197,370.91 1,761,026.43 4.1020 4.2286 4.17%
33 9/25/2007 492,903,815.16 1,697,342.09 4.1462 4.2637 4.13%
34 10/25/2007 479,959,246.72 1,716,622.25 4.1740 4.2965 4.29%
35 11/25/2007 467,356,978.56 1,812,349.58 4.2045 4.3298 4.65%
36 12/25/2007 455,112,099.38 1,806,936.67 4.2461 4.3621 4.76%
37 1/25/2008 443,187,926.25 9,516,559.18 4.2747 4.3945 25.77%
38 2/25/2008 431,576,041.49 2,270,364.27 4.3063 4.4260 6.31%
39 3/25/2008 420,268,263.23 2,313,698.11 4.3457 4.4581 6.61%
40 4/25/2008 409,256,598.52 2,146,103.05 4.3688 4.4894 6.29%
41 5/25/2008 398,533,708.70 2,184,446.37 4.3953 4.5207 6.58%
42 6/25/2008 388,096,583.26 2,064,763.17 4.4346 4.5531 6.38%
43 7/25/2008 377,932,602.54 2,052,883.86 4.4611 4.5846 6.52%
44 8/25/2008 368,034,603.74 1,941,916.86 4.4913 4.6164 6.33%
45 9/25/2008 358,395,616.56 1,879,406.89 4.5300 4.6464 6.29%
46 10/25/2008 349,008,847.56 1,870,454.81 4.5551 4.6736 6.43%
47 11/25/2008 339,867,817.08 1,802,671.69 4.5852 4.7046 6.36%
48 12/25/2008 330,969,368.43 1,790,015.35 4.6222 4.7361 6.49%
49 1/25/2009 322,303,644.81 1,692,043.96 4.6475 4.7672 6.30%
50 2/25/2009 313,864,548.29 1,642,470.56 4.6660 4.7945 6.28%
51 3/25/2009 305,646,144.48 1,717,445.05 4.6991 4.8242 6.74%
52 4/25/2009 297,642,649.80 1,540,723.62 4.7348 4.8533 6.21%
53 5/25/2009 289,848,543.38 1,561,141.43 4.7705 4.8819 6.46%
54 6/25/2009 282,261,019.69 1,472,971.72 4.8019 4.9108 6.26%
55 7/25/2009 274,871,814.81 1,471,270.58 4.8081 4.9374 6.42%
56 8/25/2009 267,675,736.46 1,388,391.20 4.8360 4.9564 6.22%
57 9/25/2009 260,667,731.23 1,344,154.91 4.8708 4.9735 6.19%
58 10/25/2009 253,842,874.46 1,342,908.75 4.9050 4.9881 6.35%
59 11/25/2009 247,196,612.89 1,299,125.48 4.9394 5.0038 6.31%
60 12/25/2009 240,700,729.37 1,295,311.02 4.9603 5.0181 6.46%
61 1/25/2010 234,375,010.88 1,234,465.15 4.9195 5.0328 6.32%
62 2/25/2010 228,214,996.89 1,198,600.39 4.9352 5.0465 6.30%
63 3/25/2010 222,216,345.32 1,258,344.31 4.9636 5.0600 6.80%
64 4/25/2010 216,374,826.25 1,126,022.57 4.9947 5.0733 6.24%
65 5/25/2010 210,686,471.70 1,133,498.14 5.0250 5.0854 6.46%
66 6/25/2010 205,148,718.30 1,069,936.26 5.0438 5.0978 6.26%
67 7/25/2010 199,755,978.39 1,077,641.92 5.0001 5.1110 6.47%
68 8/25/2010 194,504,453.20 1,018,472.38 5.0122 5.1380 6.28%
69 9/25/2010 189,390,444.73 986,961.80 5.0400 5.1680 6.25%
70 10/25/2010 184,410,350.40 984,464.73 5.0675 5.1955 6.41%
71 11/25/2010 179,560,757.71 943,097.66 5.0959 5.2256 6.30%
72 12/25/2010 174,840,265.17 940,010.68 5.1242 5.2549 6.45%
73 1/25/2011 170,243,329.58 884,853.62 5.1569 5.2834 6.24%
74 2/25/2011 165,766,716.43 857,194.91 5.1864 5.3022 6.21%
75 3/25/2011 161,407,277.67 904,438.24 5.2125 5.3194 6.72%
76 4/25/2011 157,161,945.30 805,383.48 5.2408 5.3364 6.15%
77 5/25/2011 153,027,794.41 814,940.60 5.2682 5.3523 6.39%
78 6/25/2011 149,003,351.75 767,762.96 5.2885 5.3688 6.18%
79 7/25/2011 145,084,212.29 771,873.06 5.2679 5.3832 6.38%
80 8/25/2011 141,267,621.24 727,625.11 5.2841 5.3936 6.18%
81 9/25/2011 137,550,896.85 705,541.50 5.3105 5.4027 6.16%
82 10/25/2011 133,926,465.01 704,586.92 5.3365 5.4102 6.31%
83 11/25/2011 130,401,872.81 667,548.19 5.3628 5.4185 6.14%
84 12/25/2011 126,970,177.01 668,251.30 5.3757 5.4255 6.32%
85 1/25/2012 123,628,264.79 635,848.22 5.3280 5.4337 6.17%
86 2/25/2012 120,373,788.60 618,032.02 5.3365 5.4437 6.16%
87 3/25/2012 117,204,462.76 635,973.75 5.3587 5.4544 6.51%
88 4/25/2012 114,118,060.90 581,262.40 5.3830 5.4652 6.11%
89 5/25/2012 111,112,433.11 547,223.85 5.4062 5.4749 5.91%
90 6/25/2012 108,185,942.99 513,070.91 5.4209 5.4852 5.69%
91 7/25/2012 105,336,016.96 519,855.29 5.3878 5.4958 5.92%
92 8/25/2012 102,560,653.97 487,879.90 5.3979 5.5165 5.71%
93 9/25/2012 99,857,905.84 447,578.08 5.4200 5.5393 5.38%
94 10/25/2012 97,225,874.61 326,831.20 5.4418 5.5597 4.03%
95 11/25/2012 94,662,739.02 307,126.87 5.4644 5.5826 3.89%
96 12/25/2012 92,167,486.44 314,089.44 5.4860 5.6046 4.09%
97 1/25/2013 89,737,509.12 290,070.40 5.5076 5.6266 3.88%
98 2/25/2013 87,371,101.91 281,909.27 5.5299 5.6431 3.87%
99 3/25/2013 85,066,604.96 317,507.17 5.5500 5.6590 4.48%
100 4/25/2013 82,822,400.72 266,679.90 5.5727 5.6753 3.86%
101 5/25/2013 80,636,942.60 277,789.51 5.5943 5.6902 4.13%
102 6/25/2013 78,509,369.46 257,085.52 5.6120 5.7061 3.93%
103 7/25/2013 76,437,451.18 264,743.24 5.6051 5.7216 4.16%
104 8/25/2013 74,419,734.68 245,340.83 5.6206 5.7431 3.96%
105 9/25/2013 72,454,805.33 238,708.35 5.6421 5.7656 3.95%
106 10/25/2013 70,541,284.75 244,211.67 5.6630 5.7857 4.15%
107 11/25/2013 68,677,854.05 230,274.25 5.6848 5.8083 4.02%
108 12/25/2013 66,863,845.92 235,295.43 5.7059 5.8300 4.22%
109 1/25/2014 65,097,290.70 217,803.87 5.7289 5.8501 4.01%
110 2/25/2014 63,376,950.04 211,872.73 5.7510 5.8552 4.01%
111 3/25/2014 61,701,618.44 237,572.80 5.7703 5.8569 4.62%
112 4/25/2014 60,070,121.15 200,800.93 5.7924 5.8595 4.01%
113 5/25/2014 58,481,327.80 207,021.28 5.8128 5.8602 4.25%
114 6/25/2014 56,934,362.92 192,521.56 5.8206 5.8617 4.06%
115 7/25/2014 55,427,876.81 200,202.36 5.7593 5.8609 4.33%
116 8/25/2014 53,960,813.55 186,768.90 5.7611 5.8575 4.15%
117 9/25/2014 52,532,144.78 181,982.01 5.7801 5.8529 4.16%
118 10/25/2014 51,140,941.45 185,801.90 5.7990 5.8468 4.36%
119 11/25/2014 49,786,226.24 172,357.46 5.8182 5.8416 4.15%
120 12/25/2014 48,467,150.93 176,668.42 5.8193 5.8350 4.37%
121 1/25/2015 47,182,607.55 168,062.74 5.7384 5.8313 4.27%
122 2/25/2015 45,931,695.42 164,689.79 5.7343 5.8372 4.30%
123 3/25/2015 44,713,537.32 182,276.44 5.7487 5.8457 4.89%
124 4/25/2015 43,527,279.00 156,744.80 5.7666 5.8552 4.32%
125 5/25/2015 42,372,089.60 160,184.61 5.7830 5.8631 4.54%
126 6/25/2015 41,247,237.17 149,850.68 5.7943 5.8719 4.36%
127 7/25/2015 40,151,849.02 153,680.46 5.7745 5.8808 4.59%
128 8/25/2015 39,085,156.70 144,035.14 5.7831 5.8985 4.42%
129 9/25/2015 38,046,411.99 140,628.50 5.7993 5.9178 4.44%
130 10/25/2015 37,034,885.88 143,201.39 5.8151 5.9357 4.64%
131 11/25/2015 36,049,878.15 135,911.73 5.8319 5.9553 4.52%
132 12/25/2015 35,090,983.15 138,176.90 5.8494 5.9740 4.73%
133 1/25/2016 34,157,216.91 129,385.77 5.8761 5.9931 4.55%
134 2/25/2016 33,247,924.21 126,362.15 5.8950 6.0082 4.56%
135 3/25/2016 32,362,467.18 133,512.87 5.9103 6.0233 4.95%
136 4/25/2016 31,500,224.14 120,786.91 5.9274 6.0389 4.60%
137 5/25/2016 30,660,600.47 124,360.77 5.9433 6.0532 4.87%
138 6/25/2016 29,843,266.61 117,030.98 5.9589 6.0684 4.71%
139 7/25/2016 29,047,363.67 119,040.58 5.9665 6.0803 4.92%
140 8/25/2016 28,272,333.00 112,172.37 5.9815 6.0800 4.76%
141 9/25/2016 27,517,630.66 109,756.79 5.9980 6.0764 4.79%
142 10/25/2016 26,782,726.63 111,444.91 6.0138 6.0711 4.99%
143 11/25/2016 26,067,107.69 105,378.56 6.0300 6.0672 4.85%
144 12/25/2016 25,370,301.80 107,158.42 6.0309 6.0618 5.07%
145 1/25/2017 24,691,784.10 102,599.50 5.9636 6.0582 4.99%
146 2/25/2017 24,031,077.87 100,733.92 5.9606 6.0567 5.03%
147 3/25/2017 23,387,718.77 108,673.04 5.9727 6.0559 5.58%
148 4/25/2017 22,761,254.60 96,644.52 5.9884 6.0564 5.10%
149 5/25/2017 22,151,243.80 97,672.97 6.0021 6.0549 5.29%
150 6/25/2017 21,557,232.88 92,812.30 6.0063 6.0544 5.17%
151 7/25/2017 20,978,831.04 94,689.12 5.9563 6.0548 5.42%
152 8/25/2017 20,415,631.32 90,194.19 5.9561 6.0701 5.30%
153 9/25/2017 19,867,237.35 88,448.68 5.9692 6.0881 5.34%
154 10/25/2017 19,333,263.04 89,345.35 5.9822 6.1039 5.55%
155 11/25/2017 18,813,335.59 85,767.80 5.9963 6.1224 5.47%
156 12/25/2017 18,307,207.83 86,521.54 6.0122 6.1400 5.67%
157 1/25/2018 17,814,394.37 82,400.99 6.0429 6.1575 5.55%
158 2/25/2018 17,334,548.05 80,860.06 6.0604 6.1682 5.60%
159 3/25/2018 16,867,330.82 85,820.92 6.0723 6.1783 6.11%
160 4/25/2018 16,412,413.25 78,026.87 6.0872 6.1893 5.70%
161 5/25/2018 15,969,479.54 79,245.64 6.1003 6.1986 5.95%
162 6/25/2018 15,538,331.45 75,959.32 6.1116 6.2089 5.87%
163 7/25/2018 15,118,539.18 76,619.07 6.1075 6.2190 6.08%
164 8/25/2018 14,709,806.56 73,579.63 6.1176 6.2354 6.00%
165 9/25/2018 14,311,845.26 72,359.71 6.1311 6.2527 6.07%
166 10/25/2018 13,924,374.27 72,791.62 6.1441 6.2676 6.27%
167 11/25/2018 13,547,123.91 70,635.87 6.1582 6.2852 6.26%
168 12/25/2018 13,179,940.59 70,955.57 6.1735 6.3018 6.46%
169 1/25/2019 12,822,441.68 68,334.49 6.2008 6.3164 6.40%
170 2/25/2019 12,474,374.56 67,271.95 6.2175 6.3127 6.47%
171 3/25/2019 12,135,493.29 70,054.63 6.2293 6.3051 6.93%
172 4/25/2019 11,805,558.19 65,296.40 6.2441 6.2990 6.64%
173 5/25/2019 11,484,337.22 65,525.71 6.2567 6.2905 6.85%
174 6/25/2019 11,171,607.85 63,542.52 6.2558 6.2830 6.83%
175 7/25/2019 10,867,142.14 64,059.88 6.1807 6.2712 7.07%
176 8/25/2019 10,570,724.46 62,259.21 6.1739 6.2454 7.07%
177 9/25/2019 10,282,144.73 61,410.90 6.1857 6.2157 7.17%
178 10/25/2019 9,992,868.64 61,389.88 6.1974 6.1854 7.37%
179 11/25/2019 7,823,815.50 55,073.47 6.2090 6.1554 8.45%
180 12/25/2019 7,605,623.85 54,872.69 6.1900 6.1236 8.66%
181 1/25/2020 7,393,351.59 54,139.52 6.0296 6.0951 8.79%
182 2/25/2020 7,186,840.28 53,568.18 6.0021 6.0756 8.94%
183 3/25/2020 6,985,935.60 53,465.18 6.0092 6.0578 9.18%
184 4/25/2020 6,790,487.52 52,358.07 6.0195 6.0414 9.25%
185 5/25/2020 6,600,345.15 51,447.68 6.0279 6.0232 9.35%
186 6/25/2020 6,415,253.33 50,750.13 6.0188 6.0059 9.49%
187 7/25/2020 6,235,197.74 50,394.22 5.9168 5.9897 9.70%
188 8/25/2020 6,060,043.36 49,779.85 5.9006 5.9901 9.86%
189 9/25/2020 5,889,658.73 49,277.40 5.9077 5.9936 10.04%
190 10/25/2020 5,723,915.96 150,654.93 5.9151 5.9955 31.58%
191 11/25/2020 5,562,689.22 204,495.91 5.9233 5.9993 44.11%
192 12/25/2020 5,405,840.15 198,855.03 5.9274 6.0021 44.14%
193 1/25/2021 5,253,270.30 193,366.69 5.9169 6.0056 44.17%
194 2/25/2021 5,104,864.80 188,026.85 5.9206 6.0058 44.20%
195 3/25/2021 4,960,511.83 182,831.47 5.9264 6.0058 44.23%
196 4/25/2021 4,820,102.57 177,777.61 5.9352 6.0072 44.26%
197 5/25/2021 4,683,531.36 172,875.03 5.9421 6.0066 44.29%
198 6/25/2021 4,550,699.67 168,090.00 5.9448 6.0070 44.32%
199 7/25/2021 4,421,502.00 163,434.58 5.9200 6.0080 44.36%
200 8/25/2021 4,295,840.67 158,905.32 5.9206 6.0196 44.39%
201 9/25/2021 4,173,620.61 154,498.80 5.9276 6.0330 44.42%
202 10/25/2021 4,054,749.28 150,214.14 5.9343 6.0443 44.46%
203 11/25/2021 3,939,137.41 146,133.33 5.9421 6.0583 44.52%
204 12/25/2021 3,826,726.23 142,074.04 5.9531 6.0713 44.55%
205 1/25/2022 3,717,399.06 138,124.86 5.9853 6.0840 44.59%
206 2/25/2022 3,611,072.90 134,282.94 5.9981 6.0893 44.62%
207 3/25/2022 3,507,667.00 130,545.25 6.0040 6.0935 44.66%
208 4/25/2022 3,407,102.70 126,911.99 6.0128 6.0990 44.70%
209 5/25/2022 3,309,304.49 123,438.34 6.0197 6.1026 44.76%
210 6/25/2022 3,214,218.68 119,995.90 6.0252 6.1073 44.80%
211 7/25/2022 3,121,749.73 116,647.02 6.0178 6.1122 44.84%
212 8/25/2022 3,031,827.11 113,389.23 6.0224 6.1256 44.88%
213 9/25/2022 2,944,382.19 110,220.02 6.0297 6.1403 44.92%
214 10/25/2022 2,859,348.17 107,139.42 6.0365 6.1529 44.96%
215 11/25/2022 2,776,660.87 104,218.22 6.0445 6.1681 45.04%
216 12/25/2022 2,696,283.80 101,299.45 6.0565 6.1824 45.08%
217 1/25/2023 2,618,126.15 98,460.14 6.0935 6.1962 45.13%
218 2/25/2023 2,542,128.03 95,698.24 6.1075 6.2006 45.17%
219 3/25/2023 2,468,231.16 93,011.56 6.1136 6.2035 45.22%
220 4/25/2023 2,396,378.80 90,400.12 6.1226 6.2078 45.27%
221 5/25/2023 2,326,516.45 87,899.13 6.1297 6.2101 45.34%
222 6/25/2023 2,258,604.77 85,425.62 6.1343 6.2134 45.39%
223 7/25/2023 2,192,575.43 83,019.61 6.1209 6.2156 45.44%
224 8/25/2023 2,128,377.54 80,679.31 6.1243 6.2195 45.49%
225 9/25/2023 2,065,961.60 78,402.93 6.1317 6.2230 45.54%
226 10/25/2023 2,005,279.39 76,189.29 6.1386 6.2253 45.59%
227 11/25/2023 1,946,284.21 74,051.05 6.1464 6.2292 45.66%
228 12/25/2023 1,888,936.09 71,956.06 6.1503 6.2320 45.71%
229 1/25/2024 1,833,184.36 69,918.39 6.1411 6.2342 45.77%
230 2/25/2024 1,778,985.78 67,936.51 6.1447 6.2265 45.83%
231 3/25/2024 1,726,298.27 66,008.90 6.1506 6.2169 45.88%
232 4/25/2024 1,675,080.88 64,133.70 6.1588 6.2083 45.94%
233 5/25/2024 1,625,293.59 62,289.68 6.1650 6.1980 45.99%
234 6/25/2024 1,576,889.53 60,516.64 6.1607 6.1887 46.05%
235 7/25/2024 1,529,839.65 58,792.27 6.0979 6.1762 46.12%
236 8/25/2024 1,484,107.18 57,109.63 6.0894 6.1545 46.18%
237 9/25/2024 1,439,661.93 55,447.76 6.0953 6.1299 46.22%
238 10/25/2024 1,396,494.46 53,800.87 6.1011 6.1048 46.23%
239 11/25/2024 1,354,598.04 52,131.51 6.1072 6.0803 46.18%
240 12/25/2024 1,313,918.88 50,639.35 6.0904 6.0542 46.25%
241 1/25/2025 1,274,383.19 49,188.31 5.9698 6.0288 46.32%
242 2/25/2025 1,235,959.86 47,777.19 5.9476 5.9984 46.39%
243 3/25/2025 1,198,618.54 46,405.03 5.9499 5.9661 46.46%
244 4/25/2025 1,162,329.77 45,067.97 5.9560 5.9364 46.53%
245 5/25/2025 1,127,063.64 43,692.92 5.9596 5.9040 46.52%
246 6/25/2025 1,092,759.48 42,432.49 5.9391 5.8726 46.60%
247 7/25/2025 1,059,426.11 41,206.93 5.7933 5.8419 46.67%
248 8/25/2025 1,027,037.02 40,015.24 5.7637 5.8270 46.75%
249 9/25/2025 995,566.35 38,856.60 5.7657 5.8149 46.84%
250 10/25/2025 964,989.01 37,728.27 5.7683 5.8021 46.92%
251 11/25/2025 935,279.71 36,592.39 5.7715 5.7904 46.95%
252 12/25/2025 906,396.87 35,528.08 5.7631 5.7775 47.04%
253 1/25/2026 878,337.09 34,493.34 5.7044 5.7652 47.13%
254 2/25/2026 851,077.82 33,487.34 5.6936 5.7494 47.22%
255 3/25/2026 824,597.07 32,509.33 5.6942 5.7327 47.31%
256 4/25/2026 798,873.47 31,557.64 5.6979 5.7180 47.40%
257 5/25/2026 773,885.77 30,607.48 5.6995 5.7010 47.46%
258 6/25/2026 749,601.76 29,709.30 5.6890 5.6850 47.56%
259 7/25/2026 726,014.93 28,836.19 5.6136 5.6695 47.66%
260 8/25/2026 703,106.08 27,987.45 5.5984 5.6660 47.77%
261 9/25/2026 680,856.52 27,162.43 5.5994 5.6645 47.87%
262 10/25/2026 659,248.08 26,359.99 5.6006 5.6618 47.98%
263 11/25/2026 638,262.84 25,571.07 5.6026 5.6607 48.08%
264 12/25/2026 617,879.11 24,813.53 5.6015 5.6587 48.19%
265 1/25/2027 598,085.17 24,077.22 5.5907 5.6567 48.31%
266 2/25/2027 578,864.71 23,361.56 5.5895 5.6486 48.43%
267 3/25/2027 560,201.86 22,666.00 5.5895 5.6395 48.55%
268 4/25/2027 542,081.19 21,989.77 5.5923 5.6320 48.68%
269 5/25/2027 524,487.58 21,325.60 5.5931 5.6226 48.79%
270 6/25/2027 507,402.79 20,687.18 5.5876 5.6140 48.92%
271 7/25/2027 490,816.57 20,066.74 5.5456 5.6053 49.06%
272 8/25/2027 474,715.08 19,463.80 5.5375 5.6029 49.20%
273 9/25/2027 459,084.87 18,877.87 5.5382 5.6013 49.34%
274 10/25/2027 443,912.81 18,308.31 5.5388 5.5989 49.49%
275 11/25/2027 429,186.08 17,751.29 5.5402 5.5977 49.63%
276 12/25/2027 414,890.33 17,213.71 5.5389 5.5956 49.79%
277 1/25/2028 401,015.67 16,691.37 5.5295 5.5946 49.95%
278 2/25/2028 387,550.36 16,183.84 5.5281 5.5936 50.11%
279 3/25/2028 374,482.98 15,690.71 5.5281 5.5932 50.28%
280 4/25/2028 361,802.40 15,211.56 5.5299 5.5937 50.45%
281 5/25/2028 349,497.80 14,745.48 5.5304 5.5928 50.63%
282 6/25/2028 337,558.34 14,293.24 5.5308 5.5929 50.81%
283 7/25/2028 325,974.16 13,853.88 5.5257 5.5928 51.00%
284 8/25/2028 314,735.28 13,427.06 5.5258 5.5982 51.19%
285 9/25/2028 303,832.03 13,012.42 5.5266 5.6042 51.39%
286 10/25/2028 293,254.99 12,609.69 5.5271 5.6086 51.60%
287 11/25/2028 282,995.02 12,220.56 5.5285 5.6151 51.82%
288 12/25/2028 273,044.41 11,840.48 5.5327 5.6207 52.04%
289 1/25/2029 263,393.18 11,471.30 5.5548 5.6259 52.26%
290 2/25/2029 254,032.88 11,112.71 5.5604 5.6233 52.49%
291 3/25/2029 244,955.31 10,764.43 5.5603 5.6194 52.73%
292 4/25/2029 236,152.51 10,426.20 5.5626 5.6169 52.98%
293 5/25/2029 227,616.72 10,097.49 5.5631 5.6126 53.23%
294 6/25/2029 219,340.26 9,778.45 5.5611 5.6092 53.50%
295 7/25/2029 211,315.92 9,464.63 5.5414 5.6061 53.75%
296 8/25/2029 203,540.54 9,163.93 5.5381 5.6121 54.03%
297 9/25/2029 196,003.04 8,871.93 5.5389 5.6193 54.32%
298 10/25/2029 188,696.67 8,588.41 5.5393 5.6251 54.62%
299 11/25/2029 181,614.87 8,312.35 5.5408 5.6329 54.92%
300 12/25/2029 174,753.94 8,045.11 5.5460 5.6399 55.24%
301 1/25/2030 168,104.84 7,785.64 5.5460 5.6399 55.58%
302 2/25/2030 161,661.54 7,533.74 5.5460 5.6399 55.92%
303 3/25/2030 155,418.17 7,289.18 5.5460 5.6399 56.28%
304 4/25/2030 149,369.02 7,051.79 5.5460 5.6399 56.65%
305 5/25/2030 143,508.55 6,821.64 5.5460 5.6399 57.04%
306 6/25/2030 137,831.55 6,597.92 5.5460 5.6399 57.44%
307 7/25/2030 132,332.54 6,380.77 5.5460 5.6399 57.86%
308 8/25/2030 127,006.42 6,169.99 5.5460 5.6399 58.30%
309 9/25/2030 121,848.23 5,965.42 5.5460 5.6399 58.75%
310 10/25/2030 116,853.13 5,766.87 5.5460 5.6399 59.22%
311 11/25/2030 112,016.42 5,574.19 5.5460 5.6399 59.71%
312 12/25/2030 107,333.54 5,387.20 5.5460 5.6399 60.23%
313 1/25/2031 102,800.06 5,205.75 5.5460 5.6399 60.77%
314 2/25/2031 98,411.64 5,029.68 5.5460 5.6399 61.33%
315 3/25/2031 94,164.10 4,858.84 5.5460 5.6399 61.92%
316 4/25/2031 90,053.34 4,693.09 5.5460 5.6399 62.54%
317 5/25/2031 86,075.41 4,532.28 5.5460 5.6399 63.19%
318 6/25/2031 82,226.43 4,376.27 5.5460 5.6399 63.87%
319 7/25/2031 78,502.66 4,224.93 5.5460 5.6399 64.58%
320 8/25/2031 74,900.44 4,078.12 5.5460 5.6399 65.34%
321 9/25/2031 71,416.24 3,935.73 5.5460 5.6399 66.13%
322 10/25/2031 68,046.59 3,797.61 5.5460 5.6399 66.97%
323 11/25/2031 64,788.15 3,663.66 5.5460 5.6399 67.86%
324 12/25/2031 61,637.65 3,533.76 5.5460 5.6399 68.80%
325 1/25/2032 58,591.92 3,407.79 5.5460 5.6399 69.79%
326 2/25/2032 55,647.89 3,285.63 5.5460 5.6399 70.85%
327 3/25/2032 52,802.56 3,167.19 5.5460 5.6399 71.98%
328 4/25/2032 50,053.01 3,052.36 5.5460 5.6399 73.18%
329 5/25/2032 47,396.41 2,941.03 5.5460 5.6399 74.46%
330 6/25/2032 44,830.02 2,833.10 5.5460 5.6399 75.84%
331 7/25/2032 42,351.15 2,728.49 5.5460 5.6399 77.31%
332 8/25/2032 39,957.21 2,627.08 5.5460 5.6399 78.90%
333 9/25/2032 37,645.66 2,528.80 5.5460 5.6399 80.61%
334 10/25/2032 35,414.06 2,433.55 5.5460 5.6399 82.46%
335 11/25/2032 33,260.01 2,341.25 5.5460 5.6399 84.47%
336 12/25/2032 31,181.19 2,251.81 5.5460 5.6399 86.66%
337 1/25/2033 29,175.35 2,165.15 5.5460 5.6399 89.05%
338 2/25/2033 27,240.29 2,081.19 5.5460 5.6399 91.68%
339 3/25/2033 25,373.89 1,999.85 5.5460 5.6399 94.58%
340 4/25/2033 23,574.06 1,921.06 5.5460 5.6399 97.79%
341 5/25/2033 21,838.81 1,844.75 5.5460 5.6399 101.37%
342 6/25/2033 20,166.17 1,770.84 5.5460 5.6399 105.37%
343 7/25/2033 18,554.25 1,699.26 5.5460 5.6399 109.90%
344 8/25/2033 17,001.19 1,629.95 5.5460 5.6399 115.05%
345 9/25/2033 15,505.20 1,562.85 5.5460 5.6399 120.95%
346 10/25/2033 14,064.54 1,497.88 5.5460 5.6399 127.80%
347 11/25/2033 12,677.52 1,434.98 5.5460 5.6399 135.83%
348 12/25/2033 11,342.48 1,351.82 5.5460 5.6399 143.02%
349 1/25/2034 10,080.11 1,293.86 5.5460 5.6399 154.03%
350 2/25/2034 8,865.74 1,237.76 5.5460 5.6399 167.53%
351 3/25/2034 7,697.89 1,183.48 5.5460 5.6399 184.49%
352 4/25/2034 6,575.10 1,130.96 5.5460 5.6399 206.41%
353 5/25/2034 5,495.99 1,080.16 5.5460 5.6399 235.84%
354 6/25/2034 4,459.19 1,030.90 5.5460 5.6399 277.42%
355 7/25/2034 3,463.48 982.6 5.5460 5.6399 340.44%
356 8/25/2034 2,508.26 934.64 5.5460 5.6399 447.15%
357 9/25/2034 1,593.49 889.73 5.5460 5.6399 670.02%
358 10/25/2034 716.45 722.25 5.5460 5.6399
Total
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
2004-WMC3
----------------------------------------------------------------------------------------------------------------------------
Forward - 50
----------------------------------------------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 1/25/2005 1,132,909,507.41 3,365,778.66 2.3300 2.6500 3.57%
2 2/25/2005 1,106,418,744.94 4,007,913.83 1.9110 2.2439 4.35%
3 3/25/2005 1,080,367,299.15 3,953,785.54 2.1174 2.3512 4.39%
4 4/25/2005 1,054,738,716.12 3,572,502.44 2.2015 2.4349 4.06%
5 5/25/2005 1,029,518,237.82 3,499,546.33 2.2779 2.5163 4.08%
6 6/25/2005 1,004,691,686.52 3,241,716.36 2.3999 2.5928 3.87%
7 7/25/2005 980,246,585.82 3,192,584.65 2.4600 2.6623 3.91%
8 8/25/2005 956,171,700.55 2,985,013.98 2.5303 2.7316 3.75%
9 9/25/2005 932,457,076.20 2,836,836.52 2.6278 2.7991 3.65%
10 10/25/2005 909,093,986.55 2,801,480.85 2.6851 2.8590 3.70%
11 11/25/2005 886,075,057.22 2,621,463.97 2.7328 2.9144 3.55%
12 12/25/2005 863,393,999.54 2,573,441.95 2.8133 2.9679 3.58%
13 1/25/2006 841,046,568.91 2,393,249.52 2.8705 3.0186 3.41%
14 2/25/2006 819,029,398.13 2,293,274.09 2.9257 3.0648 3.36%
15 3/25/2006 797,363,706.86 2,408,843.43 2.9960 3.1072 3.63%
16 4/25/2006 776,271,269.54 2,119,535.07 3.0099 3.1457 3.28%
17 5/25/2006 755,736,943.55 2,111,668.02 3.0470 3.1873 3.35%
18 6/25/2006 735,745,888.63 1,948,413.31 3.1100 3.2279 3.18%
19 7/25/2006 716,283,705.83 1,948,485.07 3.1415 3.2663 3.26%
20 8/25/2006 697,336,377.50 1,814,000.00 3.1697 3.3050 3.12%
21 9/25/2006 678,890,326.64 1,734,778.63 3.2269 3.3449 3.07%
22 10/25/2006 660,932,203.84 1,745,740.53 3.2569 3.3808 3.17%
23 11/25/2006 643,450,037.54 2,311,285.92 3.2869 3.4181 4.31%
24 12/25/2006 626,509,458.65 2,288,038.81 3.3385 3.4542 4.38%
25 1/25/2007 610,014,878.45 2,149,685.28 3.3697 3.4896 4.23%
26 2/25/2007 593,954,531.41 2,077,207.81 3.4027 3.5241 4.20%
27 3/25/2007 578,316,996.14 2,183,313.79 3.4492 3.5588 4.53%
28 4/25/2007 563,091,090.40 1,939,077.98 3.4742 3.5919 4.13%
29 5/25/2007 548,266,342.27 2,192,787.16 3.4989 3.6255 4.80%
30 6/25/2007 533,867,789.41 2,058,155.08 3.5447 3.6604 4.63%
31 7/25/2007 519,847,304.02 2,048,393.38 3.5729 3.6943 4.73%
32 8/25/2007 506,194,938.37 1,927,734.31 3.6020 3.7286 4.57%
33 9/25/2007 492,901,044.16 1,859,328.12 3.6462 3.7637 4.53%
34 10/25/2007 479,956,155.82 1,866,741.73 3.6740 3.7965 4.67%
35 11/25/2007 467,353,451.16 1,867,806.84 3.7045 3.8298 4.80%
36 12/25/2007 455,095,994.07 1,854,807.04 3.7461 3.8621 4.89%
37 1/25/2008 443,159,873.75 9,570,903.51 3.7747 3.8945 25.92%
38 2/25/2008 431,536,648.95 2,324,713.86 3.8063 3.9260 6.46%
39 3/25/2008 420,218,106.26 2,355,696.32 3.8457 3.9581 6.73%
40 4/25/2008 409,196,240.06 2,196,108.27 3.8688 3.9894 6.44%
41 5/25/2008 398,463,474.57 2,222,779.89 3.8953 4.0207 6.69%
42 6/25/2008 388,016,683.96 2,107,261.26 3.9346 4.0531 6.52%
43 7/25/2008 377,843,563.92 2,089,393.30 3.9611 4.0846 6.64%
44 8/25/2008 367,936,931.56 1,982,374.64 3.9913 4.1164 6.47%
45 9/25/2008 358,289,797.44 1,918,877.04 4.0300 4.1464 6.43%
46 10/25/2008 348,895,349.14 1,904,375.93 4.0551 4.1736 6.55%
47 11/25/2008 339,747,098.65 1,840,109.94 4.0852 4.2046 6.50%
48 12/25/2008 330,842,130.26 1,822,200.42 4.1222 4.2361 6.61%
49 1/25/2009 322,170,286.55 1,727,688.60 4.1475 4.2672 6.44%
50 2/25/2009 313,725,453.83 1,677,249.91 4.1660 4.2945 6.42%
51 3/25/2009 305,501,682.73 1,739,331.30 4.1991 4.3242 6.83%
52 4/25/2009 297,493,174.80 1,573,834.47 4.2348 4.3533 6.35%
53 5/25/2009 289,694,403.24 1,589,591.62 4.2705 4.3819 6.58%
54 6/25/2009 282,102,763.22 1,504,453.13 4.3019 4.4108 6.40%
55 7/25/2009 274,709,742.18 1,498,370.41 4.3081 4.4374 6.55%
56 8/25/2009 267,510,135.51 1,418,364.69 4.3360 4.4564 6.36%
57 9/25/2009 260,498,878.16 1,373,404.26 4.3708 4.4735 6.33%
58 10/25/2009 253,671,033.88 1,367,925.79 4.4050 4.4881 6.47%
59 11/25/2009 247,022,013.23 1,325,996.05 4.4394 4.5038 6.44%
60 12/25/2009 240,521,361.48 1,318,349.33 4.4603 4.5181 6.58%
61 1/25/2010 234,191,221.03 1,260,023.86 4.4195 4.5328 6.46%
62 2/25/2010 228,027,117.18 1,223,530.86 4.4352 4.5465 6.44%
63 3/25/2010 222,024,694.29 1,273,866.37 4.4636 4.5600 6.88%
64 4/25/2010 216,179,709.20 1,149,623.26 4.4947 4.5733 6.38%
65 5/25/2010 210,488,167.18 1,153,700.24 4.5250 4.5854 6.58%
66 6/25/2010 204,947,600.93 1,092,357.88 4.5438 4.5978 6.40%
67 7/25/2010 199,552,312.00 1,096,863.25 4.5001 4.6110 6.60%
68 8/25/2010 194,298,490.36 1,039,796.99 4.5122 4.6380 6.42%
69 9/25/2010 189,182,427.19 1,007,765.07 4.5400 4.6680 6.39%
70 10/25/2010 184,200,509.38 1,002,104.24 4.5675 4.6955 6.53%
71 11/25/2010 179,349,289.48 961,939.45 4.5959 4.7256 6.44%
72 12/25/2010 174,627,422.18 956,078.45 4.6242 4.7549 6.57%
73 1/25/2011 170,029,312.07 902,792.21 4.6569 4.7834 6.37%
74 2/25/2011 165,551,715.63 874,698.31 4.6864 4.8022 6.34%
75 3/25/2011 161,191,476.24 915,091.93 4.7125 4.8194 6.81%
76 4/25/2011 156,945,517.43 822,046.44 4.7408 4.8364 6.29%
77 5/25/2011 152,810,910.62 829,003.88 4.7682 4.8523 6.51%
78 6/25/2011 148,786,257.86 783,467.46 4.7885 4.8688 6.32%
79 7/25/2011 144,867,053.86 785,260.25 4.7679 4.8832 6.50%
80 8/25/2011 141,050,536.84 742,574.18 4.7841 4.8936 6.32%
81 9/25/2011 137,334,018.35 720,128.42 4.8105 4.9027 6.29%
82 10/25/2011 133,709,917.72 717,034.84 4.8365 4.9102 6.44%
83 11/25/2011 130,185,777.71 681,420.33 4.8628 4.9185 6.28%
84 12/25/2011 126,754,693.12 680,093.15 4.8757 4.9255 6.44%
85 1/25/2012 123,413,496.62 649,041.60 4.8280 4.9337 6.31%
86 2/25/2012 120,159,835.18 630,902.68 4.8365 4.9437 6.30%
87 3/25/2012 116,991,417.86 645,404.14 4.8587 4.9544 6.62%
88 4/25/2012 113,906,013.18 593,515.55 4.8830 4.9652 6.25%
89 5/25/2012 110,901,467.55 557,754.87 4.9062 4.9749 6.04%
90 6/25/2012 107,976,171.47 524,796.76 4.9209 4.9852 5.83%
91 7/25/2012 105,127,512.09 529,878.00 4.8878 4.9958 6.05%
92 8/25/2012 102,353,484.11 499,034.55 4.8979 5.0165 5.85%
93 9/25/2012 99,652,135.25 446,612.93 4.9200 5.0393 5.38%
94 10/25/2012 97,021,563.60 336,317.36 4.9418 5.0597 4.16%
95 11/25/2012 94,459,945.79 317,583.94 4.9644 5.0826 4.03%
96 12/25/2012 91,966,316.07 323,000.00 4.9860 5.1046 4.21%
97 1/25/2013 89,538,007.88 299,914.14 5.0076 5.1266 4.02%
98 2/25/2013 87,173,312.82 291,457.45 5.0299 5.1431 4.01%
99 3/25/2013 84,870,567.98 323,355.65 5.0500 5.1590 4.57%
100 4/25/2013 82,628,152.80 275,657.16 5.0727 5.1753 4.00%
101 5/25/2013 80,444,519.54 285,400.23 5.0943 5.1902 4.26%
102 6/25/2013 78,318,845.94 265,502.69 5.1120 5.2061 4.07%
103 7/25/2013 76,248,853.30 271,878.16 5.1051 5.2216 4.28%
104 8/25/2013 74,233,086.14 253,235.67 5.1206 5.2431 4.09%
105 9/25/2013 72,270,127.54 246,333.65 5.1421 5.2656 4.09%
106 10/25/2013 70,358,596.88 250,660.58 5.1630 5.2857 4.28%
107 11/25/2013 68,497,174.53 237,401.84 5.1848 5.3083 4.16%
108 12/25/2013 66,685,229.24 241,310.69 5.2059 5.3300 4.34%
109 1/25/2014 64,920,747.57 224,475.14 5.2289 5.3501 4.15%
110 2/25/2014 63,202,489.42 218,324.01 5.2510 5.3552 4.15%
111 3/25/2014 61,529,247.64 241,382.68 5.2703 5.3569 4.71%
112 4/25/2014 59,899,845.86 206,827.19 5.2924 5.3595 4.14%
113 5/25/2014 58,313,152.94 212,072.27 5.3128 5.3602 4.36%
114 6/25/2014 56,768,305.56 198,131.35 5.3206 5.3617 4.19%
115 7/25/2014 55,263,937.39 204,885.76 5.2593 5.3609 4.45%
116 8/25/2014 53,798,991.19 191,979.66 5.2611 5.3575 4.28%
117 9/25/2014 52,372,437.41 187,007.12 5.2801 5.3529 4.28%
118 10/25/2014 50,983,345.82 189,986.40 5.2990 5.3468 4.47%
119 11/25/2014 49,630,737.88 177,027.03 5.3182 5.3416 4.28%
120 12/25/2014 48,313,760.12 180,541.44 5.3193 5.3350 4.48%
121 1/25/2015 47,031,308.16 172,376.14 5.2384 5.3313 4.40%
122 2/25/2015 45,782,480.34 168,836.12 5.2343 5.3372 4.43%
123 3/25/2015 44,566,398.53 184,546.80 5.2487 5.3457 4.97%
124 4/25/2015 43,382,207.62 160,562.27 5.2666 5.3552 4.44%
125 5/25/2015 42,229,076.01 163,312.25 5.2830 5.3631 4.64%
126 6/25/2015 41,106,275.06 153,363.44 5.2943 5.3719 4.48%
127 7/25/2015 40,012,926.94 156,540.41 5.2745 5.3808 4.69%
128 8/25/2015 38,948,262.55 147,255.47 5.2831 5.3985 4.54%
129 9/25/2015 37,911,533.01 143,710.42 5.2993 5.4178 4.55%
130 10/25/2015 36,902,008.74 145,688.95 5.3151 5.4357 4.74%
131 11/25/2015 35,918,989.40 138,712.82 5.3319 5.4553 4.63%
132 12/25/2015 34,962,083.04 140,418.51 5.3494 5.4740 4.82%
133 1/25/2016 34,030,289.59 131,934.44 5.3761 5.4931 4.65%
134 2/25/2016 33,122,953.41 128,788.80 5.3950 5.5082 4.67%
135 3/25/2016 32,239,436.24 135,035.01 5.4103 5.5233 5.03%
136 4/25/2016 31,379,116.05 122,977.30 5.4274 5.5389 4.70%
137 5/25/2016 30,541,398.36 126,060.06 5.4433 5.5532 4.95%
138 6/25/2016 29,725,965.66 118,986.34 5.4589 5.5684 4.80%
139 7/25/2016 28,931,945.11 120,541.74 5.4665 5.5803 5.00%
140 8/25/2016 28,158,777.83 113,913.20 5.4815 5.5800 4.85%
141 9/25/2016 27,405,919.66 111,394.72 5.4980 5.5764 4.88%
142 10/25/2016 26,672,840.43 112,669.27 5.5138 5.5711 5.07%
143 11/25/2016 25,959,026.86 106,816.72 5.5300 5.5672 4.94%
144 12/25/2016 25,264,008.15 108,196.78 5.5309 5.5618 5.14%
145 1/25/2017 24,587,257.71 103,829.62 5.4636 5.5582 5.07%
146 2/25/2017 23,928,298.70 101,871.56 5.4606 5.5567 5.11%
147 3/25/2017 23,286,666.70 108,930.34 5.4727 5.5559 5.61%
148 4/25/2017 22,661,909.45 97,606.82 5.4884 5.5564 5.17%
149 5/25/2017 22,053,585.27 98,305.51 5.5021 5.5549 5.35%
150 6/25/2017 21,461,239.57 93,606.05 5.5063 5.5544 5.23%
151 7/25/2017 20,884,482.72 95,168.13 5.4563 5.5548 5.47%
152 8/25/2017 20,322,907.72 90,822.72 5.4561 5.5701 5.36%
153 9/25/2017 19,776,118.19 89,000.63 5.4692 5.5881 5.40%
154 10/25/2017 19,243,728.07 89,616.98 5.4822 5.6039 5.59%
155 11/25/2017 18,725,364.68 86,167.52 5.4963 5.6224 5.52%
156 12/25/2017 18,220,785.70 86,659.68 5.5122 5.6400 5.71%
157 1/25/2018 17,729,500.53 82,661.82 5.5429 5.6575 5.59%
158 2/25/2018 17,251,162.05 81,052.50 5.5604 5.6682 5.64%
159 3/25/2018 16,785,432.31 85,437.09 5.5723 5.6783 6.11%
160 4/25/2018 16,331,981.94 78,088.70 5.5872 5.6893 5.74%
161 5/25/2018 15,890,495.43 79,082.89 5.6003 5.6986 5.97%
162 6/25/2018 15,460,778.96 75,892.34 5.6116 5.7089 5.89%
163 7/25/2018 15,042,398.01 76,346.40 5.6075 5.7190 6.09%
164 8/25/2018 14,635,056.54 73,392.84 5.6176 5.7354 6.02%
165 9/25/2018 14,238,466.33 72,116.10 5.6311 5.7527 6.08%
166 10/25/2018 13,852,346.53 72,364.83 5.6441 5.7676 6.27%
167 11/25/2018 13,476,427.73 70,277.99 5.6582 5.7852 6.26%
168 12/25/2018 13,110,560.53 70,428.32 5.6735 5.8018 6.45%
169 1/25/2019 12,754,357.97 67,873.46 5.7008 5.8164 6.39%
170 2/25/2019 12,407,567.62 66,760.95 5.7175 5.8127 6.46%
171 3/25/2019 12,069,943.69 69,189.45 5.7293 5.8051 6.88%
172 4/25/2019 11,741,246.68 64,688.66 5.7441 5.7990 6.61%
173 5/25/2019 11,421,244.79 64,778.82 5.7567 5.7905 6.81%
174 6/25/2019 11,109,715.79 62,841.69 5.7558 5.7830 6.79%
175 7/25/2019 10,806,431.73 63,226.95 5.6807 5.7712 7.02%
176 8/25/2019 10,511,177.14 61,465.24 5.6739 5.7454 7.02%
177 9/25/2019 10,223,742.15 60,574.77 5.6857 5.7157 7.11%
178 10/25/2019 9,935,592.62 60,438.76 5.6974 5.6854 7.30%
179 11/25/2019 7,767,647.92 53,343.30 5.7090 5.6554 8.24%
180 12/25/2019 7,550,542.67 53,085.65 5.6900 5.6236 8.44%
181 1/25/2020 7,339,339.50 52,363.32 5.5296 5.5951 8.56%
182 2/25/2020 7,133,880.17 51,772.78 5.5021 5.5756 8.71%
183 3/25/2020 6,934,010.53 51,597.74 5.5092 5.5578 8.93%
184 4/25/2020 6,739,580.72 50,529.17 5.5195 5.5414 9.00%
185 5/25/2020 6,550,439.93 49,585.89 5.5279 5.5232 9.08%
186 6/25/2020 6,366,329.97 48,893.44 5.5188 5.5059 9.22%
187 7/25/2020 6,187,240.29 48,501.27 5.4168 5.4897 9.41%
188 8/25/2020 6,013,036.03 47,887.11 5.4006 5.4901 9.56%
189 9/25/2020 5,843,585.91 47,370.00 5.4077 5.4936 9.73%
190 10/25/2020 5,678,762.22 192,974.67 5.4151 5.4955 40.78%
191 11/25/2020 5,518,439.27 201,479.90 5.4233 5.4993 43.81%
192 12/25/2020 5,362,478.44 195,912.34 5.4274 5.5021 43.84%
193 1/25/2021 5,210,781.97 190,495.59 5.4169 5.5056 43.87%
194 2/25/2021 5,063,235.17 185,225.63 5.4206 5.5058 43.90%
195 3/25/2021 4,919,726.39 180,098.47 5.4264 5.5058 43.93%
196 4/25/2021 4,780,146.98 175,111.21 5.4352 5.5072 43.96%
197 5/25/2021 4,644,391.48 170,273.33 5.4421 5.5066 43.99%
198 6/25/2021 4,512,361.64 165,551.80 5.4448 5.5070 44.03%
199 7/25/2021 4,383,952.02 160,958.38 5.4200 5.5080 44.06%
200 8/25/2021 4,259,065.10 156,489.65 5.4206 5.5196 44.09%
201 9/25/2021 4,137,605.99 152,142.22 5.4276 5.5330 44.12%
202 10/25/2021 4,019,482.34 147,915.20 5.4343 5.5443 44.16%
203 11/25/2021 3,904,605.06 143,888.70 5.4421 5.5583 44.22%
204 12/25/2021 3,792,916.17 139,884.46 5.4531 5.5713 44.26%
205 1/25/2022 3,684,298.50 135,989.03 5.4853 5.5840 44.29%
206 2/25/2022 3,578,669.21 132,199.58 5.4981 5.5893 44.33%
207 3/25/2022 3,475,947.72 128,513.12 5.5040 5.5935 44.37%
208 4/25/2022 3,376,055.57 124,929.79 5.5128 5.5990 44.41%
209 5/25/2022 3,278,917.42 121,503.50 5.5197 5.6026 44.47%
210 6/25/2022 3,184,480.15 118,108.76 5.5252 5.6073 44.51%
211 7/25/2022 3,092,647.95 114,806.46 5.5178 5.6122 44.55%
212 8/25/2022 3,003,350.46 111,594.13 5.5224 5.6256 44.59%
213 9/25/2022 2,916,519.22 108,469.30 5.5297 5.6403 44.63%
214 10/25/2022 2,832,087.60 105,431.96 5.5365 5.6529 44.67%
215 11/25/2022 2,749,991.59 102,551.24 5.5445 5.6681 44.75%
216 12/25/2022 2,670,195.33 99,673.80 5.5565 5.6824 44.79%
217 1/25/2023 2,592,607.67 96,874.85 5.5935 5.6962 44.84%
218 2/25/2023 2,517,168.88 94,152.34 5.6075 5.7006 44.88%
219 3/25/2023 2,443,820.86 91,504.11 5.6136 5.7035 44.93%
220 4/25/2023 2,372,507.02 88,930.16 5.6226 5.7078 44.98%
221 5/25/2023 2,303,173.03 86,464.82 5.6297 5.7101 45.05%
222 6/25/2023 2,235,779.91 84,027.10 5.6343 5.7134 45.10%
223 7/25/2023 2,170,259.27 81,656.03 5.6209 5.7156 45.15%
224 8/25/2023 2,106,560.37 79,349.83 5.6243 5.7195 45.20%
225 9/25/2023 2,044,633.86 77,106.73 5.6317 5.7230 45.25%
226 10/25/2023 1,984,431.68 74,925.56 5.6386 5.7253 45.31%
227 11/25/2023 1,925,907.27 72,818.65 5.6464 5.7292 45.37%
228 12/25/2023 1,869,020.90 70,754.62 5.6503 5.7320 45.43%
229 1/25/2024 1,813,721.95 68,747.17 5.6411 5.7342 45.48%
230 2/25/2024 1,759,967.35 66,794.78 5.6447 5.7265 45.54%
231 3/25/2024 1,707,715.16 64,895.96 5.6506 5.7169 45.60%
232 4/25/2024 1,656,924.56 63,048.86 5.6588 5.7083 45.66%
233 5/25/2024 1,607,555.67 61,232.76 5.6650 5.6980 45.71%
234 6/25/2024 1,559,561.70 59,486.46 5.6607 5.6887 45.77%
235 7/25/2024 1,512,913.81 57,788.19 5.5979 5.6762 45.84%
236 8/25/2024 1,467,575.39 56,131.03 5.5894 5.6545 45.90%
237 9/25/2024 1,423,516.36 54,494.01 5.5953 5.6299 45.94%
238 10/25/2024 1,380,727.42 52,871.43 5.6011 5.6048 45.95%
239 11/25/2024 1,339,201.96 51,227.36 5.6072 5.5803 45.90%
240 12/25/2024 1,298,886.14 49,758.26 5.5904 5.5542 45.97%
241 1/25/2025 1,259,706.52 48,329.72 5.4698 5.5288 46.04%
242 2/25/2025 1,221,632.09 46,940.56 5.4476 5.4984 46.11%
243 3/25/2025 1,184,632.66 45,589.82 5.4499 5.4661 46.18%
244 4/25/2025 1,148,678.87 44,273.75 5.4560 5.4364 46.25%
245 5/25/2025 1,113,740.93 42,921.14 5.4596 5.4040 46.25%
246 6/25/2025 1,079,758.12 41,680.56 5.4391 5.3726 46.32%
247 7/25/2025 1,046,739.57 40,474.37 5.2933 5.3419 46.40%
248 8/25/2025 1,014,658.89 39,301.59 5.2637 5.3270 46.48%
249 9/25/2025 983,490.33 38,161.39 5.2657 5.3149 46.56%
250 10/25/2025 953,208.90 37,051.11 5.2683 5.3021 46.64%
251 11/25/2025 923,789.44 35,933.89 5.2715 5.2904 46.68%
252 12/25/2025 895,190.39 34,886.69 5.2631 5.2775 46.77%
253 1/25/2026 867,408.57 33,868.64 5.2044 5.2652 46.85%
254 2/25/2026 840,421.49 32,878.93 5.1936 5.2494 46.95%
255 3/25/2026 814,207.28 31,916.82 5.1942 5.2327 47.04%
256 4/25/2026 788,744.66 30,980.67 5.1979 5.2180 47.13%
257 5/25/2026 764,012.49 30,046.34 5.1995 5.2010 47.19%
258 6/25/2026 739,978.65 29,162.91 5.1890 5.1850 47.29%
259 7/25/2026 716,636.73 28,304.19 5.1136 5.1695 47.40%
260 8/25/2026 693,967.63 27,469.48 5.0984 5.1660 47.50%
261 9/25/2026 671,952.76 26,658.16 5.0994 5.1645 47.61%
262 10/25/2026 650,574.03 25,869.10 5.1006 5.1618 47.72%
263 11/25/2026 629,813.60 25,093.48 5.1026 5.1607 47.81%
264 12/25/2026 609,649.91 24,348.64 5.1015 5.1587 47.93%
265 1/25/2027 590,071.29 23,624.73 5.0907 5.1567 48.04%
266 2/25/2027 571,061.53 22,921.17 5.0895 5.1486 48.17%
267 3/25/2027 552,604.85 22,237.40 5.0895 5.1395 48.29%
268 4/25/2027 534,685.89 21,572.69 5.0923 5.1320 48.42%
269 5/25/2027 517,289.62 20,919.95 5.0931 5.1226 48.53%
270 6/25/2027 500,397.89 20,292.48 5.0876 5.1140 48.66%
271 7/25/2027 484,000.53 19,682.72 5.0456 5.1053 48.80%
272 8/25/2027 468,083.77 19,090.19 5.0375 5.1029 48.94%
273 9/25/2027 452,634.22 18,514.42 5.0382 5.1013 49.08%
274 10/25/2027 437,638.86 17,954.77 5.0388 5.0989 49.23%
275 11/25/2027 423,084.92 17,407.52 5.0402 5.0977 49.37%
276 12/25/2027 408,958.15 16,879.37 5.0389 5.0956 49.53%
277 1/25/2028 395,248.71 16,366.21 5.0295 5.0946 49.69%
278 2/25/2028 381,944.94 15,867.63 5.0281 5.0936 49.85%
279 3/25/2028 369,035.47 15,383.24 5.0281 5.0932 50.02%
280 4/25/2028 356,509.27 14,912.62 5.0299 5.0937 50.20%
281 5/25/2028 344,355.57 14,454.86 5.0304 5.0928 50.37%
282 6/25/2028 332,563.61 14,010.72 5.0308 5.0929 50.56%
283 7/25/2028 321,123.58 13,579.27 5.0257 5.0928 50.74%
284 8/25/2028 310,025.57 13,160.15 5.0258 5.0982 50.94%
285 9/25/2028 299,259.98 12,753.02 5.0266 5.1042 51.14%
286 10/25/2028 288,817.45 12,357.61 5.0271 5.1086 51.34%
287 11/25/2028 278,688.89 11,975.55 5.0285 5.1151 51.57%
288 12/25/2028 268,866.66 11,602.43 5.0327 5.1207 51.78%
289 1/25/2029 259,340.83 11,240.03 5.0548 5.1259 52.01%
290 2/25/2029 250,103.03 10,888.06 5.0604 5.1233 52.24%
291 3/25/2029 241,145.10 10,546.23 5.0603 5.1194 52.48%
292 4/25/2029 232,459.15 10,214.28 5.0626 5.1169 52.73%
293 5/25/2029 224,037.46 9,891.71 5.0631 5.1126 52.98%
294 6/25/2029 215,872.43 9,578.63 5.0611 5.1092 53.25%
295 7/25/2029 207,956.88 9,270.64 5.0414 5.1061 53.50%
296 8/25/2029 200,287.71 8,975.61 5.0381 5.1121 53.78%
297 9/25/2029 192,853.90 8,689.14 5.0389 5.1193 54.07%
298 10/25/2029 185,648.74 8,411.01 5.0393 5.1251 54.37%
299 11/25/2029 178,665.73 8,140.15 5.0408 5.1329 54.67%
300 12/25/2029 171,901.20 7,878.03 5.0460 5.1399 54.99%
301 1/25/2030 165,346.18 7,623.55 5.0460 5.1399 55.33%
302 2/25/2030 158,994.68 7,376.50 5.0460 5.1399 55.67%
303 3/25/2030 152,840.88 7,136.67 5.0460 5.1399 56.03%
304 4/25/2030 146,879.11 6,903.90 5.0460 5.1399 56.40%
305 5/25/2030 141,103.88 6,678.23 5.0460 5.1399 56.79%
306 6/25/2030 135,510.03 6,458.88 5.0460 5.1399 57.20%
307 7/25/2030 130,092.11 6,245.99 5.0460 5.1399 57.61%
308 8/25/2030 124,845.08 6,039.36 5.0460 5.1399 58.05%
309 9/25/2030 119,764.00 5,838.83 5.0460 5.1399 58.50%
310 10/25/2030 114,844.09 5,644.23 5.0460 5.1399 58.98%
311 11/25/2030 110,080.69 5,455.38 5.0460 5.1399 59.47%
312 12/25/2030 105,469.28 5,272.13 5.0460 5.1399 59.98%
313 1/25/2031 101,005.45 5,094.32 5.0460 5.1399 60.52%
314 2/25/2031 96,684.93 4,921.79 5.0460 5.1399 61.09%
315 3/25/2031 92,503.54 4,754.40 5.0460 5.1399 61.68%
316 4/25/2031 88,457.26 4,592.01 5.0460 5.1399 62.29%
317 5/25/2031 84,542.13 4,434.47 5.0460 5.1399 62.94%
318 6/25/2031 80,754.35 4,281.64 5.0460 5.1399 63.62%
319 7/25/2031 77,090.18 4,133.40 5.0460 5.1399 64.34%
320 8/25/2031 73,546.02 3,989.61 5.0460 5.1399 65.10%
321 9/25/2031 70,118.35 3,850.15 5.0460 5.1399 65.89%
322 10/25/2031 66,803.75 3,714.90 5.0460 5.1399 66.73%
323 11/25/2031 63,598.91 3,583.73 5.0460 5.1399 67.62%
324 12/25/2031 60,500.59 3,456.53 5.0460 5.1399 68.56%
325 1/25/2032 57,505.65 3,333.19 5.0460 5.1399 69.56%
326 2/25/2032 54,611.05 3,213.61 5.0460 5.1399 70.61%
327 3/25/2032 51,813.82 3,097.66 5.0460 5.1399 71.74%
328 4/25/2032 49,111.07 2,985.25 5.0460 5.1399 72.94%
329 5/25/2032 46,500.00 2,876.28 5.0460 5.1399 74.23%
330 6/25/2032 43,977.89 2,770.65 5.0460 5.1399 75.60%
331 7/25/2032 41,542.10 2,668.27 5.0460 5.1399 77.08%
332 8/25/2032 39,190.04 2,569.04 5.0460 5.1399 78.66%
333 9/25/2032 36,919.22 2,472.87 5.0460 5.1399 80.38%
334 10/25/2032 34,727.21 2,379.67 5.0460 5.1399 82.23%
335 11/25/2032 32,611.64 2,289.37 5.0460 5.1399 84.24%
336 12/25/2032 30,570.22 2,201.87 5.0460 5.1399 86.43%
337 1/25/2033 28,600.71 2,117.10 5.0460 5.1399 88.83%
338 2/25/2033 26,700.96 2,034.98 5.0460 5.1399 91.46%
339 3/25/2033 24,868.84 1,955.43 5.0460 5.1399 94.36%
340 4/25/2033 23,102.32 1,878.37 5.0460 5.1399 97.57%
341 5/25/2033 21,399.41 1,803.75 5.0460 5.1399 101.15%
342 6/25/2033 19,758.16 1,731.48 5.0460 5.1399 105.16%
343 7/25/2033 18,176.71 1,661.49 5.0460 5.1399 109.69%
344 8/25/2033 16,653.22 1,593.73 5.0460 5.1399 114.84%
345 9/25/2033 15,185.92 1,528.12 5.0460 5.1399 120.75%
346 10/25/2033 13,773.10 1,464.61 5.0460 5.1399 127.61%
347 11/25/2033 12,413.07 1,403.14 5.0460 5.1399 135.64%
348 12/25/2033 11,104.21 1,321.36 5.0460 5.1399 142.80%
349 1/25/2034 9,867.22 1,264.73 5.0460 5.1399 153.81%
350 2/25/2034 8,677.45 1,209.93 5.0460 5.1399 167.32%
351 3/25/2034 7,533.43 1,156.91 5.0460 5.1399 184.28%
352 4/25/2034 6,433.74 1,105.62 5.0460 5.1399 206.22%
353 5/25/2034 5,376.99 1,056.01 5.0460 5.1399 235.67%
354 6/25/2034 4,361.84 1,007.91 5.0460 5.1399 277.29%
355 7/25/2034 3,387.10 960.72 5.0460 5.1399 340.37%
356 8/25/2034 2,452.16 913.86 5.0460 5.1399 447.21%
357 9/25/2034 1,557.01 870.01 5.0460 5.1399 670.52%
358 10/25/2034 698.93 704.38 5.0460 5.1399
Total
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
2004-WMC3
----------------------------------------------------------------------------------------------------------------------------
Forward + 100
----------------------------------------------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 1/25/2005 1,132,909,507.41 3,365,778.66 2.3300 2.6500 3.57%
2 2/25/2005 1,106,418,744.94 2,621,226.52 3.4110 3.7439 2.84%
3 3/25/2005 1,080,367,299.15 2,731,687.13 3.6174 3.8512 3.03%
4 4/25/2005 1,054,738,716.12 2,252,675.26 3.7015 3.9349 2.56%
5 5/25/2005 1,029,518,256.39 2,253,927.73 3.7779 4.0163 2.63%
6 6/25/2005 1,004,691,739.99 1,986,651.55 3.8999 4.0928 2.37%
7 7/25/2005 980,246,674.59 2,008,563.30 3.9600 4.1623 2.46%
8 8/25/2005 956,171,822.77 1,792,608.69 4.0303 4.2316 2.25%
9 9/25/2005 932,457,230.07 1,675,056.79 4.1278 4.2991 2.16%
10 10/25/2005 909,094,170.36 1,707,078.80 4.1851 4.3590 2.25%
11 11/25/2005 886,075,370.90 1,520,323.85 4.2328 4.4144 2.06%
12 12/25/2005 863,394,443.95 1,536,244.48 4.3133 4.4679 2.14%
13 1/25/2006 841,047,143.78 1,350,285.01 4.3705 4.5186 1.93%
14 2/25/2006 819,030,096.53 1,278,722.53 4.4257 4.5648 1.87%
15 3/25/2006 797,364,522.11 1,519,173.38 4.4960 4.6072 2.29%
16 4/25/2006 776,272,195.21 1,162,697.18 4.5099 4.6457 1.80%
17 5/25/2006 755,738,045.51 1,212,548.13 4.5470 4.6873 1.93%
18 6/25/2006 735,747,156.90 1,047,181.66 4.6100 4.7279 1.71%
19 7/25/2006 716,285,136.65 1,101,656.90 4.6415 4.7663 1.85%
20 8/25/2006 697,337,961.84 964,254.42 4.6697 4.8050 1.66%
21 9/25/2006 678,892,055.81 910,691.45 4.7269 4.8449 1.61%
22 10/25/2006 660,934,069.48 970,781.15 4.7569 4.8808 1.76%
23 11/25/2006 643,452,073.55 1,534,795.73 4.7869 4.9181 2.86%
24 12/25/2006 626,511,654.66 1,557,836.50 4.8385 4.9542 2.98%
25 1/25/2007 610,017,224.67 1,415,731.78 4.8697 4.9896 2.78%
26 2/25/2007 593,957,018.89 1,363,686.85 4.9027 5.0241 2.76%
27 3/25/2007 578,319,616.27 1,557,871.59 4.9492 5.0588 3.23%
28 4/25/2007 563,093,834.94 1,265,583.27 4.9742 5.0919 2.70%
29 5/25/2007 548,269,269.49 1,620,161.05 4.9989 5.1255 3.55%
30 6/25/2007 533,871,193.24 1,480,715.92 5.0447 5.1604 3.33%
31 7/25/2007 519,851,158.38 1,507,472.97 5.0729 5.1943 3.48%
32 8/25/2007 506,199,218.50 1,382,337.41 5.1020 5.2286 3.28%
33 9/25/2007 492,905,727.71 1,329,319.38 5.1462 5.2637 3.24%
34 10/25/2007 479,961,219.84 1,372,331.26 5.1740 5.2965 3.43%
35 11/25/2007 467,359,104.96 1,527,862.26 5.2045 5.3298 3.92%
36 12/25/2007 455,117,323.28 1,542,300.25 5.2461 5.3621 4.07%
37 1/25/2008 443,196,092.70 9,247,466.72 5.2747 5.3945 25.04%
38 2/25/2008 431,587,001.46 2,002,782.78 5.3063 5.4260 5.57%
39 3/25/2008 420,281,880.03 2,075,060.93 5.3457 5.4581 5.92%
40 4/25/2008 409,272,733.67 1,894,467.98 5.3688 5.4894 5.55%
41 5/25/2008 398,552,489.09 2,078,514.16 5.3953 5.5207 6.26%
42 6/25/2008 388,132,275.95 1,951,290.75 5.4346 5.5531 6.03%
43 7/25/2008 377,984,362.79 1,952,128.54 5.4611 5.5846 6.20%
44 8/25/2008 368,101,618.09 1,834,099.83 5.4913 5.6164 5.98%
45 9/25/2008 358,477,110.86 1,774,273.68 5.5300 5.6464 5.94%
46 10/25/2008 349,104,067.14 1,779,449.31 5.5551 5.6736 6.12%
47 11/25/2008 339,976,293.87 1,726,471.16 5.5852 5.7046 6.09%
48 12/25/2008 331,092,252.66 1,724,336.86 5.6222 5.7361 6.25%
49 1/25/2009 322,440,162.88 1,619,483.09 5.6475 5.7672 6.03%
50 2/25/2009 314,013,955.80 1,571,664.66 5.6660 5.7945 6.01%
51 3/25/2009 305,807,724.78 1,672,422.30 5.6991 5.8242 6.56%
52 4/25/2009 297,815,713.83 1,473,356.92 5.7348 5.8533 5.94%
53 5/25/2009 290,032,418.72 1,503,561.25 5.7705 5.8819 6.22%
54 6/25/2009 282,454,714.23 1,409,348.52 5.8019 5.9108 5.99%
55 7/25/2009 275,074,736.07 1,416,411.43 5.8081 5.9374 6.18%
56 8/25/2009 267,887,314.94 1,327,802.82 5.8360 5.9564 5.95%
57 9/25/2009 260,887,419.37 1,285,026.01 5.8708 5.9735 5.91%
58 10/25/2009 254,070,146.41 1,292,066.51 5.9050 5.9881 6.10%
59 11/25/2009 247,430,987.28 1,243,484.66 5.9394 6.0038 6.03%
60 12/25/2009 240,945,594.90 1,247,371.16 5.9603 6.0181 6.21%
61 1/25/2010 234,629,710.03 1,181,525.19 5.9195 6.0328 6.04%
62 2/25/2010 228,478,897.90 1,146,956.71 5.9352 6.0465 6.02%
63 3/25/2010 222,488,841.15 1,225,546.00 5.9636 6.0600 6.61%
64 4/25/2010 216,655,334.05 1,077,050.87 5.9947 6.0733 5.97%
65 5/25/2010 210,974,447.40 1,092,287.60 6.0250 6.0854 6.21%
66 6/25/2010 205,443,569.01 1,024,303.69 6.0438 6.0978 5.98%
67 7/25/2010 200,057,191.60 1,038,416.04 6.0001 6.1110 6.23%
68 8/25/2010 194,811,537.22 975,055.32 6.0122 6.1380 6.01%
69 9/25/2010 189,702,927.86 944,601.77 6.0400 6.1680 5.98%
70 10/25/2010 184,727,780.45 948,328.36 6.0675 6.1955 6.16%
71 11/25/2010 179,882,733.79 903,253.58 6.0959 6.2256 6.03%
72 12/25/2010 175,166,130.66 905,766.37 6.1242 6.2549 6.21%
73 1/25/2011 170,572,698.47 846,920.15 6.1569 6.2834 5.96%
74 2/25/2011 166,099,219.15 820,182.09 6.1864 6.3022 5.93%
75 3/25/2011 161,742,560.34 881,173.29 6.2125 6.3194 6.54%
76 4/25/2011 157,499,669.45 770,399.24 6.2408 6.3364 5.87%
77 5/25/2011 153,367,659.11 786,028.48 6.2682 6.3523 6.15%
78 6/25/2011 149,344,992.94 735,584.26 6.2885 6.3688 5.91%
79 7/25/2011 145,427,337.06 744,342.55 6.2679 6.3832 6.14%
80 8/25/2011 141,611,949.81 696,995.39 6.2841 6.3936 5.91%
81 9/25/2011 137,896,162.04 675,644.56 6.3105 6.4027 5.88%
82 10/25/2011 134,272,411.88 678,989.45 6.3365 6.4102 6.07%
83 11/25/2011 130,748,255.25 639,340.17 6.3628 6.4185 5.87%
84 12/25/2011 127,316,705.07 644,113.30 6.3757 6.4255 6.07%
85 1/25/2012 123,974,721.22 609,009.50 6.3280 6.4337 5.89%
86 2/25/2012 120,719,966.58 591,846.37 6.3365 6.4437 5.88%
87 3/25/2012 117,550,165.45 616,681.27 6.3587 6.4544 6.30%
88 4/25/2012 114,463,101.16 556,328.03 6.3830 6.4652 5.83%
89 5/25/2012 111,456,630.83 525,763.38 6.4062 6.4749 5.66%
90 6/25/2012 108,529,067.56 489,226.82 6.4209 6.4852 5.41%
91 7/25/2012 105,677,911.76 499,423.74 6.3878 6.4958 5.67%
92 8/25/2012 102,901,170.60 465,189.75 6.3979 6.5165 5.42%
93 9/25/2012 100,196,903.70 445,001.25 6.4200 6.5393 5.33%
94 10/25/2012 97,563,220.78 307,570.33 6.4418 6.5597 3.78%
95 11/25/2012 94,998,304.00 285,901.31 6.4644 6.5826 3.61%
96 12/25/2012 92,501,050.87 295,966.08 6.4860 6.6046 3.84%
97 1/25/2013 90,068,967.04 270,085.63 6.5076 6.6266 3.60%
98 2/25/2013 87,700,353.64 262,522.52 6.5299 6.6431 3.59%
99 3/25/2013 85,393,556.80 305,533.32 6.5500 6.6590 4.29%
100 4/25/2013 83,146,964.84 248,434.20 6.5727 6.6753 3.59%
101 5/25/2013 80,959,031.69 262,238.94 6.5943 6.6902 3.89%
102 6/25/2013 78,828,819.64 239,927.45 6.6120 6.7061 3.65%
103 7/25/2013 76,754,195.87 250,158.61 6.6051 6.7216 3.91%
104 8/25/2013 74,733,712.04 229,241.19 6.6206 6.7431 3.68%
105 9/25/2013 72,765,958.04 223,133.04 6.6421 6.7656 3.68%
106 10/25/2013 70,849,559.89 231,002.22 6.6630 6.7857 3.91%
107 11/25/2013 68,983,198.62 215,646.02 6.6848 6.8083 3.75%
108 12/25/2013 67,166,132.56 222,904.16 6.7059 6.8300 3.98%
109 1/25/2014 65,396,483.44 204,106.83 6.7289 6.8501 3.75%
110 2/25/2014 63,673,016.44 198,622.74 6.7510 6.8552 3.74%
111 3/25/2014 61,994,529.12 229,623.44 6.7703 6.8569 4.44%
112 4/25/2014 60,359,850.23 188,410.35 6.7924 6.8595 3.75%
113 5/25/2014 58,767,850.02 196,556.64 6.8128 6.8602 4.01%
114 6/25/2014 57,217,626.43 180,944.15 6.8206 6.8617 3.79%
115 7/25/2014 55,707,866.52 190,486.75 6.7593 6.8609 4.10%
116 8/25/2014 54,237,516.97 176,003.58 6.7611 6.8575 3.89%
117 9/25/2014 52,805,551.93 171,596.74 6.7801 6.8529 3.90%
118 10/25/2014 51,411,044.75 177,110.86 6.7990 6.8468 4.13%
119 11/25/2014 50,053,020.72 162,712.40 6.8182 6.8416 3.90%
120 12/25/2014 48,730,643.15 168,626.94 6.8193 6.8350 4.15%
121 1/25/2015 47,442,795.87 159,141.22 6.7384 6.8313 4.03%
122 2/25/2015 46,188,580.22 156,109.40 6.7343 6.8372 4.06%
123 3/25/2015 44,967,120.90 177,462.52 6.7487 6.8457 4.74%
124 4/25/2015 43,777,565.43 148,832.69 6.7666 6.8552 4.08%
125 5/25/2015 42,619,084.49 153,651.92 6.7830 6.8631 4.33%
126 6/25/2015 41,490,938.53 142,551.25 6.7943 6.8719 4.12%
127 7/25/2015 40,392,266.40 147,696.03 6.7745 6.8808 4.39%
128 8/25/2015 39,322,301.13 137,332.40 6.7831 6.8985 4.19%
129 9/25/2015 38,280,295.77 134,209.31 6.7993 6.9178 4.21%
130 10/25/2015 37,265,522.75 137,975.65 6.8151 6.9357 4.44%
131 11/25/2015 36,277,281.38 130,009.89 6.8319 6.9553 4.30%
132 12/25/2015 35,315,133.12 133,405.35 6.8494 6.9740 4.53%
133 1/25/2016 34,378,133.02 124,004.55 6.8761 6.9931 4.33%
134 2/25/2016 33,465,626.84 121,231.51 6.8950 7.0082 4.35%
135 3/25/2016 32,576,977.43 130,205.24 6.9103 7.0233 4.80%
136 4/25/2016 31,711,564.15 116,137.20 6.9274 7.0389 4.39%
137 5/25/2016 30,868,791.32 120,391.84 6.9433 7.0532 4.68%
138 6/25/2016 30,048,256.87 112,561.74 6.9589 7.0684 4.50%
139 7/25/2016 29,249,181.84 115,497.89 6.9665 7.0803 4.74%
140 8/25/2016 28,471,008.07 108,161.09 6.9815 7.0800 4.56%
141 9/25/2016 27,713,191.96 105,965.67 6.9980 7.0764 4.59%
142 10/25/2016 26,975,204.02 108,496.45 7.0138 7.0711 4.83%
143 11/25/2016 26,256,530.93 101,971.02 7.0300 7.0672 4.66%
144 12/25/2016 25,556,691.56 104,565.19 7.0309 7.0618 4.91%
145 1/25/2017 24,875,171.84 99,631.89 6.9636 7.0582 4.81%
146 2/25/2017 24,211,495.30 97,964.84 6.9606 7.0567 4.86%
147 3/25/2017 23,565,197.85 107,687.28 6.9727 7.0559 5.48%
148 4/25/2017 22,935,827.48 94,253.17 6.9884 7.0564 4.93%
149 5/25/2017 22,322,942.96 95,987.93 7.0021 7.0549 5.16%
150 6/25/2017 21,726,098.27 90,812.75 7.0063 7.0544 5.02%
151 7/25/2017 21,144,894.82 93,332.03 6.9563 7.0548 5.30%
152 8/25/2017 20,578,925.76 88,545.65 6.9561 7.0701 5.16%
153 9/25/2017 20,027,794.78 86,963.95 6.9692 7.0881 5.21%
154 10/25/2017 19,491,115.90 88,432.85 6.9822 7.1039 5.44%
155 11/25/2017 18,968,515.81 84,462.56 6.9963 7.1224 5.34%
156 12/25/2017 18,459,712.62 85,756.16 7.0122 7.1400 5.57%
157 1/25/2018 17,964,258.18 81,401.24 7.0429 7.1575 5.44%
158 2/25/2018 17,481,805.20 80,009.53 7.0604 7.1682 5.49%
159 3/25/2018 17,012,015.46 86,143.64 7.0723 7.1783 6.08%
160 4/25/2018 16,554,559.50 77,460.18 7.0872 7.1893 5.61%
161 5/25/2018 16,109,120.57 78,998.83 7.1003 7.1986 5.88%
162 6/25/2018 15,675,465.85 75,534.23 7.1116 7.2089 5.78%
163 7/25/2018 15,253,202.58 76,623.04 7.1075 7.2190 6.03%
164 8/25/2018 14,842,034.36 73,423.10 7.1176 7.2354 5.94%
165 9/25/2018 14,441,672.53 72,332.30 7.1311 7.2527 6.01%
166 10/25/2018 14,051,835.91 73,139.46 7.1441 7.2676 6.25%
167 11/25/2018 13,672,252.83 70,598.78 7.1582 7.2852 6.20%
168 12/25/2018 13,302,714.78 71,280.41 7.1735 7.3018 6.43%
169 1/25/2019 12,942,898.25 68,545.17 7.2008 7.3164 6.36%
170 2/25/2019 12,592,550.25 67,602.11 7.2175 7.3127 6.44%
171 3/25/2019 12,251,424.34 71,118.68 7.2293 7.3051 6.97%
172 4/25/2019 11,919,280.51 65,854.40 7.2441 7.2990 6.63%
173 5/25/2019 11,595,885.52 66,361.72 7.2567 7.2905 6.87%
174 6/25/2019 11,281,012.87 64,302.64 7.2558 7.2830 6.84%
175 7/25/2019 10,974,438.84 65,102.99 7.1807 7.2712 7.12%
176 8/25/2019 10,675,947.35 63,239.92 7.1739 7.2454 7.11%
177 9/25/2019 10,385,327.95 62,492.91 7.1857 7.2157 7.22%
178 10/25/2019 10,094,045.88 62,728.85 7.1974 7.1854 7.46%
179 11/25/2019 7,923,021.98 58,234.52 7.2090 7.1554 8.82%
180 12/25/2019 7,702,950.94 58,157.29 7.1900 7.1236 9.06%
181 1/25/2020 7,488,828.43 57,407.02 7.0296 7.0951 9.20%
182 2/25/2020 7,280,495.75 56,882.16 7.0021 7.0756 9.38%
183 3/25/2020 7,077,798.37 56,934.43 7.0092 7.0578 9.65%
184 4/25/2020 6,880,585.86 55,756.44 7.0195 7.0414 9.72%
185 5/25/2020 6,688,707.73 55,038.78 7.0279 7.0232 9.87%
186 6/25/2020 6,501,939.61 54,332.94 7.0188 7.0059 10.03%
187 7/25/2020 6,320,233.27 54,053.85 6.9168 6.9897 10.26%
188 8/25/2020 6,143,453.49 53,440.99 6.9006 6.9901 10.44%
189 9/25/2020 5,971,468.61 52,971.33 6.9077 6.9936 10.64%
190 10/25/2020 5,804,150.45 75,716.16 6.9151 6.9955 15.65%
191 11/25/2020 5,641,373.12 210,224.82 6.9233 6.9993 44.72%
192 12/25/2020 5,483,002.43 204,445.23 6.9274 7.0021 44.74%
193 1/25/2021 5,328,934.83 198,821.48 6.9169 7.0056 44.77%
194 2/25/2021 5,179,055.20 193,349.41 6.9206 7.0058 44.80%
195 3/25/2021 5,033,251.50 188,024.95 6.9264 7.0058 44.83%
196 4/25/2021 4,891,414.66 182,845.02 6.9352 7.0072 44.86%
197 5/25/2021 4,753,438.74 177,816.95 6.9421 7.0066 44.89%
198 6/25/2021 4,619,223.84 172,911.84 6.9448 7.0070 44.92%
199 7/25/2021 4,488,665.45 168,139.18 6.9200 7.0080 44.95%
200 8/25/2021 4,361,665.63 163,495.45 6.9206 7.0196 44.98%
201 9/25/2021 4,238,129.07 158,977.20 6.9276 7.0330 45.01%
202 10/25/2021 4,117,962.97 154,583.31 6.9343 7.0443 45.05%
203 11/25/2021 4,001,077.70 150,380.30 6.9421 7.0583 45.10%
204 12/25/2021 3,887,406.94 146,217.25 6.9531 7.0713 45.14%
205 1/25/2022 3,776,841.60 142,166.79 6.9853 7.0840 45.17%
206 2/25/2022 3,669,298.41 138,225.92 6.9981 7.0893 45.21%
207 3/25/2022 3,564,696.31 134,391.71 7.0040 7.0935 45.24%
208 4/25/2022 3,462,956.41 130,664.05 7.0128 7.0990 45.28%
209 5/25/2022 3,364,002.79 127,086.67 7.0197 7.1026 45.33%
210 6/25/2022 3,267,776.06 123,554.60 7.0252 7.1073 45.37%
211 7/25/2022 3,174,186.31 120,118.22 7.0178 7.1122 45.41%
212 8/25/2022 3,083,162.72 116,774.99 7.0224 7.1256 45.45%
213 9/25/2022 2,994,636.40 113,522.41 7.0297 7.1403 45.49%
214 10/25/2022 2,908,540.25 110,360.29 7.0365 7.1529 45.53%
215 11/25/2022 2,824,809.72 107,345.00 7.0445 7.1681 45.60%
216 12/25/2022 2,743,401.08 104,348.88 7.0565 7.1824 45.64%
217 1/25/2023 2,664,230.76 101,434.08 7.0935 7.1962 45.69%
218 2/25/2023 2,587,238.57 98,598.44 7.1075 7.2006 45.73%
219 3/25/2023 2,512,365.92 95,839.83 7.1136 7.2035 45.78%
220 4/25/2023 2,439,555.82 93,157.90 7.1226 7.2078 45.82%
221 5/25/2023 2,368,753.34 90,579.89 7.1297 7.2101 45.89%
222 6/25/2023 2,299,914.94 88,039.62 7.1343 7.2134 45.94%
223 7/25/2023 2,232,976.33 85,568.46 7.1209 7.2156 45.98%
224 8/25/2023 2,167,886.36 83,164.56 7.1243 7.2195 46.03%
225 9/25/2023 2,104,595.24 80,826.11 7.1317 7.2230 46.09%
226 10/25/2023 2,043,054.48 78,551.68 7.1386 7.2253 46.14%
227 11/25/2023 1,983,217.03 76,347.80 7.1464 7.2292 46.20%
228 12/25/2023 1,925,039.99 74,195.22 7.1503 7.2320 46.25%
229 1/25/2024 1,868,475.34 72,101.34 7.1411 7.2342 46.31%
230 2/25/2024 1,813,479.57 70,064.59 7.1447 7.2265 46.36%
231 3/25/2024 1,760,010.35 68,083.45 7.1506 7.2169 46.42%
232 4/25/2024 1,708,026.45 66,156.15 7.1588 7.2083 46.48%
233 5/25/2024 1,657,487.67 64,268.15 7.1650 7.1980 46.53%
234 6/25/2024 1,608,350.01 62,445.24 7.1607 7.1887 46.59%
235 7/25/2024 1,560,580.80 60,672.20 7.0979 7.1762 46.65%
236 8/25/2024 1,514,143.02 58,942.09 7.0894 7.1545 46.71%
237 9/25/2024 1,469,006.26 57,233.86 7.0953 7.1299 46.75%
238 10/25/2024 1,425,160.83 55,541.93 7.1011 7.1048 46.77%
239 11/25/2024 1,382,599.90 53,840.36 7.1072 7.0803 46.73%
240 12/25/2024 1,341,275.82 52,304.96 7.0904 7.0542 46.80%
241 1/25/2025 1,301,107.69 50,811.71 6.9698 7.0288 46.86%
242 2/25/2025 1,262,064.17 49,359.45 6.9476 6.9984 46.93%
243 3/25/2025 1,224,114.76 47,947.08 6.9499 6.9661 47.00%
244 4/25/2025 1,187,229.78 46,570.92 6.9560 6.9364 47.07%
245 5/25/2025 1,151,379.24 45,165.94 6.9596 6.9040 47.07%
246 6/25/2025 1,116,507.75 43,868.05 6.9391 6.8726 47.15%
247 7/25/2025 1,082,617.99 42,605.92 6.7933 6.8419 47.23%
248 8/25/2025 1,049,683.25 41,378.58 6.7637 6.8270 47.30%
249 9/25/2025 1,017,677.53 40,185.09 6.7657 6.8149 47.38%
250 10/25/2025 986,575.55 39,022.85 6.7683 6.8021 47.46%
251 11/25/2025 956,351.94 37,852.54 6.7715 6.7904 47.50%
252 12/25/2025 926,965.40 36,755.88 6.7631 6.7775 47.58%
253 1/25/2026 898,411.80 35,689.57 6.7044 6.7652 47.67%
254 2/25/2026 870,668.40 34,652.76 6.6936 6.7494 47.76%
255 3/25/2026 843,713.07 33,644.68 6.6942 6.7327 47.85%
256 4/25/2026 817,524.27 32,663.67 6.6979 6.7180 47.95%
257 5/25/2026 792,080.67 31,683.84 6.6995 6.7010 48.00%
258 6/25/2026 767,350.05 30,757.74 6.6890 6.6850 48.10%
259 7/25/2026 743,325.52 29,857.37 6.6136 6.6695 48.20%
260 8/25/2026 719,987.73 28,982.02 6.5984 6.6660 48.30%
261 9/25/2026 697,317.85 28,131.03 6.5994 6.6645 48.41%
262 10/25/2026 675,297.57 27,303.27 6.6006 6.6618 48.52%
263 11/25/2026 653,908.83 26,489.21 6.6026 6.6607 48.61%
264 12/25/2026 633,129.85 25,707.54 6.6015 6.6587 48.72%
265 1/25/2027 612,948.71 24,947.69 6.5907 6.6567 48.84%
266 2/25/2027 593,348.95 24,209.06 6.5895 6.6486 48.96%
267 3/25/2027 574,314.58 23,491.08 6.5895 6.6395 49.08%
268 4/25/2027 555,830.05 22,792.99 6.5923 6.6320 49.21%
269 5/25/2027 537,880.08 22,107.14 6.5931 6.6226 49.32%
270 6/25/2027 520,446.34 21,447.90 6.5876 6.6140 49.45%
271 7/25/2027 503,518.42 20,807.15 6.5456 6.6053 49.59%
272 8/25/2027 487,082.36 20,184.39 6.5375 6.6029 49.73%
273 9/25/2027 471,124.58 19,579.12 6.5382 6.6013 49.87%
274 10/25/2027 455,631.84 18,990.70 6.5388 6.5989 50.02%
275 11/25/2027 440,591.18 18,415.09 6.5402 6.5977 50.16%
276 12/25/2027 425,988.16 17,859.56 6.5389 6.5956 50.31%
277 1/25/2028 411,812.74 17,319.70 6.5295 6.5946 50.47%
278 2/25/2028 398,053.08 16,795.07 6.5281 6.5936 50.63%
279 3/25/2028 384,697.63 16,285.27 6.5281 6.5932 50.80%
280 4/25/2028 371,735.17 15,789.86 6.5299 6.5937 50.97%
281 5/25/2028 359,154.76 15,307.89 6.5304 6.5928 51.15%
282 6/25/2028 346,945.45 14,840.17 6.5308 6.5929 51.33%
283 7/25/2028 335,097.26 14,385.72 6.5257 6.5928 51.52%
284 8/25/2028 323,600.13 13,944.17 6.5258 6.5982 51.71%
285 9/25/2028 312,444.27 13,515.18 6.5266 6.6042 51.91%
286 10/25/2028 301,620.15 13,098.44 6.5271 6.6086 52.11%
287 11/25/2028 291,118.53 12,695.75 6.5285 6.6151 52.33%
288 12/25/2028 280,931.63 12,302.34 6.5327 6.6207 52.55%
289 1/25/2029 271,049.33 11,920.16 6.5548 6.6259 52.77%
290 2/25/2029 261,463.11 11,548.91 6.5604 6.6233 53.00%
291 3/25/2029 252,164.67 11,188.27 6.5603 6.6194 53.24%
292 4/25/2029 243,145.94 10,837.97 6.5626 6.6169 53.49%
293 5/25/2029 234,399.07 10,497.51 6.5631 6.6126 53.74%
294 6/25/2029 225,916.31 10,167.01 6.5611 6.6092 54.00%
295 7/25/2029 217,690.33 9,842.02 6.5414 6.6061 54.25%
296 8/25/2029 209,717.91 9,530.42 6.5381 6.6121 54.53%
297 9/25/2029 201,987.86 9,227.80 6.5389 6.6193 54.82%
298 10/25/2029 194,493.34 8,933.93 6.5393 6.6251 55.12%
299 11/25/2029 187,227.73 8,647.82 6.5408 6.6329 55.43%
300 12/25/2029 180,187.25 8,370.74 6.5460 6.6399 55.75%
301 1/25/2030 173,362.76 8,101.68 6.5460 6.6399 56.08%
302 2/25/2030 166,748.15 7,840.43 6.5460 6.6399 56.42%
303 3/25/2030 160,337.47 7,586.75 6.5460 6.6399 56.78%
304 4/25/2030 154,124.93 7,340.48 6.5460 6.6399 57.15%
305 5/25/2030 148,104.92 7,101.68 6.5460 6.6399 57.54%
306 6/25/2030 142,272.15 6,869.52 6.5460 6.6399 57.94%
307 7/25/2030 136,621.07 6,644.14 6.5460 6.6399 58.36%
308 8/25/2030 131,146.51 6,425.35 6.5460 6.6399 58.79%
309 9/25/2030 125,843.42 6,212.96 6.5460 6.6399 59.24%
310 10/25/2030 120,706.90 6,006.80 6.5460 6.6399 59.72%
311 11/25/2030 115,732.19 5,806.70 6.5460 6.6399 60.21%
312 12/25/2030 110,914.66 5,612.49 6.5460 6.6399 60.72%
313 1/25/2031 106,249.78 5,424.00 6.5460 6.6399 61.26%
314 2/25/2031 101,733.19 5,241.07 6.5460 6.6399 61.82%
315 3/25/2031 97,360.61 5,063.55 6.5460 6.6399 62.41%
316 4/25/2031 93,127.90 4,891.29 6.5460 6.6399 63.03%
317 5/25/2031 89,031.03 4,724.14 6.5460 6.6399 63.67%
318 6/25/2031 85,066.07 4,561.95 6.5460 6.6399 64.35%
319 7/25/2031 81,229.22 4,404.59 6.5460 6.6399 65.07%
320 8/25/2031 77,516.75 4,251.93 6.5460 6.6399 65.82%
321 9/25/2031 73,925.07 4,103.83 6.5460 6.6399 66.62%
322 10/25/2031 70,450.67 3,960.16 6.5460 6.6399 67.45%
323 11/25/2031 67,090.14 3,820.80 6.5460 6.6399 68.34%
324 12/25/2031 63,840.15 3,685.63 6.5460 6.6399 69.28%
325 1/25/2032 60,697.50 3,554.53 6.5460 6.6399 70.27%
326 2/25/2032 57,659.04 3,427.39 6.5460 6.6399 71.33%
327 3/25/2032 54,721.72 3,304.09 6.5460 6.6399 72.46%
328 4/25/2032 51,882.58 3,184.52 6.5460 6.6399 73.66%
329 5/25/2032 49,138.74 3,068.59 6.5460 6.6399 74.94%
330 6/25/2032 46,487.40 2,956.18 6.5460 6.6399 76.31%
331 7/25/2032 43,925.83 2,847.20 6.5460 6.6399 77.78%
332 8/25/2032 41,451.38 2,741.56 6.5460 6.6399 79.37%
333 9/25/2032 39,061.48 2,639.14 6.5460 6.6399 81.08%
334 10/25/2032 36,753.63 2,539.88 6.5460 6.6399 82.93%
335 11/25/2032 34,525.38 2,443.66 6.5460 6.6399 84.93%
336 12/25/2032 32,374.39 2,350.42 6.5460 6.6399 87.12%
337 1/25/2033 30,298.34 2,260.06 6.5460 6.6399 89.51%
338 2/25/2033 28,295.01 2,172.50 6.5460 6.6399 92.14%
339 3/25/2033 26,362.21 2,087.67 6.5460 6.6399 95.03%
340 4/25/2033 24,497.84 2,005.47 6.5460 6.6399 98.24%
341 5/25/2033 22,699.85 1,925.85 6.5460 6.6399 101.81%
342 6/25/2033 20,966.23 1,848.72 6.5460 6.6399 105.81%
343 7/25/2033 19,295.05 1,774.02 6.5460 6.6399 110.33%
344 8/25/2033 17,684.42 1,701.66 6.5460 6.6399 115.47%
345 9/25/2033 16,132.52 1,631.60 6.5460 6.6399 121.36%
346 10/25/2033 14,637.56 1,563.75 6.5460 6.6399 128.20%
347 11/25/2033 13,197.80 1,498.07 6.5460 6.6399 136.21%
348 12/25/2033 11,811.58 1,412.19 6.5460 6.6399 143.47%
349 1/25/2034 10,499.53 1,351.59 6.5460 6.6399 154.47%
350 2/25/2034 9,236.95 1,292.93 6.5460 6.6399 167.97%
351 3/25/2034 8,022.33 1,236.16 6.5460 6.6399 184.91%
352 4/25/2034 6,854.18 1,181.23 6.5460 6.6399 206.80%
353 5/25/2034 5,731.08 1,128.08 6.5460 6.6399 236.20%
354 6/25/2034 4,651.63 1,076.53 6.5460 6.6399 277.72%
355 7/25/2034 3,614.60 1,026.01 6.5460 6.6399 340.62%
356 8/25/2034 2,619.32 975.88 6.5460 6.6399 447.08%
357 9/25/2034 1,665.78 928.88 6.5460 6.6399 669.15%
358 10/25/2034 751.19 757.76 6.5460 6.6399
Total
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,
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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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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
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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
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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
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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
2004-WMC3
----------------------------------------------------------------------------------------------------------------------------
Forward + 150
----------------------------------------------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 1/25/2005 1,132,909,507.41 3,365,778.66 2.3300 2.6500 3.57%
2 2/25/2005 1,106,418,744.94 2,158,997.42 3.9110 4.2439 2.34%
3 3/25/2005 1,080,367,299.15 2,324,321.00 4.1174 4.3512 2.58%
4 4/25/2005 1,054,738,716.12 1,812,697.28 4.2015 4.4349 2.06%
5 5/25/2005 1,029,518,256.39 1,838,651.11 4.2779 4.5163 2.14%
6 6/25/2005 1,004,691,739.99 1,568,221.57 4.3999 4.5928 1.87%
7 7/25/2005 980,246,674.59 1,614,132.79 4.4600 4.6623 1.98%
8 8/25/2005 956,171,822.77 1,397,693.58 4.5303 4.7316 1.75%
9 9/25/2005 932,457,230.07 1,293,538.60 4.6278 4.7991 1.66%
10 10/25/2005 909,094,170.36 1,349,414.51 4.6851 4.8590 1.78%
11 11/25/2005 886,075,370.90 1,162,207.21 4.7328 4.9144 1.57%
12 12/25/2005 863,394,443.95 1,199,288.65 4.8133 4.9679 1.67%
13 1/25/2006 841,047,143.78 1,015,780.36 4.8705 5.0186 1.45%
14 2/25/2006 819,030,096.53 955,271.82 4.9257 5.0648 1.40%
15 3/25/2006 797,364,522.11 1,226,307.97 4.9960 5.1072 1.85%
16 4/25/2006 776,272,195.21 858,498.07 5.0099 5.1457 1.33%
17 5/25/2006 755,738,070.17 920,588.12 5.0470 5.1873 1.46%
18 6/25/2006 735,747,210.34 760,355.91 5.1100 5.2279 1.24%
19 7/25/2006 716,285,217.58 825,244.45 5.1415 5.2663 1.38%
20 8/25/2006 697,338,068.84 693,833.21 5.1697 5.3050 1.19%
21 9/25/2006 678,892,187.54 648,154.98 5.2269 5.3449 1.15%
22 10/25/2006 660,934,224.63 718,356.26 5.2569 5.3808 1.30%
23 11/25/2006 643,452,258.21 1,272,178.51 5.2869 5.4181 2.37%
24 12/25/2006 626,511,867.08 1,310,786.89 5.3385 5.4542 2.51%
25 1/25/2007 610,017,466.22 1,167,530.33 5.3697 5.4896 2.30%
26 2/25/2007 593,957,288.00 1,122,392.10 5.4027 5.5241 2.27%
27 3/25/2007 578,319,911.43 1,346,029.56 5.4492 5.5588 2.79%
28 4/25/2007 563,094,154.68 1,037,768.99 5.4742 5.5919 2.21%
29 5/25/2007 548,269,632.78 1,405,966.57 5.4989 5.6255 3.08%
30 6/25/2007 533,871,597.61 1,265,546.80 5.5447 5.6604 2.84%
31 7/25/2007 519,851,601.48 1,305,089.37 5.5729 5.6943 3.01%
32 8/25/2007 506,199,698.18 1,179,053.41 5.6020 5.7286 2.80%
33 9/25/2007 492,906,241.89 1,131,744.94 5.6462 5.7637 2.76%
34 10/25/2007 479,961,766.53 1,186,606.48 5.6740 5.7965 2.97%
35 11/25/2007 467,359,680.89 1,352,850.89 5.7045 5.8298 3.47%
36 12/25/2007 455,117,926.56 1,378,098.60 5.7461 5.8621 3.63%
37 1/25/2008 443,196,721.57 9,082,177.99 5.7747 5.8945 24.59%
38 2/25/2008 431,587,654.29 1,838,852.68 5.8063 5.9260 5.11%
39 3/25/2008 420,282,555.26 1,926,413.42 5.8457 5.9581 5.50%
40 4/25/2008 409,273,429.80 1,739,463.09 5.8688 5.9894 5.10%
41 5/25/2008 398,553,247.83 1,958,908.67 5.8953 6.0207 5.90%
42 6/25/2008 388,134,042.85 1,829,703.49 5.9346 6.0531 5.66%
43 7/25/2008 377,987,088.31 1,838,636.16 5.9611 6.0846 5.84%
44 8/25/2008 368,105,254.54 1,718,754.32 5.9913 6.1164 5.60%
45 9/25/2008 358,481,614.66 1,661,915.96 6.0300 6.1464 5.56%
46 10/25/2008 349,109,393.91 1,675,550.33 6.0551 6.1736 5.76%
47 11/25/2008 339,982,500.28 1,685,214.00 6.0852 6.2046 5.95%
48 12/25/2008 331,105,661.64 1,688,415.30 6.1222 6.2361 6.12%
49 1/25/2009 322,460,421.60 1,580,204.50 6.1475 6.2672 5.88%
50 2/25/2009 314,040,724.27 1,533,377.08 6.1660 6.2945 5.86%
51 3/25/2009 305,840,679.04 1,647,084.05 6.1991 6.3242 6.46%
52 4/25/2009 297,854,538.06 1,437,866.25 6.2348 6.3533 5.79%
53 5/25/2009 290,076,903.56 1,474,463.02 6.2705 6.3819 6.10%
54 6/25/2009 282,504,557.10 1,377,238.21 6.3019 6.4108 5.85%
55 7/25/2009 275,129,651.59 1,388,682.38 6.3081 6.4374 6.06%
56 8/25/2009 267,947,028.40 1,297,218.00 6.3360 6.4564 5.81%
57 9/25/2009 260,951,666.15 1,255,175.67 6.3708 6.4735 5.77%
58 10/25/2009 254,138,671.94 1,266,268.28 6.4050 6.4881 5.98%
59 11/25/2009 247,503,547.37 1,214,990.76 6.4394 6.5038 5.89%
60 12/25/2009 241,023,634.42 1,222,738.05 6.4603 6.5181 6.09%
61 1/25/2010 234,712,920.70 1,154,406.64 6.4195 6.5328 5.90%
62 2/25/2010 228,566,983.10 1,120,499.39 6.4352 6.5465 5.88%
63 3/25/2010 222,581,515.44 1,208,516.68 6.4636 6.5600 6.52%
64 4/25/2010 216,752,322.91 1,051,948.56 6.4947 6.5733 5.82%
65 5/25/2010 211,075,493.24 1,071,002.79 6.5250 6.5854 6.09%
66 6/25/2010 205,548,386.14 1,000,824.67 6.5438 6.5978 5.84%
67 7/25/2010 200,165,537.73 1,018,150.54 6.5001 6.6110 6.10%
68 8/25/2010 194,923,179.49 952,709.89 6.5122 6.6380 5.87%
69 9/25/2010 189,817,642.48 922,798.90 6.5400 6.6680 5.83%
70 10/25/2010 184,845,352.53 929,520.14 6.5675 6.6955 6.03%
71 11/25/2010 180,002,956.79 882,790.86 6.5959 6.7256 5.89%
72 12/25/2010 175,288,717.84 888,114.13 6.6242 6.7549 6.08%
73 1/25/2011 170,697,464.65 827,436.24 6.6569 6.7834 5.82%
74 2/25/2011 166,225,986.69 801,167.36 6.6864 6.8022 5.78%
75 3/25/2011 161,871,158.45 869,041.10 6.7125 6.8194 6.44%
76 4/25/2011 157,629,934.75 752,442.68 6.7408 6.8364 5.73%
77 5/25/2011 153,499,448.78 770,551.78 6.7682 6.8523 6.02%
78 6/25/2011 149,478,066.92 718,499.92 6.7885 6.8688 5.77%
79 7/25/2011 145,561,555.79 729,605.07 6.7679 6.8832 6.01%
80 8/25/2011 141,747,179.68 680,730.18 6.7841 6.8936 5.76%
81 9/25/2011 138,032,274.66 659,768.94 6.8105 6.9027 5.74%
82 10/25/2011 134,409,284.91 665,327.91 6.8365 6.9102 5.94%
83 11/25/2011 130,885,775.02 624,576.71 6.8628 6.9185 5.73%
84 12/25/2011 127,454,755.13 631,400.34 6.8757 6.9255 5.94%
85 1/25/2012 124,113,194.98 594,959.79 6.8280 6.9337 5.75%
86 2/25/2012 120,858,762.20 578,136.24 6.8365 6.9437 5.74%
87 3/25/2012 117,689,185.50 606,432.96 6.8587 6.9544 6.18%
88 4/25/2012 114,602,252.86 543,261.80 6.8830 6.9652 5.69%
89 5/25/2012 111,595,823.41 514,179.84 6.9062 6.9749 5.53%
90 6/25/2012 108,668,154.53 476,472.97 6.9209 6.9852 5.26%
91 7/25/2012 105,816,816.12 488,395.89 6.8878 6.9958 5.54%
92 8/25/2012 103,039,819.07 453,050.56 6.8979 7.0165 5.28%
93 9/25/2012 100,335,226.32 439,036.58 6.9200 7.0393 5.25%
94 10/25/2012 97,701,151.33 299,344.92 6.9418 7.0597 3.68%
95 11/25/2012 95,135,776.76 273,413.73 6.9644 7.0826 3.45%
96 12/25/2012 92,637,816.35 285,080.14 6.9860 7.1046 3.69%
97 1/25/2013 90,204,978.43 258,317.99 7.0076 7.1266 3.44%
98 2/25/2013 87,835,566.74 251,097.79 7.0299 7.1431 3.43%
99 3/25/2013 85,527,929.46 297,862.03 7.0500 7.1590 4.18%
100 4/25/2013 83,280,457.84 237,674.69 7.0727 7.1753 3.42%
101 5/25/2013 81,091,606.25 251,836.95 7.0943 7.1902 3.73%
102 6/25/2013 78,960,270.35 228,792.70 7.1120 7.2061 3.48%
103 7/25/2013 76,884,498.99 240,379.34 7.1051 7.2216 3.75%
104 8/25/2013 74,862,845.58 218,769.05 7.1206 7.2431 3.51%
105 9/25/2013 72,893,901.37 212,979.53 7.1421 7.2656 3.51%
106 10/25/2013 70,976,294.36 222,062.16 7.1630 7.2857 3.75%
107 11/25/2013 69,108,700.24 204,022.73 7.1848 7.3083 3.54%
108 12/25/2013 67,290,091.16 212,516.68 7.2059 7.3300 3.79%
109 1/25/2014 65,518,899.81 193,180.63 7.2289 7.3501 3.54%
110 2/25/2014 63,793,892.19 188,031.54 7.2510 7.3552 3.54%
111 3/25/2014 62,113,866.57 221,790.04 7.2703 7.3569 4.28%
112 4/25/2014 60,477,652.53 178,424.82 7.2924 7.3595 3.54%
113 5/25/2014 58,884,115.11 186,504.72 7.3128 7.3602 3.80%
114 6/25/2014 57,332,198.11 170,464.71 7.3206 7.3617 3.57%
115 7/25/2014 55,820,758.20 181,066.10 7.2593 7.3609 3.89%
116 8/25/2014 54,348,742.38 166,182.66 7.2611 7.3575 3.67%
117 9/25/2014 52,915,125.06 162,087.06 7.2801 7.3529 3.68%
118 10/25/2014 51,518,979.86 168,570.99 7.2990 7.3468 3.93%
119 11/25/2014 50,159,333.22 154,154.01 7.3182 7.3416 3.69%
120 12/25/2014 48,835,398.29 160,971.28 7.3193 7.3350 3.96%
121 1/25/2015 47,546,006.05 151,143.47 7.2384 7.3313 3.81%
122 2/25/2015 46,290,258.10 148,378.38 7.2343 7.3372 3.85%
123 3/25/2015 45,067,279.43 171,704.23 7.2487 7.3457 4.57%
124 4/25/2015 43,876,217.81 141,616.32 7.2666 7.3552 3.87%
125 5/25/2015 42,716,243.60 146,878.70 7.2830 7.3631 4.13%
126 6/25/2015 41,586,566.81 135,491.42 7.2943 7.3719 3.91%
127 7/25/2015 40,486,380.24 141,385.30 7.2745 7.3808 4.19%
128 8/25/2015 39,414,917.00 130,754.37 7.2831 7.3985 3.98%
129 9/25/2015 38,371,430.17 127,861.49 7.2993 7.4178 4.00%
130 10/25/2015 37,355,192.27 132,284.82 7.3151 7.4357 4.25%
131 11/25/2015 36,365,498.35 122,870.01 7.3319 7.4553 4.05%
132 12/25/2015 35,401,725.02 126,944.34 7.3494 7.4740 4.30%
133 1/25/2016 34,463,126.22 117,351.95 7.3761 7.4931 4.09%
134 2/25/2016 33,549,047.34 114,813.32 7.3950 7.5082 4.11%
135 3/25/2016 32,658,850.88 124,801.54 7.4103 7.5233 4.59%
136 4/25/2016 31,791,915.90 110,140.30 7.4274 7.5389 4.16%
137 5/25/2016 30,947,641.35 114,113.21 7.4433 7.5532 4.42%
138 6/25/2016 30,125,491.89 106,152.20 7.4589 7.5684 4.23%
139 7/25/2016 29,324,833.33 109,664.58 7.4665 7.5803 4.49%
140 8/25/2016 28,545,106.92 102,207.20 7.4815 7.5800 4.30%
141 9/25/2016 27,785,768.48 100,230.58 7.4980 7.5764 4.33%
142 10/25/2016 27,046,287.96 103,278.94 7.5138 7.5711 4.58%
143 11/25/2016 26,326,150.07 96,543.77 7.5300 7.5672 4.40%
144 12/25/2016 25,624,857.36 99,643.09 7.5309 7.5618 4.67%
145 1/25/2017 24,941,913.31 94,622.63 7.4636 7.5582 4.55%
146 2/25/2017 24,276,840.90 93,151.55 7.4606 7.5567 4.60%
147 3/25/2017 23,629,175.49 103,854.15 7.4727 7.5559 5.27%
148 4/25/2017 22,998,464.51 89,818.23 7.4884 7.5564 4.69%
149 5/25/2017 22,384,266.78 92,056.57 7.5021 7.5549 4.94%
150 6/25/2017 21,786,148.38 86,810.88 7.5063 7.5544 4.78%
151 7/25/2017 21,203,696.33 89,730.91 7.4563 7.5548 5.08%
152 8/25/2017 20,636,503.28 84,881.37 7.4561 7.5701 4.94%
153 9/25/2017 20,084,172.46 83,460.10 7.4692 7.5881 4.99%
154 10/25/2017 19,546,317.43 85,281.24 7.4822 7.6039 5.24%
155 11/25/2017 19,022,562.85 80,828.23 7.4963 7.6224 5.10%
156 12/25/2017 18,512,553.11 82,472.11 7.5122 7.6400 5.35%
157 1/25/2018 18,015,918.34 78,082.86 7.5429 7.6575 5.20%
158 2/25/2018 17,532,310.69 76,843.93 7.5604 7.6682 5.26%
159 3/25/2018 17,061,391.36 83,633.68 7.5723 7.6783 5.88%
160 4/25/2018 16,602,830.38 74,573.40 7.5872 7.6893 5.39%
161 5/25/2018 16,156,307.84 75,940.10 7.6003 7.6986 5.64%
162 6/25/2018 15,721,509.61 72,470.10 7.6116 7.7089 5.53%
163 7/25/2018 15,298,130.19 73,849.87 7.6075 7.7190 5.79%
164 8/25/2018 14,885,872.51 70,649.25 7.6176 7.7354 5.70%
165 9/25/2018 14,484,447.26 69,697.83 7.6311 7.7527 5.77%
166 10/25/2018 14,093,572.64 70,757.58 7.6441 7.7676 6.02%
167 11/25/2018 13,712,974.62 67,894.59 7.6582 7.7852 5.94%
168 12/25/2018 13,342,385.70 68,829.45 7.6735 7.8018 6.19%
169 1/25/2019 12,981,545.08 66,112.66 7.7008 7.8164 6.11%
170 2/25/2019 12,630,199.08 65,300.32 7.7175 7.8127 6.20%
171 3/25/2019 12,288,100.60 69,244.79 7.7293 7.8051 6.76%
172 4/25/2019 11,955,008.97 63,802.03 7.7441 7.7990 6.40%
173 5/25/2019 11,630,689.91 64,511.34 7.7567 7.7905 6.66%
174 6/25/2019 11,314,914.93 62,480.08 7.7558 7.7830 6.63%
175 7/25/2019 11,007,461.60 63,479.37 7.6807 7.7712 6.92%
176 8/25/2019 10,708,113.28 61,647.22 7.6739 7.7454 6.91%
177 9/25/2019 10,416,658.92 61,009.17 7.6857 7.7157 7.03%
178 10/25/2019 10,124,563.19 61,432.17 7.6974 7.6854 7.28%
179 11/25/2019 7,952,748.21 58,184.98 7.7090 7.6554 8.78%
180 12/25/2019 7,731,984.84 58,212.23 7.6900 7.6236 9.03%
181 1/25/2020 7,517,185.61 57,497.71 7.5296 7.5951 9.18%
182 2/25/2020 7,308,191.44 57,038.58 7.5021 7.5756 9.37%
183 3/25/2020 7,104,847.47 57,205.75 7.5092 7.5578 9.66%
184 4/25/2020 6,907,002.93 56,048.90 7.5195 7.5414 9.74%
185 5/25/2020 6,714,509.46 55,764.39 7.5279 7.5232 9.97%
186 6/25/2020 6,527,213.59 55,086.68 7.5188 7.5059 10.13%
187 7/25/2020 6,344,989.15 54,871.34 7.4168 7.4897 10.38%
188 8/25/2020 6,167,700.75 54,289.59 7.4006 7.4901 10.56%
189 9/25/2020 5,995,216.57 53,864.07 7.4077 7.4936 10.78%
190 10/25/2020 5,827,408.30 53,884.60 7.4151 7.4955 11.10%
191 11/25/2020 5,664,150.54 211,862.12 7.4233 7.4993 44.88%
192 12/25/2020 5,505,317.90 206,042.38 7.4274 7.5021 44.91%
193 1/25/2021 5,350,796.54 200,379.46 7.4169 7.5056 44.94%
194 2/25/2021 5,200,471.23 194,869.15 7.4206 7.5058 44.97%
195 3/25/2021 5,054,229.80 189,507.38 7.4264 7.5058 44.99%
196 4/25/2021 4,911,963.05 184,290.57 7.4352 7.5072 45.02%
197 5/25/2021 4,773,564.79 179,218.26 7.4421 7.5066 45.05%
198 6/25/2021 4,638,932.59 174,278.65 7.4448 7.5070 45.08%
199 7/25/2021 4,507,964.51 169,472.33 7.4200 7.5080 45.11%
200 8/25/2021 4,380,562.51 164,795.76 7.4206 7.5196 45.14%
201 9/25/2021 4,256,631.14 160,245.45 7.4276 7.5330 45.18%
202 10/25/2021 4,136,077.49 155,819.02 7.4343 7.5443 45.21%
203 11/25/2021 4,018,811.42 151,534.00 7.4421 7.5583 45.25%
204 12/25/2021 3,904,751.12 147,342.17 7.4531 7.5713 45.28%
205 1/25/2022 3,793,804.00 143,263.62 7.4853 7.5840 45.32%
206 2/25/2022 3,685,886.67 139,295.35 7.4981 7.5893 45.35%
207 3/25/2022 3,580,917.94 135,434.41 7.5040 7.5935 45.39%
208 4/25/2022 3,478,818.75 131,679.11 7.5128 7.5990 45.42%
209 5/25/2022 3,379,512.56 128,034.77 7.5197 7.6026 45.46%
210 6/25/2022 3,282,927.20 124,478.69 7.5252 7.6073 45.50%
211 7/25/2022 3,188,986.51 121,018.89 7.5178 7.6122 45.54%
212 8/25/2022 3,097,619.50 117,652.82 7.5224 7.6256 45.58%
213 9/25/2022 3,008,757.13 114,377.97 7.5297 7.6403 45.62%
214 10/25/2022 2,922,332.14 111,192.83 7.5365 7.6529 45.66%
215 11/25/2022 2,838,279.41 108,093.68 7.5445 7.6681 45.70%
216 12/25/2022 2,756,535.09 105,078.07 7.5565 7.6824 45.74%
217 1/25/2023 2,677,036.98 102,144.28 7.5935 7.6962 45.79%
218 2/25/2023 2,599,724.73 99,290.13 7.6075 7.7006 45.83%
219 3/25/2023 2,524,539.57 96,513.49 7.6136 7.7035 45.88%
220 4/25/2023 2,451,424.32 93,812.82 7.6226 7.7078 45.92%
221 5/25/2023 2,380,323.49 91,185.18 7.6297 7.7101 45.97%
222 6/25/2023 2,311,182.75 88,628.82 7.6343 7.7134 46.02%
223 7/25/2023 2,243,949.30 86,141.99 7.6209 7.7156 46.07%
224 8/25/2023 2,178,571.81 83,722.82 7.6243 7.7195 46.12%
225 9/25/2023 2,115,000.28 81,369.50 7.6317 7.7230 46.17%
226 10/25/2023 2,053,186.09 79,080.35 7.6386 7.7253 46.22%
227 11/25/2023 1,993,081.89 76,853.54 7.6464 7.7292 46.27%
228 12/25/2023 1,934,641.61 74,687.37 7.6503 7.7320 46.33%
229 1/25/2024 1,877,820.35 72,580.26 7.6411 7.7342 46.38%
230 2/25/2024 1,822,574.45 70,530.63 7.6447 7.7265 46.44%
231 3/25/2024 1,768,861.39 68,536.93 7.6506 7.7169 46.50%
232 4/25/2024 1,716,639.82 66,597.61 7.6588 7.7083 46.55%
233 5/25/2024 1,665,869.44 64,711.25 7.6650 7.6980 46.61%
234 6/25/2024 1,616,511.04 62,876.51 7.6607 7.6887 46.68%
235 7/25/2024 1,568,526.50 61,091.95 7.5979 7.6762 46.74%
236 8/25/2024 1,521,878.70 59,350.61 7.5894 7.6545 46.80%
237 9/25/2024 1,476,537.06 57,631.44 7.5953 7.6299 46.84%
238 10/25/2024 1,432,491.81 55,930.05 7.6011 7.6048 46.85%
239 11/25/2024 1,389,736.45 54,268.29 7.6072 7.5803 46.86%
240 12/25/2024 1,348,242.23 52,721.93 7.5904 7.5542 46.93%
241 1/25/2025 1,307,907.50 51,217.97 7.4698 7.5288 46.99%
242 2/25/2025 1,268,700.88 49,755.27 7.4476 7.4984 47.06%
243 3/25/2025 1,230,591.77 48,332.72 7.4499 7.4661 47.13%
244 4/25/2025 1,193,550.44 46,948.07 7.4560 7.4364 47.20%
245 5/25/2025 1,157,547.45 45,581.31 7.4596 7.4040 47.25%
246 6/25/2025 1,122,546.67 44,273.18 7.4391 7.3726 47.33%
247 7/25/2025 1,088,529.58 43,001.05 7.2933 7.3419 47.40%
248 8/25/2025 1,055,469.47 41,763.94 7.2637 7.3270 47.48%
249 9/25/2025 1,023,340.32 40,560.91 7.2657 7.3149 47.56%
250 10/25/2025 992,116.82 39,390.21 7.2683 7.3021 47.64%
251 11/25/2025 961,774.00 38,240.17 7.2715 7.2904 47.71%
252 12/25/2025 932,283.05 37,134.15 7.2631 7.2775 47.80%
253 1/25/2026 903,626.13 36,058.67 7.2044 7.2652 47.89%
254 2/25/2026 875,780.52 35,012.91 7.1936 7.2494 47.97%
255 3/25/2026 848,724.10 33,996.07 7.1942 7.2327 48.07%
256 4/25/2026 822,435.35 33,006.85 7.1979 7.2180 48.16%
257 5/25/2026 796,893.10 32,030.40 7.1995 7.2010 48.23%
258 6/25/2026 772,070.55 31,095.93 7.1890 7.1850 48.33%
259 7/25/2026 747,954.90 30,187.38 7.1136 7.1695 48.43%
260 8/25/2026 724,526.84 29,304.03 7.0984 7.1660 48.53%
261 9/25/2026 701,767.55 28,445.22 7.0994 7.1645 48.64%
262 10/25/2026 679,658.74 27,609.87 7.1006 7.1618 48.75%
263 11/25/2026 658,182.40 26,790.42 7.1026 7.1607 48.84%
264 12/25/2026 637,317.85 26,001.39 7.1015 7.1587 48.96%
265 1/25/2027 617,051.98 25,234.34 7.0907 7.1567 49.07%
266 2/25/2027 597,368.37 24,488.67 7.0895 7.1486 49.19%
267 3/25/2027 578,251.05 23,763.81 7.0895 7.1395 49.32%
268 4/25/2027 559,684.45 23,058.97 7.0923 7.1320 49.44%
269 5/25/2027 541,653.34 22,368.04 7.0931 7.1226 49.56%
270 6/25/2027 524,140.21 21,702.34 7.0876 7.1140 49.69%
271 7/25/2027 507,133.79 21,055.27 7.0456 7.1053 49.82%
272 8/25/2027 490,620.12 20,426.32 7.0375 7.1029 49.96%
273 9/25/2027 474,585.63 19,815.00 7.0382 7.1013 50.10%
274 10/25/2027 459,017.09 19,220.66 7.0388 7.0989 50.25%
275 11/25/2027 443,901.57 18,640.03 7.0402 7.0977 50.39%
276 12/25/2027 429,225.04 18,078.83 7.0389 7.0956 50.54%
277 1/25/2028 414,977.03 17,533.42 7.0295 7.0946 50.70%
278 2/25/2028 401,145.69 17,003.38 7.0281 7.0936 50.86%
279 3/25/2028 387,719.48 16,488.27 7.0281 7.0932 51.03%
280 4/25/2028 374,687.17 15,987.68 7.0299 7.0937 51.20%
281 5/25/2028 362,037.85 15,500.75 7.0304 7.0928 51.38%
282 6/25/2028 349,760.63 15,028.07 7.0308 7.0929 51.56%
283 7/25/2028 337,845.46 14,568.77 7.0257 7.0928 51.75%
284 8/25/2028 326,282.28 14,122.48 7.0258 7.0982 51.94%
285 9/25/2028 315,061.29 13,688.84 7.0266 7.1042 52.14%
286 10/25/2028 304,172.99 13,267.57 7.0271 7.1086 52.34%
287 11/25/2028 293,608.12 12,860.01 7.0285 7.1151 52.56%
288 12/25/2028 283,358.62 12,462.27 7.0327 7.1207 52.78%
289 1/25/2029 273,414.69 12,075.86 7.0548 7.1259 53.00%
290 2/25/2029 263,767.78 11,700.47 7.0604 7.1233 53.23%
291 3/25/2029 254,409.59 11,335.79 7.0603 7.1194 53.47%
292 4/25/2029 245,332.05 10,981.54 7.0626 7.1169 53.71%
293 5/25/2029 236,527.31 10,637.25 7.0631 7.1126 53.97%
294 6/25/2029 227,987.64 10,302.97 7.0611 7.1092 54.23%
295 7/25/2029 219,705.67 9,974.30 7.0414 7.1061 54.48%
296 8/25/2029 211,678.18 9,659.09 7.0381 7.1121 54.76%
297 9/25/2029 203,893.98 9,352.95 7.0389 7.1193 55.05%
298 10/25/2029 196,346.23 9,055.63 7.0393 7.1251 55.34%
299 11/25/2029 189,028.28 8,765.92 7.0408 7.1329 55.65%
300 12/25/2029 181,936.19 8,485.56 7.0460 7.1399 55.97%
301 1/25/2030 175,061.01 8,213.29 7.0460 7.1399 56.30%
302 2/25/2030 168,396.60 7,948.90 7.0460 7.1399 56.64%
303 3/25/2030 161,937.00 7,692.16 7.0460 7.1399 57.00%
304 4/25/2030 155,676.43 7,442.90 7.0460 7.1399 57.37%
305 5/25/2030 149,609.26 7,201.12 7.0460 7.1399 57.76%
306 6/25/2030 143,730.15 6,966.10 7.0460 7.1399 58.16%
307 7/25/2030 138,033.60 6,737.94 7.0460 7.1399 58.58%
308 8/25/2030 132,514.40 6,516.42 7.0460 7.1399 59.01%
309 9/25/2030 127,167.52 6,301.38 7.0460 7.1399 59.46%
310 10/25/2030 121,988.04 6,092.63 7.0460 7.1399 59.93%
311 11/25/2030 116,971.20 5,890.00 7.0460 7.1399 60.43%
312 12/25/2030 112,112.34 5,693.31 7.0460 7.1399 60.94%
313 1/25/2031 107,406.95 5,502.40 7.0460 7.1399 61.48%
314 2/25/2031 102,850.64 5,317.12 7.0460 7.1399 62.04%
315 3/25/2031 98,439.12 5,137.30 7.0460 7.1399 62.63%
316 4/25/2031 94,168.26 4,962.79 7.0460 7.1399 63.24%
317 5/25/2031 90,033.99 4,793.45 7.0460 7.1399 63.89%
318 6/25/2031 86,032.40 4,629.12 7.0460 7.1399 64.57%
319 7/25/2031 82,159.66 4,469.68 7.0460 7.1399 65.28%
320 8/25/2031 78,412.04 4,314.98 7.0460 7.1399 66.04%
321 9/25/2031 74,785.94 4,164.89 7.0460 7.1399 66.83%
322 10/25/2031 71,277.84 4,019.28 7.0460 7.1399 67.67%
323 11/25/2031 67,884.31 3,878.03 7.0460 7.1399 68.55%
324 12/25/2031 64,602.04 3,741.01 7.0460 7.1399 69.49%
325 1/25/2032 61,427.78 3,608.11 7.0460 7.1399 70.48%
326 2/25/2032 58,358.39 3,479.21 7.0460 7.1399 71.54%
327 3/25/2032 55,390.82 3,354.19 7.0460 7.1399 72.67%
328 4/25/2032 52,522.09 3,232.96 7.0460 7.1399 73.87%
329 5/25/2032 49,749.31 3,115.39 7.0460 7.1399 75.15%
330 6/25/2032 47,069.66 3,001.39 7.0460 7.1399 76.52%
331 7/25/2032 44,480.42 2,890.87 7.0460 7.1399 77.99%
332 8/25/2032 41,978.93 2,783.70 7.0460 7.1399 79.57%
333 9/25/2032 39,562.59 2,679.82 7.0460 7.1399 81.28%
334 10/25/2032 37,228.91 2,579.11 7.0460 7.1399 83.13%
335 11/25/2032 34,975.43 2,481.50 7.0460 7.1399 85.14%
336 12/25/2032 32,799.78 2,386.89 7.0460 7.1399 87.33%
337 1/25/2033 30,699.66 2,295.20 7.0460 7.1399 89.72%
338 2/25/2033 28,672.81 2,206.34 7.0460 7.1399 92.34%
339 3/25/2033 26,717.06 2,120.24 7.0460 7.1399 95.23%
340 4/25/2033 24,830.29 2,036.82 7.0460 7.1399 98.44%
341 5/25/2033 23,010.42 1,956.00 7.0460 7.1399 102.01%
342 6/25/2033 21,255.47 1,877.70 7.0460 7.1399 106.01%
343 7/25/2033 19,563.48 1,801.85 7.0460 7.1399 110.52%
344 8/25/2033 17,932.55 1,728.39 7.0460 7.1399 115.66%
345 9/25/2033 16,360.85 1,657.25 7.0460 7.1399 121.55%
346 10/25/2033 14,846.58 1,588.35 7.0460 7.1399 128.38%
347 11/25/2033 13,388.01 1,521.64 7.0460 7.1399 136.39%
348 12/25/2033 11,983.45 1,434.77 7.0460 7.1399 143.68%
349 1/25/2034 10,653.53 1,373.19 7.0460 7.1399 154.67%
350 2/25/2034 9,373.55 1,313.58 7.0460 7.1399 168.16%
351 3/25/2034 8,141.97 1,255.89 7.0460 7.1399 185.10%
352 4/25/2034 6,957.32 1,200.06 7.0460 7.1399 206.99%
353 5/25/2034 5,818.14 1,146.04 7.0460 7.1399 236.37%
354 6/25/2034 4,723.05 1,093.64 7.0460 7.1399 277.86%
355 7/25/2034 3,670.80 1,042.30 7.0460 7.1399 340.73%
356 8/25/2034 2,660.73 991.36 7.0460 7.1399 447.11%
357 9/25/2034 1,692.79 943.58 7.0460 7.1399 668.89%
358 10/25/2034 764.21 771.12 7.0460 7.1399
Total
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
2004-WMC3
----------------------------------------------------------------------------------------------------------------------------
Forward + 200
----------------------------------------------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 1/25/2005 1,132,909,507.41 3,365,778.66 2.3300 2.6500 3.57%
2 2/25/2005 1,106,418,744.94 1,696,768.31 4.4110 4.7439 1.84%
3 3/25/2005 1,080,367,299.15 1,919,863.61 4.6174 4.8512 2.13%
4 4/25/2005 1,054,738,716.12 1,380,938.76 4.7015 4.9349 1.57%
5 5/25/2005 1,029,518,256.39 1,432,412.29 4.7779 5.0163 1.67%
6 6/25/2005 1,004,691,739.99 1,164,495.12 4.8999 5.0928 1.39%
7 7/25/2005 980,246,674.59 1,230,040.04 4.9600 5.1623 1.51%
8 8/25/2005 956,171,822.77 1,016,495.00 5.0303 5.2316 1.28%
9 9/25/2005 932,457,230.07 922,549.76 5.1278 5.2991 1.19%
10 10/25/2005 909,094,170.36 993,077.19 5.1851 5.3590 1.31%
11 11/25/2005 886,075,370.90 810,910.65 5.2328 5.4144 1.10%
12 12/25/2005 863,394,443.95 864,189.34 5.3133 5.4679 1.20%
13 1/25/2006 841,047,143.78 683,982.10 5.3705 5.5186 0.98%
14 2/25/2006 819,030,096.53 633,120.37 5.4257 5.5648 0.93%
15 3/25/2006 797,364,522.11 933,945.06 5.4960 5.6072 1.41%
16 4/25/2006 776,272,195.21 554,949.04 5.5099 5.6457 0.86%
17 5/25/2006 755,738,092.72 634,629.66 5.5470 5.6873 1.01%
18 6/25/2006 735,747,256.21 474,259.87 5.6100 5.7279 0.77%
19 7/25/2006 716,285,285.61 556,487.22 5.6415 5.7663 0.93%
20 8/25/2006 697,338,157.90 424,263.31 5.6697 5.8050 0.73%
21 9/25/2006 678,892,296.55 386,521.71 5.7269 5.8449 0.68%
22 10/25/2006 660,934,352.55 472,645.94 5.7569 5.8808 0.86%
23 11/25/2006 643,452,403.22 1,010,693.18 5.7869 5.9181 1.88%
24 12/25/2006 626,512,030.70 1,066,450.47 5.8385 5.9542 2.04%
25 1/25/2007 610,017,649.12 923,157.36 5.8697 5.9896 1.82%
26 2/25/2007 593,957,489.12 886,006.56 5.9027 6.0241 1.79%
27 3/25/2007 578,320,129.76 1,135,678.11 5.9492 6.0588 2.36%
28 4/25/2007 563,094,389.26 817,212.77 5.9742 6.0919 1.74%
29 5/25/2007 548,269,903.16 1,191,613.26 5.9989 6.1255 2.61%
30 6/25/2007 533,871,901.78 1,050,236.20 6.0447 6.1604 2.36%
31 7/25/2007 519,851,938.49 1,102,568.09 6.0729 6.1943 2.55%
32 8/25/2007 506,200,066.26 975,635.44 6.1020 6.2286 2.31%
33 9/25/2007 492,906,639.31 934,040.14 6.1462 6.2637 2.27%
34 10/25/2007 479,962,191.63 1,000,770.00 6.1740 6.2965 2.50%
35 11/25/2007 467,360,134.94 1,167,591.76 6.2045 6.3298 3.00%
36 12/25/2007 455,118,407.80 1,203,925.91 6.2461 6.3621 3.17%
37 1/25/2008 443,197,228.32 8,907,194.55 6.2747 6.3945 24.12%
38 2/25/2008 431,588,185.03 1,665,482.75 6.3063 6.4260 4.63%
39 3/25/2008 420,283,108.52 1,768,580.98 6.3457 6.4581 5.05%
40 4/25/2008 409,274,004.17 1,575,234.73 6.3688 6.4894 4.62%
41 5/25/2008 398,553,854.05 1,825,739.43 6.3953 6.5207 5.50%
42 6/25/2008 388,134,678.96 1,694,917.44 6.4346 6.5531 5.24%
43 7/25/2008 377,987,752.44 1,712,299.78 6.4611 6.5846 5.44%
44 8/25/2008 368,105,944.98 1,590,885.69 6.4913 6.6164 5.19%
45 9/25/2008 358,482,329.74 1,537,371.85 6.5300 6.6464 5.15%
46 10/25/2008 349,110,132.03 1,559,199.41 6.5551 6.6736 5.36%
47 11/25/2008 339,983,293.58 1,606,883.07 6.5852 6.7046 5.67%
48 12/25/2008 331,109,848.11 1,616,412.64 6.6222 6.7361 5.86%
49 1/25/2009 322,467,837.61 1,505,813.72 6.6475 6.7672 5.60%
50 2/25/2009 314,051,212.11 1,460,936.01 6.6660 6.7945 5.58%
51 3/25/2009 305,854,091.55 1,588,500.12 6.6991 6.8242 6.23%
52 4/25/2009 297,870,728.48 1,370,490.95 6.7348 6.8533 5.52%
53 5/25/2009 290,095,865.78 1,444,002.83 6.7705 6.8819 5.97%
54 6/25/2009 282,528,950.42 1,343,803.94 6.8019 6.9108 5.71%
55 7/25/2009 275,159,204.59 1,359,658.82 6.8081 6.9374 5.93%
56 8/25/2009 267,981,479.52 1,265,361.59 6.8360 6.9564 5.67%
57 9/25/2009 260,990,762.02 1,224,086.00 6.8708 6.9735 5.63%
58 10/25/2009 254,182,169.80 1,239,474.02 6.9050 6.9881 5.85%
59 11/25/2009 247,551,234.48 1,185,076.48 6.9394 7.0038 5.74%
60 12/25/2009 241,076,780.06 1,196,717.18 6.9603 7.0181 5.96%
61 1/25/2010 234,771,235.15 1,125,936.59 6.9195 7.0328 5.76%
62 2/25/2010 228,630,187.34 1,092,717.35 6.9352 7.0465 5.74%
63 3/25/2010 222,649,340.11 1,190,188.52 6.9636 7.0600 6.41%
64 4/25/2010 216,824,509.40 1,025,506.00 6.9947 7.0733 5.68%
65 5/25/2010 211,151,790.38 1,046,177.54 7.0250 7.0854 5.95%
66 6/25/2010 205,628,295.34 973,900.51 7.0438 7.0978 5.68%
67 7/25/2010 200,248,841.50 994,527.13 7.0001 7.1110 5.96%
68 8/25/2010 195,009,668.66 927,090.27 7.0122 7.1380 5.70%
69 9/25/2010 189,907,115.21 897,808.16 7.0400 7.1680 5.67%
70 10/25/2010 184,937,615.44 907,571.25 7.0675 7.1955 5.89%
71 11/25/2010 180,097,820.36 855,990.96 7.0959 7.2256 5.70%
72 12/25/2010 175,385,586.22 864,291.85 7.1242 7.2549 5.91%
73 1/25/2011 170,796,187.12 801,949.03 7.1569 7.2834 5.63%
74 2/25/2011 166,326,418.55 776,304.87 7.1864 7.3022 5.60%
75 3/25/2011 161,973,160.06 851,211.19 7.2125 7.3194 6.31%
76 4/25/2011 157,733,372.87 728,679.80 7.2408 7.3364 5.54%
77 5/25/2011 153,604,181.10 743,084.12 7.2682 7.3523 5.81%
78 6/25/2011 149,583,243.45 689,748.52 7.2885 7.3688 5.53%
79 7/25/2011 145,667,095.17 703,510.43 7.2679 7.3832 5.80%
80 8/25/2011 141,853,004.15 653,417.84 7.2841 7.3936 5.53%
81 9/25/2011 138,138,309.88 633,143.94 7.3105 7.4027 5.50%
82 10/25/2011 134,515,459.92 641,218.99 7.3365 7.4102 5.72%
83 11/25/2011 130,992,027.84 596,004.82 7.3628 7.4185 5.46%
84 12/25/2011 127,560,634.77 605,247.12 7.3757 7.4255 5.69%
85 1/25/2012 124,218,658.35 567,832.65 7.3280 7.4337 5.49%
86 2/25/2012 120,963,768.46 551,701.57 7.3365 7.4437 5.47%
87 3/25/2012 117,793,695.93 583,795.53 7.3587 7.4544 5.95%
88 4/25/2012 114,706,230.85 518,098.19 7.3830 7.4652 5.42%
89 5/25/2012 111,699,226.99 488,857.65 7.4062 7.4749 5.25%
90 6/25/2012 108,770,684.00 450,355.14 7.4209 7.4852 4.97%
91 7/25/2012 105,918,454.00 464,358.57 7.3878 7.4958 5.26%
92 8/25/2012 103,140,549.18 428,259.04 7.3979 7.5165 4.98%
93 9/25/2012 100,435,033.69 414,880.49 7.4200 7.5393 4.96%
94 10/25/2012 97,800,022.24 282,693.59 7.4418 7.5597 3.47%
95 11/25/2012 95,233,686.90 247,204.89 7.4644 7.5826 3.11%
96 12/25/2012 92,734,377.45 260,840.83 7.4860 7.6046 3.38%
97 1/25/2013 90,300,198.99 233,566.67 7.5076 7.6266 3.10%
98 2/25/2013 87,929,455.63 227,047.30 7.5299 7.6431 3.10%
99 3/25/2013 85,620,495.83 277,889.92 7.5500 7.6590 3.89%
100 4/25/2013 83,371,711.17 214,871.94 7.5727 7.6753 3.09%
101 5/25/2013 81,181,543.44 227,145.96 7.5943 7.6902 3.36%
102 6/25/2013 79,048,468.51 203,765.21 7.6120 7.7061 3.09%
103 7/25/2013 76,970,990.00 217,078.26 7.6051 7.7216 3.38%
104 8/25/2013 74,947,660.81 195,153.51 7.6206 7.7431 3.12%
105 9/25/2013 72,977,071.62 190,041.53 7.6421 7.7656 3.12%
106 10/25/2013 71,057,849.88 200,648.49 7.6630 7.7857 3.39%
107 11/25/2013 69,188,661.42 180,022.15 7.6848 7.8083 3.12%
108 12/25/2013 67,368,203.41 190,082.15 7.7059 7.8300 3.39%
109 1/25/2014 65,595,206.10 170,544.13 7.7289 7.8501 3.12%
110 2/25/2014 63,868,434.48 166,050.69 7.7510 7.8552 3.12%
111 3/25/2014 62,186,685.82 202,853.88 7.7703 7.8569 3.91%
112 4/25/2014 60,548,788.73 157,676.97 7.7924 7.8595 3.12%
113 5/25/2014 58,953,603.49 166,657.56 7.8128 7.8602 3.39%
114 6/25/2014 57,400,018.44 150,465.72 7.8206 7.8617 3.15%
115 7/25/2014 55,886,950.73 162,373.99 7.7593 7.8609 3.49%
116 8/25/2014 54,413,346.38 147,351.46 7.7611 7.8575 3.25%
117 9/25/2014 52,978,178.85 143,813.77 7.7801 7.8529 3.26%
118 10/25/2014 51,580,520.80 151,497.22 7.7990 7.8468 3.52%
119 11/25/2014 50,219,398.35 137,096.85 7.8182 7.8416 3.28%
120 12/25/2014 48,894,041.51 145,040.64 7.8193 7.8350 3.56%
121 1/25/2015 47,603,261.13 135,101.91 7.7384 7.8313 3.41%
122 2/25/2015 46,346,157.99 132,823.13 7.7343 7.8372 3.44%
123 3/25/2015 45,121,856.29 158,307.67 7.7487 7.8457 4.21%
124 4/25/2015 43,929,503.02 126,996.30 7.7666 7.8552 3.47%
125 5/25/2015 42,768,267.46 133,098.30 7.7830 7.8631 3.73%
126 6/25/2015 41,637,340.54 121,624.52 7.7943 7.8719 3.51%
127 7/25/2015 40,535,933.94 128,444.74 7.7745 7.8808 3.80%
128 8/25/2015 39,463,280.03 117,736.38 7.7831 7.8985 3.58%
129 9/25/2015 38,418,631.18 115,250.57 7.7993 7.9178 3.60%
130 10/25/2015 37,401,259.22 120,503.01 7.8151 7.9357 3.87%
131 11/25/2015 36,410,455.64 110,532.37 7.8319 7.9553 3.64%
132 12/25/2015 35,445,529.47 115,420.50 7.8494 7.9740 3.91%
133 1/25/2016 34,505,807.34 105,783.98 7.8761 7.9931 3.68%
134 2/25/2016 33,590,633.91 103,615.36 7.8950 8.0082 3.70%
135 3/25/2016 32,699,370.93 114,733.85 7.9103 8.0233 4.21%
136 4/25/2016 31,831,396.72 99,632.21 7.9274 8.0389 3.76%
137 5/25/2016 30,986,106.22 103,916.75 7.9433 8.0532 4.02%
138 6/25/2016 30,162,909.62 95,939.93 7.9589 8.0684 3.82%
139 7/25/2016 29,361,232.14 100,125.57 7.9665 8.0803 4.09%
140 8/25/2016 28,580,514.29 92,657.25 7.9815 8.0800 3.89%
141 9/25/2016 27,820,211.14 90,998.73 7.9980 8.0764 3.93%
142 10/25/2016 27,079,791.91 94,655.92 8.0138 8.0711 4.19%
143 11/25/2016 26,358,739.66 87,875.06 8.0300 8.0672 4.00%
144 12/25/2016 25,656,550.89 91,555.71 8.0309 8.0618 4.28%
145 1/25/2017 24,972,735.12 86,542.22 7.9636 8.0582 4.16%
146 2/25/2017 24,306,814.67 85,351.47 7.9606 8.0567 4.21%
147 3/25/2017 23,658,324.25 97,096.55 7.9727 8.0559 4.92%
148 4/25/2017 23,026,810.67 82,558.57 7.9884 8.0564 4.30%
149 5/25/2017 22,411,832.54 85,325.67 8.0021 8.0549 4.57%
150 6/25/2017 21,812,959.86 80,092.52 8.0063 8.0544 4.41%
151 7/25/2017 21,229,773.90 83,480.42 7.9563 8.0548 4.72%
152 8/25/2017 20,661,866.79 78,646.87 7.9561 8.0701 4.57%
153 9/25/2017 20,108,841.20 77,457.24 7.9692 8.0881 4.62%
154 10/25/2017 19,570,310.19 79,696.15 7.9822 8.1039 4.89%
155 11/25/2017 19,045,896.81 75,190.74 7.9963 8.1224 4.74%
156 12/25/2017 18,535,234.10 77,234.70 8.0122 8.1400 5.00%
157 1/25/2018 18,037,964.32 72,871.61 8.0429 8.1575 4.85%
158 2/25/2018 17,553,739.13 71,837.85 8.0604 8.1682 4.91%
159 3/25/2018 17,082,219.25 79,317.47 8.0723 8.1783 5.57%
160 4/25/2018 16,623,074.25 69,952.47 8.0872 8.1893 5.05%
161 5/25/2018 16,175,982.24 71,656.98 8.1003 8.1986 5.32%
162 6/25/2018 15,740,629.86 68,221.07 8.1116 8.2089 5.20%
163 7/25/2018 15,316,711.59 69,919.30 8.1075 8.2190 5.48%
164 8/25/2018 14,903,929.95 66,755.41 8.1176 8.2354 5.37%
165 9/25/2018 14,501,995.23 65,974.57 8.1311 8.2527 5.46%
166 10/25/2018 14,110,625.21 67,318.83 8.1441 8.2676 5.72%
167 11/25/2018 13,729,545.02 64,495.15 8.1582 8.2852 5.64%
168 12/25/2018 13,358,487.07 65,698.13 8.1735 8.3018 5.90%
169 1/25/2019 12,997,190.42 63,023.89 8.2008 8.3164 5.82%
170 2/25/2019 12,645,401.02 62,360.86 8.2175 8.3127 5.92%
171 3/25/2019 12,302,871.43 66,737.85 8.2293 8.3051 6.51%
172 4/25/2019 11,969,360.66 61,148.78 8.2441 8.2990 6.13%
173 5/25/2019 11,644,633.93 62,082.33 8.2567 8.2905 6.40%
174 6/25/2019 11,328,462.60 60,099.16 8.2558 8.2830 6.37%
175 7/25/2019 11,020,623.92 61,307.68 8.1807 8.2712 6.68%
176 8/25/2019 10,720,900.94 59,525.55 8.1739 8.2454 6.66%
177 9/25/2019 10,429,082.35 59,011.44 8.1857 8.2157 6.79%
178 10/25/2019 10,136,632.51 59,626.43 8.1974 8.1854 7.06%
179 11/25/2019 7,964,473.77 57,248.95 8.2090 8.1554 8.63%
180 12/25/2019 7,743,376.48 57,401.59 8.1900 8.1236 8.90%
181 1/25/2020 7,528,252.59 56,748.15 8.0296 8.0951 9.05%
182 2/25/2020 7,318,942.78 56,377.89 8.0021 8.0756 9.24%
183 3/25/2020 7,115,291.95 56,676.33 8.0092 8.0578 9.56%
184 4/25/2020 6,917,149.07 55,566.07 8.0195 8.0414 9.64%
185 5/25/2020 6,724,367.17 55,440.90 8.0279 8.0232 9.89%
186 6/25/2020 6,536,802.99 54,823.75 8.0188 8.0059 10.06%
187 7/25/2020 6,354,317.38 54,696.33 7.9168 7.9897 10.33%
188 8/25/2020 6,176,774.77 54,176.32 7.9006 7.9901 10.53%
189 9/25/2020 6,004,043.15 53,822.09 7.9077 7.9936 10.76%
190 10/25/2020 5,835,994.02 53,521.56 7.9151 7.9955 11.01%
191 11/25/2020 5,672,502.32 204,251.25 7.9233 7.9993 43.21%
192 12/25/2020 5,513,446.23 206,435.17 7.9274 8.0021 44.93%
193 1/25/2021 5,358,707.27 200,761.68 7.9169 8.0056 44.96%
194 2/25/2021 5,208,170.04 195,241.09 7.9206 8.0058 44.98%
195 3/25/2021 5,061,722.22 189,869.32 7.9264 8.0058 45.01%
196 4/25/2021 4,919,254.48 184,642.40 7.9352 8.0072 45.04%
197 5/25/2021 4,780,660.38 179,556.46 7.9421 8.0066 45.07%
198 6/25/2021 4,645,836.31 174,607.71 7.9448 8.0070 45.10%
199 7/25/2021 4,514,681.42 169,792.49 7.9200 8.0080 45.13%
200 8/25/2021 4,387,097.52 165,107.25 7.9206 8.0196 45.16%
201 9/25/2021 4,262,989.04 160,548.51 7.9276 8.0330 45.19%
202 10/25/2021 4,142,262.95 156,112.89 7.9343 8.0443 45.23%
203 11/25/2021 4,024,828.68 151,797.24 7.9421 8.0583 45.26%
204 12/25/2021 3,910,598.13 147,598.09 7.9531 8.0713 45.29%
205 1/25/2022 3,799,485.43 143,512.42 7.9853 8.0840 45.33%
206 2/25/2022 3,691,407.05 139,537.23 7.9981 8.0893 45.36%
207 3/25/2022 3,586,281.68 135,669.55 8.0040 8.0935 45.40%
208 4/25/2022 3,484,030.16 131,906.51 8.0128 8.0990 45.43%
209 5/25/2022 3,384,575.44 128,245.43 8.0197 8.1026 45.47%
210 6/25/2022 3,287,842.55 124,683.36 8.0252 8.1073 45.51%
211 7/25/2022 3,193,758.44 121,217.75 8.0178 8.1122 45.55%
212 8/25/2022 3,102,252.06 117,846.03 8.0224 8.1256 45.58%
213 9/25/2022 3,013,254.22 114,565.68 8.0297 8.1403 45.62%
214 10/25/2022 2,926,697.59 111,374.25 8.0365 8.1529 45.67%
215 11/25/2022 2,842,516.60 108,269.50 8.0445 8.1681 45.71%
216 12/25/2022 2,760,647.50 105,248.87 8.0565 8.1824 45.75%
217 1/25/2023 2,681,028.15 102,310.19 8.0935 8.1962 45.79%
218 2/25/2023 2,603,598.07 99,451.29 8.1075 8.2006 45.84%
219 3/25/2023 2,528,298.42 96,670.04 8.1136 8.2035 45.88%
220 4/25/2023 2,455,071.92 93,964.34 8.1226 8.2078 45.93%
221 5/25/2023 2,383,862.80 91,332.25 8.1297 8.2101 45.98%
222 6/25/2023 2,314,616.82 88,771.66 8.1343 8.2134 46.02%
223 7/25/2023 2,247,281.12 86,280.71 8.1209 8.2156 46.07%
224 8/25/2023 2,181,804.27 83,857.55 8.1243 8.2195 46.12%
225 9/25/2023 2,118,136.22 81,500.34 8.1317 8.2230 46.17%
226 10/25/2023 2,056,228.25 79,207.33 8.1386 8.2253 46.22%
227 11/25/2023 1,996,032.92 76,976.82 8.1464 8.2292 46.28%
228 12/25/2023 1,937,504.08 74,807.08 8.1503 8.2320 46.33%
229 1/25/2024 1,880,596.79 72,696.50 8.1411 8.2342 46.39%
230 2/25/2024 1,825,267.32 70,643.50 8.1447 8.2265 46.44%
231 3/25/2024 1,771,473.08 68,646.53 8.1506 8.2169 46.50%
232 4/25/2024 1,719,172.64 66,704.09 8.1588 8.2083 46.56%
233 5/25/2024 1,668,325.67 64,814.68 8.1650 8.1980 46.62%
234 6/25/2024 1,618,892.90 62,976.93 8.1607 8.1887 46.68%
235 7/25/2024 1,570,836.11 61,189.44 8.0979 8.1762 46.74%
236 8/25/2024 1,524,118.13 59,445.26 8.0894 8.1545 46.80%
237 9/25/2024 1,478,708.34 57,723.33 8.0953 8.1299 46.84%
238 10/25/2024 1,434,596.87 56,019.93 8.1011 8.1048 46.86%
239 11/25/2024 1,391,777.46 54,356.93 8.1072 8.0803 46.87%
240 12/25/2024 1,350,221.54 52,807.99 8.0904 8.0542 46.93%
241 1/25/2025 1,309,826.88 51,301.54 7.9698 8.0288 47.00%
242 2/25/2025 1,270,562.01 49,836.41 7.9476 7.9984 47.07%
243 3/25/2025 1,232,396.33 48,411.49 7.9499 7.9661 47.14%
244 4/25/2025 1,195,300.03 47,025.61 7.9560 7.9364 47.21%
245 5/25/2025 1,159,244.07 45,677.77 7.9596 7.9040 47.28%
246 6/25/2025 1,124,200.20 44,367.10 7.9391 7.8726 47.36%
247 7/25/2025 1,090,141.01 43,092.50 7.7933 7.8419 47.44%
248 8/25/2025 1,057,039.74 41,852.98 7.7637 7.8270 47.51%
249 9/25/2025 1,024,870.37 40,647.60 7.7657 7.8149 47.59%
250 10/25/2025 993,607.58 39,475.22 7.7683 7.8021 47.68%
251 11/25/2025 963,226.62 38,335.24 7.7715 7.7904 47.76%
252 12/25/2025 933,703.53 37,226.83 7.7631 7.7775 47.84%
253 1/25/2026 905,015.02 36,149.03 7.7044 7.7652 47.93%
254 2/25/2026 877,138.34 35,100.99 7.6936 7.7494 48.02%
255 3/25/2026 850,051.40 34,081.93 7.6942 7.7327 48.11%
256 4/25/2026 823,732.65 33,090.92 7.6979 7.7180 48.21%
257 5/25/2026 798,161.08 32,127.37 7.6995 7.7010 48.30%
258 6/25/2026 773,316.32 31,190.59 7.6890 7.6850 48.40%
259 7/25/2026 749,178.58 30,279.79 7.6136 7.6695 48.50%
260 8/25/2026 725,728.53 29,394.24 7.5984 7.6660 48.60%
261 9/25/2026 702,947.37 28,533.26 7.5994 7.6645 48.71%
262 10/25/2026 680,816.83 27,696.08 7.6006 7.6618 48.82%
263 11/25/2026 659,319.03 26,882.24 7.6026 7.6607 48.93%
264 12/25/2026 638,436.70 26,091.07 7.6015 7.6587 49.04%
265 1/25/2027 618,152.99 25,321.93 7.5907 7.6567 49.16%
266 2/25/2027 598,451.48 24,574.20 7.5895 7.6486 49.28%
267 3/25/2027 579,316.23 23,847.32 7.5895 7.6395 49.40%
268 4/25/2027 560,731.67 23,140.63 7.5923 7.6320 49.52%
269 5/25/2027 542,682.66 22,453.70 7.5931 7.6226 49.65%
270 6/25/2027 525,154.48 21,786.01 7.5876 7.6140 49.78%
271 7/25/2027 508,132.86 21,137.00 7.5456 7.6053 49.92%
272 8/25/2027 491,603.84 20,506.15 7.5375 7.6029 50.06%
273 9/25/2027 475,553.87 19,892.96 7.5382 7.6013 50.20%
274 10/25/2027 459,969.76 19,296.90 7.5388 7.5989 50.34%
275 11/25/2027 444,838.61 18,717.60 7.5402 7.5977 50.49%
276 12/25/2027 430,147.96 18,154.59 7.5389 7.5956 50.65%
277 1/25/2028 415,885.67 17,607.42 7.5295 7.5946 50.80%
278 2/25/2028 402,039.90 17,075.63 7.5281 7.5936 50.97%
279 3/25/2028 388,599.13 16,558.83 7.5281 7.5932 51.13%
280 4/25/2028 375,552.17 16,056.57 7.5299 7.5937 51.31%
281 5/25/2028 362,888.10 15,568.48 7.5304 7.5928 51.48%
282 6/25/2028 350,596.31 15,094.19 7.5308 7.5929 51.66%
283 7/25/2028 338,666.49 14,633.31 7.5257 7.5928 51.85%
284 8/25/2028 327,088.59 14,185.47 7.5258 7.5982 52.04%
285 9/25/2028 315,852.85 13,750.31 7.5266 7.6042 52.24%
286 10/25/2028 304,949.74 13,327.52 7.5271 7.6086 52.44%
287 11/25/2028 294,370.04 12,916.73 7.5285 7.6151 52.66%
288 12/25/2028 284,104.73 12,517.58 7.5327 7.6207 52.87%
289 1/25/2029 274,145.05 12,129.79 7.5548 7.6259 53.10%
290 2/25/2029 264,482.47 11,753.04 7.5604 7.6233 53.33%
291 3/25/2029 255,108.70 11,387.03 7.5603 7.6194 53.56%
292 4/25/2029 246,015.67 11,031.47 7.5626 7.6169 53.81%
293 5/25/2029 237,195.54 10,686.06 7.5631 7.6126 54.06%
294 6/25/2029 228,640.67 10,350.54 7.5611 7.6092 54.32%
295 7/25/2029 220,343.62 10,020.64 7.5414 7.6061 54.57%
296 8/25/2029 212,301.14 9,704.24 7.5381 7.6121 54.85%
297 9/25/2029 204,502.08 9,396.92 7.5389 7.6193 55.14%
298 10/25/2029 196,939.60 9,098.44 7.5393 7.6251 55.44%
299 11/25/2029 189,607.04 8,806.61 7.5408 7.6329 55.74%
300 12/25/2029 182,499.88 8,525.16 7.5460 7.6399 56.06%
301 1/25/2030 175,609.81 8,251.82 7.5460 7.6399 56.39%
302 2/25/2030 168,930.69 7,986.39 7.5460 7.6399 56.73%
303 3/25/2030 162,456.58 7,728.63 7.5460 7.6399 57.09%
304 4/25/2030 156,181.68 7,478.35 7.5460 7.6399 57.46%
305 5/25/2030 150,100.36 7,235.33 7.5460 7.6399 57.84%
306 6/25/2030 144,207.13 6,999.36 7.5460 7.6399 58.24%
307 7/25/2030 138,496.66 6,770.27 7.5460 7.6399 58.66%
308 8/25/2030 132,963.75 6,547.84 7.5460 7.6399 59.09%
309 9/25/2030 127,603.37 6,331.91 7.5460 7.6399 59.55%
310 10/25/2030 122,410.59 6,122.29 7.5460 7.6399 60.02%
311 11/25/2030 117,380.66 5,918.80 7.5460 7.6399 60.51%
312 12/25/2030 112,508.91 5,721.28 7.5460 7.6399 61.02%
313 1/25/2031 107,790.84 5,529.57 7.5460 7.6399 61.56%
314 2/25/2031 103,222.05 5,343.49 7.5460 7.6399 62.12%
315 3/25/2031 98,798.26 5,162.89 7.5460 7.6399 62.71%
316 4/25/2031 94,515.32 4,987.62 7.5460 7.6399 63.32%
317 5/25/2031 90,369.19 4,817.54 7.5460 7.6399 63.97%
318 6/25/2031 86,355.93 4,652.49 7.5460 7.6399 64.65%
319 7/25/2031 82,471.72 4,492.33 7.5460 7.6399 65.37%
320 8/25/2031 78,712.85 4,336.94 7.5460 7.6399 66.12%
321 9/25/2031 75,075.68 4,186.18 7.5460 7.6399 66.91%
322 10/25/2031 71,556.70 4,039.91 7.5460 7.6399 67.75%
323 11/25/2031 68,152.50 3,898.01 7.5460 7.6399 68.63%
324 12/25/2031 64,859.75 3,760.36 7.5460 7.6399 69.57%
325 1/25/2032 61,675.20 3,626.85 7.5460 7.6399 70.57%
326 2/25/2032 58,595.72 3,497.34 7.5460 7.6399 71.62%
327 3/25/2032 55,618.24 3,371.74 7.5460 7.6399 72.75%
328 4/25/2032 52,739.80 3,249.93 7.5460 7.6399 73.95%
329 5/25/2032 49,957.48 3,131.80 7.5460 7.6399 75.23%
330 6/25/2032 47,268.49 3,017.26 7.5460 7.6399 76.60%
331 7/25/2032 44,670.09 2,906.20 7.5460 7.6399 78.07%
332 8/25/2032 42,159.61 2,798.51 7.5460 7.6399 79.65%
333 9/25/2032 39,734.48 2,694.12 7.5460 7.6399 81.36%
334 10/25/2032 37,392.17 2,592.92 7.5460 7.6399 83.21%
335 11/25/2032 35,130.25 2,494.82 7.5460 7.6399 85.22%
336 12/25/2032 32,946.33 2,399.74 7.5460 7.6399 87.41%
337 1/25/2033 30,838.10 2,307.59 7.5460 7.6399 89.80%
338 2/25/2033 28,803.33 2,218.28 7.5460 7.6399 92.42%
339 3/25/2033 26,839.82 2,131.74 7.5460 7.6399 95.31%
340 4/25/2033 24,945.45 2,047.89 7.5460 7.6399 98.51%
341 5/25/2033 23,118.15 1,966.65 7.5460 7.6399 102.08%
342 6/25/2033 21,355.93 1,887.94 7.5460 7.6399 106.08%
343 7/25/2033 19,656.83 1,811.70 7.5460 7.6399 110.60%
344 8/25/2033 18,018.95 1,737.85 7.5460 7.6399 115.73%
345 9/25/2033 16,440.45 1,666.32 7.5460 7.6399 121.63%
346 10/25/2033 14,919.55 1,597.06 7.5460 7.6399 128.45%
347 11/25/2033 13,454.49 1,529.99 7.5460 7.6399 136.46%
348 12/25/2033 12,043.59 1,442.77 7.5460 7.6399 143.75%
349 1/25/2034 10,707.48 1,380.85 7.5460 7.6399 154.75%
350 2/25/2034 9,421.45 1,320.91 7.5460 7.6399 168.24%
351 3/25/2034 8,183.97 1,262.90 7.5460 7.6399 185.18%
352 4/25/2034 6,993.56 1,206.75 7.5460 7.6399 207.06%
353 5/25/2034 5,848.77 1,152.42 7.5460 7.6399 236.44%
354 6/25/2034 4,748.19 1,099.72 7.5460 7.6399 277.93%
355 7/25/2034 3,690.60 1,048.08 7.5460 7.6399 340.78%
356 8/25/2034 2,675.31 996.86 7.5460 7.6399 447.14%
357 9/25/2034 1,702.30 948.8 7.5460 7.6399 668.84%
358 10/25/2034 768.77 775.81 7.5460 7.6399
Total
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Assumptions 5 CPR
AFC incl Cap Net WAC Cap + Cap Payment/AAA Balance Covered * 360/Actual
1/6m LR 5 - 6 - 7 - 8 respectively
MSAC 2004-WMC3
Period AFC incl Cap A2a Balance Period AFC incl Cap A2a Balance
1 5.73 133,010,000.00 1 5.73 133,010,000.00
2 6.47 131,138,913.66 2 6.47 131,138,913.66
3 7.16 129,275,353.85 3 7.16 129,275,353.85
4 6.47 127,419,331.48 4 6.47 127,419,331.48
5 6.69 125,571,036.10 5 6.69 125,571,036.10
6 6.47 123,730,210.72 6 6.47 123,730,210.72
7 6.69 121,896,822.57 7 6.69 121,896,822.57
8 6.47 120,070,839.05 8 6.47 120,070,839.05
9 6.47 118,252,227.71 9 6.47 118,252,227.71
10 6.69 116,440,956.19 10 6.69 116,440,956.19
11 6.47 114,637,164.11 11 6.47 114,637,164.11
12 6.69 112,840,646.60 12 6.69 112,840,646.60
13 6.47 111,051,371.74 13 6.47 111,051,371.74
14 6.47 109,269,307.74 14 6.47 109,269,307.74
15 7.17 107,494,422.93 15 7.17 107,494,422.93
16 6.48 105,726,685.78 16 6.48 105,726,685.78
17 6.69 103,966,201.17 17 6.69 103,966,201.17
18 6.48 102,212,800.92 18 6.48 102,212,800.92
19 6.69 100,466,453.92 19 6.69 100,466,453.92
20 6.48 98,727,129.15 20 6.48 98,727,129.15
21 6.48 96,994,859.16 21 6.48 96,994,859.16
22 6.70 95,269,549.35 22 6.70 95,269,549.35
23 7.84 93,551,534.96 23 7.84 93,551,534.96
24 8.10 91,885,057.52 24 8.10 91,885,057.52
25 7.84 90,225,157.73 25 7.84 90,225,157.73
26 7.84 88,571,805.91 26 7.84 88,571,805.91
27 8.68 86,925,006.98 27 8.68 86,925,006.98
28 7.84 85,284,696.87 28 7.85 85,284,696.87
29 8.84 83,651,022.54 29 8.85 83,651,022.54
30 8.56 82,047,324.75 30 8.56 82,047,324.75
31 8.84 80,449,901.49 31 8.85 80,449,901.49
32 8.56 78,858,723.93 32 8.56 78,858,723.93
33 8.56 77,273,792.58 33 8.56 77,273,792.58
34 8.89 75,695,049.47 34 8.89 75,695,049.47
35 9.27 74,125,628.26 35 9.36 74,125,628.26
36 9.58 72,582,717.78 36 9.68 72,582,717.78
37 9.27 71,045,798.06 37 9.36 71,045,798.06
38 9.27 69,514,840.99 38 9.36 69,514,840.99
39 9.91 67,989,843.41 39 10.01 67,989,843.41
40 9.29 66,470,752.48 40 9.38 66,470,752.48
41 9.93 64,958,419.21 41 10.36 64,958,419.21
42 9.61 63,468,953.24 42 10.03 63,468,953.24
43 9.93 61,985,244.36 43 10.36 61,985,244.36
44 9.61 60,507,265.03 44 10.03 60,507,265.03
45 9.61 59,035,009.04 45 10.03 59,035,009.04
46 9.93 57,568,427.77 46 10.38 57,568,427.77
47 9.62 56,108,230.09 47 10.36 56,108,230.09
48 9.94 54,668,139.34 48 10.70 54,668,139.34
49 9.62 53,233,597.83 49 10.36 53,233,597.83
50 9.62 51,804,578.54 50 10.36 51,804,578.54
51 10.65 50,381,072.72 51 11.47 50,381,072.72
52 9.62 48,963,035.35 52 10.36 48,963,035.35
53 9.94 47,551,059.50 53 10.72 47,551,059.50
54 9.62 46,155,672.00 54 10.37 46,155,672.00
55 9.94 44,765,647.84 55 10.72 44,765,647.84
56 9.62 43,380,960.48 56 10.37 43,380,960.48
57 9.62 42,001,583.52 57 10.37 42,001,583.52
58 9.97 40,627,490.61 58 10.74 40,627,490.61
59 9.73 39,259,638.51 59 10.48 39,259,638.51
60 10.06 37,864,324.21 60 10.83 37,864,324.21
61 9.73 36,474,129.72 61 10.49 36,474,129.72
62 9.73 35,089,028.04 62 10.49 35,089,028.04
63 10.78 33,708,992.20 63 11.61 33,708,992.20
64 9.74 32,333,995.36 64 10.49 32,333,995.36
65 10.08 30,964,321.49 65 10.86 30,964,321.49
66 9.75 29,600,405.96 66 10.51 29,600,405.96
67 10.08 28,241,444.42 67 10.86 28,241,444.42
68 9.75 26,887,410.32 68 10.51 26,887,410.32
69 9.75 25,538,277.18 69 10.51 25,538,277.18
70 10.08 24,194,018.61 70 10.87 24,194,018.61
71 9.77 22,854,838.79 71 10.53 22,854,838.79
72 10.09 21,520,967.94 72 10.88 21,520,967.94
73 9.77 20,191,890.03 73 10.53 20,191,890.03
74 9.77 18,867,578.96 74 10.53 18,867,578.96
75 10.81 17,548,008.72 75 11.66 17,548,008.72
76 9.77 16,233,153.34 76 10.54 16,233,153.34
77 10.09 14,923,187.35 77 10.90 14,923,187.35
78 9.77 13,618,136.53 78 10.55 13,618,136.53
79 10.09 12,317,721.54 79 10.90 12,317,721.54
80 9.77 11,021,916.73 80 10.55 11,021,916.73
81 9.77 9,730,696.50 81 10.55 9,730,696.50
82 10.10 8,432,757.40 82 10.90 8,432,757.40
83 9.77 7,150,853.73 83 10.55 7,150,853.73
84 10.10 5,873,584.23 84 10.90 5,873,584.23
85 9.77 4,600,796.73 85 10.55 4,600,796.73
86 9.77 3,332,465.98 86 10.55 3,332,465.98
87 10.45 2,068,566.79 87 11.28 2,068,566.79
88 9.77 809,074.06 88 10.55 809,074.06
Period AFC incl Cap A2a Balance Period AFC incl Cap A2a Balance
1 6.18 133,010,000.00 1 7.18 133,010,000.00
2 6.91 131,138,913.66 2 7.88 131,138,913.66
3 7.59 129,275,353.85 3 8.54 129,275,353.85
4 6.89 127,419,331.48 4 7.82 127,419,331.48
5 7.10 125,571,036.10 5 8.00 125,571,036.10
6 6.87 123,730,210.72 6 7.75 123,730,210.72
7 7.07 121,896,822.57 7 7.93 121,896,822.57
8 6.85 120,070,839.05 8 7.69 120,070,839.05
9 6.84 118,252,227.71 9 7.65 118,252,227.71
10 7.05 116,440,956.19 10 7.84 116,440,956.19
11 6.82 114,637,164.11 11 7.59 114,637,164.11
12 7.03 112,840,646.60 12 7.78 112,840,646.60
13 6.80 111,051,371.74 13 7.53 111,051,371.74
14 6.79 109,269,307.74 14 7.50 109,269,307.74
15 7.48 107,494,422.93 15 8.16 107,494,422.93
16 6.78 105,726,685.78 16 7.44 105,726,685.78
17 6.98 103,966,201.17 17 7.63 103,966,201.17
18 6.76 102,212,800.92 18 7.38 102,212,800.92
19 6.96 100,466,453.92 19 7.57 100,466,453.92
20 6.74 98,727,129.15 20 7.32 98,727,129.15
21 6.73 96,994,859.16 21 7.30 96,994,859.16
22 6.95 95,269,549.35 22 7.50 95,269,549.35
23 7.84 93,551,534.96 23 7.84 93,551,534.96
24 8.10 91,885,057.52 24 8.10 91,885,057.52
25 7.84 90,225,157.73 25 7.84 90,225,157.73
26 7.84 88,571,805.91 26 7.84 88,571,805.91
27 8.68 86,925,006.98 27 8.68 86,925,006.98
28 7.85 85,284,696.87 28 7.85 85,284,696.87
29 8.85 83,651,022.54 29 8.85 83,651,022.54
30 8.56 82,047,324.75 30 8.56 82,047,324.75
31 8.85 80,449,901.49 31 8.85 80,449,901.49
32 8.56 78,858,723.93 32 8.56 78,858,723.93
33 8.56 77,273,792.58 33 8.56 77,273,792.58
34 8.89 75,695,049.47 34 8.89 75,695,049.47
35 9.37 74,125,628.26 35 9.37 74,125,628.26
36 9.68 72,582,717.78 36 9.68 72,582,717.78
37 9.37 71,045,798.06 37 9.37 71,045,798.06
38 9.37 69,514,840.99 38 9.37 69,514,840.99
39 10.01 67,989,843.41 39 10.01 67,989,843.41
40 9.39 66,470,752.48 40 9.39 66,470,752.48
41 10.46 64,958,419.21 41 10.46 64,958,419.21
42 10.12 63,468,953.24 42 10.12 63,468,953.24
43 10.46 61,985,244.36 43 10.46 61,985,244.36
44 10.12 60,507,265.03 44 10.12 60,507,265.03
45 10.12 59,035,009.04 45 10.12 59,035,009.04
46 10.48 57,568,427.77 46 10.48 57,568,427.77
47 10.78 56,108,230.09 47 10.79 56,108,230.09
48 11.14 54,668,139.34 48 11.16 54,668,139.34
49 10.78 53,233,597.83 49 10.80 53,233,597.83
50 10.78 51,804,578.54 50 10.80 51,804,578.54
51 11.93 50,381,072.72 51 11.96 50,381,072.72
52 10.79 48,963,035.35 52 10.82 48,963,035.35
53 11.47 47,551,059.50 53 11.70 47,551,059.50
54 11.10 46,155,672.00 54 11.32 46,155,672.00
55 11.48 44,765,647.84 55 11.70 44,765,647.84
56 11.11 43,380,960.48 56 11.32 43,380,960.48
57 11.11 42,001,583.52 57 11.32 42,001,583.52
58 11.50 40,627,490.61 58 11.73 40,627,490.61
59 11.23 39,259,638.51 59 11.45 39,259,638.51
60 11.60 37,864,324.21 60 11.83 37,864,324.21
61 11.23 36,474,129.72 61 11.45 36,474,129.72
62 11.23 35,089,028.04 62 11.45 35,089,028.04
63 12.43 33,708,992.20 63 12.68 33,708,992.20
64 11.24 32,333,995.36 64 11.46 32,333,995.36
65 11.63 30,964,321.49 65 11.87 30,964,321.49
66 11.26 29,600,405.96 66 11.48 29,600,405.96
67 11.64 28,241,444.42 67 11.87 28,241,444.42
68 11.26 26,887,410.32 68 11.49 26,887,410.32
69 11.26 25,538,277.18 69 11.49 25,538,277.18
70 11.64 24,194,018.61 70 11.87 24,194,018.61
71 11.29 22,854,838.79 71 11.51 22,854,838.79
72 11.66 21,520,967.94 72 11.89 21,520,967.94
73 11.29 20,191,890.03 73 11.51 20,191,890.03
74 11.29 18,867,578.96 74 11.51 18,867,578.96
75 12.50 17,548,008.72 75 12.75 17,548,008.72
76 11.29 16,233,153.34 76 11.52 16,233,153.34
77 11.69 14,923,187.35 77 11.92 14,923,187.35
78 11.31 13,618,136.53 78 11.53 13,618,136.53
79 11.69 12,317,721.54 79 11.92 12,317,721.54
80 11.31 11,021,916.73 80 11.54 11,021,916.73
81 11.31 9,730,696.50 81 11.54 9,730,696.50
82 11.69 8,432,757.40 82 11.92 8,432,757.40
83 11.32 7,150,853.73 83 11.55 7,150,853.73
84 11.70 5,873,584.23 84 11.93 5,873,584.23
85 11.32 4,600,796.73 85 11.55 4,600,796.73
86 11.32 3,332,465.98 86 11.55 3,332,465.98
87 12.11 2,068,566.79 87 12.35 2,068,566.79
88 11.33 809,074.06 88 11.55 809,074.06
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. Morgan
Stanley 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. Morgan Stanley 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 Morgan Stanley 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, Morgan Stanley and each recipient hereof are
deemed to agree that both Morgan Stanley 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 Morgan Stanley 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. Morgan Stanley does not undertake or have any responsibility to
notify you of any changes to the attached information. Morgan Stanley & 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).
MSAC 2004-WMC3 A-2a
----------------------------------------------------------------------------------------------------------------
CPR5Call CPR10Call CPR15Call CPR20Call CPR25Call
----------------------------------------------------------------------------------------------------------------
Average Life 3.38 1.80 1.21 0.91 0.72
First Prin 1/25/2005 1/25/2005 1/25/2005 1/25/2005 1/25/2005
Last Prin 1/25/2012 10/25/2008 6/25/2007 11/25/2006 6/25/2006
Payment Window 85 46 30 23 18
----------------------------------------------------------------------------------------------------------------
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. Morgan
Stanley 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. Morgan Stanley 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 Morgan Stanley 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, Morgan Stanley and each recipient hereof are
deemed to agree that both Morgan Stanley 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 Morgan Stanley 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. Morgan Stanley does not undertake or have any responsibility to
notify you of any changes to the attached information. Morgan Stanley & 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).
To Maturity, Wamco ppy vectors, 8% Libor, Triggers Passing
Fix Prepay Ramp: 2-15 cpr over 24 mos, 15 cpr for life
Arm Prepay Ramp: 4-25 cpr over 12 mos, 25-30 cpr over 11 mos,
70cpr for 6 mos, 53 cpr for 6 mos, 43 cpr for 6
mos, 37 cpr for 6 mos, 32 cpr for life
Avg Life:
8.02
A-2c Int Rate Paid A-2c Int Rate Paid Beginning %
w/o XS w XS Class A-2c Arm
Balance Loans
1 12/25/2004 NA NA 28,000,000.00 79.87
2 1/25/2005 7.18 7.39 28,000,000.00 79.81
3 2/25/2005 7.89 8.13 28,000,000.00 79.73
4 3/25/2005 8.55 8.82 28,000,000.00 79.62
5 4/25/2005 7.84 8.09 28,000,000.00 79.49
6 5/25/2005 8.04 8.29 28,000,000.00 79.34
7 6/25/2005 7.80 8.06 28,000,000.00 79.17
8 7/25/2005 8.00 8.27 28,000,000.00 78.97
9 8/25/2005 7.77 8.04 28,000,000.00 78.74
10 9/25/2005 7.77 8.03 28,000,000.00 78.49
11 10/25/2005 7.98 8.26 28,000,000.00 78.21
12 11/25/2005 7.76 8.04 28,000,000.00 77.93
13 12/25/2005 7.97 8.27 28,000,000.00 77.65
14 1/25/2006 7.75 8.05 28,000,000.00 77.37
15 2/25/2006 7.75 8.05 28,000,000.00 77.09
16 3/25/2006 8.44 8.79 28,000,000.00 76.80
17 4/25/2006 7.75 8.07 28,000,000.00 76.51
18 5/25/2006 7.96 8.31 28,000,000.00 76.21
19 6/25/2006 7.74 8.09 28,000,000.00 75.92
20 7/25/2006 7.96 8.33 28,000,000.00 75.61
21 8/25/2006 7.75 8.12 28,000,000.00 75.31
22 9/25/2006 7.75 8.13 28,000,000.00 74.96
23 10/25/2006 7.98 8.40 28,000,000.00 73.30
24 11/25/2006 7.83 8.46 28,000,000.00 71.57
25 12/25/2006 8.09 8.80 28,000,000.00 69.78
26 1/25/2007 7.83 8.60 28,000,000.00 67.93
27 2/25/2007 7.82 8.68 28,000,000.00 66.02
28 3/25/2007 8.43 9.71 28,000,000.00 64.09
29 4/25/2007 7.83 8.90 28,000,000.00 62.95
30 5/25/2007 8.43 9.97 28,000,000.00 61.80
31 6/25/2007 8.38 9.81 28,000,000.00 60.64
32 7/25/2007 8.43 9.56 28,000,000.00 59.47
33 8/25/2007 8.35 8.43 28,000,000.00 58.29
34 9/25/2007 8.34 8.43 28,000,000.00 57.11
35 10/25/2007 8.43 8.43 28,000,000.00 56.30
36 11/25/2007 8.43 8.43 28,000,000.00 55.50
37 12/25/2007 8.43 8.43 28,000,000.00 54.69
38 1/25/2008 8.43 8.43 28,000,000.00 53.88
39 2/25/2008 8.43 8.43 28,000,000.00 53.07
40 3/25/2008 8.43 8.43 28,000,000.00 52.26
41 4/25/2008 8.43 8.43 28,000,000.00 51.65
42 5/25/2008 8.43 8.43 28,000,000.00 51.05
43 6/25/2008 8.43 8.43 28,000,000.00 50.44
44 7/25/2008 8.43 8.43 28,000,000.00 49.83
45 8/25/2008 8.43 8.43 28,000,000.00 49.23
46 9/25/2008 8.43 8.43 28,000,000.00 48.63
47 10/25/2008 8.43 8.43 28,000,000.00 48.18
48 11/25/2008 8.43 8.43 28,000,000.00 47.74
49 12/25/2008 8.43 8.43 28,000,000.00 47.30
50 1/25/2009 8.43 8.43 28,000,000.00 46.85
51 2/25/2009 8.43 8.43 28,000,000.00 46.41
52 3/25/2009 8.43 8.43 28,000,000.00 45.97
53 4/25/2009 8.43 8.43 28,000,000.00 45.53
54 5/25/2009 8.43 8.43 28,000,000.00 45.09
55 6/25/2009 8.43 8.43 28,000,000.00 44.65
56 7/25/2009 8.43 8.43 28,000,000.00 44.21
57 8/25/2009 8.43 8.43 28,000,000.00 43.78
58 9/25/2009 8.43 8.43 28,000,000.00 43.34
59 10/25/2009 8.43 8.43 28,000,000.00 42.91
60 11/25/2009 8.43 8.43 28,000,000.00 42.47
61 12/25/2009 8.43 8.43 28,000,000.00 42.04
62 1/25/2010 8.43 8.43 28,000,000.00 41.61
63 2/25/2010 8.43 8.43 28,000,000.00 41.18
64 3/25/2010 8.43 8.43 28,000,000.00 40.75
65 4/25/2010 8.43 8.43 27,450,598.04 40.32
66 5/25/2010 8.43 8.43 26,726,019.74 39.90
67 6/25/2010 8.43 8.43 26,020,303.57 39.47
68 7/25/2010 8.43 8.43 25,332,909.34 39.05
69 8/25/2010 8.43 8.43 24,663,313.22 38.63
70 9/25/2010 8.43 8.43 24,011,007.20 38.21
71 10/25/2010 8.43 8.43 23,375,510.59 37.79
72 11/25/2010 8.43 8.43 22,756,358.22 37.38
73 12/25/2010 8.43 8.43 22,153,059.80 36.96
74 1/25/2011 8.43 8.43 21,565,165.94 36.55
75 2/25/2011 8.43 8.43 20,992,240.77 36.14
76 3/25/2011 8.43 8.43 20,433,861.48 35.74
77 4/25/2011 8.43 8.43 19,889,626.84 35.33
78 5/25/2011 8.43 8.43 19,359,140.82 34.93
79 6/25/2011 8.43 8.43 18,842,005.77 34.53
80 7/25/2011 8.43 8.43 18,337,847.42 34.13
81 8/25/2011 8.43 8.43 17,846,302.70 33.74
82 9/25/2011 8.43 8.43 17,363,359.73 33.35
83 10/25/2011 8.43 8.43 16,896,073.65 32.96
84 11/25/2011 8.43 8.43 16,440,379.03 32.57
85 12/25/2011 8.86 8.86 15,995,949.24 32.18
86 1/25/2012 8.86 8.86 15,562,472.22 31.80
87 2/25/2012 8.86 8.86 15,139,645.17 31.42
88 3/25/2012 8.86 8.86 14,727,174.29 31.04
89 4/25/2012 8.86 8.86 14,324,774.46 30.66
90 5/25/2012 8.86 8.86 13,932,169.05 30.29
91 6/25/2012 8.86 8.86 13,549,089.58 29.92
92 7/25/2012 8.86 8.86 13,175,275.51 29.55
93 8/25/2012 8.86 8.86 12,810,473.99 29.19
94 9/25/2012 8.86 8.86 12,454,439.62 28.83
95 10/25/2012 8.86 8.86 12,106,934.23 28.47
96 11/25/2012 8.86 8.86 11,767,726.64 28.11
97 12/25/2012 8.86 8.86 11,436,592.48 27.76
98 1/25/2013 8.86 8.86 11,113,313.94 27.41
99 2/25/2013 8.86 8.86 10,797,679.60 27.06
100 3/25/2013 8.86 8.86 10,489,484.21 26.72
101 4/25/2013 8.86 8.86 10,188,528.55 26.38
102 5/25/2013 8.86 8.86 9,894,619.16 26.04
103 6/25/2013 8.86 8.86 9,607,568.26 25.70
104 7/25/2013 8.86 8.86 9,327,193.52 25.37
105 8/25/2013 8.86 8.86 9,053,317.89 25.04
106 9/25/2013 8.86 8.86 8,785,769.47 24.71
107 10/25/2013 8.86 8.86 8,524,381.34 24.39
108 11/25/2013 8.86 8.86 8,268,991.40 24.07
109 12/25/2013 8.86 8.86 8,019,442.24 23.75
110 1/25/2014 8.86 8.86 7,775,580.97 23.44
111 2/25/2014 8.86 8.86 7,537,259.13 23.13
112 3/25/2014 8.86 8.86 7,304,332.51 22.82
113 4/25/2014 8.86 8.86 7,076,661.04 22.51
114 5/25/2014 8.86 8.86 6,854,108.65 22.21
115 6/25/2014 8.83 8.86 6,636,543.18 21.91
116 7/25/2014 8.86 8.86 6,423,836.25 21.61
117 8/25/2014 8.80 8.86 6,215,863.12 21.32
118 9/25/2014 8.79 8.86 6,012,502.60 21.03
119 10/25/2014 8.86 8.86 5,813,673.33 20.74
120 11/25/2014 8.76 8.86 5,619,223.92 20.46
121 12/25/2014 8.86 8.86 5,429,043.23 20.18
122 1/25/2015 8.74 8.86 5,243,023.22 19.90
123 2/25/2015 8.73 8.86 5,061,058.95 19.62
124 3/25/2015 8.86 8.86 4,883,048.39 19.35
125 4/25/2015 8.70 8.86 4,708,892.41 19.08
126 5/25/2015 8.86 8.86 4,538,494.63 18.82
127 6/25/2015 8.68 8.86 4,371,761.41 18.55
128 7/25/2015 8.86 8.86 4,208,601.67 18.29
129 8/25/2015 8.66 8.86 4,048,926.91 18.03
130 9/25/2015 8.65 8.86 3,892,651.10 17.78
131 10/25/2015 8.86 8.86 3,739,690.55 17.53
132 11/25/2015 8.62 8.86 3,589,963.94 17.28
133 12/25/2015 8.86 8.86 3,443,392.18 17.03
134 1/25/2016 8.60 8.86 3,299,898.35 16.79
135 2/25/2016 8.59 8.86 3,159,407.66 16.55
136 3/25/2016 8.86 8.86 3,021,847.39 16.31
137 4/25/2016 8.57 8.86 2,887,146.78 16.08
138 5/25/2016 8.85 8.86 2,755,237.04 15.85
139 6/25/2016 8.55 8.86 2,626,051.23 15.62
140 7/25/2016 8.83 8.86 2,499,524.24 15.40
141 8/25/2016 8.53 8.86 2,375,592.75 15.17
142 9/25/2016 8.52 8.86 2,254,195.13 14.95
143 10/25/2016 8.80 8.86 2,135,271.43 14.74
144 11/25/2016 8.50 8.86 2,018,763.32 14.52
145 12/25/2016 8.78 8.86 1,904,614.02 14.31
146 1/25/2017 8.49 8.86 1,792,768.29 14.10
147 2/25/2017 8.48 8.86 1,683,172.38 13.89
148 3/25/2017 8.86 8.86 1,575,773.96 13.69
149 4/25/2017 8.46 8.86 1,470,522.09 13.49
150 5/25/2017 8.73 8.86 1,367,367.20 13.29
151 6/25/2017 8.44 8.86 1,266,261.03 13.09
152 7/25/2017 8.72 8.86 1,167,156.59 12.90
153 8/25/2017 8.43 8.86 1,070,008.12 12.71
154 9/25/2017 8.42 8.86 974,771.10 12.52
155 10/25/2017 8.69 8.86 881,402.14 12.34
156 11/25/2017 8.40 8.86 789,859.00 12.15
157 12/25/2017 8.68 8.86 700,100.55 11.97
158 1/25/2018 8.39 8.86 612,086.71 11.79
159 2/25/2018 8.38 8.86 525,778.46 11.62
160 3/25/2018 8.86 8.86 441,137.78 11.44
161 4/25/2018 8.37 8.86 358,127.63 11.27
162 5/25/2018 8.64 8.86 276,711.94 11.10
163 6/25/2018 8.35 8.86 196,855.53 10.94
164 7/25/2018 8.63 8.86 118,524.16 10.77
165 8/25/2018 8.34 8.86 41,684.43 10.61
166 9/25/2018 8.33 8.86 - 10.45
167 10/25/2018 - - - 10.30
168 11/25/2018 - - - 10.14
169 12/25/2018 - - - 9.99
170 1/25/2019 - - - 9.84
171 2/25/2019 - - - 9.69
172 3/25/2019 - - - 9.54
173 4/25/2019 - - - 9.40
174 5/25/2019 - - - 9.26
175 6/25/2019 - - - 9.12
176 7/25/2019 - - - 8.98
177 8/25/2019 - - - 8.84
178 9/25/2019 - - - 8.72
179 10/25/2019 - - - 15.63
180 11/25/2019 - - - 15.41
181 12/25/2019 - - - 15.19
182 1/25/2020 - - - 14.97
183 2/25/2020 - - - 14.76
184 3/25/2020 - - - 14.55
185 4/25/2020 - - - 14.34
186 5/25/2020 - - - 14.13
187 6/25/2020 - - - 13.93
188 7/25/2020 - - - 13.73
189 8/25/2020 - - - 13.53
190 9/25/2020 - - - 13.33
191 10/25/2020 - - - 13.14
192 11/25/2020 - - - 12.95
193 12/25/2020 - - - 12.76
194 1/25/2021 - - - 12.57
195 2/25/2021 - - - 12.39
196 3/25/2021 - - - 12.20
197 4/25/2021 - - - 12.02
198 5/25/2021 - - - 11.85
199 6/25/2021 - - - 11.67
200 7/25/2021 - - - 11.50
201 8/25/2021 - - - 11.33
202 9/25/2021 - - - 11.16
203 10/25/2021 - - - 11.00
204 11/25/2021 - - - 10.84
205 12/25/2021 - - - 10.67
206 1/25/2022 - - - 10.52
207 2/25/2022 - - - 10.36
208 3/25/2022 - - - 10.20
209 4/25/2022 - - - 10.05
210 5/25/2022 - - - 9.90
211 6/25/2022 - - - 9.75
212 7/25/2022 - - - 9.61
213 8/25/2022 - - - 9.47
214 9/25/2022 - - - 9.32
215 10/25/2022 - - - 9.18
216 11/25/2022 - - - 9.05
217 12/25/2022 - - - 8.91
218 1/25/2023 - - - 8.78
219 2/25/2023 - - - 8.64
220 3/25/2023 - - - 8.51
221 4/25/2023 - - - 8.39
222 5/25/2023 - - - 8.26
223 6/25/2023 - - - 8.13
224 7/25/2023 - - - 8.01
225 8/25/2023 - - - 7.89
226 9/25/2023 - - - 7.77
227 10/25/2023 - - - 7.65
228 11/25/2023 - - - 7.54
229 12/25/2023 - - - 7.42
230 1/25/2024 - - - 7.31
231 2/25/2024 - - - 7.20
232 3/25/2024 - - - 7.09
233 4/25/2024 - - - 6.98
234 5/25/2024 - - - 6.88
235 6/25/2024 - - - 6.77
236 7/25/2024 - - - 6.67
237 8/25/2024 - - - 6.57
238 9/25/2024 - - - 6.47
239 10/25/2024 - - - 6.37
240 11/25/2024 - - - 6.27
241 12/25/2024 - - - 6.17
242 1/25/2025 - - - 6.08
243 2/25/2025 - - - 5.98
244 3/25/2025 - - - 5.89
245 4/25/2025 - - - 5.80
246 5/25/2025 - - - 5.71
247 6/25/2025 - - - 5.62
248 7/25/2025 - - - 5.53
249 8/25/2025 - - - 5.44
250 9/25/2025 - - - 5.36
251 10/25/2025 - - - 5.28
252 11/25/2025 - - - 5.19
253 12/25/2025 - - - 5.11
254 1/25/2026 - - - 5.03
255 2/25/2026 - - - 4.95
256 3/25/2026 - - - 4.88
257 4/25/2026 - - - 4.80
258 5/25/2026 - - - 4.72
259 6/25/2026 - - - 4.65
260 7/25/2026 - - - 4.58
261 8/25/2026 - - - 4.51
262 9/25/2026 - - - 4.43
263 10/25/2026 - - - 4.37
264 11/25/2026 - - - 4.30
265 12/25/2026 - - - 4.23
266 1/25/2027 - - - 4.16
267 2/25/2027 - - - 4.10
268 3/25/2027 - - - 4.03
269 4/25/2027 - - - 3.97
270 5/25/2027 - - - 3.91
271 6/25/2027 - - - 3.85
272 7/25/2027 - - - 3.79
273 8/25/2027 - - - 3.73
274 9/25/2027 - - - 3.67
275 10/25/2027 - - - 3.61
276 11/25/2027 - - - 3.55
277 12/25/2027 - - - 3.50
278 1/25/2028 - - - 3.44
279 2/25/2028 - - - 3.39
280 3/25/2028 - - - 3.34
281 4/25/2028 - - - 3.28
282 5/25/2028 - - - 3.23
283 6/25/2028 - - - 3.18
284 7/25/2028 - - - 3.13
285 8/25/2028 - - - 3.08
286 9/25/2028 - - - 3.03
287 10/25/2028 - - - 2.99
288 11/25/2028 - - - 2.94
289 12/25/2028 - - - 2.89
290 1/25/2029 - - - 2.85
291 2/25/2029 - - - 2.80
292 3/25/2029 - - - 2.76
293 4/25/2029 - - - 2.72
294 5/25/2029 - - - 2.68
295 6/25/2029 - - - 2.63
296 7/25/2029 - - - 2.59
297 8/25/2029 - - - 2.55
298 9/25/2029 - - - 2.51
299 10/25/2029 - - - 2.47
300 11/25/2029 - - - 2.43
301 12/25/2029 - - - 2.40
302 1/25/2030 - - - 2.36
303 2/25/2030 - - - 2.32
304 3/25/2030 - - - 2.29
305 4/25/2030 - - - 2.25
306 5/25/2030 - - - 2.22
307 6/25/2030 - - - 2.18
308 7/25/2030 - - - 2.15
309 8/25/2030 - - - 2.11
310 9/25/2030 - - - 2.08
311 10/25/2030 - - - 2.05
312 11/25/2030 - - - 2.02
313 12/25/2030 - - - 1.99
314 1/25/2031 - - - 1.95
315 2/25/2031 - - - 1.92
316 3/25/2031 - - - 1.90
317 4/25/2031 - - - 1.87
318 5/25/2031 - - - 1.84
319 6/25/2031 - - - 1.81
320 7/25/2031 - - - 1.78
321 8/25/2031 - - - 1.75
322 9/25/2031 - - - 1.73
323 10/25/2031 - - - 1.70
324 11/25/2031 - - - 1.68
325 12/25/2031 - - - 1.65
326 1/25/2032 - - - 1.63
327 2/25/2032 - - - 1.60
328 3/25/2032 - - - 1.58
329 4/25/2032 - - - 1.55
330 5/25/2032 - - - 1.53
331 6/25/2032 - - - 1.51
332 7/25/2032 - - - 1.49
333 8/25/2032 - - - 1.46
334 9/25/2032 - - - 1.44
335 10/25/2032 - - - 1.42
336 11/25/2032 - - - 1.40
337 12/25/2032 - - - 1.38
338 1/25/2033 - - - 1.36
339 2/25/2033 - - - 1.35
340 3/25/2033 - - - 1.33
341 4/25/2033 - - - 1.31
342 5/25/2033 - - - 1.29
343 6/25/2033 - - - 1.28
344 7/25/2033 - - - 1.26
345 8/25/2033 - - - 1.25
346 9/25/2033 - - - 1.23
347 10/25/2033 - - - 1.22
348 11/25/2033 - - - 1.21
349 12/25/2033 - - - 1.20
350 1/25/2034 - - - 1.18
351 2/25/2034 - - - 1.17
352 3/25/2034 - - - 1.15
353 4/25/2034 - - - 1.14
354 5/25/2034 - - - 1.14
355 6/25/2034 - - - 1.14
356 7/25/2034 - - - 1.15
357 8/25/2034 - - - 1.19
358 9/25/2034 - - - 1.41
359 10/25/2034 - - - -
% Beginning
Fix Collateral
Loans Balance
1 12/25/2004 20.13 1,132,909,507.41
2 1/25/2005 20.19 1,125,359,465.81
3 2/25/2005 20.27 1,116,192,678.73
4 3/25/2005 20.38 1,105,419,531.13
5 4/25/2005 20.51 1,093,058,441.02
6 5/25/2005 20.66 1,079,134,760.38
7 6/25/2005 20.83 1,063,682,352.76
8 7/25/2005 21.03 1,046,742,412.97
9 8/25/2005 21.26 1,028,364,999.01
10 9/25/2005 21.51 1,008,606,404.84
11 10/25/2005 21.79 987,587,993.92
12 11/25/2005 22.07 966,923,482.63
13 12/25/2005 22.35 946,209,451.06
14 1/25/2006 22.63 925,465,069.08
15 2/25/2006 22.91 904,709,297.56
16 3/25/2006 23.20 883,960,845.02
17 4/25/2006 23.49 863,238,339.40
18 5/25/2006 23.79 842,552,153.17
19 6/25/2006 24.08 821,928,614.50
20 7/25/2006 24.39 801,361,304.11
21 8/25/2006 24.69 780,894,662.81
22 9/25/2006 25.04 759,225,839.27
23 10/25/2006 26.70 701,790,576.77
24 11/25/2006 28.43 649,728,915.42
25 12/25/2006 30.22 602,440,488.02
26 1/25/2007 32.07 559,477,443.10
27 2/25/2007 33.98 520,420,775.27
28 3/25/2007 35.91 485,276,880.79
29 4/25/2007 37.05 463,627,717.17
30 5/25/2007 38.20 443,215,174.15
31 6/25/2007 39.36 423,938,036.84
32 7/25/2007 40.53 405,730,360.74
33 8/25/2007 41.71 388,526,035.52
34 9/25/2007 42.89 372,378,923.39
35 10/25/2007 43.70 360,231,621.81
36 11/25/2007 44.50 348,587,793.61
37 12/25/2007 45.31 337,407,412.62
38 1/25/2008 46.12 326,670,982.73
39 2/25/2008 46.93 316,358,245.64
40 3/25/2008 47.74 306,495,653.10
41 4/25/2008 48.35 298,252,465.32
42 5/25/2008 48.95 290,282,740.95
43 6/25/2008 49.56 282,565,783.60
44 7/25/2008 50.17 275,093,196.95
45 8/25/2008 50.77 267,855,896.38
46 9/25/2008 51.37 260,872,971.65
47 10/25/2008 51.82 254,859,481.30
48 11/25/2008 52.26 249,010,204.64
49 12/25/2008 52.70 243,312,840.08
50 1/25/2009 53.15 237,763,045.74
51 2/25/2009 53.59 232,356,615.78
52 3/25/2009 54.03 227,089,461.20
53 4/25/2009 54.47 221,957,803.23
54 5/25/2009 54.91 216,962,399.73
55 6/25/2009 55.35 212,094,460.34
56 7/25/2009 55.79 207,350,383.31
57 8/25/2009 56.22 202,726,674.99
58 9/25/2009 56.66 198,219,946.43
59 10/25/2009 57.09 193,827,074.33
60 11/25/2009 57.53 189,536,809.43
61 12/25/2009 57.96 185,354,355.16
62 1/25/2010 58.39 181,276,694.36
63 2/25/2010 58.82 177,300,899.97
64 3/25/2010 59.25 173,424,132.26
65 4/25/2010 59.68 169,643,698.38
66 5/25/2010 60.10 165,957,094.36
67 6/25/2010 60.53 162,361,477.64
68 7/25/2010 60.95 158,854,332.44
69 8/25/2010 61.37 155,433,217.62
70 9/25/2010 61.79 152,095,764.38
71 10/25/2010 62.21 148,839,712.15
72 11/25/2010 62.62 145,662,932.69
73 12/25/2010 63.04 142,563,110.04
74 1/25/2011 63.45 139,538,143.70
75 2/25/2011 63.86 136,585,995.05
76 3/25/2011 64.26 133,704,685.48
77 4/25/2011 64.67 130,892,320.82
78 5/25/2011 65.07 128,147,090.75
79 6/25/2011 65.47 125,467,099.47
80 7/25/2011 65.87 122,850,590.76
81 8/25/2011 66.26 120,295,859.75
82 9/25/2011 66.65 117,791,474.15
83 10/25/2011 67.04 115,355,589.96
84 11/25/2011 67.43 112,976,690.85
85 12/25/2011 67.82 110,653,227.31
86 1/25/2012 68.20 108,383,728.75
87 2/25/2012 68.58 106,166,767.26
88 3/25/2012 68.96 104,000,956.26
89 4/25/2012 69.34 101,884,949.22
90 5/25/2012 69.71 99,817,438.52
91 6/25/2012 70.08 97,797,154.21
92 7/25/2012 70.45 95,822,862.86
93 8/25/2012 70.81 93,893,366.50
94 9/25/2012 71.17 92,007,501.52
95 10/25/2012 71.53 90,164,137.62
96 11/25/2012 71.89 88,362,176.84
97 12/25/2012 72.24 86,600,552.53
98 1/25/2013 72.59 84,878,228.45
99 2/25/2013 72.94 83,194,197.84
100 3/25/2013 73.28 81,547,482.51
101 4/25/2013 73.62 79,937,132.03
102 5/25/2013 73.96 78,362,222.84
103 6/25/2013 74.30 76,821,857.48
104 7/25/2013 74.63 75,315,163.77
105 8/25/2013 74.96 73,841,294.10
106 9/25/2013 75.29 72,399,424.66
107 10/25/2013 75.61 70,988,754.74
108 11/25/2013 75.93 69,608,506.03
109 12/25/2013 76.25 68,257,921.95
110 1/25/2014 76.56 66,936,267.02
111 2/25/2014 76.87 65,642,826.22
112 3/25/2014 77.18 64,376,904.36
113 4/25/2014 77.49 63,137,825.54
114 5/25/2014 77.79 61,924,932.51
115 6/25/2014 78.09 60,737,586.18
116 7/25/2014 78.39 59,575,165.05
117 8/25/2014 78.68 58,437,064.67
118 9/25/2014 78.97 57,322,890.15
119 10/25/2014 79.26 56,232,073.60
120 11/25/2014 79.54 55,164,540.92
121 12/25/2014 79.82 54,119,049.80
122 1/25/2015 80.10 53,095,074.25
123 2/25/2015 80.38 52,092,102.55
124 3/25/2015 80.65 51,109,636.82
125 4/25/2015 80.92 50,147,192.60
126 5/25/2015 81.18 49,204,298.50
127 6/25/2015 81.45 48,280,495.76
128 7/25/2015 81.71 47,375,337.94
129 8/25/2015 81.97 46,488,390.49
130 9/25/2015 82.22 45,619,230.50
131 10/25/2015 82.47 44,767,446.24
132 11/25/2015 82.72 43,932,636.96
133 12/25/2015 82.97 43,114,412.46
134 1/25/2016 83.21 42,312,392.88
135 2/25/2016 83.45 41,526,208.33
136 3/25/2016 83.69 40,755,498.63
137 4/25/2016 83.92 39,999,913.04
138 5/25/2016 84.15 39,259,109.97
139 6/25/2016 84.38 38,532,756.71
140 7/25/2016 84.60 37,820,529.22
141 8/25/2016 84.83 37,122,111.81
142 9/25/2016 85.05 36,437,196.98
143 10/25/2016 85.26 35,765,485.12
144 11/25/2016 85.48 35,106,684.33
145 12/25/2016 85.69 34,460,510.15
146 1/25/2017 85.90 33,826,685.42
147 2/25/2017 86.11 33,204,940.01
148 3/25/2017 86.31 32,595,010.66
149 4/25/2017 86.51 31,996,640.74
150 5/25/2017 86.71 31,409,580.13
151 6/25/2017 86.91 30,833,584.98
152 7/25/2017 87.10 30,268,417.55
153 8/25/2017 87.29 29,713,846.05
154 9/25/2017 87.48 29,169,644.46
155 10/25/2017 87.66 28,635,592.38
156 11/25/2017 87.85 28,111,474.87
157 12/25/2017 88.03 27,597,082.27
158 1/25/2018 88.21 27,092,210.11
159 2/25/2018 88.38 26,596,658.92
160 3/25/2018 88.56 26,110,234.10
161 4/25/2018 88.73 25,632,745.80
162 5/25/2018 88.90 25,164,008.77
163 6/25/2018 89.06 24,703,842.27
164 7/25/2018 89.23 24,252,069.88
165 8/25/2018 89.39 23,808,519.46
166 9/25/2018 89.55 23,373,022.97
167 10/25/2018 89.70 22,945,416.40
168 11/25/2018 89.86 22,525,539.63
169 12/25/2018 90.01 22,113,236.34
170 1/25/2019 90.16 21,708,353.92
171 2/25/2019 90.31 21,310,743.33
172 3/25/2019 90.46 20,920,259.06
173 4/25/2019 90.60 20,536,758.97
174 5/25/2019 90.74 20,160,104.25
175 6/25/2019 90.88 19,790,159.34
176 7/25/2019 91.02 19,426,791.76
177 8/25/2019 91.16 19,069,872.15
178 9/25/2019 91.28 18,683,077.67
179 10/25/2019 84.37 10,076,933.35
180 11/25/2019 84.59 9,881,920.54
181 12/25/2019 84.81 9,690,757.09
182 1/25/2020 85.03 9,503,357.18
183 2/25/2020 85.24 9,319,637.22
184 3/25/2020 85.45 9,139,515.73
185 4/25/2020 85.66 8,962,913.34
186 5/25/2020 85.87 8,789,752.66
187 6/25/2020 86.07 8,619,958.27
188 7/25/2020 86.27 8,453,456.68
189 8/25/2020 86.47 8,290,176.22
190 9/25/2020 86.67 8,130,047.04
191 10/25/2020 86.86 7,973,001.02
192 11/25/2020 87.05 7,818,971.76
193 12/25/2020 87.24 7,667,894.50
194 1/25/2021 87.43 7,519,706.07
195 2/25/2021 87.61 7,374,344.91
196 3/25/2021 87.80 7,231,750.92
197 4/25/2021 87.98 7,091,865.52
198 5/25/2021 88.15 6,954,631.54
199 6/25/2021 88.33 6,819,993.22
200 7/25/2021 88.50 6,687,896.14
201 8/25/2021 88.67 6,558,287.23
202 9/25/2021 88.84 6,431,114.66
203 10/25/2021 89.00 6,306,327.89
204 11/25/2021 89.16 6,183,877.57
205 12/25/2021 89.33 6,063,715.54
206 1/25/2022 89.48 5,945,794.79
207 2/25/2022 89.64 5,830,069.41
208 3/25/2022 89.80 5,716,494.61
209 4/25/2022 89.95 5,605,026.64
210 5/25/2022 90.10 5,495,622.76
211 6/25/2022 90.25 5,388,241.28
212 7/25/2022 90.39 5,282,841.44
213 8/25/2022 90.53 5,179,383.46
214 9/25/2022 90.68 5,077,828.46
215 10/25/2022 90.82 4,978,138.48
216 11/25/2022 90.95 4,880,276.42
217 12/25/2022 91.09 4,784,206.04
218 1/25/2023 91.22 4,689,891.93
219 2/25/2023 91.36 4,597,299.48
220 3/25/2023 91.49 4,506,394.88
221 4/25/2023 91.61 4,417,145.08
222 5/25/2023 91.74 4,329,517.78
223 6/25/2023 91.87 4,243,481.39
224 7/25/2023 91.99 4,159,005.05
225 8/25/2023 92.11 4,076,058.57
226 9/25/2023 92.23 3,994,612.45
227 10/25/2023 92.35 3,914,637.83
228 11/25/2023 92.46 3,836,106.50
229 12/25/2023 92.58 3,758,990.86
230 1/25/2024 92.69 3,683,263.92
231 2/25/2024 92.80 3,608,899.29
232 3/25/2024 92.91 3,535,871.14
233 4/25/2024 93.02 3,464,154.20
234 5/25/2024 93.12 3,393,723.76
235 6/25/2024 93.23 3,324,555.63
236 7/25/2024 93.33 3,256,626.15
237 8/25/2024 93.43 3,189,951.79
238 9/25/2024 93.53 3,124,692.56
239 10/25/2024 93.63 3,061,031.93
240 11/25/2024 93.73 2,998,991.38
241 12/25/2024 93.83 2,938,054.37
242 1/25/2025 93.92 2,878,200.50
243 2/25/2025 94.02 2,819,409.76
244 3/25/2025 94.11 2,761,662.58
245 4/25/2025 94.20 2,704,939.81
246 5/25/2025 94.29 2,649,222.68
247 6/25/2025 94.38 2,594,492.81
248 7/25/2025 94.47 2,540,732.22
249 8/25/2025 94.56 2,487,923.27
250 9/25/2025 94.64 2,436,048.71
251 10/25/2025 94.72 2,385,091.63
252 11/25/2025 94.81 2,335,035.46
253 12/25/2025 94.89 2,285,863.98
254 1/25/2026 94.97 2,237,561.29
255 2/25/2026 95.05 2,190,111.82
256 3/25/2026 95.12 2,143,500.29
257 4/25/2026 95.20 2,097,711.76
258 5/25/2026 95.28 2,052,731.56
259 6/25/2026 95.35 2,008,545.32
260 7/25/2026 95.42 1,965,138.96
261 8/25/2026 95.49 1,922,498.68
262 9/25/2026 95.57 1,880,610.95
263 10/25/2026 95.63 1,839,462.49
264 11/25/2026 95.70 1,799,040.30
265 12/25/2026 95.77 1,759,331.62
266 1/25/2027 95.84 1,720,323.95
267 2/25/2027 95.90 1,682,005.03
268 3/25/2027 95.97 1,644,362.83
269 4/25/2027 96.03 1,607,385.54
270 5/25/2027 96.09 1,571,061.61
271 6/25/2027 96.15 1,535,379.68
272 7/25/2027 96.21 1,500,328.62
273 8/25/2027 96.27 1,465,897.52
274 9/25/2027 96.33 1,432,075.64
275 10/25/2027 96.39 1,398,852.50
276 11/25/2027 96.45 1,366,217.76
277 12/25/2027 96.50 1,334,161.30
278 1/25/2028 96.56 1,302,673.21
279 2/25/2028 96.61 1,271,743.72
280 3/25/2028 96.66 1,241,363.28
281 4/25/2028 96.72 1,211,522.49
282 5/25/2028 96.77 1,182,212.14
283 6/25/2028 96.82 1,153,423.18
284 7/25/2028 96.87 1,125,146.74
285 8/25/2028 96.92 1,097,374.10
286 9/25/2028 96.97 1,070,096.70
287 10/25/2028 97.01 1,043,306.13
288 11/25/2028 97.06 1,016,994.15
289 12/25/2028 97.11 991,152.66
290 1/25/2029 97.15 965,773.70
291 2/25/2029 97.20 940,849.47
292 3/25/2029 97.24 916,372.28
293 4/25/2029 97.28 892,334.61
294 5/25/2029 97.32 868,729.05
295 6/25/2029 97.37 845,548.35
296 7/25/2029 97.41 822,831.50
297 8/25/2029 97.45 800,524.35
298 9/25/2029 97.49 778,620.01
299 10/25/2029 97.53 757,111.74
300 11/25/2029 97.57 736,015.92
301 12/25/2029 97.60 715,302.55
302 1/25/2030 97.64 694,965.23
303 2/25/2030 97.68 674,997.69
304 3/25/2030 97.71 655,393.75
305 4/25/2030 97.75 636,147.34
306 5/25/2030 97.78 617,252.51
307 6/25/2030 97.82 598,703.38
308 7/25/2030 97.85 580,494.22
309 8/25/2030 97.89 562,619.35
310 9/25/2030 97.92 545,073.23
311 10/25/2030 97.95 527,850.38
312 11/25/2030 97.98 510,945.42
313 12/25/2030 98.01 494,353.09
314 1/25/2031 98.05 478,068.19
315 2/25/2031 98.08 462,085.62
316 3/25/2031 98.10 446,400.36
317 4/25/2031 98.13 431,007.47
318 5/25/2031 98.16 415,902.13
319 6/25/2031 98.19 401,079.54
320 7/25/2031 98.22 386,535.04
321 8/25/2031 98.25 372,264.01
322 9/25/2031 98.27 358,261.93
323 10/25/2031 98.30 344,524.34
324 11/25/2031 98.32 331,046.85
325 12/25/2031 98.35 317,825.16
326 1/25/2032 98.37 304,855.05
327 2/25/2032 98.40 292,132.33
328 3/25/2032 98.42 279,652.92
329 4/25/2032 98.45 267,412.79
330 5/25/2032 98.47 255,407.97
331 6/25/2032 98.49 243,634.58
332 7/25/2032 98.51 232,088.77
333 8/25/2032 98.54 220,766.78
334 9/25/2032 98.56 209,664.91
335 10/25/2032 98.58 198,779.49
336 11/25/2032 98.60 188,106.96
337 12/25/2032 98.62 177,643.78
338 1/25/2033 98.64 167,386.49
339 2/25/2033 98.65 157,331.66
340 3/25/2033 98.67 147,475.93
341 4/25/2033 98.69 137,816.02
342 5/25/2033 98.71 128,348.66
343 6/25/2033 98.72 119,070.66
344 7/25/2033 98.74 109,978.88
345 8/25/2033 98.75 101,070.21
346 9/25/2033 98.77 92,341.63
347 10/25/2033 98.78 83,790.12
348 11/25/2033 98.79 75,412.74
349 12/25/2033 98.80 67,602.55
350 1/25/2034 98.82 59,952.37
351 2/25/2034 98.83 52,459.53
352 3/25/2034 98.85 45,121.41
353 4/25/2034 98.86 37,935.41
354 5/25/2034 98.86 30,899.00
355 6/25/2034 98.86 24,009.69
356 7/25/2034 98.85 17,279.96
357 8/25/2034 98.81 10,724.74
358 9/25/2034 98.59 4,317.93
359 10/25/2034 - -
The information herein has been prepared solely for informational purposes and
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Asset Backed Certificates
MSAC
2004-WMC3
Per Date RP1monthlibor Net WAC Cap
0 12/25/2004 0 -
1 1/25/2005 2.33 5.74 100 PPC
2 2/25/2005 2.33 6.49 Static LIBOR
3 3/25/2005 2.33 7.19
4 4/25/2005 2.33 6.50
5 5/25/2005 2.33 6.72
6 6/25/2005 2.33 6.51
7 7/25/2005 2.33 6.73
8 8/25/2005 2.33 6.52
9 9/25/2005 2.33 6.52
10 10/25/2005 2.33 6.74
11 11/25/2005 2.33 6.53
12 12/25/2005 2.33 6.75
13 1/25/2006 2.33 6.53
14 2/25/2006 2.33 6.53
15 3/25/2006 2.33 7.24
16 4/25/2006 2.33 6.54
17 5/25/2006 2.33 6.76
18 6/25/2006 2.33 6.54
19 7/25/2006 2.33 6.76
20 8/25/2006 2.33 6.54
21 9/25/2006 2.33 6.55
22 10/25/2006 2.33 6.77
23 11/25/2006 2.33 7.68
24 12/25/2006 2.33 7.94
25 1/25/2007 2.33 7.68
26 2/25/2007 2.33 7.69
27 3/25/2007 2.33 8.51
28 4/25/2007 2.33 7.69
29 5/25/2007 2.33 8.07
30 6/25/2007 2.33 7.81
31 7/25/2007 2.33 8.07
32 8/25/2007 2.33 7.81
33 9/25/2007 2.33 7.81
34 10/25/2007 2.33 8.09
35 11/25/2007 2.33 7.86
36 12/25/2007 2.33 8.12
37 1/25/2008 2.33 7.86
38 2/25/2008 2.33 7.86
39 3/25/2008 2.33 8.40
40 4/25/2008 2.33 7.86
41 5/25/2008 2.33 8.12
42 6/25/2008 2.33 7.86
43 7/25/2008 2.33 8.12
44 8/25/2008 2.33 7.86
45 9/25/2008 2.33 7.86
46 10/25/2008 2.33 8.12
47 11/25/2008 2.33 7.86
48 12/25/2008 2.33 8.12
49 1/25/2009 2.33 7.86
50 2/25/2009 2.33 7.86
51 3/25/2009 2.33 8.70
52 4/25/2009 2.33 7.86
53 5/25/2009 2.33 8.12
54 6/25/2009 2.33 7.86
55 7/25/2009 2.33 8.12
56 8/25/2009 2.33 7.86
57 9/25/2009 2.33 7.86
58 10/25/2009 2.33 8.13
59 11/25/2009 2.33 7.92
60 12/25/2009 2.33 8.18
61 1/25/2010 2.33 7.92
62 2/25/2010 2.33 7.92
63 3/25/2010 2.33 8.76
64 4/25/2010 2.33 7.92
65 5/25/2010 2.33 8.18
66 6/25/2010 2.33 7.92
67 7/25/2010 2.33 8.18
68 8/25/2010 2.33 7.92
69 9/25/2010 2.33 7.92
70 10/25/2010 2.33 8.18
71 11/25/2010 2.33 7.92
72 12/25/2010 2.33 8.18
73 1/25/2011 2.33 7.92
74 2/25/2011 2.33 7.92
75 3/25/2011 2.33 8.76
76 4/25/2011 2.33 7.92
77 5/25/2011 2.33 8.18
78 6/25/2011 2.33 7.92
79 7/25/2011 2.33 8.18
80 8/25/2011 2.33 7.92
81 9/25/2011 2.33 7.92
82 10/25/2011 2.33 8.18
83 11/25/2011 2.33 7.92
84 12/25/2011 2.33 8.18
85 1/25/2012 2.33 7.92
86 2/25/2012 2.33 7.92
87 3/25/2012 2.33 8.46
88 4/25/2012 2.33 7.92
89 5/25/2012 2.33 8.18
90 6/25/2012 2.33 7.92
91 7/25/2012 2.33 8.18
92 8/25/2012 2.33 7.92
93 9/25/2012 2.33 7.92
94 10/25/2012 2.33 8.18
95 11/25/2012 2.33 7.92
96 12/25/2012 2.33 8.18
97 1/25/2013 2.33 7.92
98 2/25/2013 2.33 7.92
99 3/25/2013 2.33 8.76
100 4/25/2013 2.33 7.92
101 5/25/2013 2.33 8.18
102 6/25/2013 2.33 7.92
103 7/25/2013 2.33 8.18
104 8/25/2013 2.33 7.92
105 9/25/2013 2.33 7.92
106 10/25/2013 2.33 8.18
107 11/25/2013 2.33 7.92
108 12/25/2013 2.33 8.18
109 1/25/2014 2.33 7.92
110 2/25/2014 2.33 7.92
111 3/25/2014 2.33 8.76
112 4/25/2014 2.33 7.92
113 5/25/2014 2.33 8.18
114 6/25/2014 2.33 7.92
115 7/25/2014 2.33 8.18
116 8/25/2014 2.33 7.92
117 9/25/2014 2.33 7.92
118 10/25/2014 2.33 8.18
119 11/25/2014 2.33 7.92
120 12/25/2014 2.33 8.18
121 1/25/2015 2.33 7.92
122 2/25/2015 2.33 7.92
123 3/25/2015 2.33 8.77
124 4/25/2015 2.33 7.92
125 5/25/2015 2.33 8.18
126 6/25/2015 2.33 7.92
127 7/25/2015 2.33 8.18
128 8/25/2015 2.33 7.92
129 9/25/2015 2.33 7.92
130 10/25/2015 2.33 8.18
131 11/25/2015 2.33 7.92
132 12/25/2015 2.33 8.18
133 1/25/2016 2.33 7.92
134 2/25/2016 2.33 7.92
135 3/25/2016 2.33 8.47
136 4/25/2016 2.33 7.92
137 5/25/2016 2.33 8.18
138 6/25/2016 2.33 7.92
139 7/25/2016 2.33 8.18
140 8/25/2016 2.33 7.92
141 9/25/2016 2.33 7.92
142 10/25/2016 2.33 8.18
143 11/25/2016 2.33 7.92
144 12/25/2016 2.33 8.19
145 1/25/2017 2.33 7.92
146 2/25/2017 2.33 7.92
147 3/25/2017 2.33 8.77
148 4/25/2017 2.33 7.92
149 5/25/2017 2.33 8.19
150 6/25/2017 2.33 7.92
151 7/25/2017 2.33 8.19
152 8/25/2017 2.33 7.92
153 9/25/2017 2.33 7.92
154 10/25/2017 2.33 8.19
155 11/25/2017 2.33 7.92
156 12/25/2017 2.33 8.19
157 1/25/2018 2.33 7.92
158 2/25/2018 2.33 7.92
159 3/25/2018 2.33 8.77
160 4/25/2018 2.33 7.93
161 5/25/2018 2.33 8.19
162 6/25/2018 2.33 7.93
163 7/25/2018 2.33 8.19
164 8/25/2018 2.33 7.93
165 9/25/2018 2.33 7.93
166 10/25/2018 2.33 8.19
167 11/25/2018 2.33 7.93
168 12/25/2018 2.33 8.19
169 1/25/2019 2.33 7.93
170 2/25/2019 2.33 7.93
171 3/25/2019 2.33 8.78
172 4/25/2019 2.33 7.93
173 5/25/2019 2.33 8.19
174 6/25/2019 2.33 7.93
175 7/25/2019 2.33 8.19
176 8/25/2019 2.33 7.93
177 9/25/2019 2.33 7.93
178 10/25/2019 2.33 8.19
179 11/25/2019 2.33 7.54
180 12/25/2019 2.33 7.79
181 1/25/2020 2.33 7.53
182 2/25/2020 2.33 7.53
183 3/25/2020 2.33 8.05
184 4/25/2020 2.33 7.53
185 5/25/2020 2.33 7.78
186 6/25/2020 2.33 7.53
187 7/25/2020 2.33 7.78
188 8/25/2020 2.33 7.52
189 9/25/2020 2.33 7.52
190 10/25/2020 2.33 7.77
191 11/25/2020 2.33 7.52
192 12/25/2020 2.33 7.77
193 1/25/2021 2.33 7.52
194 2/25/2021 2.33 7.51
195 3/25/2021 2.33 8.32
196 4/25/2021 2.33 7.51
197 5/25/2021 2.33 7.76
198 6/25/2021 2.33 7.51
199 7/25/2021 2.33 7.76
200 8/25/2021 2.33 7.50
201 9/25/2021 2.33 7.50
202 10/25/2021 2.33 7.75
203 11/25/2021 2.33 7.50
204 12/25/2021 2.33 7.75
205 1/25/2022 2.33 7.50
206 2/25/2022 2.33 7.49
207 3/25/2022 2.33 8.29
208 4/25/2022 2.33 7.49
209 5/25/2022 2.33 7.74
210 6/25/2022 2.33 7.49
211 7/25/2022 2.33 7.73
212 8/25/2022 2.33 7.48
213 9/25/2022 2.33 7.48
214 10/25/2022 2.33 7.73
215 11/25/2022 2.33 7.48
216 12/25/2022 2.33 7.73
217 1/25/2023 2.33 7.47
218 2/25/2023 2.33 7.47
219 3/25/2023 2.33 8.27
220 4/25/2023 2.33 7.47
221 5/25/2023 2.33 7.72
222 6/25/2023 2.33 7.47
223 7/25/2023 2.33 7.71
224 8/25/2023 2.33 7.46
225 9/25/2023 2.33 7.46
226 10/25/2023 2.33 7.71
227 11/25/2023 2.33 7.46
228 12/25/2023 2.33 7.70
229 1/25/2024 2.33 7.45
230 2/25/2024 2.33 7.45
231 3/25/2024 2.33 7.96
232 4/25/2024 2.33 7.45
233 5/25/2024 2.33 7.70
234 6/25/2024 2.33 7.45
235 7/25/2024 2.33 7.69
236 8/25/2024 2.33 7.44
237 9/25/2024 2.33 7.44
238 10/25/2024 2.33 7.69
239 11/25/2024 2.33 7.44
240 12/25/2024 2.33 7.68
241 1/25/2025 2.33 7.43
242 2/25/2025 2.33 7.43
243 3/25/2025 2.33 8.23
244 4/25/2025 2.33 7.43
245 5/25/2025 2.33 7.67
246 6/25/2025 2.33 7.42
247 7/25/2025 2.33 7.67
248 8/25/2025 2.33 7.42
249 9/25/2025 2.33 7.42
250 10/25/2025 2.33 7.66
251 11/25/2025 2.33 7.42
252 12/25/2025 2.33 7.66
253 1/25/2026 2.33 7.41
254 2/25/2026 2.33 7.41
255 3/25/2026 2.33 8.20
256 4/25/2026 2.33 7.41
257 5/25/2026 2.33 7.65
258 6/25/2026 2.33 7.40
259 7/25/2026 2.33 7.65
260 8/25/2026 2.33 7.40
261 9/25/2026 2.33 7.40
262 10/25/2026 2.33 7.64
263 11/25/2026 2.33 7.39
264 12/25/2026 2.33 7.64
265 1/25/2027 2.33 7.39
266 2/25/2027 2.33 7.39
267 3/25/2027 2.33 8.18
268 4/25/2027 2.33 7.38
269 5/25/2027 2.33 7.63
270 6/25/2027 2.33 7.38
271 7/25/2027 2.33 7.62
272 8/25/2027 2.33 7.38
273 9/25/2027 2.33 7.37
274 10/25/2027 2.33 7.62
275 11/25/2027 2.33 7.37
276 12/25/2027 2.33 7.61
277 1/25/2028 2.33 7.37
278 2/25/2028 2.33 7.37
279 3/25/2028 2.33 7.87
280 4/25/2028 2.33 7.36
281 5/25/2028 2.33 7.61
282 6/25/2028 2.33 7.36
283 7/25/2028 2.33 7.60
284 8/25/2028 2.33 7.35
285 9/25/2028 2.33 7.35
286 10/25/2028 2.33 7.60
287 11/25/2028 2.33 7.35
288 12/25/2028 2.33 7.59
289 1/25/2029 2.33 7.35
290 2/25/2029 2.33 7.34
291 3/25/2029 2.33 8.13
292 4/25/2029 2.33 7.34
293 5/25/2029 2.33 7.58
294 6/25/2029 2.33 7.34
295 7/25/2029 2.33 7.58
296 8/25/2029 2.33 7.33
297 9/25/2029 2.33 7.33
298 10/25/2029 2.33 7.57
299 11/25/2029 2.33 7.33
300 12/25/2029 2.33 7.57
301 1/25/2030 2.33 7.32
302 2/25/2030 2.33 7.32
303 3/25/2030 2.33 8.10
304 4/25/2030 2.33 7.32
305 5/25/2030 2.33 7.56
306 6/25/2030 2.33 7.31
307 7/25/2030 2.33 7.56
308 8/25/2030 2.33 7.31
309 9/25/2030 2.33 7.31
310 10/25/2030 2.33 7.55
311 11/25/2030 2.33 7.30
312 12/25/2030 2.33 7.55
313 1/25/2031 2.33 7.30
314 2/25/2031 2.33 7.30
315 3/25/2031 2.33 8.08
316 4/25/2031 2.33 7.30
317 5/25/2031 2.33 7.54
318 6/25/2031 2.33 7.29
319 7/25/2031 2.33 7.53
320 8/25/2031 2.33 7.29
321 9/25/2031 2.33 7.29
322 10/25/2031 2.33 7.53
323 11/25/2031 2.33 7.28
324 12/25/2031 2.33 7.52
325 1/25/2032 2.33 7.28
326 2/25/2032 2.33 7.28
327 3/25/2032 2.33 7.78
328 4/25/2032 2.33 7.27
329 5/25/2032 2.33 7.52
330 6/25/2032 2.33 7.27
331 7/25/2032 2.33 7.51
332 8/25/2032 2.33 7.27
333 9/25/2032 2.33 7.27
334 10/25/2032 2.33 7.51
335 11/25/2032 2.33 7.26
336 12/25/2032 2.33 7.50
337 1/25/2033 2.33 7.26
338 2/25/2033 2.33 7.26
339 3/25/2033 2.33 8.04
340 4/25/2033 2.33 7.26
341 5/25/2033 2.33 7.50
342 6/25/2033 2.33 7.26
343 7/25/2033 2.33 7.50
344 8/25/2033 2.33 7.25
345 9/25/2033 2.33 7.25
346 10/25/2033 2.33 7.50
347 11/25/2033 2.33 7.25
348 12/25/2033 2.33 7.50
349 1/25/2034 2.33 7.25
350 2/25/2034 2.33 7.25
351 3/25/2034 2.33 8.03
352 4/25/2034 2.33 7.25
353 5/25/2034 2.33 7.49
354 6/25/2034 2.33 7.25
355 7/25/2034 2.33 7.50
356 8/25/2034 2.33 7.26
357 9/25/2034 2.33 7.27
358 10/25/2034 2.33 7.57
Total 0 0
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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would contain material information not contained herein and to which prospective
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to the accuracy or completeness of the information herein, or that any future
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The following information may contain general, summary discussions of certain
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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
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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
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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
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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
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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).
5 CDR - 50% Loss Severity - 6m lag
Triggers Calculated
----------------------------------------------------------------------------------------------------------------------------
100PPC - Forward
----------------------------------------------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 1/25/2005 1,132,909,507.41 3,365,778.66 2.3300 2.6500 3.57%
2 2/25/2005 1,106,418,744.94 3,545,684.73 2.4110 2.7439 3.85%
3 3/25/2005 1,080,478,076.08 3,546,766.66 2.6174 2.8512 3.94%
4 4/25/2005 1,055,066,858.68 3,133,560.50 2.7015 2.9349 3.56%
5 5/25/2005 1,030,166,394.42 3,086,290.14 2.7779 3.0163 3.60%
6 6/25/2005 1,005,758,741.66 2,826,327.54 2.8999 3.0928 3.37%
7 7/25/2005 981,827,841.02 386,217.77 2.9600 3.1623 0.47%
8 8/25/2005 953,549,920.31 230,879.96 3.0303 3.2316 0.29%
9 9/25/2005 925,857,357.69 147,858.87 3.1278 3.2991 0.19%
10 10/25/2005 898,735,283.72 188,374.82 3.1851 3.3590 0.25%
11 11/25/2005 872,170,410.94 60,888.94 3.2328 3.4144 0.08%
12 12/25/2005 846,150,613.63 86,236.08 3.3133 3.4679 0.12%
13 1/25/2006 820,665,957.53 0.00 3.3705 3.5186 0.00%
14 2/25/2006 795,707,491.09 0.00 3.4257 3.5648 0.00%
15 3/25/2006 771,289,645.72 1,011.63 3.4960 3.6072 0.00%
16 4/25/2006 747,615,431.85 0.00 3.5099 3.6457 0.00%
17 5/25/2006 724,663,224.78 0.00 3.5470 3.6873 0.00%
18 6/25/2006 702,411,883.84 0.00 3.6100 3.7279 0.00%
19 7/25/2006 680,840,976.72 0.00 3.6415 3.7663 0.00%
20 8/25/2006 659,930,669.80 0.00 3.6697 3.8050 0.00%
21 9/25/2006 639,661,772.07 0.00 3.7269 3.8449 0.00%
22 10/25/2006 620,015,428.32 0.00 3.7569 3.8808 0.00%
23 11/25/2006 600,973,386.65 0.00 3.7869 3.9181 0.00%
24 12/25/2006 582,589,808.39 0.00 3.8385 3.9542 0.00%
25 1/25/2007 564,768,597.26 119,449.05 3.8697 3.9896 0.25%
26 2/25/2007 547,492,527.68 333,193.37 3.9027 4.0241 0.73%
27 3/25/2007 530,744,932.75 492,062.88 3.9492 4.0588 1.11%
28 4/25/2007 514,509,599.14 287,411.58 3.9742 4.0919 0.67%
29 5/25/2007 498,771,244.36 591,137.43 3.9989 4.1255 1.42%
30 6/25/2007 483,547,119.52 497,687.10 4.0447 4.1604 1.24%
31 7/25/2007 468,787,647.65 529,092.56 4.0729 4.1943 1.35%
32 8/25/2007 454,478,628.27 447,683.98 4.1020 4.2286 1.18%
33 9/25/2007 440,606,329.95 418,800.59 4.1462 4.2637 1.14%
34 10/25/2007 427,157,374.73 463,100.71 4.1740 4.2965 1.30%
35 11/25/2007 414,121,035.66 574,117.15 4.2045 4.3298 1.66%
36 12/25/2007 401,505,936.41 594,040.94 4.2461 4.3621 1.78%
37 1/25/2008 389,275,042.00 518,415.50 4.2747 4.3945 1.60%
38 2/25/2008 377,416,635.23 493,559.90 4.3063 4.4260 1.57%
39 3/25/2008 365,919,369.32 561,213.54 4.3457 4.4581 1.84%
40 4/25/2008 354,772,221.13 450,006.89 4.3688 4.4894 1.52%
41 5/25/2008 343,964,887.50 517,402.71 4.3953 4.5207 1.81%
42 6/25/2008 333,490,927.49 448,672.86 4.4346 4.5531 1.61%
43 7/25/2008 323,335,758.54 470,959.76 4.4611 4.5846 1.75%
44 8/25/2008 313,489,665.70 408,733.63 4.4913 4.6164 1.56%
45 9/25/2008 303,943,234.15 387,723.04 4.5300 4.6464 1.53%
46 10/25/2008 294,687,331.03 411,133.99 4.5551 4.6736 1.67%
47 11/25/2008 285,713,215.93 385,265.93 4.5852 4.7046 1.62%
48 12/25/2008 277,015,051.67 403,649.23 4.6222 4.7361 1.75%
49 1/25/2009 268,581,492.23 351,013.31 4.6475 4.7672 1.57%
50 2/25/2009 260,404,479.24 337,547.18 4.6660 4.7945 1.56%
51 3/25/2009 252,476,202.96 424,472.11 4.6991 4.8242 2.02%
52 4/25/2009 244,789,087.66 307,160.05 4.7348 4.8533 1.51%
53 5/25/2009 237,335,879.40 348,873.16 4.7705 4.8819 1.76%
54 6/25/2009 230,111,639.11 302,387.50 4.8019 4.9108 1.58%
55 7/25/2009 223,107,060.86 323,797.21 4.8081 4.9374 1.74%
56 8/25/2009 216,315,459.24 281,044.69 4.8360 4.9564 1.56%
57 9/25/2009 209,730,354.77 269,138.38 4.8708 4.9735 1.54%
58 10/25/2009 203,345,462.33 290,143.50 4.9050 4.9881 1.71%
59 11/25/2009 197,154,881.48 6,298,282.28 4.9394 5.0038 38.34%
60 12/25/2009 191,134,010.63 6,104,532.10 4.9603 5.0181 38.33%
61 1/25/2010 185,296,596.25 5,871,149.65 4.9195 5.0328 38.02%
62 2/25/2010 179,637,047.68 5,412,494.86 4.9352 5.0465 36.16%
63 3/25/2010 174,149,945.84 533,577.29 4.9636 5.0600 3.68%
64 4/25/2010 168,830,035.53 441,499.35 4.9947 5.0733 3.14%
65 5/25/2010 163,672,338.98 464,399.35 5.0250 5.0854 3.40%
66 6/25/2010 158,673,034.10 426,124.59 5.0438 5.0978 3.22%
67 7/25/2010 153,826,020.97 445,225.92 5.0001 5.1110 3.47%
68 8/25/2010 149,126,660.91 409,754.85 5.0122 5.1380 3.30%
69 9/25/2010 144,570,457.49 396,635.54 5.0400 5.1680 3.29%
70 10/25/2010 140,153,050.13 404,687.12 5.0675 5.1955 3.46%
71 11/25/2010 135,870,283.47 381,050.01 5.0959 5.2256 3.37%
72 12/25/2010 131,719,574.77 387,901.81 5.1242 5.2549 3.53%
73 1/25/2011 127,695,267.38 353,613.57 5.1569 5.2834 3.32%
74 2/25/2011 123,793,513.24 340,447.48 5.1864 5.3022 3.30%
75 3/25/2011 120,010,582.79 384,726.15 5.2125 5.3194 3.85%
76 4/25/2011 116,342,858.18 316,348.61 5.2408 5.3364 3.26%
77 5/25/2011 112,786,878.02 296,268.81 5.2682 5.3523 3.15%
78 6/25/2011 109,340,293.77 267,880.75 5.2885 5.3688 2.94%
79 7/25/2011 105,998,645.99 280,111.01 5.2679 5.3832 3.17%
80 8/25/2011 102,758,741.69 253,829.40 5.2841 5.3936 2.96%
81 9/25/2011 99,617,485.73 181,433.54 5.3105 5.4027 2.19%
82 10/25/2011 96,568,299.52 81,839.36 5.3365 5.4102 1.02%
83 11/25/2011 93,615,564.95 67,382.17 5.3628 5.4185 0.86%
84 12/25/2011 90,753,218.43 81,363.86 5.3757 5.4255 1.08%
85 1/25/2012 87,978,019.96 68,853.13 5.3280 5.4337 0.94%
86 2/25/2012 85,287,318.72 67,524.28 5.3365 5.4437 0.95%
87 3/25/2012 82,678,544.85 92,731.70 5.3587 5.4544 1.35%
88 4/25/2012 80,149,206.32 63,258.32 5.3830 5.4652 0.95%
89 5/25/2012 77,696,899.68 76,571.66 5.4062 5.4749 1.18%
90 6/25/2012 75,319,612.54 62,271.21 5.4209 5.4852 0.99%
91 7/25/2012 73,014,710.53 75,634.62 5.3878 5.4958 1.24%
92 8/25/2012 70,779,992.48 62,365.00 5.3979 5.5165 1.06%
93 9/25/2012 68,613,324.52 60,417.69 5.4200 5.5393 1.06%
94 10/25/2012 66,512,637.19 69,499.07 5.4418 5.5597 1.25%
95 11/25/2012 64,475,942.36 60,617.57 5.4644 5.5826 1.13%
96 12/25/2012 62,501,827.84 68,977.09 5.4860 5.6046 1.32%
97 1/25/2013 60,587,823.29 57,052.38 5.5076 5.6266 1.13%
98 2/25/2013 58,732,101.41 55,385.16 5.5299 5.6431 1.13%
99 3/25/2013 56,932,890.96 81,675.19 5.5500 5.6590 1.72%
100 4/25/2013 55,188,473.79 52,485.32 5.5727 5.6753 1.14%
101 5/25/2013 53,497,203.01 62,906.64 5.5943 5.6902 1.41%
102 6/25/2013 51,857,907.27 52,949.83 5.6120 5.7061 1.23%
103 7/25/2013 50,268,530.60 60,781.16 5.6051 5.7216 1.45%
104 8/25/2013 48,727,556.00 51,175.43 5.6206 5.7431 1.26%
105 9/25/2013 47,233,512.89 49,518.35 5.6421 5.7656 1.26%
106 10/25/2013 45,784,974.91 55,425.47 5.6630 5.7857 1.45%
107 11/25/2013 44,380,574.20 49,403.87 5.6848 5.8083 1.34%
108 12/25/2013 43,019,381.00 54,817.67 5.7059 5.8300 1.53%
109 1/25/2014 41,699,643.64 46,431.15 5.7289 5.8501 1.34%
110 2/25/2014 40,420,102.71 45,059.17 5.7510 5.8552 1.34%
111 3/25/2014 39,179,537.31 62,664.10 5.7703 5.8569 1.92%
112 4/25/2014 37,976,763.21 42,658.10 5.7924 5.8595 1.35%
113 5/25/2014 36,810,640.74 48,440.84 5.8128 5.8602 1.58%
114 6/25/2014 35,680,205.83 41,789.72 5.8206 5.8617 1.41%
115 7/25/2014 34,584,211.88 48,216.22 5.7593 5.8609 1.67%
116 8/25/2014 33,521,612.80 42,207.92 5.7611 5.8575 1.51%
117 9/25/2014 32,491,394.30 41,252.50 5.7801 5.8529 1.52%
118 10/25/2014 31,492,617.48 45,232.14 5.7990 5.8468 1.72%
119 11/25/2014 30,524,326.84 39,180.41 5.8182 5.8416 1.54%
120 12/25/2014 29,585,659.19 43,300.62 5.8193 5.8350 1.76%
121 1/25/2015 28,675,605.14 39,959.75 5.7384 5.8313 1.67%
122 2/25/2015 27,793,295.52 39,598.12 5.7343 5.8372 1.71%
123 3/25/2015 26,937,887.52 50,967.17 5.7487 5.8457 2.27%
124 4/25/2015 26,108,563.97 38,195.47 5.7666 5.8552 1.76%
125 5/25/2015 25,304,533.15 41,570.54 5.7830 5.8631 1.97%
126 6/25/2015 24,525,073.26 37,288.72 5.7943 5.8719 1.82%
127 7/25/2015 23,769,389.25 40,712.03 5.7745 5.8808 2.06%
128 8/25/2015 23,036,758.84 36,792.49 5.7831 5.8985 1.92%
129 9/25/2015 22,326,481.76 36,239.23 5.7993 5.9178 1.95%
130 10/25/2015 21,637,878.83 38,834.54 5.8151 5.9357 2.15%
131 11/25/2015 20,970,297.14 36,264.32 5.8319 5.9553 2.08%
132 12/25/2015 20,323,263.42 38,601.07 5.8494 5.9740 2.28%
133 1/25/2016 19,695,977.34 35,155.57 5.8761 5.9931 2.14%
134 2/25/2016 19,087,839.02 34,689.24 5.8950 6.0082 2.18%
135 3/25/2016 18,498,266.89 39,356.18 5.9103 6.0233 2.55%
136 4/25/2016 17,926,696.82 33,930.91 5.9274 6.0389 2.27%
137 5/25/2016 17,372,587.91 36,785.54 5.9433 6.0532 2.54%
138 6/25/2016 16,835,556.22 34,091.43 5.9589 6.0684 2.43%
139 7/25/2016 16,314,925.76 35,965.14 5.9665 6.0803 2.65%
140 8/25/2016 15,810,198.30 33,508.50 5.9815 6.0800 2.54%
141 9/25/2016 15,320,890.81 33,198.88 5.9980 6.0764 2.60%
142 10/25/2016 14,846,534.77 34,798.32 6.0138 6.0711 2.81%
143 11/25/2016 14,386,677.52 32,758.60 6.0300 6.0672 2.73%
144 12/25/2016 13,940,895.36 34,319.85 6.0309 6.0618 2.95%
145 1/25/2017 13,508,741.65 32,935.90 5.9636 6.0582 2.93%
146 2/25/2017 13,089,802.30 32,803.51 5.9606 6.0567 3.01%
147 3/25/2017 12,683,675.75 36,967.55 5.9727 6.0559 3.50%
148 4/25/2017 12,289,972.65 32,401.09 5.9884 6.0564 3.16%
149 5/25/2017 11,908,314.84 33,462.19 6.0021 6.0549 3.37%
150 6/25/2017 11,538,323.11 32,039.44 6.0063 6.0544 3.33%
151 7/25/2017 11,179,657.02 33,355.13 5.9563 6.0548 3.58%
152 8/25/2017 10,831,972.30 32,217.29 5.9561 6.0701 3.57%
153 9/25/2017 10,494,935.10 32,217.89 5.9692 6.0881 3.68%
154 10/25/2017 10,168,221.71 33,194.94 5.9822 6.1039 3.92%
155 11/25/2017 9,851,519.91 32,578.57 5.9963 6.1224 3.97%
156 12/25/2017 9,544,587.27 33,413.69 6.0122 6.1400 4.20%
157 1/25/2018 9,247,061.10 32,549.32 6.0429 6.1575 4.22%
158 2/25/2018 8,958,655.38 32,581.36 6.0604 6.1682 4.36%
159 3/25/2018 8,679,092.79 34,615.25 6.0723 6.1783 4.79%
160 4/25/2018 8,408,104.33 32,697.09 6.0872 6.1893 4.67%
161 5/25/2018 8,145,431.75 33,614.52 6.1003 6.1986 4.95%
162 6/25/2018 7,890,880.01 33,120.01 6.1116 6.2089 5.04%
163 7/25/2018 7,644,139.74 33,677.04 6.1075 6.2190 5.29%
164 8/25/2018 7,404,973.31 33,340.17 6.1176 6.2354 5.40%
165 9/25/2018 7,173,150.35 33,443.33 6.1311 6.2527 5.59%
166 10/25/2018 6,948,447.38 33,852.46 6.1441 6.2676 5.85%
167 11/25/2018 6,730,649.71 33,953.07 6.1582 6.2852 6.05%
168 12/25/2018 6,519,603.00 34,251.90 6.1735 6.3018 6.30%
169 1/25/2019 6,315,042.24 34,145.62 6.2008 6.3164 6.49%
170 2/25/2019 6,116,770.05 34,358.45 6.2175 6.3127 6.74%
171 3/25/2019 5,924,595.05 34,779.92 6.2293 6.3051 7.04%
172 4/25/2019 5,738,331.62 141,571.32 6.2441 6.2990 29.61%
173 5/25/2019 5,557,800.45 209,237.17 6.2567 6.2905 45.18%
174 6/25/2019 5,382,828.56 202,853.89 6.2558 6.2830 45.22%
175 7/25/2019 5,213,148.96 196,662.81 6.1807 6.2712 45.27%
176 8/25/2019 5,048,603.13 190,657.69 6.1739 6.2454 45.32%
177 9/25/2019 4,889,037.29 188,781.12 6.1857 6.2157 46.34%
178 10/25/2019 4,730,354.29 1,073,696.96 6.1974 6.1854 272.38%
179 11/25/2019 3,685,758.81 141,236.96 6.2090 6.1554 45.98%
180 12/25/2019 3,567,297.26 136,761.03 6.1900 6.1236 46.00%
181 1/25/2020 3,452,565.93 132,425.20 6.0296 6.0951 46.03%
182 2/25/2020 3,341,448.67 128,224.90 6.0021 6.0756 46.05%
183 3/25/2020 3,233,832.91 124,156.24 6.0092 6.0578 46.07%
184 4/25/2020 3,129,609.63 120,207.45 6.0195 6.0414 46.09%
185 5/25/2020 3,028,670.96 116,203.81 6.0279 6.0232 46.04%
186 6/25/2020 2,930,862.99 112,510.00 6.0188 6.0059 46.07%
187 7/25/2020 2,836,143.58 108,932.01 5.9168 5.9897 46.09%
188 8/25/2020 2,744,416.41 105,466.13 5.9006 5.9901 46.12%
189 9/25/2020 2,655,588.12 102,109.01 5.9077 5.9936 46.14%
190 10/25/2020 2,569,568.29 98,855.27 5.9151 5.9955 46.17%
191 11/25/2020 2,486,268.67 95,678.43 5.9233 5.9993 46.18%
192 12/25/2020 2,405,596.73 92,628.27 5.9274 6.0021 46.21%
193 1/25/2021 2,327,478.91 89,673.87 5.9169 6.0056 46.23%
194 2/25/2021 2,251,835.44 86,812.27 5.9206 6.0058 46.26%
195 3/25/2021 2,178,589.02 84,040.55 5.9264 6.0058 46.29%
196 4/25/2021 2,107,664.75 81,356.32 5.9352 6.0072 46.32%
197 5/25/2021 2,038,990.18 78,762.76 5.9421 6.0066 46.35%
198 6/25/2021 1,972,496.96 76,244.13 5.9448 6.0070 46.38%
199 7/25/2021 1,908,114.70 73,804.71 5.9200 6.0080 46.42%
200 8/25/2021 1,845,777.37 71,442.04 5.9206 6.0196 46.45%
201 9/25/2021 1,785,420.99 69,153.71 5.9276 6.0330 46.48%
202 10/25/2021 1,726,983.57 66,938.43 5.9343 6.0443 46.51%
203 11/25/2021 1,670,405.38 64,830.07 5.9421 6.0583 46.57%
204 12/25/2021 1,615,640.40 62,750.34 5.9531 6.0713 46.61%
205 1/25/2022 1,562,618.90 60,736.12 5.9853 6.0840 46.64%
206 2/25/2022 1,511,286.27 58,785.40 5.9981 6.0893 46.68%
207 3/25/2022 1,461,589.61 56,896.14 6.0040 6.0935 46.71%
208 4/25/2022 1,413,477.64 55,067.66 6.0128 6.0990 46.75%
209 5/25/2022 1,366,901.09 53,322.02 6.0197 6.1026 46.81%
210 6/25/2022 1,321,820.35 51,605.37 6.0252 6.1073 46.85%
211 7/25/2022 1,278,179.26 49,942.90 6.0178 6.1122 46.89%
212 8/25/2022 1,235,932.64 48,332.92 6.0224 6.1256 46.93%
213 9/25/2022 1,195,036.73 46,773.78 6.0297 6.1403 46.97%
214 10/25/2022 1,155,449.12 45,264.87 6.0365 6.1529 47.01%
215 11/25/2022 1,117,129.08 43,834.04 6.0445 6.1681 47.09%
216 12/25/2022 1,080,047.51 42,417.45 6.0565 6.1824 47.13%
217 1/25/2023 1,044,154.06 41,045.65 6.0935 6.1962 47.17%
218 2/25/2023 1,009,411.40 39,717.27 6.1075 6.2006 47.22%
219 3/25/2023 975,783.34 38,430.91 6.1136 6.2035 47.26%
220 4/25/2023 943,234.85 37,186.06 6.1226 6.2078 47.31%
221 5/25/2023 911,732.24 35,996.01 6.1297 6.2101 47.38%
222 6/25/2023 881,248.21 34,827.70 6.1343 6.2134 47.43%
223 7/25/2023 851,744.60 33,696.41 6.1209 6.2156 47.47%
224 8/25/2023 823,190.54 32,601.00 6.1243 6.2195 47.52%
225 9/25/2023 795,556.10 31,540.34 6.1317 6.2230 47.57%
226 10/25/2023 768,812.33 30,513.55 6.1386 6.2253 47.63%
227 11/25/2023 742,931.21 29,525.04 6.1464 6.2292 47.69%
228 12/25/2023 717,887.70 28,562.11 6.1503 6.2320 47.74%
229 1/25/2024 693,653.07 27,629.78 6.1411 6.2342 47.80%
230 2/25/2024 670,201.78 26,727.09 6.1447 6.2265 47.86%
231 3/25/2024 647,509.11 25,853.12 6.1506 6.2169 47.91%
232 4/25/2024 625,551.09 25,006.84 6.1588 6.2083 47.97%
233 5/25/2024 604,304.45 24,180.05 6.1650 6.1980 48.02%
234 6/25/2024 583,743.71 23,387.23 6.1607 6.1887 48.08%
235 7/25/2024 563,850.33 22,619.68 6.0979 6.1762 48.14%
236 8/25/2024 544,603.21 21,874.53 6.0894 6.1545 48.20%
237 9/25/2024 525,983.94 21,143.88 6.0953 6.1299 48.24%
238 10/25/2024 507,981.95 20,425.44 6.1011 6.1048 48.25%
239 11/25/2024 490,587.75 19,705.52 6.1072 6.0803 48.20%
240 12/25/2024 473,774.96 19,056.06 6.0904 6.0542 48.27%
241 1/25/2025 457,510.33 18,427.37 5.9698 6.0288 48.33%
242 2/25/2025 441,776.45 17,818.79 5.9476 5.9984 48.40%
243 3/25/2025 426,556.47 17,229.70 5.9499 5.9661 48.47%
244 4/25/2025 411,834.07 16,658.52 5.9560 5.9364 48.54%
245 5/25/2025 397,593.00 16,079.22 5.9596 5.9040 48.53%
246 6/25/2025 383,806.48 15,545.51 5.9391 5.8726 48.60%
247 7/25/2025 370,472.38 15,028.95 5.7933 5.8419 48.68%
248 8/25/2025 357,576.30 14,528.97 5.7637 5.8270 48.76%
249 9/25/2025 345,104.26 14,045.09 5.7657 5.8149 48.84%
250 10/25/2025 333,042.74 13,576.16 5.7683 5.8021 48.92%
251 11/25/2025 321,378.37 13,108.98 5.7715 5.7904 48.95%
252 12/25/2025 310,092.36 12,670.62 5.7631 5.7775 49.03%
253 1/25/2026 299,179.25 12,246.40 5.7044 5.7652 49.12%
254 2/25/2026 288,627.10 11,835.87 5.6936 5.7494 49.21%
255 3/25/2026 278,424.36 11,438.60 5.6942 5.7327 49.30%
256 4/25/2026 268,559.83 11,053.87 5.6979 5.7180 49.39%
257 5/25/2026 259,022.54 10,673.22 5.6995 5.7010 49.45%
258 6/25/2026 249,798.01 10,313.42 5.6890 5.6850 49.54%
259 7/25/2026 240,880.49 9,965.29 5.6136 5.6695 49.64%
260 8/25/2026 232,260.11 9,628.43 5.5984 5.6660 49.75%
261 9/25/2026 223,927.33 9,302.52 5.5994 5.6645 49.85%
262 10/25/2026 215,872.90 8,987.02 5.6006 5.6618 49.96%
263 11/25/2026 208,087.78 8,678.87 5.6026 5.6607 50.05%
264 12/25/2026 200,561.84 8,383.76 5.6015 5.6587 50.16%
265 1/25/2027 193,288.33 8,098.27 5.5907 5.6567 50.28%
266 2/25/2027 186,259.10 7,822.07 5.5895 5.6486 50.39%
267 3/25/2027 179,466.26 7,554.88 5.5895 5.6395 50.52%
268 4/25/2027 172,902.17 7,296.34 5.5923 5.6320 50.64%
269 5/25/2027 166,559.42 7,044.04 5.5931 5.6226 50.75%
270 6/25/2027 160,429.68 6,802.22 5.5876 5.6140 50.88%
271 7/25/2027 154,507.30 6,568.32 5.5456 5.6053 51.01%
272 8/25/2027 148,785.55 6,342.07 5.5375 5.6029 51.15%
273 9/25/2027 143,257.92 6,123.24 5.5382 5.6013 51.29%
274 10/25/2027 137,918.11 5,911.54 5.5388 5.5989 51.44%
275 11/25/2027 132,759.99 5,705.68 5.5402 5.5977 51.57%
276 12/25/2027 127,777.07 5,507.73 5.5389 5.5956 51.73%
277 1/25/2028 122,964.28 5,316.30 5.5295 5.5946 51.88%
278 2/25/2028 118,316.09 5,131.17 5.5281 5.5936 52.04%
279 3/25/2028 113,827.13 4,952.14 5.5281 5.5932 52.21%
280 4/25/2028 109,492.20 4,779.02 5.5299 5.5937 52.38%
281 5/25/2028 105,306.28 4,611.44 5.5304 5.5928 52.55%
282 6/25/2028 101,264.39 4,449.58 5.5308 5.5929 52.73%
283 7/25/2028 97,361.93 4,293.08 5.5257 5.5928 52.91%
284 8/25/2028 93,594.34 4,141.77 5.5258 5.5982 53.10%
285 9/25/2028 89,957.18 3,995.47 5.5266 5.6042 53.30%
286 10/25/2028 86,446.19 3,854.05 5.5271 5.6086 53.50%
287 11/25/2028 83,057.22 3,717.94 5.5285 5.6151 53.72%
288 12/25/2028 79,786.62 3,585.75 5.5327 5.6207 53.93%
289 1/25/2029 76,630.12 3,457.96 5.5548 5.6259 54.15%
290 2/25/2029 73,583.95 3,334.44 5.5604 5.6233 54.38%
291 3/25/2029 70,644.48 3,215.04 5.5603 5.6194 54.61%
292 4/25/2029 67,808.19 3,099.65 5.5626 5.6169 54.85%
293 5/25/2029 65,071.67 2,988.05 5.5631 5.6126 55.10%
294 6/25/2029 62,431.59 2,880.25 5.5611 5.6092 55.36%
295 7/25/2029 59,884.79 2,774.94 5.5414 5.6061 55.61%
296 8/25/2029 57,429.31 2,674.31 5.5381 5.6121 55.88%
297 9/25/2029 55,060.96 2,577.07 5.5389 5.6193 56.16%
298 10/25/2029 52,776.86 2,483.11 5.5393 5.6251 56.46%
299 11/25/2029 50,574.20 2,392.10 5.5408 5.6329 56.76%
300 12/25/2029 48,451.03 2,304.39 5.5460 5.6399 57.07%
301 1/25/2030 46,403.91 2,219.65 5.5460 5.6399 57.40%
302 2/25/2030 44,430.33 2,137.78 5.5460 5.6399 57.74%
303 3/25/2030 42,527.81 2,058.69 5.5460 5.6399 58.09%
304 4/25/2030 40,693.98 1,982.29 5.5460 5.6399 58.45%
305 5/25/2030 38,926.54 1,908.57 5.5460 5.6399 58.84%
306 6/25/2030 37,223.32 1,837.28 5.5460 5.6399 59.23%
307 7/25/2030 35,582.10 1,768.42 5.5460 5.6399 59.64%
308 8/25/2030 34,000.79 1,701.91 5.5460 5.6399 60.07%
309 9/25/2030 32,477.38 1,637.68 5.5460 5.6399 60.51%
310 10/25/2030 31,009.92 1,575.66 5.5460 5.6399 60.97%
311 11/25/2030 29,596.50 1,515.76 5.5460 5.6399 61.46%
312 12/25/2030 28,235.32 1,457.93 5.5460 5.6399 61.96%
313 1/25/2031 26,924.59 1,402.08 5.5460 5.6399 62.49%
314 2/25/2031 25,662.60 1,348.17 5.5460 5.6399 63.04%
315 3/25/2031 24,447.70 1,296.12 5.5460 5.6399 63.62%
316 4/25/2031 23,278.28 1,245.88 5.5460 5.6399 64.23%
317 5/25/2031 22,152.80 1,197.38 5.5460 5.6399 64.86%
318 6/25/2031 21,069.75 1,150.56 5.5460 5.6399 65.53%
319 7/25/2031 20,027.69 1,105.38 5.5460 5.6399 66.23%
320 8/25/2031 19,025.20 1,061.77 5.5460 5.6399 66.97%
321 9/25/2031 18,060.94 1,019.69 5.5460 5.6399 67.75%
322 10/25/2031 17,133.58 979.09 5.5460 5.6399 68.57%
323 11/25/2031 16,241.86 939.91 5.5460 5.6399 69.44%
324 12/25/2031 15,384.55 902.11 5.5460 5.6399 70.36%
325 1/25/2032 14,560.45 865.64 5.5460 5.6399 71.34%
326 2/25/2032 13,768.42 830.46 5.5460 5.6399 72.38%
327 3/25/2032 13,007.35 796.53 5.5460 5.6399 73.48%
328 4/25/2032 12,276.15 763.80 5.5460 5.6399 74.66%
329 5/25/2032 11,573.79 732.24 5.5460 5.6399 75.92%
330 6/25/2032 10,899.27 701.80 5.5460 5.6399 77.27%
331 7/25/2032 10,251.61 672.46 5.5460 5.6399 78.71%
332 8/25/2032 9,629.86 644.16 5.5460 5.6399 80.27%
333 9/25/2032 9,033.12 616.88 5.5460 5.6399 81.95%
334 10/25/2032 8,460.51 590.59 5.5460 5.6399 83.77%
335 11/25/2032 7,911.18 565.24 5.5460 5.6399 85.74%
336 12/25/2032 7,384.30 540.81 5.5460 5.6399 87.89%
337 1/25/2033 6,879.08 517.27 5.5460 5.6399 90.23%
338 2/25/2033 6,394.75 494.59 5.5460 5.6399 92.81%
339 3/25/2033 5,930.57 472.73 5.5460 5.6399 95.65%
340 4/25/2033 5,485.81 451.68 5.5460 5.6399 98.80%
341 5/25/2033 5,059.79 431.39 5.5460 5.6399 102.31%
342 6/25/2033 4,651.82 411.86 5.5460 5.6399 106.24%
343 7/25/2033 4,261.27 393.06 5.5460 5.6399 110.69%
344 8/25/2033 3,887.51 374.96 5.5460 5.6399 115.74%
345 9/25/2033 3,529.92 357.53 5.5460 5.6399 121.54%
346 10/25/2033 3,187.92 340.75 5.5460 5.6399 128.27%
347 11/25/2033 2,860.95 324.59 5.5460 5.6399 136.15%
348 12/25/2033 2,548.46 304.04 5.5460 5.6399 143.16%
349 1/25/2034 2,254.92 289.32 5.5460 5.6399 153.97%
350 2/25/2034 1,974.59 275.15 5.5460 5.6399 167.21%
351 3/25/2034 1,706.99 261.52 5.5460 5.6399 183.85%
352 4/25/2034 1,451.63 248.41 5.5460 5.6399 205.35%
353 5/25/2034 1,208.07 235.88 5.5460 5.6399 234.30%
354 6/25/2034 975.86 224.19 5.5460 5.6399 275.68%
355 7/25/2034 754.53 212.86 5.5460 5.6399 338.53%
356 8/25/2034 543.89 201.63 5.5460 5.6399 444.86%
357 9/25/2034 343.87 191.09 5.5460 5.6399 666.85%
358 10/25/2034 153.81 154.29 5.5460 5.6399 1203.74%
Total
5 CDR - 50% Loss Severity - 6m lag
Triggers Calculated
----------------------------------------------------------------------------------------------------------------------------
150PPC - Forward
----------------------------------------------------------------------------------------------------------------------------
Per Date Coll_Bal XS_Interest 1mLIBOR 6mLIBOR XS as %
1 1/25/2005 1,132,909,507.41 3,365,778.66 2.3300 2.6500 3.57%
2 2/25/2005 1,090,018,153.28 3,495,714.79 2.4110 2.7439 3.85%
3 3/25/2005 1,048,758,287.93 3,447,868.32 2.6174 2.8512 3.95%
4 4/25/2005 1,009,039,711.35 3,004,073.71 2.7015 2.9349 3.57%
5 5/25/2005 970,779,205.82 2,917,618.50 2.7779 3.0163 3.61%
6 6/25/2005 933,899,195.04 2,635,314.92 2.8999 3.0928 3.39%
7 7/25/2005 898,328,593.70 160,387.81 2.9600 3.1623 0.21%
8 8/25/2005 859,193,009.95 24,097.29 3.0303 3.2316 0.03%
9 9/25/2005 821,448,012.10 0.00 3.1278 3.2991 0.00%
10 10/25/2005 785,031,307.76 0.00 3.1851 3.3590 0.00%
11 11/25/2005 749,886,206.35 0.00 3.2328 3.4144 0.00%
12 12/25/2005 715,961,178.13 0.00 3.3133 3.4679 0.00%
13 1/25/2006 683,210,825.48 0.00 3.3705 3.5186 0.00%
14 2/25/2006 651,593,869.75 0.00 3.4257 3.5648 0.00%
15 3/25/2006 621,108,166.38 0.00 3.4960 3.6072 0.00%
16 4/25/2006 592,048,279.62 0.00 3.5099 3.6457 0.00%
17 5/25/2006 564,348,613.13 0.00 3.5470 3.6873 0.00%
18 6/25/2006 537,946,540.85 0.00 3.6100 3.7279 0.00%
19 7/25/2006 512,782,438.80 0.00 3.6415 3.7663 0.00%
20 8/25/2006 488,799,465.16 0.00 3.6697 3.8050 0.00%
21 9/25/2006 465,943,464.77 0.00 3.7269 3.8449 0.00%
22 10/25/2006 444,162,551.30 0.00 3.7569 3.8808 0.00%
23 11/25/2006 423,406,473.69 0.00 3.7869 3.9181 0.00%
24 12/25/2006 403,674,812.29 0.00 3.8385 3.9542 0.00%
25 1/25/2007 384,868,131.27 0.00 3.8697 3.9896 0.00%
26 2/25/2007 366,942,825.15 0.00 3.9027 4.0241 0.00%
27 3/25/2007 349,857,373.48 0.00 3.9492 4.0588 0.00%
28 4/25/2007 333,572,186.24 0.00 3.9742 4.0919 0.00%
29 5/25/2007 318,049,811.02 0.00 3.9989 4.1255 0.00%
30 6/25/2007 303,273,561.98 0.00 4.0447 4.1604 0.00%
31 7/25/2007 289,187,899.96 0.00 4.0729 4.1943 0.00%
32 8/25/2007 275,760,363.09 0.00 4.1020 4.2286 0.00%
33 9/25/2007 262,960,042.78 0.00 4.1462 4.2637 0.00%
34 10/25/2007 250,757,452.79 9,159.07 4.1740 4.2965 0.04%
35 11/25/2007 239,125,714.30 264,441.54 4.2045 4.3298 1.33%
36 12/25/2007 228,049,267.73 274,334.13 4.2461 4.3621 1.44%
37 1/25/2008 217,488,967.01 230,941.09 4.2747 4.3945 1.27%
38 2/25/2008 207,420,618.59 217,819.24 4.3063 4.4260 1.26%
39 3/25/2008 197,821,175.44 254,070.89 4.3457 4.4581 1.54%
40 4/25/2008 188,668,664.76 195,736.60 4.3688 4.4894 1.24%
41 5/25/2008 179,942,335.30 229,500.73 4.3953 4.5207 1.53%
42 6/25/2008 171,624,095.53 195,305.29 4.4346 4.5531 1.37%
43 7/25/2008 163,692,697.35 206,585.13 4.4611 4.5846 1.51%
44 8/25/2008 156,130,042.71 7,388,139.50 4.4913 4.6164 56.78%
45 9/25/2008 148,918,886.64 7,012,253.32 4.5300 4.6464 56.51%
46 10/25/2008 142,042,792.84 6,675,394.14 4.5551 4.6736 56.39%
47 11/25/2008 135,486,147.43 4,790,350.60 4.5852 4.7046 42.43%
48 12/25/2008 129,235,196.24 414,579.44 4.6222 4.7361 3.85%
49 1/25/2009 123,274,377.11 381,708.10 4.6475 4.7672 3.72%
50 2/25/2009 117,590,142.05 366,652.12 4.6660 4.7945 3.74%
51 3/25/2009 112,169,580.44 356,900.43 4.6991 4.8242 3.82%
52 4/25/2009 107,000,386.14 288,605.92 4.7348 4.8533 3.24%
53 5/25/2009 102,070,866.18 284,852.15 4.7705 4.8819 3.35%
54 6/25/2009 97,370,678.17 13,180.48 4.8019 4.9108 0.16%
55 7/25/2009 92,888,215.86 30,296.85 4.8081 4.9374 0.39%
56 8/25/2009 88,613,331.75 15,696.12 4.8360 4.9564 0.21%
57 9/25/2009 84,536,354.81 15,776.17 4.8708 4.9735 0.22%
58 10/25/2009 80,648,066.13 30,390.36 4.9050 4.9881 0.45%
59 11/25/2009 76,939,746.53 26,329.59 4.9394 5.0038 0.41%
60 12/25/2009 73,396,578.84 38,177.33 4.9603 5.0181 0.62%
61 1/25/2010 70,017,509.66 29,800.34 4.9195 5.0328 0.51%
62 2/25/2010 66,794,893.48 29,820.47 4.9352 5.0465 0.54%
63 3/25/2010 63,721,443.41 59,079.16 4.9636 5.0600 1.11%
64 4/25/2010 60,790,213.47 28,901.41 4.9947 5.0733 0.57%
65 5/25/2010 57,994,619.84 40,209.48 5.0250 5.0854 0.83%
66 6/25/2010 55,328,695.17 31,092.01 5.0438 5.0978 0.67%
67 7/25/2010 52,786,005.93 41,536.94 5.0001 5.1110 0.94%
68 8/25/2010 50,360,821.28 33,640.27 5.0122 5.1380 0.80%
69 9/25/2010 48,047,678.73 33,197.03 5.0400 5.1680 0.83%
70 10/25/2010 45,841,370.84 39,810.70 5.0675 5.1955 1.04%
71 11/25/2010 43,736,954.07 35,956.84 5.0959 5.2256 0.99%
72 12/25/2010 41,730,115.55 41,522.27 5.1242 5.2549 1.19%
73 1/25/2011 39,815,862.75 34,819.11 5.1569 5.2834 1.05%
74 2/25/2011 37,989,898.63 33,821.43 5.1864 5.3022 1.07%
75 3/25/2011 36,248,127.09 48,640.62 5.2125 5.3194 1.61%
76 4/25/2011 34,586,642.75 32,210.50 5.2408 5.3364 1.12%
77 5/25/2011 33,001,734.15 38,244.32 5.2682 5.3523 1.39%
78 6/25/2011 31,490,112.70 32,939.50 5.2885 5.3688 1.26%
79 7/25/2011 30,048,096.01 37,436.50 5.2679 5.3832 1.50%
80 8/25/2011 28,672,459.95 32,790.67 5.2841 5.3936 1.37%
81 9/25/2011 27,360,130.82 32,185.06 5.3105 5.4027 1.41%
82 10/25/2011 26,106,897.23 35,220.27 5.3365 5.4102 1.62%
83 11/25/2011 24,912,590.41 31,936.09 5.3628 5.4185 1.54%
84 12/25/2011 23,773,305.21 34,724.75 5.3757 5.4255 1.75%
85 1/25/2012 22,686,385.43 32,148.83 5.3280 5.4337 1.70%
86 2/25/2012 21,649,410.03 31,870.43 5.3365 5.4437 1.77%
87 3/25/2012 20,660,070.67 36,628.99 5.3587 5.4544 2.13%
88 4/25/2012 19,716,166.24 31,053.34 5.3830 5.4652 1.89%
89 5/25/2012 18,815,600.57 33,492.92 5.4062 5.4749 2.14%
90 6/25/2012 17,956,438.37 30,963.75 5.4209 5.4852 2.07%
91 7/25/2012 17,136,696.36 33,214.02 5.3878 5.4958 2.33%
92 8/25/2012 16,354,555.42 31,051.69 5.3979 5.5165 2.28%
93 9/25/2012 15,608,280.94 30,795.71 5.4200 5.5393 2.37%
94 10/25/2012 14,896,218.74 32,198.16 5.4418 5.5597 2.59%
95 11/25/2012 14,216,794.74 31,049.18 5.4644 5.5826 2.62%
96 12/25/2012 13,568,600.25 32,203.18 5.4860 5.6046 2.85%
97 1/25/2013 12,950,092.47 30,609.59 5.5076 5.6266 2.84%
98 2/25/2013 12,359,904.10 30,429.67 5.5299 5.6431 2.95%
99 3/25/2013 11,796,731.30 33,553.35 5.5500 5.6590 3.41%
100 4/25/2013 11,259,330.46 30,177.92 5.5727 5.6753 3.22%
101 5/25/2013 10,746,518.72 31,499.66 5.5943 5.6902 3.52%
102 6/25/2013 10,257,236.31 30,499.23 5.6120 5.7061 3.57%
103 7/25/2013 9,790,323.03 31,250.94 5.6051 5.7216 3.83%
104 8/25/2013 9,344,750.61 30,452.41 5.6206 5.7431 3.91%
105 9/25/2013 8,919,538.37 30,389.70 5.6421 5.7656 4.09%
106 10/25/2013 8,513,750.92 30,875.38 5.6630 5.7857 4.35%
107 11/25/2013 8,126,498.33 30,748.48 5.6848 5.8083 4.54%
108 12/25/2013 7,756,988.92 31,094.31 5.7059 5.8300 4.81%
109 1/25/2014 7,404,343.73 30,691.01 5.7289 5.8501 4.97%
110 2/25/2014 7,067,789.02 30,684.29 5.7510 5.8552 5.21%
111 3/25/2014 6,746,586.83 31,289.22 5.7703 5.8569 5.57%
112 4/25/2014 6,440,033.18 30,718.29 5.7924 5.8595 5.72%
113 5/25/2014 6,147,457.69 30,972.69 5.8128 5.8602 6.05%
114 6/25/2014 5,868,239.12 93,721.78 5.8206 5.8617 19.17%
115 7/25/2014 5,601,744.09 284,950.27 5.7593 5.8609 61.04%
116 8/25/2014 5,347,389.94 271,944.15 5.7611 5.8575 61.03%
117 9/25/2014 5,104,620.86 259,524.74 5.7801 5.8529 61.01%
118 10/25/2014 4,872,916.33 247,673.88 5.7990 5.8468 60.99%
119 11/25/2014 4,651,769.97 236,313.19 5.8182 5.8416 60.96%
120 12/25/2014 4,440,716.94 225,537.80 5.8193 5.8350 60.95%
121 1/25/2015 4,239,266.74 215,255.99 5.7384 5.8313 60.93%
122 2/25/2015 4,046,980.39 205,445.01 5.7343 5.8372 60.92%
123 3/25/2015 3,863,439.05 196,083.21 5.7487 5.8457 60.90%
124 4/25/2015 3,688,243.16 187,150.27 5.7666 5.8552 60.89%
125 5/25/2015 3,521,011.58 178,651.26 5.7830 5.8631 60.89%
126 6/25/2015 3,361,385.48 170,515.65 5.7943 5.8719 60.87%
127 7/25/2015 3,209,012.48 162,752.08 5.7745 5.8808 60.86%
128 8/25/2015 3,063,561.56 155,343.50 5.7831 5.8985 60.85%
129 9/25/2015 2,924,716.88 148,273.51 5.7993 5.9178 60.84%
130 10/25/2015 2,792,177.11 141,529.23 5.8151 5.9357 60.83%
131 11/25/2015 2,665,655.25 135,170.74 5.8319 5.9553 60.85%
132 12/25/2015 2,544,892.42 129,022.87 5.8494 5.9740 60.84%
133 1/25/2016 2,429,609.34 123,155.68 5.8761 5.9931 60.83%
134 2/25/2016 2,319,556.35 117,556.35 5.8950 6.0082 60.82%
135 3/25/2016 2,214,495.27 112,212.47 5.9103 6.0233 60.81%
136 4/25/2016 2,114,198.76 107,114.89 5.9274 6.0389 60.80%
137 5/25/2016 2,018,450.45 102,309.78 5.9433 6.0532 60.82%
138 6/25/2016 1,927,055.62 97,661.74 5.9589 6.0684 60.82%
139 7/25/2016 1,839,802.74 93,225.56 5.9665 6.0803 60.81%
140 8/25/2016 1,756,503.44 88,991.57 5.9815 6.0800 60.80%
141 9/25/2016 1,676,977.95 84,950.47 5.9980 6.0764 60.79%
142 10/25/2016 1,601,054.71 81,094.01 6.0138 6.0711 60.78%
143 11/25/2016 1,528,570.14 77,419.14 6.0300 6.0672 60.78%
144 12/25/2016 1,459,369.25 73,905.08 6.0309 6.0618 60.77%
145 1/25/2017 1,393,301.42 70,550.97 5.9636 6.0582 60.76%
146 2/25/2017 1,330,224.37 67,349.50 5.9606 6.0567 60.76%
147 3/25/2017 1,270,002.31 64,293.70 5.9727 6.0559 60.75%
148 4/25/2017 1,212,505.65 61,376.71 5.9884 6.0564 60.74%
149 5/25/2017 1,157,610.66 58,588.38 6.0021 6.0549 60.73%
150 6/25/2017 1,105,198.42 55,930.99 6.0063 6.0544 60.73%
151 7/25/2017 1,055,157.27 53,394.40 5.9563 6.0548 60.72%
152 8/25/2017 1,007,379.69 50,973.10 5.9561 6.0701 60.72%
153 9/25/2017 961,763.03 48,661.83 5.9692 6.0881 60.72%
154 10/25/2017 918,209.35 46,456.01 5.9822 6.1039 60.71%
155 11/25/2017 876,625.23 44,366.72 5.9963 6.1224 60.73%
156 12/25/2017 836,925.20 42,355.67 6.0122 6.1400 60.73%
157 1/25/2018 799,019.83 40,435.92 6.0429 6.1575 60.73%
158 2/25/2018 762,827.85 38,603.32 6.0604 6.1682 60.73%
159 3/25/2018 728,271.68 36,853.88 6.0723 6.1783 60.73%
160 4/25/2018 695,277.26 35,184.41 6.0872 6.1893 60.73%
161 5/25/2018 663,774.04 33,603.93 6.1003 6.1986 60.75%
162 6/25/2018 633,697.68 32,081.42 6.1116 6.2089 60.75%
163 7/25/2018 604,980.17 30,627.94 6.1075 6.2190 60.75%
164 8/25/2018 577,560.05 29,240.38 6.1176 6.2354 60.75%
165 9/25/2018 551,378.64 27,915.70 6.1311 6.2527 60.75%
166 10/25/2018 526,379.93 26,651.47 6.1441 6.2676 60.76%
167 11/25/2018 502,510.56 25,455.60 6.1582 6.2852 60.79%
168 12/25/2018 479,722.19 24,302.54 6.1735 6.3018 60.79%
169 1/25/2019 457,963.02 23,201.72 6.2008 6.3164 60.80%
170 2/25/2019 437,186.54 22,150.76 6.2175 6.3127 60.80%
171 3/25/2019 417,348.37 21,147.39 6.2293 6.3051 60.81%
172 4/25/2019 398,406.12 20,189.57 6.2441 6.2990 60.81%
173 5/25/2019 380,319.37 19,275.84 6.2567 6.2905 60.82%
174 6/25/2019 363,049.46 18,419.19 6.2558 6.2830 60.88%
175 7/25/2019 346,543.33 17,600.59 6.1807 6.2712 60.95%
176 8/25/2019 330,767.13 16,818.28 6.1739 6.2454 61.02%
177 9/25/2019 315,688.54 16,455.98 6.1857 6.2157 62.55%
178 10/25/2019 300,891.33 102,399.47 6.1974 6.1854 408.38%
179 11/25/2019 200,070.72 10,369.96 6.2090 6.1554 62.20%
180 12/25/2019 190,716.33 9,884.73 6.1900 6.1236 62.20%
181 1/25/2020 181,797.84 9,422.21 6.0296 6.0951 62.19%
182 2/25/2020 173,294.94 8,981.30 6.0021 6.0756 62.19%
183 3/25/2020 165,188.26 8,561.02 6.0092 6.0578 62.19%
184 4/25/2020 157,459.35 8,160.12 6.0195 6.0414 62.19%
185 5/25/2020 150,090.52 7,771.54 6.0279 6.0232 62.13%
186 6/25/2020 143,063.20 7,407.75 6.0188 6.0059 62.14%
187 7/25/2020 136,363.46 7,060.97 5.9168 5.9897 62.14%
188 8/25/2020 129,976.05 6,730.41 5.9006 5.9901 62.14%
189 9/25/2020 123,886.41 6,415.31 5.9077 5.9936 62.14%
190 10/25/2020 118,080.68 6,114.87 5.9151 5.9955 62.14%
191 11/25/2020 112,545.62 5,827.66 5.9233 5.9993 62.14%
192 12/25/2020 107,268.37 5,554.76 5.9274 6.0021 62.14%
193 1/25/2021 102,237.22 5,294.61 5.9169 6.0056 62.14%
194 2/25/2021 97,440.68 5,046.62 5.9206 6.0058 62.15%
195 3/25/2021 92,867.85 4,810.22 5.9264 6.0058 62.16%
196 4/25/2021 88,508.31 4,584.88 5.9352 6.0072 62.16%
197 5/25/2021 84,352.12 4,370.26 5.9421 6.0066 62.17%
198 6/25/2021 80,389.88 4,165.48 5.9448 6.0070 62.18%
199 7/25/2021 76,612.49 3,970.27 5.9200 6.0080 62.19%
200 8/25/2021 73,011.35 3,784.19 5.9206 6.0196 62.20%
201 9/25/2021 69,578.26 3,606.80 5.9276 6.0330 62.21%
202 10/25/2021 66,305.39 3,437.72 5.9343 6.0443 62.22%
203 11/25/2021 63,185.29 3,277.52 5.9421 6.0583 62.25%
204 12/25/2021 60,211.16 3,123.82 5.9531 6.0713 62.26%
205 1/25/2022 57,375.87 2,977.31 5.9853 6.0840 62.27%
206 2/25/2022 54,672.96 2,837.64 5.9981 6.0893 62.28%
207 3/25/2022 52,096.27 2,704.50 6.0040 6.0935 62.30%
208 4/25/2022 49,639.93 2,577.61 6.0128 6.0990 62.31%
209 5/25/2022 47,298.34 2,457.24 6.0197 6.1026 62.34%
210 6/25/2022 45,066.35 2,341.89 6.0252 6.1073 62.36%
211 7/25/2022 42,938.66 2,231.92 6.0178 6.1122 62.38%
212 8/25/2022 40,910.41 2,127.10 6.0224 6.1256 62.39%
213 9/25/2022 38,976.96 2,027.17 6.0297 6.1403 62.41%
214 10/25/2022 37,133.92 1,931.94 6.0365 6.1529 62.43%
215 11/25/2022 35,377.07 1,841.79 6.0445 6.1681 62.47%
216 12/25/2022 33,702.63 1,755.21 6.0565 6.1824 62.50%
217 1/25/2023 32,106.53 1,672.68 6.0935 6.1962 62.52%
218 2/25/2023 30,585.10 1,594.00 6.1075 6.2006 62.54%
219 3/25/2023 29,134.89 1,519.01 6.1136 6.2035 62.56%
220 4/25/2023 27,752.58 1,447.53 6.1226 6.2078 62.59%
221 5/25/2023 26,435.01 1,379.69 6.1297 6.2101 62.63%
222 6/25/2023 25,179.27 1,314.71 6.1343 6.2134 62.66%
223 7/25/2023 23,982.36 1,252.78 6.1209 6.2156 62.69%
224 8/25/2023 22,841.56 1,193.74 6.1243 6.2195 62.71%
225 9/25/2023 21,754.24 1,137.47 6.1317 6.2230 62.74%
226 10/25/2023 20,717.92 1,083.83 6.1386 6.2253 62.78%
227 11/25/2023 19,730.23 1,032.79 6.1464 6.2292 62.81%
228 12/25/2023 18,788.92 984.05 6.1503 6.2320 62.85%
229 1/25/2024 17,891.82 937.59 6.1411 6.2342 62.88%
230 2/25/2024 17,036.84 893.30 6.1447 6.2265 62.92%
231 3/25/2024 16,222.05 851.09 6.1506 6.2169 62.96%
232 4/25/2024 15,445.55 810.85 6.1588 6.2083 63.00%
233 5/25/2024 14,705.57 772.38 6.1650 6.1980 63.03%
234 6/25/2024 14,000.35 735.84 6.1607 6.1887 63.07%
235 7/25/2024 13,328.33 701.00 6.0979 6.1762 63.11%
236 8/25/2024 12,687.96 667.71 6.0894 6.1545 63.15%
237 9/25/2024 12,077.86 635.58 6.0953 6.1299 63.15%
238 10/25/2024 11,497.00 604.52 6.1011 6.1048 63.10%
239 11/25/2024 10,944.46 574.53 6.1072 6.0803 62.99%
240 12/25/2024 10,418.86 547.31 6.0904 6.0542 63.04%
241 1/25/2025 9,918.03 521.37 5.9698 6.0288 63.08%
242 2/25/2025 9,440.80 496.65 5.9476 5.9984 63.13%
243 3/25/2025 8,986.08 473.09 5.9499 5.9661 63.18%
244 4/25/2025 8,552.81 450.62 5.9560 5.9364 63.22%
245 5/25/2025 8,139.99 428.89 5.9596 5.9040 63.23%
246 6/25/2025 7,746.52 408.50 5.9391 5.8726 63.28%
247 7/25/2025 7,371.66 389.07 5.7933 5.8419 63.33%
248 8/25/2025 7,014.53 370.55 5.7637 5.8270 63.39%
249 9/25/2025 6,674.30 352.90 5.7657 5.8149 63.45%
250 10/25/2025 6,350.19 336.07 5.7683 5.8021 63.51%
251 11/25/2025 6,041.43 319.89 5.7715 5.7904 63.54%
252 12/25/2025 5,747.25 304.62 5.7631 5.7775 63.60%
253 1/25/2026 5,467.03 290.07 5.7044 5.7652 63.67%
254 2/25/2026 5,200.12 276.21 5.6936 5.7494 63.74%
255 3/25/2026 4,945.90 262.99 5.6942 5.7327 63.81%
256 4/25/2026 4,703.77 250.40 5.6979 5.7180 63.88%
257 5/25/2026 4,473.16 238.32 5.6995 5.7010 63.93%
258 6/25/2026 4,253.50 226.89 5.6890 5.6850 64.01%
259 7/25/2026 4,044.31 216.00 5.6136 5.6695 64.09%
260 8/25/2026 3,845.11 205.62 5.5984 5.6660 64.17%
261 9/25/2026 3,655.41 195.73 5.5994 5.6645 64.25%
262 10/25/2026 3,474.79 186.31 5.6006 5.6618 64.34%
263 11/25/2026 3,302.80 177.31 5.6026 5.6607 64.42%
264 12/25/2026 3,139.04 168.76 5.6015 5.6587 64.51%
265 1/25/2027 2,983.12 160.61 5.5907 5.6567 64.61%
266 2/25/2027 2,834.69 152.85 5.5895 5.6486 64.71%
267 3/25/2027 2,693.38 145.46 5.5895 5.6395 64.81%
268 4/25/2027 2,558.86 138.42 5.5923 5.6320 64.91%
269 5/25/2027 2,430.81 131.69 5.5931 5.6226 65.01%
270 6/25/2027 2,308.93 125.30 5.5876 5.6140 65.12%
271 7/25/2027 2,192.91 119.22 5.5456 5.6053 65.24%
272 8/25/2027 2,082.50 113.42 5.5375 5.6029 65.36%
273 9/25/2027 1,977.42 107.90 5.5382 5.6013 65.48%
274 10/25/2027 1,877.43 102.64 5.5388 5.5989 65.60%
275 11/25/2027 1,782.28 97.62 5.5402 5.5977 65.73%
276 12/25/2027 1,691.73 92.85 5.5389 5.5956 65.86%
277 1/25/2028 1,605.58 88.30 5.5295 5.5946 65.99%
278 2/25/2028 1,523.62 83.98 5.5281 5.5936 66.14%
279 3/25/2028 1,445.65 79.86 5.5281 5.5932 66.29%
280 4/25/2028 1,371.48 75.93 5.5299 5.5937 66.44%
281 5/25/2028 1,300.92 72.19 5.5304 5.5928 66.59%
282 6/25/2028 1,233.82 68.64 5.5308 5.5929 66.76%
283 7/25/2028 1,170.00 65.25 5.5257 5.5928 66.92%
284 8/25/2028 1,109.30 62.02 5.5258 5.5982 67.09%
285 9/25/2028 1,051.58 58.95 5.5266 5.6042 67.27%
286 10/25/2028 996.70 56.03 5.5271 5.6086 67.46%
287 11/25/2028 944.53 53.25 5.5285 5.6151 67.65%
288 12/25/2028 894.92 50.60 5.5327 5.6207 67.85%
289 1/25/2029 847.77 48.08 5.5548 5.6259 68.06%
290 2/25/2029 802.95 45.67 5.5604 5.6233 68.25%
291 3/25/2029 760.35 43.39 5.5603 5.6194 68.48%
292 4/25/2029 719.86 41.21 5.5626 5.6169 68.70%
293 5/25/2029 681.39 39.14 5.5631 5.6126 68.93%
294 6/25/2029 644.83 37.17 5.5611 5.6092 69.17%
295 7/25/2029 610.10 35.28 5.5414 5.6061 69.39%
296 8/25/2029 577.12 33.49 5.5381 5.6121 69.64%
297 9/25/2029 545.80 31.80 5.5389 5.6193 69.92%
298 10/25/2029 516.05 30.18 5.5393 5.6251 70.18%
299 11/25/2029 487.80 28.64 5.5408 5.6329 70.46%
300 12/25/2029 460.98 27.18 5.5460 5.6399 70.75%
301 1/25/2030 435.52 25.79 5.5460 5.6399 71.06%
302 2/25/2030 411.35 24.47 5.5460 5.6399 71.38%
303 3/25/2030 388.40 23.21 5.5460 5.6399 71.71%
304 4/25/2030 366.62 22.02 5.5460 5.6399 72.07%
305 5/25/2030 345.95 20.88 5.5460 5.6399 72.43%
306 6/25/2030 326.34 19.80 5.5460 5.6399 72.81%
307 7/25/2030 307.73 18.77 5.5460 5.6399 73.19%
308 8/25/2030 290.08 17.80 5.5460 5.6399 73.63%
309 9/25/2030 273.34 16.87 5.5460 5.6399 74.06%
310 10/25/2030 257.46 15.98 5.5460 5.6399 74.48%
311 11/25/2030 242.41 15.14 5.5460 5.6399 74.95%
312 12/25/2030 228.14 14.34 5.5460 5.6399 75.43%
313 1/25/2031 214.61 13.59 5.5460 5.6399 75.99%
314 2/25/2031 201.79 12.86 5.5460 5.6399 76.48%
315 3/25/2031 189.64 12.18 5.5460 5.6399 77.07%
316 4/25/2031 178.13 11.53 5.5460 5.6399 77.67%
317 5/25/2031 167.23 10.91 5.5460 5.6399 78.29%
318 6/25/2031 156.91 10.32 5.5460 5.6399 78.92%
319 7/25/2031 147.14 9.76 5.5460 5.6399 79.60%
320 8/25/2031 137.88 9.23 5.5460 5.6399 80.33%
321 9/25/2031 129.13 8.73 5.5460 5.6399 81.13%
322 10/25/2031 120.84 8.25 5.5460 5.6399 81.93%
323 11/25/2031 113.01 7.80 5.5460 5.6399 82.82%
324 12/25/2031 105.59 7.37 5.5460 5.6399 83.76%
325 1/25/2032 98.59 6.96 5.5460 5.6399 84.71%
326 2/25/2032 91.96 6.57 5.5460 5.6399 85.73%
327 3/25/2032 85.70 6.20 5.5460 5.6399 86.81%
328 4/25/2032 79.79 5.85 5.5460 5.6399 87.98%
329 5/25/2032 74.20 5.52 5.5460 5.6399 89.27%
330 6/25/2032 68.93 5.20 5.5460 5.6399 90.53%
331 7/25/2032 63.95 4.90 5.5460 5.6399 91.95%
332 8/25/2032 59.25 4.62 5.5460 5.6399 93.57%
333 9/25/2032 54.82 4.35 5.5460 5.6399 95.22%
334 10/25/2032 50.64 4.10 5.5460 5.6399 97.16%
335 11/25/2032 46.70 3.86 5.5460 5.6399 99.19%
336 12/25/2032 42.99 3.63 5.5460 5.6399 101.33%
337 1/25/2033 39.50 3.41 5.5460 5.6399 103.59%
338 2/25/2033 36.21 3.21 5.5460 5.6399 106.38%
339 3/25/2033 33.11 3.01 5.5460 5.6399 109.09%
340 4/25/2033 30.19 2.83 5.5460 5.6399 112.49%
341 5/25/2033 27.46 2.65 5.5460 5.6399 115.80%
342 6/25/2033 24.88 2.49 5.5460 5.6399 120.10%
343 7/25/2033 22.46 2.33 5.5460 5.6399 124.49%
344 8/25/2033 20.19 2.18 5.5460 5.6399 129.57%
345 9/25/2033 18.06 2.04 5.5460 5.6399 135.55%
346 10/25/2033 16.06 1.91 5.5460 5.6399 142.71%
347 11/25/2033 14.19 1.78 5.5460 5.6399 150.53%
348 12/25/2033 12.44 1.62 5.5460 5.6399 156.27%
349 1/25/2034 10.85 1.51 5.5460 5.6399 167.00%
350 2/25/2034 9.36 1.41 5.5460 5.6399 180.77%
351 3/25/2034 7.97 1.31 5.5460 5.6399 197.24%
352 4/25/2034 6.67 1.22 5.5460 5.6399 219.49%
353 5/25/2034 5.46 1.13 5.5460 5.6399 248.35%
354 6/25/2034 4.33 1.05 5.5460 5.6399 290.99%
355 7/25/2034 3.28 0.97 5.5460 5.6399 354.88%
356 8/25/2034 2.30 0.90 5.5460 5.6399 469.57%
357 9/25/2034 1.40 0.83 5.5460 5.6399 711.43%
358 10/25/2034 0.57 0.57 5.5460 5.6399 1200.00%
Total
XXXXXX XXXXXXX
2004-WMC3
1st Liens
Selection Criteria: 1st Liens
Table of Contents
1. Credit Score
2. Occupancy
3. Property Type
4. Loan Purpose
5. Documentation Level
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 - 524 233 42,831,311 4.16 8.080 355 75.96 513
525 - 549 255 51,197,777 4.97 8.034 356 76.84 537
550 - 574 394 85,381,735 8.29 7.438 356 80.95 562
575 - 599 534 109,272,688 10.61 7.140 356 79.32 588
600 - 624 657 151,225,021 14.68 6.879 355 81.73 613
625 - 649 644 145,121,894 14.08 6.835 354 80.68 637
650 - 674 671 170,092,773 16.51 6.628 355 80.81 662
675 - 699 445 120,538,836 11.70 6.539 355 80.72 687
700 - 724 273 70,471,530 6.84 6.527 356 81.55 711
725 - 749 175 43,718,614 4.24 6.462 357 81.40 736
750 - 774 107 31,033,064 3.01 6.275 356 81.01 761
775 - 799 36 9,017,284 0.88 6.502 349 79.96 785
800 + 2 450,400 0.04 5.830 358 80.00 802
----------------------------------------------------------------------------------------------------------------------------------
Total: 4,426 1,030,352,927 100.00 6.909 355 80.44 636
----------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 500
Maximum: 802
Non-Zero Weighted Average: 636
2. 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 ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------------
Primary 4,145 976,107,811 94.74 6.901 355 80.30 634
Investment 188 35,050,861 3.40 7.260 355 82.21 667
Second Home 93 19,194,255 1.86 6.681 354 84.47 683
----------------------------------------------------------------------------------------------------------------------------------
Total: 4,426 1,030,352,927 100.00 6.909 355 80.44 636
----------------------------------------------------------------------------------------------------------------------------------
3. Property Type
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 3,242 736,388,543 71.47 6.926 355 80.31 632
Planned Unit Development 472 118,674,433 11.52 6.919 357 81.45 638
Condominium 406 92,428,034 8.97 6.655 357 81.32 656
2-4 Family 252 76,587,686 7.43 7.022 357 79.68 649
Manufactured Housing 54 6,274,231 0.61 7.061 348 73.65 641
----------------------------------------------------------------------------------------------------------------------------------
Total: 4,426 1,030,352,927 100.00 6.909 355 80.44 636
----------------------------------------------------------------------------------------------------------------------------------
4. 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 ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------------
Purchase 1,983 473,916,182 46.00 6.771 357 81.34 664
Refinance - Cashout 1,731 396,911,098 38.52 7.019 354 79.63 614
Refinance - Rate Term 712 159,525,647 15.48 7.048 354 79.80 611
----------------------------------------------------------------------------------------------------------------------------------
Total: 4,426 1,030,352,927 100.00 6.909 355 80.44 636
----------------------------------------------------------------------------------------------------------------------------------
5. Documentation Level
----------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------------
Full Documentation 2,386 504,199,365 48.93 6.860 355 81.72 622
Stated Documentation 1,579 407,232,559 39.52 6.989 356 78.54 657
Limited Documentation 461 118,921,003 11.54 6.847 355 81.57 629
----------------------------------------------------------------------------------------------------------------------------------
Total: 4,426 1,030,352,927 100.00 6.909 355 80.44 636
----------------------------------------------------------------------------------------------------------------------------------
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.
XXXXXX XXXXXXX
2004-WMC3
2nd Liens
Table of Contents
1. Credit Score
2. Occupancy
3. Property Type
4. Loan Purpose
5. Documentation Level
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 ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
500 - 524 1 54,968 0.05 11.990 178 100.00 508
525 - 549 4 201,193 0.20 11.388 178 99.77 543
550 - 574 11 646,081 0.63 10.387 178 99.93 561
575 - 599 186 7,770,337 7.58 11.342 179 99.54 589
600 - 624 280 13,182,612 12.85 11.090 178 99.36 613
625 - 649 290 14,382,476 14.02 10.830 178 99.37 638
650 - 674 376 22,767,869 22.20 10.250 178 99.24 663
675 - 699 278 19,282,223 18.80 9.923 179 98.81 687
700 - 724 174 11,560,231 11.27 9.687 178 99.53 711
725 - 749 109 6,672,982 6.51 9.505 178 99.51 736
750 - 774 71 4,629,448 4.51 9.537 178 99.45 761
775 - 799 21 1,368,605 1.33 9.697 178 99.79 785
800 + 1 37,554 0.04 8.500 178 100.00 801
---------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29 667
---------------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 508
Maximum: 801
Non-Zero Weighted Average: 667
2. Occupancy
---------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
Primary 1,762 100,623,061 98.11 10.312 178 99.29 667
Second Home 39 1,854,086 1.81 10.366 178 99.63 695
Investment 1 79,433 0.08 10.250 178 95.00 707
---------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29 667
---------------------------------------------------------------------------------------------------------------------------------
3. 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 ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 1,251 70,659,716 68.90 10.311 178 99.23 665
Planned Unit Development 258 14,632,977 14.27 10.492 180 99.56 662
Condominium 217 11,528,812 11.24 10.024 178 99.76 678
2-4 Family 76 5,735,076 5.59 10.461 178 98.35 690
---------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29 667
---------------------------------------------------------------------------------------------------------------------------------
4. Loan Purpose
---------------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average Weighted
of Date Date Gross Remaining Combined Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
---------------------------------------------------------------------------------------------------------------------------------
Purchase 1,496 86,153,638 84.01 10.285 178 99.56 670
Refinance - Cashout 234 12,921,973 12.60 10.515 179 97.58 652
Refinance - Rate Term 72 3,480,969 3.39 10.241 179 98.89 645
---------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29 667
---------------------------------------------------------------------------------------------------------------------------------
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
---------------------------------------------------------------------------------------------------------------------------------
Stated Documentation 815 49,912,318 48.67 10.495 178 99.20 682
Full Documentation 821 41,680,819 40.64 10.158 178 99.47 651
Limited Documentation 166 10,963,443 10.69 10.069 178 99.00 660
---------------------------------------------------------------------------------------------------------------------------------
Total: 1,802 102,556,580 100.00 10.313 178 99.29 667
---------------------------------------------------------------------------------------------------------------------------------
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.
