EXHIBIT 99.1
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇▇ 16, 2002
SECURITIZED PRODUCTS GROUP
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
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COMPUTATIONAL MATERIALS
$500,000,000
APPROXIMATELY
CDC MORTGAGE CAPITAL TRUST
SERIES 2002-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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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shall be deemed superseded, amended and supplemented in its entirety by such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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
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Page 1
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▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇▇▇ 16, 2002
SECURITIZED PRODUCTS GROUP
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
APPROXIMATELY $500,000,000
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1
CDC MORTGAGE CAPITAL, INC.
SELLER
OCWEN FEDERAL BANK FSB
SERVICER
TRANSACTION HIGHLIGHTS
------------------------------------------------------------------------------------------------------------------------------------
EXPECTED AVG MODIFIED
RATINGS LIFE TO DURATION TO FINAL
OFFERED (FITCH/MOODY'S/ CALL / CALL / PAYMENT WINDOW TO LEGAL
CLASSES DESCRIPTION BALANCE S&P) MTY(1)(2) MTY(1)(2)(3) CALL / MTY(1)(2) DAY COUNT BENCHMARK MATURITY
------------------------------------------------------------------------------------------------------------------------------------
A (4) Floater $449,238,000 AAA /Aaa/AAA 3.00/3.26 2.86/3.07 5/25/2002 - 5/25/2010 / Actual/360 1 M LIBOR 8/25/2032
5/25/2002 - 11/25/2019
------------------------------------------------------------------------------------------------------------------------------------
M Floater $25,381,000 A /A2/A 5.37/5.85 4.89/5.24 5/25/2005 - 5/25/2010 / Actual/360 1 M LIBOR 8/25/2032
5/25/2005 - 6/25/2015
-------------------------------------------------------------------------- ---------------------------------------------------------
B Floater $25,381,000 BBB-/Baa3/BBB- 5.32/5.54 4.67/4.82 5/25/2005 - 5/25/2010 / Actual/360 1 M LIBOR 8/25/2032
5/25/2005 - 8/25/2013
------------------------------------------------------------------------------------------------------------------------------------
Notes: (1) Certificates are priced to the 10% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
(3) Run at par
(4) Class A is wrapped by FSA.
ISSUER: CDC Mortgage Capital Trust Series 2002-HE 1
DEPOSITOR: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ ABS Capital I, Inc.
SELLER: CDC Mortgage Capital Inc.
ORIGINAL LOAN SELLERS: The CIT Group/Consumer Finance, IDC., The CIT
Group/Consumer Finance, Inc. (NY), The CIT
Group/Consumer Finance, Inc. (TN), BNC Mortgage, Inc.,
IMPAC Funding Corporation, NC Capital Corporation, and
Superior Federal Bank FSB
CLASS A INSURER: Financial Security Assurance Inc.
SERVICER: Ocwen Federal Bank FSB
TRUSTEE: Deutsche Bank National Trust Company (formerly Bankers
Trust Company of California, N.A.)
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 2
TRANSACTION HIGHLIGHTS (CONT'D)
MANAGERS: ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ (LEAD MANAGER); Bear Steams & Co. Inc
and ▇▇▇▇▇▇ Brothers (CO-MANAGERS)
RATING AGENCIES: Fitch Ratings, ▇▇▇▇▇'▇ Investors Service, Standard &
Poor's
OFFERED CERTIFICATES: Classes A, M, and B Certificates
EXPECTED PRICING DATE: April [ ], 2002
EXPECTED CLOSING DATE: April 30, 2002 through DTC, Euroclear and Clearstream,
Luxembourg. The Certificates will be settled 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 May
28, 2002.
CUT-OFF DATE: As of the opening of business on April 1, 2002, for
each Mortgage Loan in the mortgage pool on the Closing
Date. For each Mortgage Loan subsequently acquired by
the Trust with funds from the Pre-Funding Account (as
described below), the opening of business on the first
day of the month in which such loan was acquired.
DUE PERIOD FOR MORTGAGE For any Distribution Date, the period commencing on the
LOANS: first day of the month preceding the month in which
such Distribution Date occurs and ending on the last
day of the month preceding the month in which such
Distribution Date occurs.
INTEREST ACCRUAL PERIOD The interest accrual period for the Offered
FOR THE OFFERED Certificates with respect to any Distribution Date will
CERTIFICATES: be the period beginning with the immediately preceding
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 Mortgage Loans will consist of approximately $508
million of fixed and adjustable rate, sub-prime,
first-lien, and second-lien residential mortgage loans.
The information on the Mortgage Loans described herein
is based on the closing date pool of approximately $412
million. It is expected that up to approximately $96
million of Mortgage Loans may be purchased by the trust
for a period of 3 months after the closing date (the
"Pre-Funding Period") as described below.
PRE-FUNDING: On the Closing Date, approximately $96 million from the
sale of the Offered Certificates (the "Pre-Funded
Amount") will be deposited with the Trustee into a
separate account (the "Pre-Funding Account") and be
used by the Trust to purchase additional Mortgage Loans
during the Pre-Funding Period.
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 ADJUSTABLE RATE MORTGAGE LOANS: CPR of 25%.
--------------------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 3
TRANSACTION HIGHLIGHTS (CONT'D)
CREDIT ENHANCEMENT: The Offered Certificates are credit enhanced by:
1) Net monthly excess cashflow from the Mortgage Loans,
2) 1.50% overcollateralization (funded upfront including
the Pre-Funded Amount). After the Step-down Date, so
long as a Trigger Event is not in effect, the required
overcollateralization will equal 3.00% 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 total balance of the mortgage loans
as of the date of determination,
3) Subordination of distributions on the more subordinate
classes of certificates to the required distributions
on the more senior classes of certificates, and
4) Insurance policy issued by FSA for the Class A
Certificates only.
CREDIT ENHANCEMENT For any Distribution Date, the percentage obtained by
PERCENTAGE: dividing (x) the aggregate Certificate Principal Balance of
the subordinate certificates (including any over-
collateralization and taking into account the distributions
of the Principal Distribution Amount for such Distribution
Date) by (y) the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period.
STEP-DOWN DATE: The later to occur of
(x) The earlier of
(a) the Distribution Date occurring in May 2005; and
(b) the Distribution Date on which the aggregate
balance of the Class A Certificates is less than
$32,995,000; and
(y) the first Distribution Date on which the Credit
Enhancement Percentage (calculated for this purpose
only after taking into account scheduled and unsche-
duled payments of principal on the mortgage loans on
the last day of the related Due Period but prior to any
applications of Principal Distribution to the Offered
Certificates) is greater than or equal to 23.00%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 4
TRANSACTION HIGHLIGHTS (CONT'D)
TRIGGER EVENT: A Delinquency Trigger Event is in effect if the
quotient (expressed as a percentage) of (x) the three
month rolling daily average of 60+ day Delinquent Loans
as of the last day of the Due Period, over (y) the
aggregate principal balance of the Mortgage Loans
equals or exceeds 67% of the prior period's Credit
Enhancement Percentage.
A Loss Trigger Event is in effect if the aggregate
amount of realized losses incurred since the cut off
date through the last day of the related Due Period
divided by the initial principal balance of the
Mortgage Loans in the mortgage pool as of the Cut-Off
Date exceeds the applicable percentages described below
with respect to such Distribution Date:
DISTRIBUTION DATE
OCCURRING IN LOSS PERCENTAGE
May 2005 to April 2006 3.50% for the first
month, plus an additional
1/12th of 1.75% for each
month thereafter
May 2006 to April 2007 5.25% for the first
month, plus an additional
1/12th of 1.00% for each
month thereafter
May 2007 to April 2008 6.25% for the first
month, plus an additional
1/12 2th of 0.75% for
each month thereafter
May 2008 to April 2009 7.00%, for the first
month plus an additional
1/12th of 0.25% for each
month thereafter
May 2009 and Thereafter 7.25%
INITIAL SUBORDINATION Class A: 11.50%
PERCENTAGE: Class M: 6.50%
Class B: 1.50%
OPTIONAL CLEAN-UP CALL: When the current aggregate principal balance of the
Mortgage Loans is less than or equal to 10% of the
aggregate principal balance of the Mortgage Loans
(including the Mortgage Loans purchased during the
Pre-Funding period) as of the Cut-Off Dates.
STEP-UP COUPONS: For all Offered Certificates the coupon will increase
after the optional clean-up call date, should the call
not be exercised. The coupon for the Class A
Certificates will increase by 2 times its margin and
the coupons for the Class M and B Certificates will
each increase by 1.5 times their respective margins.
CLASS A PASS-THROUGH The Class A Certificates will accrue interest at a
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 WAC Cap and (iii) 16.0%.
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 5
TRANSACTION HIGHLIGHTS (CONTD)
CLASS M PASS-THROUGH The Class M Certificates will accrue interest at a
RATE: variable rate equal to the least of (i) one-month
Rate: LIBOR plus [ ] bps ([ ] bps after the first
distribution date on which the Optional Clean-up Call
is exercisable), (ii) the WAC Cap, and (iii) 16.0%.
CLASS B PASS-THROUGH The Class B Certificates will accrue interest at a
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 WAC Cap, and (iii) 16.0%.
WAC CAP: As to any Distribution Date a per annum rate equal to
the weighted average gross rate of the Mortgage Loans
in effect on the beginning of the related Due Period
less servicing, FSA (with respect to the Class A
Certificates only) and trustee fee rates.
CLASS A, M AND B BASIS As to any Distribution Date, any remaining available
RISK CARRY FORWARD funds after payments of interest and principal, as
AMOUNT: described below, and after payments in respect of
Unpaid Interest Shortfalls and realized loss amount
reimbursements, as described below, will be available
to pay a supplemental interest amount for the Class A,
M and B Certificates will (in that order) which equal
the sum of
(i) the excess, if any, of interest that would
otherwise be due on such Certificates at the
respective Pass-Through Rate (without regard to
the WAC Cap, but giving effect to the bard cap
of 16.0%) over interest due such Certificates at
a rate equal to the WAC Cap;
(ii) any respective Basis Risk Carry Forward Amount
remaining unpaid from prior Distribution Dates;
and
(iii) interest on the amount in clause (ii) at the
respective Pass-Through Rate (without regard to
the WAC Cap, but giving effect to the hard cap
of 16.0%).
INTEREST DISTRIBUTIONS On each Distribution Date and after payment of fees and
ON OFFERED reimbursements to the Servicer, FSA and Trustee,
CERTIFICATES: interest distributions from the Interest Remittance
Amount will be allocated as follows:
(i) to the Class A Certificates, its Accrued
Certificate Interest and any portion of Accrued
Certificate Interest from prior Distribution
Dates remaining unpaid and 30 days' interest on
such unpaid amount at the applicable
pass-through rate ("Unpaid Interest Shortfall");
(ii) to the Class M Certificates, its Accrued
Certificate Interest; and
(iii) to the Class B 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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 6
TRANSACTION HIGHLIGHTS (CONT'D)
PRINCIPAL DISTRIBUTIONS On each Distribution Date (a) prior to the Stepdown
ON OFFERED Date or (b) on which a Trigger Event is in effect,
CERTIFICATES: principal distributions from the Principal Distribution
Amount will be allocated as follows:
(i) to the Class A Certificates until the
Certificate Principal Balances thereof has been
reduced to zero;
(ii) to the Class M Certificates, until the
Certificate Principal Balance thereof has been
reduced to zero; and
(iii) to the Class B 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 until the
Certificate Principal Balance thereof has been
reduced to zero;
(ii) to the Class M Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class M Principal Distribution Amount, until the
Certificate Principal Balance thereof has been
reduced to zero; and
(iii) to the Class B Certificates, the lesser of the
remaining Principal Distribution Amount and the
Class B Principal Distribution Amount, until the
Certificate Principal Balance thereof has been
reduced to zero.
PRE-FUNDING ACCOUNT Any funds in the Pre-Funding Account not used to
FAILURE: purchase additional Mortgage Loans during the
Pre-Funding Period will be paid to the Class A, Class M
and Class B Certificates pro rata.
ALLOCATION OF NET For any Distribution Date, any Net Monthly Excess
MONTHLY EXCESS Cashflow shall be paid as follows:
CASHFLOW:
(i) to the Class M Certificates, their Unpaid
Interest Shortfall;
(ii) to the Class M Certificates, their realized loss
amount reimbursement;
(iii) to the Class B Certificates, their Unpaid
Interest Shortfall;
(iv) to the Class B Certificates, their realized loss
amount reimbursement; and
(v) SEQUENTIALLY, to Classes A, M and B
Certificates, in such order, any Basis Risk
Carry Forward Amount for such classes.
INTEREST REMITTANCE For any Distribution Date, the portion of available
AMOUNT: funds 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 that class's
share of net prepayment interest shortfalls and any
shortfalls resulting from the application of the
Soldiers' and Sailors' Civil Relief Act of 1940.
--------------------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 7
TRANSACTION HIGHLIGHTS (CONT'D)
PRINCIPAL DISTRIBUTION On any Distribution Date, the sum of (i) the Basic
AMOUNT: Principal Distribution Amount and (ii) the Extra
Principal Distribution Amount.
BASIC PRINCIPAL On any Distribution Date, the excess of (i) the
DISTRIBUTION AMOUNT: aggregate Principal Remittance Amount over (ii) the
Excess Subordinated Amount, if any.
PRINCIPAL REMITTANCE On any Distribution Date, the sum of (i) all scheduled
AMOUNT: payments of principal collected or advanced on the
Mortgage Loans during the prior Due Period, (ii) the
principal portion of all partial and full prepayments
received during the month prior to the month during
which such Distribution Date occurs, (iii) the
principal portion of all net liquidation proceeds and
net insurance proceeds received during the month prior
to the month during which such Distribution Date
occurs, (iv) the principal portion of repurchased
Mortgage Loans with respect to such Distribution Date,
(v) the principal portion of substitution adjustments
received in connection with the substitution of a
Mortgage Loan with respect to such Distribution Date,
and (vi) the principal portion of the termination price
if the Optional Clean Up Call is exercised.
NET MONTHLY EXCESS For any Distribution Date is the amount of funds
CASHFLOW: available for distribution on such Distribution Date
remaining after making all payments of interest and
principal to the certificates.
EXTRA PRINCIPAL For any Distribution Date, the lesser of (i) the excess
DISTRIBUTION AMOUNT: of (x) interest collected or advanced on the Mortgage
Loans during the related Due Period (less fees and
reimbursements owed to the Servicer, the Trustee and
FSA), over (y) the sum of interest distribution on the
Certificates on such Distribution Date and (ii) the
amount by which the overcollateralization is deficient
for such Distribution Date.
EXCESS SUBORDINATED For any Distribution Date, means the excess, if any of
AMOUNT: (i) the overcollateralization and (ii) the required
overcollateralization for such Distribution Date.
CLASS A PRINCIPAL For any Distribution Date, an amount equal to the
DISTRIBUTION AMOUNT: excess of (x) the aggregate Certificate Principal
Balance of the Class A Certificates immediately prior
to such Distribution Date over (y) the lesser of (A)
the product of (i) approximately 77.00% and (ii) the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B) the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period minus
$2,538,071.
CLASS M PRINCIPAL For any Distribution Date, an amount equal to the
DISTRIBUTION AMOUNT: excess of (x) the sum of (i) the aggregate Certificate
Principal Balance of the Class A Certificates (after
taking into account the payment of the Class A
Principal Distribution Amount on such Distribution
Date), (ii) the Certificate Principal Balance of the
Class M Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 87.00% and (ii) the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period and (B) the
aggregate principal balance of the Mortgage Loans as of
the last day of the related Due Period minus
$2,538,071.
--------------------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 8
TRANSACTION HIGHLIGHTS (CONT'D)
CLASS B PRINCIPAL For any Distribution Date, an amount equal to the excess of
DISTRIBUTION AMOUNT: (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class A Certificates (after taking into
account the payment of the Class A Principal Distribution
Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M Certificates (after taking
into account the payment of the Class M Principal
Distribution Amount on such Distribution Date), and (iii)
the Certificate Principal Balance of the Class B
Certificates immediately prior to such Distribution Date
over (y) the lesser of (A) the product of (i) approximately
97.00% and (ii) the aggregate principal balance of the
Mortgage Loans as of the last day of the related Due Period
and (B) the aggregate principal balance of the Mortgage
Loans as of the last day of the related Due Period minus
$2,538,071 PROVIDED, HOWEVER that with respect to any
Distribution Date on which the Class Certificate Balance of
the Class A, Class M Certificates have been reduced to
zero, the Class B Principal Distribution Amount is the
lesser of (x) the Class Certificate Balance of the Class B
Certificates and (y) the Principal Distribution Amount.
TRUST TAX STATUS: REMIC.
ERISA ELIGIBILITY: Subject the considerations in the Prospectus, the Offered
Certificates are ERISA eligible.
SMMEA ELIGIBILITY: It is anticipated that none of the Certificates will be
SMMEA eligible.
PROSPECTUS: The Class A, Class M and Class B 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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 9
TO MATURITY
PERCENTAGE OF CLASS A CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------------ ------ ------- -------- -------- --------
Initial 100% 100% 100% 100% 100%
April 2003 99 81 75 69 63
April 2004 98 63 53 44 35
April 2005 97 49 37 26 17
April 2006 96 38 29 21 15
April 2007 94 31 21 14 9
April 2008 93 25 16 10 6
April 2009 91 20 12 7 4
April 2010 89 16 9 5 2
April 2011 87 13 7 3 1
April 2012 85 10 5 2 1
April 2013 82 8 4 1 0
April 2014 80 7 3 1 0
April 2015 77 5 2 0 0
April 2016 74 4 1 0 0
April 2017 67 3 1 0 0
April 2018 64 2 0 0 0
April 2019 61 2 0 0 0
April 2020 57 1 0 0 0
April 2021 53 1 0 0 0
April 2022 49 1 0 0 0
April 2023 45 0 0 0 0
April 2024 41 0 0 0 0
April 2025 37 0 0 0 0
April 2026 33 0 0 0 0
April 2027 29 0 0 0 0
April 2028 24 0 0 0 0
April 2029 is 0 0 0 0
April 2030 12 0 0 0 0
April 2031 6 0 0 0 0
April 2032 0 0 0 0 0
April 2033 0 0 0 0 0
Average Life to Maturity
(years) 18.89 4.34 3.26 2.55 2.04
Average Life to Call
(years)(1) 18.84 4.01 3.00 2.34 1.87
(1) Calculation includes 10% optional clean-up call
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 10
TO MATURITY
PERCENTAGE OF CLASS M CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------------ ------ ------- -------- -------- --------
Initial 100% 100% 100% 100% 100%
April 2003 100 100 100 100 100
April 2004 100 100 100 100 100
April 2005 100 100 100 100 100
April 2006 100 88 66 48 34
April 2007 100 71 49 33 21
April 2008 100 58 37 23 13
April 2009 100 46 27 16 8
April 2010 100 37 20 11 2
April 2011 100 30 15 7 0
April 2012 100 24 11 1 0
April 2013 100 19 8 0 0
April 2014 100 15 4 0 0
April 2015 100 12 0 0 0
April 2016 100 9 0 0 0
April 2017 100 6 0 0 0
April 2018 100 3 0 0 0
April 2019 100 0 0 0 0
April 2020 100 0 0 0 0
April 2021 100 0 0 0 0
April 2022 100 0 0 0 0
April 2023 100 0 0 0 0
April 2024 95 0 0 0 0
April 2025 86 0 0 0 0
April 2026 76 0 0 0 0
April 2027 66 0 0 0 0
April 2028 54 0 0 0 0
April 2029 41 0 0 0 0
April 2030 28 0 0 0 0
April 2031 13 0 0 0 0
April 2032 0 0 0 0 0
April 2033 0 0 0 0 0
Average Life to Maturity
(years) 26.10 7.73 5.85 4.82 4.30
Average Life to Call
(years)(1) 25.99 7.14 5.37 4.44 3.99
(1) Calculation includes 10% optional clean-up call
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 11
TO MATURITY
PERCENTAGE OF CLASS B CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES PPC 0% PPC 75% PPC 100% PPC 125% PPC 150%
------------------------ ------ ------- -------- -------- --------
Initial 100% 100% 100% 100% 100%
April 2003 100 100 100 100 100
April 2004 100 100 100 100 100
April 2005 100 100 100 100 100
April 2006 100 88 66 48 34
April 2007 100 71 49 33 18
April 2008 100 58 37 19 7
April 2009 100 46 26 10 1
April 2010 100 37 17 4 0
April 2011 100 29 10 0 0
April 2012 100 21 5 0 0
April 2013 100 15 1 0 0
April 2014 100 10 0 0 0
April 2015 100 6 0 0 0
April 2016 100 2 0 0 0
April 2017 100 0 0 0 0
April 2018 100 0 0 0 0
April 2019 100 0 0 0 0
April 2020 100 0 0 0 0
April 2021 100 0 0 0 0
April 2022 100 0 0 0 0
April 2023 100 0 0 0 0
April 2024 95 0 0 0 0
April 2025 86 0 0 0 0
April 2026 76 0 0 0 0
April 2027 66 0 0 0 0
April 2028 54 0 0 0 0
April 2029 41 0 0 0 0
April 2030 26 0 0 0 0
April 2031 7 0 0 0 0
April 2032 0 0 0 0 0
April 2033 0 0 0 0 0
Average Life to Maturity
(years) 26.03 7.37 5.54 4.53 3.95
Average Life to Call
(years) 25.97 7.09 5.32 4.35 3.81
(1) Calculation includes 10% optional clean-up call
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 12
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
DATE CLASS A CAP (%) CLASS M CAP (%) CLASS B CAP (%)
---------- --------------- --------------- ---------------
ACTUAL/360 ACTUAL/360 ACTUAL/360
4/25/2002 -- -- --
5/25/2002 8.76 8.61 8.61
6/25/2002 7.96 7.83 7.83
7/25/2002 8.56 8.41 8.41
8/25/2002 8.28 8.14 8.14
9/25/2002 8.29 8.14 8.14
10/25/2002 8.57 8.41 8.41
11/25/2002 8.29 8.14 8.14
12/25/2002 8.58 8.42 8.42
1/25/2003 8.31 8.14 8.14
2/25/2003 9.31 8.14 8.14
3/25/2003 9.22 9.03 9.03
4/25/2003 8.32 8.15 8.15
5/25/2003 8.61 8.42 8.42
6/25/2003 8.34 8.15 8.15
7/25/2003 8.62 8.42 8.42
8/25/2003 8.35 8.15 8.15
9/25/2003 8.35 8.15 8.15
10/25/2003 8.77 8.55 8.55
11/25/2003 8.49 8.27 8.27
12/25/2003 8.79 8.55 8.55
1/25/2004 8.51 8.27 8.27
2/25/2004 8.52 8.27 8.27
3/25/2004 9.82 9.54 9.54
4/25/2004 9.23 8.96 8.96
5/25/2004 9.55 9.26 9.26
6/25/2004 9.45 9.15 9.15
7/25/2004 9.84 9.52 9.52
8/25/2004 9.53 9.21 9.21
9/25/2004 9.90 9.55 9.55
10/25/2004 10.28 9.91 9.91
11/25/2004 9.96 9.59 9.59
12/25/2004 10.40 10.01 10.01
1/25/2005 10.11 9.71 9.71
1. Cash available to pay current and prior interest divided by the current
bond balance
2. Run assuming base prepayment speed, no losses and a 1 month, 6 month LIBOR
and 1 Y CMT 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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 13
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
(CONT'D.)
DATE CLASS A CAP (%) CLASS M CAP (%) CLASS B CAP (%)
---------- --------------- --------------- ---------------
ACTUAL/360 ACTUAL/360 ACTUAL/360
2/25/2005 10.36 9.94 9.94
3/25/2005 11.88 11.39 11.39
4/25/2005 10.78 10.32 10.32
5/25/2005 18.98 10.67 10.67
6/25/2005 11.95 10.45 10.45
7/25/2005 12.37 10.84 10.84
8/25/2005 12.07 10.59 10.59
9/25/2005 12.42 10.93 10.93
10/25/2005 12.83 11.29 11.29
11/25/2005 12.41 10.92 10.92
12/25/2005 12.95 11.40 11.40
1/25/2006 12.56 11.07 11.07
2/25/2006 12.66 11.16 11.16
3/25/2006 14.38 12.71 12.71
4/25/2006 12.98 11.47 11.47
5/25/2006 13.42 11.85 11.85
6/25/2006 13.09 11.58 11.58
7/25/2006 13.57 12.00 12.00
8/25/2006 13.23 11.71 11.71
9/25/2006 13.23 11.71 11.71
10/25/2006 13.67 12.10 12.10
11/25/2006 13.23 11.70 11.70
12/25/2006 13.72 12.15 12.15
1/25/2007 13.30 11.77 11.77
2/25/2007 13.40 11.87 11.87
3/25/2007 14.84 13.15 13.15
4/25/2007 13.39 11.87 11.87
5/25/2007 13.84 12.26 12.26
6/25/2007 13.42 11.89 11.89
7/25/2007 13.87 12.29 12.29
8/25/2007 13.43 11.90 11.90
9/25/2007 13.43 11.90 11.90
10/25/2007 13.88 12.29 12.29
11/25/2007 13.43 11.89 11.89
1. Cash available to pay current and prior interest divided by the current
bond balance
2. Run assuming base prepayment speed, no losses and a 1 month, 6 month LIBOR
and 1 Year CMT 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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 14
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP)(1)(2)
(CONT'D.)
DATE CLASS A CAP (%) CLASS M CAP (%) CLASS B CAP (%)
---------- --------------- --------------- ---------------
ACTUAL/360 ACTUAL/360 ACTUAL/360
12/25/2007 13.90 12.31 12.31
1/25/2008 13.45 11.92 11.92
2/25/2008 13.45 11.92 11.92
3/25/2008 14.38 12.74 12.74
4/25/2008 13.45 11.91 11.91
5/25/2008 13.90 12.31 12.31
6/25/2008 13.45 11.91 11.91
7/25/2008 13.90 12.31 12.31
8/25/2008 13.45 11.91 11.91
9/25/2008 13.09 11.91 11.91
10/25/2008 12.79 12.31 12.31
11/25/2008 12.38 11.91 11.91
12/25/2008 12.81 12.30 12.30
1/25/2009 12.41 11.90 11.90
2/25/2009 12.42 11.90 11.90
3/25/2009 13.77 13.18 13.18
4/25/2009 12.44 11.90 11.90
5/25/2009 12.87 12.30 12.30
6/25/2009 12.46 11.90 11.90
7/25/2009 12.90 12.30 12.30
8/25/2009 12.49 11.90 11.90
9/25/2009 12.50 11.89 11.89
10/25/2009 12.94 12.29 12.29
11/25/2009 12.53 11.89 11.89
12/25/2009 12.97 12.29 12.29
1/25/2010 12.56 11.89 11.89
2/25/2010 12.58 11.89 11.89
3/25/2010 13.95 13.17 13.17
4/25/2010 12.61 11.89 11.89
5/25/2010 13.05 12.29 12.29
6/25/2010 12.64 11.89 11.89
7/25/2010 13.08 12.28 12.28
8/25/2010 12.68 11.88 11.88
9/25/2010 12.70 11.88 11.88
1. Cash available to pay current and prior interest divided by the current
bond balance
2. Run assuming base prepayment speed, no losses and a 1 month, 6 month LIBOR
and 1 Year CMT 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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 15
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP)(1)(2)
(CONT'D.)
DATE CLASS A CAP (%) CLASS M CAP (%) CLASS B CAP (%)
---------- --------------- --------------- ---------------
ACTUAL/360 ACTUAL/360 ACTUAL/360
10/25/2010 13.14 12.28 12.28
11/25/2010 12.73 11.88 11.88
12/25/2010 13.18 12.28 12.28
1/25/2011 12.78 11.88 11.88
2/25/2011 12.80 11.88 11.88
3125/2011 14.20 13.16 13.16
4/25/2011 12.84 11.98 11.88
5/25/2011 13.30 12.28 12.28
6/25/2011 12.89 11.88 11.88
7/25/2011 13.35 12.27 12.27
8/25/2011 12.94 11.88 11.88
9/25/2011 12.96 11.88 11.88
10/25/2011 13.42 12.27 12.27
11/25/2011 13.02 11.87 11.87
12/25/2011 13.48 12.27 12.27
1/25/2012 13.07 11.87 11.87
2/25/2012 13.10 11.87 11.87
3/25/2012 14.04 12.70 12.70
4/25/2012 13.16 11.87 11.87
5/25/2012 13.64 12.27 12.27
6/25/2012 13.23 11.87 11.87
7/25/2012 13.71 12.27 12.27
8/25/2012 13.29 11.87 11.87
9/25/2012 13.33 11.87 11.87
10/25/2012 13.81 12,27 12.27
11/25/2012 13.40 11.87 11.87
12/25/2012 13.89 12.27 12.27
1/25/2013 13.48 11.87 11.87
2/25/2013 13.52 11.87 11.87
3/25/2013 15.02 13.15 13.15
4/25/2013 13.60 11.87 11.87
5/25/2013 14.11 12.27 12.27
6/25/2013 13.69 11.87 11.87
7/25/2013 14.20 12.27 12.27
1. Cash available to pay current and prior interest divided by the current
bond balance
2. Run assuming base prepayment speed, no losses and a 1 month, 6 month LIBOR
and 1 Year CMT 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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 16
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
(CONT'D.)
DATE CLASS A CAP (%) CLASS M CAP (%) CLASS B CAP (%)
---------- --------------- --------------- ---------------
ACTUAL/360 ACTUAL/360 ACTUAL/360
8/25/2013 13.78 11.87 11.87
9/25/2013 13.83 11.87 11.87
10/25/2013 14.35 12.27 --
11/25/2013 13.93 11.87 --
12/25/2013 14.46 12.27 --
1/25/2014 14.04 11.87 --
2/25/2014 14.09 11.87 --
3/25/2014 15.68 13.15 --
4/25/2014 14.21 11.87 --
5/25/2014 14.75 12.27 --
6/25/2014 14.33 11.87 --
7/25/2014 14.88 12.27 --
8/25/2014 14.46 11.87 --
9/25/2014 14.52 11.88 --
10/25/2014 15.08 12.27 --
11/25/2014 14.66 11.88 --
12/25/2014 15.23 12.29 --
1/25/2015 14.81 11.88 --
2/25/2015 14.88 11.88 --
3/25/2015 16.58 13.16 --
4/25/2015 15.04 11.88 --
5/25/2015 15.63 12.28 --
6/25/2015 15.21 11.88 --
7/25/2015 15.81 12,28 --
8/25/2015 15.38 11.89 --
9/25/2015 15.49 -- --
10/25/2015 16.14 -- --
11/25/2015 15.74 -- --
12/25/2015 16.41 -- --
1/25/2016 16.02 -- --
2/25/2016 16.17 -- --
3/25/2016 17.45 -- --
4/25/2016 16.48 -- --
5/25/2016 17.21 -- --
1. Cash available to pay current and prior interest divided by the current
bond balance
2. Run assuming base prepayment speed, no losses and a 1 month, 6 month LIBOR
and 1 Year CMT 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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 17
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP) (1)(2)
(CONT'D)
DATE CLASS A CAP (%) CLASS M CAP (%) CLASS B CAP (%)
---------- --------------- --------------- ---------------
ACTUAL/360 ACTUAL/360 ACTUAL/360
6/25/2016 16.83 -- --
7/25/2016 17.59 -- --
8/25/2016 17.21 -- --
9/25/2016 18.00 -- --
10/25/2016 18.85 -- --
11/25/2016 18.48 -- --
12/25/2016 19.36 -- --
1/25/2017 19.01 -- --
2/25/2017 19.30 -- --
3/25/2017 21.71 -- --
4/25/2017 19.92 -- --
5/25/2017 20.94 -- --
6/25/2017 20.69 -- --
7/25/2017 21.80 -- --
8/25/2017 21.51 -- --
9/25/2017 21.96 -- --
10/25/2017 23.19 -- --
11/25/2017 22.95
12/25/2017 24.29 -- --
1/25/2018 24.10 -- --
2/25/2018 24.74 -- --
3/25/2018 28.17 -- --
4/25/2018 26.20 -- --
5/25/2018 27.93 -- --
6/25/2018 27.93 -- --
7/25/2018 29.89 -- --
8/25/2018 30.03 -- --
9/25/2018 31.25 -- --
10/25/2018 33.70 -- --
11/25/2018 34.14 -- --
12/25/2018 37.06 -- --
1/25/2019 37.83 -- --
2/25/2019 40.09 -- --
3/25/2019 47.30 -- --
1. Cash available to pay current and prior interest divided by the current
bond balance
2. Run assuming base prepayment speed, no losses and a 1 month, 6 month LIBOR
and 1 Year CMT 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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 18
SCHEDULE OF AVAILABLE FUNDS AND
SUPPLEMENTAL INTEREST RATE CAP RATES (CASH CAP)(1)(2)
(CONT'D.)
DATE CLASS A CAP (%) CLASS M CAP (%) CLASS B CAP (%)
---------- --------------- --------------- ---------------
ACTUAL/360 ACTUAL/360 ACTUAL/360
4/25/2019 45.79 -- --
5/25/2019 51.10 -- --
6/25/2019 53.88 -- --
7/25/2019 61.32 -- --
8/25/2019 66.24 -- --
9/25/2019 75.23 -- --
10/25/2019 90.35 -- --
11/25/2019 104.92 -- --
12/25/2019 136.49 -- --
1/25/2020 179.98 -- --
2/25/2020 286.98 -- --
3/25/2020 1,534.78 -- --
1. Cash available to pay current and prior interest divided by the current
bond balance
2. Run assuming base prepayment speed, no losses and a 1 month, 6 month LIBOR
and 1 Year CMT 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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇
--------------------------------------------------------------------------------
Page 19
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
================================================================================
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Mortgage Balance Principal Rate Term LTV
Product Types Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
Fixed - 5 Year 1 44,679 0.01 10.250 51 78.14
Fixed - 10 Year 40 1,514,873 037 9.010 115 70.08
Fixed - 15 Year 345 18,622,387 4.52 9.153 175 73.34
Fixed - 20 Year 242 14,365,934 3.49 9.868 234 78.62
Fixed - 25 Year 17 1,341,779 0.33 10.097 292 72.61
Fixed - 30 Year 1,114 115,502,932 28.02 8.760 357 78.62
Balloon - 15/30 290 18,863,430 4.58 10.418 174 79.35
ARM - 1 Year/6 Month 2 145,214 0.04 8.259 357 91.55
ARM - 2 Year/6 Month 1,319 185,542,595 45.01 9.049 357 80.23
ARM - 3 Year/6 Month 391 54,745,380 13.28 8.703 357 79.65
ARM - 3 Year/1 Year 12 1,422,028 0.34 7.428 303 82.39
ARM - 5 Year/1 Year 1 108,514 0.03 8.375 267 74.92
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Mortgage Balance Principal Rate Term LTV
Originator Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
BNC 705 119,689,676 29.04 8.959 356 79.86
CIT 1,140 111,702,676 27.10 8.374 338 78.48
Impac 413 53,653,738 13.02 8.861 337 79.23
New Century 341 48,630,370 11.80 8.815 356 81.11
Superior 1,175 78,543,284 19.05 10.244 283 78.22
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
================================================================================
Page 1 of 14
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
================================================================================
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Range of Gross Mortgage Balance Principal Rate Term LTV
Interest Rates % Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
6.000 - 6.999 63 10,658,729 2.59 6.734 327 69.12
7.000 - 7.999 683 101,182,542 24.55 7.669 342 78.77
8.000 - 8.999 1,031 130,605,914 31.68 8.556 344 80.24
9.000 - 9.999 832 90,556,535 21.97 9.514 336 80.25
10.000 - 10.999 508 41,147,530 9.98 10.469 324 80.48
11.000 - 11.999 326 20,299,551 4.92 11.428 306 76.00
12.000 - 12.999 217 12,067,835 2.93 12.407 291 76.01
13.000 - 13.999 102 5,191,996 126 13.431 260 76.71
14.000 - 14.999 12 509,112 0.12 14.371 198 79.42
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
Minimum: 6.000
Minimum: 14.750
Weighted Average: 9.015
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
================================================================================
Page 2 of 14
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
================================================================================
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Range of Number Date Cut-off Gross Average Original
Cut-off Date Of Principal Date Interest Remaining Combined
Principal Mortgage Balance Principal Rate Term LTV
Balances ($) Loans ($) Balance (%) (Months) (%)
-------------------------------------------------------------------------------
0.01 - 25,000.00 210 4,119,689 1.00 11.114 220 71.23
25,000.01 - 50,000.00 698 26,818,238 6.51 10.319 270 74.26
50,000.01 - 75,000.00 808 50,245,092 12.19 9.513 314 77.67
75,000.01 - 100,000.00 514 44,430,306 10.78 9.287 331 78.06
100,000.01 - 125,000.00 389 43,589,613 10.57 9.039 340 79.54
125,000.01 - 150,000.00 289 39,829,072 9.66 8.990 344 80.52
150,000.01 - 175,000.00 234 38,008,412 9.22 8.799 344 80.85
175,000.01 - 200,000.00 186 34,861,240 8.46 8.776 350 79.93
200,000.01 - 225,000.00 100 21,256,250 5.16 8.550 348 83.18
225,000.01 - 250,000.00 85 20,264,816 4.92 8.646 349 81.41
250,000.01 - 275,000.00 55 14,429,690 3-50 8.517 345 80.80
275,000.01 - 300,000.00 60 17,303,988 4.20 8.614 346 81.51
300,000.01 - 325,000.00 36 11,222,023 2.72 8.470 357 82.04
325,000.01 - 350,000.00 27 9,120,196 2.21 8.492 358 79.97
350,000.01 - 375,000.00 20 7,250,037 1.76 8.314 358 78.41
375,000.01 - 400,000.00 14 5,423,176 1.32 8.316 357 75.99
400,000.01 - 425,000.00 12 4,965,332 1.20 8.332 343 76.34
425,000.01 - 450,000.00 9 3,988,476 0.97 8.519 357 82.43
450,000.01 - 475,000.00 3 1,388,779 0.34 8.904 358 83.27
475,000.01 - 500,000.00 13 6,390,836 1.55 8.773 358 76.63
500,000.01 - 525,000.00 1 520,847 0.13 9.000 356 90.00
525,000.01 - 550,000.00 2 1,073,916 0.26 7.673 265 74.36
550,000.01 - 575,000.00 2 1,144,657 0.28 8.500 359 77.31
575,000.01 - 600,000.00 1 579,961 0.14 7.550 357 77.50
600,000.01 >= 6 3,995,104 0.97 8.295 326 69.33
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
Minimum: 9,160
Maximium: 713,255
Average: 109,226
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
================================================================================
Page 3 of 14
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
================================================================================
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Original Terms Mortgage Balance Principal Rate Term LTV
(Months) Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
60 1 44,679 0.01 10.250 51 78.14
120 40 1,514,873 037 9.010 115 70.08
144 1 75,921 0.02 8.000 141 87.00
180 636 37,499,196 9.10 9.795 175 76.36
240 246 14,696,813 3.57 9.840 234 78.64
300 21 1,490,045 0.36 10.111 291 73.44
360 2,829 356,898,217 86.58 8.895 357 79.63
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
Minimum: 60
Maximum: 360
Weighted Average: 338
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
================================================================================
Page 4 of 14
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
================================================================================
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
Range of Of Principal Date Interest Remaining Combined
Remaining Terms Mortgage Balance Principal Rate Term LTV
(Months) Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
49-60 1 44,679 0.01 10.250 51 78.14
97-108 2 30,959 0.01 11.243 106 51.09
109-120 38 1,483,914 0.36 8.963 115 70.47
133-144 1 75,921 0.02 8.000 141 87.00
157-168 9 386,448 0.09 12.135 168 79.23
169-180 627 37,112,748 9.00 9.771 175 76.33
217-228 5 303,611 0.07 10.997 227 81.05
229-240 241 14,393,202 3.49 9.815 234 78.59
265-276 1 108,514 0.03 8.375 267 74.92
277-288 8 893,169 0.22 8.281 283 69.82
289-300 17 1,144,317 0.28 10.288 294 80.02
301-312 3 451,757 0.11 7.837 311 86.44
313-324 3 269,029 0.07 7.029 314 83.93
325-336 1 96,743 0.02 6.500 327 61.73
337-348 12 1,024,668 025 10.451 346 80.63
349-360 2,805 354,400,066 85.97 8.896 357 79.62
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
Minimum: 51
Maximum: 360
Weighted Average: 335
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
================================================================================
Page 5 of 14
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
================================================================================
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
Range of Original Of Principal Date Interest Remaining Combined
Combined LTV Mortgage Balance Principal Rate Term LTV
Ratios (%) Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
<= 30.00 36 1,303,455 0.32 9.596 286 23.24
30.01 - 40.00 48 3,954,312 0.96 8.996 320 35.83
40.01 - 50.00 79 5,607,663 1.36 9.149 318 45.49
50.01 - 60.00 159 12,235,437 2.97 9.038 306 55.70
60.01 - 70.00 398 40,714,972 9.88 8.953 334 66.63
70.01 - 80.00 1,487 165,442,602 40.13 8.965 335 77.90
80.01 - 90.00 1,461 168,642,049 40.91 9.072 337 86.55
90.01 - 100.00 106 14,319,254 3.47 8.980 350 94.95
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
Minimum: 12.00
Maximum: 100.00
Weighted Average: 79.24
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Range of Gross Mortgage Balance Principal Rate Term LTV
Margins (%) Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
Fixed Rate Loans 2,049 170,256,014 41.30 9.094 303 78.00
<=5.000 99 15,682,751 3.80 8.016 351 78.90
5.001 - 5-500 88 13,329,225 3.23 8.660 357 81.31
5.501 - 6.000 238 37,776,556 9.16 8.669 357 82.98
6.001 - 6.500 377 58,892,867 14.29 8.568 357 81.00
6.501 - 7.000 448 61,566,219 14.94 8.913 357 79.76
7.001 - 7.500 265 33,749,423 8.19 9.617 357 78.63
7.501 - 8.000 98 10,677,151 2.59 9.527 356 76.68
8.001 - 8-500 54 5,204,509 1.26 10.879 355 75.23
8-501 - 9.000 35 2,872,420 0.70 11.947 354 73.67
>9.000 23 2,212,609 0.54 13.020 352 77.93
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
Non Fixed Rate Minimum: 2.950
Maximum: 10.250
Non Fixed Rate Weighted Average: 6.502
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
================================================================================
Page 6 of 14
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
================================================================================
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
Range of Of Principal Date Interest Remaining Combined
Minimum Mortgage Mortgage Balance Principal Rate Term LTV
Rates (%) Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
Fixed Rate Loans 2,049 170,256,014 41.30 9.094 303 78.00
5.001 - 5-500 10 1,556,974 0.38 7.537 356 83.91
5-501 - 6.000 21 2,603,819 0.63 7.621 356 78.03
6.001 - 6.500 74 10,133,302 2.46 7.642 355 82.14
6-501 - 7.000 153 19,594,591 4.75 7.867 355 77.50
7.001 - 7.500 113 18,168,378 4.41 7.786 357 77.44
7.501 - 8.000 184 31,314,229 7.60 7.978 357 78.72
8.001 - 8-500 187 30,929,326 7.50 8.436 357 82.25
8.501 - 9.000 250 40,609,264 9.85 8.910 357 82.03
9.001 - 9.500 192 25,780,443 6.25 9.421 357 82.26
9-501 - 10.000 211 29,072,650 7.05 9.898 357 79.37
10.001 -10-500 102 11,962,812 2.90 10.461 356 80.45
10.501 - 11.000 101 9,838,737 2.39 11.073 356 79.22
11.001 - 11.500 57 5,184,816 1,26 11.728 356 75.15
11-501 - 12.000 33 2,565,700 0.62 12.092 356 75.96
12.001 - 12.500 23 1,674,009 0.41 12.622 356 74.25
12301 - 13.000 10 730,048 0.18 13.483 351 78.25
13.001 - 13.500 1 147,453 0.04 13.200 359 65.00
13.501 - 14.000 2 71,692 0.02 13.710 358 69.98
14.001 - 14.500 1 25,491 0.01 14.100 358 75.00
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
Non Fixed Rate Minimum: 5.150
Maximum: 14.100
Non Fixed Rate Weighted Average: 8.648
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
================================================================================
Page 7 of 14
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
================================================================================
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
Range of Of Principal Date Interest Remaining Combined
Maximum Loan Mortgage Balance Principal Rate Term LTV
Rates (%) Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
Fixed Rate Loans 2,049 170,256,014 41.30 9.094 303 78.00
<=13.000 37 4,668,254 1.13 7.400 346 79.46
13.001 - 13.500 72 10,896,704 2.64 7.444 356 79.90
13.501 - 14.000 124 17,794,619 4.32 7.683 356 78.78
14.001 - 14.500 150 23,074,929 5.60 7.980 356 77.86
14-501 - 15.000 219 36,686,383 8.90 8.191 357 78.98
15.001 - 15.500 224 33,246,943 8.07 8.638 357 83.08
15.501 - 16.000 264 40,319,666 9.78 9.095 357 82.00
16.001 - 16.500 161 22,247,982 5.40 9.492 357 81.49
16.501 - 17.000 166 22,792,933 5.53 9.939 357 79.20
17.001 - 17-500 92 10,909,959 2.65 10.547 356 79.35
17-501 -18.000 102 9,845,526 2.39 11.065 356 79.00
18.001 - 18.500 53 4,557,514 1.11 11.820 356 74.72
18.501 - 19.000 27 2,266,362 0.55 12.138 356 77.09
19.001 - 19.500 19 1,550,373 0.38 12.645 356 75.07
19.501 - 20.000 10 730,048 0.18 13.483 351 78.25
20.001 - 20.500 1 147,453 0.04 13.200 359 65.00
20-501 - 21.000 2 71,692 0.02 13.710 358 69.98
21.001 - 21.500 1 25,491 0.01 14.100 358 75.00
25-501 - 26.000 1 130,900 0.03 9.875 359 85.00
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
Non Fixed Rate Minimum: 9.430
Maximum: 25.750
Non Fixed Rate Weighted Average: 15.543
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
================================================================================
Page 8 of 14
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
================================================================================
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Initial Periodic Mortgage Balance Principal Rate Term LTV
Cap (%) Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
Fixed Rate Loam 2,049 170,256,014 41.30 9.094 303 78.00
1.000 32 3,937,060 0.96 8.474 353 80.26
1.500 275 39,808,108 9.66 8.856 358 81.32
2.000 607 104,505,425 25.35 8.944 357 80.27
3.000 811 93,713,137 22.73 9.043 356 79.42
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
Minimum: 1.000
Maximum: 3.000
Weighted Average: 2.289
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
Subsequent of Principal Date Interest Remaining Combined
Periodic Mortgage Balance Principal Rate Term LTV
Cap (%) Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
Fixed Rate Loans 2,049 170,256,014 41.30 9.094 303 78.00
1.000 1,417 197,674,643 47.95 8.983 357 79.90
1-500 275 39,808,108 9.66 8.856 358 81.32
2.000 13 1,530,541 0.37 7.495 300 81.86
3.000 20 2,950,437 0.72 9.581 359 76.92
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
Minimum: 1.000
Maximum: 3.000
Weighted Average: 1.113
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their ▇▇▇▇▇▇ ▇▇▇▇▇▇▇,
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International or ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
================================================================================
Page 9 of 14
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇
================================================================================
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Next Rate Mortgage Balance Principal Rate Term LTV
Adjustment Dates Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
Fixed Rate 2,049 170,256,014 41.30 9.094 303 78.00
May 2002 1 63,063 0.02 7.500 313 64.10
June 2002 1 110,528 0.03 7.000 314 90.00
July 2002 5 584,583 0.14 7.314 291 78.32
December 2002 3 291,357 0.07 7.690 320 85.01
January 2003 1 64,410 0.02 8.750 345 77.84
February 2003 1 117,409 0.03 8.250 286 84.56
March 2003 3 371,791 0.09 7.741 317 89.81
April 2003 5 431,571 0.10 10.618 337 77.10
May 2003 3 152,937 0.04 9.192 336 81.10
Am 2003 2 120,748 0.03 9.478 350 65.82
July 2003 10 851,860 0.21 11.411 348 71.30
August 2003 33 3,175,476 0.77 11.356 351 81.07
September 2003 61 5,645,796 1.37 10.488 353 77.37
October 2003 107 11,802,749 2.86 9.761 354 80.72
November 2003 9 1,163212 0.28 8.863 355 78.59
December 2003 214 25,833,972 6.27 8.409 356 79.00
January 2004 209 31,801,536 7.71 8.934 357 81.09
February 2004 538 83,795,153 20.33 9.005 358 80.22
Match 2004 129 21,034,010 5.10 8.942 359 81.43
April 2004 2 92,590 0.02 11.547 275 85.32
May 2004 1 55,957 0.01 9.875 349 90.00
June 2004 6 296,627 0.07 11.149 337 82.26
July 2004 3 129,010 0.03 11.482 351 86.75
August 2004 10 946,692 0.23 9.835 352 80.25
September 2004 19 1,816,478 0.44 10.070 353 76.14
October 2004 31 2,858,416 0.69 9.279 354 79.67
November 2004 6 912,310 0.22 8.910 355 80.45
December 2004 129 16,558,536 4.02 8.068 357 79.20
January 2005 43 7,731,225 1.88 8.743 357 80.50
February 2005 95 15,327,786 3.72 8.774 358 79.75
March 2005 45 7,825,943 1.90 8.925 359 79.74
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co. Incorporated ("▇▇▇▇▇▇ ▇▇▇▇▇▇▇") considers reliable. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ and the Seller make 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 herein 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.
▇▇▇▇▇▇ ▇▇▇▇▇▇▇ and the Seller disclaim 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 herein. Additional information is available upon request. ▇▇▇▇▇▇
▇▇▇▇▇▇▇ 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. ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ 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 ▇▇▇▇▇▇ ▇▇▇▇▇▇▇, approved by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ International Limited, a
member of The Securities and Futures Authority, and by ▇▇▇▇▇▇ ▇▇▇▇▇▇▇ Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
================================================================================
Page 10 of 14
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1 MORGAN STANLEY
================================================================================
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Geographic Number Date Cut-off Gross Average Original
Distribution of Of Principal Date Interest Remaining Combined
Mortgaged Mortgage Balance Principal Rate Term LTV
Properties Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
California 551 108,509,551 26.32 8.495 349 79.70
Texas 277 27,615,195 6.70 8.712 331 76.84
Michigan 292 24,790,696 6.01 9.533 347 78.02
Florida 294 23,933,453 5.81 9.464 327 79.00
Illinois 153 20,812,426 5.05 9.083 347 80.19
Ohio 260 20,709,962 5.02 8.999 336 80.29
Colorado 151 17,630,198 4.28 8.999 327 79.74
New York 115 14,323,319 3.47 9.501 304 76.15
Pennsylvania 216 13,458,328 3.26 9.574 291 81.29
Indiana 165 8,993,187 2.18 9.454 305 80.04
Washington 58 8,288,046 2.01 8.707 350 82.09
New Jersey 54 8,066,537 1.96 9.658 331 79.59
Maryland 73 8,017,502 1.94 9.256 315 79.76
Virginia 61 7,479,080 1.81 8.815 324 80.91
Arizona 64 6,983,844 1.69 8.728 344 76.74
Other 990 92,608,421 22.47 9.242 331 79.09
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
Number of States/District of Columbia Represented: 48
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Mortgage Balance Principal Rate Term LTV
Occupancy Type Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
Primary 3,535 391,529,680 94.98 9.000 335 79.44
Non-Owner Occupied 222 19,136,040 4.64 9.324 338 75.58
Second Horne 17 1,554,024 0.38 8.996 322 73.11
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley and the Seller make 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 herein may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley and the Seller disclaim 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 herein. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
================================================================================
Page 11 of 14
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1 MORGAN STANLEY
================================================================================
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Mortgage Balance Principal Rate Term LTV
Property Type Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
Single Family
Residence 3,127 327,644,602 79.48 9.030 332 79.11
PUD 198 31,470,228 7.63 8.754 345 80.86
2-4 Family 187 26,204,908 6.36 9.168 343 77.99
Condo 167 21,041,171 5.10 8.840 348 79.86
Manufactured Housing 95 5,858,835 1.42 9.560 321 80.91
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Mortgage Balance Principal Rate Term LTV
Loan Purpose Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
Refinance - CAW 2,732 285,654,357 69.30 9.024 329 78.21
Purchase 569 65,628,262 15.92 9.225 349 82.76
Refinance -
Rate/Term 473 60,937,125 14.78 8.747 345 80.26
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Mortgage Balance Principal Rate Term LTV
Lien Position Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
1st Lien 3,339 392,738,045 95.27 8.905 342 79.20
2nd Lien 435 19,481,699 4.73 11.240 193 80.10
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley and the Seller make 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 herein may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley and the Seller disclaim 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 herein. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
================================================================================
Page 12 of 14
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1 MORGAN STANLEY
================================================================================
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Documentation Mortgage Balance Principal Rate Term LTV
Level Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
Full 3,120 319,944,262 77.61 9.022 333 79.96
Stated Documentation 566 80,085,652 19.43 8.982 342 76.46
Reduced or Alternate 88 12,189,830 2.96 9.058 335 78.50
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Range of Mortgage Balance Principal Rate Term LTV
Credit Scores Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
NA 47 2,317,509 0.56 10.650 331 73.04
Below 476 36 2,066,316 0.50 11.417 308 77.02
476-500 123 8,105,569 1.97 11.240 309 76.87
501-525 272 28,843,575 7.00 10.048 337 77.27
526-550 512 52,996,862 12.86 9.689 338 77.56
551-575 615 60,511,911 14.68 9.330 329 77.64
576-600 600 66,445,809 16.12 8.957 339 80.14
601-625 550 63,403,916 15.38 8.728 338 80.75
626-650 448 52,405,771 12.71 8.551 334 80.96
651-675 267 34,022,827 8.25 8.309 332 80.93
676-700 137 17,540,733 4.26 8-253 334 79.78
701-725 73 9,484,076 2.30 8.093 333 76.17
726-750 52 7,057,321 1.71 7.797 337 80.20
751-775 26 4,916,254 1.19 7.471 335 77.37
776-800 16 2,101,293 0.51 7.772 347 79.06
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
Minimum: 434
Maximum: 793
Weighted Average: 599
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley and the Seller make 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 herein may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley and the Seller disclaim 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 herein. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
================================================================================
Page 13 of 14
CDC MORTGAGE CAPITAL TRUST SERIES 2002-HE1 MORGAN STANLEY
================================================================================
--------------------------------------------------------------------------------
% of
Mortgage
Aggregate Pool by Weighted Weighted
Cut-off Aggregate Average Weighted Average
Number Date Cut-off Gross Average Original
of Principal Date Interest Remaining Combined
Prepayment Mortgage Balance Principal Rate Term LTV
Penalty Term Loans ($) Balance (%) (Months) (%)
--------------------------------------------------------------------------------
No Prepayment
Penalty 826 77,281,449 18.75 9.341 321 78.01
12 Months 525 59,786,043 14.50 8.634 343 78.38
24 Months 922 131,233,471 31.84 9.051 356 81.39
30 Months 2 477,826 0.12 7.776 357 82.58
36 Months 1,122 108,873,961 26.41 9.123 324 78.39
42 Months 1 79,808 0.02 8.750 358 85.00
48 Months 1 116,834 0.03 7.740 358 75.00
60 Months 375 34,370,352 8.34 8.488 303 77.97
--------------------------------------------------------------------------------
Total: 3,774 412,219,744 100.00 9.015 335 79.24
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. This material is based on information that
Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan
Stanley and the Seller make 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 herein may be based on certain assumptions regarding
market conditions and other matters and is therefore subject to change. We make
no representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied on for such
purposes. No representation is made that any returns indicated will be achieved.
Changes to the assumptions may have a material impact on any returns detailed.
Morgan Stanley and the Seller disclaim 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 herein. Additional information is available upon request. Morgan
Stanley and others associated with it may have positions in, and may effect
transactions in, securities and instruments of issuers mentioned herein and may
also perform or seek to perform investment banking services for the issuers of
such securities and instruments. Past performance is not necessarily indicative
of future results. Price and availability are subject to change without notice.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supercedes all prior information regarding such
assets. Morgan Stanley is acting as the lead underwriter and not acting as agent
for the issuer or its affiliates in connection with the proposed transaction. To
our readers worldwide: In addition, please note that this publication has been
issued by Morgan Stanley, approved by Morgan Stanley International Limited, a
member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd.
We recommend that such investors obtain the advice of their Morgan Stanley,
Morgan Stanley International or Morgan Stanley Japan Ltd. representative about
the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
================================================================================
Page 14 of 14
