EXHIBIT 99
--------------------------------------------------------------------------------
Xxxxxx Xxxxxxx Xxxx 2, 2003
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Computational Materials
$550,791,000
Approximately
Xxxxxx Xxxxxxx ABS Capital I Inc.
Series 2003-HE1
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shall be deemed superseded, amended and supplemented in its entirety by such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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 1
--------------------------------------------------------------------------------
Xxxxxx Xxxxxxx Xxxx 2, 2003
Securitized Products Group [XXXXXX XXXXXXX LOGO]
--------------------------------------------------------------------------------
Approximately $550,791,000
Xxxxxx Xxxxxxx ABS Capital I Inc., Series 2003-HE1
Xxxxxx Xxxxxxx ABS Capital I Inc.
Depositor
Chase Manhattan Mortgage Corporation
The Provident Bank
Servicers
Transaction Highlights
-----------------------------------------------------------------------------------------------------------------
Modified
Avg Life to Duration To
Offered Expected Ratings Call/ Call/
Classes Description Balance(4) (S&P/Fitch/ Xxxxx'x) Mty(1)(2) Mty(1)(2)(3)
-----------------------------------------------------------------------------------------------------------------
A-1 Not Offered $339,605,000 *****Not Offered*****
A-2 Floater $388,363,000 AAA/AAA/Aaa 2.82 / 3.11 2.72 / 2.97
M-1 Floater $59,147,000 AA/AA/Aa2 5.35 / 5.92 5.04 / 5.50
M-2 Floater $50,048,000 A/A/A2 5.33 / 5.84 4.83 / 5.21
M-3 Floater $14,560,000 A-/A-/A3 5.32 / 5.76 4.77 / 5.09
B-1 Floater $14,104,000 BBB+/BBB+/Baa1 5.31 / 5.69 4.59 / 4.85
B-2 Floater $11,830,000 BBB/BBB/Baa2 5.31 / 5.58 4.54 / 4.72
B-3 Floater $12,739,000 BBB-/BBB-/Baa3 5.30 / 5.39 4.54 / 4.59
-----------------------------------------------------------------------------------------------------------------
(TABLE CONTINUED)
--------------------------------------------------------------------------------
Offered Payment Window To Call/ Initial
Classes Mty(1)(2) Subordination Level Benchmark
--------------------------------------------------------------------------------
A-1 *****Not Offered*****
A-2 07/03 - 06/11 / 07/03 - 01/21 20.00% 1 Mo. LIBOR
M-1 09/06 - 06/11 / 09/06 - 03/18 13.50% 1 Mo. LIBOR
M-2 08/06 - 06/11 / 08/06 - 01/17 8.00% 1 Mo. LIBOR
M-3 07/06 - 06/11 / 07/06 - 05/15 6.40% 1 Mo. LIBOR
B-1 07/06 - 06/11 / 07/06 - 08/14 4.85% 1 Mo. LIBOR
B-2 07/06 - 06/11 / 07/06 - 09/13 3.55% 1 Mo. LIBOR
B-3 07/06 - 06/11 / 07/06 - 08/12 2.15% 1 Mo. LIBOR
--------------------------------------------------------------------------------
Notes: (1) Certificates are priced to the 10% optional clean-up call.
----- (2) Based on the pricing prepayment speed. See details below.
(3) Assumes pricing at par.
(4) Bond sizes subject to a variance of plus or minus 5%.
Issuer: Xxxxxx Xxxxxxx ABS Capital I Inc. Trust 2003-HE1.
Depositor: Xxxxxx Xxxxxxx ABS Capital I Inc.
Originators: Aames Capital Corporation, Accredited Home Lenders, Inc.
and The Provident Bank.
Servicer: Chase Manhattan Mortgage Corporation and Provident Consumer
Financial Services.
Trustee: Deutsche Bank National Trust Company.
Managers: Xxxxxx Xxxxxxx (lead manager), Xxxxxxxx Capital Partners,
L.P. and The Xxxxxxxx Capital Group, L.P.
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 2
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.
Expected Closing June 27, 2003 through DTC and Euroclear or Clearstream. The
Date: 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 July 25, 2003.
Final Scheduled
Distribution Date: The Distribution Date occurring in June 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 The interest accrual period for the Offered Certificates
Period: with respect to any Distribution Date will be the period
beginning with the previous Distribution Date (or, in the
case of the first Distribution Date, the Closing Date) and
ending on the day prior to the current Distribution Date
(on an actual/360 day count basis).
Mortgage Loans: The Trust will consist of two groups of adjustable and
fixed rate sub-prime residential mortgage loans.
Group I Mortgage Approximately $424.5 million of Mortgage Loans with
Loans: 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 Approximately $485.5 million of Mortgage Loans that
Loans: 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 o Fixed Rate Mortgage Loans: CPR starting at
Speed: 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) 2.15% 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 4.30% 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 For any Distribution Date, the percentage obtained by
Percentage: 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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 3
Step-down Date: The later to occur of:
(x) The earlier of:
(a) The Distribution Date occurring in July 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 40.00%.
Trigger Event: Either a Delinquency Trigger Event or a Cumulative Loss
Trigger Event.
Delinquency Trigger A Delinquency Trigger Event is in effect on any
Event: Distribution Date if on that Distribution Date the 60 Day+
Rolling Average equals or exceeds 40% of the prior period's
Senior Enhancement Percentage. The 60 Day+ Rolling Average
will equal the rolling 3 month average percentage of
Mortgage Loans that are 60 or more days delinquent.
Cumulative Loss A Cumulative Loss Trigger Event is in effect on any
Trigger Event: Distribution Date if the aggregate amount of Realized
Losses incurred since the cut-off date through the last day
of the related Prepayment Period divided by the aggregate
Stated Principal Balance of the mortgage loans as of the
cut-off date exceeds the applicable percentages described
below with respect to such distribution date:
Months 37- 48 [4.00%] for the first month, plus an
additional 1/12th of [2.00%] for each
month thereafter (e.g., [5.00%] in
Month 43)
Months 49- 60 [6.00%] for the first month, plus an
additional 1/12th of [1.00%] for each
month thereafter (e.g., [6.50%] in
Month 55)
Months 61- 72 [7.00%] for the first month, plus an
additional 1/12th of [0.50%] for each
month thereafter (e.g., [7.25%] in
Month 67)
Months 73 and thereafter [7.50%]
Initial Class A: 20.00%
Subordination Class M-1: 13.50%
Percentage: Class M-2: 8.00%
Class M-3: 6.40%
Class B-1: 4.85%
Class B-2: 3.55%
Class B-3: 2.15%
Optional Clean-up When the current aggregate principal balance of the
Call: 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 The Class A-1 Certificates will accrue interest at a
Pass-Through Rate: 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.
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 4
Class A-2 The Class A-2 Certificates will accrue interest at a
Pass-Through Rate: 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 The Class M-1 Certificates will accrue interest at a
Pass-Through Rate: 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 The Class M-2 Certificates will accrue interest at a
Pass-Through Rate: 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 The Class M-3 Certificates will accrue interest at a
Pass-Through Rate: variable rate equal to the lesser of (i) one-month LIBOR
plus [] bps ([] bps after the first distribution date on
which the Optional Clean-up Call is exercisable) and (ii)
the WAC Cap.
Class B-1 The Class B-1 Certificates will accrue interest at a
Pass-Through Rate: 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 The Class B-2 Certificates will accrue interest at a
Pass-Through Rate: 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 The Class B-3 Certificates will accrue interest at a
Pass-Through Rate: 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 As to any Distribution Date, the supplemental interest
Risk Carry Forward amount for the Class A-1 Certificates will equal the sum
Amount: 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).
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 5
Class A-2 Basis As to any Distribution Date, the supplemental interest
Risk Carry Forward amount for the Class A-2 Certificates will equal the sum
Amount: 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).
Class M-1, M-2, As to any Distribution Date, the supplemental interest
M-3, B-1, B-2 and amount for each of the Class M-1, M-2, M-3, B-1, B-2 and
B-3 Basis Risk B-3 Certificates will equal the sum of:
Carry Forward (i) The excess, if any, of interest that would otherwise
Amounts: 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 On each Distribution Date and after payments of servicing
Distributions on and trustee fees and other expenses, interest distributions
Offered from the Interest Remittance Amount will be allocated as
Certificates: 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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 6
Principal On each Distribution Date (a) prior to the Stepdown Date
Distributions on or (b) on which a Trigger Event is in effect, principal
Offered distributions from the Principal Distribution Amount will
Certificates: 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 has been
reduced to zero;
(iii) to the Class M-2 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class M-2 Principal Distribution Amount, until the
Certificate Principal Balance thereof has been
reduced to zero;
(iv) to the Class M-3 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class M-3 Principal Distribution Amount, until the
Certificate Principal Balance thereof has been
reduced to zero;
(v) to the Class B-1 Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class B-1 Principal Distribution Amount, until the
Certificate Principal Balance thereof has been
reduced to zero;
(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 has 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 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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 7
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.
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 Certificates.
For the first 24 months if the 1-month LIBOR rate
exceeds 7.00%, the Interest Rate Cap pays the Trust
the product of (i) the difference between the then
current 1-month LIBOR rate and 7.00% (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 7.375%, the Interest Rate
Cap pays the Trust the product of (i) the difference
between the then current 1-month LIBOR rate and
7.375% (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 The Interest Rate Cap Payment shall be available to pay
Payment Allocation: any Basis Risk Carry Forward Amount due to the Class A-2
Certificates.
Allocation of Net For any Distribution Date, any Net Monthly Excess Cashflow
Monthly Excess shall be paid as follows:
Cashflow: (i) to the Class M-1 Certificates, the unpaid interest
shortfall amount;
(ii) to the Class M-1 Certificates, the allocated
unreimbursed realized loss amount;
(iii) to the Class M-2 Certificates, the unpaid interest
shortfall amount;
(iv) to the Class M-2 Certificates, the allocated
unreimbursed realized loss amount;
(v) to the Class M-3 Certificates, the unpaid interest
shortfall amount;
(vi) to the Class M-3 Certificates, the allocated
unreimbursed realized loss amount;
(vii) to the Class 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 For any Distribution Date, the portion of available funds
Amount: for such Distribution Date attributable to interest
received or advanced on the Mortgage Loans.
Accrued Certificate For any Distribution Date and each class of Offered
Interest: 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.
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 8
Principal On any Distribution Date, the sum of (i) the Basic
Distribution Amount: Principal Distribution Amount and (ii) the Extra Principal
Distribution Amount.
Basic Principal On any Distribution Date, the excess of (i) the aggregate
Distribution Amount: principal remittance amount over (ii) the Excess
Subordinated Amount, if any.
Net Monthly Excess For any Distribution Date is the amount of funds
Cashflow: available for distribution on such Distribution Date
remaining after making all distributions of interest and
principal on the certificates.
Extra Principal For any Distribution Date, the lesser of (i) the excess of
Distribution Amount: (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 For any Distribution Date, means the excess, if any of (i)
Amount: the overcollateralization and (ii) the required
overcollateralization for such Distribution Date.
Class A Principal For any Distribution Date, the percentage equivalent of a
Allocation fraction, determined as follows: (i) in the case of the
Percentage: 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 For any Distribution Date, an amount equal to the excess of
Distribution (x) the aggregate Certificate Principal Balance of the
Amount: Class A Certificates immediately prior to such Distribution
Date over (y) the lesser of (A) the product of (i)
approximately 60.00% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period and (B) the excess, if any, of the
aggregate principal balance of the Mortgage Loans as of the
last day of the related Due Period over $4,549,803.
Class M-1 Principal For any Distribution Date, an amount equal to the excess of
Distribution (x) the sum of (i) the aggregate Certificate Principal
Amount: 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 73.00% and (ii) the
aggregate principal balance of the Mortgage Loans as of the
last day of the related Due Period and (B) the excess, if
any, of the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period over
$4,549,803.
Class M-2 Principal For any Distribution Date, an amount equal to the excess of
Distribution (x) the sum of (i) the aggregate Certificate Principal
Amount: 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
84.00% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due Period
and (B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period over $4,549,803.
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 9
Class M-3 Principal For any Distribution Date, an amount equal to the excess of
Distribution (x) the sum of (i) the aggregate Certificate Principal
Amount: 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
87.20% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due Period
and (B) the excess, if any, of the aggregate principal
balance of the Mortgage Loans as of the last day of the
related Due Period over $4,549,803.
Class B-1 Principal For any Distribution Date, an amount equal to the excess of
Distribution (x) the sum of (i) the aggregate Certificate Principal
Amount: 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 90.30% and (ii) the aggregate
principal balance of the Mortgage Loans as of the last day
of the related Due Period and (B) the excess, if any, of
the aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period over $4,549,803.
Class B-2 Principal For any Distribution Date, an amount equal to the excess of
Distribution (x) the sum of (i) the aggregate Certificate Principal
Amount: 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 92.90% and (ii) the
aggregate principal balance of the Mortgage Loans as of the
last day of the related Due Period and (B) the excess, if
any, of the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period over
$4,549,803.
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 10
Class B-3 Principal For any Distribution Date, an amount equal to the excess of
Distribution (x) the sum of (i) the aggregate Certificate Principal
Amount: 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 95.70% and (ii) the
aggregate principal balance of the Mortgage Loans as of the
last day of the related Due Period and (B) the excess, if
any, of the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period over
$4,549,803.
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 any of the Offered Certificates
will be SMMEA eligible.
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 11
Weighted Average Life Sensitivity
To CALL
-------
----------------------------------------------------------------------------------------------------------------------------
PPC 50 60 75 100 125
----------------------------------------------------------------------------------------------------------------------------
A-2 WAL 5.40 4.61 3.75 2.82 2.18
First Payment Date 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003
Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009
Window 1 - 182 1 - 158 1 - 129 1 - 96 1 - 76
----------------------------------------------------------------------------------------------------------------------------
M-1 WAL 10.24 8.74 7.08 5.35 4.62
First Payment Date 6/25/2008 9/25/2007 11/25/2006 9/25/2006 1/25/2007
Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009
Window 60 - 182 51 - 158 41 - 129 39 - 96 43 - 76
----------------------------------------------------------------------------------------------------------------------------
M-2 WAL 10.24 8.74 7.08 5.33 4.46
First Payment Date 6/25/2008 9/25/2007 11/25/2006 8/25/2006 9/25/2006
Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009
Window 60 - 182 51 - 158 41 - 129 38 - 96 39 - 76
----------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.24 8.74 7.08 5.32 4.40
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 9/25/2006
Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009
Window 60 - 182 51 - 158 41 - 129 37 - 96 39 - 76
----------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.24 8.74 7.08 5.31 4.38
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 8/25/2006
Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009
Window 60 - 182 51 - 158 41 - 129 37 - 96 38 - 76
----------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.24 8.74 7.08 5.31 4.37
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 8/25/2006
Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009
Window 60 - 182 51 - 158 41 - 129 37 - 96 38 - 76
----------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.22 8.72 7.06 5.30 4.34
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 7/25/2006
Expected Final Maturity 8/25/2018 8/25/2016 3/25/2014 6/25/2011 10/25/2009
Window 60 - 182 51 - 158 41 - 129 37 - 96 37 - 76
----------------------------------------------------------------------------------------------------------------------------
(TABLE CONTINUED)
---------------------------------------------------------------------
PPC 150 175
---------------------------------------------------------------------
A-2 WAL 1.66 1.27
First Payment Date 7/25/2003 7/25/2003
Expected Final Maturity 7/25/2008 6/25/2006
Window 1 - 61 1 - 36
---------------------------------------------------------------------
M-1 WAL 4.55 4.20
First Payment Date 5/25/2007 6/25/2006
Expected Final Maturity 7/25/2008 9/25/2007
Window 47 - 61 36 - 51
---------------------------------------------------------------------
M-2 WAL 4.07 4.35
First Payment Date 11/25/2006 2/25/2007
Expected Final Maturity 7/25/2008 9/25/2007
Window 41 - 61 44 - 51
---------------------------------------------------------------------
M-3 WAL 3.91 3.73
First Payment Date 10/25/2006 12/25/2006
Expected Final Maturity 7/25/2008 9/25/2007
Window 40 - 61 42 - 51
---------------------------------------------------------------------
B-1 WAL 3.86 3.63
First Payment Date 9/25/2006 10/25/2006
Expected Final Maturity 7/25/2008 9/25/2007
Window 39 - 61 40 - 51
---------------------------------------------------------------------
B-2 WAL 3.82 3.55
First Payment Date 8/25/2006 9/25/2006
Expected Final Maturity 7/25/2008 9/25/2007
Window 38 - 61 39 - 51
---------------------------------------------------------------------
B-3 WAL 3.78 3.48
First Payment Date 8/25/2006 8/25/2006
Expected Final Maturity 7/25/2008 9/25/2007
Window 38 - 61 38 - 51
---------------------------------------------------------------------
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 12
Weighted Average Life Sensitivity
To MATURITY
-----------
----------------------------------------------------------------------------------------------------------------------------
PPC 50 60 75 100 125
----------------------------------------------------------------------------------------------------------------------------
A-2 WAL 5.79 4.99 4.10 3.11 2.42
First Payment Date 7/25/2003 7/25/2003 7/25/2003 7/25/2003 7/25/2003
Expected Final Maturity 11/25/2030 2/25/2029 11/25/2025 1/25/2021 7/25/2017
Window 1 - 329 1 - 308 1 - 269 1 - 211 1 - 169
----------------------------------------------------------------------------------------------------------------------------
M-1 WAL 11.12 9.55 7.78 5.92 5.06
First Payment Date 6/25/2008 9/25/2007 11/25/2006 9/25/2006 1/25/2007
Expected Final Maturity 6/25/2028 2/25/2026 8/25/2022 3/25/2018 3/25/2015
Window 60 - 300 51 - 272 41 - 230 39 - 177 43 - 141
----------------------------------------------------------------------------------------------------------------------------
M-2 WAL 11.06 9.48 7.71 5.84 4.86
First Payment Date 6/25/2008 9/25/2007 11/25/2006 8/25/2006 9/25/2006
Expected Final Maturity 1/25/2027 7/25/2024 2/25/2021 1/25/2017 3/25/2014
Window 60 - 283 51 - 253 41 - 212 38 - 163 39 - 129
----------------------------------------------------------------------------------------------------------------------------
M-3 WAL 10.95 9.38 7.62 5.76 4.74
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 9/25/2006
Expected Final Maturity 11/25/2024 3/25/2022 1/25/2019 5/25/2015 10/25/2012
Window 60 - 257 51 - 225 41 - 187 37 - 143 39 - 112
----------------------------------------------------------------------------------------------------------------------------
B-1 WAL 10.86 9.28 7.55 5.69 4.67
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 8/25/2006
Expected Final Maturity 10/25/2023 3/25/2021 2/25/2018 8/25/2014 3/25/2012
Window 60 - 244 51 - 213 41 - 176 37 - 134 38 - 105
----------------------------------------------------------------------------------------------------------------------------
B-2 WAL 10.70 9.13 7.42 5.58 4.57
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 8/25/2006
Expected Final Maturity 5/25/2022 11/25/2019 1/25/2017 9/25/2013 7/25/2011
Window 60 - 227 51 - 197 41 - 163 37 - 123 38 - 97
----------------------------------------------------------------------------------------------------------------------------
B-3 WAL 10.37 8.85 7.16 5.39 4.40
First Payment Date 6/25/2008 9/25/2007 11/25/2006 7/25/2006 7/25/2006
Expected Final Maturity 9/25/2020 4/25/2018 9/25/2015 8/25/2012 9/25/2010
Window 60 - 207 51 - 178 41 - 147 37 - 110 37 - 87
----------------------------------------------------------------------------------------------------------------------------
(TABLE CONTINUED)
-----------------------------------------------------------------------
PPC 150 175
-----------------------------------------------------------------------
A-2 WAL 1.88 1.27
First Payment Date 7/25/2003 7/25/2003
Expected Final Maturity 12/25/2014 6/25/2006
Window 1 - 138 1 - 36
-----------------------------------------------------------------------
M-1 WAL 4.93 5.99
First Payment Date 5/25/2007 6/25/2006
Expected Final Maturity 1/25/2013 1/25/2013
Window 47 - 115 36 - 115
-----------------------------------------------------------------------
M-2 WAL 4.40 4.35
First Payment Date 11/25/2006 2/25/2007
Expected Final Maturity 3/25/2012 9/25/2010
Window 41 - 105 44 - 87
-----------------------------------------------------------------------
M-3 WAL 4.20 3.96
First Payment Date 10/25/2006 12/25/2006
Expected Final Maturity 1/25/2011 10/25/2009
Window 40 - 91 42 - 76
-----------------------------------------------------------------------
B-1 WAL 4.11 3.83
First Payment Date 9/25/2006 10/25/2006
Expected Final Maturity 8/25/2010 5/25/2009
Window 39 - 86 40 - 71
-----------------------------------------------------------------------
B-2 WAL 4.00 3.69
First Payment Date 8/25/2006 9/25/2006
Expected Final Maturity 12/25/2009 11/25/2008
Window 38 - 78 39 - 65
-----------------------------------------------------------------------
B-3 WAL 3.84 3.53
First Payment Date 8/25/2006 8/25/2006
Expected Final Maturity 4/25/2009 4/25/2008
Window 38 - 70 38 - 58
-----------------------------------------------------------------------
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 13
CPR Sensitivity
To CALL
-------
-------------------------------------------------------------------------------------------------------
CPR 20 25 30
-------------------------------------------------------------------------------------------------------
A-2 WAL 3.22 2.51 1.98
First Payment Date 7/25/2003 7/25/2003 7/25/2003
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 1 - 116 1 - 92 1 - 75
-------------------------------------------------------------------------------------------------------
M-1 WAL 6.34 5.17 4.63
First Payment Date 7/25/2006 10/25/2006 1/25/2007
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 37 - 116 40 - 92 43 - 75
-------------------------------------------------------------------------------------------------------
M-2 WAL 6.34 5.12 4.44
First Payment Date 7/25/2006 8/25/2006 10/25/2006
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 37 - 116 38 - 92 40 - 75
-------------------------------------------------------------------------------------------------------
M-3 WAL 6.34 5.10 4.37
First Payment Date 7/25/2006 8/25/2006 9/25/2006
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 37 - 116 38 - 92 39 - 75
-------------------------------------------------------------------------------------------------------
B-1 WAL 6.34 5.10 4.35
First Payment Date 7/25/2006 7/25/2006 8/25/2006
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 37 - 116 37 - 92 38 - 75
-------------------------------------------------------------------------------------------------------
B-2 WAL 6.34 5.08 4.33
First Payment Date 7/25/2006 7/25/2006 8/25/2006
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 37 - 116 37 - 92 38 - 75
-------------------------------------------------------------------------------------------------------
B-3 WAL 6.33 5.07 4.30
First Payment Date 7/25/2006 7/25/2006 7/25/2006
Expected Final Maturity 2/25/2013 2/25/2011 9/25/2009
Window 37 - 116 37 - 92 37 - 75
-------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 14
CPR Sensitivity
To MATURITY
-----------
-------------------------------------------------------------------------------------------------------
CPR 20 25 30
-------------------------------------------------------------------------------------------------------
A-2 WAL 3.48 2.73 2.16
First Payment Date 7/25/2003 7/25/2003 7/25/2003
Expected Final Maturity 2/25/2024 4/25/2020 6/25/2017
Window 1 - 248 1 - 202 1 - 168
-------------------------------------------------------------------------------------------------------
M-1 WAL 7.01 5.71 5.09
First Payment Date 7/25/2006 10/25/2006 1/25/2007
Expected Final Maturity 2/25/2021 9/25/2017 3/25/2015
Window 37 - 212 40 - 171 43 - 141
-------------------------------------------------------------------------------------------------------
M-2 WAL 6.95 5.61 4.85
First Payment Date 7/25/2006 8/25/2006 10/25/2006
Expected Final Maturity 8/25/2019 7/25/2016 3/25/2014
Window 37 - 194 38 - 157 40 - 129
-------------------------------------------------------------------------------------------------------
M-3 WAL 6.87 5.52 4.72
First Payment Date 7/25/2006 8/25/2006 9/25/2006
Expected Final Maturity 10/25/2017 11/25/2014 10/25/2012
Window 37 - 172 38 - 137 39 - 112
-------------------------------------------------------------------------------------------------------
B-1 WAL 6.79 5.46 4.65
First Payment Date 7/25/2006 7/25/2006 8/25/2006
Expected Final Maturity 11/25/2016 3/25/2014 3/25/2012
Window 37 - 161 37 - 129 38 - 105
-------------------------------------------------------------------------------------------------------
B-2 WAL 6.67 5.34 4.55
First Payment Date 7/25/2006 7/25/2006 8/25/2006
Expected Final Maturity 10/25/2015 4/25/2013 7/25/2011
Window 37 - 148 37 - 118 38 - 97
-------------------------------------------------------------------------------------------------------
B-3 WAL 6.43 5.15 4.37
First Payment Date 7/25/2006 7/25/2006 7/25/2006
Expected Final Maturity 7/25/2014 4/25/2012 9/25/2010
Window 37 - 133 37 - 106 37 - 87
-------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 15
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------------------------------------------------------------------------------------------------------------------------------------
0 - - - - - - -
1 9.52 7.89 7.89 7.89 7.89 7.89 7.89
2 8.73 7.12 7.12 7.12 7.12 7.12 7.12
3 8.74 7.12 7.12 7.12 7.12 7.12 7.12
4 8.99 7.36 7.36 7.36 7.36 7.36 7.36
5 8.75 7.12 7.12 7.12 7.12 7.12 7.12
6 9.00 7.36 7.36 7.36 7.36 7.36 7.36
7 8.76 7.12 7.12 7.12 7.12 7.12 7.12
8 8.76 7.12 7.12 7.12 7.12 7.12 7.12
9 9.28 7.61 7.61 7.61 7.61 7.61 7.61
10 8.77 7.12 7.12 7.12 7.12 7.12 7.12
11 9.03 7.35 7.35 7.35 7.35 7.35 7.35
12 8.79 7.12 7.12 7.12 7.12 7.12 7.12
13 9.05 7.35 7.35 7.35 7.35 7.35 7.35
14 8.81 7.12 7.12 7.12 7.12 7.12 7.12
15 8.82 7.12 7.12 7.12 7.12 7.12 7.12
16 9.07 7.35 7.35 7.35 7.35 7.35 7.35
17 8.84 7.12 7.12 7.12 7.12 7.12 7.12
18 9.10 7.35 7.35 7.35 7.35 7.35 7.35
19 8.86 7.12 7.12 7.12 7.12 7.12 7.12
20 8.92 7.15 7.15 7.15 7.15 7.15 7.15
21 10.76 9.03 9.03 9.03 9.03 9.03 9.03
22 9.90 8.19 8.19 8.19 8.19 8.19 8.19
23 10.20 8.47 8.47 8.47 8.47 8.47 8.47
24 9.93 8.19 8.19 8.19 8.19 8.19 8.19
25 9.86 8.47 8.47 8.47 8.47 8.47 8.47
26 9.61 8.21 8.21 8.21 8.21 8.21 8.21
27 9.95 8.55 8.55 8.55 8.55 8.55 8.55
28 10.30 8.87 8.87 8.87 8.87 8.87 8.87
29 10.02 8.59 8.59 8.59 8.59 8.59 8.59
30 10.34 8.87 8.87 8.87 8.87 8.87 8.87
31 10.07 8.59 8.59 8.59 8.59 8.59 8.59
32 10.12 8.60 8.60 8.60 8.60 8.60 8.60
33 11.65 10.10 10.10 10.10 10.10 10.10 10.10
34 10.97 9.44 9.44 9.44 9.44 9.44 9.44
35 11.34 9.76 9.76 9.76 9.76 9.76 9.76
36 11.04 9.44 9.44 9.44 9.44 9.44 9.44
1 Annualized coupon based on total interest paid to the certificates
including Accrued Certificate Interest, unpaid interest amounts and Basis Risk
Carry Forward Amount divided by the current certificate balance
2 Run to maturity assuming 100% PPC, no losses and a 1 month and 6 month
LIBOR rate of 20%
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 16
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------------------------------------------------------------------------------------------------------------------------------------
37 27.11 9.76 9.76 9.76 9.76 9.76 9.76
38 12.11 9.45 9.45 9.45 9.45 9.45 9.45
39 12.42 9.87 9.87 9.87 9.87 9.87 9.87
40 13.03 10.48 10.48 10.48 10.48 10.48 10.48
41 12.55 10.14 10.14 10.14 10.14 10.14 10.14
42 12.94 10.48 10.48 10.48 10.48 10.48 10.48
43 12.52 10.14 10.14 10.14 10.14 10.14 10.14
44 12.53 10.14 10.14 10.14 10.14 10.14 10.14
45 14.04 11.42 11.42 11.42 11.42 11.42 11.42
46 12.93 10.57 10.57 10.57 10.57 10.57 10.57
47 13.37 10.92 10.92 10.92 10.92 10.92 10.92
48 12.93 10.57 10.57 10.57 10.57 10.57 10.57
49 13.36 10.92 10.92 10.92 10.92 10.92 10.92
50 12.93 10.57 10.57 10.57 10.57 10.57 10.57
51 12.98 10.63 10.63 10.63 10.63 10.63 10.63
52 13.65 11.23 11.23 11.23 11.23 11.23 11.23
53 13.22 10.87 10.87 10.87 10.87 10.87 10.87
54 13.66 11.23 11.23 11.23 11.23 11.23 11.23
55 13.21 10.87 10.87 10.87 10.87 10.87 10.87
56 13.21 10.87 10.87 10.87 10.87 10.87 10.87
57 14.14 11.63 11.63 11.63 11.63 11.63 11.63
58 13.36 11.02 11.02 11.02 11.02 11.02 11.02
59 13.80 11.39 11.39 11.39 11.39 11.39 11.39
60 13.36 11.02 11.02 11.02 11.02 11.02 11.02
61 13.80 11.38 11.38 11.38 11.38 11.38 11.38
62 13.36 11.02 11.02 11.02 11.02 11.02 11.02
63 13.36 11.01 11.01 11.01 11.01 11.01 11.01
64 13.80 11.38 11.38 11.38 11.38 11.38 11.38
65 13.36 11.01 11.01 11.01 11.01 11.01 11.01
66 13.80 11.38 11.38 11.38 11.38 11.38 11.38
67 13.36 11.01 11.01 11.01 11.01 11.01 11.01
68 13.36 11.01 11.01 11.01 11.01 11.01 11.01
69 14.79 12.19 12.19 12.19 12.19 12.19 12.19
70 13.36 11.01 11.01 11.01 11.01 11.01 11.01
71 13.80 11.37 11.37 11.37 11.37 11.37 11.37
72 13.36 11.00 11.00 11.00 11.00 11.00 11.00
73 13.80 11.37 11.37 11.37 11.37 11.37 11.37
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 17
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------------------------------------------------------------------------------------------------------------------------------------
74 13.36 11.00 11.00 11.00 11.00 11.00 11.00
75 13.36 11.00 11.00 11.00 11.00 11.00 11.00
76 13.80 11.37 11.37 11.37 11.37 11.37 11.37
77 13.36 11.00 11.00 11.00 11.00 11.00 11.00
78 13.80 11.36 11.36 11.36 11.36 11.36 11.36
79 13.36 10.99 10.99 10.99 10.99 10.99 10.99
80 13.36 10.99 10.99 10.99 10.99 10.99 10.99
81 14.79 12.17 12.17 12.17 12.17 12.17 12.17
82 13.36 10.99 10.99 10.99 10.99 10.99 10.99
83 13.80 11.36 11.36 11.36 11.36 11.36 11.36
84 13.36 10.99 10.99 10.99 10.99 10.99 10.99
85 13.80 11.35 11.35 11.35 11.35 11.35 11.35
86 13.36 10.99 10.99 10.99 10.99 10.99 10.99
87 13.36 10.99 10.99 10.99 10.99 10.99 10.99
88 13.81 11.35 11.35 11.35 11.35 11.35 11.35
89 13.36 10.98 10.98 10.98 10.98 10.98 10.98
90 13.81 11.35 11.35 11.35 11.35 11.35 11.35
91 13.15 10.98 10.98 10.98 10.98 10.98 10.98
92 11.37 10.98 10.98 10.98 10.98 10.98 10.98
93 12.61 12.16 12.16 12.16 12.16 12.16 12.16
94 11.41 10.98 10.98 10.98 10.98 10.98 10.98
95 11.81 11.34 11.34 11.34 11.34 11.34 11.34
96 11.45 10.98 10.98 10.98 10.98 10.98 10.98
97 11.86 11.34 11.34 11.34 11.34 11.34 11.34
98 11.50 10.97 10.97 10.97 10.97 10.97 10.97
99 11.52 10.97 10.97 10.97 10.97 10.97 10.97
100 11.93 11.34 11.34 11.34 11.34 11.34 11.34
101 11.56 10.97 10.97 10.97 10.97 10.97 10.97
102 11.98 11.34 11.34 11.34 11.34 11.34 11.34
103 11.61 10.97 10.97 10.97 10.97 10.97 10.97
104 11.64 10.97 10.97 10.97 10.97 10.97 10.97
105 12.47 11.72 11.72 11.72 11.72 11.72 11.72
106 11.69 10.97 10.97 10.97 10.97 10.97 10.97
107 12.11 11.33 11.33 11.33 11.33 11.33 11.33
108 11.75 10.97 10.97 10.97 10.97 10.97 10.97
109 12.17 11.33 11.33 11.33 11.33 11.33 11.33
110 11.81 10.96 10.96 10.96 10.96 10.96 10.96
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 18
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------------------------------------------------------------------------------------------------------------------------------------
111 11.84 10.96 10.96 10.96 10.96 10.96 10.96
112 12.27 11.33 11.33 11.33 11.33 11.33 11.33
113 11.90 10.96 10.96 10.96 10.96 10.96 -
114 12.33 11.33 11.33 11.33 11.33 11.33 -
115 11.97 10.96 10.96 10.96 10.96 10.96 -
116 12.01 10.96 10.96 10.96 10.96 10.96 -
117 13.33 12.13 12.13 12.13 12.13 12.13 -
118 12.08 10.96 10.96 10.96 10.96 10.96 -
119 12.52 11.32 11.32 11.32 11.32 11.32 -
120 12.16 10.96 10.96 10.96 10.96 10.96 -
121 12.60 11.32 11.32 11.32 11.32 11.32 -
122 12.24 10.96 10.96 10.96 10.96 10.96 -
123 12.28 10.95 10.95 10.95 10.95 10.95 -
124 12.73 11.32 11.32 11.32 11.32 11.32 -
125 12.37 10.95 10.95 10.95 10.95 10.95 -
126 12.83 11.32 11.32 11.32 11.32 - -
127 12.46 10.95 10.95 10.95 10.95 - -
128 12.51 10.95 10.95 10.95 10.95 - -
129 13.90 12.12 12.12 12.12 12.12 - -
130 12.61 10.95 10.95 10.95 10.95 - -
131 13.08 11.32 11.32 11.32 11.32 - -
132 12.71 10.95 10.95 10.95 10.95 - -
133 13.19 11.31 11.31 11.31 11.31 - -
134 12.82 10.95 10.95 10.95 10.95 - -
135 12.88 10.95 10.95 10.95 10.95 - -
136 13.37 11.31 11.31 11.31 11.31 - -
137 13.00 10.95 10.95 10.95 - - -
138 13.49 11.31 11.31 11.31 - - -
139 13.12 10.95 10.95 10.95 - - -
140 13.19 10.95 10.95 10.95 - - -
141 14.68 12.12 12.12 12.12 - - -
142 13.32 10.95 10.95 10.95 - - -
143 13.84 11.31 11.31 11.31 - - -
144 13.47 10.95 10.95 10.95 - - -
145 13.99 11.31 11.31 11.31 - - -
146 13.62 10.95 10.95 - - - -
147 13.70 10.95 10.95 - - - -
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 19
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------------------------------------------------------------------------------------------------------------------------------------
148 14.24 11.31 11.31 - - - -
149 13.86 10.95 10.95 - - - -
150 14.41 11.31 11.31 - - - -
151 14.03 10.95 10.95 - - - -
152 14.12 10.95 10.95 - - - -
153 15.20 11.70 11.70 - - - -
154 14.31 10.95 10.95 - - - -
155 14.89 11.31 11.31 - - - -
156 14.51 10.95 10.95 - - - -
157 15.09 11.31 11.31 - - - -
158 14.71 10.95 10.95 - - - -
159 14.82 10.95 10.95 - - - -
160 15.43 11.31 11.31 - - - -
161 15.05 10.95 10.95 - - - -
162 15.67 11.31 11.31 - - - -
163 15.28 10.95 10.95 - - - -
164 15.40 10.95 10.95 - - - -
165 17.20 12.12 12.12 - - - -
166 15.66 10.95 10.95 - - - -
167 16.32 11.32 - - - - -
168 15.93 10.95 - - - - -
169 16.61 11.32 - - - - -
170 16.22 10.95 - - - - -
171 16.37 10.95 - - - - -
172 17.07 11.32 - - - - -
173 16.67 10.96 - - - - -
174 17.40 11.32 - - - - -
175 17.00 10.96 - - - - -
176 17.21 10.97 - - - - -
177 19.37 12.18 - - - - -
178 17.97 11.09 - - - - -
179 18.76 11.46 - - - - -
180 18.35 11.09 - - - - -
181 19.28 - - - - - -
182 19.02 - - - - - -
183 19.39 - - - - - -
184 20.46 - - - - - -
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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 20
Schedule of Available Funds and
Supplemental Interest Rate Cap Rates (Cash Cap) (1)(2)
Period A-2 Cap (%) M-1 Cap (%) M-2 Cap (%) M-3 Cap (%) B-1 Cap (%) B-2 Cap (%) B-3 Cap (%)
Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360 Actual/360
------------------------------------------------------------------------------------------------------------------------------------
185 20.23 - - - - - -
186 21.37 - - - - - -
187 21.15 - - - - - -
188 21.66 - - - - - -
189 24.60 - - - - - -
190 22.81 - - - - - -
191 24.24 - - - - - -
192 24.16 - - - - - -
193 25.76 - - - - - -
194 25.78 - - - - - -
195 26.70 - - - - - -
196 28.65 - - - - - -
197 28.87 - - - - - -
198 31.15 - - - - - -
199 31.57 - - - - - -
200 33.19 - - - - - -
201 37.46 - - - - - -
202 37.17 - - - - - -
203 40.96 - - - - - -
204 42.55 - - - - - -
205 47.56 - - - - - -
206 50.25 - - - - - -
207 55.47 - - - - - -
208 64.19 - - - - - -
209 70.85 - - - - - -
210 85.58 - - - - - -
211 100.23 - - - - - -
212 127.89 - - - - - -
213 197.70 - - - - - -
214 301.43 - - - - - -
215 * - - - - - -
216 - - - - - - -
* In Period 215 the A-2 Class has a balance of $49,393 and is paid $115,586 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. Notwithstanding anything to the
contrary contained in a definitive Private Placement Memorandum or any
transaction document, all persons may disclose to any and all persons, without
limitation of any kind, the federal income tax treatment and tax structure of
the securities described herein, any fact relevant to understanding the federal
tax treatment or tax structure of the securities described herein, and all
materials of any kind (including opinions or other tax analyses) relating to
such federal tax treatment or tax structure.
--------------------------------------------------------------------------------
Page 21
XXXXXX XXXXXXX
2003-HE1
Computational Materials
All records
Selection Criteria: All records
Table of Contents
1. Summary Statistics
2. 2003-HE1 Originators
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Range of Stated Original Terms (months)
7. Range of Stated Remaining Terms (months)
8. Range of Original LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Loan Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
1. Summary Statistics
Number of Mortgage Loans: 5,996
Aggregate Principal Balance ($): 909,960,682
Weighted Average Current Mortgage Rate (%): 7.883
Non-Zero Weighted Average Margin (%): 6.216
Non-Zero Weighted Average Maximum Rate (%): 14.471
Weighted Average Stated Original Term (months): 348
Weighted Average Stated Remaining Term (months): 345
Weighted Average Original LTV (%): 79.86
% First Liens: 100.00
% Owner Occupied: 94.54
% Purchase: 23.57
% Full Doc: 67.54
Non-Zero Weighted Average Credit Score: 613
Top
2. 2003-HE1 Originators
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
2003-HE1 Originators Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Aames 3,212 491,822,706 54.05 7.867 350 78.77 607
----------------------------------------------------------------------------------------------------------------------------
Accredited 1,743 272,240,679 29.92 7.724 342 81.11 622
----------------------------------------------------------------------------------------------------------------------------
Provident 1,031 144,473,441 15.88 8.233 333 81.23 615
----------------------------------------------------------------------------------------------------------------------------
New Century 10 1,423,856 0.16 8.269 356 81.43 576
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Top
3. Product Types
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 20 1,167,296 0.13 7.483 116 59.89 629
----------------------------------------------------------------------------------------------------------------------------
Fixed - 15 Year 243 22,956,225 2.52 7.62 176 72.24 627
----------------------------------------------------------------------------------------------------------------------------
Fixed - 20 Year 112 14,185,464 1.56 7.634 236 77.4 631
----------------------------------------------------------------------------------------------------------------------------
Fixed - 25 Year 6 1,066,075 0.12 6.768 297 71.16 641
----------------------------------------------------------------------------------------------------------------------------
Fixed - 30 Year 1,650 241,990,084 26.59 7.63 356 78.31 626
----------------------------------------------------------------------------------------------------------------------------
Balloon - 15/20 1 192,982 0.02 7.499 176 80 696
----------------------------------------------------------------------------------------------------------------------------
Balloon - 15/30 181 23,775,565 2.61 8.086 176 81.55 615
----------------------------------------------------------------------------------------------------------------------------
ARM - 6 Month 2 165,801 0.02 8.259 356 77.42 529
----------------------------------------------------------------------------------------------------------------------------
ARM - 2 Year/6 Month 2,285 371,841,215 40.86 8.015 356 80.61 603
----------------------------------------------------------------------------------------------------------------------------
ARM - 3 Year/6 Month 1,484 230,873,672 25.37 7.967 356 81.16 613
----------------------------------------------------------------------------------------------------------------------------
ARM - 5 Year/6 Month 12 1,746,303 0.19 7.329 356 79.62 597
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Top
4. Range of Gross Interest Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
5.000 - 5.999 48 9,140,734 1 5.798 337 73.1 696
----------------------------------------------------------------------------------------------------------------------------
6.000 - 6.999 1,085 203,452,857 22.36 6.707 343 76.69 646
----------------------------------------------------------------------------------------------------------------------------
7.000 - 7.999 2,102 348,630,991 38.31 7.585 345 80.61 619
----------------------------------------------------------------------------------------------------------------------------
8.000 - 8.999 1,642 233,968,173 25.71 8.487 345 81.71 593
----------------------------------------------------------------------------------------------------------------------------
9.000 - 9.999 768 84,572,716 9.29 9.492 346 80.49 575
----------------------------------------------------------------------------------------------------------------------------
10.000 - 10.999 265 23,764,167 2.61 10.441 346 80.47 560
----------------------------------------------------------------------------------------------------------------------------
11.000 - 11.999 68 5,149,451 0.57 11.355 346 72.83 549
----------------------------------------------------------------------------------------------------------------------------
12.000 - 12.999 16 1,199,789 0.13 12.362 356 66.49 544
----------------------------------------------------------------------------------------------------------------------------
13.000 - 13.999 2 81,805 0.01 13.386 355 65 509
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Minimum: 5.300
Maximum: 13.500
Weighted Average: 7.883
Top
5. Range of Cut-off Date Principal Balances ($)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
1 - 25,000 9 177,351 0.02 8.854 219 54.14 627
----------------------------------------------------------------------------------------------------------------------------
25,001 - 50,000 341 13,995,621 1.54 9.325 318 72.57 599
----------------------------------------------------------------------------------------------------------------------------
50,001 - 75,000 787 49,638,248 5.45 8.658 326 76.71 602
----------------------------------------------------------------------------------------------------------------------------
75,001 - 100,000 862 75,851,806 8.34 8.263 337 79.41 605
----------------------------------------------------------------------------------------------------------------------------
100,001 - 125,000 822 92,567,423 10.17 8.119 342 79.64 607
----------------------------------------------------------------------------------------------------------------------------
125,001 - 150,000 733 100,312,563 11.02 8.016 344 80.98 615
----------------------------------------------------------------------------------------------------------------------------
150,001 - 175,000 609 98,373,637 10.81 7.816 343 79.71 612
----------------------------------------------------------------------------------------------------------------------------
175,001 - 200,000 445 83,599,927 9.19 7.717 346 79.58 611
----------------------------------------------------------------------------------------------------------------------------
200,001 - 225,000 346 73,679,096 8.1 7.617 352 79.82 612
----------------------------------------------------------------------------------------------------------------------------
225,001 - 250,000 266 63,297,873 6.96 7.64 353 81.05 616
----------------------------------------------------------------------------------------------------------------------------
250,001 - 275,000 183 47,954,365 5.27 7.653 354 81.34 619
----------------------------------------------------------------------------------------------------------------------------
275,001 - 300,000 151 43,372,228 4.77 7.769 352 80.04 614
----------------------------------------------------------------------------------------------------------------------------
300,001 - 325,000 100 31,290,665 3.44 7.632 350 80.92 623
----------------------------------------------------------------------------------------------------------------------------
325,001 - 350,000 91 30,648,779 3.37 7.489 346 81.15 635
----------------------------------------------------------------------------------------------------------------------------
350,001 - 375,000 72 26,047,534 2.86 7.341 353 80.43 637
----------------------------------------------------------------------------------------------------------------------------
375,001 - 400,000 58 22,540,812 2.48 7.653 345 83.66 615
----------------------------------------------------------------------------------------------------------------------------
400,001 - 425,000 30 12,417,995 1.36 7.476 353 81.94 628
----------------------------------------------------------------------------------------------------------------------------
425,001 - 450,000 26 11,443,994 1.26 7.613 349 82.41 628
----------------------------------------------------------------------------------------------------------------------------
450,001 - 475,000 16 7,443,006 0.82 7.574 357 76.63 584
----------------------------------------------------------------------------------------------------------------------------
475,001 - 500,000 36 17,723,432 1.95 7.669 331 76.18 597
----------------------------------------------------------------------------------------------------------------------------
500,001 - 750,000 13 7,584,329 0.83 8.147 340 74.02 607
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Minimum: 11,884
Maximum: 747,561
Average: 151,761
Top
6. Range of Stated Original Terms (months)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Stated Original Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
120 21 1,238,731 0.14 7.481 116 60.76 636
----------------------------------------------------------------------------------------------------------------------------
180 429 47,323,525 5.2 7.855 176 76.93 621
----------------------------------------------------------------------------------------------------------------------------
240 114 14,352,000 1.58 7.638 236 77.36 630
----------------------------------------------------------------------------------------------------------------------------
300 6 1,066,075 0.12 6.768 297 71.16 641
----------------------------------------------------------------------------------------------------------------------------
360 5,426 845,980,351 92.97 7.891 356 80.11 612
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 348
Top
7. Range of Stated Remaining Terms (months)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
109 - 120 21 1,238,731 0.14 7.481 116 60.76 636
----------------------------------------------------------------------------------------------------------------------------
157 - 168 1 59,968 0.01 11.17 168 85 619
----------------------------------------------------------------------------------------------------------------------------
169 - 180 428 47,263,558 5.19 7.85 176 76.92 621
----------------------------------------------------------------------------------------------------------------------------
217 - 228 1 59,258 0.01 9.25 228 80 606
----------------------------------------------------------------------------------------------------------------------------
229 - 240 113 14,292,742 1.57 7.631 236 77.35 630
----------------------------------------------------------------------------------------------------------------------------
289 - 300 6 1,066,075 0.12 6.768 297 71.16 641
----------------------------------------------------------------------------------------------------------------------------
337 - 348 2 352,850 0.04 7.603 346 84.86 636
----------------------------------------------------------------------------------------------------------------------------
349 - 360 5,424 845,627,501 92.93 7.891 356 80.11 612
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Minimum: 115
Maximum: 358
Weighted Average: 345
Top
8. Range of Original LTV Ratios (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
<= 10.00 1 24,326 0 8.5 115 9.62 572
----------------------------------------------------------------------------------------------------------------------------
10.01 - 15.00 2 104,705 0.01 7.978 356 13.8 671
----------------------------------------------------------------------------------------------------------------------------
15.01 - 20.00 5 234,229 0.03 8.263 247 19.1 631
----------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 7 635,598 0.07 7.45 283 22.33 613
----------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00 8 395,457 0.04 8.613 292 27.68 629
----------------------------------------------------------------------------------------------------------------------------
30.01 - 35.00 17 1,803,320 0.2 8.302 327 33.05 587
----------------------------------------------------------------------------------------------------------------------------
35.01 - 40.00 36 3,351,239 0.37 7.885 316 38.01 598
----------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 54 5,569,129 0.61 7.776 318 42.43 611
----------------------------------------------------------------------------------------------------------------------------
45.01 - 50.00 82 9,736,055 1.07 7.672 336 48.28 598
----------------------------------------------------------------------------------------------------------------------------
50.01 - 55.00 88 12,569,320 1.38 7.601 333 52.92 603
----------------------------------------------------------------------------------------------------------------------------
55.01 - 60.00 133 19,543,185 2.15 7.39 336 57.82 618
----------------------------------------------------------------------------------------------------------------------------
60.01 - 65.00 206 29,733,378 3.27 7.809 336 63.03 591
----------------------------------------------------------------------------------------------------------------------------
65.01 - 70.00 390 56,116,973 6.17 8.001 339 68.69 589
----------------------------------------------------------------------------------------------------------------------------
70.01 - 75.00 639 92,812,857 10.2 7.918 342 73.92 590
----------------------------------------------------------------------------------------------------------------------------
75.01 - 80.00 2,122 323,448,706 35.55 7.759 350 79.6 622
----------------------------------------------------------------------------------------------------------------------------
80.01 - 85.00 728 115,320,496 12.67 7.914 346 84.39 606
----------------------------------------------------------------------------------------------------------------------------
85.01 - 90.00 944 155,501,096 17.09 7.968 343 89.51 615
----------------------------------------------------------------------------------------------------------------------------
90.01 - 95.00 372 60,469,430 6.65 8.198 344 94.52 634
----------------------------------------------------------------------------------------------------------------------------
95.01 - 100.00 162 22,591,183 2.48 8.383 347 99.54 646
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Minimum: 9.62
Maximum: 100.00
Weighted Average: 79.86
Top
9. Range of Gross Margins (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,213 305,333,692 33.55 7.662 322 77.97 626
----------------------------------------------------------------------------------------------------------------------------
<= 3.500 34 6,125,139 0.67 6.86 356 78.3 643
----------------------------------------------------------------------------------------------------------------------------
3.501 - 4.000 40 6,938,749 0.76 7.055 356 80.03 634
----------------------------------------------------------------------------------------------------------------------------
4.001 - 4.500 100 18,518,536 2.04 7.358 356 83.06 637
----------------------------------------------------------------------------------------------------------------------------
4.501 - 5.000 158 29,855,793 3.28 7.434 356 81.91 626
----------------------------------------------------------------------------------------------------------------------------
5.001 - 5.500 265 48,466,753 5.33 7.48 356 82.43 627
----------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 964 160,303,278 17.62 7.601 356 78.7 632
----------------------------------------------------------------------------------------------------------------------------
6.001 - 6.500 597 95,589,907 10.5 7.858 356 81.13 602
----------------------------------------------------------------------------------------------------------------------------
6.501 - 7.000 1,115 169,551,286 18.63 8.358 356 82.98 586
----------------------------------------------------------------------------------------------------------------------------
7.001 - 7.500 185 25,420,507 2.79 8.675 357 82.03 582
----------------------------------------------------------------------------------------------------------------------------
7.501 - 8.000 204 28,600,584 3.14 9.182 356 77.37 558
----------------------------------------------------------------------------------------------------------------------------
8.001 - 8.500 90 12,164,664 1.34 9.992 357 70.83 558
----------------------------------------------------------------------------------------------------------------------------
8.501 - 9.000 18 2,062,436 0.23 9.849 356 82.98 555
----------------------------------------------------------------------------------------------------------------------------
9.001 - 9.500 5 407,433 0.04 9.575 357 79.56 570
----------------------------------------------------------------------------------------------------------------------------
9.501 - 10.000 6 550,892 0.06 10.53 356 75.64 541
----------------------------------------------------------------------------------------------------------------------------
>10.000 2 71,034 0.01 11.574 356 77.81 603
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 2.125
Maximum: 10.490
Non-Zero Weighted Average: 6.216
Top
10. Range of Minimum Mortgage Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,213 305,333,692 33.55 7.662 322 77.97 626
----------------------------------------------------------------------------------------------------------------------------
5.001 - 5.500 4 936,370 0.1 5.473 356 78.47 687
----------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 27 4,969,113 0.55 6.014 356 77.28 677
----------------------------------------------------------------------------------------------------------------------------
6.001 - 6.500 132 28,229,679 3.1 6.342 355 78 653
----------------------------------------------------------------------------------------------------------------------------
6.501 - 7.000 427 82,520,102 9.07 6.874 357 79.44 636
----------------------------------------------------------------------------------------------------------------------------
7.001 - 7.500 539 99,904,969 10.98 7.356 356 80.83 623
----------------------------------------------------------------------------------------------------------------------------
7.501 - 8.000 805 138,307,869 15.2 7.829 356 81.78 607
----------------------------------------------------------------------------------------------------------------------------
8.001 - 8.500 585 93,623,894 10.29 8.298 356 81.74 595
----------------------------------------------------------------------------------------------------------------------------
8.501 - 9.000 536 74,728,630 8.21 8.782 356 81.68 584
----------------------------------------------------------------------------------------------------------------------------
9.001 - 9.500 247 30,870,315 3.39 9.276 356 81.31 575
----------------------------------------------------------------------------------------------------------------------------
9.501 - 10.000 244 29,044,200 3.19 9.802 356 79.29 564
----------------------------------------------------------------------------------------------------------------------------
10.001 -10.500 91 9,760,504 1.07 10.29 356 82.32 562
----------------------------------------------------------------------------------------------------------------------------
10.501 - 11.000 82 6,922,563 0.76 10.758 356 80.09 564
----------------------------------------------------------------------------------------------------------------------------
11.001 - 11.500 33 2,572,959 0.28 11.209 356 72.93 549
----------------------------------------------------------------------------------------------------------------------------
11.501 - 12.000 18 1,198,028 0.13 11.704 356 65.48 538
----------------------------------------------------------------------------------------------------------------------------
12.001 - 12.500 7 769,215 0.08 12.269 356 71.93 543
----------------------------------------------------------------------------------------------------------------------------
12.501 - 13.000 5 233,526 0.03 12.72 355 50.62 546
----------------------------------------------------------------------------------------------------------------------------
13.001 - 13.500 1 35,056 0 13.5 354 65 500
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 5.375
Maximum: 13.500
Non-Zero Weighted Average: 7.994
Top
11. Range of Maximum Loan Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Maximum Loan Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,213 305,333,692 33.56 7.662 322 77.97 626
----------------------------------------------------------------------------------------------------------------------------
<= 12.500 109 22,385,867 2.46 6.224 354 77.49 655
----------------------------------------------------------------------------------------------------------------------------
12.501 - 13.000 184 35,969,477 3.95 6.863 356 77.96 619
----------------------------------------------------------------------------------------------------------------------------
13.001 - 13.500 305 59,605,558 6.55 7.157 356 79.59 618
----------------------------------------------------------------------------------------------------------------------------
13.501 - 14.000 635 114,686,178 12.61 7.438 356 80.71 619
----------------------------------------------------------------------------------------------------------------------------
14.001 - 14.500 614 103,565,478 11.38 7.832 356 81.48 618
----------------------------------------------------------------------------------------------------------------------------
14.501 - 15.000 703 109,699,849 12.06 8.163 356 82.07 607
----------------------------------------------------------------------------------------------------------------------------
15.001 - 15.500 408 60,180,048 6.61 8.607 356 81.83 585
----------------------------------------------------------------------------------------------------------------------------
15.501 - 16.000 401 53,261,604 5.85 9.129 356 81.8 573
----------------------------------------------------------------------------------------------------------------------------
16.001 - 16.500 158 19,304,722 2.12 9.672 356 83.2 574
----------------------------------------------------------------------------------------------------------------------------
16.501 - 17.000 153 16,805,877 1.85 10.131 356 78.6 565
----------------------------------------------------------------------------------------------------------------------------
17.001 - 17.500 56 4,817,960 0.53 10.722 356 75.53 551
----------------------------------------------------------------------------------------------------------------------------
17.501 - 18.000 35 2,590,191 0.28 11.183 356 74 551
----------------------------------------------------------------------------------------------------------------------------
18.001 - 18.500 12 1,069,604 0.12 11.979 356 72.79 543
----------------------------------------------------------------------------------------------------------------------------
18.501 - 19.000 5 233,534 0.03 12.348 356 51.16 562
----------------------------------------------------------------------------------------------------------------------------
19.001 - 19.500 1 35,056 0 13.5 354 65 500
----------------------------------------------------------------------------------------------------------------------------
19.501 - 20.000 2 73,869 0.01 12.95 353 56.06 519
----------------------------------------------------------------------------------------------------------------------------
20.501 - 21.000 1 199,002 0.02 7 354 66.67 630
----------------------------------------------------------------------------------------------------------------------------
Total: 5,995 909,817,565 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 11.000
Maximum: 22.070
Non-Zero Weighted Average: 14.471
Top
12. Initial Periodic Cap (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,213 305,333,692 33.55 7.662 322 77.97 626
----------------------------------------------------------------------------------------------------------------------------
1 8 1,365,062 0.15 7.261 356 78.14 595
----------------------------------------------------------------------------------------------------------------------------
1.5 1,125 191,420,562 21.04 7.724 357 81.1 620
----------------------------------------------------------------------------------------------------------------------------
2 1 129,647 0.01 9.99 354 100 633
----------------------------------------------------------------------------------------------------------------------------
3 2,642 410,883,911 45.15 8.123 356 80.7 600
----------------------------------------------------------------------------------------------------------------------------
??? 7 827,810 0.09 8.007 356 74.11 590
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 5.000
Non-Zero Weighted Average: 2.522
Top
13. Subsequent Periodic Cap (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 2,213 305,333,692 33.55 7.662 322 77.97 626
----------------------------------------------------------------------------------------------------------------------------
1 2,656 412,737,258 45.36 8.12 356 80.67 600
----------------------------------------------------------------------------------------------------------------------------
1.5 1,126 191,743,323 21.07 7.725 357 81.12 620
----------------------------------------------------------------------------------------------------------------------------
3 1 146,409 0.02 8.95 350 95 646
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.159
Top
14. Next Rate Adjustment Dates
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Aug-03 1 65,878 0.01 9.85 356 75 0
----------------------------------------------------------------------------------------------------------------------------
Jul-04 1 41,200 0.01 12.99 350 70 521
----------------------------------------------------------------------------------------------------------------------------
Aug-04 1 146,409 0.02 8.95 350 95 646
----------------------------------------------------------------------------------------------------------------------------
Sep-04 3 226,711 0.04 9.325 351 87.75 613
----------------------------------------------------------------------------------------------------------------------------
Oct-04 3 512,994 0.09 8.55 352 78.45 600
----------------------------------------------------------------------------------------------------------------------------
Nov-04 21 3,777,308 0.63 8.427 353 82.49 580
----------------------------------------------------------------------------------------------------------------------------
Dec-04 75 12,213,070 2.02 8.153 353 81.29 596
----------------------------------------------------------------------------------------------------------------------------
Jan-05 389 62,631,531 10.38 8.095 355 81.46 601
----------------------------------------------------------------------------------------------------------------------------
Feb-05 904 145,176,456 24.07 7.996 356 81.04 606
----------------------------------------------------------------------------------------------------------------------------
Mar-05 743 123,151,761 20.42 7.998 357 79.96 600
----------------------------------------------------------------------------------------------------------------------------
Apr-05 148 24,557,281 4.07 7.817 358 78.57 613
----------------------------------------------------------------------------------------------------------------------------
Jul-05 3 313,684 0.05 8.54 349 79.6 620
----------------------------------------------------------------------------------------------------------------------------
Aug-05 2 403,885 0.07 7.427 350 84.48 666
----------------------------------------------------------------------------------------------------------------------------
Oct-05 2 148,525 0.02 8.332 352 92.23 607
----------------------------------------------------------------------------------------------------------------------------
Nov-05 5 611,555 0.1 7.479 353 65.49 615
----------------------------------------------------------------------------------------------------------------------------
Dec-05 18 2,614,442 0.43 8.027 354 82.29 604
----------------------------------------------------------------------------------------------------------------------------
Jan-06 81 11,512,392 1.91 8.211 355 78.22 577
----------------------------------------------------------------------------------------------------------------------------
Feb-06 542 83,830,964 13.9 8.041 356 81.38 613
----------------------------------------------------------------------------------------------------------------------------
Mar-06 526 80,701,211 13.38 7.994 356 81.27 613
----------------------------------------------------------------------------------------------------------------------------
Apr-06 304 50,527,357 8.38 7.752 358 81.38 619
----------------------------------------------------------------------------------------------------------------------------
Total: 3,772 603,164,613 100 7.996 356 80.83 607
----------------------------------------------------------------------------------------------------------------------------
Top
15. Geographic Distribution of Mortgaged Properties
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
California 1,473 305,461,961 33.57 7.456 351 78.76 620
----------------------------------------------------------------------------------------------------------------------------
Florida 715 91,248,229 10.03 8.323 352 80.85 608
----------------------------------------------------------------------------------------------------------------------------
New York 291 57,076,787 6.27 7.802 343 75.7 617
----------------------------------------------------------------------------------------------------------------------------
Texas 463 49,488,236 5.44 8.425 338 77.86 604
----------------------------------------------------------------------------------------------------------------------------
Washington 193 31,217,144 3.43 7.619 351 82.07 619
----------------------------------------------------------------------------------------------------------------------------
New Jersey 151 29,531,891 3.25 7.84 338 77.5 612
----------------------------------------------------------------------------------------------------------------------------
Michigan 217 25,249,504 2.77 8.497 346 82.36 596
----------------------------------------------------------------------------------------------------------------------------
Illinois 174 24,979,478 2.75 8.335 338 80.47 606
----------------------------------------------------------------------------------------------------------------------------
Virginia 141 23,969,505 2.63 7.903 341 83.28 605
----------------------------------------------------------------------------------------------------------------------------
Ohio 218 23,130,936 2.54 8.259 329 82.77 604
----------------------------------------------------------------------------------------------------------------------------
Maryland 121 20,987,675 2.31 7.93 324 80.36 609
----------------------------------------------------------------------------------------------------------------------------
Massachusetts 93 18,968,478 2.08 7.851 350 74.7 612
----------------------------------------------------------------------------------------------------------------------------
Arizona 142 17,662,527 1.94 7.747 343 81.2 622
----------------------------------------------------------------------------------------------------------------------------
Pennsylvania 134 17,101,293 1.88 8.059 333 80.91 599
----------------------------------------------------------------------------------------------------------------------------
Colorado 82 15,640,500 1.72 7.73 345 84.11 613
----------------------------------------------------------------------------------------------------------------------------
Other 1,388 158,246,538 17.39 8.155 338 81.99 610
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 49
Top
16. Occupancy
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Primary 5,559 860,307,153 94.54 7.858 345 80.02 612
----------------------------------------------------------------------------------------------------------------------------
Investment 415 45,842,492 5.04 8.319 340 77.19 632
----------------------------------------------------------------------------------------------------------------------------
Second Home 22 3,811,038 0.42 8.307 354 75.74 604
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Top
17. Property Type
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Single Family Residence 5,017 756,305,460 83.11 7.88 344 79.85 610
----------------------------------------------------------------------------------------------------------------------------
2-4 Family 389 66,456,655 7.3 7.84 345 77.6 635
----------------------------------------------------------------------------------------------------------------------------
Condo 326 45,450,532 4.99 8.034 349 80.89 616
----------------------------------------------------------------------------------------------------------------------------
Planned Unit Development 202 36,305,077 3.99 7.778 347 83.32 622
----------------------------------------------------------------------------------------------------------------------------
Manufactured Housing 50 3,990,516 0.44 8.517 303 76.36 609
----------------------------------------------------------------------------------------------------------------------------
Townhouse 12 1,452,444 0.16 7.31 345 80.57 644
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Top
18. Loan Purpose
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 3,613 560,386,646 61.58 7.809 341 78.66 604
----------------------------------------------------------------------------------------------------------------------------
Purchase 1,417 214,438,726 23.57 8.022 355 82.69 643
----------------------------------------------------------------------------------------------------------------------------
Refinance - Rate Term 966 135,135,311 14.85 7.969 343 80.36 605
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Top
19. Documentation Level
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Full 4,259 614,631,254 67.54 7.866 343 80.83 603
----------------------------------------------------------------------------------------------------------------------------
No Income Verifier 787 131,410,793 14.44 8.042 354 76.44 622
----------------------------------------------------------------------------------------------------------------------------
Stated Documentation 636 108,374,522 11.91 7.644 348 78.52 653
----------------------------------------------------------------------------------------------------------------------------
No Documentation 138 24,582,542 2.7 8.205 328 77.84 646
----------------------------------------------------------------------------------------------------------------------------
Light 135 23,235,443 2.55 8.316 350 81.54 598
----------------------------------------------------------------------------------------------------------------------------
Alternative 41 7,726,129 0.85 7.544 349 81.3 627
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Top
20. Credit Score
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
NA 7 654,597 0.07 10.433 356 71.67 0
----------------------------------------------------------------------------------------------------------------------------
500 - 524 420 56,741,684 6.24 8.695 353 74.34 514
----------------------------------------------------------------------------------------------------------------------------
525 - 549 665 92,358,566 10.15 8.445 348 75.63 537
----------------------------------------------------------------------------------------------------------------------------
550 - 574 804 116,633,896 12.82 8.478 345 79.69 562
----------------------------------------------------------------------------------------------------------------------------
575 - 599 754 113,444,836 12.47 8.056 344 79.83 587
----------------------------------------------------------------------------------------------------------------------------
600 - 624 921 140,941,194 15.49 7.772 343 81.4 613
----------------------------------------------------------------------------------------------------------------------------
625 - 649 938 153,008,850 16.81 7.606 344 82.28 637
----------------------------------------------------------------------------------------------------------------------------
650 - 674 692 107,559,326 11.82 7.416 342 80.79 661
----------------------------------------------------------------------------------------------------------------------------
675 - 699 362 57,693,875 6.34 7.333 343 81.49 685
----------------------------------------------------------------------------------------------------------------------------
700 - 724 204 32,642,020 3.59 7.28 339 79.84 711
----------------------------------------------------------------------------------------------------------------------------
725 - 749 126 21,118,112 2.32 7.172 345 80.18 736
----------------------------------------------------------------------------------------------------------------------------
750 - 774 72 12,313,862 1.35 7.073 345 77.36 761
----------------------------------------------------------------------------------------------------------------------------
775 - 799 27 4,101,969 0.45 7.005 348 74.64 785
----------------------------------------------------------------------------------------------------------------------------
800 + 4 747,895 0.08 7.208 356 79.42 807
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 500
Maximum: 810
Non-Zero Weighted Average: 613
Top
21. Prepayment Penalty Term
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
0 870 118,586,515 13.03 8.259 340 77.6 611
----------------------------------------------------------------------------------------------------------------------------
6 4 590,220 0.06 7.617 262 77.51 664
----------------------------------------------------------------------------------------------------------------------------
12 232 45,526,122 5 7.615 336 77.06 623
----------------------------------------------------------------------------------------------------------------------------
18 2 576,667 0.06 7.335 356 79.13 608
----------------------------------------------------------------------------------------------------------------------------
24 1,561 261,459,055 28.73 7.874 356 80.71 602
----------------------------------------------------------------------------------------------------------------------------
30 6 1,077,209 0.12 7.358 357 87.69 645
----------------------------------------------------------------------------------------------------------------------------
36 2,806 419,074,914 46.05 7.833 345 80.05 618
----------------------------------------------------------------------------------------------------------------------------
42 1 134,283 0.01 7.1 358 42.03 530
----------------------------------------------------------------------------------------------------------------------------
48 6 1,033,203 0.11 7.77 349 83.75 588
----------------------------------------------------------------------------------------------------------------------------
60 508 61,902,495 6.8 7.753 310 81.32 622
----------------------------------------------------------------------------------------------------------------------------
Total: 5,996 909,960,682 100 7.883 345 79.86 613
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 6
Maximum: 60
Non-Zero Weighted Average: 33
Top
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
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Xxxxxxx makes no representation or warranty with respect to the accuracy or
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XXXXXX XXXXXXX
2003-HE1
Computational Materials
GROUP in '1'
Selection Criteria: GROUP in '1'
Table of Contents
1. Summary Statistics
2. 2003-HE1 Originators
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Range of Stated Original Terms (months)
7. Range of Stated Remaining Terms (months)
8. Range of Original LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Loan Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
1. Summary Statistics
Number of Mortgage Loans: 2,854
Aggregate Principal Balance ($): 424,506,884
Weighted Average Current Mortgage Rate (%): 7.799
Non-Zero Weighted Average Margin (%): 6.245
Non-Zero Weighted Average Maximum Rate (%): 14.424
Weighted Average Stated Original Term (months): 356
Weighted Average Stated Remaining Term (months): 352
Weighted Average Original LTV (%): 79.04
% First Liens: 100.00
% Owner Occupied: 94.93
% Purchase: 25.29
% Full Doc: 65.08
Non-Zero Weighted Average Credit Score: 608
Top
2. 2003-HE1 Originators
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
2003-HE1 Originators Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Aames 1,651 245,307,805 57.79 7.743 352 78.18 603
----------------------------------------------------------------------------------------------------------------------------
Accredited 759 118,465,525 27.91 7.748 357 80.78 619
----------------------------------------------------------------------------------------------------------------------------
Provident 436 59,556,749 14.03 8.126 344 79.07 605
----------------------------------------------------------------------------------------------------------------------------
New Century 8 1,176,804 0.28 8.206 356 81.44 585
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Top
3. Product Types
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 6 383,671 0.09 6.916 116 62.8 648
----------------------------------------------------------------------------------------------------------------------------
Fixed - 15 Year 52 5,473,637 1.29 7.01 176 68.01 622
----------------------------------------------------------------------------------------------------------------------------
Fixed - 20 Year 21 2,911,272 0.69 7.06 236 70.34 621
----------------------------------------------------------------------------------------------------------------------------
Fixed - 25 Year 3 623,608 0.15 6.331 297 72.12 604
----------------------------------------------------------------------------------------------------------------------------
Fixed - 30 Year 324 52,412,427 12.35 6.89 356 72.91 617
----------------------------------------------------------------------------------------------------------------------------
Balloon - 15/30 11 1,633,201 0.38 7.987 175 78.73 600
----------------------------------------------------------------------------------------------------------------------------
ARM - 6 Month 1 122,090 0.03 7.6 356 79 534
----------------------------------------------------------------------------------------------------------------------------
ARM - 2 Year/6 Month 1,463 219,037,039 51.6 7.94 356 79.73 601
----------------------------------------------------------------------------------------------------------------------------
ARM - 3 Year/6 Month 971 141,526,413 33.34 7.972 356 80.9 613
----------------------------------------------------------------------------------------------------------------------------
ARM - 5 Year/6 Month 2 383,525 0.09 7.11 355 84.76 637
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Top
4. Range of Gross Interest Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
5.000 - 5.999 21 3,398,562 0.8 5.774 342 72.47 664
----------------------------------------------------------------------------------------------------------------------------
6.000 - 6.999 656 110,672,186 26.07 6.712 348 75.62 633
----------------------------------------------------------------------------------------------------------------------------
7.000 - 7.999 983 156,975,822 36.98 7.554 352 80.05 609
----------------------------------------------------------------------------------------------------------------------------
8.000 - 8.999 771 106,935,595 25.19 8.489 355 81.2 594
----------------------------------------------------------------------------------------------------------------------------
9.000 - 9.999 303 35,729,074 8.42 9.51 355 79.59 574
----------------------------------------------------------------------------------------------------------------------------
10.000 - 10.999 93 8,599,440 2.03 10.417 354 80.22 561
----------------------------------------------------------------------------------------------------------------------------
11.000 - 11.999 22 1,771,732 0.42 11.381 356 70.35 553
----------------------------------------------------------------------------------------------------------------------------
12.000 - 12.999 5 424,473 0.1 12.411 356 70.73 536
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Minimum: 5.375
Maximum: 12.900
Weighted Average: 7.799
Top
5. Range of Cut-off Date Principal Balances ($)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
1 - 25,000 2 29,418 0.01 8.571 356 75.96 657
----------------------------------------------------------------------------------------------------------------------------
25,001 - 50,000 101 4,252,855 1 9.066 333 73.27 605
----------------------------------------------------------------------------------------------------------------------------
50,001 - 75,000 306 19,516,871 4.6 8.552 346 75.69 600
----------------------------------------------------------------------------------------------------------------------------
75,001 - 100,000 385 33,975,339 8 8.124 351 78.09 603
----------------------------------------------------------------------------------------------------------------------------
100,001 - 125,000 422 47,650,581 11.22 7.983 351 78.82 607
----------------------------------------------------------------------------------------------------------------------------
125,001 - 150,000 375 51,055,428 12.03 7.94 352 79.89 610
----------------------------------------------------------------------------------------------------------------------------
150,001 - 175,000 351 56,665,977 13.35 7.734 350 79.18 607
----------------------------------------------------------------------------------------------------------------------------
175,001 - 200,000 262 49,247,648 11.6 7.576 351 78.2 608
----------------------------------------------------------------------------------------------------------------------------
200,001 - 225,000 231 49,161,694 11.58 7.564 353 79.75 608
----------------------------------------------------------------------------------------------------------------------------
225,001 - 250,000 141 33,542,588 7.9 7.574 355 80.42 604
----------------------------------------------------------------------------------------------------------------------------
250,001 - 275,000 107 28,076,212 6.61 7.614 356 80.23 606
----------------------------------------------------------------------------------------------------------------------------
275,001 - 300,000 105 30,240,159 7.12 7.696 355 78.64 609
----------------------------------------------------------------------------------------------------------------------------
300,001 - 325,000 54 16,811,695 3.96 7.538 356 79.55 618
----------------------------------------------------------------------------------------------------------------------------
325,001 - 350,000 5 1,675,757 0.39 7.846 357 79.96 656
----------------------------------------------------------------------------------------------------------------------------
350,001 - 375,000 5 1,806,956 0.43 7.698 357 80.59 626
----------------------------------------------------------------------------------------------------------------------------
375,001 - 400,000 1 386,196 0.09 7.875 357 90 687
----------------------------------------------------------------------------------------------------------------------------
400,001 - 425,000 1 411,510 0.1 6.55 358 85 618
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Minimum: 11,884
Maximum: 411,510
Average: 148,741
Top
6. Range of Stated Original Terms (months)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Stated Original Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
120 7 455,106 0.11 7 116 64.72 663
----------------------------------------------------------------------------------------------------------------------------
180 66 7,443,543 1.75 7.241 176 70.39 615
----------------------------------------------------------------------------------------------------------------------------
240 23 3,077,808 0.73 7.109 236 70.52 616
----------------------------------------------------------------------------------------------------------------------------
300 3 623,608 0.15 6.331 297 72.12 604
----------------------------------------------------------------------------------------------------------------------------
360 2,755 412,906,818 97.27 7.817 356 79.28 607
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 356
Top
7. Range of Stated Remaining Terms (months)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
109 - 120 7 455,106 0.11 7 116 64.72 663
----------------------------------------------------------------------------------------------------------------------------
169 - 180 66 7,443,543 1.75 7.241 176 70.39 615
----------------------------------------------------------------------------------------------------------------------------
229 - 240 23 3,077,808 0.73 7.109 236 70.52 616
----------------------------------------------------------------------------------------------------------------------------
289 - 300 3 623,608 0.15 6.331 297 72.12 604
----------------------------------------------------------------------------------------------------------------------------
337 - 348 1 209,656 0.05 6.99 345 80 640
----------------------------------------------------------------------------------------------------------------------------
349 - 360 2,754 412,697,162 97.22 7.818 356 79.28 607
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Minimum: 115
Maximum: 358
Weighted Average: 352
Top
8. Range of Original LTV Ratios (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
15.01 - 20.00 2 116,058 0.03 8.421 176 19.91 652
----------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 2 151,651 0.04 7.457 357 22.77 589
----------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00 2 114,404 0.03 9.054 263 26.47 551
----------------------------------------------------------------------------------------------------------------------------
30.01 - 35.00 8 883,734 0.21 8.158 332 32.98 595
----------------------------------------------------------------------------------------------------------------------------
35.01 - 40.00 18 1,860,284 0.44 7.914 322 37.72 591
----------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 23 2,440,287 0.57 7.355 321 42.85 608
----------------------------------------------------------------------------------------------------------------------------
45.01 - 50.00 43 5,307,942 1.25 7.599 349 48.15 603
----------------------------------------------------------------------------------------------------------------------------
50.01 - 55.00 39 5,449,655 1.28 7.516 352 52.62 604
----------------------------------------------------------------------------------------------------------------------------
55.01 - 60.00 63 9,906,470 2.33 7.268 342 57.95 604
----------------------------------------------------------------------------------------------------------------------------
60.01 - 65.00 94 12,302,920 2.9 7.638 343 62.97 583
----------------------------------------------------------------------------------------------------------------------------
65.01 - 70.00 198 29,971,121 7.06 7.884 348 68.8 584
----------------------------------------------------------------------------------------------------------------------------
70.01 - 75.00 306 45,060,446 10.61 7.777 351 73.89 583
----------------------------------------------------------------------------------------------------------------------------
75.01 - 80.00 1,110 162,919,203 38.38 7.689 354 79.64 622
----------------------------------------------------------------------------------------------------------------------------
80.01 - 85.00 346 54,477,134 12.83 7.816 354 84.42 601
----------------------------------------------------------------------------------------------------------------------------
85.01 - 90.00 469 74,174,452 17.47 7.996 354 89.63 609
----------------------------------------------------------------------------------------------------------------------------
90.01 - 95.00 131 19,371,123 4.56 8.381 356 94.75 621
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Minimum: 19.87
Maximum: 95.00
Weighted Average: 79.04
Top
9. Range of Gross Margins (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 417 63,437,817 14.94 6.931 328 72.45 618
----------------------------------------------------------------------------------------------------------------------------
<= 3.500 26 4,568,973 1.08 6.753 356 77.11 649
----------------------------------------------------------------------------------------------------------------------------
3.501 - 4.000 32 5,138,675 1.21 7.007 356 78.62 639
----------------------------------------------------------------------------------------------------------------------------
4.001 - 4.500 49 7,716,006 1.82 7.247 356 80.19 637
----------------------------------------------------------------------------------------------------------------------------
4.501 - 5.000 88 14,343,064 3.38 7.265 356 79.75 627
----------------------------------------------------------------------------------------------------------------------------
5.001 - 5.500 170 26,061,733 6.14 7.362 357 81.76 633
----------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 647 96,201,522 22.66 7.62 356 77.9 628
----------------------------------------------------------------------------------------------------------------------------
6.001 - 6.500 407 62,175,200 14.65 7.817 356 80.75 601
----------------------------------------------------------------------------------------------------------------------------
6.501 - 7.000 698 101,293,858 23.86 8.287 356 82.53 586
----------------------------------------------------------------------------------------------------------------------------
7.001 - 7.500 134 18,907,989 4.45 8.637 357 81.47 584
----------------------------------------------------------------------------------------------------------------------------
7.501 - 8.000 125 17,351,523 4.09 9.16 357 77.93 564
----------------------------------------------------------------------------------------------------------------------------
8.001 - 8.500 46 5,924,797 1.4 9.811 357 71.3 567
----------------------------------------------------------------------------------------------------------------------------
8.501 - 9.000 9 881,036 0.21 9.662 356 87.88 576
----------------------------------------------------------------------------------------------------------------------------
9.001 - 9.500 2 227,017 0.05 9.179 358 82.22 574
----------------------------------------------------------------------------------------------------------------------------
9.501 - 10.000 3 246,585 0.06 10.14 355 72.82 534
----------------------------------------------------------------------------------------------------------------------------
>10.000 1 31,089 0.01 11.99 356 75 622
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 2.125
Maximum: 10.490
Non-Zero Weighted Average: 6.245
Top
10. Range of Minimum Mortgage Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 417 63,437,817 14.94 6.931 328 72.45 618
----------------------------------------------------------------------------------------------------------------------------
5.001 - 5.500 3 605,666 0.14 5.458 355 77.64 674
----------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 20 3,149,364 0.74 6.057 356 76 677
----------------------------------------------------------------------------------------------------------------------------
6.001 - 6.500 94 17,097,459 4.03 6.365 354 76.21 651
----------------------------------------------------------------------------------------------------------------------------
6.501 - 7.000 324 55,148,797 12.99 6.872 357 78.71 634
----------------------------------------------------------------------------------------------------------------------------
7.001 - 7.500 384 65,659,185 15.47 7.362 356 80.52 620
----------------------------------------------------------------------------------------------------------------------------
7.501 - 8.000 464 73,041,909 17.21 7.836 356 81.18 597
----------------------------------------------------------------------------------------------------------------------------
8.001 - 8.500 389 55,493,295 13.07 8.307 356 81.75 599
----------------------------------------------------------------------------------------------------------------------------
8.501 - 9.000 348 45,639,554 10.75 8.792 357 80.78 587
----------------------------------------------------------------------------------------------------------------------------
9.001 - 9.500 149 18,189,791 4.28 9.295 355 80.34 579
----------------------------------------------------------------------------------------------------------------------------
9.501 - 10.000 152 17,131,742 4.04 9.793 356 78.56 565
----------------------------------------------------------------------------------------------------------------------------
10.001 -10.500 44 4,397,930 1.04 10.24 356 81.54 565
----------------------------------------------------------------------------------------------------------------------------
10.501 - 11.000 41 3,489,105 0.82 10.767 356 80.54 562
----------------------------------------------------------------------------------------------------------------------------
11.001 - 11.500 11 946,703 0.22 11.2 356 71.31 552
----------------------------------------------------------------------------------------------------------------------------
11.501 - 12.000 10 704,050 0.17 11.76 356 62.78 547
----------------------------------------------------------------------------------------------------------------------------
12.001 - 12.500 3 341,847 0.08 12.425 356 76.46 541
----------------------------------------------------------------------------------------------------------------------------
12.501 - 13.000 1 32,669 0.01 12.9 356 38.47 517
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 5.375
Maximum: 12.900
Non-Zero Weighted Average: 7.950
Top
11. Range of Maximum Loan Rates (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Maximum Loan Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 417 63,437,817 14.95 6.931 328 72.45 618
----------------------------------------------------------------------------------------------------------------------------
<= 12.500 78 13,609,867 3.21 6.214 353 76.14 654
----------------------------------------------------------------------------------------------------------------------------
12.501 - 13.000 148 26,094,769 6.15 6.864 356 77.28 612
----------------------------------------------------------------------------------------------------------------------------
13.001 - 13.500 221 39,510,696 9.31 7.181 356 79.29 614
----------------------------------------------------------------------------------------------------------------------------
13.501 - 14.000 405 66,214,295 15.6 7.409 356 80.34 616
----------------------------------------------------------------------------------------------------------------------------
14.001 - 14.500 419 63,885,080 15.05 7.819 357 81.12 621
----------------------------------------------------------------------------------------------------------------------------
14.501 - 15.000 422 59,793,100 14.09 8.211 357 81.39 604
----------------------------------------------------------------------------------------------------------------------------
15.001 - 15.500 252 34,492,330 8.13 8.601 356 81.87 590
----------------------------------------------------------------------------------------------------------------------------
15.501 - 16.000 260 32,533,626 7.67 9.14 356 80.51 574
----------------------------------------------------------------------------------------------------------------------------
16.001 - 16.500 99 11,448,330 2.7 9.589 356 81.38 570
----------------------------------------------------------------------------------------------------------------------------
16.501 - 17.000 90 9,543,714 2.25 10.103 356 77.51 559
----------------------------------------------------------------------------------------------------------------------------
17.001 - 17.500 22 2,060,722 0.49 10.687 357 73.72 552
----------------------------------------------------------------------------------------------------------------------------
17.501 - 18.000 13 1,092,025 0.26 11.372 356 71.43 549
----------------------------------------------------------------------------------------------------------------------------
18.001 - 18.500 3 341,847 0.08 12.425 356 76.46 541
----------------------------------------------------------------------------------------------------------------------------
18.501 - 19.000 2 73,877 0.02 11.776 355 57.78 561
----------------------------------------------------------------------------------------------------------------------------
19.501 - 20.000 1 32,669 0.01 12.9 356 38.47 517
----------------------------------------------------------------------------------------------------------------------------
20.501 - 21.000 1 199,002 0.05 7 354 66.67 630
----------------------------------------------------------------------------------------------------------------------------
Total: 2,853 424,363,766 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 11.000
Maximum: 22.070
Non-Zero Weighted Average: 14.424
Top
12. Initial Periodic Cap (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 417 63,437,817 14.94 6.931 328 72.45 618
----------------------------------------------------------------------------------------------------------------------------
1 3 487,235 0.11 7.858 356 78.47 606
----------------------------------------------------------------------------------------------------------------------------
1.5 764 119,161,377 28.07 7.756 357 80.84 618
----------------------------------------------------------------------------------------------------------------------------
3 1,668 241,077,598 56.79 8.049 356 79.9 600
----------------------------------------------------------------------------------------------------------------------------
??? 2 342,857 0.08 7.696 355 67.77 604
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.500
Non-Zero Weighted Average: 2.502
Top
13. Subsequent Periodic Cap (%)
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 417 63,437,817 14.94 6.931 328 72.45 618
----------------------------------------------------------------------------------------------------------------------------
1 1,672 241,761,280 56.95 8.047 356 79.87 600
----------------------------------------------------------------------------------------------------------------------------
1.5 764 119,161,377 28.07 7.756 357 80.84 618
----------------------------------------------------------------------------------------------------------------------------
3 1 146,409 0.03 8.95 350 95 646
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 3.000
Non-Zero Weighted Average: 1.166
Top
14. Next Rate Adjustment Dates
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Aug-04 1 146,409 0.04 8.95 350 95 646
----------------------------------------------------------------------------------------------------------------------------
Sep-04 1 80,132 0.02 10.92 351 80 536
----------------------------------------------------------------------------------------------------------------------------
Oct-04 3 512,994 0.14 8.55 352 78.45 600
----------------------------------------------------------------------------------------------------------------------------
Nov-04 7 1,022,768 0.28 8.117 353 79.06 569
----------------------------------------------------------------------------------------------------------------------------
Dec-04 33 4,271,382 1.18 8.063 354 78.66 602
----------------------------------------------------------------------------------------------------------------------------
Jan-05 195 29,629,076 8.21 7.965 355 80.86 595
----------------------------------------------------------------------------------------------------------------------------
Feb-05 547 82,557,540 22.87 7.942 356 80.01 604
----------------------------------------------------------------------------------------------------------------------------
Mar-05 558 83,583,995 23.16 7.905 357 79.36 600
----------------------------------------------------------------------------------------------------------------------------
Apr-05 121 17,848,416 4.94 7.961 358 78.79 608
----------------------------------------------------------------------------------------------------------------------------
Jul-05 2 166,960 0.05 9.234 349 79.25 572
----------------------------------------------------------------------------------------------------------------------------
Aug-05 1 42,158 0.01 8.95 350 80 655
----------------------------------------------------------------------------------------------------------------------------
Oct-05 1 66,096 0.02 7.5 352 95 665
----------------------------------------------------------------------------------------------------------------------------
Nov-05 4 501,192 0.14 7.269 353 66.17 638
----------------------------------------------------------------------------------------------------------------------------
Dec-05 13 2,117,933 0.59 7.991 354 81.54 600
----------------------------------------------------------------------------------------------------------------------------
Jan-06 35 3,957,400 1.1 8 355 78.11 583
----------------------------------------------------------------------------------------------------------------------------
Feb-06 312 45,446,820 12.59 8.096 356 81.41 612
----------------------------------------------------------------------------------------------------------------------------
Mar-06 400 58,238,161 16.13 8.009 356 80.79 615
----------------------------------------------------------------------------------------------------------------------------
Apr-06 202 30,780,037 8.53 7.724 358 80.89 614
----------------------------------------------------------------------------------------------------------------------------
Total: 2,436 360,969,468 100 7.952 356 80.2 606
----------------------------------------------------------------------------------------------------------------------------
Top
15. Geographic Distribution of Mortgaged Properties
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
California 760 145,165,102 34.2 7.413 354 77.45 612
----------------------------------------------------------------------------------------------------------------------------
Florida 334 41,955,717 9.88 8.286 355 80.49 606
----------------------------------------------------------------------------------------------------------------------------
New York 104 20,813,884 4.9 7.674 349 73.32 601
----------------------------------------------------------------------------------------------------------------------------
Texas 174 20,209,885 4.76 8.215 345 77.71 611
----------------------------------------------------------------------------------------------------------------------------
Washington 114 17,575,077 4.14 7.587 356 80.92 610
----------------------------------------------------------------------------------------------------------------------------
New Jersey 80 14,544,020 3.43 7.724 349 77.18 610
----------------------------------------------------------------------------------------------------------------------------
Michigan 115 12,587,564 2.97 8.529 352 80.4 590
----------------------------------------------------------------------------------------------------------------------------
Illinois 84 11,336,693 2.67 8.229 356 79.68 601
----------------------------------------------------------------------------------------------------------------------------
Ohio 96 10,355,873 2.44 8.094 356 83.21 599
----------------------------------------------------------------------------------------------------------------------------
Arizona 71 9,254,723 2.18 7.744 351 81.49 619
----------------------------------------------------------------------------------------------------------------------------
Colorado 54 9,032,279 2.13 7.687 352 83.45 614
----------------------------------------------------------------------------------------------------------------------------
Maryland 58 8,975,130 2.11 7.896 346 79.7 604
----------------------------------------------------------------------------------------------------------------------------
Minnesota 54 8,632,291 2.03 7.987 353 81.61 605
----------------------------------------------------------------------------------------------------------------------------
Pennsylvania 58 8,066,246 1.9 7.89 343 80.63 584
----------------------------------------------------------------------------------------------------------------------------
Virginia 53 7,905,284 1.86 7.781 356 82.34 608
----------------------------------------------------------------------------------------------------------------------------
Other 645 78,097,116 18.4 8.004 349 80.47 607
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 47
Top
16. Occupancy
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Primary 2,666 402,995,088 94.93 7.77 352 78.98 607
----------------------------------------------------------------------------------------------------------------------------
Investment 174 19,060,219 4.49 8.307 351 80.07 628
----------------------------------------------------------------------------------------------------------------------------
Second Home 14 2,451,577 0.58 8.601 352 80.11 593
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Top
17. Property Type
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Single Family Residence 2,393 352,006,045 82.92 7.8 352 79 605
----------------------------------------------------------------------------------------------------------------------------
2-4 Family 168 29,186,999 6.88 7.794 355 77.73 624
----------------------------------------------------------------------------------------------------------------------------
Condo 175 25,123,207 5.92 7.89 354 79.3 617
----------------------------------------------------------------------------------------------------------------------------
Planned Unit Development 96 16,239,690 3.83 7.626 354 82.12 625
----------------------------------------------------------------------------------------------------------------------------
Manufactured Housing 19 1,586,747 0.37 8.199 326 75.02 606
----------------------------------------------------------------------------------------------------------------------------
Townhouse 3 364,195 0.09 6.911 357 78.92 675
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Top
18. Loan Purpose
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 1,759 267,425,394 63 7.722 350 77.44 597
----------------------------------------------------------------------------------------------------------------------------
Purchase 745 107,351,772 25.29 7.939 357 82.27 639
----------------------------------------------------------------------------------------------------------------------------
Refinance - Rate Term 350 49,729,717 11.71 7.913 352 80.65 597
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Top
19. Documentation Level
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
Full 1,925 276,279,866 65.08 7.751 350 79.52 596
----------------------------------------------------------------------------------------------------------------------------
No Income Verifier 431 66,479,802 15.66 8.023 355 76.46 618
----------------------------------------------------------------------------------------------------------------------------
Stated Documentation 353 59,157,016 13.94 7.619 357 79.38 650
----------------------------------------------------------------------------------------------------------------------------
Light 65 9,896,619 2.33 8.329 354 82.07 586
----------------------------------------------------------------------------------------------------------------------------
No Documentation 60 9,171,252 2.16 8.312 353 76.18 628
----------------------------------------------------------------------------------------------------------------------------
Alternative 20 3,522,330 0.83 7.556 357 82.77 619
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Top
20. Credit Score
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
500 - 524 126 16,867,843 3.97 8.437 355 74.39 515
----------------------------------------------------------------------------------------------------------------------------
525 - 549 350 51,277,169 12.08 8.26 356 75.95 537
----------------------------------------------------------------------------------------------------------------------------
550 - 574 431 63,981,023 15.07 8.422 353 80.05 562
----------------------------------------------------------------------------------------------------------------------------
575 - 599 392 58,170,644 13.7 7.981 351 78.42 587
----------------------------------------------------------------------------------------------------------------------------
600 - 624 434 63,811,576 15.03 7.603 351 80.28 612
----------------------------------------------------------------------------------------------------------------------------
625 - 649 509 77,944,484 18.36 7.453 348 79.73 637
----------------------------------------------------------------------------------------------------------------------------
650 - 674 344 49,463,550 11.65 7.323 350 78.9 660
----------------------------------------------------------------------------------------------------------------------------
675 - 699 147 22,980,284 5.41 7.355 356 81.37 686
----------------------------------------------------------------------------------------------------------------------------
700 - 724 72 11,905,800 2.8 7.298 357 81.54 711
----------------------------------------------------------------------------------------------------------------------------
725 - 749 41 6,801,088 1.6 7.19 354 80.55 736
----------------------------------------------------------------------------------------------------------------------------
750 - 774 6 923,872 0.22 6.539 356 66.7 759
----------------------------------------------------------------------------------------------------------------------------
775 - 799 1 261,767 0.06 6.375 357 75 793
----------------------------------------------------------------------------------------------------------------------------
800 + 1 117,783 0.03 8.5 357 80 801
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 500
Maximum: 801
Non-Zero Weighted Average: 608
Top
21. Prepayment Penalty Term
----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
----------------------------------------------------------------------------------------------------------------------------
0 337 47,803,466 11.26 8.103 345 76.51 606
----------------------------------------------------------------------------------------------------------------------------
6 2 225,545 0.05 7.862 358 78.16 678
----------------------------------------------------------------------------------------------------------------------------
12 73 13,358,733 3.15 7.282 342 74.33 617
----------------------------------------------------------------------------------------------------------------------------
18 1 138,165 0.03 8.875 357 80 596
----------------------------------------------------------------------------------------------------------------------------
24 1,039 160,273,210 37.76 7.82 356 79.8 600
----------------------------------------------------------------------------------------------------------------------------
30 5 895,699 0.21 7.532 357 87.23 635
----------------------------------------------------------------------------------------------------------------------------
36 1,397 201,812,065 47.54 7.746 351 79.31 613
----------------------------------------------------------------------------------------------------------------------------
Total: 2,854 424,506,884 100 7.799 352 79.04 608
----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 6
Maximum: 36
Non-Zero Weighted Average: 30
Top
This information is being delivered to a specific number of prospective
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2003-HE1
Computational Materials
GROUP in '2'
Selection Criteria: GROUP in '2'
Table of Contents
1. Summary Statistics
2. 2003-HE1 Originators
3. Product Types
4. Range of Gross Interest Rates (%)
5. Range of Cut-off Date Principal Balances ($)
6. Range of Stated Original Terms (months)
7. Range of Stated Remaining Terms (months)
8. Range of Original LTV Ratios (%)
9. Range of Gross Margins (%)
10. Range of Minimum Mortgage Rates (%)
11. Range of Maximum Loan Rates (%)
12. Initial Periodic Cap (%)
13. Subsequent Periodic Cap (%)
14. Next Rate Adjustment Dates
15. Geographic Distribution of Mortgaged Properties
16. Occupancy
17. Property Type
18. Loan Purpose
19. Documentation Level
20. Credit Score
21. Prepayment Penalty Term
1. Summary Statistics
Number of Mortgage Loans: 3,142
Aggregate Principal Balance ($): 485,453,799
Weighted Average Current Mortgage Rate (%): 7.956
Non-Zero Weighted Average Margin (%): 6.173
Non-Zero Weighted Average Maximum Rate (%): 14.540
Weighted Average Stated Original Term (months): 342
Weighted Average Stated Remaining Term (months): 338
Weighted Average Original LTV (%): 80.58
% First Liens: 100.00
% Owner Occupied: 94.20
% Purchase: 22.06
% Full Doc: 69.70
Non-Zero Weighted Average Credit Score: 618
Top
2. 2003-HE1 Originators
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
2003-HE1 Originators Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
Aames 1,561 246,514,900 50.78 7.99 348 79.35 611
-----------------------------------------------------------------------------------------------------------------------------
Accredited 984 153,775,155 31.68 7.706 330 81.37 625
-----------------------------------------------------------------------------------------------------------------------------
Provident 595 84,916,692 17.49 8.309 325 82.74 623
-----------------------------------------------------------------------------------------------------------------------------
New Century 2 247,052 0.05 8.571 356 81.37 535
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Top
3. Product Types
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Product Types Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
Fixed - 10 Year 14 783,625 0.16 7.76 116 58.47 620
-----------------------------------------------------------------------------------------------------------------------------
Fixed - 15 Year 191 17,482,588 3.6 7.811 176 73.56 629
-----------------------------------------------------------------------------------------------------------------------------
Fixed - 20 Year 91 11,274,192 2.32 7.782 236 79.23 633
-----------------------------------------------------------------------------------------------------------------------------
Fixed - 25 Year 3 442,467 0.09 7.383 296 69.79 694
-----------------------------------------------------------------------------------------------------------------------------
Fixed - 30 Year 1,326 189,577,657 39.05 7.835 356 79.8 629
-----------------------------------------------------------------------------------------------------------------------------
Balloon - 15/20 1 192,982 0.04 7.499 176 80 696
-----------------------------------------------------------------------------------------------------------------------------
Balloon - 15/30 170 22,142,364 4.56 8.093 176 81.76 616
-----------------------------------------------------------------------------------------------------------------------------
ARM - 6 Month 1 43,710 0.01 10.1 356 73 514
-----------------------------------------------------------------------------------------------------------------------------
ARM - 2 Year/6 Month 822 152,804,176 31.48 8.121 356 81.87 605
-----------------------------------------------------------------------------------------------------------------------------
ARM - 3 Year/6 Month 513 89,347,259 18.4 7.96 357 81.58 612
-----------------------------------------------------------------------------------------------------------------------------
ARM - 5 Year/6 Month 10 1,362,779 0.28 7.391 356 78.18 586
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Top
4. Range of Gross Interest Rates (%)
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Interest Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
5.000 - 5.999 27 5,742,172 1.18 5.812 335 73.48 715
-----------------------------------------------------------------------------------------------------------------------------
6.000 - 6.999 429 92,780,671 19.11 6.701 338 77.97 661
-----------------------------------------------------------------------------------------------------------------------------
7.000 - 7.999 1,119 191,655,169 39.48 7.611 339 81.06 627
-----------------------------------------------------------------------------------------------------------------------------
8.000 - 8.999 871 127,032,578 26.17 8.485 337 82.15 592
-----------------------------------------------------------------------------------------------------------------------------
9.000 - 9.999 465 48,843,642 10.06 9.48 339 81.15 576
-----------------------------------------------------------------------------------------------------------------------------
10.000 - 10.999 172 15,164,727 3.12 10.454 341 80.61 560
-----------------------------------------------------------------------------------------------------------------------------
11.000 - 11.999 46 3,377,719 0.7 11.341 340 74.12 548
-----------------------------------------------------------------------------------------------------------------------------
12.000 - 12.999 11 775,316 0.16 12.335 356 64.17 548
-----------------------------------------------------------------------------------------------------------------------------
13.000 - 13.999 2 81,805 0.02 13.386 355 65 509
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Minimum: 5.300
Maximum: 13.500
Weighted Average: 7.956
Top
5. Range of Cut-off Date Principal Balances ($)
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Cut-off Date Principal Balances ($) Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
1 - 25,000 7 147,934 0.03 8.91 192 49.8 621
-----------------------------------------------------------------------------------------------------------------------------
25,001 - 50,000 240 9,742,766 2.01 9.439 312 72.26 596
-----------------------------------------------------------------------------------------------------------------------------
50,001 - 75,000 481 30,121,377 6.2 8.727 313 77.37 604
-----------------------------------------------------------------------------------------------------------------------------
75,001 - 100,000 477 41,876,467 8.63 8.376 326 80.48 606
-----------------------------------------------------------------------------------------------------------------------------
100,001 - 125,000 400 44,916,842 9.25 8.263 333 80.51 607
-----------------------------------------------------------------------------------------------------------------------------
125,001 - 150,000 358 49,257,135 10.15 8.095 335 82.1 620
-----------------------------------------------------------------------------------------------------------------------------
150,001 - 175,000 258 41,707,660 8.59 7.926 335 80.44 619
-----------------------------------------------------------------------------------------------------------------------------
175,001 - 200,000 183 34,352,279 7.08 7.919 339 81.55 615
-----------------------------------------------------------------------------------------------------------------------------
200,001 - 225,000 115 24,517,402 5.05 7.724 350 79.96 622
-----------------------------------------------------------------------------------------------------------------------------
225,001 - 250,000 125 29,755,284 6.13 7.715 350 81.76 630
-----------------------------------------------------------------------------------------------------------------------------
250,001 - 275,000 76 19,878,152 4.09 7.708 351 82.9 637
-----------------------------------------------------------------------------------------------------------------------------
275,001 - 300,000 46 13,132,069 2.71 7.938 346 83.25 623
-----------------------------------------------------------------------------------------------------------------------------
300,001 - 325,000 46 14,478,970 2.98 7.742 342 82.51 629
-----------------------------------------------------------------------------------------------------------------------------
325,001 - 350,000 86 28,973,022 5.97 7.468 345 81.22 634
-----------------------------------------------------------------------------------------------------------------------------
350,001 - 375,000 67 24,240,578 4.99 7.314 353 80.42 637
-----------------------------------------------------------------------------------------------------------------------------
375,001 - 400,000 57 22,154,616 4.56 7.649 345 83.55 614
-----------------------------------------------------------------------------------------------------------------------------
400,001 - 425,000 29 12,006,485 2.47 7.508 352 81.83 629
-----------------------------------------------------------------------------------------------------------------------------
425,001 - 450,000 26 11,443,994 2.36 7.613 349 82.41 628
-----------------------------------------------------------------------------------------------------------------------------
450,001 - 475,000 16 7,443,006 1.53 7.574 357 76.63 584
-----------------------------------------------------------------------------------------------------------------------------
475,001 - 500,000 36 17,723,432 3.65 7.669 331 76.18 597
-----------------------------------------------------------------------------------------------------------------------------
500,001 - 750,000 13 7,584,329 1.56 8.147 340 74.02 607
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Minimum: 14,816
Maximum: 747,561
Average: 154,505
Top
6. Range of Stated Original Terms (months)
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Stated Original Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
120 14 783,625 0.16 7.76 116 58.47 620
-----------------------------------------------------------------------------------------------------------------------------
180 363 39,879,982 8.21 7.969 176 78.15 622
-----------------------------------------------------------------------------------------------------------------------------
240 91 11,274,192 2.32 7.782 236 79.23 633
-----------------------------------------------------------------------------------------------------------------------------
300 3 442,467 0.09 7.383 296 69.79 694
-----------------------------------------------------------------------------------------------------------------------------
360 2,671 433,073,533 89.21 7.96 356 80.89 617
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Minimum: 120
Maximum: 360
Weighted Average: 342
Top
7. Range of Stated Remaining Terms (months)
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Stated Remaining Terms (months) Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
109 - 120 14 783,625 0.16 7.76 116 58.47 620
-----------------------------------------------------------------------------------------------------------------------------
157 - 168 1 59,968 0.01 11.17 168 85 619
-----------------------------------------------------------------------------------------------------------------------------
169 - 180 362 39,820,014 8.2 7.964 176 78.14 622
-----------------------------------------------------------------------------------------------------------------------------
217 - 228 1 59,258 0.01 9.25 228 80 606
-----------------------------------------------------------------------------------------------------------------------------
229 - 240 90 11,214,934 2.31 7.774 236 79.22 633
-----------------------------------------------------------------------------------------------------------------------------
289 - 300 3 442,467 0.09 7.383 296 69.79 694
-----------------------------------------------------------------------------------------------------------------------------
337 - 348 1 143,194 0.03 8.5 348 91.97 630
-----------------------------------------------------------------------------------------------------------------------------
349 - 360 2,670 432,930,339 89.18 7.96 356 80.89 617
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Minimum: 115
Maximum: 358
Weighted Average: 338
Top
8. Range of Original LTV Ratios (%)
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Original LTV Ratios (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
<= 10.00 1 24,326 0.01 8.5 115 9.62 572
-----------------------------------------------------------------------------------------------------------------------------
10.01 - 15.00 2 104,705 0.02 7.978 356 13.8 671
-----------------------------------------------------------------------------------------------------------------------------
15.01 - 20.00 3 118,170 0.02 8.109 317 18.29 610
-----------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 5 483,947 0.1 7.448 260 22.19 621
-----------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00 6 281,053 0.06 8.434 304 28.18 660
-----------------------------------------------------------------------------------------------------------------------------
30.01 - 35.00 9 919,586 0.19 8.44 322 33.13 579
-----------------------------------------------------------------------------------------------------------------------------
35.01 - 40.00 18 1,490,955 0.31 7.849 310 38.36 608
-----------------------------------------------------------------------------------------------------------------------------
40.01 - 45.00 31 3,128,842 0.64 8.105 314 42.11 614
-----------------------------------------------------------------------------------------------------------------------------
45.01 - 50.00 39 4,428,114 0.91 7.759 320 48.44 592
-----------------------------------------------------------------------------------------------------------------------------
50.01 - 55.00 49 7,119,665 1.47 7.665 318 53.14 601
-----------------------------------------------------------------------------------------------------------------------------
55.01 - 60.00 70 9,636,715 1.99 7.515 329 57.69 632
-----------------------------------------------------------------------------------------------------------------------------
60.01 - 65.00 112 17,430,459 3.59 7.929 331 63.07 597
-----------------------------------------------------------------------------------------------------------------------------
65.01 - 70.00 192 26,145,853 5.39 8.136 329 68.56 596
-----------------------------------------------------------------------------------------------------------------------------
70.01 - 75.00 333 47,752,411 9.84 8.052 334 73.95 597
-----------------------------------------------------------------------------------------------------------------------------
75.01 - 80.00 1,012 160,529,503 33.07 7.831 345 79.57 622
-----------------------------------------------------------------------------------------------------------------------------
80.01 - 85.00 382 60,843,362 12.53 8.003 340 84.37 611
-----------------------------------------------------------------------------------------------------------------------------
85.01 - 90.00 475 81,326,644 16.75 7.942 333 89.4 620
-----------------------------------------------------------------------------------------------------------------------------
90.01 - 95.00 241 41,098,307 8.47 8.112 339 94.42 640
-----------------------------------------------------------------------------------------------------------------------------
95.01 - 100.00 162 22,591,183 4.65 8.383 347 99.54 646
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Minimum: 9.62
Maximum: 100.00
Weighted Average: 80.58
Top
9. Range of Gross Margins (%)
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Gross Margins (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,796 241,895,875 49.83 7.853 320 79.42 628
-----------------------------------------------------------------------------------------------------------------------------
<= 3.500 8 1,556,165 0.32 7.176 356 81.77 627
-----------------------------------------------------------------------------------------------------------------------------
3.501 - 4.000 8 1,800,075 0.37 7.194 356 84.06 620
-----------------------------------------------------------------------------------------------------------------------------
4.001 - 4.500 51 10,802,530 2.23 7.437 356 85.11 637
-----------------------------------------------------------------------------------------------------------------------------
4.501 - 5.000 70 15,512,729 3.2 7.59 356 83.91 626
-----------------------------------------------------------------------------------------------------------------------------
5.001 - 5.500 95 22,405,020 4.62 7.616 356 83.21 621
-----------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 317 64,101,756 13.2 7.572 356 79.91 638
-----------------------------------------------------------------------------------------------------------------------------
6.001 - 6.500 190 33,414,707 6.88 7.934 356 81.83 604
-----------------------------------------------------------------------------------------------------------------------------
6.501 - 7.000 417 68,257,428 14.06 8.464 356 83.64 585
-----------------------------------------------------------------------------------------------------------------------------
7.001 - 7.500 51 6,512,519 1.34 8.785 356 83.68 575
-----------------------------------------------------------------------------------------------------------------------------
7.501 - 8.000 79 11,249,061 2.32 9.215 356 76.5 548
-----------------------------------------------------------------------------------------------------------------------------
8.001 - 8.500 44 6,239,867 1.29 10.165 357 70.38 550
-----------------------------------------------------------------------------------------------------------------------------
8.501 - 9.000 9 1,181,400 0.24 9.988 357 79.32 540
-----------------------------------------------------------------------------------------------------------------------------
9.001 - 9.500 3 180,416 0.04 10.073 357 76.22 564
-----------------------------------------------------------------------------------------------------------------------------
9.501 - 10.000 3 304,307 0.06 10.846 356 77.92 546
-----------------------------------------------------------------------------------------------------------------------------
>10.000 1 39,945 0.01 11.25 356 80 588
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 2.800
Maximum: 10.250
Non-Zero Weighted Average: 6.173
Top
10. Range of Minimum Mortgage Rates (%)
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Minimum Mortgage Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,796 241,895,875 49.83 7.853 320 79.42 628
-----------------------------------------------------------------------------------------------------------------------------
5.001 - 5.500 1 330,704 0.07 5.5 357 80 713
-----------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 7 1,819,749 0.37 5.939 356 79.48 675
-----------------------------------------------------------------------------------------------------------------------------
6.001 - 6.500 38 11,132,219 2.29 6.306 357 80.76 655
-----------------------------------------------------------------------------------------------------------------------------
6.501 - 7.000 103 27,371,305 5.64 6.88 357 80.92 642
-----------------------------------------------------------------------------------------------------------------------------
7.001 - 7.500 155 34,245,784 7.05 7.343 356 81.41 630
-----------------------------------------------------------------------------------------------------------------------------
7.501 - 8.000 341 65,265,960 13.44 7.821 356 82.46 619
-----------------------------------------------------------------------------------------------------------------------------
8.001 - 8.500 196 38,130,599 7.85 8.286 356 81.74 589
-----------------------------------------------------------------------------------------------------------------------------
8.501 - 9.000 188 29,089,076 5.99 8.767 356 83.1 578
-----------------------------------------------------------------------------------------------------------------------------
9.001 - 9.500 98 12,680,524 2.61 9.249 356 82.7 569
-----------------------------------------------------------------------------------------------------------------------------
9.501 - 10.000 92 11,912,458 2.45 9.814 355 80.35 562
-----------------------------------------------------------------------------------------------------------------------------
10.001 -10.500 47 5,362,575 1.1 10.332 356 82.97 560
-----------------------------------------------------------------------------------------------------------------------------
10.501 - 11.000 41 3,433,458 0.71 10.748 356 79.63 566
-----------------------------------------------------------------------------------------------------------------------------
11.001 - 11.500 22 1,626,255 0.33 11.214 356 73.87 547
-----------------------------------------------------------------------------------------------------------------------------
11.501 - 12.000 8 493,978 0.1 11.625 356 69.32 525
-----------------------------------------------------------------------------------------------------------------------------
12.001 - 12.500 4 427,368 0.09 12.145 357 68.3 544
-----------------------------------------------------------------------------------------------------------------------------
12.501 - 13.000 4 200,857 0.04 12.69 355 52.59 552
-----------------------------------------------------------------------------------------------------------------------------
13.001 - 13.500 1 35,056 0.01 13.5 354 65 500
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 5.500
Maximum: 13.500
Non-Zero Weighted Average: 8.058
Top
11. Range of Maximum Loan Rates (%)
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Range of Maximum Loan Rates (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,796 241,895,875 49.83 7.853 320 79.42 628
-----------------------------------------------------------------------------------------------------------------------------
<= 12.500 31 8,776,000 1.81 6.24 356 79.57 657
-----------------------------------------------------------------------------------------------------------------------------
12.501 - 13.000 36 9,874,708 2.03 6.86 356 79.76 638
-----------------------------------------------------------------------------------------------------------------------------
13.001 - 13.500 84 20,094,862 4.14 7.109 356 80.17 624
-----------------------------------------------------------------------------------------------------------------------------
13.501 - 14.000 230 48,471,883 9.98 7.479 356 81.21 623
-----------------------------------------------------------------------------------------------------------------------------
14.001 - 14.500 195 39,680,398 8.17 7.853 356 82.05 614
-----------------------------------------------------------------------------------------------------------------------------
14.501 - 15.000 281 49,906,749 10.28 8.105 356 82.87 611
-----------------------------------------------------------------------------------------------------------------------------
15.001 - 15.500 156 25,687,718 5.29 8.616 356 81.77 578
-----------------------------------------------------------------------------------------------------------------------------
15.501 - 16.000 141 20,727,979 4.27 9.113 355 83.83 572
-----------------------------------------------------------------------------------------------------------------------------
16.001 - 16.500 59 7,856,391 1.62 9.793 356 85.86 580
-----------------------------------------------------------------------------------------------------------------------------
16.501 - 17.000 63 7,262,163 1.5 10.166 356 80.03 573
-----------------------------------------------------------------------------------------------------------------------------
17.001 - 17.500 34 2,757,238 0.57 10.747 356 76.88 550
-----------------------------------------------------------------------------------------------------------------------------
17.501 - 18.000 22 1,498,165 0.31 11.045 356 75.87 553
-----------------------------------------------------------------------------------------------------------------------------
18.001 - 18.500 9 727,757 0.15 11.769 356 71.07 543
-----------------------------------------------------------------------------------------------------------------------------
18.501 - 19.000 3 159,657 0.03 12.613 356 48.1 562
-----------------------------------------------------------------------------------------------------------------------------
19.001 - 19.500 1 35,056 0.01 13.5 354 65 500
-----------------------------------------------------------------------------------------------------------------------------
19.501 - 20.000 1 41,200 0.01 12.99 350 70 521
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 11.050
Maximum: 19.990
Non-Zero Weighted Average: 14.540
Top
12. Initial Periodic Cap (%)
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Initial Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,796 241,895,875 49.83 7.853 320 79.42 628
-----------------------------------------------------------------------------------------------------------------------------
1 5 877,827 0.18 6.929 357 77.96 589
-----------------------------------------------------------------------------------------------------------------------------
1.5 361 72,259,185 14.88 7.671 357 81.53 622
-----------------------------------------------------------------------------------------------------------------------------
2 1 129,647 0.03 9.99 354 100 633
-----------------------------------------------------------------------------------------------------------------------------
3 974 169,806,313 34.98 8.227 356 81.85 601
-----------------------------------------------------------------------------------------------------------------------------
??? 5 484,952 0.1 8.226 356 78.59 581
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 5.000
Non-Zero Weighted Average: 2.551
Top
13. Subsequent Periodic Cap (%)
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Subsequent Periodic Cap (%) Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
Fixed Rate Loans 1,796 241,895,875 49.83 7.853 320 79.42 628
-----------------------------------------------------------------------------------------------------------------------------
1 984 170,975,978 35.22 8.222 356 81.82 601
-----------------------------------------------------------------------------------------------------------------------------
1.5 362 72,581,947 14.95 7.674 357 81.57 622
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 1.000
Maximum: 1.500
Non-Zero Weighted Average: 1.149
Top
14. Next Rate Adjustment Dates
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Next Rate Adjustment Dates Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
Aug-03 1 65,878 0.03 9.85 356 75 0
-----------------------------------------------------------------------------------------------------------------------------
Jul-04 1 41,200 0.02 12.99 350 70 521
-----------------------------------------------------------------------------------------------------------------------------
Sep-04 2 146,579 0.06 8.453 351 91.98 654
-----------------------------------------------------------------------------------------------------------------------------
Nov-04 14 2,754,540 1.14 8.543 353 83.76 584
-----------------------------------------------------------------------------------------------------------------------------
Dec-04 42 7,941,688 3.28 8.202 353 82.71 593
-----------------------------------------------------------------------------------------------------------------------------
Jan-05 194 33,002,455 13.63 8.211 355 82.01 605
-----------------------------------------------------------------------------------------------------------------------------
Feb-05 357 62,618,916 25.85 8.068 356 82.4 608
-----------------------------------------------------------------------------------------------------------------------------
Mar-05 185 39,567,766 16.34 8.195 357 81.24 600
-----------------------------------------------------------------------------------------------------------------------------
Apr-05 27 6,708,865 2.77 7.433 358 78.01 626
-----------------------------------------------------------------------------------------------------------------------------
Jul-05 1 146,724 0.06 7.75 349 80 675
-----------------------------------------------------------------------------------------------------------------------------
Aug-05 1 361,727 0.15 7.25 350 85 667
-----------------------------------------------------------------------------------------------------------------------------
Oct-05 1 82,429 0.03 8.999 352 90 561
-----------------------------------------------------------------------------------------------------------------------------
Nov-05 1 110,363 0.05 8.43 353 62.36 510
-----------------------------------------------------------------------------------------------------------------------------
Dec-05 5 496,510 0.21 8.182 354 85.51 619
-----------------------------------------------------------------------------------------------------------------------------
Jan-06 46 7,554,993 3.12 8.321 355 78.28 574
-----------------------------------------------------------------------------------------------------------------------------
Feb-06 230 38,384,144 15.85 7.977 356 81.36 614
-----------------------------------------------------------------------------------------------------------------------------
Mar-06 126 22,463,050 9.27 7.957 357 82.52 607
-----------------------------------------------------------------------------------------------------------------------------
Apr-06 102 19,747,320 8.15 7.796 358 82.14 626
-----------------------------------------------------------------------------------------------------------------------------
Total: 1,336 242,195,145 100 8.062 356 81.76 608
-----------------------------------------------------------------------------------------------------------------------------
Top
15. Geographic Distribution of Mortgaged Properties
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Geographic Distribution of Mortgaged Properties Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
California 713 160,296,859 33.02 7.495 348 79.94 627
-----------------------------------------------------------------------------------------------------------------------------
Florida 381 49,292,513 10.15 8.353 349 81.15 609
-----------------------------------------------------------------------------------------------------------------------------
New York 187 36,262,903 7.47 7.875 339 77.06 626
-----------------------------------------------------------------------------------------------------------------------------
Texas 289 29,278,350 6.03 8.571 333 77.97 599
-----------------------------------------------------------------------------------------------------------------------------
Virginia 88 16,064,222 3.31 7.964 334 83.74 604
-----------------------------------------------------------------------------------------------------------------------------
New Jersey 71 14,987,872 3.09 7.952 327 77.8 613
-----------------------------------------------------------------------------------------------------------------------------
Illinois 90 13,642,785 2.81 8.423 323 81.13 610
-----------------------------------------------------------------------------------------------------------------------------
Washington 79 13,642,066 2.81 7.661 345 83.56 631
-----------------------------------------------------------------------------------------------------------------------------
Ohio 122 12,775,063 2.63 8.392 307 82.41 608
-----------------------------------------------------------------------------------------------------------------------------
Michigan 102 12,661,940 2.61 8.464 341 84.3 602
-----------------------------------------------------------------------------------------------------------------------------
Maryland 63 12,012,546 2.47 7.955 308 80.85 613
-----------------------------------------------------------------------------------------------------------------------------
Massachusetts 50 11,177,707 2.3 8.006 346 75.52 618
-----------------------------------------------------------------------------------------------------------------------------
Pennsylvania 76 9,035,046 1.86 8.209 323 81.15 612
-----------------------------------------------------------------------------------------------------------------------------
Tennessee 93 8,957,032 1.85 8.321 318 84.39 618
-----------------------------------------------------------------------------------------------------------------------------
Arizona 71 8,407,803 1.73 7.751 333 80.88 626
-----------------------------------------------------------------------------------------------------------------------------
Other 667 76,959,091 15.85 8.223 329 82.71 613
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 48
Top
16. Occupancy
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Occupancy Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
Primary 2,893 457,312,065 94.2 7.935 339 80.94 617
-----------------------------------------------------------------------------------------------------------------------------
Investment 241 26,782,273 5.52 8.327 331 75.14 635
-----------------------------------------------------------------------------------------------------------------------------
Second Home 8 1,359,461 0.28 7.777 357 67.84 623
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Top
17. Property Type
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Property Type Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
Single Family Residence 2,624 404,299,415 83.28 7.95 338 80.59 615
-----------------------------------------------------------------------------------------------------------------------------
2-4 Family 221 37,269,655 7.68 7.877 337 77.49 644
-----------------------------------------------------------------------------------------------------------------------------
Condo 151 20,327,325 4.19 8.213 342 82.85 615
-----------------------------------------------------------------------------------------------------------------------------
Planned Unit Development 106 20,065,387 4.13 7.9 341 84.3 620
-----------------------------------------------------------------------------------------------------------------------------
Manufactured Housing 31 2,403,768 0.5 8.728 288 77.25 610
-----------------------------------------------------------------------------------------------------------------------------
Townhouse 9 1,088,248 0.22 7.444 341 81.12 634
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Top
18. Loan Purpose
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Loan Purpose Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 1,854 292,961,252 60.35 7.888 333 79.77 610
-----------------------------------------------------------------------------------------------------------------------------
Purchase 672 107,086,954 22.06 8.105 354 83.11 646
-----------------------------------------------------------------------------------------------------------------------------
Refinance - Rate Term 616 85,405,594 17.59 8.002 337 80.19 609
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Top
19. Documentation Level
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Documentation Level Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
Full 2,334 338,351,388 69.7 7.96 337 81.9 609
-----------------------------------------------------------------------------------------------------------------------------
No Income Verifier 356 64,930,991 13.38 8.061 352 76.42 626
-----------------------------------------------------------------------------------------------------------------------------
Stated Documentation 283 49,217,506 10.14 7.674 336 77.49 658
-----------------------------------------------------------------------------------------------------------------------------
No Documentation 78 15,411,290 3.17 8.141 313 78.82 656
-----------------------------------------------------------------------------------------------------------------------------
Light 70 13,338,825 2.75 8.307 347 81.15 607
-----------------------------------------------------------------------------------------------------------------------------
Alternative 21 4,203,799 0.87 7.534 342 80.07 634
-----------------------------------------------------------------------------------------------------------------------------
Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Top
20. Credit Score
-----------------------------------------------------------------------------------------------------------------------------
% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Credit Score Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
NA 7 654,597 0.13 10.433 356 71.67 0
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500 - 524 294 39,873,841 8.21 8.805 352 74.32 513
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525 - 549 315 41,081,397 8.46 8.675 337 75.23 537
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550 - 574 373 52,652,873 10.85 8.546 336 79.24 562
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575 - 599 362 55,274,192 11.39 8.135 337 81.32 587
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600 - 624 487 77,129,617 15.89 7.911 337 82.33 613
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625 - 649 429 75,064,366 15.46 7.766 340 84.93 638
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650 - 674 348 58,095,776 11.97 7.495 335 82.39 662
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675 - 699 215 34,713,591 7.15 7.318 334 81.57 685
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700 - 724 132 20,736,220 4.27 7.27 329 78.87 711
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725 - 749 85 14,317,024 2.95 7.163 341 80 737
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750 - 774 66 11,389,990 2.35 7.117 344 78.22 762
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775 - 799 26 3,840,202 0.79 7.048 348 74.62 785
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800 + 3 630,111 0.13 6.966 356 79.31 808
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Total: 3,142 485,453,799 100 7.956 338 80.58 618
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Non-Zero Minimum: 500
Maximum: 810
Non-Zero Weighted Average: 618
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21. Prepayment Penalty Term
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% of
Mortgage
Pool by
Aggregate Aggregate Weighted Weighted
Number Cut-off Cut-off Average Average Weighted Weighted
of Date Date Gross Remaining Average Average
Mortgage Principal Principal Interest Term Original FICO
Prepayment Penalty Term Loans Balance ($) Balance Rate (%) (months) LTV Score
-----------------------------------------------------------------------------------------------------------------------------
0 533 70,783,049 14.58 8.365 336 78.34 614
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6 2 364,675 0.08 7.465 202 77.11 655
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12 159 32,167,389 6.63 7.753 333 78.19 625
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18 1 438,501 0.09 6.85 356 78.85 612
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24 522 101,185,845 20.84 7.96 356 82.15 605
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30 1 181,510 0.04 6.5 356 90 693
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36 1,409 217,262,849 44.75 7.915 340 80.74 623
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42 1 134,283 0.03 7.1 358 42.03 530
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48 6 1,033,203 0.21 7.77 349 83.75 588
-----------------------------------------------------------------------------------------------------------------------------
60 508 61,902,495 12.75 7.753 310 81.32 622
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Total: 3,142 485,453,799 100 7.956 338 80.58 618
-----------------------------------------------------------------------------------------------------------------------------
Non-Zero Minimum: 6
Maximum: 60
Non-Zero Weighted Average: 35
Top
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