EXHIBIT 99
--------------------------------------------------------------------------------
March 6, 2003
XXXXXX XXXXXXX
SECURITIZED PRODUCTS GROUP [GRAPHIC OMITTED]
--------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS
$357,971,000
APPROXIMATELY
XXXXXX XXXXXXX CAPITAL I INC.
SERIES 2003-NC3
MORTGAGE PASS-THROUGH CERTIFICATES
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 1
APPROXIMATELY $357,971,000
XXXXXX XXXXXXX CAPITAL I INC., SERIES 2003-NC3
XXXXXX XXXXXXX CAPITAL I INC.
DEPOSITOR
PROVIDENT BANK
SERVICER
TRANSACTION HIGHLIGHTS
Modified
Expected Ratings Avg Life to Duration To
Offered (S&P/Fitch/ Call / Call / Payment Window Subordination Initial
Classes Description Balance Xxxxx'x) Mty(1)(2) Mty(1)(2)(3) To Call / Mty(1)(2) Level Benchmark
------- ----------- ------- -------- --------- ------------ ------------------- ----- ---------
A-1 Not Offered 324,039,000 **************************************Not Offered*******************************************
A-2 Floater 240,239,000 AAA/AAA/Aaa 2.90/3.21 2.80 / 3.07 04/03-04/11 / 04/03-11/20 19.00% 1 Mo. LIBOR
M-1 Floater 42,843,000 AA/AA/Aa2 5.37/5.92 5.06 / 5.5 06/06-04/11 / 06/06-11/17 12.85% 1 Mo. LIBOR
M-2 Floater 36,573,000 A/A/A2 5.35/5.84 4.86 / 5.23 05/06-04/11 / 05/06-08/16 7.60% 1 Mo. LIBOR
M-3 Floater 12,191,000 A-/A-/A3 5.34/5.75 4.80 / 5.10 04/06-04/11 / 04/06-12/14 5.85% 1 Mo. LIBOR
B-1 Floater 8,708,000 BBB+/BBB+/Baa1 5.34/5.68 4.67 / 4.91 04/06-04/11 / 04/06-01/14 4.60% 1 Mo. LIBOR
B-2 Floater 10,450,000 BBB/BBB/Baa2 5.34/5.56 4.56 / 4.71 04/06-04/11 / 04/06-04/13 3.10% 1 Mo. LIBOR
B-3 Floater 6,967,000 BBB-/BBB-/Baa3 5.31/5.35 4.54 / 4.57 04/06-04/11 / 04/06-12/11 2.10% 1 Mo. LIBOR
NOTES:
(1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
ISSUER:
Xxxxxx Xxxxxxx Capital I Inc. Trust 2003-NC3.
DEPOSITOR:
Xxxxxx Xxxxxxx Capital I Inc.
ORIGINATOR:
NC Capital Corporation
SERVICER:
The Provident Bank
TRUSTEE:
Deutsche Bank National Trust Company.
MANAGERS:
Xxxxxx Xxxxxxx (LEAD MANAGER), Xxxxxxxx Capital Partners, L.P. and
Xxxxxxxx Capital Group, L.P.
RATING AGENCIES:
Standard & Poor's, Fitch Ratings and Xxxxx'x Investors Service.
OFFERED CERTIFICATES:
Classes A-2, M-1, M-2, M-3, B-1, B-2 and B-3 Certificates.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 2
EXPECTED CLOSING DATE:
March 26, 2003 through DTC and Euroclear or Clearstream, Luxembourg. The
Certificates will be sold without accrued interest.
DISTRIBUTION DATES:
The 25th of each month, or if such day is not a business day, on the next
business day, beginning April 25, 2003.
FINAL SCHEDULED DISTRIBUTION DATE:
The Distribution Date occurring in March 2033.
DUE PERIOD:
For any Distribution Date, the period commencing on the second day of the
month preceding the month in which such Distribution Date occurs and
ending on the first day of the month in which such Distribution Date
occurs.
INTEREST ACCRUAL PERIOD:
The interest accrual period for the Offered Certificates with respect to
any Distribution Date will be the period beginning with the 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 mortgage loans.
GROUP I MORTGAGE LOANS:
Approximately $398.6 million of Mortgage Loans with original principal
balances that conform to the original principal balance limits for one-
to four-family residential mortgage loan guidelines for purchase by
Freddie Mac.
GROUP II MORTGAGE LOANS:
Approximately $298.0 million of Mortgage Loans that predominantly have
original principal balances that do not conform to the original principal
balance limits for one- to four-family residential mortgage loan
guidelines for purchase by Freddie Mac.
PRICING PREPAYMENT SPEED:
o FIXED RATE MORTGAGE LOANS: CPR starting at approximately 1.5333%
CPR in month 1 and increasing to 23% CPR in month 15 (23%/15 CPR
increase for each month), and remaining at 23% CPR thereafter
o ARM MORTGAGE LOANS: CPR of 25%
CREDIT ENHANCEMENT:
The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage Loans,
2) 2.10% 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 4.20% 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.
SENIOR ENHANCEMENT PERCENTAGE:
For any Distribution Date, the percentage obtained by dividing (x) the
aggregate Certificate Principal Balance of the subordinate certificates
(together with any overcollateralization and taking into account the
distributions of the Principal Distribution Amount for such Distribution
Date) by (y) the aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 3
STEP-DOWN DATE:
The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in April 2006; 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 38.00%.
TRIGGER EVENT:
A Trigger Event is in effect on any Distribution Date if (i) on that
Distribution Date the 60 Day+ Rolling Average equals or exceeds 40% of
the prior period's Senior Enhancement Percentage and (ii) may include
other trigger events related to the performance of the Mortgage Loans.
The 60 Day+ Rolling Average will equal the rolling 3 month average
percentage of Mortgage Loans that are 60 or more days delinquent.
INITIAL SUBORDINATION PERCENTAGE:
Class A: 19.00%
Class M-1: 12.85%
Class M-2: 7.60%
Class M-3: 5.85%
Class B-1: 4.60%
Class B-2: 3.10%
Class B-3: 2.10%
OPTIONAL CLEAN-UP CALL:
When the current aggregate principal balance of the Mortgage Loans is
less than or equal to 10% of the aggregate principal balance of the
Mortgage Loans as of the cut-off date. The applicable fixed margin will
increase by 2x on the Class A Certificates and by 1.5x on all other
Certificates on and after the first distribution date on which the
Optional Clean-up Call is exercisable.
STEP-UP COUPONS:
For all Offered Certificates the coupon will increase after the optional
clean-up call date, should the call not be exercised.
CLASS A-1 PASS-THROUGH RATE:
The Class A-1 Certificates will accrue interest at a variable rate equal
to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up Call is exercisable),
(ii) the Loan Group I Cap and (iii) the WAC Cap.
CLASS A-2 PASS-THROUGH RATE:
The Class A-2 Certificates will accrue interest at a variable rate equal
to the least of (i) one-month LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up Call is exercisable),
(ii) the Loan Group II Cap and (iii) the WAC Cap.
CLASS M-1 PASS-THROUGH RATE:
The Class M-1 Certificates will accrue interest at a variable rate equal
to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS M-2 PASS-THROUGH RATE:
The Class M-2 Certificates will accrue interest at a variable rate equal
to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS M-3 PASS-THROUGH RATE:
The Class M-3 Certificates will accrue interest at a variable rate equal
to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 4
CLASS B-1 PASS-THROUGH RATE:
The Class B-1 Certificates will accrue interest at a variable rate equal
to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS B-2 PASS-THROUGH RATE:
The Class B-2 Certificates will accrue interest at a variable rate equal
to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
CLASS B-3 PASS-THROUGH RATE:
The Class B-3 Certificates will accrue interest at a variable rate equal
to the lesser of (i) one-month LIBOR plus [] bps ([] bps after the first
distribution date on which the Optional Clean-up Call is exercisable) and
(ii) the WAC Cap.
WAC CAP:
As to any Distribution Date a per annum rate equal to the product of (i)
the weighted average gross rate of the Mortgage Loans in effect on the
beginning of the related Due Period less servicing, trustee and other fee
rates, and (ii) a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days in the related Interest
Accrual Period.
LOAN GROUP I CAP:
As to any Distribution Date, a per annum rate equal to the product of (i)
weighted average gross rate of the Group I Mortgage Loans in effect on
the beginning of the related Due Period less servicing, trustee and other
fee rates, and (ii) a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days in the related Interest
Accrual Period.
LOAN GROUP II CAP:
As to any Distribution Date, a per annum rate equal to the product of (i)
weighted average gross rate of the Group II Mortgage Loans in effect on
the beginning of the related Due Period less servicing, trustee and other
fee rates, and (ii) a fraction, the numerator of which is 30 and the
denominator of which is the actual number of days in the related Interest
Accrual Period.
CLASS A-1 BASIS RISK CARRY FORWARD AMOUNT:
As to any Distribution Date, the supplemental interest amount for the
Class A-1 Certificates will equal the sum of:
(i) the excess, if any, of interest that would otherwise be due on
such Certificates at the Class A-1 Pass-Through Rate (without
regard to the Loan Group I Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser of the Loan Group I Cap
or WAC Cap;
(ii) any Class A-1 Basis Risk Carry Forward Amount remaining unpaid
from prior Distribution Dates; and
(iii) interest on the amount in clause (ii) at the related Class A-1
Pass-Through Rate (without regard to the Loan Group I Cap or WAC
Cap).
CLASS A-2 BASIS RISK CARRY FORWARD AMOUNT:
As to any Distribution Date, the supplemental interest amount for the
Class A-2 Certificates will equal the sum of:
(i) the excess, if any, of interest that would otherwise be due on
such Certificates at the Class A-2 Pass-Through Rate (without
regard to the Loan Group II Cap or WAC Cap) over interest due such
Certificates at a rate equal to the lesser of the Loan Group II
Cap or WAC Cap;
(ii) any Class A-2 Basis Risk Carry Forward Amount remaining unpaid
from prior Distribution Dates; and
(iii) interest on the amount in clause (ii) at the related Class A-2
Pass-Through Rate (without regard to the Loan Group II Cap or WAC
Cap).
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 5
CLASS M-1, M-2, M-3, B-1, B-2 AND B-3 BASIS RISK CARRY FORWARD AMOUNTS:
As to any Distribution Date, the supplemental interest amount for each of
the Class M-1, M-2, M-3, B-1, B-2 and B-3 Certificates will equal the sum
of:
(i) the excess, if any, of interest that would otherwise be due on
such Certificates at such Certificates' applicable Pass-Through
Rate (without regard to the WAC Cap) over interest due such
Certificates at a rate equal to the WAC Cap;
(ii) any Basis Risk Carry Forward Amount for such class remaining
unpaid for such Certificate from prior Distribution Dates; and
(iii) interest on the amount in clause (ii) at the Certificates'
applicable Pass-Through Rate (without regard to the WAC Cap).
INTEREST DISTRIBUTIONS ON OFFERED CERTIFICATES:
On each Distribution Date and after payments of servicing and trustee
fees and other expenses, interest distributions from the Interest
Remittance Amount will be allocated as follows:
(i) the portion of the Interest Remittance Amount attributable to the
Group I Mortgage Loans will be allocated according to the related
Accrued Certificate Interest and any unpaid interest shortfall
amounts for such class, as applicable, FIRST, to the Class A-1
Certificates and SECOND, to the Class A-2 Certificates;
(ii) the portion of the Interest Remittance Amount attributable to the
Group II Mortgage Loans will be allocated according to the related
Accrued Certificate Interest and any unpaid interest shortfall
amounts for such class, as applicable, FIRST, to the Class A-2
Certificates and SECOND, to the Class A-1 Certificates;
(iii) to the Class M-1 Certificates, its Accrued Certificate Interest;
(iv) to the Class M-2 Certificates, its Accrued Certificate Interest;
(v) to the Class M-3 Certificates, its Accrued Certificate Interest;
(vi) to the Class B-1 Certificates, its Accrued Certificate Interest;
(vii) to the Class B-2 Certificates, its Accrued Certificate Interest,
and
(viii) to the Class B-3 Certificates, its Accrued Certificate Interest.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 6
PRINCIPAL DISTRIBUTIONS ON OFFERED CERTIFICATES:
On each Distribution Date (a) prior to the Stepdown Date or (b) on which
a Trigger Event is in effect, principal distributions from the Principal
Distribution Amount will be allocated as follows:
(i) to the Class A Certificates, allocated between the Class A
Certificates as described below, until the Certificate Principal
Balances thereof have been reduced to zero;
(ii) to the Class M-1 Certificates, until the Certificate Principal
Balance thereof has been reduced to zero;
(iii) to the Class M-2 Certificates, until the Certificate Principal
Balance thereof has been reduced to zero;
(iv) to the Class M-3 Certificates, until the Certificate Principal
Balance thereof has been reduced to zero;
(v) to the Class B-1 Certificates, until the Certificate Principal
Balance thereof has been reduced to zero;
(vi) to the Class B-2 Certificates, until the Certificate Principal
Balance thereof has been reduced to zero; and
(vii) 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 have been reduced to zero;
(iii) to the Class M-2 Certificates, the lesser of the remaining
Principal Distribution Amount and the Class M-2 Principal
Distribution Amount, until the Certificate Principal Balance
thereof have been reduced to zero;
(iv) to the Class 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 have been reduced to zero;
(v) to the Class B-1 Certificates, the lesser of the remaining
Principal Distribution Amount and the Class B-1 Principal
Distribution Amount, until the Certificate Principal Balance
thereof have been reduced to zero;
(vi) 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 have been reduced to zero; and
(vii) 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 have been reduced to zero.
All principal distributions to the Class A Certificates on any
Distribution Date will be allocated between the Class A-1 Certificates
and the Class A-2 Certificates on a PRO RATA basis based on the Class A
Principal Allocation Percentage for each such class on such Distribution
Date; provided, however, that if the Certificate Principal Balance of
either class of Class A Certificates is reduced to zero, then the
remaining amount of principal distributions distributable to the class of
Class A Certificates on such Distribution Date and all subsequent
Distribution Dates, will be distributed to the remaining outstanding
Class A Certificates until the Certificate Principal Balance thereof has
been reduced to zero.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 7
INTEREST RATE CAP:
Beginning on the first Distribution Date, and for a period of 35 months
thereafter, an Interest Rate Cap will be pledged to the Trust for the
benefit of the Class A-2 Certificate.
For the first 24 months if the 1-month LIBOR rate exceeds 6.95%, the
Interest Rate Cap pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate and 6.95% (on an Actual/360
day count basis) up to a maximum of 137.5bps and (ii) the Interest Rate
Cap Notional Balance ("the Interest Rate Cap Payment") as described
herein. For the next 12 months if the 1-month LIBOR rate exceeds 7.325%,
the Interest Rate Cap pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate and 7.325% (on an Actual/360
day count basis) up to a maximum of 100bps and (ii) the Interest Rate Cap
Notional Balance ("the Interest Rate Cap Payment") as described herein.
INTEREST RATE CAP PAYMENT ALLOCATION:
The Interest Rate Cap Payment shall be available to pay any Basis Risk
Carry Forward Amount due Class A-2.
ALLOCATION OF NET MONTHLY EXCESS CASHFLOW:
For any Distribution Date, any Net Monthly Excess Cashflow shall be paid
as follows:
(i) to the Class M-1 Certificates, the unpaid interest shortfall
amount;
(ii) to the Class M-1 Certificates, the allocated unreimbursed realized
loss amount;
(iii) to the Class M-2 Certificates, the unpaid interest shortfall
amount;
(iv) to the Class M-2 Certificates, the allocated unreimbursed realized
loss amount;
(v) to the Class M-3 Certificates, the unpaid interest shortfall
amount;
(vi) to the Class M-3 Certificates, the allocated unreimbursed realized
loss amount;
(vii) to the Class B-1 Certificates, the unpaid interest shortfall
amount;
(viii) to the Class B-1 Certificates, the allocated unreimbursed realized
loss amount;
(ix) to the Class B-2 Certificates, the unpaid interest shortfall
amount;
(x) to the Class B-2 Certificates, the allocated unreimbursed realized
loss amount;
(xi) to the Class B-3 Certificates, the unpaid interest shortfall
amount;
(xii) to the Class B-3 Certificates, the allocated unreimbursed realized
loss amount;
(XIII) CONCURRENTLY, any Class A-1 Basis Risk Carry Forward Amount to the
Class A-1 Certificates, and any Class A-2 Basis Risk Carry Forward
Amount to the Class A-2 Certificates; and
(XIV) SEQUENTIALLY, to Classes M-1, M-2, M-3, B-1, B-2 and B-3
Certificates, in such order, any Basis Risk Carry Forward Amount
for such classes.
INTEREST REMITTANCE AMOUNT:
For any Distribution Date, the portion of available funds for such
Distribution Date attributable to interest received or advanced on the
Mortgage Loans.
ACCRUED CERTIFICATE INTEREST:
For any Distribution Date and each class of Offered Certificates, equals
the amount of interest accrued during the related interest accrual period
at the related Pass-through Rate, reduced by any prepayment interest
shortfalls and shortfalls resulting from the application of the Soldiers'
and Sailors' Civil Relief Act of 1940 or similar state law allocated to
such class.
PRINCIPAL DISTRIBUTION AMOUNT:
On any Distribution Date, the sum of (i) the Basic Principal Distribution
Amount and (ii) the Extra Principal Distribution Amount.
BASIC PRINCIPAL DISTRIBUTION AMOUNT:
On any Distribution Date, the excess of (i) the aggregate principal
remittance amount over (ii) the Excess Subordinated Amount, if any.
NET MONTHLY EXCESS CASHFLOW:
For any Distribution Date is the amount of funds available for
distribution on such Distribution Date remaining after making all
distributions of interest and principal on the certificates.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 8
EXTRA PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, the lesser of (i) the excess of (x) interest
collected or advanced with respect to the Mortgage Loans with due dates
in the related Due Period (less servicing and trustee fees and expenses),
over (y) the sum of interest payable on the Certificates on such
Distribution Date and (ii) the overcollateralization deficiency amount
for such Distribution Date.
EXCESS SUBORDINATED AMOUNT:
For any Distribution Date, means the excess, if any of (i) the
overcollateralization and (ii) the required overcollateralization for
such Distribution Date.
CLASS A PRINCIPAL ALLOCATION PERCENTAGE:
For any Distribution Date, the percentage equivalent of a fraction,
determined as follows: (i) in the case of the Class A-1 Certificates the
numerator of which is (x) the portion of the principal remittance amount
for such Distribution Date that is attributable to principal received or
advanced on the Group I Mortgage Loans and the denominator of which is
(y) the principal remittance amount for such Distribution Date and (ii)
in the case of the Class A-2 Certificates, the numerator of which is (x)
the portion of the principal remittance amount for such Distribution Date
that is attributable to principal received or advanced on the Group II
Mortgage Loans and the denominator of which is (y) the principal
remittance amount for such Distribution Date.
CLASS A PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, an amount equal to the excess of (x) the
aggregate Certificate Principal Balance of the Class A Certificates
immediately prior to such Distribution Date over (y) the lesser of (A)
the product of (i) approximately 62.00% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the related Due
Period and (B) the excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related Due Period over
$3,483,198.
CLASS M-1 PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, an amount equal to the excess of (x) the sum
of (i) the aggregate Certificate Principal Balance of the Class A
Certificates (after taking into account the payment of the Class A
Principal Distribution Amount on such Distribution Date) and (ii) the
Certificate Principal Balance of the Class M-1 Certificates immediately
prior to such Distribution Date over (y) the lesser of (A) the product of
(i) approximately 74.30% 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 $3,483,198.
CLASS M-2 PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, an amount equal to the excess of (x) the sum
of (i) the aggregate Certificate Principal Balance of the Class A
Certificates (after taking into account the payment of the Class A
Principal Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal Distribution Amount
on such Distribution Date) and (iii) the Certificate Principal Balance of
the Class M-2 Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i) approximately 84.80% and
(ii) the aggregate principal balance of the Mortgage Loans as of the last
day of the related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of the last day of
the related Due Period over $3,483,198.
CLASS M-3 PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, an amount equal to the excess of (x) the sum
of (i) the aggregate Certificate Principal Balance of the Class A
Certificates (after taking into account the payment of the Class A
Principal Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal Distribution Amount
on such Distribution Date), (iii) the Certificate Principal Balance of
the Class M-2 Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such Distribution Date) and
(iv) the Certificate Principal Balance of the Class M-3 Certificates
immediately prior to such Distribution Date over (y) the lesser of (A)
the product of (i) approximately 88.30% 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
$3,483,198.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 9
CLASS B-1 PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, an amount equal to the excess of (x) the sum
of (i) the aggregate Certificate Principal Balance of the Class A
Certificates (after taking into account the payment of the Class A
Principal Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal Distribution Amount
on such Distribution Date), (iii) the Certificate Principal Balance of
the Class M-2 Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such Distribution Date), (iv)
the Certificate Principal Balance of the Class M-3 Certificates (after
taking into account the payment of the Class M-3 Principal Distribution
Amount on such Distribution Date) and (v) the Certificate Principal
Balance of the Class B-1 Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the product of (i)
approximately 90.80% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period over $3,483,198.
CLASS B-2 PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, an amount equal to the excess of (x) the sum
of (i) the aggregate Certificate Principal Balance of the Class A
Certificates (after taking into account the payment of the Class A
Principal Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal Distribution Amount
on such Distribution Date), (iii) the Certificate Principal Balance of
the Class M-2 Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such Distribution Date), (iv)
the Certificate Principal Balance of the Class M-3 Certificates (after
taking into account the payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the Certificate Principal Balance
of the Class B-1 Certificates (after taking into account the payment of
the Class B-1 Principal Distribution Amount on such Distribution Date)
and (vi) 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 93.80% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the related Due
Period and (B) the excess, if any, of the aggregate principal balance of
the Mortgage Loans as of the last day of the related Due Period over
$3,483,198.
CLASS B-3 PRINCIPAL DISTRIBUTION AMOUNT:
For any Distribution Date, an amount equal to the excess of (x) the sum
of (i) the aggregate Certificate Principal Balance of the Class A
Certificates (after taking into account the payment of the Class A
Principal Distribution Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1 Certificates (after taking
into account the payment of the Class M-1 Principal Distribution Amount
on such Distribution Date), (iii) the Certificate Principal Balance of
the Class M-2 Certificates (after taking into account the payment of the
Class M-2 Principal Distribution Amount on such Distribution Date), (iv)
the Certificate Principal Balance of the Class M-3 Certificates (after
taking into account the payment of the Class M-3 Principal Distribution
Amount on such Distribution Date), (v) the Certificate Principal Balance
of the Class B-1 Certificates (after taking into account the payment of
the Class B-1 Principal Distribution Amount on such Distribution Date),
(vi) 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 (vii) 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 95.80% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due Period and (B) the
excess, if any, of the aggregate principal balance of the Mortgage Loans
as of the last day of the related Due Period over $3,483,198.
TRUST TAX STATUS:
REMIC.
ERISA ELIGIBILITY:
Subject to the considerations in the Prospectus, all Offered Certificates
are ERISA eligible.
SMMEA ELIGIBILITY:
It is not anticipated that the Class A-2 and Class M-1 Certificates will
be SMMEA eligible.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 10
PROSPECTUS: The Class A-2, Class M-1, Class M-2, Class M-3, 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.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 11
TO MATURITY
-----------
PERCENTAGE OF CLASS A-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
March 2004 99 81 75 69 63
March 2005 98 61 51 41 31
March 2006 96 45 32 21 11
March 2007 95 35 27 20 11
March 2008 93 29 20 14 10
March 2009 92 23 15 10 7
March 2010 90 19 12 7 5
March 2011 88 15 9 5 4
March 2012 86 12 7 4 3
March 2013 83 10 5 3 1
March 2014 80 8 4 2 0
March 2015 77 7 3 2 0
March 2016 73 5 3 1 0
March 2017 70 4 2 0 0
March 2018 65 4 2 0 0
March 2019 62 3 1 0 0
March 2020 57 2 0 0 0
March 2021 53 2 0 0 0
March 2022 48 2 0 0 0
March 2023 42 1 0 0 0
March 2024 37 1 0 0 0
March 2025 33 0 0 0 0
March 2026 29 0 0 0 0
March 2027 25 0 0 0 0
March 2028 21 0 0 0 0
March 2029 17 0 0 0 0
March 2030 13 0 0 0 0
March 2031 8 0 0 0 0
March 2032 3 0 0 0 0
March 2033 0 0 0 0 0
Average Life to
Maturity (years) 17.88 4.22 3.21 2.52 1.99
Average Life to Call(1)
(years) 17.85 3.85 2.90 2.25 1.76
(1) 10% Optional Clean-Up Call
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 12
TO MATURITY
-----------
PERCENTAGE OF CLASS M-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
March 2004 100 100 100 100 100
March 2005 100 100 100 100 100
March 2006 100 100 100 100 100
March 2007 100 88 65 47 80
March 2008 100 71 49 32 21
March 2009 100 57 36 22 13
March 2010 100 46 27 15 8
March 2011 100 37 20 10 5
March 2012 100 29 15 7 2
March 2013 100 24 11 5 0
March 2014 100 19 8 2 0
March 2015 100 15 6 0 0
March 2016 100 12 4 0 0
March 2017 100 9 2 0 0
March 2018 100 7 0 0 0
March 2019 100 6 0 0 0
March 2020 100 4 0 0 0
March 2021 100 3 0 0 0
March 2022 100 0 0 0 0
March 2023 100 0 0 0 0
March 2024 100 0 0 0 0
March 2025 95 0 0 0 0
March 2026 86 0 0 0 0
March 2027 75 0 0 0 0
March 2028 64 0 0 0 0
March 2029 53 0 0 0 0
March 2030 40 0 0 0 0
March 2031 27 0 0 0 0
March 2032 13 0 0 0 0
March 2033 0 0 0 0 0
Average Life to
Maturity (years) 26.07 7.80 5.92 5.03 4.81
Average Life to Call(1)
(years) 25.94 7.09 5.37 4.59 4.46
(1) 10% Optional Clean-Up Call
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 13
TO MATURITY
-----------
PERCENTAGE OF CLASS M-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
March 2004 100 100 100 100 100
March 2005 100 100 100 100 100
March 2006 100 100 100 100 100
March 2007 100 88 65 47 33
March 2008 100 71 49 32 21
March 2009 100 57 36 22 13
March 2010 100 46 27 15 8
March 2011 100 37 20 10 3
March 2012 100 29 15 7 0
March 2013 100 24 11 2 0
March 2014 100 19 8 0 0
March 2015 100 15 5 0 0
March 2016 100 12 1 0 0
March 2017 100 9 0 0 0
March 2018 100 7 0 0 0
March 2019 100 4 0 0 0
March 2020 100 1 0 0 0
March 2021 100 0 0 0 0
March 2022 100 0 0 0 0
March 2023 100 0 0 0 0
March 2024 100 0 0 0 0
March 2025 95 0 0 0 0
March 2026 86 0 0 0 0
March 2027 75 0 0 0 0
March 2028 64 0 0 0 0
March 2029 53 0 0 0 0
March 2030 40 0 0 0 0
March 2031 27 0 0 0 0
March 2032 13 0 0 0 0
March 2033 0 0 0 0 0
Average Life to
Maturity (years) 26.06 7.73 5.84 4.85 4.37
Average Life to Call(1)
(years) 25.94 7.09 5.35 4.46 4.06
(1) 10% Optional Clean-Up Call
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 14
TO MATURITY
-----------
PERCENTAGE OF CLASS M-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
March 2004 100 100 100 100 100
March 2005 100 100 100 100 100
March 2006 100 100 100 100 100
March 2007 100 88 65 47 33
March 2008 100 71 49 32 21
March 2009 100 57 36 22 13
March 2010 100 46 27 15 7
March 2011 100 37 20 10 0
March 2012 100 29 15 2 0
March 2013 100 24 11 0 0
March 2014 100 19 7 0 0
March 2015 100 15 0 0 0
March 2016 100 12 0 0 0
March 2017 100 9 0 0 0
March 2018 100 3 0 0 0
March 2019 100 0 0 0 0
March 2020 100 0 0 0 0
March 2021 100 0 0 0 0
March 2022 100 0 0 0 0
March 2023 100 0 0 0 0
March 2024 100 0 0 0 0
March 2025 95 0 0 0 0
March 2026 86 0 0 0 0
March 2027 75 0 0 0 0
March 2028 64 0 0 0 0
March 2029 53 0 0 0 0
March 2030 40 0 0 0 0
March 2031 27 0 0 0 0
March 2032 13 0 0 0 0
March 2033 0 0 0 0 0
Average Life to
Maturity (years) 26.05 7.63 5.75 4.73 4.18
Average Life to Call(1)
(years) 25.94 7.09 5.34 4.40 3.92
(1) 10% Optional Clean-Up Call
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 15
TO MATURITY
-----------
PERCENTAGE OF CLASS B-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
---------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
March 2004 100 100 100 100 100
March 2005 100 100 100 100 100
March 2006 100 100 100 100 100
March 2007 100 88 65 47 33
March 2008 100 71 49 32 21
March 2009 100 57 36 22 13
March 2010 100 46 27 15 0
March 2011 100 37 20 9 0
March 2012 100 29 15 0 0
March 2013 100 24 11 0 0
March 2014 100 19 0 0 0
March 2015 100 15 0 0 0
March 2016 100 12 0 0 0
March 2017 100 3 0 0 0
March 2018 100 0 0 0 0
March 2019 100 0 0 0 0
March 2020 100 0 0 0 0
March 2021 100 0 0 0 0
March 2022 100 0 0 0 0
March 2023 100 0 0 0 0
March 2024 100 0 0 0 0
March 2025 95 0 0 0 0
March 2026 86 0 0 0 0
March 2027 75 0 0 0 0
March 2028 64 0 0 0 0
March 2029 53 0 0 0 0
March 2030 40 0 0 0 0
March 2031 27 0 0 0 0
March 2032 13 0 0 0 0
March 2033 0 0 0 0 0
Average Life to
Maturity (years) 26.04 7.54 5.68 4.65 4.08
Average Life to Call(1)
(years) 25.94 7.09 5.34 4.38 3.87
(1) 10% Optional Clean-Up Call
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 16
TO MATURITY
-----------
PERCENTAGE OF CLASS B-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
March 2004 100 100 100 100 100
March 2005 100 100 100 100 100
March 2006 100 100 100 100 100
March 2007 100 88 65 47 33
March 2008 100 71 49 32 21
March 2009 100 57 36 22 7
March 2010 100 46 27 13 0
March 2011 100 37 20 0 0
March 2012 100 29 12 0 0
March 2013 100 24 0 0 0
March 2014 100 19 0 0 0
March 2015 100 12 0 0 0
March 2016 100 3 0 0 0
March 2017 100 0 0 0 0
March 2018 100 0 0 0 0
March 2019 100 0 0 0 0
March 2020 100 0 0 0 0
March 2021 100 0 0 0 0
March 2022 100 0 0 0 0
March 2023 100 0 0 0 0
March 2024 100 0 0 0 0
March 2025 95 0 0 0 0
March 2026 86 0 0 0 0
March 2027 75 0 0 0 0
March 2028 64 0 0 0 0
March 2029 53 0 0 0 0
March 2030 40 0 0 0 0
March 2031 27 0 0 0 0
March 2032 6 0 0 0 0
March 2033 0 0 0 0 0
Average Life to
Maturity (years) 26.01 7.39 5.56 4.55 3.97
Average Life to Call(1)
(years) 25.94 7.09 5.34 4.37 3.83
(1) 10% Optional Clean-Up Call
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 17
TO MATURITY
-----------
PERCENTAGE OF CLASS B-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
----------- ------ ------- -------- -------- --------
Initial 100 100 100 100 100
March 2004 100 100 100 100 100
March 2005 100 100 100 100 100
March 2006 100 100 100 100 100
March 2007 100 88 65 47 33
March 2008 100 71 49 32 15
March 2009 100 57 36 19 0
March 2010 100 46 27 0 0
March 2011 100 37 12 0 0
March 2012 100 29 0 0 0
March 2013 100 23 0 0 0
March 2014 100 8 0 0 0
March 2015 100 0 0 0 0
March 2016 100 0 0 0 0
March 2017 100 0 0 0 0
March 2018 100 0 0 0 0
March 2019 100 0 0 0 0
March 2020 100 0 0 0 0
March 2021 100 0 0 0 0
March 2022 100 0 0 0 0
March 2023 100 0 0 0 0
March 2024 100 0 0 0 0
March 2025 95 0 0 0 0
March 2026 86 0 0 0 0
March 2027 75 0 0 0 0
March 2028 64 0 0 0 0
March 2029 53 0 0 0 0
March 2030 40 0 0 0 0
March 2031 27 0 0 0 0
March 2032 0 0 0 0 0
March 2033 0 0 0 0 0
Average Life to Maturity
(years) 25.94 7.12 5.35 4.36 3.82
Average Life to Call (1)
(years) 25.93 7.06 5.31 4.33 3.79
(1) 10% Optional Clean-Up Call
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 18
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap)(1)(2)
CLASS A-2 CLASS M-1 CLASS M-2 CLASS B-1 CLASS B-2 CLASS A-2
PERIOD CAP (%) CAP (%) CAP (%) CAP (%) CAP (%) PERIOD CAP (%)
------ ------- ------- ------- ------- ------- ------ -------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
0 - - - - - - -
1 8.94 7.32 7.32 7.32 7.32 7.32 7.32
2 9.12 7.44 7.44 7.44 7.44 7.44 7.44
3 9.04 7.32 7.32 7.32 7.32 7.32 7.32
4 9.35 7.60 7.60 7.60 7.60 7.60 7.60
5 9.09 7.35 7.35 7.35 7.35 7.35 7.35
6 9.10 7.35 7.35 7.35 7.35 7.35 7.35
7 9.36 7.60 7.60 7.60 7.60 7.60 7.60
8 9.11 7.35 7.35 7.35 7.35 7.35 7.35
9 9.38 7.60 7.60 7.60 7.60 7.60 7.60
10 9.12 7.35 7.35 7.35 7.35 7.35 7.35
11 9.13 7.35 7.35 7.35 7.35 7.35 7.35
12 9.67 7.86 7.86 7.86 7.86 7.86 7.86
13 9.15 7.35 7.35 7.35 7.35 7.35 7.35
14 9.41 7.59 7.59 7.59 7.59 7.59 7.59
15 9.16 7.35 7.35 7.35 7.35 7.35 7.35
16 9.43 7.59 7.59 7.59 7.59 7.59 7.59
17 9.18 7.35 7.35 7.35 7.35 7.35 7.35
18 9.19 7.35 7.35 7.35 7.35 7.35 7.35
19 9.46 7.59 7.59 7.59 7.59 7.59 7.59
20 9.21 7.35 7.35 7.35 7.35 7.35 7.35
21 9.49 7.59 7.59 7.59 7.59 7.59 7.59
22 9.24 7.35 7.35 7.35 7.35 7.35 7.35
23 10.07 8.26 8.26 8.26 8.26 8.26 8.26
24 11.02 9.14 9.14 9.14 9.14 9.14 9.14
25 9.72 8.26 8.26 8.26 8.26 8.26 8.26
26 10.03 8.53 8.53 8.53 8.53 8.53 8.53
27 9.75 8.25 8.25 8.25 8.25 8.25 8.25
28 10.06 8.53 8.53 8.53 8.53 8.53 8.53
29 10.59 9.16 9.16 9.16 9.16 9.16 9.16
30 10.61 9.16 9.16 9.16 9.16 9.16 9.16
31 10.95 9.46 9.46 9.46 9.46 9.46 9.46
32 10.65 9.15 9.15 9.15 9.15 9.15 9.15
33 11.00 9.46 9.46 9.46 9.46 9.46 9.46
34 10.70 9.15 9.15 9.15 9.15 9.15 9.15
35 11.55 10.07 10.07 10.07 10.07 10.07 10.07
36 12.72 11.15 11.15 11.15 11.15 11.15 11.15
37 25.36 10.07 10.07 10.07 10.07 10.07 10.07
38 12.90 10.41 10.41 10.41 10.41 10.41 10.41
(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%
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap)(1)(2)
CLASS A-2 CLASS M-1 CLASS M-2 CLASS B-1 CLASS B-2 CLASS A-2
PERIOD CAP (%) CAP (%) CAP (%) CAP (%) CAP (%) PERIOD CAP (%)
------ ------- ------- ------- ------- ------- ------ -------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
39 12.42 10.07 10.07 10.07 10.07 10.07 10.07
40 12.77 10.40 10.40 10.40 10.40 10.40 10.40
41 13.10 10.99 10.99 10.99 10.99 10.99 10.99
42 13.10 10.99 10.99 10.99 10.99 10.99 10.99
43 13.54 11.35 11.35 11.35 11.35 11.35 11.35
44 13.10 10.98 10.98 10.98 10.98 10.98 10.98
45 13.54 11.35 11.35 11.35 11.35 11.35 11.35
46 13.10 10.98 10.98 10.98 10.98 10.98 10.98
47 13.65 11.61 11.61 11.61 11.61 11.61 11.61
48 15.11 12.85 12.85 12.85 12.85 12.85 12.85
49 13.65 11.60 11.60 11.60 11.60 11.60 11.60
50 14.10 11.99 11.99 11.99 11.99 11.99 11.99
51 13.64 11.60 11.60 11.60 11.60 11.60 11.60
52 14.10 11.99 11.99 11.99 11.99 11.99 11.99
53 13.66 11.62 11.62 11.62 11.62 11.62 11.62
54 13.66 11.62 11.62 11.62 11.62 11.62 11.62
55 14.12 12.00 12.00 12.00 12.00 12.00 12.00
56 13.66 11.61 11.61 11.61 11.61 11.61 11.61
57 14.11 12.00 12.00 12.00 12.00 12.00 12.00
58 13.66 11.61 11.61 11.61 11.61 11.61 11.61
59 13.67 11.62 11.62 11.62 11.62 11.62 11.62
60 14.61 12.42 12.42 12.42 12.42 12.42 12.42
61 13.67 11.62 11.62 11.62 11.62 11.62 11.62
62 14.12 12.01 12.01 12.01 12.01 12.01 12.01
63 13.67 11.62 11.62 11.62 11.62 11.62 11.62
64 14.12 12.00 12.00 12.00 12.00 12.00 12.00
65 13.67 11.61 11.61 11.61 11.61 11.61 11.61
66 13.67 11.61 11.61 11.61 11.61 11.61 11.61
67 14.12 12.00 12.00 12.00 12.00 12.00 12.00
68 13.67 11.61 11.61 11.61 11.61 11.61 11.61
69 14.12 11.99 11.99 11.99 11.99 11.99 11.99
70 13.66 11.61 11.61 11.61 11.61 11.61 11.61
71 13.66 11.60 11.60 11.60 11.60 11.60 11.60
72 15.13 12.85 12.85 12.85 12.85 12.85 12.85
73 13.66 11.60 11.60 11.60 11.60 11.60 11.60
74 14.12 11.99 11.99 11.99 11.99 11.99 11.99
75 13.66 11.60 11.60 11.60 11.60 11.60 11.60
(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%
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 20
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap)(1)(2)
CLASS A-2 CLASS M-1 CLASS M-2 CLASS B-1 CLASS B-2 CLASS A-2
PERIOD CAP (%) CAP (%) CAP (%) CAP (%) CAP (%) PERIOD CAP (%)
------ ------- ------- ------- ------- ------- ------ -------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
76 14.12 11.98 11.98 11.98 11.98 11.98 11.98
77 13.66 11.60 11.60 11.60 11.60 11.60 11.60
78 13.66 11.59 11.59 11.59 11.59 11.59 11.59
79 14.12 11.98 11.98 11.98 11.98 11.98 11.98
80 13.66 11.59 11.59 11.59 11.59 11.59 11.59
81 14.12 11.98 11.98 11.98 11.98 11.98 11.98
82 13.66 11.59 11.59 11.59 11.59 11.59 11.59
83 13.66 11.59 11.59 11.59 11.59 11.59 11.59
84 15.13 12.83 12.83 12.83 12.83 12.83 12.83
85 13.66 11.58 11.58 11.58 11.58 11.58 11.58
86 14.12 11.97 11.97 11.97 11.97 11.97 11.97
87 13.66 11.58 11.58 11.58 11.58 11.58 11.58
88 14.12 11.97 11.97 11.97 11.97 11.97 11.97
89 13.66 11.58 11.58 11.58 11.58 11.58 11.58
90 13.66 11.58 11.58 11.58 11.58 11.58 11.58
91 12.39 11.96 11.96 11.96 11.96 11.96 11.96
92 11.80 11.58 11.58 11.58 11.58 11.58 11.58
93 12.21 11.96 11.96 11.96 11.96 11.96 11.96
94 11.84 11.57 11.57 11.57 11.57 11.57 11.57
95 11.86 11.57 11.57 11.57 11.57 11.57 11.57
96 13.15 12.81 12.81 12.81 12.81 12.81 12.81
97 11.90 11.57 11.57 11.57 11.57 11.57 11.57
98 12.32 11.95 11.95 11.95 11.95 11.95 11.95
99 11.95 11.57 11.57 11.57 11.57 11.57 11.57
100 12.37 11.95 11.95 11.95 11.95 11.95 11.95
101 11.99 11.57 11.57 11.57 11.57 11.57 11.57
102 12.02 11.56 11.56 11.56 11.56 11.56 11.56
103 12.45 11.95 11.95 11.95 11.95 11.95 11.95
104 12.07 11.56 11.56 11.56 11.56 11.56 11.56
105 12.50 11.95 11.95 11.95 11.95 11.95 11.95
106 12.12 11.56 11.56 11.56 11.56 11.56 11.56
107 12.15 11.56 11.56 11.56 11.56 11.56 11.56
108 13.02 12.36 12.36 12.36 12.36 12.36 -
109 12.21 11.56 11.56 11.56 11.56 11.56 -
110 12.65 11.94 11.94 11.94 11.94 11.94 -
111 12.27 11.56 11.56 11.56 11.56 11.56 -
112 12.71 11.94 11.94 11.94 11.94 11.94 -
(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%
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 21
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap)(1)(2)
CLASS A-2 CLASS M-1 CLASS M-2 CLASS B-1 CLASS B-2 CLASS A-2
PERIOD CAP (%) CAP (%) CAP (%) CAP (%) CAP (%) PERIOD CAP (%)
------ ------- ------- ------- ------- ------- ------ -------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
113 12.34 11.55 11.55 11.55 11.55 11.55 -
114 12.37 11.55 11.55 11.55 11.55 11.55 -
115 12.82 11.94 11.94 11.94 11.94 11.94 -
116 12.44 11.55 11.55 11.55 11.55 11.55 -
117 12.89 11.94 11.94 11.94 11.94 11.94 -
118 12.51 11.55 11.55 11.55 11.55 11.55 -
119 12.55 11.55 11.55 11.55 11.55 11.55 -
120 13.94 12.79 12.79 12.79 12.79 12.79 -
121 12.63 11.55 11.55 11.55 11.55 11.55 -
122 13.10 11.93 11.93 11.93 11.93 11.93 -
123 12.72 11.55 11.55 11.55 11.55 11.55 -
124 13.19 11.93 11.93 11.93 11.93 - -
125 12.80 11.54 11.54 11.54 11.54 - -
126 12.85 11.54 11.54 11.54 11.54 - -
127 13.33 11.93 11.93 11.93 11.93 - -
128 12.95 11.54 11.54 11.54 11.54 - -
129 13.43 11.93 11.93 11.93 11.93 - -
130 13.05 11.54 11.54 11.54 11.54 - -
131 13.10 11.54 11.54 11.54 11.54 - -
132 14.56 12.78 12.78 12.78 12.78 - -
133 13.21 11.54 11.54 11.54 11.54 - -
134 13.71 11.92 11.92 11.92 - - -
135 13.32 11.54 11.54 11.54 - - -
136 13.83 11.92 11.92 11.92 - - -
137 13.44 11.54 11.54 11.54 - - -
138 13.51 11.54 11.54 11.54 - - -
139 14.02 11.92 11.92 11.92 - - -
140 13.64 11.54 11.54 11.54 - - -
141 14.16 11.92 11.92 11.92 - - -
142 13.78 11.53 11.53 11.53 - - -
143 13.85 11.53 11.53 11.53 - - -
144 15.41 12.77 12.77 - - - -
145 14.00 11.53 11.53 - - - -
146 14.55 11.92 11.92 - - - -
147 14.16 11.53 11.53 - - - -
148 14.71 11.92 11.92 - - - -
149 14.32 11.53 11.53 - - - -
(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%
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 22
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap)(1)(2)
CLASS A-2 CLASS M-1 CLASS M-2 CLASS B-1 CLASS B-2 CLASS A-2
PERIOD CAP (%) CAP (%) CAP (%) CAP (%) CAP (%) PERIOD CAP (%)
------ ------- ------- ------- ------- ------- ------ -------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
150 14.41 11.53 11.53 - - - -
151 14.98 11.92 11.92 - - - -
152 14.59 11.53 11.53 - - - -
153 15.17 11.92 11.92 - - - -
154 14.78 11.53 11.53 - - - -
155 14.88 11.53 11.53 - - - -
156 16.01 12.33 12.33 - - - -
157 15.08 11.53 11.53 - - - -
158 15.69 11.92 11.92 - - - -
159 15.30 11.53 11.53 - - - -
160 15.92 11.92 11.92 - - - -
161 15.53 11.53 11.53 - - - -
162 15.64 11.53 11.53 - - - -
163 16.29 11.92 11.92 - - - -
164 15.89 11.53 11.53 - - - -
165 16.55 11.92 - - - - -
166 16.15 11.53 - - - - -
167 16.29 11.53 - - - - -
168 18.19 12.77 - - - - -
169 16.57 11.53 - - - - -
170 17.28 11.92 - - - - -
171 16.87 11.53 - - - - -
172 17.59 11.92 - - - - -
173 17.18 11.54 - - - - -
174 17.35 11.54 - - - - -
175 18.10 11.92 - - - - -
176 17.69 11.54 - - - - -
177 18.46 11.92 - - - - -
178 18.05 11.54 - - - - -
179 18.24 11.54 - - - - -
180 20.45 - - - - - -
181 18.79 - - - - - -
182 19.77 - - - - - -
183 19.50 - - - - - -
184 20.55 - - - - - -
185 20.30 - - - - - -
186 20.74 - - - - - -
(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%
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 23
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap)(1)(2)
CLASS A-2 CLASS M-1 CLASS M-2 CLASS B-1 CLASS B-2 CLASS A-2
PERIOD CAP (%) CAP (%) CAP (%) CAP (%) CAP (%) PERIOD CAP (%)
------ ------- ------- ------- ------- ------- ------ -------
ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360 ACTUAL/360
187 21.93 - - - - - -
188 21.73 - - - - - -
189 23.02 - - - - - -
190 22.87 - - - - - -
191 23.49 - - - - - -
192 26.73 - - - - - -
193 24.85 - - - - - -
194 26.49 - - - - - -
195 26.48 - - - - - -
196 28.34 - - - - - -
197 28.46 - - - - - -
198 29.61 - - - - - -
199 31.92 - - - - - -
200 32.33 - - - - - -
201 35.08 - - - - - -
202 35.80 - - - - - -
203 37.93 - - - - - -
204 43.19 - - - - - -
205 43.30 - - - - - -
206 48.30 - - - - - -
207 50.91 - - - - - -
208 57.92 - - - - - -
209 62.55 - - - - - -
210 71.02 - - - - - -
211 85.26 - - - - - -
212 98.99 - - - - - -
213 128.74 - - - - - -
214 169.75 - - - - - -
215 270.72 - - - - - -
216 * - - - - - -
* In Period 216 the A-2 Class has a balance of $58,510 and is paid 70,711 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%
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 24
XXXXXX XXXXXXX
2003-NCS
All records
================================================================================
1. SUMMARY STATISTICS
Number of Mortgage Loans: 4,395
Aggregate Principal Balance ($): 696,639,551
Weighted Average Current Mortgage Rate (%): 7.841
Non-Zero Weighted Average Margin (%): 6.460
Non-Zero Weighted Average Maximum Rate (%): 14.769
Weighted Average Stated Original Term (months): 351
Weighted Average Stated Remaining Term (months): 349
Weighted Average Combined Original LTV (%): 78.65
% First Liens: 97.69
% Owner Occupied: 94.91
% Purchase: 18.21
% Full Doc: 63.77
Non-Zero Weighted Average Credit Score: 595
================================================================================
% 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
Group Loans Balance ($) Balance Rate (%) (months) LTV
----- ------- ----------- ------- -------- -------- --------
Group I 2,625 398,623,634 57.22 7.741 355 77.81
Group II 1,770 298,015,917 42.78 7.974 341 79.77
----- ----------- ------ ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 1 of 14
% of
Pool by Mortgage
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 7 402,312 0.06 8.878 118 67.46
Fixed - 15 Year 194 14,021,326 2.01 8.693 178 76.03
Fixed - 20 Year 349 16,785,713 2.41 10.155 238 93.23
Fixed - 25 Year 6 456,036 0.07 8.072 298 69.08
Fixed - 30 Year 1,093 166,807,991 23.94 7.704 358 76.99
ARM - 2 Year/6 Month 2,605 458,457,882 65.81 7.942 358 78.66
ARM - 3 Year/6 Month 67 11,148,266 1.60 7.902 358 77.6
ARM - 10 Year IO/1 Month 74 28,560,026 4.10 5.191 297 81.55
----- ----------- ------ ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
4. RANGE OF GROSS INTEREST RATES (%)
% of
Pool by Mortgage
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
------------------ --------- ----------- -------- -------- -------- --------
4.000 - 4.999 32 11,565,025 1.66 4.731 298 81.41
5.000 - 5.999 100 28,630,818 4.11 5.677 322 79.68
6.000 - 6.999 688 144,486,912 20.74 6.752 353 76.42
7.000 - 7.999 1,348 246,373,073 35.37 7.602 355 77.91
8.000 - 8.999 1,178 174,132,619 25.00 8.504 354 80.26
9.000 - 9.999 517 57,545,507 8.26 9.506 348 78.51
10.000 - 10.999 442 27,709,215 3.98 10.712 291 85.45
11.000 - 11.999 79 5,193,807 0.75 11.377 328 75.6
12.000 - 12.999 11 1,002,574 0.14 12.501 316 75.75
----- --------- ------ ------ --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ------ --- -----
Minimum: 4.380
Maximum: 12.990
Weighted Average: 7.841
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 2 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
Range of Cut-off of Date Date Gross Remaining Combined
Date Principal Mortgage Principal Principal Interest Term Original
Balances ($) Loans Balance$($) Balance Rate (%) (months) LTV
--------------- -------- ----------- ------- -------- -------- --------
1 - 25,000 94 1,823,296 0.26 10.808 227 99.93
25,001 - 50,000 401 16,035,207 2.30 9.731 286 80.90
50,001 - 75,000 574 36,233,201 5.20 8.807 327 77.88
75,001 - 100,000 570 50,037,581 7.18 8.521 342 77.51
100,001 - 125,000 499 56,225,273 8.07 8.315 352 78.85
125,001 - 150,000 433 59,550,132 8.55 7.975 354 77.50
150,001 - 175,000 356 57,899,938 8.31 7.870 353 77.53
175,001 - 200,000 296 55,620,683 7.98 7.879 356 77.73
200,001 - 225,000 206 43,767,843 6.28 7.647 356 77.41
225,001 - 250,000 184 43,791,228 6.29 7.759 355 78.32
250,001 - 275,000 127 33,287,458 4.78 7.677 358 77.94
275,001 - 300,000 122 35,116,916 5.04 7.542 355 78.63
300,001 - 325,000 103 32,328,474 4.64 7.434 350 82.24
325,001 - 350,000 110 37,304,740 5.35 7.527 351 80.38
350,001 - 375,000 81 29,256,296 4.20 7.373 348 81.05
375,001 - 400,000 63 24,508,194 3.52 7.360 357 80.38
400,001 - 425,000 43 17,810,300 2.56 7.184 348 79.99
425,001 - 450,000 40 17,542,423 2.52 7.411 352 78.62
450,001 - 475,000 18 8,342,275 1.20 6.856 348 82.48
475,001 - 500,000 40 19,644,284 2.82 7.296 353 76.18
500,001 - 750,000 34 19,714,890 2.83 6.469 330 78.69
750,001 - 1,000,000 1 798,921 0.11 7.990 358 45.71
----- ----------- ------ ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
Minimum: 14,741
Maximum: 798,921
Average: 158,507
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 3 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
Range of Stated of Date Date Gross Remaining Combined
Original Terms Mortgage Principal Principal Interest Term Original
(months) Loans Balance ($) Balance Rate (%) (months) LTV
--------------- ------- ----------- ------- -------- -------- --------
120 7 402,312 0.06 8.878 118 67.46
180 194 14,021,326 2.01 8.693 178 76.03
240 349 16,785,713 2.41 10.155 238 93.23
300 80 29,016,061 4.17 5.237 297 81.35
360 3,765 636,414,139 91.35 7.879 358 78.21
----- ----------- ------ ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
Minimum: 120
Maximum: 360
Weighted Average: 351
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
Range of Stated of Date Date Gross Remaining Combined
Remaining Terms Mortgage Principal Principal Interest Term Original
(months) Loans Balance ($) Balance Rate (%) (months) LTV
-------------- -------- ----------- --------- ------- -------- --------
109 - 120 7 402,312 0.06 8.878 118 67.46
169 - 180 194 14,021,326 2.01 8.693 178 76.03
229 - 240 349 16,785,713 2.41 10.155 238 93.23
289 - 300 80 29,016,061 4.17 5.237 297 81.35
349 - 360 3,765 636,414,139 91.35 7.879 358 78.21
----- ----------- ------ ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
Minimum: 117
Maximum: 359
Weighted Average: 349
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 4 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Range of Number Cut-off Cut-off Average Average Average
Combined of Date Date Gross Remaining Combined
Original LTV Mortgage Principal Principal Interest Term Original
Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------ -------- ----------- --------- --------- --------- --------
10.01 - 20.00 4 229,587 0.03 9,468 344 17.44
20.01 - 30.00 17 1,346,809 0.19 8,215 343 25.77
30.01 - 40.00 56 6,020,489 0.86 7.522 343 36.38
40.01 - 50.00 109 12,665,303 1.82 7.657 339 46.01
50.01 - 60.00 191 30,007,963 4.31 7.657 344 56.13
60.01 - 70.00 504 84,928,032 12.19 7.882 352 66.70
70.01 - 80.00 1,676 278,608,773 39.99 7.772 353 77.97
80.01 - 90.00 1,359 247,260,285 35.49 7.739 353 86.66
90.01 - 100.00 479 35,572,310 5.11 9.221 297 97.05
----- ----------- ------ ------ --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ------ --- -----
Minimum: 11.36
Maximum: 100.00
Weighted Average: 78.65
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 5 of 14
% 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
Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------- --------- ----------- -------- -------- --------- --------
Fixed Rate Loans 1,649 198,473,378 28.49 7.985 334 78.26
<= 3.500 55 20,024,368 2.87 5.043 299 81.82
3.501 - 4.000 20 8,504,435 1.22 5.650 297 80.24
4.001 - 4.500 3 818,530 0.12 5.927 313 81.64
4.501 - 5.000 3 558,040 0.08 6.782 358 79.80
5.001 - 5.500 6 1,486,835 0.21 7.125 358 87.77
5.501 - 6.000 55 11,152,556 1.60 7.01 358 77.53
6.001 - 6.500 1,175 216,240,167 31.04 7.586 358 81.31
6.501 - 7.000 843 146,658,052 21.05 8.027 358 78.05
7.001 - 7.500 577 91,693,073 13.16 8.764 358 73.32
7.501 - 8.000 8 886,254 0.13 9.294 358 76.41
8.001 - 8.500 1 143,864 0.02 9.70 358 80.00
----- ------- ------ ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
Non-Zero Minimum: 1.000
Maximum: 8.200
Non-Zero Weighted Average: 6.460
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 6 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Range of Number Cut-off Cut-off Average Average Average
Minimum of Date Date Gross Remaining Combined
Mortgate Mortgage Principal Principal Interest Term Original
Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------- --------- ----------- -------- -------- --------- --------
Fixed Rate Loans 1,649 198,473,378 28.49 7.985 334 78.26
<=5.000 32 11,565,025 1.66 4.731 298 81.41
5.001 - 5.500 32 11,886,040 1.71 5.348 301 81.49
5.501 - 6.000 74 18,593,290 2.67 5.919 339 78.44
6.001 - 6.500 134 30,979,707 4.45 6.415 358 77.86
6.501 - 7.000 301 63,062,720 9.05 6.905 358 78.04
7.001 - 7.500 381 79,726,430 11.44 7.383 358 78.60
7.501 - 8.000 515 96,619,713 13.87 7.869 358 78.87
8.001 - 8.500 469 76,802,310 11.02 8.364 358 80.75
8.501 - 9.000 353 52,977,889 7.60 8.840 358 80.07
9.001 - 9.500 179 23,373,365 3.36 9.357 358 78.24
9.501 - 10.000 137 17,082,533 2.45 9.846 358 76.27
10.001 -10.500 49 5,710,627 0.82 10.334 358 71.47
10.501 - 11.000 51 5,691,914 0.82 10.826 358 69.70
11.001 - 11.500 22 2,329,378 0.33 11.278 358 71.93
11.501 - 12.000 12 1,125,098 0.16 11.774 358 69.46
12.001 - 12.500 3 350,473 0.05 12.218 358 64.85
12.501 - 13.000 2 289,660 0.04 12.815 358 73.48
----- ----------- ------ ------ --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ------ --- -----
Non-Zero Minimum: 4.380
Maximum: 12.850
Non-Zero Weighted Average: 7.786
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 7 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
Range of of Date Date Gross Remaining Combined
Maximum Mortgage Principal Principal Interest Term Original
Loan Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------------- -------- ----------- -------- -------- --------- --------
Fixed Rate Loans 1,649 198,473,378 28.49 7.985 334 78.26
<= 12.500 76 29,253,251 4.20 5.199 299 81.57
12.501 - 13.000 63 13,023,720 1.87 5.981 358 76.63
13.001 - 13.500 135 31,079,556 4.46 6.419 358 77.83
13.501 - 14.000 301 62,949,942 9.04 6.907 358 78.08
14.001 - 14.500 386 80,730,560 11.59 7.397 358 78.69
14.501 - 15.000 518 97,381,262 13.98 7.878 358 78.90
15.001 - 15.500 465 75,879,147 10.89 8.366 358 80.68
15.501 - 16.000 351 52,274,379 7.50 8.845 358 80.05
16.001 - 16.500 179 23,638,805 3.39 9.374 358 78.15
16.501 - 17.000 135 16,904,655 2.43 9.845 358 76.18
17.001 - 17.500 47 5,264,371 0.76 10.341 358 71.49
17.501 - 18.000 51 5,691,914 0.82 10.826 358 69.70
18.001 - 18.500 22 2,329,378 0.33 11.278 358 71.93
18.501 - 19.000 12 1,125,098 0.16 11.774 358 69.46
19.001 - 19.500 3 350,473 0.05 12.218 358 64.85
19.501 - 20.000 2 289,660 0.04 12.815 358 73.48
----- ----------- ------ ------ --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
Non-Zero Minimum: 11.880
Maximum: 19.850
Non-Zero Weighted Average: 14.769
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 8 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Initial Mortgage Principal Principal Interest Term Original
Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------- -------- ----------- -------- -------- -------- --------
Fixed Rate Loans 1,649 198,473,378 28.49 7.985 334 78.26
1.000 20 3,360,365 0.48 8.778 358 79.42
1.500 2,651 466,161,321 66.92 7.934 358 78.63
2.000 1 84,462 0.01 9.99 357 85.00
3.000 74 28,560,026 4.10 5.191 297 81.55
----- ---------- ---- ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.583
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Subseqeunt Mortgage Principal Principal Interest Term Original
Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
---------------- -------- ----------- -------- -------- --------- --------
Fixed Rate Loans 1,649 198,473,378 28.49 7.985 334 78.26
1.000 21 3,444,827 0.49 8.807 358 79.56
1.500 2,651 466,161,321 66.92 7.934 358 78.63
3.000 74 28,560,026 4.10 5.191 297 81.55
----- ---------- ------ ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.583
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 9 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Next Rate Mortgage Principal Principal Interest Term Original
Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
---------------- -------- ----------- -------- -------- --------- --------
Fixed Rate 1,649 198,473,378 28.49 7.985 334 78.26
Apr-03 74 28,560,026 4.10 5.191 297 81.55
Nov-04 14 2,296,656 0.33 7.994 356 80.03
Dec-04 199 49,151,065 7.06 7.943 357 80.35
Jan-05 2,376 404,575,281 58.08 7.941 358 78.46
Feb-05 16 2,434,880 0.35 7.883 359 76.65
Nov-05 1 118,095 0.02 8.250 356 80.00
Dec-05 6 1,415,522 0.20 6.983 357 85.49
Jan-06 60 9,614,649 1.38 8.033 358 76.41
----- ----------- ------ ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Xxxxxx Xxxxxxx & Co. Incorporated ("Xxxxxx Xxxxxxx") considers reliable. Xxxxxx
Xxxxxxx makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Xxxxxx Xxxxxxx disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Xxxxxx
Xxxxxxx and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Xxxxxx Xxxxxxx is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Xxxxxx Xxxxxxx, approved by Xxxxxx Xxxxxxx International Limited, a
member of The Securities and Futures Authority, and by Xxxxxx Xxxxxxx Japan Ltd.
We recommend that such investors obtain the advice of their Xxxxxx Xxxxxxx,
Xxxxxx Xxxxxxx International or Xxxxxx Xxxxxxx Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 10 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Geographic Number Cut-off Cut-off Average Average Average
Distribution of of Date Date Gross Remaining Combined
Mortgaged Mortgage Principal Principal Interest Term Original
Properties Loans Balance ($) Balance Rate (%) (months) LTV
--------------- -------- ----------- -------- -------- -------- --------
California 1,415 303,475,485 43.56 7.497 348 78.73
Florida 386 43,257,255 6.21 8.054 347 79.27
Illinois 169 27,986,615 4.02 8.142 353 78.83
Texas 307 27,189,111 3.90 8.817 340 77.79
New York 121 27,092,252 3.89 7.552 347 73.03
Massachusetts 123 26,715,995 3.83 7.767 355 71.90
Michigan 215 25,077,917 3.60 8.438 356 81.12
New Jersey 115 22,619,082 3.25 8.111 352 76.74
Colorado 140 19,648,291 2.82 7.761 348 79.43
Virginia 73 15,219,360 2.18 7.673 342 80.69
Washington 80 11,888,921 1.71 7.710 341 81.97
Connecticut 65 10,823,028 1.55 7.971 355 76.86
Minnesota 81 10,759,614 1.54 8.037 355 78.84
Arizona 88 10,581,464 1.52 8.085 350 80.70
Oregon 66 8,985,254 1.29 7.905 350 79.03
Other 951 105,319,909 15.12 8.292 350 80.42
----- ----------- ------ ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
Number of States/District of Columbia Represented: 48
% 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 4,132 661,214,814 94.91 7.832 349 78.83
Investment 253 33,723,395 4.84 8.056 350 74.88
Second Home 10 1,701,342 0.24 6.977 335 81.28
----- ----------- ----- ----- --- -----
Total: 4,395 696,639,551 100 7.841 349 78.65
----- ----------- ------ ----- --- -----
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 11 of 14
% 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 3,471 543,792,723 78.06 7.873 349 78.74
PUD 411 74,756,174 10.73 7.683 347 79.57
2-4 Family 236 45,881,667 6.59 7.763 352 76.64
Condo 220 27,468,549 3.94 7.710 346 78.31
Manufactured Housing 57 4,740,438 0.68 8.118 344 74.73
----- ----------- ------ ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
% 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
------------ ------- ----------- -------- -------- -------- --------
Refinance - Cashout 2,767 455,302,510 65.36 7.845 350 77.02
Purchase 903 126,874,664 18.21 7.755 340 84.32
Refinance - Rate Term 725 114,462,377 16.43 7.917 351 78.85
----- ----------- ----- ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 12 of 14
% 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
------------------- -------- ----------- --------- --------- --------- --------
Full 3,118 444,250,923 63.77 7.839 348 79.38
Stated Documentation 1,085 212,233,272 30.47 7.834 349 77.31
Limited 192 40,155,356 5.76 7.887 353 77.64
----- ----------- ------ ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
% 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 18 2,124,900 0.31 8.888 354 76.91
501 - 525 600 84,230,527 12.09 8.483 356 75.11
526 - 550 741 114,173,881 16.39 8.202 355 75.46
551 - 575 642 104,284,600 14.97 8.048 354 77.00
576 - 600 541 90,866,276 13.04 7.978 354 78.68
601 - 625 588 86,734,779 12.45 7.820 347 80.71
626 - 650 576 89,191,304 12.80 7.597 346 80.32
651 - 675 312 48,139,381 6.91 7.477 342 82.68
676 - 700 198 38,446,572 5.52 6.968 334 83.16
701 - 725 84 18,321,364 2.63 6.160 323 81.19
726 - 750 48 9,916,585 1.42 6.480 326 83.48
751 - 775 27 5,944,928 0.85 6.789 325 83.52
776 - 800 18 3,948,746 0.57 6.327 305 82.52
Above 800 2 315,707 0.05 5.649 319 83.23
----- ----------- ------ ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
Non-Zero Minimum: 500
Maximum: 802
Non-Zero Weighted Average: 595
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 13 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Prepayment Mortgage Principal Principal Interest Term Original
Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
------------ ------- ----------- -------- -------- -------- --------
0 975 143,387,018 20.58 7.719 337 79.18
6 6 755,960 0.11 8.334 330 80.99
12 224 52,154,295 7.49 7.645 350 76.79
24 2,270 371,893,465 53.38 7.950 355 79.06
36 920 128,448,813 18.44 7.737 344 77.61
----- ----------- ----- ----- --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ----- ----- --- -----
Non-Zero Minimum: 6
Maximum: 36
Non-Zero Weighted Average: 26
% 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
Lien Position Loans Balance ($) Balance Rate (%) (months) LTV
------------- ------- ----------- --------- -------- --------- --------
1st Lien 4,012 680,525,779 97.69 7.769 352 78.15
2nd Lien 383 16,113,772 2.31 10.877 225 99.50
----- ----------- ------ ------ --- -----
Total: 4,395 696,639,551 100.00 7.841 349 78.65
----- ----------- ------ ----- --- -----
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 14 of 14
MORGAN STANLEY
2003-NC3
GROUP in '2'
--------------------------------------------------------------------------------
1. SUMMARY STATISTICS
Number of Mortgage Loans: 1,770
Aggregate Principal Balance ($): 298,015,917
Weighted Average Current Mortgage Rate (%): 7.974
Non-Zero Weighted Average Margin (%): 6.191
Non-Zero Weighted Average Maximum Rate (%): 14.542
Weighted Average Stated Original Term (months): 343
Weighted Average Stated Remaining Term (months): 341
Weighted Average Combined Original LTV (%): 79.77
% First Liens: 94.59
% Owner Occupied: 94.92
% Purchase: 21.26
% Full Doc: 58.45
Non-Zero Weighted Average Credit Score: 606
--------------------------------------------------------------------------------
% 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 7 402,312 0.13 8.878 118 67.46
Fixed - 15 Year 157 9,934,859 3.33 9.369 178 80.29
Fixed - 20 Year 338 15,120,653 5.07 10.527 238 95.81
Fixed - 25 Year 5 266,562 0.09 9.189 298 80.66
Fixed - 30 Year 768 113,086,581 37.95 8.056 358 78.32
ARM - 2 Year/6 Month 430 132,712,474 44.53 7.983 358 78.86
ARM - 3 Year/6 Month 15 3,761,146 1.26 7.717 358 79.66
ARM - 10 Year IO/1 Month 50 22,731,330 7.63 5.221 297 81.59
----- ----------- ----- ----- --- -----
Total: 1,770 298,015,917 100 7.974 341 79.77
----- ----------- ----- ----- --- -----
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 1 of 14
% 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
------------------ --------- ----------- --------- --------- -------- --------
4.000 - 4.999 19 8,393,002 2.82 4.724 298 82.16
5.000 - 5.999 39 17,583,939 5.90 5.585 308 80.63
6.000 - 6.999 113 44,715,961 15.00 6.723 356 77.87
7.000 - 7.999 482 107,260,321 35.99 7.648 354 78.82
8.000 - 8.999 395 67,751,030 22.73 8.485 349 79.98
9.000 - 9.999 196 18,920,259 6.35 9.483 329 79.86
10.000 - 10.999 436 27,195,023 9.13 10.725 289 85.70
11.000 - 11.999 79 5,193,807 1.74 11.377 328 75.60
12.000 - 12.999 11 1,002,574 0.34 12.501 316 75.75
----- ----------- ------ ------ --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ------ --- -----
Minimum: 4.380
Maximum: 12.990
Weighted Average: 7.974
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 2 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
Range of Cut-off of Date Date Gross Remaining Combined
Date Principal Mortgage Principal Principal Interest Term Original
Balances ($) Loans Balance$($) Balance Rate (%) (months) LTV
------------ -------- ----------- --------- -------- --------- --------
1 - 25,000 94 1,823,296 0.61 10.808 227 99.93
25,001 - 50,000 309 11,982,784 4.02 10.155 263 84.89
50,001 - 75,000 273 16,963,429 5.69 9.483 300 80.95
75,001 - 100,000 207 18,132,875 6.08 9.272 322 79.36
100,001 - 125,000 143 16,079,105 5.40 8.939 341 80.63
125,001 - 150,000 86 11,883,037 3.99 8.629 348 78.84
150,001 - 175,000 65 10,546,669 3.54 8.504 350 77.24
175,001 - 200,000 56 10,426,700 3.50 8.647 355 79.47
200,001 - 225,000 36 7,659,373 2.57 8.416 353 76.89
225,001 - 250,000 32 7,623,890 2.56 8.346 358 79.86
250,001 - 275,000 16 4,169,438 1.40 7.902 358 77.84
275,001 - 300,000 17 4,876,487 1.64 8.105 347 80.6
300,001 - 325,000 22 7,027,985 2.36 7.985 358 79.94
325,001 - 350,000 106 35,940,038 12.06 7.526 351 80.21
350,001 - 375,000 79 28,522,975 9.57 7.357 348 81.14
375,001 - 400,000 56 21,811,999 7.32 7.370 357 79.69
400,001 - 425,000 41 17,001,526 5.70 7.190 350 79.99
425,001 - 450,000 40 17,542,423 5.89 7.411 352 78.62
450,001 - 475,000 18 8,342,275 2.80 6.856 348 82.48
475,001 - 500,000 39 19,145,803 6.42 7.245 353 76.09
500,001 - 750,000 34 19,714,890 6.62 6.469 330 78.69
750,001 - 1,000,000 1 798,921 0.27 7.990 358 45.71
----- ----------- ------ ----- --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ----- --- -----
Minimum: 14,741
Maximum: 798,921
Average: 168,371
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 3 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
Range of Stated of Date Date Gross Remaining Combined
Original Terms Mortgage Principal Principal Interest Term Original
(months) Loans Balance ($) Balance Rate (%) (months) LTV
-------- ------ ----------- ------- -------- -------- --------
120 7 402,312 0.13 8.878 118 67.46
180 157 9,934,859 3.33 9.369 178 80.29
240 338 15,120,653 5.07 10.527 238 95.81
300 55 22,997,892 7.72 5.267 297 81.58
360 1,213 249,560,201 83.74 8.012 358 78.63
----- ----------- ------ ----- --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ----- --- -----
Minimum: 120
Maximum: 360
Weighted Average: 343
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
Range of Stated of Date Date Gross Remaining Combined
Remaining Terms Mortgage Principal Principal Interest Term Original
(months) Loans Balance ($) Balance Rate (%) (months) LTV
-------- -------- ----------- -------- -------- -------- --------
109 - 120 7 402,312 0.13 8.878 118 67.46
169 - 180 157 9,934,859 3.33 9.369 178 80.29
229 - 240 338 15,120,653 5.07 10.527 238 95.81
289 - 300 55 22,997,892 7.72 5.267 297 81.58
349 - 360 1,213 249,560,201 83.74 8.012 358 78.63
----- ----------- ----- ----- --- -----
Total: 1,770 298,015,917 100 7.974 341 79.77
----- ----------- ----- ----- --- -----
Minimum: 117
Maximum: 359
Weighted Average: 341
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 4 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Range of Number Cut-off Cut-off Average Average Average
Combined of Date Date Gross Remaining Combined
Original LTV Mortgage Principal Principal Interest Term Original
Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV
------------ -------- ----------- --------- --------- --------- --------
10.01 - 20.00 2 89,830 0.03 11,768 323 13.89
20.01 - 30.00 8 506,244 0.17 8,872 316 25.81
30.01 - 40.00 15 1,184,980 0.40 8.423 307 35.63
40.01 - 50.00 30 3,914,733 1.31 8.273 325 45.78
50.01 - 60.00 72 11,941,301 4.01 8.066 345 56.29
60.01 - 70.00 190 36,514,064 12.25 8.163 351 66.46
70.01 - 80.00 570 113,792,276 38.18 7.795 346 77.74
80.01 - 90.00 460 103,893,020 34.86 7.624 349 86.93
90.01 - 100.00 423 26,179,469 8.78 9.735 275 97.80
----- ----------- ------ ------ --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ------ --- -----
Minimum: 11.36
Maximum: 100.00
Weighted Average: 79.77
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 5 of 14
% 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
Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------- ----- ----------- -------- -------- -------- --------
Fixed Rate Loans 1,275 138,810,967 46.58 8.423 331 80.34
<= 3.500 35 15,397,130 5.17 5.025 299 81.92
3.501 - 4.000 16 7,660,635 2.57 5.678 297 80.54
5.001 - 5.500 1 584,085 0.20 7.250 358 90.00
5.501 - 6.000 10 4,362,166 1.46 7.056 358 74.52
6.001 - 6.500 173 66,684,853 22.38 7.450 358 82.03
6.501 - 7.000 114 37,244,292 12.50 8.033 358 79.43
7.001 - 7.500 144 27,161,878 9.11 9.353 358 71.10
7.501 - 8.000 2 109,912 0.04 10.466 358 45.29
----- ------- ------ ------ --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ------ --- -----
Non-Zero Minimum: 3.000
Maximum: 7.750
Non-Zero Weighted Average: 6.191
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 6 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Range of Number Cut-off Cut-off Average Average Average
Minimum of Date Date Gross Remaining Combined
Mortgate Mortgage Principal Principal Interest Term Original
Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------- ----- ----------- ------- -------- -------- ---
Fixed Rate Loans 1,275 138,810,967 46.58 8.423 331 80.34
<=5.000 19 8,393,002 2.82 4.724 298 82.16
5.001 - 5.500 22 9,520,267 3.19 5.343 300 81.12
5.501 - 6.000 19 9,041,191 3.03 5.886 323 79.87
6.001 - 6.500 33 13,106,139 4.40 6.402 358 79.99
6.501 - 7.000 46 18,343,482 6.16 6.906 358 78.42
7.001 - 7.500 64 26,161,493 8.78 7.393 358 81.46
7.501 - 8.000 65 26,345,098 8.84 7.867 358 79.01
8.001 - 8.500 48 18,942,334 6.36 8.387 358 80.35
8.501 - 9.000 26 9,592,900 3.22 8.804 358 82.58
9.001 - 9.500 9 3,349,968 1.12 9.439 357 77.01
9.501 - 10.000 5 911,924 0.31 9.917 358 76.86
10.001 -10.500 49 5,710,627 1.92 10.334 358 71.47
10.501 - 11.000 51 5,691,914 1.91 10.826 358 69.7
11.001 - 11.500 22 2,329,378 0.78 11.278 358 71.93
11.501 - 12.000 12 1,125,098 0.38 11.774 358 69.46
12.001 - 12.500 3 350,473 0.12 12.218 358 64.85
12.501 - 13.000 2 289,660 0.10 12.815 358 73.48
----- ------- ------ ------ --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ------ --- -----
Non-Zero Minimum: 4.380
Maximum: 12.850
Non-Zero Weighted Average: 7.583
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 7 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
Range of of Date Date Gross Remaining Combined
Maximum Mortgage Principal Principal Interest Term Original
Loan Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV
-------- ----- ----------- ------- -------- -------- ---
Fixed Rate Loans 1,275 138,810,967 46.58 8.423 331 80.34
<= 12.500 51 23,106,505 7.75 5.225 298 81.56
12.501 - 13.000 9 3,847,955 1.29 5.975 358 77.81
13.001 - 13.500 33 13,106,139 4.40 6.402 358 79.99
13.501 - 14.000 46 18,343,482 6.16 6.906 358 78.42
14.001 - 14.500 66 26,836,401 9.01 7.417 358 81.55
14.501 - 15.000 66 26,712,673 8.96 7.879 358 79.02
15.001 - 15.500 46 18,267,426 6.13 8.387 358 80.17
15.501 - 16.000 25 9,225,325 3.10 8.806 358 82.68
16.001 - 16.500 11 3,796,224 1.27 9.534 357 76.33
16.501 - 17.000 5 911,924 0.31 9.917 358 76.86
17.001 - 17.500 47 5,264,371 1.77 10.341 358 71.49
17.501 - 18.000 51 5,691,914 1.91 10.826 358 69.7
18.001 - 18.500 22 2,329,378 0.78 11.278 358 71.93
18.501 - 19.000 12 1,125,098 0.38 11.774 358 69.46
19.001 - 19.500 3 350,473 0.12 12.218 358 64.85
19.501 - 20.000 2 289,660 0.10 12.815 358 73.48
----- ------- ------ ------ --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ------ --- -----
Non-Zero Minimum: 12.000
Maximum: 19.850
Non-Zero Weighted Average: 14.542
Page 8 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Initial Mortgage Principal Principal Interest Term Original
Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------- ----- ----------- ------- -------- -------- --------
Fixed Rate Loans 1,275 138,810,967 46.58 8.423 331 80.34
1.000 5 1,488,739 0.50 9.032 358 79.64
1.500 440 134,984,881 45.29 7.964 358 78.88
3.000 50 22,731,330 7.63 5.221 297 81.59
----- ---------- ------ ----- --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ----- --- -----
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.709
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Subseqeunt Mortgage Principal Principal Interest Term Original
Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV
--------------- ----- ----------- --------- -------- -------- --------
Fixed Rate Loans 1,275 138,810,967 46.58 8.423 331 80.34
1.000 5 1,488,739 0.50 9.032 358 79.64
1.500 440 134,984,881 45.29 7.964 358 78.88
3.000 50 22,731,330 7.63 5.221 297 81.59
----- ----------- ------ ----- --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ----- --- -----
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.709
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 9 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Next Rate Mortgage Principal Principal Interest Term Original
Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV
--------------- ----- ----------- --------- --------- --------- ---------
Fixed Rate 1,275 138,810,967 46.58 8.423 331 80.34
Apr-03 50 22,731,330 7.63 5.221 297 81.59
Nov-04 3 649,128 0.22 7.986 356 85.91
Dec-04 73 27,452,718 9.21 7.823 357 81.78
Jan-05 353 104,475,592 35.06 8.022 358 78.05
Feb-05 1 135,036 0.05 10.250 359 85.00
Dec-05 2 708,842 0.24 6.760 357 87.55
Jan-06 13 3,052,304 1.02 7.940 358 77.83
----- --------- ------ ------ --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ------ --- -----
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 10 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Geographic Number Cut-off Cut-off Average Average Average
Distribution of of Date Date Gross Remaining Combined
Mortgaged Mortgage Principal Principal Interest Term Original
Properties Loans Balance ($) Balance Rate (%) (months) LTV
-------- -------- ----------- -------- -------- -------- --------
California 612 148,942,695 49.98 7.536 342 80.69
Florida 159 16,251,717 5.45 8.179 336 80.15
Texas 191 15,477,706 5.19 9.269 328 77.28
New York 43 11,597,893 3.89 7.628 350 73.72
Massachusetts 41 11,219,985 3.76 7.862 351 75.15
New Jersey 45 9,644,613 3.24 8.434 349 76.17
Illinois 47 9,270,119 3.11 8.432 347 78.45
Virginia 35 8,882,009 2.98 7.548 332 79.91
Michigan 65 7,577,596 2.54 8.726 351 80.41
Maryland 23 4,909,152 1.65 8.097 350 79.86
Washington 36 4,615,335 1.55 8.075 319 85.54
Colorado 40 4,185,882 1.40 8.773 325 80.26
Pennsylvania 29 3,326,800 1.12 8.790 356 81.59
Connecticut 21 3,085,546 1.04 8.427 347 78.51
Arizona 24 3,025,715 1.02 8.104 332 82.28
Other 359 36,003,153 12.08 8.743 337 80.28
----- ----------- ----- ----- --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ----- --- -----
Number of States/District of Columbia Represented: 47
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV
--------------- ------ ----------- -------- -------- -------- --------
Primary 1,678 282,866,729 94.92 7.975 341 80.02
Investment 90 14,232,548 4.78 8.073 341 74.85
Second Home 2 916,640 0.31 6.097 315 80.22
----- ----------- ------ ----- --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ----- --- -----
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 11 of 14
% 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 ($) Balance Rate (%) (months) LTV
--------------- ------ ----------- -------- -------- -------- --------
Single Family Residence 1,428 238,651,621 80.08 7.994 341 79.62
PUD 184 36,428,538 12.22 7.705 339 80.87
2-4 Family 67 12,926,150 4.34 8.13 350 78.18
Condo 76 9,065,056 3.04 8.255 328 82.10
Manufactured Housing 15 944,551 0.32 8.515 301 73.26
----- ----------- ------- ----- --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ----- --- -----
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV
--------------- ----- ----------- ------- -------- -------- ---------
Refinance - Cashout 1,050 188,918,506 63.39 7.998 345 77.81
Purchase 463 63,371,797 21.26 7.810 325 85.87
Refinance - Rate Term 257 45,725,614 15.34 8.100 345 79.42
----- ----------- ------ ----- --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ----- --- -----
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 12 of 14
% 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 ($) Balance Rate (%) (months) LTV
------------------- ----- ----------- ------- -------- -------- ---
Full 1,265 174,202,096 58.45 8.119 338 80.99
Stated Documentation 425 102,333,498 34.34 7.712 343 78.18
Limited 80 21,480,323 7.21 8.040 354 77.47
----- ---------- ------ ----- --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ----- --- -----
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV
--------------- ----- ----------- ------- -------- -------- --------
500 6 645,279 0.22 9.450 344 76.07
501 - 525 177 23,863,734 8.01 9.153 352 74.30
526 - 550 237 39,232,743 13.16 8.476 351 74.59
551 - 575 243 45,716,194 15.34 8.224 351 76.31
576 - 600 199 39,202,015 13.15 8.092 352 79.27
601 - 625 279 40,096,365 13.45 8.091 334 81.91
626 - 650 278 42,000,728 14.09 7.902 339 82.24
651 - 675 151 21,596,758 7.25 7.838 328 85.93
676 - 700 107 21,516,674 7.22 7.033 324 83.75
701 - 725 39 10,777,649 3.62 5.883 311 83.41
726 - 750 24 6,114,372 2.05 6.181 316 83.94
751 - 775 18 4,540,795 1.52 6.901 326 84.03
776 - 800 12 2,712,610 0.91 6.152 311 87.68
----- --------- ---- ----- --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ----- --- -----
Non-Zero Minimum: 500
Maximum: 794
Non-Zero Weighted Average: 606
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 13 of 14
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Prepayment Mortgage Principal Principal Interest Term Original
Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV
------------- -------- ----------- -------- -------- -------- --------
0 541 81,521,519 27.35 7.715 326 79.46
6 5 639,153 0.21 8.579 325 80.52
12 104 28,319,363 9.50 7.780 351 77.54
24 514 106,857,603 35.86 8.118 348 80.67
36 606 80,678,278 27.07 8.108 343 79.66
----- ---------- ------ ----- --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ----- --- -----
Non-Zero Minimum: 6
Maximum: 36
Non-Zero Weighted Average: 27
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted Weighted
Number Cut-off Cut-off Average Average Average
of Date Date Gross Remaining Combined
Mortgage Principal Principal Interest Term Original
Lien Position Loans Balance ($) Balance Rate (%) (months) LTV
-------------- ------ ----------- --------- -------- --------- --------
1st Lien 1,387 281,902,145 94.59 7.808 347 78.64
2nd Lien 383 16,113,772 5.41 10.877 225 99.50
----- ----------- ------ ------ --- -----
Total: 1,770 298,015,917 100.00 7.974 341 79.77
----- ----------- ------ ------ --- -----
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley makes no representation or warranty with respect to the accuracy or
completeness of the information, or with respect to the terms of any future
offer of securities conforming to the terms hereof. Any such offer of securities
would be made pursuant to a definitive Prospectus or Private Placement
Memorandum, as the case may be, prepared by the issuer which could contain
material information not contained herein and to which the prospective
purchasers are referred. In the event of any such offering, this information
shall be deemed superseded, amended and supplemented in its entirety by such
Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement
Memorandum will contain all material information in respect of any securities
offered thereby and any decision to invest in such securities should be made
solely in reliance upon such Prospectus or Private Placement Memorandum. The
information contained here in may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley disclaims any and all liability relating to this information,
including without limitation any express or implied representations or
warranties for, statements contained in, and omissions from the information
contained here in. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
--------------------------------------------------------------------------------
Page 14 of 14
