For External Use
XXXXXX BROTHERS Mortgage Backed Securities
$199,009,100
(Approximate offered)
SASCO 2004-18H
Aurora Loan Services, Master Servicer
Citibank, N.A, Trustee
----------------------------------------------------------------------------------------------------------------------------
Expected
WAL at Payment Initial Ratings:
Approx. Security Pricing(2) Window(2) Loss (S&P/Fitch/
Class(1) Size($) Coupon Description (To Maturity) (To Maturity) Coverage Xxxxx'x)
----------------------------------------------------------------------------------------------------------------------------
A1 28,267,000 3.22% Senior SEQ 1.00 10/04 - 11/06 4.15% AAA/AAA/Aaa
A2 50,000,000 4.18% Senior SEQ 1.00 10/04 - 11/06 4.15% AAA/AAA/Aaa
A3 42,319,000 4.75% Senior SEQ 3.00 11/06 - 10/08 4.15% AAA/AAA/Aaa
A4 28,192,000 4.62% Senior SEQ 5.00 10/08 - 11/10 4.15% AAA/AAA/Aaa
A5 42,835,000 4.75% Senior SEQ 10.12 11/10 - 05/34 4.15% AAA/AAA/Aaa
A-IO1 Notional 1.00% WAC IO 4.20 10/04 - 05/34 4.15% AAA/AAA/Aaa
A-IO2 Notional 1.00% Levered IO 1.33 10/04 - 05/34 4.15% AAA/AAA/Aaa
B1 4,798,000 4.77% Subordinate 7.05 10/04 - 05/34 1.75% AA/NR/NR
B2 1,799,000 4.77% Subordinate 7.05 10/04 - 05/34 0.85% A/NR/NR
B3 799,000 4.77% Subordinate 7.05 10/04 - 05/34 0.45% BBB/NR/NR
----------------------------------------------------------------------------------------------------------------------------
B4 500,000 4.77% Subordinate 7.05 10/04 - 05/34 0.20% BB/NR/NR
B5 200,000 4.77% Subordinate 7.05 10/04 - 04/34 0.10% B/NR/NR
B6 200,513 4.77% Subordinate 7.05 10/04 - 04/34 0.00% NR/NR/NR
----------------------------------------------------------------------------------------------------------------------------
R 100 4.77% Residual 0.07 10/04 - 10/04 4.15% AAA/AAA/Aaa
----------------------------------------------------------------------------------------------------------------------------
(1) Classes B4, B5, and B6 (shaded in gray) will be privately offered.
(2) Pricing speed is 20% CPR.
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
1
For External Use
XXXXXX BROTHERS Mortgage Backed Securities
Deal Overview:
--------------
o The collateral is comprised of one pool of first lien, fully amortizing,
fixed-rate mortgage loans:
o The trust will issue 14 classes of Certificates: 11 classes will be publicly
offered and 3 classes will be privately offered (Classes B4, B5 and B6 will
be offered privately).
o Class A1, Class A2, Class A3, Class A4, Class A5, and Class R are each Senior
Certificates.
o Class A-IO1 and Class A-IO2 are Senior Interest-Only Certificates and will
receive no payments of principal.
o The trust will issue 6 classes of subordinate certificates:
>> Class B1, Class B2, Class B3, Class B4, Class B5, and Class B6.
o Realized Losses will be applied to Class B6, Class B5, Class B4, Class B3,
Class B2 and Class B1, in that order, until their principal balances are
reduced to zero.
o ALS maintains a 5% Clean up Call on the collateral on an aggregate basis.
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
2
For External Use
XXXXXX BROTHERS Mortgage Backed Securities
Specific Terms of the Offering:
-------------------------------
Cut-Off Date: September 1, 2004
Settlement Date: September 30, 2004
Distribution Dates: 25th of each month, or the next business day
after the 25th day of the month if the 25th
is not a business day, beginning on October
25, 2004.
Issuer: Structured Asset Securities Corp. ("SASCO")
Master Servicer: Aurora Loan Services ("ALS")
Servicers: ALS, Bank of America, Colonial Savings,
Cendant, Commercial Federal, Countrywide,
GMAC, SunTrust, and Xxxxx Fargo.
Trustee: Citibank, N.A
Rating Agencies: S&P: All certificates except Class B6
Xxxxx'x and Fitch: Senior Certificates
Day Count: 30/360: All Classes
Delay Days: 24 Day Delay: All Classes
Registration: Book-entry form through DTC
SMMEA Eligibility: The Senior Certificates and the Class B1
Certificates will be SMMEA eligible.
ERISA Eligibility: The Senior Certificates (with the exception
of the Class R Certificate) will be ERISA
eligible.
Tax Status: REMIC for Federal income tax purposes.
5% Optional Termination: The transaction may be called by ALS as
Master Servicer when the aggregate
outstanding mortgage balance is less than 5%
of the Cut-Off Date aggregate collateral loan
balance.
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
3
For External Use
XXXXXX BROTHERS Mortgage Backed Securities
Terms of the Offering -Interest Rates:
--------------------------------------
Interest Rates: Class A1 is a senior certificate and will accrue
interest a rate of 3.22%
Class A2 is a senior certificate and will accrue
interest a rate of 4.18%
Class A3 is a senior certificate and will accrue
interest a rate of 4.75%
Class A4 is a senior certificate and will accrue
interest a rate of 4.62%.
Class A5 is a senior certificate and will accrue
interest a rate of 4.75%.
Class A-IO1 is a senior interest only certificate
and will accrue interest at a fixed rate of 1.00%.
The notional balance of Class A-IO1 for any
payment period equals 1) the difference between
the Net WAC of the Mortgage Loans for that period
and 4.77%, multiplied by 2) the outstanding
principal balance of the Mortgage Loans, divided
by 3) 1.00%.
Class A-IO2 is a senior interest only certificate
and will accrue interest at a fixed rate of 1.00%.
The notional balance of Class A-IO2 for any
payment period equals 1) 4.77% minus the weighted
average interest rate of the Class A1, Class A2,
Class A3, Class A4, and Class A5 Certificates
(weighted on the basis of the certificate
principal balances of such certificates)
multiplied by 2) the aggregate certificate
principal balance of the Class A1, Class A2, Class
A3, Class A4, and Class A5 Certificates, divided
by 3) 1.00%.
Class R is a senior certificate and will accrue
interest at a rate of 4.77%.
Classes B1, B2, B3, B4, B5, and B6 will bear
interest at a rate of 4.77%.
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
4
For External Use
XXXXXX BROTHERS Mortgage Backed Securities
Terms of the Offering -Credit Enhancement:
------------------------------------------
Subordinate Amount: The Subordinate Amount is equal to the pool
balance less the current principal balance of
the Class A1, Class A2, Class A3, Class A4, Class
A5, and Class R Certificates.
Credit Enhancement: Subordination of the lower rated classes.
Subordinate Certificates On any distribution date for which the Credit
Lockout of Prepayments Support Percentage of the B1 is less than its
and Recoveries original Credit Support Percentage, no
distributions of prepayments or recoveries
allocable to principal will be made to the Class
B2, B3, B4, B5, or B6 Certificates. Likewise,
among the Class B2, B3, B4, B5, and B6
Certificates, on any distribution date for which
the Credit Support Percentage for any such Class
is less than its original Credit Support
Percentage, no distributions of prepayments or
recoveries allocable to principal will be made to
any Class of lower priority than it.
Credit Support Percentage: The Credit Support Percentage for a Class of
Subordinate Certificates (other than the Class B6
Certificates) for any Distribution Date will equal
a fraction, expressed as a percentage, the
numerator of which is the aggregate Certificate
Principal Amount of any Class or Classes of
Subordinate Certificates having a higher numerical
class designation than such Class and the
denominator of which is the sum of the total
collateral balance.
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
5
For External Use
XXXXXX BROTHERS Mortgage Backed Securities
Terms of the Offering - Distribution of Principal:
--------------------------------------------------
Shifting Interest Structure with 5 year lockout*
Subordinate Test % = Subordinate Amount / pool balance.
o If the Subordinate Test % is less than 2 times the original Subordinate
Test %:
------------------------------------------------------------------
Distribution Dates (months) Shift Percentage
------------------------------------------------------------------
1 - 60 100%
------------------------------------------------------------------
61 - 72 70%
------------------------------------------------------------------
73 - 84 60%
------------------------------------------------------------------
85 - 96 40%
------------------------------------------------------------------
97 - 108 20%
------------------------------------------------------------------
109+ 0%
------------------------------------------------------------------
o *If the Subordinate Test % is greater than or equal to 2 times the
original Subordinate Test %:
------------------------------------------------------------------
Distribution Dates (months) Shift Percentage
------------------------------------------------------------------
1 - 36 50%
------------------------------------------------------------------
37+ 0%
------------------------------------------------------------------
(*If the senior enhancement percentage doubles based on the initial cut-off date
senior enhancement during the first 36 months of the transaction, the respective
Senior certificates will be entitled to 50% of the Subordinate certificates'
percentage of pre-payments, subject to cumulative loss and delinquency tests.
After month 36, if the AAA loss coverage doubles based on the initial loss
coverage as of the cut-off date, the respective Senior certificates will be
entitled to pre-payments based on the respective Senior certificate percentage
only, subject to cumulative loss and delinquency tests).
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
6
For External Use
XXXXXX BROTHERS Mortgage Backed Securities
Terms of the Offering - Distribution of Principal (cont.):
----------------------------------------------------------
Senior Percentage: On any distribution date, the percentage
equivalent of a fraction, the numerator
of which is the sum of the Class A1, Class A2,
Class A3, Class A4, Class A5, and Class R
principal balances and the denominator of which is
the pool balance for the immediately preceding
distribution date.
Subordinate Percentage: One minus the Senior Percentage.
Senior Prepayment On any distribution date, the sum of (1) the
Percentage: Senior Percentage and (2) the product of (a) the
Senior Principal Prepayment Shift Percentage for
that distribution date multiplied by (b) the
Subordinate Percentage for that distribution date.
Subordinate On any distribution date, one minus the Senior
Prepayment Percentage: Prepayment Percentage
Senior Principal On any distribution date, the sum of (1) the
Distribution Amount: product of (a) the Senior Percentage and (b)
scheduled principal collections and (2) the
product of (a) the Senior Prepayment Percentage
and (b) unscheduled principal collections.
Subordinate Principal On any distribution date, the sum of (1) the
Distribution Amount: product of (a) the Subordinate Percentage and (b)
scheduled principal collections; and (2) the
product of (a) the Subordinate Prepayment
Percentage and (b) unscheduled principal
collections.
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
7
For External Use
XXXXXX BROTHERS Mortgage Backed Securities
Principal Paydown Rules:
------------------------
I. Pay Senior PDA concurrently as follows:
------------------------------------------
Senior PDA (Sequentially):
1) Pay Class R until reduced to zero.
2) Pay Class A1 and A2, on a pro-rata basis, until reduced to zero.
3) Pay Class A3 until reduced to zero.
4) Pay Class A4 until reduced to zero.
5) Pay Class A5 until reduced to zero.
II. Pay Subordinate PDA as follows*:
-------------------------------------
*Subject to credit support tests
Subordinate PDA:
1) Pay to Class B1, B2, B3, B4, B5 and B6 on a pro-rata basis, until reduced to
zero.
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
8
For External Use
XXXXXX BROTHERS Mortgage Backed Securities
Prepayment Sensitivity:
-----------------------------------------------------------------------------------------------------------------------------
0% CPR 10% CPR 20% CPR 30% CPR 40% CPR
-----------------------------------------------------------------------------------------------------------------------------
Class WAL Window WAL Window WAL Window WAL Window WAL Window
-----------------------------------------------------------------------------------------------------------------------------
A1 11.15 1 - 223 1.97 1 - 51 1.00 1 - 26 0.65 1 - 17 0.47 1 - 12
A2 11.15 1 - 223 1.97 1 - 51 1.00 1 - 26 0.65 1 - 17 0.47 1 - 12
A3 21.24 223 - 283 5.91 51 - 95 3.00 26 - 49 1.92 17 - 31 1.36 12 - 22
A4 24.95 283 - 315 9.66 95 - 141 5.00 49 - 74 3.17 31 - 47 2.24 22 - 33
A5 27.96 315 - 356 17.61 141 - 356 10.12 74 - 356 6.56 47 - 356 4.61 33 - 352
A-IO1 19.24 1 - 356 7.69 1 - 356 4.20 1 - 356 2.73 1 - 356 1.94 1 - 352
A-IO2 12.18 1 - 356 2.59 1 - 356 1.33 1 - 356 0.86 1 - 354 0.61 1 - 279
B1 19.17 1 - 356 12.44 1 - 356 7.05 1 - 356 5.04 1 - 354 3.93 1 - 322
B2 19.17 1 - 356 12.44 1 - 356 7.05 1 - 356 5.04 1 - 353 3.93 1 - 318
B3 19.17 1 - 356 12.44 1 - 356 7.05 1 - 356 5.04 1 - 352 3.93 1 - 310
B4 19.17 1 - 356 12.44 1 - 356 7.05 1 - 356 5.04 1 - 350 3.93 1 - 303
B5 19.17 1 - 356 12.44 1 - 356 7.05 1 - 355 5.04 1 - 345 3.93 1 - 289
B6 19.17 1 - 356 12.44 1 - 356 7.05 1 - 355 5.04 1 - 345 3.93 1 - 289
-----------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------
Contacts
-------------------------------------------------------------------------------
MBS Trading Xxxxxxxxx Xxxxxxx (000) 000-0000
MBS Finance Xxxx Xxxxx (000) 000-0000
Xxxxx Xxxxxxxx (000) 000-0000
MBS Structuring Sei-Xxxxx Xxxx (000) 000-0000
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
9
For External Use
XXXXXX BROTHERS Mortgage Backed Securities
Collateral Summary:
-------------------
----------------------------------------------------------------------------
Total Number of Loans 1,597
Total Outstanding Loan Balance $199,909,613
Average Loan Principal Balance $125,178
Range of Loan Principal Balance $17,969 to $482,911
Weighted Average Coupon 6.299%
Range of Coupons 5.125% to 10.375%
Weighted Average Original Term (mo.) 360
Range of Original Term (mo.) 180 to 360
Weighted Average Remaining Term (mo.) 354
Range of Remaining Term (mo.) 174 to 360
Weighted Average Original LTV 101.40%
Range of Original LTV 90.00% to 103.00%
Weighted Average FICO 722
Range of FICO 482 to 825
Loans with Interest-Only Period 2.77%
Lien Position
First 100.00%
Second 0.00%
Geographic Distribution PA - 8.56%
(Other states account individually for less than TX - 7.39%
5% of the Cut-off Date principal balance) FL - 6.63%
MD - 6.14%
Occupancy Status
Primary Home 99.82%
Investment 0.18%
----------------------------------------------------------------------------
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Xxxxxx Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Xxxxxx Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
10
